public static void PriceChanged(OrderFillView orderFillView)
{
IDalSession session = NHSessionFactory.CreateSession();
try
{
Price price;
InstrumentSize size;
Money amount;
ITradeableInstrument tradedInstrument;
IOrder order = OrderMapper.GetOrder(session, orderFillView.OrderId);
if (!orderFillView.IsSizeBased)
{
// Exchange rate (in base currency)
tradedInstrument = ((IOrderAmountBased)order).TradedInstrument;
price = new Price(orderFillView.Price, tradedInstrument.CurrencyNominal, tradedInstrument);
amount = new Money(orderFillView.Amount, (ICurrency)order.Value.Underlying);
if (tradedInstrument.CurrencyNominal.Key != amount.Underlying.Key)
{
if (!(tradedInstrument.CurrencyNominal.IsObsoleteCurrency && tradedInstrument.CurrencyNominal.ParentInstrument.Key == amount.Underlying.Key))
throw new ApplicationException("It is not possible to fill an order in a different currency.");
}
size = amount.CalculateSize(price);
orderFillView.Size = size.Quantity;
}
else
{
tradedInstrument = ((IOrderSizeBased)order).TradedInstrument;
price = new Price(orderFillView.Price, tradedInstrument.CurrencyNominal, tradedInstrument);
size = new InstrumentSize(orderFillView.Size, tradedInstrument);
amount = size.CalculateAmount(price);
amount.XRate = orderFillView.ExchangeRate;
orderFillView.Amount = amount.Quantity;
}
// Check if the Price is still reliable
IPriceDetail lastValidHistoricalPrice = HistoricalPriceMapper.GetLastValidHistoricalPrice(
session, tradedInstrument, orderFillView.TransactionDate);
if (lastValidHistoricalPrice == null || lastValidHistoricalPrice.Price.IsZero)
orderFillView.Warning = string.Format("No price was found for {0:d}, so validation is not very reliable.",
orderFillView.TransactionDate);
else
{
// check if the price is within 1% of the last historical price
decimal rate = lastValidHistoricalPrice.Price.Quantity;
decimal diff = (price.Quantity - rate) / rate;
decimal diffPct = Math.Round(Math.Abs(diff), 4) * 100;
if (diffPct > 1)
orderFillView.Warning = string.Format("The price entered is {0:0.##}% {1} than the last known price for {2:d} ({3}).",
diffPct, (diff < 0 ? "lower" : "higher"), orderFillView.TransactionDate,
lastValidHistoricalPrice.Price.ShortDisplayString);
if (lastValidHistoricalPrice.WasOldDateBy(orderFillView.TransactionDate))
orderFillView.Warning += (orderFillView.Warning != string.Empty ? "\n" : "") +
string.Format("The last known price for {0:d} is {1} days old (last updated on {2:d}), so validation is not very reliable.",
orderFillView.TransactionDate, (orderFillView.TransactionDate - lastValidHistoricalPrice.Date).Days,
lastValidHistoricalPrice.Date);
}
}
finally
{
session.Close();
}
}
/// <summary>
/// Get the educated guess of the size of a instrument for a amount of money
/// </summary>
/// <param name="inputAmount"></param>
/// <returns></returns>
public override PredictedSize PredictSize(Money inputAmount)
{
PredictedSize retVal = new PredictedSize(PredictedSizeReturnValue.NoRate);
Money amount;
if (CurrentPrice != null)
{
retVal.RateDate = CurrentPrice.Date;
if (inputAmount.Underlying.Equals(CurrentPrice.Price.Underlying))
retVal.Size = inputAmount.CalculateSize(CurrentPrice.Price);
else
{
amount = inputAmount.Convert(CurrentPrice.Price.Underlying);
retVal.Size = amount.CalculateSize(CurrentPrice.Price);
}
retVal.Rate = currentPrice.Price.ToString();
}
return retVal;
}
public InstrumentSize CalculateSizeBackwards(Money amount, Price price, DateTime settlementDate)
{
if (price == null)
throw new ApplicationException(string.Format("It is not possible to calculate the size of {0} without a price", Name));
if (Util.IsNullDate(settlementDate))
throw new ApplicationException(string.Format("It is not possible to calculate the size of {0} without a valid settlement date", Name));
DateTime lastCouponPaymentDate;
DateTime nextCouponPaymentDate;
decimal factor = ai_Factor(settlementDate, null, out lastCouponPaymentDate, out nextCouponPaymentDate);
// Calculate backwards the number of bonds
return amount.CalculateSize((price + price.Clone(factor * GetCouponRate(lastCouponPaymentDate, settlementDate))));
}
