private static SnapshotId[] BuildSnapshotArray(SentoniServiceReference.Portfolio portfolio)
{
SnapshotId[] snapshotArray = null;
if (portfolio.SnapshotType == SentoniServiceReference.SnapshotType.Current)
{
List <SnapshotId> snapshotList = new List <SnapshotId>();
snapshotList.Add(new SnapshotId()
{
Id = 0,
SnapshotType = SentoniServiceReference.SnapshotType.Current
});
if (portfolio.Snapshots != null)
{
foreach (SentoniServiceReference.Snapshot savedSnapshot in portfolio.Snapshots)
{
snapshotList.Add(new SnapshotId()
{
Id = (short)savedSnapshot.SnapshotId,
SnapshotType = savedSnapshot.SnapshotType,
TimeStamp = savedSnapshot.TimeStamp
});
}
}
snapshotArray = snapshotList.ToArray();
}
return(snapshotArray);
}
private static AccountDataSet.AccountDataDataTable BuildAccountTable(SentoniServiceReference.Portfolio portfolio)
{
AccountDataSet.AccountDataDataTable accountDataTable = new AccountDataSet.AccountDataDataTable();
AccountDataSet.AccountDataRow accountDataRow = accountDataTable.NewAccountDataRow();
if (portfolio.AccountData != null)
{
accountDataRow.EquityType = portfolio.AccountData.EquityType;
accountDataRow.ClientType = portfolio.AccountData.ClientType;
accountDataRow.IsTest = portfolio.AccountData.IsTest;
accountDataRow.BaseEquity = portfolio.AccountData.BaseEquity;
accountDataRow.BaseCash = portfolio.AccountData.BaseCash;
accountDataRow.BaseDate = portfolio.AccountData.BaseDate;
accountDataRow.InflowsSinceBaseDate = portfolio.AccountData.InflowsSinceBaseDate;
accountDataRow.TodaysInflows = portfolio.AccountData.TodaysInflows;
accountDataRow.PandLSinceBaseDate = portfolio.AccountData.PandLSinceBaseDate;
accountDataRow.StartOfDayMarketValue = portfolio.AccountData.StartOfDayMarketValue;
accountDataRow.AvailableCash = portfolio.AccountData.AvailableCash;
accountDataRow.StartOfDayEquity = portfolio.AccountData.StartOfDayEquity;
accountDataRow.CurrentMarketValue = portfolio.AccountData.CurrentMarketValue;
accountDataRow.CurrentCash = portfolio.AccountData.CurrentCash;
accountDataRow.CurrentEquity = portfolio.AccountData.CurrentEquity;
accountDataRow.MinDelta = portfolio.AccountData.MinDelta;
accountDataRow.MaxDelta = portfolio.AccountData.MaxDelta;
accountDataRow.TargetDelta = portfolio.AccountData.TargetDelta;
accountDataRow.DeltaGoal = portfolio.AccountData.DeltaGoal;
accountDataRow.Leverage = portfolio.AccountData.Leverage;
accountDataRow.CurrentLeverage = portfolio.AccountData.CurrentLeverage;
accountDataRow.PutsPctTarget = portfolio.AccountData.PutsPctTarget;
accountDataRow.Option_P_and_L = portfolio.AccountData.OptionPandL;
accountDataRow.Stock_P_and_L = portfolio.AccountData.StockPandL;
accountDataRow.Futures_P_and_L = portfolio.AccountData.FuturesPandL;
accountDataRow.Total_P_and_L = portfolio.AccountData.TotalPandL;
accountDataRow.DollarDeltasTraded = portfolio.AccountData.DollarDeltasTraded;
accountDataRow.DeltaPctTraded = portfolio.AccountData.DeltaPctTraded;
accountDataRow.PutsTraded = portfolio.AccountData.PutsTraded;
accountDataRow.PutsOutOfBounds = portfolio.AccountData.PutsOutOfBounds;
accountDataRow.PutsOutOfMoneyThreshold = portfolio.AccountData.PutsOutOfMoneyThreshold;
accountDataRow.TradingComplete = portfolio.AccountData.TradingComplete;
accountDataRow.MaximumCaks = portfolio.AccountData.MaximumCaks;
accountDataRow.PortfolioPercentage = portfolio.AccountData.PortfolioPercentage;
if (portfolio.AccountData.NextTradeTime.HasValue)
{
accountDataRow.NextTradeTime = portfolio.AccountData.NextTradeTime.Value;
}
else
{
accountDataRow.SetNextTradeTimeNull();
}
}
accountDataTable.AddAccountDataRow(accountDataRow);
return(accountDataTable);
}
private static AccountDataSet.IndicesDataTable BuildIndicesTable(SentoniServiceReference.Portfolio portfolio)
{
AccountDataSet.IndicesDataTable indicesTable = new AccountDataSet.IndicesDataTable();
if (portfolio.Indices != null)
{
foreach (SentoniServiceReference.Index indexRow in portfolio.Indices)
{
AccountDataSet.IndicesRow newRow = indicesTable.NewIndicesRow();
newRow.Symbol = indexRow.Symbol;
newRow.Weight = indexRow.Weight;
newRow.TargetValue = indexRow.TargetValue;
newRow.TotalDeltaPct = indexRow.TotalDeltaPct;
newRow.CallDeltaPct = indexRow.CallDeltaPct;
newRow.PutDeltaPct = indexRow.PutDeltaPct;
newRow.FaceValuePutsPct = indexRow.FaceValuePutsPct;
newRow.ShortPct = indexRow.ShortPct;
newRow.TimePremium = indexRow.TimePremium;
newRow.Caks = indexRow.Caks;
newRow.GammaPct = indexRow.GammaPct;
newRow.ThetaAnnualized = indexRow.ThetaAnnualized;
newRow.DeltasToTrade = indexRow.DeltasToTrade;
if (portfolio.Indices.Length > 2)
{
newRow.PutsToRebalance = indexRow.PutsToRebalance;
}
newRow.PutsToTrade = indexRow.PutsToTrade;
if (indexRow.LastPrice.HasValue)
{
newRow.LastPrice = indexRow.LastPrice.Value;
}
if (indexRow.PrevClose.HasValue)
{
newRow.PrevClose = indexRow.PrevClose.Value;
}
indicesTable.Rows.Add(newRow);
}
}
return(indicesTable);
}
public void PostPortfolio(SentoniServiceReference.Portfolio portfolio)
{
try
{
if (portfolio == null)
{
m_form.RefreshPositions(null, "No portfolio returned by Sentoni Service");
m_form.RefreshRisk(null, "No portfolio returned by Sentoni Service");
}
else
{
Snapshot snapshot = new Snapshot()
{
AccountName = portfolio.AccountName,
Positions = BuildPortfolioTable(portfolio),
AccountData = BuildAccountTable(portfolio),
Indices = BuildIndicesTable(portfolio),
SnapshotType = portfolio.SnapshotType,
TimeStamp = portfolio.TimeStamp,
SavedSnapshots = BuildSnapshotArray(portfolio),
QuoteServiceHost = portfolio.QuoteServiceHost,
QuoteServiceStoppedTime = portfolio.QuoteServiceStoppedTime,
UnsubscribedSymbols = portfolio.UnsubscribedSymbols
};
m_form.RefreshSnapshot(snapshot, portfolio.ErrorMessage);
m_form.RefreshPositions(snapshot, portfolio.ErrorMessage);
m_form.RefreshRisk(snapshot, portfolio.ErrorMessage);
m_form.LoadComboboxSnapshots(snapshot);
m_form.LoadComboboxIndices(snapshot);
}
}
catch (Exception ex)
{
m_form.ShowPortfolioError(5, "Error posting portfolio", ex);
m_form.ShowRiskError(5, "Error posting portfolio", ex);
}
}
private static AccountDataSet.PortfolioDataTable BuildPortfolioTable(SentoniServiceReference.Portfolio portfolio)
{
AccountDataSet.PortfolioDataTable portfolioTable = new AccountDataSet.PortfolioDataTable();
if (portfolio.Positions != null)
{
foreach (SentoniServiceReference.Position portfolioRow in portfolio.Positions)
{
AccountDataSet.PortfolioRow newRow = portfolioTable.NewPortfolioRow();
newRow.AccountName = portfolioRow.Account ?? portfolio.AccountName;
newRow.Symbol = portfolioRow.Symbol;
newRow.SubscriptionStatus = portfolioRow.SubscriptionStatus;
newRow.SOD_Position = portfolioRow.SODPosition;
newRow.SOD_Price = portfolioRow.SODPrice;
newRow.SOD_Market_Value = portfolioRow.SODMarketValue;
newRow.Change_in_Position = portfolioRow.ChangeInPosition;
newRow.NettingAdjustment = portfolioRow.NettingAdjustment;
newRow.Change_in_Cost = portfolioRow.ChangeInCost;
newRow.Current_Position = portfolioRow.CurrentPosition;
newRow.Current_Price = portfolioRow.CurrentPrice;
newRow.Current_Cost = portfolioRow.CurrentCost;
newRow.Closed = portfolioRow.Closed;
newRow.OptionType = portfolioRow.OptionType;
newRow.Multiplier = portfolioRow.Multiplier;
newRow.IsStock = portfolioRow.IsStock;
newRow.IsOption = portfolioRow.IsOption;
newRow.IsFuture = portfolioRow.IsFuture;
newRow.IsOutOfBounds = portfolioRow.IsOutOfBounds;
if (portfolioRow.ExpirationDate.HasValue)
{
newRow.ExpirationDate = portfolioRow.ExpirationDate.Value;
}
if (portfolioRow.Open.HasValue)
{
newRow.Open = portfolioRow.Open.Value;
}
if (portfolioRow.PrevClose.HasValue)
{
newRow.PrevClose = portfolioRow.PrevClose.Value;
}
if (portfolioRow.LastPrice.HasValue)
{
newRow.LastPrice = portfolioRow.LastPrice.Value;
}
if (portfolioRow.Bid.HasValue)
{
newRow.Bid = portfolioRow.Bid.Value;
}
if (portfolioRow.Ask.HasValue)
{
newRow.Ask = portfolioRow.Ask.Value;
}
if (portfolioRow.Mid.HasValue)
{
newRow.Mid = portfolioRow.Mid.Value;
}
if (portfolioRow.ClosingPrice.HasValue)
{
newRow.ClosingPrice = portfolioRow.ClosingPrice.Value;
}
if (portfolioRow.UpdateTime.HasValue)
{
newRow.UpdateTime = portfolioRow.UpdateTime.Value;
}
newRow.Current_Market_Value = portfolioRow.CurrentMarketValue;
newRow.P_and_L = portfolioRow.PandL;
// option-only fields
if (newRow.IsOption)
{
newRow.UnderlyingSymbol = portfolioRow.UnderlyingSymbol;
if (portfolioRow.Delta.HasValue)
{
newRow.Delta = portfolioRow.Delta.Value;
}
if (portfolioRow.DeltaUSD.HasValue)
{
newRow.DeltaUSD = portfolioRow.DeltaUSD.Value;
}
if (portfolioRow._100DeltaUSD.HasValue)
{
newRow._100DeltaUSD = portfolioRow._100DeltaUSD.Value;
}
if (portfolioRow.Gamma.HasValue)
{
newRow.Gamma = portfolioRow.Gamma.Value;
}
if (portfolioRow.GammaUSD.HasValue)
{
newRow.GammaUSD = portfolioRow.GammaUSD.Value;
}
if (portfolioRow.Theta.HasValue)
{
newRow.Theta = portfolioRow.Theta.Value;
}
if (portfolioRow.ThetaAnnualized.HasValue)
{
newRow.ThetaAnnualized = portfolioRow.ThetaAnnualized.Value;
}
if (portfolioRow.Vega.HasValue)
{
newRow.Vega = portfolioRow.Vega.Value;
}
if (portfolioRow.ImpliedVol.HasValue)
{
newRow.ImpliedVol = portfolioRow.ImpliedVol.Value;
}
if (portfolioRow.StrikePrice.HasValue)
{
newRow.StrikePrice = portfolioRow.StrikePrice.Value;
}
if (portfolioRow.TimePremium.HasValue)
{
newRow.TimePremium = portfolioRow.TimePremium.Value;
}
}
else
{
newRow.UnderlyingSymbol = portfolioRow.Symbol;
if (newRow.PrevClose != 0)
{
newRow.Performance = newRow.Current_Price / newRow.PrevClose - 1;
}
}
portfolioTable.Rows.Add(newRow);
}
}
return(portfolioTable);
}
