public MarketValueCalulator(ILogger logger,
IMarketDataClient marketDataClient,
ICashApiClient cashApi,
ILotApiClient lotsApi)
{
this.logger = logger;
this.marketDataClient = marketDataClient;
this.cashApi = cashApi;
this.lotsApi = lotsApi;
}
public static async IAsyncEnumerable <Trade> GetAllTradesAsync(this IMarketDataClient client, string productId, int?after = null, [EnumeratorCancellation] CancellationToken cancellationToken = default)
{
while (!cancellationToken.IsCancellationRequested)
{
var trades = await client.GetTradesAsync(productId, after, cancellationToken);
foreach (var trade in trades)
{
yield return(trade);
}
after = trades.After;
}
}
public TradabilityCheckerTests(ShrimpyApiFixture apiFixture, ITestOutputHelper output) : base(apiFixture, output)
{
_marketDataClient = ServiceProvider.GetRequiredService <IMarketDataClient>();
}
static void Main(string[] args)
{
using (Reference <ILogger> loggerRef = Reference <ILogger> .Create(new ConsoleLogger("TestMds: ")))
{
loggerRef.Target.LogInfo("{0} Started.", DateTime.Now);
try
{
const MDSProviderId provider = MDSProviderId.Bloomberg;
var settings = new NamedValueSet();
const int port = 9123;
settings.Set(MdsPropName.Port, port);
settings.Set(MdsPropName.EnabledProviders, new[] { MDSProviderId.GlobalIB.ToString(), provider.ToString() });
using (Reference <ICoreClient> clientRef = Reference <ICoreClient> .Create(new CoreClientFactory(loggerRef).SetEnv(BuildConst.BuildEnv).Create()))
using (var mds = new MarketDataServer())
{
mds.LoggerRef = loggerRef;
mds.Client = clientRef;
mds.OtherSettings = settings;
mds.Start();
loggerRef.Target.LogDebug("Waiting...");
Thread.Sleep(15000);
loggerRef.Target.LogDebug("Continuing...");
List <ICoreItem> marketItems;
{
marketItems = clientRef.Target.LoadItems <Market>(Expr.StartsWith(Expr.SysPropItemName, "Orion.V5r3.Configuration."));
}
if (marketItems.Count == 0)
{
throw new ApplicationException("No curve definitions found!");
}
using (IMarketDataClient mdc = MarketDataFactory.Create(loggerRef, null, "localhost:" + port.ToString(CultureInfo.InvariantCulture)))
{
foreach (ICoreItem marketItem in marketItems)
{
loggerRef.Target.LogDebug("Curve: {0}", marketItem.Name);
var market = (Market)marketItem.Data;
//PricingStructure ps = market.Items[0];
PricingStructureValuation psv = market.Items1[0];
QuotedAssetSet curveDefinition;
if (psv is YieldCurveValuation valuation)
{
curveDefinition = valuation.inputs;
}
else
{
if (psv is FxCurveValuation curveValuation)
{
curveDefinition = new QuotedAssetSet
{
instrumentSet = curveValuation.spotRate.instrumentSet,
assetQuote = curveValuation.spotRate.assetQuote
}
}
;
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name);
}
}
// call MDS
MDSResult <QuotedAssetSet> mdsResponse = mdc.GetMarketQuotes(
provider, null, Guid.NewGuid(), false,
null, // caspar-specific parameters
curveDefinition);
if (mdsResponse.Error != null)
{
throw mdsResponse.Error;
}
foreach (BasicAssetValuation result in mdsResponse.Result.assetQuote)
{
string instrId = result.objectReference.href;
foreach (BasicQuotation quote in result.quote)
{
string fieldId = quote.GetStandardFieldName();
loggerRef.Target.LogDebug("{0}/{1} ({2}/{3}) = [{4}]",
instrId, fieldId, quote.measureType.Value, quote.quoteUnits.Value, quote.value);
}
}
}
} // using MDC
mds.Stop();
}// using MDS
}
catch (Exception e)
{
loggerRef.Target.Log(e);
}
loggerRef.Target.LogInfo("{0} Completed.", DateTime.Now);
loggerRef.Target.LogInfo("Press ENTER to exit.");
Console.ReadLine();
}
}
static void Main(string[] args)
{
Reference <ILogger> loggerRef = Reference <ILogger> .Create(new ConsoleLogger("TestWebMdc: "));
loggerRef.Target.LogInfo("Running...");
try
{
// get some market quotes from for a Highlander FX curve
// and get a Highlander volatility matrix
const string curveName = "Orion.V5r3.Configuration.PricingStructures.QR_LIVE.FxCurve.AUD-USD";
QuotedAssetSet quotedAssetSet;
using (ICoreClient client = new CoreClientFactory(loggerRef).SetEnv(BuildConst.BuildEnv).Create())
{
ICoreItem marketItem = client.LoadItem <Market>(curveName);
if (marketItem == null)
{
throw new ApplicationException("Market '" + curveName + "' not found!");
}
var market = (Market)marketItem.Data;
//PricingStructure ps = market.Items[0];
PricingStructureValuation psv = market.Items1[0];
var valuation = psv as YieldCurveValuation;
if (valuation != null)
{
quotedAssetSet = valuation.inputs;
}
else
{
var curveValuation = psv as FxCurveValuation;
if (curveValuation != null)
{
quotedAssetSet = new QuotedAssetSet
{
instrumentSet = curveValuation.spotRate.instrumentSet,
assetQuote = curveValuation.spotRate.assetQuote
}
}
;
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name);
}
}
}
//Copied from the working version
const int port = 9123;
// create MDS client
using (IMarketDataClient mdc = MarketDataFactory.Create(loggerRef, null, "localhost:" + port.ToString(CultureInfo.InvariantCulture)))//This was null in the 3rd parameter.
{
{
const MDSProviderId providerId = MDSProviderId.Bloomberg;
loggerRef.Target.LogInfo("----- {0} Market Quotes -----", providerId);
QuotedAssetSet quotes = mdc.GetMarketQuotes(
providerId, null, Guid.NewGuid(), true, null,
quotedAssetSet).Result;
LogResults(loggerRef.Target, quotes);
}
{
const MDSProviderId providerId = MDSProviderId.GlobalIB;
loggerRef.Target.LogInfo("----- {0} Volatility Matrix -----", providerId);
var matrixProps = new NamedValueSet();
matrixProps.Set("Function", "MarketData");
matrixProps.Set("Market", "EOD");
matrixProps.Set("CurveName", "AUD-Swap");
matrixProps.Set("PricingStructureType", "RateATMVolatilityMatrix");
QuotedAssetSet matrix = mdc.GetPricingStructure(
providerId, null, Guid.NewGuid(), true, null,
matrixProps).Result;
LogResults(loggerRef.Target, matrix);
}
}
}
catch (Exception e)
{
loggerRef.Target.Log(e);
}
loggerRef.Target.LogInfo("Completed.");
loggerRef.Target.LogInfo("Press ENTER to exit.");
Console.ReadLine();
}
public MarketDataClientTests(FireblocksApiFixture apiFixture, ITestOutputHelper output) : base(apiFixture, output)
{
_marketDataClient = ServiceProvider.GetRequiredService <IMarketDataClient>();
}
public TradabilityChecker(IMarketDataClient marketDataClient)
{
_marketDataClient = marketDataClient;
}
