private static void import(SymmetryEntities dc_, AuctionInfo info_)
{
var cusipIdentifier = findCusipIdentifier(dc_, info_);
if (cusipIdentifier == null) return;
// take the opportunity to update the coupon if it's different
if (cusipIdentifier.FI != null
&& cusipIdentifier.FI.FIBond != null
&& info_.Coupon.HasValue
&& Math.Abs(Convert.ToDouble(cusipIdentifier.FI.FIBond.Coupon) - info_.Coupon.Value) > 1e-3)
{
SLog.log.InfoFormat("Changing coupon of {0} from {1} to {2}", cusipIdentifier.Identifier,
cusipIdentifier.FI.FIBond.Coupon, info_.Coupon);
cusipIdentifier.FI.FIBond.Coupon = Convert.ToDecimal(info_.Coupon.Value);
FIChangeTracking.SetModified(cusipIdentifier.FI.FIBond, dc_);
dc_.SaveChanges();
}
bool found = false;
foreach (var auction in dc_.FIBondAuctions.Where(x => x.FIID == cusipIdentifier.FIID))
{
if (auction.AuctionDate == info_.AuctionDate.Value)
{
//SLog.log.DebugFormat("Auction already set up for {0} on {1}", info_.Cusip, info_.AuctionDate.Value);
if (!auction.EffectiveDate.HasValue)
{
SLog.log.InfoFormat("Updating auction effective date to {0}", info_.IssueDate.Value);
auction.EffectiveDate = info_.IssueDate.Value;
FIChangeTracking.SetModified(auction, dc_);
}
found = true;
break;
}
}
if (found)
{
dc_.SaveChanges();
return;
}
SLog.log.InfoFormat("Setting up auction for {0} on {1}", info_.Cusip, info_.AuctionDate.Value);
var newAuction = new FIBondAuction()
{
FIID = cusipIdentifier.FIID,
FIBond = dc_.FIBonds.FirstOrDefault(x => x.FIID == cusipIdentifier.FIID),
AuctionDate = info_.AuctionDate.Value,
EffectiveDate = info_.IssueDate.Value,
Term = info_.Term.Value
};
dc_.FIBondAuctions.Add(newAuction);
dc_.SaveChanges();
}
public static bool SaveQuote(MarketSnap snap, int sourceID, int fiid, QuoteValueType valueType, decimal value, DateTime? lastUpdated, SymmetryEntities dc, ThrowBehavior behavior = ThrowBehavior.Throw, bool overwrite = true)
{
bool saved = false;
//FIChangeTracking.DisableChangeTracking(ref dc);
try
{
var existingQuote = dc.Quotes.SingleOrDefault(q => q.MarketSnapID == snap.MarketSnapID && q.QuoteSourceID == sourceID && q.FIID == fiid);
if (existingQuote == null)
{
existingQuote = new Quote
{
LastUpdated = lastUpdated ?? DateHelpers.GetNow(),
FIID = fiid,
QuoteSourceID = sourceID,
MarketSnap = snap,
MarketSnapID = snap.MarketSnapID
};
dc.Quotes.Add(existingQuote);
dc.SaveChanges();
}
var existingQuoteValue = dc.QuoteValues.SingleOrDefault(q => q.QuoteID == existingQuote.QuoteID && q.QuoteValueType == valueType);
if (existingQuoteValue != null && overwrite)
{
if (existingQuoteValue.Value != value)
{
existingQuoteValue.Value = value;
existingQuote.LastUpdated = lastUpdated ?? DateHelpers.GetNow();
//FIChangeTracking.SetModified(existingQuoteValue, dc);
saved = true;
}
}
else
{
dc.QuoteValues.Add(new QuoteValue
{
QuoteValueType = valueType,
Value = value,
QuoteID = existingQuote.QuoteID
});
saved = true;
}
dc.SaveChanges();
}
catch (Exception ex)
{
Exceptions.Rethrow("SaveQuote", behavior, ex);
}
finally
{
//FIChangeTracking.EnableChangeTracking(ref dc);
}
return saved;
}
public static FI GetOrCreateMLPBond(MLPBondInstrument instrument, SymmetryEntities dc, ThrowBehavior behavior = ThrowBehavior.Throw)
{
if(string.IsNullOrWhiteSpace(instrument.ISIN))
{
return null;
}
FIChangeTracking.DisableChangeTracking(ref dc);
FI fi = null;
try
{
// create instrument
fi = FIHelpers.GetFIBySymmetryCode(instrument.ISIN, dc, behavior);
if (fi == null)
{
fi = new FI
{
InstrumentType = InstrumentType.Bond,
Currency = null,
DisplayName = instrument.MlpTicker,
Maturity = DateTime.FromOADate(instrument.Maturity),
SymmetryCode = instrument.ISIN
};
dc.FIs.Add(fi);
}
else
{
var newCcy = GetBondCurrencyForBbTicker(instrument.BbTicker);
if (!string.IsNullOrEmpty(newCcy) && fi.Currency != newCcy)
{
fi.Currency = newCcy;
FIChangeTracking.SetModified(fi, dc);
}
}
dc.SaveChanges();
// set identifiers
SetOrUpdateIdentifier(fi, IdentifierType.ISIN, instrument.ISIN, dc);
SetOrUpdateIdentifier(fi, IdentifierType.CUSIP, instrument.CUSIP, dc);
SetOrUpdateIdentifier(fi, IdentifierType.MLPCode, instrument.MlpTicker, dc);
SetOrUpdateIdentifier(fi, IdentifierType.RIC, instrument.RIC, dc);
SetOrUpdateIdentifier(fi, IdentifierType.Bloomberg, instrument.ISIN + " Govt", dc);
dc.SaveChanges();
// create bond
var fiBond = dc.FIBonds.SingleOrDefault(b => b.FIID == fi.FIID);
if (fiBond == null)
{
fiBond = new FIBond
{
FIID = fi.FIID,
Market = instrument.GetMarket(),
Coupon = instrument.Coupon.HasValue ? instrument.Coupon.Value : 0,
EffectiveDate = DateTime.FromOADate(instrument.EffectiveDate),
FirstCouponDate = DateTime.FromOADate(instrument.FirstCouponDate),
IssueDate = DateTime.FromOADate(instrument.IssueDate),
Series = instrument.Series,
Term = instrument.Term
};
dc.FIBonds.Add(fiBond);
}
else
{
var coupon = instrument.Coupon.HasValue ? instrument.Coupon.Value : 0;
var effectiveDate = DateTime.FromOADate(instrument.EffectiveDate);
var firstCouponDate = DateTime.FromOADate(instrument.FirstCouponDate);
var issueDate = DateTime.FromOADate(instrument.IssueDate);
if (fiBond.Market != instrument.GetMarket() ||
fiBond.Coupon != coupon ||
fiBond.EffectiveDate != effectiveDate ||
fiBond.FirstCouponDate != firstCouponDate ||
fiBond.IssueDate != issueDate ||
fiBond.Series != instrument.Series ||
fiBond.Term != instrument.Term)
{
fiBond.Market = instrument.GetMarket();
fiBond.Coupon = coupon;
fiBond.EffectiveDate = effectiveDate;
fiBond.FirstCouponDate = firstCouponDate;
fiBond.IssueDate = issueDate;
fiBond.Series = instrument.Series;
fiBond.Term = instrument.Term;
FIChangeTracking.SetModified(fiBond, dc);
}
}
dc.SaveChanges();
}
catch (Exception ex)
{
Exceptions.Rethrow("GetOrCreateMLPBond", behavior, ex);
}
finally
{
FIChangeTracking.EnableChangeTracking(ref dc);
}
return fi;
}
public static QuoteSource GetOrCreateQuoteSource(string quoteSourceCode, SymmetryEntities dc, ThrowBehavior behavior = ThrowBehavior.Throw)
{
try
{
var existingSource = GetQuoteSource(quoteSourceCode, dc, ThrowBehavior.DontThrow);
if(existingSource == null)
{
var newSource = new QuoteSource
{
QuoteSourceCode = quoteSourceCode,
DisplayName = quoteSourceCode,
QuoteSourceType = 0
};
dc.QuoteSources.Add(newSource);
dc.SaveChanges();
return newSource;
}
else
{
return existingSource;
}
}
catch (Exception ex)
{
Exceptions.Rethrow("GetOrCreateQuoteSource", behavior, ex);
}
return null;
}
public static FI GetOrCreateFiViaIdentifier(string identifier, InstrumentType insttype, string currency, DateTime maturity, SymmetryEntities dc, ThrowBehavior behavior = ThrowBehavior.Throw)
{
if (string.IsNullOrWhiteSpace(identifier))
{
return null;
}
FIChangeTracking.DisableChangeTracking(ref dc);
FI fi = null;
try
{
// create instrument
fi = GetFIBySymmetryCode(identifier, dc, behavior);
if (fi == null)
{
fi = new FI
{
InstrumentType = insttype,
Currency = currency,
DisplayName = identifier,
Maturity = maturity,
SymmetryCode = identifier
};
dc.FIs.Add(fi);
}
dc.SaveChanges();
}
catch (Exception ex)
{
Exceptions.Rethrow("GetOrCreateFiViaIdentifier", behavior, ex);
}
finally
{
FIChangeTracking.EnableChangeTracking(ref dc);
}
return fi;
}
