internal Trade FindRepoTrade(MLPRepoInfo repoInfo)
{
if (repoInfo.DealId > 0)
{
var allTrades = Env.Current.Trade.GetTradesByPropertyLike(sMurexTradeIdProperty, repoInfo.DealId.ToString());
foreach (var trade in allTrades)
{
if (trade.GetProperty(sMurexTradeIdProperty) == repoInfo.DealId.ToString() && trade.Status != "Canceled")
{
return trade;
}
}
}
return null;
}
public IList<Trade> Import(Stream stream, Market market, IList<Exception> exceps)
{
mRepoTemplate = Env.Current.StaticData.GetTemplate(Template.Shared, "Repo", sMLPRepoTemplate);
mMarket = new Market()
{
Setup = Env.Current.MarketData.GetPricingSetup("Symmetry"),
Time = DateTime.Now
};
if (mRepoTemplate == null)
{
throw new Exception("Unable to find repo template for booking: " + sMLPRepoTemplate);
}
var trades = new List<Trade>();
try
{
var dict = new Dictionary<long, MLPRepoInfo>();
using (var parser = new TextFieldParser(stream))
{
parser.SetDelimiters(Separator.ToString());
var headers = new Dictionary<string, int>();
var titles = parser.ReadFields();
var idx = 0;
if (titles == null)
{
exceps.Add(new Exception("Header line not found"));
return trades;
}
foreach (var s in titles) headers[s] = idx++;
while (!parser.EndOfData)
{
try
{
var items = parser.ReadFields();
string skipReason = null;
MLPRepoInfo repoInfo = new MLPRepoInfo(items, headers, out skipReason);
if (!repoInfo.IsValid)
{
exceps.Add(new Exception("Not a valid Repo trade: " + repoInfo.DealId));
continue;
}
if (repoInfo.Skip)
{
Logger.Warn("Repo " + repoInfo.DealId + " is skipped. " + skipReason);
continue;
}
var repoTrade = GetOrCreateRepo(repoInfo, exceps);
if (repoTrade != null)
{
trades.Add(repoTrade);
}
}
catch (Exception ex)
{
exceps.Add(ex);
}
}
}
}
catch (Exception ex)
{
exceps.Add(ex);
}
return trades;
}
internal Trade GetOrCreateRepo(MLPRepoInfo repoInfo, IList<Exception> exceps)
{
try
{
var trade = FindRepoTrade(repoInfo);
var templateProvider = mRepoTemplate.Provider as RepoTemplateProvider;
String dealStatus = repoInfo.DealStatus ?? "";
if (trade == null)
{
trade = new Trade();
mRepoTemplate.Apply(trade, SimpleDate.Today, mMarket);
templateProvider.FillTrade(trade, mMarket);
trade.Status = "New";
trade.Action = "Create";
}
else if(dealStatus.Equals("Cancel", StringComparison.InvariantCultureIgnoreCase))
{
trade.Action = "Cancel";
Logger.Info(String.Format("Cancelling trade MX ID {0} Orchestrade ID {1}",
repoInfo.DealId, trade.Id)
);
}
else
{
trade.Action = "UpdateRef";
}
//Only set trade properties for non-Cancelled trades
if (!trade.Action.Equals("Cancel", StringComparison.InvariantCultureIgnoreCase))
{
var book = Env.Current.StaticData.GetPartyByCode(repoInfo.BookName);
if (book == null)
{
throw new Exception(String.Format("Unable to find book {0} to book repo MXID {1}!", repoInfo.BookName, repoInfo.DealId));
}
var portfolio = book.GetProperty("Portfolio");
if (portfolio != repoInfo.Portfolio)
{
throw new Exception(String.Format("Portfolio name mismatch: {0} vs {1} on repo MX ID {2}!", repoInfo.Portfolio, portfolio, repoInfo.DealId));
}
trade.BookId = book.Id;
trade.TradingDay = repoInfo.TradeDate;
trade.TradeTime = repoInfo.InsertGMT;
// trade.SettlementDate = repoInfo.SettlementDate;
trade.SettleCurrency = repoInfo.CurrencyOfTrade;
var repo = trade.Product as Repo;
var product = Env.Current.Trade.GetProductByCode(repoInfo.SecurityType, repoInfo.Security);
if (product == null)
{
throw new Exception(String.Format("Unable to find product with {0} = {1} to book MX ID {2}", repoInfo.SecurityType, repoInfo.Security, repoInfo.DealId));
}
var templateFields = templateProvider.Fields(trade).ToDictionary(f => f.FieldName, f => f);
RepoTemplateProvider.SetSecurity(trade, mMarket, repo, product);
repo.Collaterals[0].PriceType = QuotationType.CleanPrice;
repo.Collaterals[0].SettleCurrency = product.Currency;
var allValues = new Dictionary<string, string>();
var shownFields = new List<TemplateField>();
// note: load open repos as overnights (open repos keep reappearing on MLP's report evey day until they are terminated)
templateProvider.SetFieldValue(trade, templateFields["Currency"], repoInfo.CurrencyOfTrade, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["Nominal"], repoInfo.CurrentFace, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["RepoType"], (repoInfo.IsReverse ? RepoType.ReverseRepo : RepoType.Repo), shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["Duration"], /*(repoInfo.OpenRepo ? RepoDuration.Overnight : */RepoDuration.Term, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["Trade Price"], repoInfo.StartCleanPrice * 0.01, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["Haircut"], (100 - repoInfo.Haircut) * 0.01, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["HairCutType"], "DirtyPrice", shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["Rate"], repoInfo.RepoRate * 0.01, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["Currency"], repoInfo.CurrencyOfTrade, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["Is Fixed"], "true"/*(repoInfo.VariableRate ? "false" : "true")*/, shownFields, mMarket, SimpleDate.Today, allValues);
if (!repoInfo.OpenRepo)
{
templateProvider.SetFieldValue(trade, templateFields["StartDate"], repoInfo.StartDate.ToDateTime(), shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["EndDate"], repoInfo.EndDate.ToDateTime(), shownFields, mMarket, SimpleDate.Today, allValues);
}
else
{
// open repos are split into daily repos on MLP reports but there is no link to the original repo, so we have to guess the effective dates
var calendar = CalendarHelper.Get("WE"); // MLP repo follow NY calendar
var startDate = _effectiveTime.Date; // default T0 open repo allocation
if (repoInfo.StartDate.ToDateTime() > startDate) // sometimes we get a forward open repo
{
startDate = repoInfo.StartDate.ToDateTime();
}
var endDate = new SimpleDate(startDate).NextBusinessDay(calendar).ToDateTime();
templateProvider.SetFieldValue(trade, templateFields["StartDate"], startDate, shownFields, mMarket, SimpleDate.Today, allValues);
templateProvider.SetFieldValue(trade, templateFields["EndDate"], endDate, shownFields, mMarket, SimpleDate.Today, allValues);
}
repo.Cash.Leg.PaymentMarketPlaces = "WE";
templateProvider.FillTrade(trade, mMarket);
TradeEnrichHelper.Enrich(trade, "Repo");
trade.Source = "SymmetryMLPRepoImport";
trade.SetProperty(sMurexTradeIdProperty, repoInfo.DealId.ToString());
trade.SetProperty("TemplateName", sMLPRepoTemplate);
Logger.Info("Creating trade MX ID " + repoInfo.DealId);
}
//Env.Current.Trade.SaveTrade(trade); - will be saved by OT
return trade;
}
catch (Exception ex)
{
exceps.Add(ex);
return null;
}
}