private void BuildPositionRow(HugoDataSet.PortfolioRow portfolioRow, AccountData accountData, Position newRow, double underlyingPrice)
{
int lineNumber = 0;
try
{
lineNumber++; newRow.Account = portfolioRow.AcctName;
lineNumber++; newRow.Symbol = portfolioRow.Symbol;
lineNumber++; newRow.SubscriptionStatus = portfolioRow.SubscriptionStatus;
lineNumber++; newRow.SODPosition = portfolioRow.SOD_Position;
lineNumber++; newRow.SODPrice = portfolioRow.SOD_Price; // 5
lineNumber++; newRow.SODMarketValue = portfolioRow.SOD_Market_Value;
lineNumber++; newRow.ChangeInPosition = portfolioRow.Change_in_Position;
lineNumber++; newRow.ChangeInCost = portfolioRow.Change_in_Cost;
lineNumber++; newRow.CurrentPosition = portfolioRow.Current_Position;
lineNumber++; newRow.NettingAdjustment = portfolioRow.Netting_Adjustment; // 10
lineNumber++; newRow.CurrentPrice = portfolioRow.CurrentPrice;
lineNumber++; newRow.CurrentCost = portfolioRow.Current_Cost;
lineNumber++; newRow.Closed = portfolioRow.Closed;
lineNumber++; newRow.OptionType = portfolioRow.IsOptionTypeNull() ? null : portfolioRow.OptionType;
lineNumber++; newRow.UnderlyingSymbol = portfolioRow.IsUnderlyingSymbolNull() ? null : portfolioRow.UnderlyingSymbol; // 15
lineNumber++; newRow.Multiplier = portfolioRow.Multiplier;
lineNumber++; newRow.IsStock = portfolioRow.IsStock == 1;
lineNumber++; newRow.IsOption = portfolioRow.IsOption == 1;
lineNumber++; newRow.IsFuture = portfolioRow.IsFuture == 1;
lineNumber++; newRow.Open = portfolioRow.IsOpenNull() ? new System.Nullable <double>() : portfolioRow.Open; // 20
lineNumber++; newRow.PrevClose = portfolioRow.IsPrevCloseNull() ? new System.Nullable <double>() : portfolioRow.PrevClose;
lineNumber++; newRow.LastPrice = portfolioRow.IsLastPriceNull() ? new System.Nullable <double>() : portfolioRow.LastPrice;
lineNumber++; newRow.Bid = portfolioRow.IsBidNull() ? new System.Nullable <double>() : portfolioRow.Bid;
lineNumber++; newRow.Ask = portfolioRow.IsAskNull() ? new System.Nullable <double>() : portfolioRow.Ask;
lineNumber++; newRow.ClosingPrice = portfolioRow.IsClosingPriceNull() ? new System.Nullable <double>() : portfolioRow.ClosingPrice; // 25
// must use portfolioRow.PriceMultiplier for P&L purposes
// newRow.Multiplier has been adjusted to reflect deltas on the associated index
lineNumber++; newRow.CurrentMarketValue = portfolioRow.CurrentPrice * newRow.CurrentPosition * portfolioRow.PriceMultiplier;
lineNumber++; newRow.PandL = newRow.CurrentMarketValue - newRow.CurrentCost;
lineNumber++; newRow.ExpirationDate = portfolioRow.IsExpirationDateNull() ? new System.Nullable <DateTime>() : portfolioRow.ExpirationDate;
lineNumber++;
if (newRow.Bid.HasValue && newRow.Ask.HasValue)
{
lineNumber++; newRow.Mid = (newRow.Bid + newRow.Ask) / 2.0; // 30
}
else
{
lineNumber++; newRow.Mid = 0;
}
lineNumber++;
if (newRow.IsOption)
{
lineNumber++; newRow._100DeltaUSD = (newRow.CurrentPosition + newRow.NettingAdjustment) * newRow.Multiplier * underlyingPrice;
lineNumber++; newRow.Delta = portfolioRow.IsDeltaNull() ? new System.Nullable <double>() : portfolioRow.Delta;
lineNumber++; newRow.DeltaUSD = portfolioRow.IsDeltaNull() ? new System.Nullable <double>() : portfolioRow.Delta * (newRow.CurrentPosition + newRow.NettingAdjustment) * newRow.Multiplier * underlyingPrice;
lineNumber++; newRow.Gamma = portfolioRow.IsGammaNull() ? new System.Nullable <double>() : portfolioRow.Gamma; // 35
lineNumber++; newRow.GammaUSD = portfolioRow.IsGammaNull() ? new System.Nullable <double>() : newRow.Gamma * (newRow.CurrentPosition + newRow.NettingAdjustment) * newRow.Multiplier * underlyingPrice;
lineNumber++; newRow.Theta = portfolioRow.IsThetaNull() ? new System.Nullable <double>() : portfolioRow.Theta;
lineNumber++; newRow.ThetaAnnualized = portfolioRow.IsThetaNull() ? new System.Nullable <double>() : newRow.Theta * (newRow.CurrentPosition + newRow.NettingAdjustment) * portfolioRow.PriceMultiplier * 360;
lineNumber++; newRow.Vega = portfolioRow.IsVegaNull() ? new System.Nullable <double>() : portfolioRow.Vega;
lineNumber++; newRow.ImpliedVol = portfolioRow.IsImpliedVolNull() ? new System.Nullable <double>() : portfolioRow.ImpliedVol; // 40
lineNumber++; newRow.StrikePrice = portfolioRow.IsStrikePriceNull() ? new System.Nullable <decimal>() : portfolioRow.StrikePrice;
lineNumber++;
if (newRow.OptionType == "Call")
{
lineNumber++; newRow.TimePremium = Math.Max(0, newRow.Mid.Value - Math.Max(0, underlyingPrice * newRow.Multiplier / 100 - (double)newRow.StrikePrice.Value)) * (newRow.CurrentPosition + newRow.NettingAdjustment) * portfolioRow.PriceMultiplier;
}
else
{
lineNumber++; newRow.TimePremium = Math.Max(0, newRow.Mid.Value - Math.Max(0, (double)newRow.StrikePrice.Value - underlyingPrice * newRow.Multiplier / 100)) * (newRow.CurrentPosition + newRow.NettingAdjustment) * portfolioRow.PriceMultiplier;
lineNumber++;
if (accountData != null)
{
if (((newRow.CurrentPosition + newRow.NettingAdjustment) > 0) && (newRow.Multiplier > 0) && newRow.StrikePrice.HasValue && (accountData.PutsOutOfMoneyThreshold < 1))
{
lineNumber++; // 45
if ((double)newRow.StrikePrice.Value * 100 / newRow.Multiplier < (1 - accountData.PutsOutOfMoneyThreshold) * underlyingPrice)
{
lineNumber++; newRow.IsOutOfBounds = true;
}
else if ((double)newRow.StrikePrice.Value * 100 / newRow.Multiplier > (1 + accountData.PutsOutOfMoneyThreshold) * underlyingPrice)
{
lineNumber++; newRow.IsOutOfBounds = true;
}
}
}
}
}
}
catch (Exception ex)
{
try
{
ReportError(String.Format("Error building position row, Account={0}, Symbol={1}. line number={2}", portfolioRow.AcctName, portfolioRow.Symbol, lineNumber), ex);
}
catch
{
ReportError("Error building position row", ex);
}
}
}
private int BuildPositionsForAccount(HugoDataSet.PortfolioDataTable portfolio, List <Index> indices, Index totalRow, AccountData accountData, List <Position> positions)
{
int unsubscribedSymbols = 0;
try
{
foreach (HugoDataSet.PortfolioRow portfolioRow in portfolio)
{
Position newRow = new Position();
Index indexRow = null;
double underlyingPrice = 0;
if (!portfolioRow.IsUnderlyingSymbolNull())
{
if (indices != null)
{
indexRow = GetIndexData(indices, portfolioRow.UnderlyingSymbol);
}
if (indexRow != null)
{
underlyingPrice = indexRow.LastPrice.HasValue ? indexRow.LastPrice.Value : 0;
}
else
{
HugoDataSet.PortfolioRow underlyingRow = portfolio.FindByAcctNameSymbol(portfolioRow.AcctName, portfolioRow.UnderlyingSymbol);
if (underlyingRow != null)
{
underlyingPrice = underlyingRow.CurrentPrice;
}
}
}
BuildPositionRow(portfolioRow, accountData, newRow, underlyingPrice);
// accountData is null only if we are not interested in calculating totals for this account
if (accountData != null)
{
AggregateAccountTotals(accountData, newRow, underlyingPrice);
if (newRow.IsOption)
{
AggregateIndexTotals(newRow, indexRow, totalRow);
}
}
if ((newRow.SubscriptionStatus != "Subscribed") && ((newRow.CurrentPosition != 0) || (newRow.SODPosition != 0) || newRow.IsStock))
{
unsubscribedSymbols++;
}
newRow.UpdateTime = portfolioRow.IsUpdateTimeNull() ? new System.Nullable <TimeSpan>() : portfolioRow.UpdateTime;
positions.Add(newRow);
}
}
catch (Exception ex)
{
ReportError("Error building positions for account", ex);
}
return(unsubscribedSymbols);
}
