public void generateMarginRequest()
{
csvHeaders = new string[13];
csvHeaders[0] = "Firm Id";
csvHeaders[1] = "Acct Id";
csvHeaders[2] = "Exchange";
csvHeaders[3] = "Ticker Symbol";
csvHeaders[4] = "Product Name";
csvHeaders[5] = "CC Code";
csvHeaders[6] = "Period Code";
csvHeaders[7] = "Put / Call";
csvHeaders[8] = "Strike";
csvHeaders[9] = "Underlying Period Code";
csvHeaders[10] = "Net Positions";
csvHeaders[11] = "Margin Type";
csvHeaders[12] = "Client ID";
for (int instrumentCnt = 0; instrumentCnt < instruments.Length; instrumentCnt++)
{
//int instrumentCnt = 2;
//RequestType requestType = RequestType.FCMTYPE;
foreach (RequestType requestType in (RequestType[])Enum.GetValues(typeof(RequestType)))
{
Thread calcMarginCallThread = new Thread(new ParameterizedThreadStart(makeRequestCall));
calcMarginCallThread.IsBackground = true;
MarginRequestRun mrr = new MarginRequestRun();
mrr.instrumentId = instrumentCnt;
if (requestType == RequestType.FCMTYPE)
{
mrr.requestType = RequestType.FCMTYPE;
}
else
{
mrr.requestType = RequestType.MODELTYPE;
}
calcMarginCallThread.Start(mrr);
}
}
//http://msdn.microsoft.com/en-us/library/t249c2y7%28v=vs.110%29.aspx
//int instrumentCnt = 0;
//while (instrumentCnt < instruments.Length)
//{
// if (instrumentMargin.Count > 0)
// {
// int[,] instrumentInfo = instrumentMargin.Dequeue();
// Thread t = new Thread(new ParameterizedThreadStart(ThreadMethod));
// t.Start("My Parameter");
// instrumentCnt++;
// }
//}
}
public void makeRequestCall(Object obj)
{
MarginRequestRun mrr = (MarginRequestRun)obj;
int instrumentCnt = mrr.instrumentId;
RequestType requestType = mrr.requestType;
HttpClient httpClient = new HttpClient();
httpClient.DefaultRequestHeaders.Accept.Clear();
httpClient.BaseAddress = new Uri(mainCMEMarginAPIHttp);
httpClient.DefaultRequestHeaders.Add("username", smartClickID);
httpClient.DefaultRequestHeaders.Add("password", pwd);
httpClient.DefaultRequestHeaders.Accept.Add(new MediaTypeWithQualityHeaderValue("application/xml"));
//portfolioSpreadTotals.initialMarginTotals = 0;
//portfolioSpreadTotals.maintenanceMarginTotals = 0;
//portfolioSpreadTotals.initialFCM_MarginTotals = 0;
//portfolioSpreadTotals.maintenanceFCM_MarginTotals = 0;
List <string[]> output = new List <string[]>();
output.Add(csvHeaders);
if (requestType == RequestType.MODELTYPE)
//for (int instrumentCnt = 0; instrumentCnt < instruments.Length; instrumentCnt++)
{
for (int i = 0; i < optionSpreadExpressionList.Count; i++)
{
if (optionSpreadExpressionList[i].optionExpressionType != OPTION_EXPRESSION_TYPES.OPTION_EXPRESSION_RISK_FREE_RATE &&
optionSpreadExpressionList[i].spreadIdx.Count > 0 &&
optionSpreadExpressionList[i].legIdx.Count > 0 &&
optionSpreadExpressionList[i].numberOfLotsHeldForContractSummary != 0 &&
optionSpreadExpressionList[i].instrument.idInstrument == instruments[instrumentCnt].idInstrument)
{
string[] line = new string[12];
line[0] = "tml1";
line[1] = instruments[instrumentCnt].exchangeSymbol + "_" + requestType.ToString();
line[2] = optionSpreadExpressionList[i].instrument.spanExchWebAPISymbol;
line[3] = "";
line[4] = "";
int spreadIdx = optionSpreadExpressionList[i].spreadIdx[0];
int legIdx = optionSpreadExpressionList[i].legIdx[0];
if (optionSpreadExpressionList[i].callPutOrFuture == OPTION_SPREAD_CONTRACT_TYPE.FUTURE)
{
line[5] = optionSpreadExpressionList[i].instrument.spanFutureCode;
line[6] = optionStrategies[spreadIdx]
.legInfo[legIdx].contractYear.ToString()
+
optionStrategies[spreadIdx]
.legInfo[legIdx].contractMonthInt.ToString("00");
line[7] = "";
line[8] = "";
line[9] = "";
}
else
{
line[5] = optionSpreadExpressionList[i].instrument.spanOptionCode;
line[6] = optionStrategies[spreadIdx]
.legInfo[legIdx].optionYear.ToString()
+
optionStrategies[spreadIdx]
.legInfo[legIdx].optionMonthInt.ToString("00");
if (optionSpreadExpressionList[i].callPutOrFuture == OPTION_SPREAD_CONTRACT_TYPE.CALL)
{
line[7] = "CALL";
}
else
{
line[7] = "PUT";
}
line[8] = CMECoreStrikeFormat(optionSpreadExpressionList[i].strikePrice,
optionSpreadExpressionList[i].instrument.idInstrument).ToString();
//int findFutCnt = 0;
//while (findFutCnt < optionStrategies[spreadIdx]
// .legInfo.Length)
//{
// if (optionStrategies[spreadIdx]
// .legInfo[findFutCnt].legContractType == OPTION_SPREAD_CONTRACT_TYPE.FUTURE)
// {
// break;
// }
// findFutCnt++;
//}
line[9] = optionStrategies[spreadIdx]
.legInfo[optionStrategies[spreadIdx].idxOfFutureLeg].contractYear.ToString()
+
optionStrategies[spreadIdx]
.legInfo[optionStrategies[spreadIdx].idxOfFutureLeg].contractMonthInt.ToString("00");
}
line[10] = optionSpreadExpressionList[i].numberOfLotsHeldForContractSummary.ToString();
line[11] = "";
output.Add(line);
}
}
}
else
{
for (int i = 0; i < admPositionImportWeb.Count; i++)
{
int netPos = (int)admPositionImportWeb[i].Net
+ admPositionImportWeb[i].transNetLong
- admPositionImportWeb[i].transNetShort;
if (netPos != 0 &&
admPositionImportWeb[i].instrument.idInstrument == instruments[instrumentCnt].idInstrument)
{
string[] line = new string[12];
line[0] = "tml1";
line[1] = instruments[instrumentCnt].exchangeSymbol + "_" + requestType.ToString();
line[2] = instruments[instrumentCnt].spanExchWebAPISymbol;
line[3] = "";
line[4] = "";
// int spreadIdx = optionSpreadExpressionList[i].spreadIdx[0];
// int legIdx = optionSpreadExpressionList[i].legIdx[0];
if (admPositionImportWeb[i].callPutOrFuture == OPTION_SPREAD_CONTRACT_TYPE.FUTURE)
{
line[5] = instruments[instrumentCnt].spanFutureCode;
line[6] = admPositionImportWeb[i].contractInfo.contractYear.ToString()
+
admPositionImportWeb[i].contractInfo.contractMonthInt.ToString("00");
line[7] = "";
line[8] = "";
line[9] = "";
}
else
{
line[5] = instruments[instrumentCnt].spanOptionCode;
line[6] = admPositionImportWeb[i].contractInfo.optionYear.ToString()
+
admPositionImportWeb[i].contractInfo.optionMonthInt.ToString("00");
if (admPositionImportWeb[i].callPutOrFuture == OPTION_SPREAD_CONTRACT_TYPE.CALL)
{
line[7] = "CALL";
}
else
{
line[7] = "PUT";
}
line[8] = //admPositionImportWeb[i].strikeInDecimal.ToString();
CMECoreStrikeFormat(admPositionImportWeb[i].strikeInDecimal,
instruments[instrumentCnt].idInstrument).ToString();
line[9] = admPositionImportWeb[i].contractInfo.contractYear.ToString()
+
admPositionImportWeb[i].contractInfo.contractMonthInt.ToString("00");
}
line[10] = netPos.ToString();
line[11] = "";
output.Add(line);
}
}
}
//String[] line1 = { "tml2", "2", "CME", "", "", "EC", "201409", "", "", "", "1", "" };
//output[1] = line1;
//OZNN4 P1230
//String[] line2 = { "tml2", "2", "CBT", "", "", "21", "201407", "PUT", "123", "201409", "1", "" };
//output[2] = line2;
int length = output.Count();
StringBuilder csvTrades = new StringBuilder();
//stringVal.Clear();
for (int index = 0; index < length; index++)
{
string lineInput;
if (index == 0)
{
lineInput = "\"" + string.Join("\",\"", output[index]) + "\"";
}
else
{
lineInput = "\"" + string.Join("\",\"", output[index]) + "\"" + ",";
}
csvTrades.Append(lineInput);
csvTrades.Append("\n");
//stringVal.Append(",");
}
//String currentPath = Path.GetDirectoryName(Assembly.GetExecutingAssembly().Location);
if (fileOnly)
{
String dir = System.IO.Path.Combine(Directory.GetCurrentDirectory(), "CSV_CORE_TRADES");
if (!Directory.Exists(dir))
{
Directory.CreateDirectory(dir);
}
File.WriteAllText(dir + "\\"
+ instruments[instrumentCnt].exchangeSymbol + "_" +
requestType.ToString() + "_csvTrades" + ".csv", csvTrades.ToString());
}
else
{
RunAsync(csvTrades, instrumentCnt, requestType, httpClient);
}
}
