public static void AddMetadataObject(DerivativeRelation entity)
{
string sql = "INSERT DerivativeRelation(InstrumentId,UnderlyingInstrument1Id,UnderlyingInstrument1IdInverted,UnderlyingInstrument2Id,AskOperand1Type,AskOperator1Type,AskOperand2Type,AskOperator2Type,AskOperand3,BidOperand1Type,BidOperator1Type,BidOperand2Type,BidOperator2Type,BidOperand3,LastOperand1Type,LastOperator1Type,LastOperand2Type,LastOperator2Type,LastOperand3) VALUES (@instrumentId,@underlyingInstrument1Id,@underlyingInstrument1IdInverted,@underlyingInstrument2Id,@askOperand1Type,@askOperator1Type,@askOperand2Type,@askOperator2Type,@askOperand3,@bidOperand1Type,@bidOperator1Type,@bidOperand2Type,@bidOperator2Type,@bidOperand3,@lastOperand1Type,@lastOperator1Type,@lastOperand2Type,@lastOperator2Type,@lastOperand3);SELECT SCOPE_IDENTITY()";
DataAccess.GetInstance().ExecuteScalar(sql, CommandType.Text,
new SqlParameter("@instrumentId", entity.Id),
new SqlParameter("@underlyingInstrument1Id", entity.UnderlyingInstrument1Id),
new SqlParameter("@underlyingInstrument1IdInverted", entity.UnderlyingInstrument1IdInverted),
new SqlParameter("@underlyingInstrument2Id", entity.UnderlyingInstrument2Id.HasValue ? (object)entity.UnderlyingInstrument2Id : DBNull.Value),
new SqlParameter("@askOperand1Type", entity.AskOperand1Type),
new SqlParameter("@askOperator1Type", entity.AskOperator1Type.HasValue ? (object)entity.AskOperator1Type : DBNull.Value),
new SqlParameter("@askOperand2Type", entity.AskOperand2Type.HasValue ? (object)entity.AskOperand2Type : DBNull.Value),
new SqlParameter("@askOperator2Type", entity.AskOperator2Type),
new SqlParameter("@askOperand3", entity.AskOperand3),
new SqlParameter("@bidOperand1Type", entity.BidOperand1Type),
new SqlParameter("@bidOperator1Type", entity.BidOperator1Type.HasValue ? (object)entity.BidOperator1Type : DBNull.Value),
new SqlParameter("@bidOperand2Type", entity.BidOperand2Type.HasValue ? (object)entity.BidOperand2Type: DBNull.Value),
new SqlParameter("@bidOperator2Type", entity.BidOperator2Type),
new SqlParameter("@bidOperand3", entity.BidOperand3),
new SqlParameter("@lastOperand1Type", entity.LastOperand1Type),
new SqlParameter("@lastOperator1Type", entity.LastOperator1Type.HasValue ? (object)entity.LastOperator1Type : DBNull.Value),
new SqlParameter("@lastOperand2Type", entity.LastOperand2Type.HasValue ? (object)entity.LastOperand2Type : DBNull.Value),
new SqlParameter("@lastOperator2Type", entity.LastOperator2Type),
new SqlParameter("@lastOperand3", entity.LastOperand3));
}
public void Add(DerivativeRelation derivativeRelation)
{
this._Instruments.Single(i => i.Id == derivativeRelation.Id).VmDerivativeRelation = new VmDerivativeRelation(derivativeRelation);
}
public void Add(DerivativeRelation derivativeRelation)
{
this._Instruments.Single(i => i.Id == derivativeRelation.Id).VmDerivativeRelation = new VmDerivativeRelation(derivativeRelation);
}
public VmDerivativeRelation(DerivativeRelation derivativeRelation)
: base(derivativeRelation)
{
this._DerivativeRelation = derivativeRelation;
}
internal static void GetQuotationMetadata(
Dictionary<string, QuotationSource> quotationSources,
Dictionary<int, Instrument> instruments,
//Dictionary<int, Dictionary<int, InstrumentSourceRelation>> instrumentSourceRelations,
Dictionary<int, Dictionary<string, InstrumentSourceRelation>> instrumentSourceRelations,
Dictionary<int, DerivativeRelation> derivativeRelations,
Dictionary<int, PriceRangeCheckRule> priceRangeCheckRules,
Dictionary<int, WeightedPriceRule> weightedPriceRules,
Dictionary<int, GeneralQuotation> lastQuotations
)
{
string sql = "dbo.GetInitialDataForQuotationManager";
DataAccess.GetInstance().ExecuteReader(sql, CommandType.StoredProcedure, delegate(SqlDataReader reader)
{
while (reader.Read())
{
QuotationSource quotationSource = new QuotationSource();
quotationSource.Id = (int)reader["Id"];
quotationSource.Name = (string)reader["Name"];
quotationSource.AuthName = (string)reader["AuthName"];
quotationSource.Password = (string)reader["Password"];
quotationSources.Add(quotationSource.Name, quotationSource);
}
reader.NextResult();
while (reader.Read())
{
Instrument instrument = new Instrument();
instrument.Id = (int)reader["Id"];
instrument.Code = (string)reader["Code"];
instrument.AdjustPoints = (int)reader["AdjustPoints"];
instrument.AdjustIncrement = (int)reader["AdjustIncrement"];
instrument.DecimalPlace = (int)reader["DecimalPlace"];
instrument.IsDerivative = (bool)reader["IsDerivative"];
instrument.InactiveTime = reader["InactiveTime"] == DBNull.Value ? null : (int?)reader["InactiveTime"];
instrument.UseWeightedPrice = reader["UseWeightedPrice"] == DBNull.Value ? null : (bool?)reader["UseWeightedPrice"];
instrument.IsSwitchUseAgio = reader["IsSwitchUseAgio"] == DBNull.Value ? null : (bool?)reader["IsSwitchUseAgio"];
instrument.AgioSeconds = reader["AgioSeconds"] == DBNull.Value ? null : (int?)reader["AgioSeconds"];
instrument.LeastTicks = reader["LeastTicks"] == DBNull.Value ? null : (int?)reader["LeastTicks"];
instrument.IsActive = true;
instruments.Add(instrument.Id, instrument);
}
reader.NextResult();
while (reader.Read())
{
InstrumentSourceRelation relation = new InstrumentSourceRelation();
relation.Id = (int)reader["Id"];
relation.SourceId = (int)reader["SourceId"];
relation.SourceSymbol = (string)reader["SourceSymbol"];
relation.InstrumentId = (int)reader["InstrumentId"];
relation.Inverted = (bool)reader["Inverted"];
relation.IsActive = (bool)reader["IsActive"];
relation.IsDefault = (bool)reader["IsDefault"];
relation.Priority = (int)reader["Priority"];
relation.SwitchTimeout = (int)reader["SwitchTimeout"];
relation.AdjustPoints = (int)reader["AdjustPoints"];
relation.AdjustIncrement = (int)reader["AdjustIncrement"];
//Dictionary<int, InstrumentSourceRelation> sources;
//if (!instrumentSourceRelations.TryGetValue(relation.InstrumentId, out sources))
//{
// sources = new Dictionary<int, InstrumentSourceRelation>();
// instrumentSourceRelations.Add(relation.InstrumentId, sources);
//}
//sources.Add(relation.SourceId, relation);
Dictionary<string, InstrumentSourceRelation> relations;
if (!instrumentSourceRelations.TryGetValue(relation.SourceId, out relations))
{
relations = new Dictionary<string, InstrumentSourceRelation>();
instrumentSourceRelations.Add(relation.SourceId, relations);
}
relations.Add(relation.SourceSymbol, relation);
}
reader.NextResult();
while (reader.Read())
{
DerivativeRelation derivativeRelation = new DerivativeRelation();
derivativeRelation.Id = (int)reader["InstrumentId"];
derivativeRelation.UnderlyingInstrument1Id = (int)reader["UnderlyingInstrument1Id"];
derivativeRelation.UnderlyingInstrument1IdInverted = (bool)reader["UnderlyingInstrument1IdInverted"];
derivativeRelation.UnderlyingInstrument2Id = reader["UnderlyingInstrument2Id"] == DBNull.Value ? null : (int?)reader["UnderlyingInstrument2Id"];
derivativeRelation.AskOperand1Type = (OperandType)(byte)reader["AskOperand1Type"];
derivativeRelation.AskOperator1Type = reader["AskOperator1Type"] == DBNull.Value ? null : (OperatorType?)(byte)reader["AskOperator1Type"];
derivativeRelation.AskOperand2Type = reader["AskOperand2Type"] == DBNull.Value ? null : (OperandType?)(byte)reader["AskOperand2Type"];
derivativeRelation.AskOperator2Type = (OperatorType)(byte)reader["AskOperator2Type"];
derivativeRelation.AskOperand3 = (decimal)reader["AskOperand3"];
derivativeRelation.BidOperand1Type = (OperandType)(byte)reader["BidOperand1Type"];
derivativeRelation.BidOperator1Type = reader["BidOperator1Type"] == DBNull.Value ? null : (OperatorType?)(byte)reader["BidOperator1Type"];
derivativeRelation.BidOperand2Type = reader["BidOperand2Type"] == DBNull.Value ? null : (OperandType?)(byte)reader["BidOperand2Type"];
derivativeRelation.BidOperator2Type = (OperatorType)(byte)reader["BidOperator2Type"];
derivativeRelation.BidOperand3 = (decimal)reader["BidOperand3"];
derivativeRelation.LastOperand1Type = (OperandType)(byte)reader["LastOperand1Type"];
derivativeRelation.LastOperator1Type = reader["LastOperator1Type"] == DBNull.Value ? null : (OperatorType?)(byte)reader["LastOperator1Type"];
derivativeRelation.LastOperand2Type = reader["LastOperand2Type"] == DBNull.Value ? null : (OperandType?)(byte)reader["LastOperand2Type"];
derivativeRelation.LastOperator2Type = (OperatorType)(byte)reader["LastOperator2Type"];
derivativeRelation.LastOperand3 = (decimal)reader["LastOperand3"];
derivativeRelations.Add(derivativeRelation.Id, derivativeRelation);
}
reader.NextResult();
while (reader.Read())
{
PriceRangeCheckRule priceRangeCheckRule = new PriceRangeCheckRule();
priceRangeCheckRule.Id = (int)reader["InstrumentId"];
priceRangeCheckRule.DiscardOutOfRangePrice = (bool)reader["DiscardOutOfRangePrice"];
priceRangeCheckRule.OutOfRangeType = (OutOfRangeType)(byte)reader["OutOfRangeType"];
priceRangeCheckRule.ValidVariation = (int)reader["ValidVariation"];
priceRangeCheckRule.OutOfRangeWaitTime = (int)reader["OutOfRangeWaitTime"];
priceRangeCheckRule.OutOfRangeCount = (int)reader["OutOfRangeCount"];
priceRangeCheckRules.Add(priceRangeCheckRule.Id, priceRangeCheckRule);
}
reader.NextResult();
while(reader.Read())
{
WeightedPriceRule weightedPriceRule = new WeightedPriceRule();
weightedPriceRule.Id = (int)reader["InstrumentId"];
weightedPriceRule.Multiplier = (decimal)reader["Multiplier"];
weightedPriceRule.AskAskWeight = (int)reader["AskAskWeight"];
weightedPriceRule.AskBidWeight = (int)reader["AskBidWeight"];
weightedPriceRule.AskLastWeight = (int)reader["AskLastWeight"];
weightedPriceRule.BidAskWeight = (int)reader["BidAskWeight"];
weightedPriceRule.BidBidWeight = (int)reader["BidBidWeight"];
weightedPriceRule.BidLastWeight = (int)reader["BidLastWeight"];
weightedPriceRule.LastAskWeight = (int)reader["LastAskWeight"];
weightedPriceRule.LastBidWeight = (int)reader["LastBidWeight"];
weightedPriceRule.LastLastWeight = (int)reader["LastLastWeight"];
weightedPriceRule.AskAverageWeight = (int)reader["AskAverageWeight"];
weightedPriceRule.BidAverageWeight = (int)reader["BidAverageWeight"];
weightedPriceRule.LastAverageWeight = (int)reader["LastAverageWeight"];
weightedPriceRule.AskAdjust = (decimal)reader["AskAdjust"];
weightedPriceRule.BidAdjust = (decimal)reader["BidAdjust"];
weightedPriceRule.LastAdjust = (decimal)reader["LastAdjust"];
weightedPriceRules.Add(weightedPriceRule.Id, weightedPriceRule);
}
reader.NextResult();
while (reader.Read())
{
GeneralQuotation lastQuotation = new GeneralQuotation();
lastQuotation.SourceId = (int)reader["SourceId"];
lastQuotation.InstrumentId = (int)reader["InstrumentId"];
lastQuotation.Timestamp = (DateTime)reader["Timestamp"];
lastQuotation.Ask = (double)reader["Ask"];
lastQuotation.Bid = (double)reader["Bid"];
lastQuotation.Last = reader["Last"] == DBNull.Value ? null : (double?)reader["Last"];
lastQuotation.High = reader["High"] == DBNull.Value ? null : (double?)reader["High"];
lastQuotation.Low = reader["Low"] == DBNull.Value ? null : (double?)reader["Low"];
lastQuotations.Add(lastQuotation.InstrumentId, lastQuotation);
}
});
}
public void AddMetadataObject(DerivativeRelation derivativeRelation)
{
this._ConfigMetadata.DerivativeRelations.Add(derivativeRelation.Id, derivativeRelation);
}
private GeneralQuotation Derive(GeneralQuotation quotation, DerivativeRelation relation)
{
GeneralQuotation quotation1, quotation2 = null;
if (quotation.InstrumentId == relation.UnderlyingInstrument1Id)
{
quotation1 = quotation;
if (relation.UnderlyingInstrument2Id.HasValue)
{
if (!this._LastQuotationManager.LastAccepted.TryGetLastQuotation(relation.UnderlyingInstrument2Id.Value, out quotation2))
{
Logger.AddEvent(TraceEventType.Warning, "DerivativeController.Derive can not get Last quotation by instrumentId:{0}", relation.UnderlyingInstrument2Id.Value);
return null;
}
}
}
else
{
quotation2 = quotation;
if (!this._LastQuotationManager.LastAccepted.TryGetLastQuotation(relation.UnderlyingInstrument1Id, out quotation1))
{
Logger.AddEvent(TraceEventType.Warning, "DerivativeController.Derive can not get Last quotation by instrumentId:{0}", relation.UnderlyingInstrument1Id);
return null;
}
}
GeneralQuotation GeneralQuotation = new GeneralQuotation { InstrumentId = relation.Id, SourceId = quotation.SourceId, Timestamp = quotation.Timestamp };
double price;
if (this.TryGetPrice(relation.AskOperand1Type, relation.AskOperator1Type,
relation.AskOperand2Type, relation.AskOperator2Type,
(double)relation.AskOperand3,
relation, GeneralQuotation, quotation1, quotation2, out price))
{
GeneralQuotation.Ask = price;
}
else
{
return null;
}
if (this.TryGetPrice(relation.BidOperand1Type, relation.BidOperator1Type,
relation.BidOperand2Type, relation.BidOperator2Type,
(double)relation.BidOperand3,
relation, GeneralQuotation, quotation1, quotation2, out price))
{
GeneralQuotation.Bid = price;
}
else
{
return null;
}
if (this.TryGetPrice(relation.LastOperand1Type, relation.LastOperator1Type,
relation.LastOperand2Type, relation.LastOperator2Type,
(double)relation.LastOperand3,
relation, GeneralQuotation, quotation1, quotation2, out price))
{
GeneralQuotation.Last = price;
}
else
{
GeneralQuotation.Last = null;
}
return GeneralQuotation;
}
private bool TryGetPrice(OperandType operand1Type, OperatorType? operator1Type, OperandType? operand2Type, OperatorType operator2Type, double operand3,
DerivativeRelation relation, GeneralQuotation GeneralQuotation, GeneralQuotation quotation1, GeneralQuotation quotation2, out double price)
{
price = 0;
// operand1
switch (operand1Type)
{
case OperandType.Ask:
price = relation.UnderlyingInstrument1IdInverted ? 1 / quotation1.Ask : quotation1.Ask;
break;
case OperandType.Bid:
price = relation.UnderlyingInstrument1IdInverted ? 1 / quotation1.Bid : quotation1.Bid;
break;
case OperandType.Last:
if (quotation1.Last.HasValue)
{
price = relation.UnderlyingInstrument1IdInverted ? 1 / quotation1.Last.Value : quotation1.Last.Value;
}
else
{
Logger.AddEvent(TraceEventType.Warning, "DerivativeController.Derive operand1 quotation1.Last==null quotation1.instrumentId:{0}", quotation1.InstrumentId);
return false;
}
break;
default:
Logger.AddEvent(TraceEventType.Warning, "DerivativeController.Derive operand1 operand1Type is Invalid, relation.instrumentId:{0}, operand1Type:{1}",
relation.Id, operand1Type);
return false;
}
if (quotation2 != null && operator1Type.HasValue)
{
// operand2
double operand2;
switch (operand2Type.Value)
{
case OperandType.Ask:
operand2 = quotation2.Ask;
break;
case OperandType.Bid:
operand2 = quotation2.Bid;
break;
case OperandType.Last:
if (quotation1.Last.HasValue)
{
operand2 = quotation2.Last.Value;
}
else
{
Logger.AddEvent(TraceEventType.Warning, "DerivativeController.Derive operand2 quotation1.Last==null, quotation2.instrumentId:{0}", quotation2.InstrumentId);
return false;
}
break;
default:
Logger.AddEvent(TraceEventType.Warning, "DerivativeController.Derive operand2Type is Invalid, relation.instrumentId:{0}, operand2Type:{1}",
relation.Id, operand2Type);
return false;
}
if (operator1Type.Value == OperatorType.Multiply)
{
price *= operand2;
}
else
{
price /= operand2;
}
}
// operand3
if (operator2Type == OperatorType.Multiply)
{
price *= operand3;
}
else
{
price /= operand3;
}
return true;
}
