public void CorrectlyCalculatesUltraTBondFuturesExpirationDates()
{
//Seventh business day preceding the last business day of the delivery month.
//Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
var ub = new UnderlyingSymbol();
ub.Rule = new ExpirationRule
{
DaysBefore = 7,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceDayIsLastBusinessDayOfMonth = true
};
DateTime dec13Expiration = ub.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 19), dec13Expiration);
DateTime mar14Expiration = ub.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 20), mar14Expiration);
DateTime jun14Expiration = ub.ExpirationDate(2014, 6);
Assert.AreEqual(new DateTime(2014, 6, 19), jun14Expiration);
DateTime sep14Expiration = ub.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 19), sep14Expiration);
}
public void CorrectlyCalculatesESFuturesExpirationDates()
{
//Trading can occur up to 8:30 a.m. on the 3rd Friday of the contract month
var es = new UnderlyingSymbol();
es.Rule = new ExpirationRule
{
DaysBefore = 0,
DayType = DayType.Calendar,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceWeekDay = DayOfTheWeek.Friday,
ReferenceWeekDayCount = WeekDayCount.Third
};
DateTime dec13Expiration = es.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 20), dec13Expiration);
DateTime mar14Expiration = es.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 21), mar14Expiration);
DateTime jun14Expiration = es.ExpirationDate(2014, 6);
Assert.AreEqual(new DateTime(2014, 6, 20), jun14Expiration);
DateTime sep14Expiration = es.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 19), sep14Expiration);
DateTime dec14Expiration = es.ExpirationDate(2014, 12);
Assert.AreEqual(new DateTime(2014, 12, 19), dec14Expiration);
}
public void CorrectlyCalculatesGCFuturesExpirationDates()
{
//Trading terminates on the third last business day of the delivery month.
var ub = new UnderlyingSymbol();
ub.Rule = new ExpirationRule
{
DaysBefore = 2,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceDayIsLastBusinessDayOfMonth = true
};
DateTime dec13Expiration = ub.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 27), dec13Expiration);
DateTime jan14Expiration = ub.ExpirationDate(2014, 1);
Assert.AreEqual(new DateTime(2014, 1, 29), jan14Expiration);
DateTime feb14Expiration = ub.ExpirationDate(2014, 2);
Assert.AreEqual(new DateTime(2014, 2, 26), feb14Expiration);
DateTime mar14Expiration = ub.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 27), mar14Expiration);
DateTime apr14Expiration = ub.ExpirationDate(2014, 4);
Assert.AreEqual(new DateTime(2014, 4, 28), apr14Expiration);
}
public EditRootSymbolWindow(UnderlyingSymbol symbol)
{
InitializeComponent();
DataContext = this;
if (symbol == null)
{
TheSymbol = new UnderlyingSymbol
{
Rule = new ExpirationRule(),
ID = -1
};
ModifyBtn.Content = "Add";
}
else
{
_originalSymbol = symbol;
TheSymbol = (UnderlyingSymbol)symbol.Clone();
ModifyBtn.Content = "Modify";
}
//set the corrent radio box check
if (TheSymbol.Rule.ReferenceDayIsLastBusinessDayOfMonth)
{
LastBusinessDayRadioBtn.IsChecked = true;
}
else if (TheSymbol.Rule.ReferenceUsesDays)
{
DaysBasedRefCheckBox.IsChecked = true;
}
else
{
WeeksBasedRefCheckBox.IsChecked = true;
}
}
public ITypeInfo?GetType(string fullName)
{
INamedTypeSymbol?type = UnderlyingSymbol.GetTypeByMetadataName(fullName);
return(type is not null
? SymbolTypeInfo.CreateFrom(type, Compilation)
: null);
}
string ISymbol.GetDocumentationCommentXml(
CultureInfo preferredCulture,
bool expandIncludes,
CancellationToken cancellationToken
)
{
return(UnderlyingSymbol.GetDocumentationCommentXml(
preferredCulture,
expandIncludes,
cancellationToken
));
}
public IGeneric Close(params ITypeInfo[] genericArgs)
{
if (UnderlyingSymbol.ContainingType is not null)
{
throw new NotSupportedException(); // TODO: implementalni ha hasznalni kell majd
}
return((IGeneric)CreateFrom
(
UnderlyingSymbol.Construct
(
genericArgs.Select(ga => ga.ToSymbol(Compilation)).ToArray()
),
Compilation
));
}
public void CorrectlyCalculatesVIXFuturesExpirationDates()
{
//The Wednesday that is thirty days prior to the third Friday of the calendar month
//immediately following the month in which the contract expires ("Final Settlement Date").
//If the third Friday of the month subsequent to expiration of the applicable VIX futures
//contract is a CBOE holiday, the Final Settlement Date for the contract shall be thirty days
//prior to the CBOE business day immediately preceding that Friday.
var vix = new UnderlyingSymbol();
vix.Rule = new ExpirationRule
{
DaysBefore = 30,
DayType = DayType.Calendar,
ReferenceRelativeMonth = RelativeMonth.NextMonth,
ReferenceUsesDays = false,
ReferenceWeekDay = DayOfTheWeek.Friday,
ReferenceWeekDayCount = WeekDayCount.Third,
ReferenceDayMustBeBusinessDay = true
};
DateTime dec13Expiration = vix.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 18), dec13Expiration);
DateTime jan14Expiration = vix.ExpirationDate(2014, 1);
Assert.AreEqual(new DateTime(2014, 1, 22), jan14Expiration);
DateTime feb14Expiration = vix.ExpirationDate(2014, 2);
Assert.AreEqual(new DateTime(2014, 2, 19), feb14Expiration);
DateTime mar14Expiration = vix.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 18), mar14Expiration);
DateTime apr14Expiration = vix.ExpirationDate(2014, 4);
Assert.AreEqual(new DateTime(2014, 4, 16), apr14Expiration);
DateTime may14Expiration = vix.ExpirationDate(2014, 5);
Assert.AreEqual(new DateTime(2014, 5, 21), may14Expiration);
}
public IGenericTypeInfo Close(params ITypeInfo[] genericArgs)
{
if (UnderlyingSymbol.ContainingType is not null)
{
throw new NotSupportedException(); // TODO: implementalni ha hasznalni kell majd
}
ITypeSymbol[] gas = new ITypeSymbol[genericArgs.Length];
for (int i = 0; i < genericArgs.Length; i++)
{
gas[i] = genericArgs[i].ToSymbol(Compilation);
}
return((IGenericTypeInfo)CreateFrom
(
UnderlyingSymbol.Construct(gas),
Compilation
));
}
public void CorrectlyCalculatesCMEWheatFuturesExpirationDates()
{
//The business day prior to the 15th calendar day of the contract month.
var zw = new UnderlyingSymbol();
zw.Rule = new ExpirationRule
{
DaysBefore = 1,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = true,
ReferenceDays = 15
};
DateTime dec13Expiration = zw.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 13), dec13Expiration);
DateTime mar14Expiration = zw.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 14), mar14Expiration);
DateTime may14Expiration = zw.ExpirationDate(2014, 5);
Assert.AreEqual(new DateTime(2014, 5, 14), may14Expiration);
DateTime jul14Expiration = zw.ExpirationDate(2014, 7);
Assert.AreEqual(new DateTime(2014, 7, 14), jul14Expiration);
DateTime sep14Expiration = zw.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 12), sep14Expiration);
DateTime dec14Expiration = zw.ExpirationDate(2014, 12);
Assert.AreEqual(new DateTime(2014, 12, 12), dec14Expiration);
}
public void CorrectlyCalculatesCLFuturesExpirationDates()
{
//Trading in the current delivery month shall cease on the third business day prior to the
//twenty-fifth calendar day of the month preceding the delivery month. If the twenty-fifth
//calendar day of the month is a non-business day, trading shall cease on the third business
//day prior to the last business day preceding the twenty-fifth calendar day.
var cl = new UnderlyingSymbol();
cl.Rule = new ExpirationRule
{
DaysBefore = 3,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.PreviousMonth,
ReferenceUsesDays = true,
ReferenceDays = 25,
ReferenceDayMustBeBusinessDay = true
};
DateTime jan14Expiration = cl.ExpirationDate(2014, 1);
Assert.AreEqual(new DateTime(2013, 12, 19), jan14Expiration);
DateTime feb14Expiration = cl.ExpirationDate(2014, 2);
Assert.AreEqual(new DateTime(2014, 1, 21), feb14Expiration);
DateTime mar14Expiration = cl.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 2, 20), mar14Expiration);
DateTime apr14Expiration = cl.ExpirationDate(2014, 4);
Assert.AreEqual(new DateTime(2014, 3, 20), apr14Expiration);
DateTime may14Expiration = cl.ExpirationDate(2014, 5);
Assert.AreEqual(new DateTime(2014, 4, 22), may14Expiration);
}
public void CorrectlyCalculates6EFuturesExpirationDates()
{
//9:16 a.m. Central Time (CT) on the second business day immediately preceding
//the third Wednesday of the contract month (usually Monday).
var eur = new UnderlyingSymbol();
eur.Rule = new ExpirationRule
{
DaysBefore = 2,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceWeekDay = DayOfTheWeek.Wednesday,
ReferenceWeekDayCount = WeekDayCount.Third
};
DateTime dec13Expiration = eur.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 16), dec13Expiration);
DateTime mar14Expiration = eur.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 17), mar14Expiration);
DateTime jun14Expiration = eur.ExpirationDate(2014, 6);
Assert.AreEqual(new DateTime(2014, 6, 16), jun14Expiration);
DateTime sep14Expiration = eur.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 15), sep14Expiration);
DateTime dec14Expiration = eur.ExpirationDate(2014, 12);
Assert.AreEqual(new DateTime(2014, 12, 15), dec14Expiration);
}
public bool IsFriend(string asmName) => StringComparer.OrdinalIgnoreCase.Equals(UnderlyingSymbol.Name, asmName) || UnderlyingSymbol.GivesAccessTo // TODO: strong name support
(
CSharpCompilation.Create(asmName).Assembly
);
public sealed override int GetHashCode()
{
return(UnderlyingSymbol.GetHashCode());
}
string ISymbol.GetDocumentationCommentId()
{
return(UnderlyingSymbol.GetDocumentationCommentId());
}
ImmutableArray <AttributeData> ISymbol.GetAttributes()
{
return(StaticCast <AttributeData> .From(UnderlyingSymbol.GetAttributes()));
}
protected bool Equals(Symbol other, CodeAnalysis.SymbolEqualityComparer equalityComparer)
{
return(other is object && UnderlyingSymbol.Equals(other.UnderlyingSymbol, equalityComparer.CompareKind));
}
public UnderlyingSymbolsViewModel(IDataClient client, IDialogCoordinator dialogCoordinator)
{
UnderlyingSymbols = new ObservableCollection <UnderlyingSymbolViewModel>();
//Load the symbols
Load = ReactiveCommand.CreateFromTask(async _ =>
{
var result = await client.GetUnderlyingSymbols();
if (await result.DisplayErrors(this, dialogCoordinator))
{
return(null);
}
return(result.Result);
});
Load.Subscribe(symbols =>
{
if (symbols == null)
{
return;
}
foreach (var vm in symbols.Select(x => new UnderlyingSymbolViewModel(x)))
{
UnderlyingSymbols.Add(vm);
}
});
//Add
Add = ReactiveCommand.CreateFromTask(async _ =>
{
var symbolName = await dialogCoordinator.ShowInputAsync(this, "Symbol Name", "Enter new symbol name");
if (string.IsNullOrEmpty(symbolName))
{
return(null);
}
var newSymbol = new UnderlyingSymbol {
Symbol = symbolName, Rule = new ExpirationRule()
};
var response = await client.AddUnderlyingSymbol(newSymbol);
if (await response.DisplayErrors(this, dialogCoordinator))
{
return(null);
}
return(response.Result);
});
Add.Where(x => x != null)
.Subscribe(underlyingSymbol =>
{
var vm = new UnderlyingSymbolViewModel(underlyingSymbol);
UnderlyingSymbols.Add(vm);
SelectedSymbol = vm;
});
//Delete
var deleteCanExecute = this
.WhenAnyValue(x => x.SelectedSymbol)
.Select(x => x != null);
Delete = ReactiveCommand.CreateFromTask(async _ =>
{
var sureDelete = await dialogCoordinator.ShowMessageAsync(this, "Delete",
$"Are you sure you want to delete {SelectedSymbol.Symbol}?", MessageDialogStyle.AffirmativeAndNegative);
if (sureDelete == MessageDialogResult.Negative)
{
return;
}
var response = await client.DeleteUnderlyingSymbol(SelectedSymbol.Model);
if (await response.DisplayErrors(this, dialogCoordinator))
{
return;
}
UnderlyingSymbols.Remove(SelectedSymbol);
SelectedSymbol = null;
},
deleteCanExecute);
//Save
var saveCanExecute = this
.WhenAnyValue(x => x.SelectedSymbol, x => x.SelectedSymbolHasErrors, (symbol, hasError) => new { symbol, hasError })
.Select(x => x.symbol != null && x.hasError == false);
Save = ReactiveCommand.CreateFromTask(async _ =>
{
var response = await client.UpdateUnderlyingSymbol(SelectedSymbol.Model);
await response.DisplayErrors(this, dialogCoordinator);
},
saveCanExecute);
}
/// <summary>
/// Delete an underlying symbol
/// </summary>
public async Task <ApiResponse <UnderlyingSymbol> > DeleteUnderlyingSymbol(UnderlyingSymbol symbol) =>
await _apiClient.DeleteAsync <UnderlyingSymbol>($"/underlyingsymbols/{symbol?.ID}").ConfigureAwait(false);
/// <summary>
/// Update an existing underlying symbol
/// </summary>
public async Task <ApiResponse <UnderlyingSymbol> > UpdateUnderlyingSymbol(UnderlyingSymbol symbol) =>
await _apiClient.PutAsync <UnderlyingSymbol>("/underlyingsymbols", symbol).ConfigureAwait(false);
/// <remarks>
/// Used only for testing.
/// </remarks>
public override string ToString()
{
return(UnderlyingSymbol.ToDisplayString(SymbolDisplayFormat.ILVisualizationFormat));
}
public UnderlyingSymbolModule(IMyDbContext context) : base("/underlyingsymbols")
{
this.RequiresAuthentication();
var dbSet = context.Set <UnderlyingSymbol>();
Get("/", _ => dbSet.ToList());
Get("/{Id:int}", parameters =>
{
var id = (int)parameters.Id;
var exchange = dbSet.FirstOrDefault(x => x.ID == id);
if (exchange == null)
{
return(HttpStatusCode.NotFound);
}
return(exchange);
});
Put("/", _ =>
{
UnderlyingSymbol newValues = this.BindAndValidate <UnderlyingSymbol>();
if (ModelValidationResult.IsValid == false)
{
return(this.ValidationFailure());
}
//make sure the exchange we want to update exists
var symbol = dbSet.FirstOrDefault(x => x.ID == newValues.ID);
if (symbol == null)
{
return(HttpStatusCode.NotFound);
}
//update values on the exchange
context.UpdateEntryValues(symbol, newValues);
context.SaveChanges();
return(symbol);
});
Post("/", _ =>
{
UnderlyingSymbol symbol = this.BindAndValidate <UnderlyingSymbol>();
if (ModelValidationResult.IsValid == false)
{
return(this.ValidationFailure());
}
dbSet.Add(symbol);
context.SaveChanges();
//return the object with the id after inserting
return(symbol);
});
Delete("/{Id:int}", parameters =>
{
int id = parameters.Id;
var symbol = dbSet.FirstOrDefault(x => x.ID == id);
if (symbol == null)
{
return(HttpStatusCode.NotFound);
}
var symbolReferenced = context.Set <ContinuousFuture>().Any(x => x.UnderlyingSymbolID == id);
if (symbolReferenced)
{
return(Negotiate
.WithModel(new ErrorResponse(
HttpStatusCode.Conflict,
"Can't delete this underlying symbol because it has continuous futures assigned to it.", ""))
.WithStatusCode(HttpStatusCode.Conflict));
}
dbSet.Remove(symbol);
context.SaveChanges();
return(symbol);
});
}
public bool IsFriend(string asmName) => UnderlyingSymbol.Name == asmName || UnderlyingSymbol.GivesAccessTo // TODO: strong name support
(
CSharpCompilation.Create(asmName).Assembly
);
