private Product GetProduct(SymmetryInfo info)
{
if (info.SecurityType.ToLowerInvariant() == "bonds")
{
var pr = Env.Current.Trade.GetProductByDescription(info.Security);
if (pr != null) return pr;
if (!Utilities.IsNullOrEmpty(info.Cusip))
{
pr = Env.Current.Trade.GetProductByCode(Product.CusipProductCode, info.Cusip);
if (pr != null) return pr;
}
var ccys = new List<string> { info.Currency };
var allBonds = Env.Current.Trade.LoadBondProducts(null, null, null, 0, ccys, -1, info.Coupon,
info.Coupon, null, null, SimpleDate.Today, false,
false, null, null);
if (allBonds != null)
{
foreach (var v in allBonds)
{
var bd = v as Bond;
if (bd == null) continue;
if (Math.Abs(bd.FixedRate - info.Coupon) < Utilities.Epsilon && bd.MaturityDate == info.Maturity)
{
if (!StatusDisabled.Equals(bd.Status)) return bd;
}
}
}
throw new Exception("Bonds " + info.Security + " not retrieved");
}
if (info.SecurityType.ToLower() == "currency")
{
return null;
}
if (info.SecurityType == "Caps/Floors")
{
}
if (info.SecurityType.ToLower() == "currency swaps")
{
return null;
}
if (info.SecurityType.ToLower() == "interest rate swaps")
{
return null;
}
if (info.SecurityType.ToLower() == "swaptions")
{
return null;
}
if (info.SecurityType.ToLower() == "fras")
{
return null;
}
//Fx Vol Swap
if (info.SecurityType.ToLower() == "flexible deal" && info.Security.Contains("VOLSWAP"))
{
//GBP/USD VOLSWAP 5.925 04 Dec 2014 (02 Sep 2014-02 Dec 2014)
//USD/JPY VOLSWAP 8.05 17 Nov 2014 (12 Sep 2014-13 Nov 2014)
var volswap = new VolSwap();
var desc = info.Security.Split(' ');
var cpl = desc[0].Split('/');
var cp = Env.Current.Trade.GetCurrencyPair(cpl[0], cpl[1]);
volswap.Underlier = cp;
volswap.UnderlierId = cp.Id;
volswap.EndDate = info.Maturity;
volswap.Notional = Math.Abs(info.CurrentDayPosition/100);
volswap.IsBuy = info.CurrentDayPosition > 0;
volswap.PaymentCurrency = info.Currency;
if (desc.Length > 2)
{
double strike;
if (double.TryParse(desc[2], out strike))
volswap.Strike = strike;
}
return volswap;
}
//FX Option
if (info.SecurityType.ToLower() == "simple option" || info.SecurityType.ToLower() == "simple barrier"
|| info.SecurityType.ToLower() == "touch rebate" || info.SecurityType.ToLower() == "flexible deal"
|| info.SecurityType.ToLower() == "double barrier")
{
// EUR/USD 1.3204 CALL (26 Nov 2014)
var fxoption = info.SecurityType.ToLower() == "flexible deal" ?
new FxFva { FvaExpiryDate = info.Maturity } : new FXOption { ExpiryDate = info.Maturity };
var desc = info.Security.Split(' ');
var cpl = desc[0].Split('/');
fxoption.Primary = cpl[0];
fxoption.Quoting = cpl[1];
if (!(fxoption is FxFva))
fxoption.OptionStrike = Convert.ToDouble(desc[1], CultureInfo.InvariantCulture);
fxoption.PrimaryAmount = Math.Abs(info.CurrentDayPosition);
fxoption.QuotingAmount = fxoption.PrimaryAmount * fxoption.OptionStrike;
if (info.Security.Contains("CALL ")) fxoption.OptionType = OptionType.Call;
else if (info.Security.Contains("PUT ")) fxoption.OptionType = OptionType.Put;
else fxoption.OptionType = OptionType.None;
if (info.CurrentDayPosition > 0)
{
fxoption.IsBuy = true;
fxoption.QuotingAmount = -fxoption.QuotingAmount;
}
else
{
fxoption.IsBuy = false;
fxoption.PrimaryAmount = -fxoption.PrimaryAmount;
}
fxoption.ExerciseType = OptionExerciseType.European;
if (info.SecurityType.ToLower() == "flexible deal")
{
// EUR/USD FVA 0 25 Feb 2015 (21 Nov 2014-23 Feb 2015)
var fva = fxoption as FxFva;
if (fva != null)
fva.Volatility = Convert.ToDouble(desc[2], CultureInfo.InvariantCulture) / 100;
}
else if (info.SecurityType.ToLower() == "simple barrier")
{
// USD/CNY 6.16 PUT 16 Dec 2014 DO 6.07
// USD/SGD 1.265 CALL 24 Sep 2014 UI 1.2725
fxoption.ExerciseType = OptionExerciseType.Barrier;
var binfo = new BarrierInfo();
fxoption.OptionInfo = binfo;
var len = desc.Length;
var barrierType = desc[len - 2];
var barrierStrike = desc[len - 1];
if (barrierType.StartsWith("D"))
{
if (barrierType.EndsWith("I"))
binfo.LowerBarrierType = OptionBarrierType.KnockIn;
else
binfo.LowerBarrierType = OptionBarrierType.KnockOut;
binfo.LowerBarrierStrike = double.Parse(barrierStrike);
}
else
{
if (barrierType.EndsWith("I"))
binfo.BarrierType = OptionBarrierType.KnockIn;
else
binfo.BarrierType = OptionBarrierType.KnockOut;
binfo.BarrierStrike = double.Parse(barrierStrike);
}
}
else if (info.SecurityType.ToLower() == "double barrier")
{
// USD/JPY 105 CALL 18 Dec 2014 KO 108 101
fxoption.ExerciseType = OptionExerciseType.Barrier;
var binfo = new BarrierInfo();
fxoption.OptionInfo = binfo;
var len = desc.Length;
var barrierType = desc[len - 3];
var barrierStrike1 = desc[len - 1];
var barrierStrike2 = desc[len - 2];
if (barrierType.Equals("KO"))
{
binfo.BarrierType = OptionBarrierType.KnockIn;
binfo.LowerBarrierType = OptionBarrierType.KnockIn;
}
else
{
binfo.BarrierType = OptionBarrierType.KnockOut;
binfo.LowerBarrierType = OptionBarrierType.KnockOut;
}
double strike1, strike2;
if (double.TryParse(barrierStrike1, out strike1))
binfo.BarrierStrike = strike1;
if (double.TryParse(barrierStrike2, out strike2))
binfo.LowerBarrierStrike = strike2;
if (binfo.BarrierStrike < binfo.LowerBarrierStrike)
{
var temp = binfo.BarrierStrike;
binfo.BarrierStrike = binfo.LowerBarrierStrike;
binfo.LowerBarrierStrike = temp;
}
}
else if (info.SecurityType.ToLower() == "touch rebate")
{
// USD/MXN 13.45 10 Sep 2014 UO 13.45
// USD/CAD 1.105 12 Sep 2014 KI 1.105 1.082
// GBP/USD 1.59 04 Nov 2014 DO 1.59
// for touch, please only compare strikes
fxoption.ExerciseType = OptionExerciseType.Touch;
var tinfo = new DigitalInfo();
fxoption.OptionInfo = tinfo;
var len = desc.Length;
double strike1, strike2;
if (double.TryParse(desc[len - 2], out strike1))
tinfo.BarrierStrike = strike1;
if (double.TryParse(desc[len - 1], out strike2))
tinfo.LowerBarrierStrike = strike2;
if (tinfo.BarrierStrike < tinfo.LowerBarrierStrike)
{
var temp = tinfo.BarrierStrike;
tinfo.BarrierStrike = tinfo.LowerBarrierStrike;
tinfo.LowerBarrierStrike = temp;
}
}
return fxoption;
}
if (info.SecurityType.ToLower().Contains("futures") || info.SecurityType.ToLower().Contains("future options"))
{
var pr = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, info.Security.Trim());
if (pr != null) return pr;
if (!info.SecurityType.ToLower().Equals("equity futures"))
pr = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, info.Security.Trim() + " Comdty");
if (pr != null) return pr;
if (!info.SecurityType.ToLower().Equals("equity futures"))
pr = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, info.Security.Trim() + " Curncy");
if (pr != null) return pr;
pr = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, info.Security.Trim() + " Index");
if (pr != null) return pr;
pr = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, info.Security.Trim() + " Equity");
if (pr != null) return pr;
throw new Exception("Futures " + info.SecurityType + " " + info.Security + " not retrieved");
}
if (info.SecurityType.ToLower() == "spot-forward")
{
var fx = new FX();
var splits = info.Security.Substring(0, 7).Split('/');
string ccy1 = splits[0];
string ccy2 = splits[1];
var cp = Env.Current.Trade.GetCurrencyPair(ccy1, ccy2);
if (cp == null) return null;
fx.Primary = cp.Primary;
fx.Quoting = cp.Quoting;
var settleDate = info.Maturity;
fx.PrimarySettleDate = settleDate;
fx.QuotingSettleDate = settleDate;
/*
var ccy2Obj = Env.Current.StaticData.GetCurrency(ccy2);
if (ccy2Obj != null && ccy2Obj.IsNonDeliverable)
{
var ndf = new NDF
{
Primary = cp.Primary,
Quoting = cp.Quoting,
PrimarySettleDate = settleDate,
QuotingSettleDate = settleDate
};
return ndf;
}*/
return fx;
}
throw new Exception("Reconciliation not supported for Product" + info.SecurityType.ToLower());
}
public Trade FromString(string[] items, IDictionary<string, int> headers, IList<Exception> exceps, Market market, CultureInfo info, SimpleDate asOfDate)
{
var symInfo = new SymmetryInfo(items, headers, info);
//Ignore Currency
if (symInfo.SecurityType.ToLower() == "currency") return null;
//if (symInfo.Maturity <= asOfDate) return null;
//if (symInfo.SecurityType.ToLower() != "spot-forward")
{
if (Math.Abs(symInfo.CurrentDayPosition - 0) < Utilities.Epsilon) return null;
}
var trade = new Trade();
//Build Security
Product product = null;
try
{
product = GetProduct(symInfo);
}
catch (Exception x)
{
Logger.Error(x.Message);
exceps.Add(
new Exception("No Product retrieved for Security Code:" + symInfo.SecurityType + "/" +
symInfo.Security));
}
var pr = new SymmetryProduct();
if (product != null)
{
trade.PriceType = QuotationType.Price;
if (product.QuoteName != null)
trade.PriceType = product.QuoteName.QuoteType;
if (product is FX)
{
var fx = product as FX;
double dd = symInfo.CurrentDayPosition;
if (symInfo.Currency == "USD")
{
if (fx.Primary == "USD")
{
fx.PrimaryAmount = dd;
if (dd > 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
else if (fx.Quoting == "USD")
{
fx.PrimaryAmount = dd;
if (dd < 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
}
else
{
if (symInfo.Currency == fx.Quoting)
{
fx.QuotingAmount = dd;
if (dd < 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
else if (symInfo.Currency == fx.Primary)
{
fx.PrimaryAmount = dd;
trade.Quantity = dd;
}
}
fx.PrimarySettleDate = symInfo.Maturity;
fx.QuotingSettleDate = symInfo.Maturity;
trade.SettlementDate = symInfo.Maturity;
pr = null;
}
else if (product is FXOption)
{
trade.SetProperty(DPEDescription, symInfo.Security);
pr = null;
}
else if (product is VolSwap)
pr = null;
else if (product.IsMultiplyTraded) pr = null;
}
if (pr != null)
{
pr.DetailQuantity = symInfo.CurrentDayPosition;
pr.DetailCurrCode = symInfo.Currency;
pr.Security = string.IsNullOrEmpty(symInfo.Security) ?
symInfo.Currency + "|" + symInfo.SecurityType + "|" + symInfo.Maturity : symInfo.Security;
pr.SecurityType = symInfo.SecurityType;
pr.MaturityDate = symInfo.Maturity;
if (pr.Security == null) pr.Security = "Unknown";
if (symInfo.SecurityType != null && symInfo.SecurityType.ToLowerInvariant().Equals("swaptions"))
{
var desc = pr.Security.Split(' ');
for (int i = 0; i < desc.Length; i++)
{
if (desc[i] == "PAY" || desc[i] == "REC")
{
var strikes = desc[i + 1];
pr.Strike = Convert.ToDouble(strikes, CultureInfo.InvariantCulture) / 100;
break;
}
}
}
if (pr.Generator != null)
trade.SetProperty("Generator", pr.Generator);
}
trade.Product = product;
if (pr != null) trade.Product = pr;
trade.SettleCurrency = symInfo.Currency;
if (!(trade.Product is FX))
{
trade.Quantity = symInfo.CurrentDayPosition;
if (trade.Product is Mbs)
{
trade.Quantity /= ((Mbs)trade.Product).GetPrincipalFactorAsOf(asOfDate, asOfDate);
}
else if (trade.Product is Bond)
{
trade.Quantity /= ((Bond)trade.Product).Nominal;
}
else if (trade.Product is VolSwap)
{
trade.Quantity /= 100;
}
}
trade.SetProperty(ImportRef, symInfo.Security);
//trade.SettleAmount = Convert.ToDouble(items[DetailLocalCost]);
//Retrieve Book
var ss = symInfo.MicroStrategy;
string bookCode;
if (Utilities.IsNullOrEmpty(ss))
{
var traderName = Env.Current.StaticData.GetAlias(new Alias
{
EntityId = 0,
AliasType = PortfolioAliasType,
Source = Source,
SourceReference = symInfo.Trader
});
if (traderName != null)
bookCode = EntityPrefix + ":" + traderName.Name + ":" + "Default";
else
bookCode = EntityPrefix + ":Default";
}
else
{
bookCode = EntityPrefix + ":" + ss;
}
var book = Env.Current.StaticData.GetPartyByCode(bookCode);
if (book != null)
{
trade.BookId = book.Id;
}
return trade;
}