public static void Add(Restriction restriction, Position position, params object[] argument)
{
RemoteAssembly remoteAssembly = CommandBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Violation");
RemoteMethod remoteMethod = remoteType.Methods.Add("Insert");
remoteMethod.Parameters.Add("restrictionId", restriction.RestrictionId);
remoteMethod.Parameters.Add("accountId", position.Account.AccountId);
remoteMethod.Parameters.Add("securityId", position.Security.SecurityId);
remoteMethod.Parameters.Add("positionTypeCode", (int)position.PositionType);
remoteMethod.Parameters.Add("description", String.Format(restriction.Description, argument));
}
/// <summary>
/// Installs an event driven industry concentration compliance check.
/// </summary>
static TelecomConcentration()
{
// This is a list of all the accounts targeted by this compliance check.
TelecomConcentration.betaAccountList = new BetaAccountList();
// This is the preset concentration limit.
TelecomConcentration.sectorLimit = 0.1M;
// Find the telecom sector based on the S&P GICS external codes.
TelecomConcentration.telecomServices = new Sector("50");
// Open up a restriction for the industry concentration rule. The severity level of these errors is high and an
// officer approval is needed to trade any positions.
TelecomConcentration.restriction = Restriction.Find("TELECOMSECTOR");
if (TelecomConcentration.restriction == null)
{
TelecomConcentration.restriction = new Restriction("TELECOMSECTOR", Severity.High, Approval.Officer,
"{0} in account {1} exceeds {2:#0%} in {3}.");
}
// Cycle through each predefined account and synchronize the violations against the current state of the data model.
// The method 'AccountHandler' will check the given account for an exceesive concentration in the Telecommunications
// Sector.
foreach (Account account in TelecomConcentration.betaAccountList)
{
ValidateAccount(account);
}
// Flush the command buffer.
CommandBatch.Flush();
// This list collects the positions that have been changed by the incoming events.
TelecomConcentration.updateAccountList = new AccountList();
// This compliance check is event driven. When an event -- such as adding or deleting an order -- changes the state of
// the data model, these tests will be called to insure that the new state doesn't violate this compliance rule. In
// the case of a simple list rule, the new position will be tested to see if adding or deleting a position results in a
// violation. These statements install the event handlers for tax lots, proposed orders, orders and allocations. For
// example, the method 'TaxLotHandler' will be called when the tax lot table changes.
MarketData.BeginMerge += new EventHandler(BeginMerge);
TaxLot.Changed += new TaxLotEvent(TaxLotHandler);
ProposedOrder.Changed += new ProposedOrderEvent(ProposedOrderHandler);
Order.Changed += new OrderEvent(OrderHandler);
Allocation.Changed += new AllocationEvent(AllocationHandler);
MarketData.EndMerge += new EventHandler(EndMerge);
}
public static Restriction Find(string restrictionId)
{
Restriction restriction = null;
try
{
// Lock the tables.
Debug.Assert(!ClientMarketData.AreLocksHeld);
ClientMarketData.ConfigurationLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.RestrictionLock.AcquireReaderLock(CommonTimeout.LockWait);
int internalRestrictionId = FindKey("DEFAULT", restrictionId);
if (internalRestrictionId != Identifier.NotFound)
{
ClientMarketData.RestrictionRow restrictionRow = ClientMarketData.Restriction.FindByRestrictionId(internalRestrictionId);
if (restrictionRow == null)
{
throw new Exception(string.Format("Restriction {0} can'b be found", internalRestrictionId));
}
restriction = new Restriction(restrictionRow);
}
}
finally
{
// Release the table locks.
if (ClientMarketData.ConfigurationLock.IsReaderLockHeld)
{
ClientMarketData.ConfigurationLock.ReleaseReaderLock();
}
if (ClientMarketData.RestrictionLock.IsReaderLockHeld)
{
ClientMarketData.RestrictionLock.ReleaseReaderLock();
}
Debug.Assert(!ClientMarketData.AreLocksHeld);
}
return(restriction);
}
/// <summary>
/// Install an event driven compliance check and initialize the violations table.
/// </summary>
static AlphaListRule()
{
// This will create a table of positions for every combination of a restricted securities in a restricted account.
// This is just one example of how a set of restricted positions could be created.
AlphaListRule.alphaPositionTable = new PositionTable(new AlphaAccountList(), new AlphaSecurityList());
AlphaListRule.updatePositionTable = new PositionTable();
// This a simple "Restricted Security" compliance check. If a position exists or is created on the predefined account
// and security combination, then a 'Violation' record will be created. Conversely, if those conditions are removed,
// the corresponding violation will be deleted. The first parameter to opening up a 'Restriction' is the user-defined
// name, which must be unique for this rule. The restriction can specify a severity level and how many overrides are
// required to allow it to trade. Also, a message with replacable parameters can be specified here. When a violation
// is created, this message and the optional data items are combined to create a specific message for the violation. In
// this example, the ticker symbol and account name will be filled when the violation is created.
AlphaListRule.restriction = Restriction.Find("ALPHALIST");
if (AlphaListRule.restriction == null)
{
AlphaListRule.restriction = new Restriction("ALPHALIST", Severity.High, Approval.Officer,
"Security '{0}' is restricted from account {1}.");
}
// The violations need to be synchronized with the current state of the data model when this compliance check is first
// installed . That is, since the programming model is event driven, the state of the violations has to be initialized
// for the incremental rule checking to work. This step will remove any violations that are no longer valid.
foreach (Violation violation in restriction.GetViolations())
{
if (violation.Position.GetQuantity() == 0.0M)
{
violation.Remove();
}
}
// This will complete the task of synchronizing the data model for the compliance rule. If a non-zero position is
// found in the list of restricted securities and accounts, a violation on that position will be generated.
foreach (Position position in AlphaListRule.alphaPositionTable)
{
// Create a position object based on the account, security and long or short position type. Any quantity found for
// that position will trigger a violation. Note that if a violation already exists for this restriction and
// position combination, the description of the violation will be overwritten, but the record will be otherwise
// unchanged.
if (position.GetQuantity() != 0.0M)
{
Violation violation = Violation.Find(restriction, position);
if (violation == null)
{
Violation.Add(restriction, position, position.Security.Symbol, position.Account.Name);
}
}
}
// Flush the command buffer.
CommandBatch.Flush();
// This compliance check is event driven. When an event -- such as adding or deleting an order -- changes the state of
// the data model, these tests will be called to insure that the new state doesn't violate this compliance rule. In
// the case of a simple list rule, the new position will be tested to see if adding or deleting a position results in a
// violation. These statements install the event handlers for tax lots, proposed orders, orders and allocations. For
// example, the method 'TaxLotHandler' will be called when the tax lot table changes.
MarketData.BeginMerge += new EventHandler(BeginMerge);
TaxLot.Changed += new TaxLotEvent(TaxLotHandler);
ProposedOrder.Changed += new ProposedOrderEvent(ProposedOrderHandler);
Order.Changed += new OrderEvent(OrderHandler);
Allocation.Changed += new AllocationEvent(AllocationHandler);
MarketData.EndMerge += new EventHandler(EndMerge);
}
