public string GetBoxedPosition()
{
string[] colNames = new[] { "TRADER", "SYMBOL", "QUANTITY" };
var groupedLongPosition = LongPositions.GroupBy(r => new { r.Trader, r.Symbol })
.Select(grp => new
{
grp.Key,
Qty = grp.Sum(r => r.Qty)
}).ToList();
var groupedShortPosition = ShortPositions.GroupBy(r => new { r.Trader, r.Symbol })
.Select(grp => new
{
grp.Key,
Qty = Math.Abs(grp.Sum(r => r.Qty))
}).ToList();
var result = (from lP in groupedLongPosition
join sP in groupedShortPosition on lP.Key equals sP.Key
select new
{
lP.Key.Trader,
lP.Key.Symbol,
Qty = Min(lP.Qty, sP.Qty)
}).Select(r => r.Trader + "," + r.Symbol + "," + r.Qty).ToList();
return(string.Join(",", colNames) + Environment.NewLine + string.Join(Environment.NewLine, result));
}
internal void AddPosition(Position pos)
{//build position collections incrementally
if (pos.TradeType == TradeType.Buy)
{
LongPositions.Add(pos);
}
else
{
ShortPositions.Add(pos);
}
}
public DataFile(string fileName) : this()
{
using (var streamReader = new StreamReader(fileName))
{
streamReader.ReadLine();//skip first line
while (streamReader.Peek() >= 0)
{
var traderPosition = new TraderPosition(streamReader.ReadLine());
TraderPositions.Add(traderPosition);
if (traderPosition.Qty >= 0)
{
LongPositions.Add(traderPosition);
}
else
{
ShortPositions.Add(traderPosition);
}
}
}
}
internal void UpdateAll()
{
foreach (var pos in CompositePositions)
{
//in case CompositePositions is null such as when building via AddPosition()
if (CompositePositions == null)
{
CompositePositions =
(List <Position>)ShortPositions.Concat(LongPositions);
}
//all positions in compositePositions list should be of same symbol
if (this.Symbol == null)
{
this.Symbol = pos.SymbolCode;
}
if (this.Symbol != pos.SymbolCode)
{
throw
new InvalidOperationException("symbol mismatch in compositePos. list");
}
//add pos to approp. list, sum vol & avg. prc.
if (pos.TradeType == TradeType.Buy)
{
LongPositions.Add(pos);
LongExposureVol += pos.Volume;
VolWdEntryPrcLong += pos.EntryPrice * (double)pos.Volume;
}
else
{
ShortPositions.Add(pos);
ShortExposureVol += pos.Volume;
VolWdEntryPrcShort += pos.EntryPrice * (double)pos.Volume;
}
//foreach
}
VolWdEntryPrcLong /= LongExposureVol;
VolWdEntryPrcShort /= ShortExposureVol;
//UpdateAll()
}
