private bool doCloseOrders(out IList newOrders, out RebalanceResults result)
{
newOrders = null;
result = RebalanceResults.Success;
bool retVal = false;
// Get the portfolio
IFundPortfolio portfolio = this.Account.Portfolio.PortfolioInstrument.Exclude(setting.TradeableInstrumentsToExclude);
// Get the modelinstruments
IModelVersion mv = Account.ModelPortfolio.LatestVersion;
if (mv == null)
throw new ApplicationException(string.Format("Not possible to compare to model for account {0}: Latest ModelVersion is null", Account.DisplayNumberWithName));
// Instantiate a PortfolioComparer and fill it with Positions & model Instruments
PositionComparerCollection pc = new PositionComparerCollection(this);
foreach (IFundPosition pos in portfolio.ExcludeNonTradeableInstruments())
{
if (pos.Size.IsNotZero)
pc.Add(pos);
}
// check if order does not already exists
IAccountOrderCollection orders = this.Account.OpenOrdersForAccount.Exclude(setting.InstrumentsToExclude);
if (orders != null && orders.Count > 0)
{
foreach (IOrder order in orders)
{
if (!order.IsMonetary)
pc.Add((ISecurityOrder)order, setting.CompareAction);
}
}
// Check if Model is correct
if (mv.TotalAllocation() != 1m)
throw new ApplicationException(string.Format("Not possible to compare to model: {0} does not allocate completely to 100%", mv.ToString()));
pc.SetInstrumentsInModel(mv.ModelInstruments);
if (pc.CompareForCloseOrders(out newOrders))
retVal = true;
return retVal;
}
private bool doRebalance(out IList newOrders, out RebalanceResults result)
{
newOrders = null;
result = RebalanceResults.Success;
// Get the portfolio
IFundPortfolio portfolio = this.Account.Portfolio.PortfolioInstrument.Exclude(setting.TradeableInstrumentsToExclude).ExcludeNonTradeableInstruments();
ICashPortfolio cashPortfolio = this.Account.Portfolio.PortfolioCashGL;
// Get the modelinstruments
IModelVersion mv = Account.ModelPortfolio.LatestVersion;
if (mv == null)
throw new ApplicationException(string.Format("Not possible to compare to model for account {0}: Latest ModelVersion is null", Account.DisplayNumberWithName));
// Get the total portfolio value for the model allocation
// If there are withdrawals instructions -> Reduce the withdrawal amount
// This amount has to be taken out of the rebalance, since it needs to be redrawned from the account
Money withdrawalAmount = Account.ActiveWithdrawalInstructions.TotalAmount;
Money totalValue = portfolio.TotalValueInBaseCurrency + cashPortfolio.SettledCashTotalInBaseValue + withdrawalAmount;
if (totalValue.IsLessThanZero && Account.Portfolio.TotalValue().IsGreaterThanZero && withdrawalAmount != null)
throw new ApplicationException(string.Format("The withdrawal amount is larger than the portfolio value for account {0}.", Account.DisplayNumberWithName));
if (isRebalanceNeeded(totalValue, portfolio))
{
// Instantiate a PortfolioComparer and fill it with Positions & model Instruments
PositionComparerCollection pc = new PositionComparerCollection(this);
// add instruments
foreach (IFundPosition pos in portfolio.Where(x => x.Size.IsNotZero))
pc.Add(pos);
// Add cash
foreach (ICashPosition pos in cashPortfolio.Where(x => x.SettledSize.IsNotZero))
pc.Add(pos);
// check if order does not already exists
IAccountOrderCollection orders = this.Account.OpenOrdersForAccount.Exclude(setting.InstrumentsToExclude);
if (orders != null && orders.Count > 0)
{
foreach (IOrder order in orders)
pc.Add(order, setting.CompareAction);
}
// Check if Model is correct
IModelInstrumentCollection modelInstrumentDistribution = mv.ModelInstruments.StrippedCollection(((IRebalanceInstruction)setting.Instruction).ExcludedComponents);
if (modelInstrumentDistribution.TotalAllocation != 1m)
throw new ApplicationException(string.Format("Not possible to compare to model: {0} does not allocate completely to 100%", mv.ToString()));
if (totalValue != null && totalValue.IsNotZero)
{
foreach (IModelInstrument mi in modelInstrumentDistribution)
{
pc.Add(mi, totalValue);
}
// Add the cash from the withrawal instructions
pc.AddReservedCash(withdrawalAmount, mv.GetCashManagementFund());
if (pc.Compare(out newOrders))
{
doSellForeignCash(newOrders);
// When no Orders -> Rebalance was not necessary
if (newOrders == null || newOrders.Count == 0)
result = RebalanceResults.RebalanceWasNotNeeded;
else
{
//// Set the cash transfers to being processed
if (Setting.Instruction.InstructionType == InstructionTypes.Rebalance)
{
IRebalanceInstruction ri = (IRebalanceInstruction)Setting.Instruction;
if (ri.CashTransfers != null && ri.CashTransfers.Where(c => !c.SkipOrders).Count() > 0)
{
foreach (IJournalEntryLine transfer in ri.CashTransfers.Where(c => !c.SkipOrders))
transfer.SkipOrders = true;
}
}
}
}
}
}
else
result = RebalanceResults.NoRebalanceNegativePortfolioAmount;
return true;
}
private bool doBuyModel(out IList newOrders, out RebalanceResults result)
{
newOrders = null;
result = RebalanceResults.Success;
IBuyModelInstruction bmi = (IBuyModelInstruction)setting.Instruction;
// Get the modelinstruments
IModelVersion mv = Account.ModelPortfolio.LatestVersion;
if (mv == null)
throw new ApplicationException(string.Format("Not possible to compare to model for account {0}: Latest ModelVersion is null", Account.DisplayNumberWithName));
// Get the total portfolio value for the model allocation
Money totalValue = bmi.CashTransfers.TotalTransferAmount;
if (totalValue != null && totalValue.IsNotZero && totalValue.Sign)
{
// Instantiate a PortfolioComparer and fill it with Positions & model Instruments
PositionComparerCollection pc = new PositionComparerCollection(this);
pc.AddCash(totalValue);
// Check if Model is correct
if (mv.TotalAllocation() != 1m)
throw new ApplicationException(string.Format("Not possible to compare to model: {0} does not allocate completely to 100%", mv.ToString()));
foreach (IModelInstrument mi in mv.ModelInstruments)
{
pc.Add(mi, totalValue);
}
// check if order does not already exists
IAccountOrderCollection orders = this.Account.OpenOrdersForAccount;
if (orders != null && orders.Count > 0)
{
if (orders.NewCollection(x => x.Side == Side.Sell).Count() > 0)
throw new ApplicationException("It is not possible to process a 'buy orders instruction' whenever there are sell orders.");
}
if (pc.Compare(out newOrders))
{
// When no Orders -> Rebalance was not necessary
if (newOrders == null || newOrders.Count == 0)
result = RebalanceResults.RebalanceWasNotNeeded;
return true;
}
}
else
result = RebalanceResults.NoRebalanceNegativePortfolioAmount;
return true;
}
