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);
}
/// <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);
}
}
