private void updateLabels(OrderValidationResult validationResult)
{
chkBypassValidation.Visible = false;
chkBypassValidation.Checked = false;
switch (validationResult.MainType)
{
case OrderValidationType.Warning:
lblErrorMessage.Text = "<br/>" + validationResult.Message + "<br/>Do you want to enter this order?";
rblIgnoreWarning.Visible = true;
rblIgnoreWarning.SelectedValue = "No";
ViewState["IsRblIgnoreWarningVisible"] = true;
break;
case OrderValidationType.Invalid:
lblErrorMessage.Text = "<br/>" + validationResult.Message;
chkBypassValidation.Visible = true;
break;
}
}
public override OrderValidationResult Validate()
{
OrderValidationResult result = new OrderValidationResult(OrderValidationSubType.Success, "");
short? decimals = null;
decimal tickSize = 0M;
IInstrumentExchange ie = getInstrumentExchange(true);
if (ie != null)
{
decimals = ie.NumberOfDecimals;
tickSize = ie.TickSize;
}
if (decimals == null && Route != null && Route.Exchange != null)
decimals = Route.Exchange.DefaultNumberOfDecimals;
if (tickSize > 0 && this.OrderType == OrderTypes.SizeBased)
AdjustToTickSize(tickSize);
else if (this.OrderType == OrderTypes.SizeBased && this.RequestedInstrument.SecCategory.Key == SecCategories.Bond)
AdjustToTickSize(((IBond)this.RequestedInstrument).NominalValue.Quantity);
else if (decimals != null)
SetNumberOfDecimals((short)decimals);
return result;
}
private OrderValidationResult checkInstructionExists()
{
string message = "";
OrderValidationResult retVal = new OrderValidationResult(OrderValidationSubType.Success, "");
if (Side == Side.Sell)
{
IInstructionCollection instructions = ((IAccountTypeCustomer)Account).ActiveRebalanceInstructions;
if (instructions != null && instructions.Count > 0)
{
foreach (IInstruction instruction in instructions)
{
if (instruction.IsActive)
{
message = string.Format("This order can not be entered since the account {0} is in a rebalance instruction (status {1}).", Account.ShortName, instruction.DisplayStatus);
retVal = new OrderValidationResult(OrderValidationSubType.Invalid_InstructionExists, message);
break;
}
}
}
}
return retVal;
}
private OrderValidationResult checkSideOrders()
{
string message = "";
OrderValidationResult retVal = new OrderValidationResult(OrderValidationSubType.Success, "");
OrderSideFilter opSideFilter = (Side == Side.Buy ? OrderSideFilter.Sell : OrderSideFilter.Buy);
if (Account.OpenOrdersForAccount != null && Account.OpenOrdersForAccount.Count > 0)
{
IAccountOrderCollection col = Account.OpenOrdersForAccount.Filter(RequestedInstrument, opSideFilter);
if (col != null && col.Count > 0)
{
message = string.Format("Warning: a {0} order already exists for {1}.", opSideFilter.ToString(), RequestedInstrument.Name);
retVal = new OrderValidationResult(OrderValidationSubType.Warning_OppositeSideOrder, message);
}
}
return retVal;
}
/// <summary>
/// if closure -> check not another buy order already exists.
/// </summary>
/// <returns></returns>
private OrderValidationResult checkBuyCloseOrders()
{
string message = "";
OrderValidationResult retVal = new OrderValidationResult(OrderValidationSubType.Success, "");
if (((IOrderSizeBased)this).IsClosure && Side == Side.Buy && Account.OpenOrdersForAccount != null && Account.OpenOrdersForAccount.Count > 0)
{
OrderSideFilter sideFilter = OrderSideFilter.Buy;
IAccountOrderCollection col = Account.OpenOrdersForAccount.Filter(RequestedInstrument, sideFilter);
if (col != null && col.Count > 0)
{
message = string.Format("Warning: {0} buy order(s) with a total size of {1} already exists for {2}.",
col.Count, col.TotalSize(RequestedInstrument), RequestedInstrument.Name);
retVal = new OrderValidationResult(OrderValidationSubType.Warning_BuyCloseOrderAlreadyExists, message);
}
}
return retVal;
}
/// <summary>
///
/// </summary>
/// <returns></returns>
public virtual OrderValidationResult Validate()
{
// Buy -> Check Cash (Buying Power)
// Sell -> Check the Positions
string message = "";
OrderValidationResult retVal = new OrderValidationResult(OrderValidationSubType.Success, "");
//Check if an instruction exist - Invalid_InstructionExists
retVal = checkInstructionExists();
if (retVal.Type != OrderValidationSubType.Success)
return retVal;
if (Side == Side.Buy)
{
if (!Account.AccountOwner.IsStichting)
{
// check the Cash -> Buying Power check
// BP = All Cash (incl cash management fund) - Open Orders - Open Trades (Not Approved)
Money currentOrderAmount;
Money totalCashAmount;
string oldPriceWarning = "";
if (!IsMonetary && ((ISecurityOrder)this).TradedInstrument.SecCategory.Key == SecCategories.CashManagementFund)
totalCashAmount = Account.TotalPositionAmount(PositionAmountReturnValue.Cash);
else
totalCashAmount = Account.TotalPositionAmount(PositionAmountReturnValue.BothCash);
if (totalCashAmount == null || totalCashAmount.IsZero)
{
message = string.Format("This order ({0}) can not be entered since there is no cash.", Value.ToString());
return new OrderValidationResult(OrderValidationSubType.Invalid_NoCash, message);
}
if (IsSizeBased)
{
// if closure -> check not another buy order already exists.
OrderValidationResult buyCloseCheck = checkBuyCloseOrders();
if (buyCloseCheck.Type != OrderValidationSubType.Success)
return buyCloseCheck;
// Get the Price of the Instrument
IPriceDetail priceDetail = RequestedInstrument.CurrentPrice;
if (priceDetail == null)
{
message = string.Format("The order validation is not very accurate since no current price is available for {0}.", Value.Underlying.Name);
return new OrderValidationResult(OrderValidationSubType.Warning_NoCurrentPrice, message);
}
else
{
Money accruedInterest = ((ISecurityOrder)this).AccruedInterest;
currentOrderAmount = ((Money)(Value.CalculateAmount(priceDetail.Price) + Commission + accruedInterest)).CurrentBaseAmount;
if (priceDetail.IsOldDate)
{
oldPriceWarning = string.Format("The order validation is not very accurate since the last available price ({0}) is from {1}.", priceDetail.Price.ToString(), priceDetail.Date.ToShortDateString());
}
}
}
else
{
currentOrderAmount = GrossAmountBase;
//// Check when Foreign currency amount -> if foreign currency is available
if (!Value.Underlying.ToCurrency.IsBase)
{
ICashPosition posFx = Account.Portfolio.PortfolioCashGL.GetPosition(Value.Underlying.ToCurrency);
Money orderAmtFx = Account.OpenOrdersForAccount.TotalAmountInSpecifiedNominalCurrency((ICurrency)Value.Underlying);
if (posFx == null)
{
message = string.Format("This order ({0}) can not be placed since the account doesn't have a {1} position.", GrossAmount.DisplayString, Value.Underlying.Name);
retVal = new OrderValidationResult(OrderValidationSubType.Invalid_NoCash, message);
}
else if (!((Money)(posFx.SettledSize - orderAmtFx - GrossAmount)).Sign)
{
string messageOpenOrders = "";
if (orderAmtFx != null && orderAmtFx.IsNotZero)
messageOpenOrders = string.Format(" minus the open order amount ({0}) in {1}", orderAmtFx.ToString(), Value.Underlying.Name);
message = string.Format("This order ({0}) exceeds the current {1} cash amount ({2}){3}.", GrossAmount.DisplayString, Value.Underlying.Name, posFx.SettledSize.ToString(), messageOpenOrders);
retVal = new OrderValidationResult(OrderValidationSubType.Invalid_NotEnoughCash, message);
}
if (retVal.Type != OrderValidationSubType.Success)
{
retVal.Message += Environment.NewLine + string.Format("Place a {0} order instead.", Account.AccountOwner.StichtingDetails.BaseCurrency.ToString());
return retVal;
}
}
}
// Consider both Buy & Sell orders
Money openOrderAmount = Account.OpenOrderAmount(OpenOrderAmountReturnValue.Gross);
if (!((Money)(totalCashAmount - openOrderAmount - currentOrderAmount)).Sign)
{
if (openOrderAmount != null && openOrderAmount.IsNotZero)
message = string.Format(" minus the open order amount ({0})", openOrderAmount.DisplayString);
message = string.Format("This order ({0}) exceeds the total cash amount ({1}){2}.", currentOrderAmount.DisplayString, totalCashAmount.DisplayString, message);
retVal = new OrderValidationResult(OrderValidationSubType.Invalid_NotEnoughCash, message);
}
retVal.Message += oldPriceWarning;
if (oldPriceWarning != string.Empty && retVal.Type == OrderValidationSubType.Success)
{
retVal.Type = OrderValidationSubType.Warning_OldPrice;
}
}
}
else
{
// Get the current Position size
InstrumentSize positionSize = null;
IFundPosition position = Account.Portfolio.PortfolioInstrument.GetPosition((ITradeableInstrument) RequestedInstrument);
if (position != null)
positionSize = position.Size;
if (positionSize == null || positionSize.IsZero)
{
message = string.Format("You tried to sell {0} but there are no positions found.", RequestedInstrument.Name);
return new OrderValidationResult(OrderValidationSubType.Invalid_NoPosition, message);
}
// Get the positions size of the order
PredictedSize predSize;
if (!IsSizeBased)
{
// Amount based -> Get the Price/ExRate
predSize = RequestedInstrument.PredictSize(Amount);
// If there is no Price/ExRate found -> warning
if (predSize.Status == PredictedSizeReturnValue.NoRate)
{
message = string.Format("The order validation is not very accurate since no current {0} is available for {1}.", (RequestedInstrument.IsCash ? "exchangerate" : "price"), Value.Underlying.Name);
return new OrderValidationResult(OrderValidationSubType.Warning_NoCurrentPrice, message);
}
}
else
{
predSize = new PredictedSize(Value, DateTime.Now);
}
// Get the open order size
InstrumentSize openOrderSize = null;
if (Account.OpenOrdersForAccount != null && Account.OpenOrdersForAccount.Count > 0)
openOrderSize = Account.OpenOrdersForAccount.TotalSize(RequestedInstrument);
if (!((InstrumentSize)(positionSize + (predSize.Size + openOrderSize))).Sign)
{
message = string.Format("You tried to sell {0} {1} but in the portfolio only {2} positions were found", predSize.Size.Abs().ToString(), RequestedInstrument.Name, positionSize.ToString());
if (openOrderSize != null && openOrderSize.IsNotZero)
message += Environment.NewLine + string.Format(" and order(s) existed for {0}.", openOrderSize.ToString());
else
message += ".";
retVal = new OrderValidationResult(OrderValidationSubType.Invalid_NotEnoughPosition, message);
}
if (predSize.Status == PredictedSizeReturnValue.OldRateDate)
{
retVal.Message += (retVal.Message == string.Empty ? "" : Environment.NewLine) + string.Format("The order validation is not very accurate since the last available {0} ({1}) is from {2}.", (RequestedInstrument.IsCash ? "exchangerate" : "price"), predSize.Rate, predSize.RateDate.ToShortDateString());
if (retVal.Type == OrderValidationSubType.Success)
{
retVal.Type = OrderValidationSubType.Warning_OldPrice;
}
}
}
// Check opposite orders
OrderValidationResult sideCheck = checkSideOrders();
if (sideCheck.Type != OrderValidationSubType.Success)
{
retVal.Message += (retVal.Message == string.Empty ? "" : Environment.NewLine) + sideCheck.Message;
if (retVal.Type == OrderValidationSubType.Success)
{
retVal.Type = sideCheck.Type;
}
}
return retVal;
}
private void updateLabels(OrderValidationResult validationResult)
{
cbBypassValidation.Visible = false;
cbBypassValidation.Checked = false;
switch (validationResult.MainType)
{
case OrderValidationType.Warning:
elbErrorMessage.Text = validationResult.Message + "<br/>Do you want to enter this order?";
rblIgnoreWarning.Visible = true;
rblIgnoreWarning.SelectedValue = "No";
ViewState["IsRblIgnoreWarningVisible"] = true;
break;
case OrderValidationType.Invalid:
elbErrorMessage.Text = validationResult.Message;
cbBypassValidation.Visible = SecurityManager.IsCurrentUserInRole("Asset Manager: Manual Order Bypass Validation");
break;
}
}
public static OrderValidationResult PlaceOrder(
int accountId,
int instrumentId,
Side side,
bool isAmountBased,
decimal size,
decimal amount,
int currencyId,
bool isValueInclComm,
bool ignoreWarnings,
bool bypassValidation)
{
OrderValidationResult validationResult = new OrderValidationResult(OrderValidationSubType.Invalid_NotValidated, "This order has not been validated.");
IDalSession session = NHSessionFactory.CreateSession();
try
{
IAccountTypeInternal account = (IAccountTypeInternal)AccountMapper.GetAccount(session, accountId);
IInstrument instrument = InstrumentMapper.GetInstrument(session, instrumentId);
//FeeFactory fee = FeeFactory.GetInstance(session);
Order order;
decimal sign = (side == Side.Sell ? -1 : 1);
if (!isAmountBased)
{
InstrumentSize value = new InstrumentSize(sign * size, instrument);
order = new OrderSizeBased(account, value, false, null, true);
}
else
{
ICurrency currency = InstrumentMapper.GetCurrency(session, currencyId);
if (currency == null)
currency = ((ITradeableInstrument)instrument).CurrencyNominal;
Money value = new Money(sign * amount, currency);
order = new OrderAmountBased(account, value, instrument, isValueInclComm, null, true);
}
// Do Validation
if (bypassValidation)
validationResult = new OrderValidationResult(OrderValidationSubType.Success, "");
else
validationResult = order.Validate();
if (validationResult.MainType == OrderValidationType.Success ||
(validationResult.MainType == OrderValidationType.Warning && ignoreWarnings))
{
OrderMapper.Insert(session, order);
validationResult = new OrderValidationResult(OrderValidationSubType.Success, "");
}
}
finally
{
session.Close();
}
return validationResult;
}
public static OrderValidationResult PlaceOrder(
int accountId,
int instrumentId,
Side side,
bool isAmountBased,
decimal size,
decimal amount,
int currencyId,
bool isValueInclComm,
bool noCharges,
bool ignoreWarnings,
bool bypassValidation)
{
OrderValidationResult validationResult = new OrderValidationResult(OrderValidationSubType.Invalid_NotValidated, "This order has not been validated.");
IDalSession session = NHSessionFactory.CreateSession();
try
{
IAccountTypeCustomer account = (IAccountTypeCustomer)AccountMapper.GetAccount(session, accountId);
IInstrument instrument = InstrumentMapper.GetInstrument(session, instrumentId);
FeeFactory fee = FeeFactory.GetInstance(session);
Order order;
decimal sign = (side == Side.Sell ? -1 : 1);
if (!isAmountBased)
{
InstrumentSize value = new InstrumentSize(sign * size, instrument);
order = new OrderSizeBased(account, value, false, fee, noCharges);
}
else
{
ICurrency currency = InstrumentMapper.GetCurrency(session, currencyId);
if (currency == null)
currency = ((ITradeableInstrument)instrument).CurrencyNominal;
if (!getCurrencies(account, instrument).Contains(currency))
throw new ArgumentException(
string.Format("Invalid currency ({0}). Currency should be either the base currency or the instrument currency.",
currency.Symbol));
Money value = new Money(sign * amount, currency);
order = new OrderAmountBased(account, value, instrument, isValueInclComm, fee, noCharges);
}
// Do Validation
if (bypassValidation)
validationResult = new OrderValidationResult(OrderValidationSubType.Success, "");
else
validationResult = order.Validate();
if (validationResult.MainType == OrderValidationType.Success ||
(validationResult.MainType == OrderValidationType.Warning && ignoreWarnings))
{
OrderMapper.Insert(session, order);
validationResult = new OrderValidationResult(OrderValidationSubType.Success, "");
}
}
finally
{
session.Close();
}
return validationResult;
}
