virtual public bool FilterInfo(TradeInfo info)
{
return !(info.SecurityType.Equals(TradeInfo.OtherFutures) || info.SecurityType.Equals(TradeInfo.ComFutures)
|| info.SecurityType.Equals(TradeInfo.ShortFutures) || info.SecurityType.Equals(TradeInfo.LongFutures)
|| info.SecurityType.Equals(TradeInfo.EquityFutures) || info.SecurityType.Equals(TradeInfo.Future)
|| info.SecurityType.Equals(TradeInfo.DepositFut) || info.SecurityType.Equals(TradeInfo.BondFut)
|| info.SecurityType.Equals(TradeInfo.QuantoFut));
}
protected override string TryGetTicker(TradeInfo info, out string display)
{
display = string.Empty;
if (info.Identifier1 == null) return null;
var tickerSymbol = info.Identifier1.Length == 1 ? info.Identifier1 + " " : info.Identifier1;
var contractMonth = info.Symbol.Substring(info.Symbol.Length - 2);
char monthRt = contractMonth[0];
var isCall = info.PutCall.StartsWith("C");
Month month = 0;
try
{
month = DateHelper.FromImmRt(monthRt, isCall);
}
catch (Exception e)
{
Logger.Error("Error parsing Ticker " + info.Symbol);
Logger.Error(e);
month = (Month)info.Maturity.Month;
}
if (!char.IsDigit(contractMonth[1]))
{
var year = (info.Maturity.Year % 10).ToString();
contractMonth = DateHelper.ToImm(month) + year;
}
else
{
contractMonth = contractMonth.Replace(monthRt, DateHelper.ToImm(month)); // from rt to bbg
}
var ticker = tickerSymbol + contractMonth + info.PutCall + " " + info.Strike;
display = tickerSymbol + " " + TradeImportHelper.FormatDate(info.Maturity) + " " + info.PutCall + info.Strike;
if (info.SecurityType.Equals(TradeInfo.IrfOption))
{
ticker += " Comdty";
display += " Comdty";
}
else if (info.SecurityType.Equals(TradeInfo.EqOption))
{
ticker += " Equity";
display += " Equity";
}
else
{
ticker += " Comdty";
display += " Comdty";
}
return ticker;
}
virtual protected Future FindFuture(Feed feed, TradeInfo info, IList<Contract> contracts, string ticker, out Contract contract)
{
contract = null;
try
{
//First Find Contract;
var words = ticker.Split(' ');
string symbol = ticker;
if (words.Length == 2)
symbol = words[0];
else if (words.Length == 3)
symbol = words[0] + " " + words[1];
foreach (var c in contracts)
{
if (ticker.StartsWith(c.TickerSymbol) && ticker.EndsWith(c.TickerSuffix))
{
contract = c;
break;
}
}
if (contract == null) return null;
var fromDate = info.ReportDate.AddYears(1) > info.Maturity ? info.ReportDate : info.Maturity.AddMonths(-1);
var exps = GetExpirations(feed, contract, fromDate);
if (exps == null || exps.Count == 0) return null;
foreach (var exp in exps)
{
if (contract.GetFutureCode(exp).EndsWith(symbol))
return contract.CreateFuture(exp);
}
return null;
}
catch (Exception x)
{
Logger.Error("FindFuture " + ticker, x);
return null;
}
}
protected override Future FindFuture(Feed feed, TradeInfo info, IList<Contract> contracts, string ticker, out Contract contract)
{
contract = null;
var exceptions = new List<Exception>();
var validContracts = new List<Contract>();
foreach (var c in contracts)
{
if (ticker.StartsWith(c.TickerSymbol) && ticker.EndsWith(c.TickerSuffix))
{
validContracts.Add(c);
contract = c;
}
}
if (contract == null) return null;
var fromDate = info.ReportDate.AddYears(1) > info.Maturity ? info.ReportDate : info.Maturity.AddMonths(-1);
var exps = GetExpirations(feed, contract, fromDate);
if (exps == null || exps.Count == 0) return null;
//var monthdate = ParseMonthDate(ticker);
var monthdate = info.Maturity;
var fut = ImportHelper.FindFuture(true, null, contracts, ticker, null, null, monthdate,
info.Maturity, info.Strike, info.PutCall.Equals("P") ? OptionType.Put : OptionType.Call, info.Currency1, exceptions, null);
if (info.SecurityType.Equals(TradeInfo.EqFutOption))
{
// This adjustment is only applied to future option from Imagine
if (fut.ContractMonth.Year != monthdate.Year || fut.ContractMonth.Month != monthdate.Month)
{
if (fut.ContractMonth > monthdate)
fut = ImportHelper.FindFuture(true, null, contracts, ticker, null, null, monthdate,
info.Maturity.AddMonths(-1), info.Strike, info.PutCall.Equals("P") ? OptionType.Put : OptionType.Call, info.Currency1, exceptions, null);
else if (fut.ContractMonth < monthdate)
fut = ImportHelper.FindFuture(true, null, contracts, ticker, null, null, monthdate,
info.Maturity.AddMonths(1), info.Strike, info.PutCall.Equals("P") ? OptionType.Put : OptionType.Call, info.Currency1, exceptions, null);
}
if (fut.ContractMonth.Year != monthdate.Year || fut.ContractMonth.Month != monthdate.Month) return null;
}
return fut;
}
internal static IList<TradeInfo> ReadData(FilterTrade filterTrade, FilterData filterData, StringBuilder sb)
{
var fileName= filterData.FolderName;
if (!File.Exists(fileName))
{
if (sb != null) sb.Append("File " + fileName + " not found\n");
return new List<TradeInfo>();
}
var list = new List<TradeInfo>();
using (var stream = File.OpenRead(fileName))
{
using (var reader = new StreamReader(stream))
{
string line;
var header = reader.ReadLine();
if (string.IsNullOrEmpty(header))
{
Logger.Error("[Error Read File] Empty Headers ... ");
return new List<TradeInfo>();
}
var headers = new Dictionary<string, int>();
using (var csvParser = new TextFieldParser(new StringReader(header)))
{
csvParser.SetDelimiters(new[] { "," });
var hss = csvParser.ReadFields();
int idx = 0;
foreach (var s in hss)
{
headers[s.Trim()] = idx++;
}
}
//var hss = header.Split(Separators, StringSplitOptions.None);
int skipped1 = 0, skipped2 = 0, skipped3 = 0, skipped4 = 0, skipped5 = 0;
var count = 0;
while ((line = reader.ReadLine()) != null)
{
count++;
//Parse Line here
if (string.IsNullOrEmpty(line)) break; //we are at end
var tinfo = new TradeInfo(line, headers);
// start filtering out bad entries
// 1. Symbol not found
// 2. Duplicated entries
// 3. Trade has expired
// 4. Quantity/Nominal is 0
// 5. Security type not support
var isblankedOut = tinfo.IsMurex && tinfo.SecurityType.Equals(FxInfo.SpotForward); // murex spotforward info is blanked out
var isSymbolBlankedOut = isblankedOut || (tinfo.IsMurex && tinfo.SecurityType.Equals(SwapInfo.CcySwap));
if (tinfo.ReportDate.IsNull) tinfo.ReportDate = filterData.LiveDate;
if (!isSymbolBlankedOut && tinfo.Symbol == null)
{
var msg = FormatReadFileMessage("Product Symbol not found", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
Logger.Warn("Trade Import " + msg);
//sb.Append(msg);
skipped1++;
continue;
}
if (tinfo.IsMurex && tinfo.HoldingID != null)
{
// right now only Murex has id for each entry
if (filterData.ExistingIds.Contains(tinfo.HoldingID))
{
var msg = FormatReadFileMessage("Duplicated HoldingID found", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
//sb.Append(msg);
Logger.Warn("Trade Import " + msg);
skipped2++;
continue;
}
else
filterData.ExistingIds.Add(tinfo.HoldingID);
}
if (!tinfo.Maturity.IsNull && filterData.LiveDate > tinfo.Maturity)
{
if (tinfo.IsMurex || tinfo.Maturity.Month != filterData.LiveDate.Month)
{
var msg = FormatReadFileMessage("Trade has matured before live date", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
//sb.Append(msg);
Logger.Warn("Trade Import " + msg);
skipped3++;
continue;
}
}
if (tinfo.Nominal1 == 0 && tinfo.Nominal2 == 0)
{
var msg = FormatReadFileMessage("Trade's quantity/nominal is 0", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
//sb.Append(msg);
Logger.Warn("Trade Import " + msg);
skipped4++;
continue;
}
if (!tinfo.IsMurex && !SecurityTypeSupported(tinfo.SecurityType))
{
var msg = FormatReadFileMessage("Security type(" + (tinfo.SecurityType ?? string.Empty) + ") is not supported by the importer",
tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
Logger.Warn("Trade Import " + msg);
skipped5++;
continue;
}
list.Add(tinfo);
}
var skipped = skipped1 + skipped2 + skipped3 + skipped4 + skipped5;
sb.Append(skipped + "/" + count + " entries are skipped at file loading\n");
if (skipped1 > 0) sb.Append("Skip symbol is null " + skipped1 + "\n");
if (skipped2 > 0) sb.Append("Skip duplicated entries " + skipped2 + "\n");
if (skipped3 > 0) sb.Append("Skip trade has expired " + skipped3 + "\n");
if (skipped4 > 0) sb.Append("Skip 0 quality/norminal " + skipped4 + "\n");
if (skipped5 > 0) sb.Append("Skip security type not identified " + skipped5 + "\n");
}
}
filterData.Data = list;
return list;
}
private void FillOptionInfo(TradeInfo info, FXOption fxo, OptionInfo optionInfo)
{
if (info.SecurityType.Equals(FxoInfo.SimpleFXO))
{
// european digital and european
if (info.OptionStyle.Equals("D"))
{
var dinfo = optionInfo as DigitalInfo;
if (dinfo == null)
{
dinfo = new DigitalInfo();
fxo.OptionInfo = dinfo;
dinfo.Option = fxo;
}
fxo.ExerciseType = OptionExerciseType.Digital;
dinfo.ExerciseType = OptionExerciseType.European;
dinfo.StartDate = info.Maturity;
dinfo.EndDate = info.Maturity;
if (fxo.OptionType == OptionType.Call)
{
dinfo.BarrierStrike = fxo.OptionStrike;
dinfo.BarrierType = OptionBarrierType.Touch;
dinfo.LowerBarrierStrike = 0;
dinfo.LowerBarrierType = OptionBarrierType.None;
}
else
{
dinfo.LowerBarrierStrike = fxo.OptionStrike;
dinfo.LowerBarrierType = OptionBarrierType.Touch;
dinfo.BarrierStrike = 0;
dinfo.BarrierType = OptionBarrierType.None;
}
// pay off, currency, and payout style: deferred or...
}
else
fxo.ExerciseType = OptionExerciseType.European;
// settle currency
}
/*
else if (info.SecurityType.Equals(TradeInfo.BarrierFXO))
{
// barrier
var binfo = optionInfo as BarrierInfo;
if (binfo == null)
{
binfo = new BarrierInfo();
fxo.OptionInfo = binfo;
binfo.Option = fxo;
}
binfo.ExerciseType = OptionExerciseType.European;
// start/end date
// barrier type and strike
}
else if (info.SecurityType.Equals(TradeInfo.TouchFXO))
{
// touch
var tinfo = optionInfo as DigitalInfo;
if (tinfo == null)
{
tinfo = new DigitalInfo();
fxo.OptionInfo = tinfo;
tinfo.Option = fxo;
}
tinfo.ExerciseType = OptionExerciseType.American;
// barrier strike and type
// rebate amount
}*/
}
public bool FilterInfo(TradeInfo info)
{
return !(info.SecurityType.Equals(FxInfo.SpotForward) || info.SecurityType.Equals(TradeInfo.CrossCurrency)
|| info.SecurityType.Equals(FxoInfo.SimpleFXO));
}
public bool FilterInfo(TradeInfo info)
{
return !info.SecurityType.Equals(TradeInfo.Stock);
}
protected override void SetSourceProperty(Future fut, TradeInfo info)
{
if (info.IsMurex)
{
var key = fut.Contract.TickerSymbol + " " + info.Maturity + " " + info.PutCall + info.Strike;
if (string.IsNullOrEmpty(fut.GetProperty(TradeImportHelper.MurexMaturity)))
{
fut.SetProperty(TradeImportHelper.MurexMaturity, fut.Contract.TickerSymbol + " " + info.Maturity);
Env.Current.Trade.SaveProduct(fut);
}
}
else if (string.IsNullOrEmpty(fut.GetProperty(TradeImportHelper.ImagineMaturity)))
{
fut.SetProperty(TradeImportHelper.ImagineMaturity, info.Symbol);
Env.Current.Trade.SaveProduct(fut);
}
}
// fra
void InitFra(FRA fra, TradeInfo tinfo)
{
var sinfo = tinfo.Otc as SwapInfo;
if (sinfo == null) return;
fra.IsPay = tinfo.TradeAction.Equals("B") ? true : false;
fra.FixedRate = tinfo.Price / 100;
fra.Notional = Math.Abs(tinfo.Nominal1);
fra.StartDate = sinfo.SwapStartDate1;
fra.EndDate = sinfo.SwapMaturity1;
}
override public bool FilterInfo(TradeInfo info)
{
return !(info.SecurityType.Equals(TradeInfo.IrfOption) || info.SecurityType.Equals(TradeInfo.EqOption)
|| info.SecurityType.Equals(TradeInfo.Option) || info.SecurityType.Equals(TradeInfo.EqFutOption));
}
static public void ApplyExercise(TradeInfo info, Trade trade, SimpleDate exerciseDate, SimpleDate settleDate,double amount, Market market, StringBuilder sb)
{
var pevent = new ExerciseEvent(trade)
{
ExerciseTime = exerciseDate.ToDateTime(),
EffectiveDate = exerciseDate,
AmountCurrency = trade.SettleCurrency,
Amount = amount,
CashSettlementDate = settleDate
};
pevent.ActivityTime = pevent.ExerciseTime;
var handler = (ExerciseProductEventHandler)ProductEvent.Handler(pevent.EventType, trade.Product.ProcessingType);
var newTrades = new List<Trade>();
var modifiedTrades = new List<Trade>();
handler.Process(pevent, market, trade, newTrades, modifiedTrades, new List<IProductEvent>());
if (trade.Fees != null)
{
foreach (Fee f in trade.Fees)
{
if (f.Date == pevent.CashSettlementDate)
{
f.InputAmount = amount;
}
}
}
trade.Status = "Exercised";
}
virtual protected string TryGetTicker2(TradeInfo info, out string display)
{
display = string.Empty;
if (info.Identifier1 == null) return null;
var monthdate = info.Symbol.Substring(info.Symbol.Length - 2);
var tokens = info.Identifier1.Split(' ');
if (tokens.Length < 2) return null;
var tickerSymbol = tokens[0];
var suffix = tokens[tokens.Length - 1];
if (tickerSymbol.Length == 1) tickerSymbol += " ";
display = tickerSymbol + " " + TradeImportHelper.FormatDate(info.Maturity) + " " + suffix;
return tickerSymbol + monthdate + " " + suffix;
}
virtual protected string TryGetTicker(TradeInfo info, out string display)
{
display = string.Empty;
if (info.Identifier1 == null) return null;
var tickerSymbol = info.Identifier1.Length == 1 ? info.Identifier1 + " " : info.Identifier1;
var ticker = tickerSymbol + info.Symbol.Substring(info.Symbol.Length-2);
display = tickerSymbol + " " + TradeImportHelper.FormatDate(info.Maturity);
// adding suffix here
if (info.SecurityType.Equals(TradeInfo.EquityFutures))
{
ticker += " Index";
display += " Index";
}
else if (info.SecurityType.Equals(TradeInfo.OtherFutures))
{
ticker += " Curncy";
display += " Curncy";
}
else if (info.SecurityType.Equals(TradeInfo.LongFutures) || info.SecurityType.Equals(TradeInfo.ShortFutures))
{
ticker += " Comdty";
display += " Comdty";
}
else
{
ticker += " Comdty";
display += " Comdty";
}
return ticker;
}
static bool CreateBond(Trade trade, TradeInfo info, FilterData filterData, Market market, StringBuilder sb, TemplateProvider provider)
{
try
{
var bond = (Bond)info.Security;
trade.Product = info.Security;
// assuming file has all clean price
trade.PriceType = QuotationType.CleanPrice;
if (bond.IssueDate > trade.SettlementDate)
trade.SettlementDate = bond.IssueDate;
trade.Price /= 100;
info.MarketPrice /= 100;
trade.Quantity = info.Nominal1/bond.FaceValue;
if (!double.IsNaN(info.Quantity))
{
if (trade.Quantity != info.Quantity)
sb.Append("Warning Bad Quantity for Trade" + " Symbol " + info.Symbol + "\n");
}
provider.FillTrade(trade, market);
if (Double.IsNaN(trade.Accrual))
{
trade.Accrual = 0;
sb.Append("Warning Bad Accrual for Trade" + " Symbol " + info.Symbol + "\n");
}
return true;
}
catch (Exception x)
{
Logger.Error("Import Bond", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message, info.HoldingID, info.TradeID, info.Instrument));
return false;
}
}
void InitLegs(Leg payLeg, Leg recLeg, TradeInfo tinfo)
{
var swInfo = tinfo.Otc as SwaptionInfo;
if (swInfo == null) return;
payLeg.NotionalCurrency = tinfo.Currency1;
recLeg.NotionalCurrency = tinfo.Currency1;
payLeg.StartDate = swInfo.SwapStartDate1;
payLeg.EndDate = swInfo.SwapMaturity1;
recLeg.StartDate = swInfo.SwapStartDate1;
recLeg.EndDate = swInfo.SwapMaturity1;
payLeg.Notional = Math.Abs(tinfo.Nominal1);
recLeg.Notional = Math.Abs(tinfo.Nominal1);
var floatLeg = payLeg.IsFixedRate ? recLeg : payLeg;
var fixedLeg = payLeg.IsFixedRate ? payLeg : recLeg;
fixedLeg.FixedRate = swInfo.FixedRate / 100;
}
public bool FilterInfo(TradeInfo info)
{
return !info.SecurityType.Equals(SwaptionInfo.Swaption);
}
//Init Trade Date SettleDateS Strategy CounterParty ....
internal static bool InitTrade(Trade trade, TradeInfo info, FilterData filterData, StringBuilder sb)
{
Trade existingTrade = null;
if (info.HoldingID != null)
{
if (filterData.ExistingTransIds != null && filterData.ExistingTransIds.Count > 0)
{
if (filterData.ExistingTransIds.Contains(info.HoldingID))
existingTrade = Env.Current.Trade.GetTradeByProperty(SymmetryTranId, info.HoldingID);
}
else existingTrade = Env.Current.Trade.GetTradeByProperty(SymmetryTranId, info.HoldingID);
}
if (existingTrade != null)
{
if (filterData.OnlyNewTrades) return false;
trade.Id = existingTrade.Id;
trade.Status = existingTrade.Status;
trade.Action = UpdateAction;
trade.Version = existingTrade.Version;
trade.Product = existingTrade.Product;
trade.InputUserId = existingTrade.InputUserId;
trade.InputTime = existingTrade.InputTime;
if (existingTrade.BackToBackBookId != 0)
{
trade.BackToBackBookId = existingTrade.BackToBackBookId;
trade.SetProperty(Trade.BackToBackInternalTradeId, existingTrade.GetProperty(Trade.BackToBackInternalTradeId));
}
}
else
{
trade.Id = 0; // _id--;
trade.Status = "New";
trade.Action = "Create";
}
if (info.HoldingID != null)
trade.SetProperty(SymmetryTranId, info.HoldingID);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(MurexTradeId, info.TradeID);
// set parties: entity, book, counterparty
// need to book trade under block entity
var s1 = ManagedAccountCode + ":" + info.Strategy;
var s2 = MasterFundCode + ":" + info.Strategy;
var s3 = info.Strategy;
var p1 = ManagedAccountCode;
var p2 = MasterFundCode;
var p3 = BlockEntityCode;
var entity1 = SetAndLoadParty(trade, p1, Party.Entity);
var entity2 = SetAndLoadParty(trade, p2, Party.Entity);
var entity3 = SetAndLoadParty(trade, p3, Party.Entity + ":" + Party.Block); // must be block entity
var book1 = SetAndLoadParty(trade, s1, Party.Book, entity1.Id);
var book2 = SetAndLoadParty(trade, s2, Party.Book, entity2.Id);
var book3 = SetAndLoadParty(trade, s3, Party.Book, entity3.Id, true); // book trade under book3
SetUpAllocaitonGrid(AllocName, entity3.Id, entity1.Id, info.ReportDate.AddYears(-2), 1);
if (info.Portfolio != null)
{
SetBookPortfolio(book1, info.Portfolio);
SetBookPortfolio(book2, info.Portfolio);
SetBookPortfolio(book3, info.Portfolio);
}
// set counterParty
var counterparty = Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, PartyDisplay, info.Counterparty);
if (counterparty == null)
{
if (!info.Counterparty.Equals(TradeInfo.DefaultParty))
Logger.Warn(FormatReadFileMessage("CounterParty does not exist by display name, will create or load one by code", info.Counterparty, info.HoldingID, info.TradeID, false));
SetAndLoadParty(trade, info.Counterparty, Party.CounterParty);
}
else
{
trade.PartyId = counterparty.Id;
trade.InitialPartyId = counterparty.Id;
}
var tradeDate = (info.Otc != null && !info.Otc.TradeDate.IsNull) ? info.Otc.TradeDate : info.ReportDate;
trade.TradeTime = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day);
trade.SettlementDate = info.ReportDate;
trade.Price = info.Price;
if (!double.IsNaN(info.Quantity))
trade.Quantity = info.Quantity;
else
trade.Quantity = info.Nominal1;
trade.SettleCurrency = info.Currency1;
trade.Source = Source;
trade.SourceReference = info.HoldingID;
trade.SetProperty(SourceSys, info.FileSource);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(info.FileSource + "TradeId", info.TradeID);
//Set Clearer and PrimeBroker
if (info.PrimeBroker != null)
{
var clearer = Env.Current.StaticData.GetPartyByCode(info.PrimeBroker);
if (clearer == null)
{
//Should create SSI Automatically ??
SetAndLoadParty(trade, info.PrimeBroker, Party.Clearer + ":" + Party.PrimeBroker);
}
else
{
trade.ClearerId = clearer.Id;
trade.PrimeBrokerId = clearer.Id;
}
}
/*
else if (info.Account != null)
{
var clearer = Env.Current.StaticData.GetPartyByCode(info.Account);
if (clearer == null)
{
//Should create SSI Automatically ??
SetAndLoadParty(trade, info.Account, Party.Clearer);
}
else
trade.ClearerId = clearer.Id;
}*/
return true;
}
static public void SetParties(Trade trade, TradeInfo info)
{
if (info.HoldingID != null)
trade.SetProperty(SymmetryTranId, info.HoldingID);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(MurexTradeId, info.TradeID);
var strategy = info.Strategy;
var code = strategy;
var entity = Env.Current.StaticData.GetPartyByCode(BlockEntityCode);
if (entity == null) return;
var book = Env.Current.StaticData.GetPartyByCode(code);
if (book == null)
{
return;
}
trade.BookId = book.Id;
if (!string.IsNullOrEmpty(info.Counterparty))
{
var party = Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, PartyDisplay, info.Counterparty) ??
Env.Current.StaticData.GetPartyByCode(info.Counterparty);
if (party != null)
{
if (party.RoleList.Contains(Party.Entity))
{
if (Party.GetEntity(trade.BookId).Id == party.Id)
trade.TradeType = TradeType.Internal;
}
trade.PartyId = party.Id;
trade.InitialPartyId = party.Id;
}
}
if (!string.IsNullOrEmpty(info.PrimeBroker))
{
var party = Env.Current.StaticData.GetPartyByCode(info.PrimeBroker) ??
Env.Current.StaticData.SaveAndLoadParty(new Party
{
Code = info.PrimeBroker,
RoleList = new List<string> {Party.PrimeBroker, Party.Clearer,Party.Agent}
});
trade.PrimeBrokerId = party.Id;
trade.ClearerId = party.Id;
}
if (!string.IsNullOrEmpty(info.ClearingHouse))
{
var party = Env.Current.StaticData.GetPartyByCode(info.ClearingHouse) ??
Env.Current.StaticData.SaveAndLoadParty(new Party
{
Code = info.ClearingHouse,
Role = Party.Ccp
});
if (!party.RoleList.Contains(Party.Ccp))
{
var list = party.RoleList.ToList();
list.Add(Party.Ccp);
party.RoleList = list;
party.Action = UpdateAction;
party = Env.Current.StaticData.SaveAndLoadParty(party);
}
trade.CcpId = party.Id;
}
}
// fixed-float: irswap
void InitLegs(Leg payLeg, Leg recLeg, TradeInfo tinfo)
{
var sinfo = tinfo.Otc as SwapInfo;
var floatLeg = payLeg.IsFixedRate ? recLeg : payLeg;
var fixedLeg = payLeg.IsFixedRate ? payLeg : recLeg;
if (sinfo == null) return;
payLeg.NotionalCurrency = tinfo.Currency1;
recLeg.NotionalCurrency = tinfo.Currency1;
payLeg.StartDate = sinfo.SwapStartDate1;
recLeg.StartDate = sinfo.SwapStartDate1;
payLeg.EndDate = sinfo.SwapMaturity1;
recLeg.EndDate = sinfo.SwapMaturity1;
payLeg.Notional = Math.Abs(tinfo.Nominal1);
recLeg.Notional = Math.Abs(tinfo.Nominal1);
fixedLeg.FixedRate = tinfo.Price / 100;
if (sinfo.Spread2 != 0) // L2 is floating leg
floatLeg.Spread = sinfo.Spread2 / 100;
if (sinfo.FirstFixingRate != 0)
floatLeg.FirstFixing = sinfo.FirstFixingRate / 100;
}
public bool FilterInfo(TradeInfo info)
{
return !(info.SecurityType.Equals(SwapInfo.IRSwap) || info.SecurityType.Equals(SwapInfo.Fras)
|| info.SecurityType.Equals(SwapInfo.CcySwap));
}
virtual protected void SetSourceProperty(Future fut, TradeInfo info)
{
if (info.IsMurex)
{
var key = fut.Contract.TickerSymbol + " " + info.Maturity;
if (fut.GetProperty(TradeImportHelper.MurexMaturity) == null)
{
fut.SetProperty(TradeImportHelper.MurexMaturity, fut.Contract.TickerSymbol + " " + info.Maturity);
Env.Current.Trade.SaveProduct(fut);
}
}
else if (fut.GetProperty(TradeImportHelper.ImagineMaturity) == null)
{
fut.SetProperty(TradeImportHelper.ImagineMaturity, info.Symbol);
Env.Current.Trade.SaveProduct(fut);
}
}
// float-float: currency swap, basis swap
void InitLegs2(Leg leg1, Leg leg2, TradeInfo tinfo)
{
var sinfo = tinfo.Otc as SwapInfo;
if (sinfo == null) return;
leg1.NotionalCurrency = tinfo.Currency1;
leg2.NotionalCurrency = tinfo.Currency2;
leg1.StartDate = sinfo.SwapStartDate1;
leg2.StartDate = sinfo.SwapStartDate2;
leg1.EndDate = sinfo.SwapMaturity1;
leg2.EndDate = sinfo.SwapMaturity2;
leg1.Notional = Math.Abs(tinfo.Nominal1);
leg2.Notional = Math.Abs(tinfo.Nominal2);
leg1.Spread = sinfo.Spread1 / 100;
leg2.Spread = sinfo.Spread2 / 100;
// ...
}
static bool CreateEquity(Trade trade, TradeInfo info, Market market, StringBuilder sb, TemplateProvider provider)
{
try
{
trade.Product = info.Security;
trade.PriceType = trade.Product.QuoteName.QuoteType;
// add ...
provider.FillTrade(trade, market);
return true;
}
catch (Exception x)
{
Logger.Error("Import Equity", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message, info.HoldingID, info.TradeID, info.Instrument));
return false;
}
}
public bool FilterInfo(TradeInfo info)
{
return !info.SecurityType.Equals(TradeInfo.BondRepo);
}
protected override string TryGetTicker2(TradeInfo info, out string display)
{
display = string.Empty;
if (info.Identifier1 == null) return null;
var tokens = info.Identifier1.Split(' ');
if (tokens.Length < 2) return null;
//var tickerSymbol = tokens[0];
var tickerSymbol = tokens.Length == 2 ? tokens[0] : tokens[0] + " " + tokens[1] + " ";
if (tickerSymbol.Length == 1) tickerSymbol += " ";
display = tickerSymbol + " " + TradeImportHelper.FormatDate(info.Maturity) + " " +
info.PutCall + info.Strike + " " + tokens[tokens.Length - 1];
return tickerSymbol + DateHelper.ToImm(info.Maturity) + (info.Maturity.Year % 10)
+ info.PutCall + " " + info.Strike + " " + tokens[tokens.Length - 1];
}
