/// <summary>
/// Recursively calculates proposed orders for a sector.
/// </summary>
/// <param name="sector">Gives the current sector (sector) for the calculation.</param>
private static void RecurseSectors(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction, ClientMarketData.ModelRow modelRow,
AppraisalSet.SectorRow driverSector, decimal actualSectorMarketValue, decimal targetSectorMarketValue)
{
// The main idea here is to keep the ratio of the security to the sector constant, while changing the market
// value of the sector. Scan each of the securities belonging to this sector.
foreach (AppraisalSet.ObjectTreeRow objectTreeRow in
driverSector.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
// Cycle through each of the securities in the sector. We're going to keep the ratio of the security the
// same as we target a different sector total.
foreach (AppraisalSet.SecurityRow driverSecurity in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
// We need to reference the security record for calculating proposed orders and the market value
// of the trade.
ClientMarketData.SecurityRow securityRow =
ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// In this rebalancing operation, the cash balance is dependant on the securities bought and
// sold. When stocks are bought or sold below, they will impact the underlying currency. A cash
// target can be reached by setting all the other percentages up properly. As long as the total
// percentage in a model is 100%, the proper cash target will be calculated. We don't have to do
// anything with this asset type.
if (securityRow.SecurityTypeCode == SecurityType.Currency)
{
continue;
}
// The ratio of the security within the sector will stay constant, even though the sector may
// increase or decrease with the target in the model. Note that there's only one account in the
// 'Accounts' table of the driver because this is a 'Wrap' operation.
foreach (AppraisalSet.AccountRow driverAccount in driverPosition.GetAccountRows())
{
// Find the account associated with the driver record.
ClientMarketData.AccountRow accountRow =
ClientMarketData.Account.FindByAccountId(driverAccount.AccountId);
// The market value of all the securities are normalized to the base currency of the account
// so they can be aggregated.
ClientMarketData.CurrencyRow currencyRow =
ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Sector rebalancing keeps the percentage of a security within the sector constant. Only the
// overall percentage of the sector with respect to the NAV changes. The first step in this
// rebalancing operation is to calculate the market value of the given position.
decimal actualPositionMarketValue = MarketValue.Calculate(currencyRow, accountRow,
securityRow, driverPosition.PositionTypeCode, MarketValueFlags.EntirePosition);
// The target market value operation keeps the percentage of the position constant while
// changing the overall sector percentage.
decimal targetPositionMarketValue = (actualSectorMarketValue == 0) ? 0.0M :
actualPositionMarketValue * targetSectorMarketValue / actualSectorMarketValue;
// Calculate the market value of an order that will achieve the target. Note that we're not
// including the existing proposed orders in the market value, but we did include them when
// calculating the account's market value. This allows us to put in what-if orders that will
// impact the market value before we do the rebalancing.
decimal proposedMarketValue = targetPositionMarketValue - MarketValue.Calculate(currencyRow,
accountRow, securityRow, driverPosition.PositionTypeCode,
MarketValueFlags.ExcludeProposedOrder);
// Calculate the quantity needed to hit the target market value and round it according to the
// model. Note that the market values and prices are all denominated in the currency of the
// parent account. Also note the quantityFactor is needed for the proper quantity
// calculation.
decimal proposedQuantity = proposedMarketValue /
(Price.Security(currencyRow, securityRow) * securityRow.QuantityFactor);
// If we have an equity, round to the model's lot size.
if (securityRow.SecurityTypeCode == SecurityType.Equity)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.EquityRounding, 0) *
modelRow.EquityRounding;
}
// A debt generally needs to be rounded to face.
if (securityRow.SecurityTypeCode == SecurityType.Debt)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.DebtRounding, 0) *
modelRow.DebtRounding;
}
// Have the OrderForm object construct an order based on the quantity we've calcuated
// from the market value. This will fill in the defaults for the order and translate the
// signed quantities into transaction codes.
ProposedOrder.Create(remoteBatch, remoteTransaction, accountRow, securityRow,
driverAccount.PositionTypeCode, proposedQuantity);
}
}
}
// Recurse into each of the sub-sectors. This allows us to rebalance with any number of levels to the
// hierarchy. Eventually, we will run across a sector with security positions in it and end up doing some
// real work.
foreach (AppraisalSet.SectorRow childSector in objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
SectorWrap.RecurseSectors(remoteBatch, remoteTransaction, modelRow, childSector, actualSectorMarketValue, targetSectorMarketValue);
}
}
}
/// <summary>
/// Rebalances an account to the sector targets, then recursively rebalances the children accounts.
/// </summary>
/// <param name="orderFormBuilder">A collection of orders.</param>
/// <param name="accountRow">The parent account to be rebalanced.</param>
/// <param name="modelRow">The model containing the sector targets.</param>
/// <param name="schemeRow">The outline scheme used to define the sector contents.</param>
private static void RecurseAccounts(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow, ClientMarketData.SchemeRow schemeRow)
{
// All the market values of all the securities in this account are normalized to a single currency so they can
// be aggregated.
ClientMarketData.CurrencyRow currencyRow = ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Calculate the total market value for the appraisal without including child accounts. This is a 'Wrap'
// rebalancing, so we're only concerned with what's in this account. The account's market value will be the
// denominator in all calculations involving sector percentages.
decimal accountMarketValue = MarketValue.Calculate(currencyRow, accountRow,
MarketValueFlags.EntirePosition);
// The outline of the appraisal will be needed to make market value calculations based on a sector. Note that
// we're not including the child accounts in the outline. Wrap rebalancing works only on a single account at
// a time.
AppraisalSet appraisalSet = new Appraisal(accountRow, schemeRow, false);
// By cycling through all the immediate children of the scheme record, we'll have covered the top-level
// sectors in this appraisal.
foreach (AppraisalSet.SchemeRow driverScheme in appraisalSet.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow driverTree in
driverScheme.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (AppraisalSet.SectorRow driverSector in
driverTree.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
// Find the sectors row record that corresponds to the current sector in the appraisal set.
ClientMarketData.SectorRow sectorRow = ClientMarketData.Sector.FindBySectorId(driverSector.SectorId);
// Get the market value of the top-level sector, including all sub-sectors and all positions
// belonging to only the current account.
decimal actualSectorMarketValue = MarketValue.Calculate(currencyRow, accountRow, sectorRow,
MarketValueFlags.EntirePosition);
// This will find the model percentage of the current top-level sector. If the sector wasn't
// specified in the model, assume a value of zero, which would indicate that we're to sell the
// entire sector.
ClientMarketData.SectorTargetRow sectorTargetRow =
ClientMarketData.SectorTarget.FindByModelIdSectorId(modelRow.ModelId, driverSector.SectorId);
decimal targetPercent = (sectorTargetRow == null) ? 0.0M : sectorTargetRow.Percent;
// The sector's target market value is calculated from the model percentage and the current
// account market value. This is placed in a member variable so it's available to the methods
// when we recurse.
decimal targetSectorMarketValue = accountMarketValue * targetPercent;
// Now that we have a sector target to shoot for, recursively descend into the structure
// calculating proposed orders.
SectorWrap.RecurseSectors(remoteBatch, remoteTransaction, modelRow, driverSector, actualSectorMarketValue,
targetSectorMarketValue);
}
}
}
// Now that we've rebalanced the parent account, cycle through all the children accounts and rebalance them.
foreach (ClientMarketData.ObjectTreeRow objectTreeRow in
accountRow.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (ClientMarketData.AccountRow childAccount in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetAccountRows())
{
SectorWrap.RecurseAccounts(remoteBatch, remoteTransaction, childAccount, modelRow, schemeRow);
}
}
}