private decimal?GetLocalLastPriorPositionPrice(Instrument inst, out decimal fxRate, out DateTime date)
{
var pos = Context.PriorPositions.Where(x => x.InstrumentID == inst.ID).OrderByDescending(x => x.Date).FirstOrDefault();
if (pos == null)
{
_logger.Log(LogLevel.Error, "Could not find any local data on instrument " + inst.ToString());
fxRate = 1;
date = DateTime.Now;
return(null);
}
fxRate = pos.FXRateToBase;
date = pos.Date;
return(pos.Price);
}
private decimal? GetLocalLastPriorPositionPrice(Instrument inst, out decimal fxRate, out DateTime date)
{
var pos = Context.PriorPositions.Where(x => x.InstrumentID == inst.ID).OrderByDescending(x => x.Date).FirstOrDefault();
if (pos == null)
{
_logger.Log(LogLevel.Error, "Could not find any local data on instrument " + inst.ToString());
fxRate = 1;
date = DateTime.Now;
return null;
}
fxRate = pos.FXRateToBase;
date = pos.Date;
return pos.Price;
}
private decimal?GetLocalLastFxRatePrice(Instrument instrument, out decimal fxRate, out DateTime date)
{
if (instrument.AssetCategory != AssetClass.Cash)
{
throw new Exception("Wrong asset class.");
}
fxRate = 1;
string[] splitSymbol = instrument.Symbol.Split(".".ToCharArray());
string fxCurrencyName = splitSymbol[0] == "USD" ? splitSymbol[1] : splitSymbol[0];
var currency = Context.Currencies.FirstOrDefault(x => x.Name == fxCurrencyName);
if (currency == null)
{
throw new Exception(string.Format("Currency {0} not found.", fxCurrencyName));
}
//Some currencies are in the format X.USD, others in format USD.X
//The latter need to be inverted because all fx rates are given in X.USD
bool invert = splitSymbol[0] == "USD";
var price =
Context
.FXRates
.Where(x => x.FromCurrencyID == currency.ID)
.OrderByDescending(x => x.Date)
.FirstOrDefault();
if (price == null)
{
_logger.Log(LogLevel.Error, "Could not find any local data on instrument " + instrument.ToString());
date = DateTime.Now;
return(null);
}
date = price.Date;
return(invert ? 1m / price.Rate : price.Rate);
}
private decimal? GetLocalLastFxRatePrice(Instrument instrument, out decimal fxRate, out DateTime date)
{
if (instrument.AssetCategory != AssetClass.Cash) throw new Exception("Wrong asset class.");
fxRate = 1;
string[] splitSymbol = instrument.Symbol.Split(".".ToCharArray());
string fxCurrencyName = splitSymbol[0] == "USD" ? splitSymbol[1] : splitSymbol[0];
var currency = Context.Currencies.FirstOrDefault(x => x.Name == fxCurrencyName);
if (currency == null) throw new Exception(string.Format("Currency {0} not found.", fxCurrencyName));
//Some currencies are in the format X.USD, others in format USD.X
//The latter need to be inverted because all fx rates are given in X.USD
bool invert = splitSymbol[0] == "USD";
var price =
Context
.FXRates
.Where(x => x.FromCurrencyID == currency.ID)
.OrderByDescending(x => x.Date)
.FirstOrDefault();
if (price == null)
{
_logger.Log(LogLevel.Error, "Could not find any local data on instrument " + instrument.ToString());
date = DateTime.Now;
return null;
}
date = price.Date;
return invert ? 1m / price.Rate : price.Rate;
}
