public VolManagerVM(IMarketFeed marketFeed, IDbManager dbManager)
{
var currentThread = Thread.CurrentThread;
currentThread.Name = "UI Thread";
LoadVolCmd = new RelayCommand(LoadData);
FitCurveCmd = new RelayCommand(FitCurve);
WindowsLoadedCmd = new RelayCommand(WindowLoaded);
InsertNewParamsCmd = new RelayCommand(InsertParamToDb);
BeforeCloseCmd = new RelayCommand(ExecuteBeforeClose);
ImpliedVolPoints = new ObservableCollection <Point>();
ModelVolPoints = new ObservableCollection <Point>();
AvailableMaturity = new ObservableCollection <DateTime>();
_strikeList = new List <double>();
_instrumentPriceSafeDico = new ConcurrentDictionary <string, double>();
_fwdBaseOffsetDico = new Dictionary <string, double>();
_dispatcher = Dispatcher.CurrentDispatcher;
_marketFeed = marketFeed;
_dbManager = dbManager;
SelectedMinStrike = 2000;
SelectedMaxStrike = 5000;
AppTitle = $"Volatility Manager {_version} {_environment}";
}
public DealManagerVM(IMarketFeed marketFeed, IDbManager dbManager)
{
_marketFeed = marketFeed;
_dbManager = dbManager;
OpenDealFormCmd = new RelayCommand(OpenDealForm);
InsertDealCmd = new RelayCommand(InsertDealIntoDb);
UpdateDealCmd = new RelayCommand(UpdateDeal);
RemoveDealCmd = new RelayCommand(RemoveDeal);
BeforeCloseCommand = new RelayCommand(ExecuteBeforeClose);
WindowsLoadedCmd = new RelayCommand(WindowLoaded);
OpenSettleDealCmd = new RelayCommand(OpenSettleDealForm);
ObsDeals = new ObservableCollection <Deal>();
ObsPositions = new ObservableCollection <ObsInstruPosition>();
ObsBookPosition = new ObservableCollection <ObsBookPosition>();
InstrumentNames = new ObservableCollection <string>();
Maturitys = new ObservableCollection <DateTime>();
_currentPosDico = new Dictionary <string, ObsInstruPosition>();
_expiredPosDico = new Dictionary <string, ObsInstruPosition>();
_bookPositionDico = new Dictionary <string, ObsBookPosition>();
_volParamDico = new Dictionary <string, VolParam>();
_fwdBaseOffsetDico = new Dictionary <string, double>();
_instruInfoDico = new Dictionary <string, Instrument>();
_instrumentPriceSafeDico = new ConcurrentDictionary <string, double>();
RowDoubleClickCmd = new DelegateCommand <object>(DisplayUpdateRmFormWin);
InstruViewClickCmd = new DelegateCommand <object>(DisplayDealView);
AppTitle = $"Deal Manager {_version} {_environment}";
}
// connection state Callback from market feed service
private void ConnectionStatusHandler(IMarketFeed sender, string connectionState)
{
if (connectionState == "Connection_Succeed")
{
marketConnectionUp = true;
}
else if (connectionState == "Connection_Down")
{
marketConnectionUp = false;
}
}
static void Main(string[] args)
{
IKernel kernel = new StandardKernel();
kernel.Load(Assembly.GetExecutingAssembly());
IMarketFeed marketFeed = kernel.Get <IMarketFeed>();
IDbManager dbManager = kernel.Get <IDbManager>();
log.Info("Pipe started");
if (args == null || args.Length != 1)
{
log.Error("Wrong arguments specified");
}
else
{
IProcess process;
if (args[0] == _closePriceSnap)
{
log.Info("Close price snapshot in progress...");
process = new CloseSnapshot(marketFeed, dbManager);
}
else if (args[0] == _newInstruSnap)
{
log.Info("New instruments snapshot in progress...");
process = new NewInstruSnapshot(marketFeed, dbManager);
}
else if (args[0] == _instruReportSnap)
{
log.Info("Instrument Reporting in progress...");
process = new InstrumentReport(dbManager);
}
else if (args[0] == _dealReportSnap)
{
log.Info("Deal Reporting in progress...");
process = new DealReport(dbManager);
}
else
{
log.Error($"Argument: {args[0]} doesn't exist");
_snapshotInProgress = false;
return;
}
process.Start();
while (process.IsRunning)
{
Thread.Sleep(1000);
}
}
log.Info("Pipe closed");
}
protected override void OnStartup(StartupEventArgs e)
{
base.OnStartup(e);
DevExpress.Xpf.Core.ApplicationThemeHelper.UpdateApplicationThemeName();
IKernel kernel = new StandardKernel();
kernel.Load(Assembly.GetExecutingAssembly());
IMarketFeed marketFeed = kernel.Get <IMarketFeed>();
IDbManager dbManager = kernel.Get <IDbManager>();
DealManagerWin dealManagerWindow = new DealManagerWin();
DealManagerVM dealManagerVm = new DealManagerVM(marketFeed, dbManager);
dealManagerWindow.DataContext = dealManagerVm;
dealManagerWindow.Show();
}
private void ConnectionStatusHandler(IMarketFeed sender, string connectionState)
{
if (connectionState == "Connection_Succeed")
{
marketConnectionUp = true;
if (databaseDataReady && marketConnectionUp)
{
SuscribeToInstrumentPrices();
}
}
else if (connectionState == "Connection_Down")
{
marketConnectionUp = false;
}
}
private void ConnectionStatusHandler(IMarketFeed sender, string connectionState)
{
if (connectionState == "Connection_Down")
{
IsRunning = false;
}
else if (connectionState == "Connection_Succeed")
{
Product[] products = _dbManager.GetAllProducts();
foreach (var product in products)
{
_marketFeed.SuscribeToProductInfo(product.ProductType, product.Id, product.Market);
}
}
}
private void ConnectionStatusHandler(IMarketFeed sender, string connectionState)
{
if (connectionState == "Connection_Down")
{
IsRunning = false;
}
else if (connectionState == "Connection_Succeed")
{
_delay = DateTime.Now.AddSeconds(_delayTime);
_instruCollection = _dbManager.GetAllInstruments(Option.PreviousWeekDay(DateTime.Today));
foreach (var instru in _instruCollection)
{
_marketFeed.SuscribeToInstrumentPrice(instru.TtCode, instru.Product.ProductType, instru.ProductId, instru.Product.Market, "Close");
}
}
}
private void DataUpdateHandler(IMarketFeed sender, string instrumentName, DateTime maturity, int strike, string optionType, string optionDescription, string productType, string productName)
{
_delay = DateTime.Now.AddSeconds(_delayTime);
if (productType == "FUTURE")
{
DateTime nextMaturity = DateTime.Today.AddMonths(_nbOfExpi + 4);
if (maturity > nextMaturity)
{
return;
}
string reutersCode = Option.BuildForwardId("STXE", maturity);
var newInstru = new Instrument()
{
MaturityDate = maturity, TtCode = instrumentName, Id = reutersCode, ProductId = productName, FullName = optionDescription,
};
_instruInfoSafeDico[reutersCode] = newInstru;
}
else if (productType == "OPTION")
{
DateTime nextMaturity = DateTime.Today.AddMonths(_nbOfExpi);
if (maturity > nextMaturity)
{
return;
}
string reutersCode = Option.BuildOptionId(optionType, maturity, "STXE" + (strike * 10), ".EX");
string forwardId = Option.BuildForwardId("STXE", maturity);
string futureId = Option.GetNextFutureTtCode("FESX", maturity);
var newInstru = new Instrument()
{
MaturityDate = maturity, TtCode = instrumentName, Id = reutersCode, OptionType = optionType, Strike = strike, ProductId = productName, FullName = optionDescription, RefForwardId = forwardId, RefFutureId = futureId
};
_instruInfoSafeDico[reutersCode] = newInstru;
}
else
{
log.Error($"Instruments: {instrumentName} not recognize");
}
}
private void PriceUpdateHandler(IMarketFeed sender, string instrumentName, double midPrice)
{
_instrumentPriceSafeDico[instrumentName] = midPrice;
_delay = DateTime.Now.AddSeconds(_delayTime);
}
public CloseSnapshot(IMarketFeed marketFeed, IDbManager dbManager)
{
_marketFeed = marketFeed;
_dbManager = dbManager;
_instrumentPriceSafeDico = new ConcurrentDictionary <string, double>();
}
// price update Callback from market feed service
private void PriceUpdateHandler(IMarketFeed sender, string instrumentName, double midPrice)
{
_instrumentPriceSafeDico[instrumentName] = midPrice;
}
public NewInstruSnapshot(IMarketFeed marketFeed, IDbManager dbManager)
{
_marketFeed = marketFeed;
_dbManager = dbManager;
_instruInfoSafeDico = new ConcurrentDictionary <string, Instrument>();
}
