/// <summary>
/// Creates a temporary copy of a model portfolio.
/// </summary>
/// <param name="modelRow">The original model record.</param>
/// <returns>A batch of commands that will create a copy of the original model.</returns>
private static ModelBatch CopyModel(ClientMarketData.ModelRow modelRow)
{
// Create the batch and fill it in with the assembly and type needed for this function.
ModelBatch modelBatch = new ModelBatch();
RemoteAssembly remoteAssembly = modelBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Model");
// This method will insert a copy of the original model's header.
RemoteMethod insertModel = remoteType.Methods.Add("Insert");
insertModel.Parameters.Add("modelId", DataType.Int, Direction.ReturnValue);
insertModel.Parameters.Add("rowVersion", DataType.Long, Direction.Output);
insertModel.Parameters.Add("objectTypeCode", modelRow.ObjectRow.ObjectTypeCode);
insertModel.Parameters.Add("name", String.Format("Copy of {0}", modelRow.ObjectRow.Name));
insertModel.Parameters.Add("schemeId", modelRow.SchemeId);
insertModel.Parameters.Add("algorithmId", modelRow.AlgorithmId);
insertModel.Parameters.Add("temporary", true);
insertModel.Parameters.Add("description", modelRow.ObjectRow.Description);
// For a sector model, copy each of the sector level targets into the destination model.
if (modelRow.ModelTypeCode == ModelType.Sector)
{
// The object Type for this operation.
RemoteType sectorTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.SectorTarget");
// Add the position level target to the model.
foreach (ClientMarketData.SectorTargetRow sectorTargetRow in modelRow.GetSectorTargetRows())
{
RemoteMethod insertSector = sectorTargetType.Methods.Add("Insert");
insertSector.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertSector.Parameters.Add("sectorId", sectorTargetRow.SectorId);
insertSector.Parameters.Add("percent", sectorTargetRow.Percent);
}
}
// For a position model, copy each of the position level targets into the destination model.
if (modelRow.ModelTypeCode == ModelType.Security)
{
// The object Type for this operation.
RemoteType positionTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.PositionTarget");
// Add the position level target to the model.
foreach (ClientMarketData.PositionTargetRow positionTargetRow in modelRow.GetPositionTargetRows())
{
RemoteMethod insertSecurity = positionTargetType.Methods.Add("Insert");
insertSecurity.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertSecurity.Parameters.Add("securityId", positionTargetRow.SecurityId);
insertSecurity.Parameters.Add("positionTypeCode", positionTargetRow.PositionTypeCode);
insertSecurity.Parameters.Add("percent", positionTargetRow.Percent);
}
}
// Save the reference to the 'modelId' return parameter.
modelBatch.ModelIdParameter = insertModel.Parameters["modelId"];
// This batch will create a copy of the original model.
return(modelBatch);
}
/// <summary>
/// Creates a temporary, empty model portfolio.
/// </summary>
/// <param name="accountRow">An account record.</param>
/// <returns>A batch of commands that will create the empty model.</returns>
private static ModelBatch CreateEmptyModel(ClientMarketData.AccountRow accountRow)
{
// Create the batch and fill it in with the assembly and type needed for this function.
ModelBatch modelBatch = new ModelBatch();
RemoteAssembly remoteAssembly = modelBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Model");
// This method will insert a generic, empty, security level model.
RemoteMethod insertModel = remoteType.Methods.Add("Insert");
insertModel.Parameters.Add("modelId", DataType.Int, Direction.ReturnValue);
insertModel.Parameters.Add("rowVersion", DataType.Long, Direction.Output);
insertModel.Parameters.Add("modelTypeCode", ModelType.Security);
insertModel.Parameters.Add("name", "Untitled");
insertModel.Parameters.Add("schemeId", accountRow.SchemeId);
insertModel.Parameters.Add("algorithmId", Algorithm.SecurityRebalancer);
insertModel.Parameters.Add("temporary", true);
// Save the reference to the 'modelId' return parameter.
modelBatch.ModelIdParameter = insertModel.Parameters["modelId"];
// This batch will create an empty, position based model.
return(modelBatch);
}
/// <summary>
/// Chooses or creates a model for the appraisal.
/// </summary>
/// <param name="accountId">The account used to select a model.</param>
public static int SelectModel(int accountId)
{
// The logic in this method will determine if a temporary model is needed and built it. If a temporary model is
// required, it will be built using this command batch. In all cases, the appropriate model for the given account will
// be returned to the caller. In some cases, a model will be constructed on the fly from the existing values in the
// account. These temporary models will use most of the position and trading tables
ModelBatch modelBatch = null;
try
{
// Lock the tables
Debug.Assert(!ClientMarketData.AreLocksHeld);
ClientMarketData.AccountLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.AllocationLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.CurrencyLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.DebtLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.EquityLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ModelLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.SectorTargetLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.PositionTargetLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.ObjectLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.ObjectTreeLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.OrderLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.PriceLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ProposedOrderLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SchemeLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SectorLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SecurityLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.TaxLotLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.TransactionTypeLock.AcquireReaderLock(CommonTimeout.LockWait);
// Find the account record that is being opened.
ClientMarketData.AccountRow accountRow = ClientMarketData.Account.FindByAccountId(accountId);
if (accountRow == null)
{
throw new Exception(String.Format("Account {0} has been deleted", accountId));
}
// The objective is to find out whether a 'Self' model must be created from the existing positions, or whether a
// an empty or a copy of a model is required to view an account appraisal. The first test is to see whether any model
// has been assigned to the account.
if (accountRow.IsModelIdNull())
{
// This will create an empty position model for the appraisal.
modelBatch = Models.CreateEmptyModel(accountRow);
}
else
{
// At this point, a model has been assigned to the account. Get the model and find out if a temporary copy
// needs to be made.
ClientMarketData.ModelRow modelRow = ClientMarketData.Model.FindByModelId(accountRow.ModelId);
if (modelRow == null)
{
throw new Exception(String.Format("Model {0} has been deleted", accountRow.ModelId));
}
// A 'self' model is one that requires a calculation of the current positions.
if (!modelRow.SectorSelf && !modelRow.SecuritySelf)
{
// Currently, the existing model is used on an appraisal. Any changes to the model in the appraisal view
// will be stored in the persistent model. It may be useful sometime in the future to make a copy of the
// model and prompt the user to save it when the appraisal is closed.
return(modelRow.ModelId);
}
else
{
// Make sure that the account has been assigned a scheme before attempting to build a model from it.
if (accountRow.IsSchemeIdNull())
{
throw new Exception(String.Format("No scheme has been assigned to account {0}.", accountRow));
}
// If the account has a default scheme, make sure it still exists.
ClientMarketData.SchemeRow schemeRow = ClientMarketData.Scheme.FindBySchemeId(accountRow.SchemeId);
if (schemeRow == null)
{
throw new ArgumentException("This scheme has been deleted", accountRow.SchemeId.ToString());
}
// Create a model based on the current sector totals.
if (modelRow.SectorSelf)
{
modelBatch = Models.CreateSectorSelfModel(accountRow, schemeRow);
}
// Create a model based on the current position totals.
if (modelRow.SecuritySelf)
{
modelBatch = Models.CreatePositionSelfModel(accountRow, schemeRow);
}
}
}
}
finally
{
// Release the table locks.
if (ClientMarketData.AccountLock.IsReaderLockHeld)
{
ClientMarketData.AccountLock.ReleaseReaderLock();
}
if (ClientMarketData.AllocationLock.IsReaderLockHeld)
{
ClientMarketData.AllocationLock.ReleaseReaderLock();
}
if (ClientMarketData.CurrencyLock.IsReaderLockHeld)
{
ClientMarketData.CurrencyLock.ReleaseReaderLock();
}
if (ClientMarketData.DebtLock.IsReaderLockHeld)
{
ClientMarketData.DebtLock.ReleaseReaderLock();
}
if (ClientMarketData.EquityLock.IsReaderLockHeld)
{
ClientMarketData.EquityLock.ReleaseReaderLock();
}
if (ClientMarketData.ModelLock.IsWriterLockHeld)
{
ClientMarketData.ModelLock.ReleaseWriterLock();
}
if (ClientMarketData.SectorTargetLock.IsWriterLockHeld)
{
ClientMarketData.SectorTargetLock.ReleaseWriterLock();
}
if (ClientMarketData.PositionTargetLock.IsWriterLockHeld)
{
ClientMarketData.PositionTargetLock.ReleaseWriterLock();
}
if (ClientMarketData.ObjectLock.IsWriterLockHeld)
{
ClientMarketData.ObjectLock.ReleaseWriterLock();
}
if (ClientMarketData.ObjectTreeLock.IsWriterLockHeld)
{
ClientMarketData.ObjectTreeLock.ReleaseWriterLock();
}
if (ClientMarketData.OrderLock.IsReaderLockHeld)
{
ClientMarketData.OrderLock.ReleaseReaderLock();
}
if (ClientMarketData.PriceLock.IsReaderLockHeld)
{
ClientMarketData.PriceLock.ReleaseReaderLock();
}
if (ClientMarketData.ProposedOrderLock.IsReaderLockHeld)
{
ClientMarketData.ProposedOrderLock.ReleaseReaderLock();
}
if (ClientMarketData.SchemeLock.IsReaderLockHeld)
{
ClientMarketData.SchemeLock.ReleaseReaderLock();
}
if (ClientMarketData.SectorLock.IsReaderLockHeld)
{
ClientMarketData.SectorLock.ReleaseReaderLock();
}
if (ClientMarketData.SecurityLock.IsReaderLockHeld)
{
ClientMarketData.SecurityLock.ReleaseReaderLock();
}
if (ClientMarketData.TaxLotLock.IsReaderLockHeld)
{
ClientMarketData.TaxLotLock.ReleaseReaderLock();
}
if (ClientMarketData.TransactionTypeLock.IsReaderLockHeld)
{
ClientMarketData.TransactionTypeLock.ReleaseReaderLock();
}
Debug.Assert(!ClientMarketData.AreLocksHeld);
}
// At this point, a batch is ready to be sent that will create the model and populate it with target values. The data
// structure is an overloaded version of the 'RemoteBatch' class. The 'ModelBatch' contains a member which references
// the 'modelId' return value from the creation of the model. This value will be returned to the caller as a reference
// to the temporary model.
ClientMarketData.Send(modelBatch);
// Rethrow a generic error message for the failed model.
if (modelBatch.HasExceptions)
{
throw new Exception("Can't create model.");
}
// Return the model identifier generated by the server.
return((int)modelBatch.ModelIdParameter.Value);
}
/// <summary>
/// Creates a temporary model based on the current position level targets.
/// </summary>
/// <param name="accountRow">An account used as a basis for the targets.</param>
/// <param name="schemeRow">The scheme used to select sector targets.</param>
/// <returns>A batch of commands that will create a model containing the current position weights of the account.</returns>
private static ModelBatch CreatePositionSelfModel(ClientMarketData.AccountRow accountRow, ClientMarketData.SchemeRow schemeRow)
{
// Create the batch and fill it in with the assembly and type needed for this function.
ModelBatch modelBatch = new ModelBatch();
RemoteTransaction remoteTransaction = modelBatch.Transactions.Add();
RemoteAssembly remoteAssembly = modelBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Model");
// Create the temporary, position model based on the scheme used by the original account.
RemoteMethod insertModel = remoteType.Methods.Add("Insert");
insertModel.Parameters.Add("modelId", DataType.Int, Direction.ReturnValue);
insertModel.Parameters.Add("rowVersion", DataType.Long, Direction.Output);
insertModel.Parameters.Add("modelTypeCode", ModelType.Security);
insertModel.Parameters.Add("name", "Untitled");
insertModel.Parameters.Add("schemeId", schemeRow.SchemeId);
insertModel.Parameters.Add("algorithmId", Algorithm.SecurityRebalancer);
insertModel.Parameters.Add("temporary", true);
// The 'Self Security' model uses the market value of all the positions, regardless of account or sub-account, when
// calculating the denominator for the percentages.
decimal accountMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// If the account market value is zero, we can't do much more to create a model.
if (accountMarketValue != 0.0M)
{
// Create a new outline for the model to follow. This will collect the tax lots, proposed orders orders and
// allocations into positions that can be used for calculating percentages.
Common.Appraisal appraisal = new Common.Appraisal(accountRow, true);
// Run through each of the positions, starting with the security.
foreach (AppraisalSet.SecurityRow driverSecurity in appraisal.Security)
{
// This is a position is the destination for the market value calculation.
ClientMarketData.SecurityRow securityRow =
ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// The object Type for this operation.
RemoteType positionTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.PositionTarget");
// Run through each of the positions in the appraisal calculating the market value of each position. The ratio
// of this market value to the account's market value is the model percentage.
foreach (AppraisalSet.PositionRow positionRow in driverSecurity.GetPositionRows())
{
// Calculate the market value of the given position.
decimal securityMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
securityRow, positionRow.PositionTypeCode,
MarketValueFlags.EntirePosition | MarketValueFlags.EntirePosition);
// Add the position level target to the model.
RemoteMethod insertPosition = positionTargetType.Methods.Add("Insert");
insertPosition.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertPosition.Parameters.Add("securityId", securityRow.SecurityId);
insertPosition.Parameters.Add("positionTypeCode", positionRow.PositionTypeCode);
insertPosition.Parameters.Add("percent", securityMarketValue / accountMarketValue);
}
}
}
// Save the reference to the 'modelId' return parameter.
modelBatch.ModelIdParameter = insertModel.Parameters["modelId"];
// This batch will create a temporary model based on the position totals of the original account.
return(modelBatch);
}
/// <summary>
/// Creates a temporary model based on the current sector level targets.
/// </summary>
/// <param name="accountRow">An account used as a basis for the targets.</param>
/// <param name="schemeRow">The scheme used to select sector targets.</param>
/// <returns>A batch of commands that will create a model containing the current sector weights of the account.</returns>
private static ModelBatch CreateSectorSelfModel(ClientMarketData.AccountRow accountRow, ClientMarketData.SchemeRow schemeRow)
{
// This command batch will create a temporary model and populate it with the current position level percentages as the
// target values.
ModelBatch modelBatch = new ModelBatch();
RemoteTransaction remoteTransaction = modelBatch.Transactions.Add();
RemoteAssembly remoteAssembly = modelBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Model");
// Create the temporary model.
RemoteMethod insertModel = remoteType.Methods.Add("Insert");
insertModel.Parameters.Add("modelId", DataType.Int, Direction.ReturnValue);
insertModel.Parameters.Add("rowVersion", DataType.Long, Direction.Output);
insertModel.Parameters.Add("modelTypeCode", ModelType.Sector);
insertModel.Parameters.Add("name", "Untitled");
insertModel.Parameters.Add("schemeId", schemeRow.SchemeId);
insertModel.Parameters.Add("algorithmId", Algorithm.SectorMergeRebalancer);
insertModel.Parameters.Add("temporary", true);
// The 'Self Sector' uses the market value of all the account and sub-account.
decimal accountMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// No need to construct a model if the account market value is zero.
if (accountMarketValue != 0.0M)
{
// Create a new outline for the model to follow. This will collect the tax lots, proposed orders, orders
// and allocations into industry classification sectors.
Common.Appraisal appraisal = new Common.Appraisal(accountRow, schemeRow, true);
// The object Type for this operation.
RemoteType sectorTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.SectorTarget");
// Now that we have an outline to follow, we are going to run through each of the sectors, calculate the market
// value, and create an entry in the temporary model for that sector and it's current weight of the overall market
// value.
foreach (AppraisalSet.SchemeRow driverScheme in appraisal.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow driverTree in
driverScheme.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (AppraisalSet.SectorRow driverSector in
driverTree.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
// This sector is the destination for the market value calculation.
ClientMarketData.SectorRow sectorRow = ClientMarketData.Sector.FindBySectorId(driverSector.SectorId);
// Calculate the market value of all the securities held by all the accounts in the current sector.
decimal sectorMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow, sectorRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// Add the position level target to the model.
RemoteMethod insertSector = sectorTargetType.Methods.Add("Insert");
insertSector.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertSector.Parameters.Add("sectorId", sectorRow.SectorId);
insertSector.Parameters.Add("percent", sectorMarketValue / accountMarketValue);
}
}
}
}
// Save the reference to the 'modelId' return parameter.
modelBatch.ModelIdParameter = insertModel.Parameters["modelId"];
// This batch will create a temporary model based on the sector totals of the original account.
return(modelBatch);
}
