public void TestCombineRootMaturityMonthYear()
{
// Test everything that we might get
const string ric = "TY";
const string mmy = "200906";
var fullSymbol1 = FuturesSymbolUtil.CombineRootMaturityMonthYear(ric, mmy);
Assert.AreEqual(fullSymbol1, "TYM9", "Failed to combine symbol");
var fullSymbol2 = FuturesSymbolUtil.CombineRootMaturityMonthYear("P", mmy);
Assert.AreEqual(fullSymbol2, "P M9", "Failed to combine symbol");
// do some RIC parsing
var fullSymbol3 = FuturesSymbolUtil.CombineRootMaturityMonthYear("TTA", "201003");
Assert.AreEqual(fullSymbol3, "TTAH0", "Failed to combine symbol");
var fullSymbol4 = FuturesSymbolUtil.CombineRootMaturityMonthYear("6B", "201003");
Assert.AreEqual(fullSymbol4, "6BH0", "Failed to combine symbol");
// Test the funny ric root
var fullSymbol5 = FuturesSymbolUtil.CombineRootMaturityMonthYear("VX:VE", "201003");
Assert.AreEqual("VXH0:VE", fullSymbol5, "Failed to combine symbol");
}
public void TestExtractMaturityMonthYear()
{
// Test everything that we might get
const string mmy = "200906";
var mmy1 = FuturesSymbolUtil.ExtractMaturityMonthFromSymbol("TYM9");
Assert.AreEqual(mmy, mmy1);
var mmy2 = FuturesSymbolUtil.ExtractMaturityMonthFromSymbol("P M9");
Assert.AreEqual(mmy, mmy2);
// do some RIC parsing
var mmy3 = FuturesSymbolUtil.ExtractMaturityMonthFromSymbol("TTAH0");
Assert.AreEqual("201003", mmy3);
var mmy4 = FuturesSymbolUtil.ExtractMaturityMonthFromSymbol("6BH0");
Assert.AreEqual("201003", mmy4);
var mmy5 = FuturesSymbolUtil.ExtractMaturityMonthFromSymbol("VXH0:VE");
Assert.AreEqual("201003", mmy5);
}
public string MapPlatformRootToBloombergSymbol(string platform, string platformRoot, string monthYear)
{
var bloombergRoot = ConvertPlatformReceiving(platform, platformRoot, true);
return(FuturesSymbolUtil.CombineRootMaturityMonthYear(bloombergRoot, monthYear));
}
public void TestExtractSymbolRoot()
{
// Test everything that we might get
const string bbid = "TYM9 Comdty";
const string ric = "TYM9";
var root1 = FuturesSymbolUtil.ExtractSymbolRoot(bbid);
Assert.AreEqual("TY", root1, "Failed to extract root from Bloomberg with Yellow key");
var root2 = FuturesSymbolUtil.ExtractSymbolRoot(ric);
Assert.AreEqual("TY", root2, "Failed to extract root from Bloomberg/RIC");
const string shortRootSymbol = "P M9";
var root3 = FuturesSymbolUtil.ExtractSymbolRoot(shortRootSymbol);
Assert.AreEqual("P", root3, "Failed to extract root from a short symbol root");
const string shortSymbol = "P";
var root4 = FuturesSymbolUtil.ExtractSymbolRoot(shortSymbol);
Assert.AreEqual("P", root4, "Failed to extract short root");
const string shortSymbolSpace = "P ";
var root4S = FuturesSymbolUtil.ExtractSymbolRoot(shortSymbolSpace);
Assert.AreEqual("P", root4S, "Failed to extract short root");
const string shortSymbol2 = "TU";
var root41 = FuturesSymbolUtil.ExtractSymbolRoot(shortSymbol2);
Assert.AreEqual("TU", root41, "Failed to extract short root");
// do some RIC parsing
const string bigRic = "TTAH0";
var root5 = FuturesSymbolUtil.ExtractSymbolRoot(bigRic);
Assert.AreEqual("TTA", root5, "Failed to extract big root from RIC");
const string numbers = "6BH0";
var root6 = FuturesSymbolUtil.ExtractSymbolRoot(numbers);
Assert.AreEqual("6B", root6, "Failed to extract numeric root");
// Try futures options
const string futuresOptions = "TYH9C";
var root7 = FuturesSymbolUtil.ExtractSymbolRoot(futuresOptions);
Assert.AreEqual("TY_C", root7, "Failed to extract futures option root");
// Try futures options
const string futuresOptionsRoot = "TY_P";
var root8 = FuturesSymbolUtil.ExtractSymbolRoot(futuresOptionsRoot);
Assert.AreEqual("TY_P", root8, "Failed to extract futures option root");
// Try futures options
const string weirdSymbol = "ESH8 08";
var root9 = FuturesSymbolUtil.ExtractSymbolRoot(weirdSymbol);
Assert.AreEqual("ES", root9, "Failed to extract weird root");
var root10 = FuturesSymbolUtil.ExtractSymbolRoot("VXH0:VE");
Assert.AreEqual("VX", root10, "Failed to extract weird root");
}
/// <summary>
/// Event handler for order creation and/or update.
/// </summary>
/// <param name="orderId">the order id or multiple if more than one order is received.</param>
/// <param name="xmlOrders"></param>
/// <param name="uniqueId"></param>
/// <param name="confirmed"></param>
public void ReceiveOrders(string orderId, string xmlOrders, int uniqueId, ref bool confirmed)
{
// extract the orders, translate symbols, and update the cache
var positionsToPublish = new List <IDictionary <string, string> >();
lock (_orderEventIds) {
try {
if (_orderEventIds.Contains(uniqueId))
{
return;
}
var orders = MessageUtil.ParseXmlToDictionary(xmlOrders, uniqueId);
foreach (var order in orders)
{
// convert order into a trade record
if (MessageUtil.IsEquityOrder(order))
{
var ticker = EquityTickerUtil.ConvertRicToTicker(order["RIC"]);
order["BID"] = ticker;
}
else if (MessageUtil.IsFuturesOrder(order))
{
var failedRicLookup = false;
var ric = order["RIC"];
var ricRoot = FuturesSymbolUtil.ExtractSymbolRoot(ric);
var bbRoot = _fsm.ConvertRicRoot(ricRoot);
if (string.IsNullOrEmpty(bbRoot))
{
_log.Warn("No mapping for RIC root: " + ricRoot);
bbRoot = ricRoot;
order["WARNING"] = "No mapping for RIC root";
failedRicLookup = true;
}
var monthYear = FuturesSymbolUtil.ExtractMaturityMonthFromSymbol(order["RIC"]);
var bbSymbol = FuturesSymbolUtil.CombineRootMaturityMonthYear(bbRoot, monthYear);
if (failedRicLookup)
{
bbSymbol = bbSymbol + " - using RIC";
}
order["BID"] = bbSymbol;
}
else
{
continue;
}
var tradeRecord = MessageUtil.CreateTradeRecord(order);
var updatedPosition = _positionCache.Update(tradeRecord);
positionsToPublish.Add(updatedPosition);
}
_orderEventIds.Add(uniqueId);
confirmed = true;
} catch (Exception e) {
_log.Error("Processing order events from TradingScreen", e);
}
}
try {
foreach (var position in positionsToPublish)
{
position.Add("Source", "TradingScreen");
var strategy = position["Strategy"];
if (string.IsNullOrEmpty(strategy))
{
strategy = "MISSING";
}
var sb = new StringBuilder(512);
sb.Append("TradingScreen.Positions.").Append(strategy).Append(".").Append(position["BID"]);
_broker.Publish(sb.ToString(), position);
}
} catch (Exception e) {
_log.Error("Publishing positions from TradingScreen", e);
}
}
