public IList<TradeInfo> Filter(FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, null);
var dict = new List<TradeInfo>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
// if (!filterData.LiveDate.IsNull && !info.IsActive(filterData.LiveDate)) continue; //Skip Inactive Swaps
dict.Add(info);
}
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<TradeInfo>();
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
return dict;
}
public IList<TradeInfo> Filter(FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, null);
var dict = new List<TradeInfo>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
//int skipped = 0;
foreach (var info in infos)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<TradeInfo>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (FilterInfo(info)) continue;
dict.Add(info);
}
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<TradeInfo>();
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
return dict;
}
virtual public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var trades = new List<Trade>();
var dict = new Dictionary<TradeInfo, Trade>();
var symbols = new Dictionary<string, Product>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (FilterInfo(info)) continue;
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
//trades.Add(trade);
var tokens = info.Symbol.Split('-');
var symbol = tokens.Length > 1 ? tokens[1] : info.Symbol; // symbol is either cusip/isin, or r-symbol
info.Symbol = symbol;
if (symbol != null) symbol = symbol.Trim();
if (!string.IsNullOrEmpty(symbol))
{
var p = Env.Current.Trade.GetProductByCode(Product.CusipProductCode, symbol) ??
Env.Current.Trade.GetProductByCode(Product.IsinProductCode, symbol);
if (p == null)
{
if (symbols.Count < MaxBonds)
{
symbols[symbol] = null; // bond;
}
else dict[info] = null;//Remove it
}
else info.Security = p;
}
else //sb.Append("[Not Imported] Symbol is null HoldingID = " + info.SourceID + " " + info.Instrument + "\n");
sb.Append(TradeImportHelper.FormatErrorMessage("Symbol is null", info.SourceID, info.Instrument));
}
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
//Now Get Bonds by Cusips and by Isins
TradeImportHelper.SnapSecurities(feed, symbols, "Bond.FeedMapping.xml", sb);
var tempProvider = new RepoTemplateProvider();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(dict.Count, "Initializing Trades");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var trade = kvp.Value;
var info = kvp.Key;
if (trade == null) continue;
if (info.Security == null)
{
if (!string.IsNullOrEmpty(info.Symbol) && symbols.ContainsKey(info.Symbol))
{
info.Security = symbols[info.Symbol];
}
}
if (info.Security != null)
{
if (info.Security.Currency == null)
{
//sb.Append("[Not Imported] Bad Security for HoldingID = " + info.SourceID + " " + info.Instrument + " Currency is NULL \n");
sb.Append(TradeImportHelper.FormatErrorMessage("Bad Security currency is NULL", info.SourceID, info.Instrument));
continue;
}
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Security.Currency))
continue;
var copy = trade.Id > 0 ? (Trade)trade.Clone() : null;
var repo = trade.Product as Repo ?? new Repo();
trade.Product = repo;
repo.ResetEventSchedule();
if (copy != null)
TradeImportHelper.CopyTrade(copy, trade);
TradeImportHelper.SetParties(trade, info);
var colSec = repo.CollateralList.FirstOrDefault();
if (colSec == null)
{
colSec = new CollateralSecurity();
repo.CollateralList = new List<CollateralSecurity> { colSec };
}
try
{
var bond = info.Security;
colSec.UnderlyingProductId = bond != null ? bond.Id : 0;
// Add repo details here...
// ----------------------------------------------------------------------------------------------------
// startDate, endDate, repo.Cash.Leg.StartDate, repoCash.Leg.EndDate, colSec.StartDate, colSec.EndDate
// repo.Duration
// repo.Cash.Leg.PaymentFrequency
// repo.Cash.Leg.IsFixedRate
// repo.SubType
// repo.Cash.IsBorrow
// repo.RepoCollateralType
// repo.TransactionType
repo.Cash.Leg.NotionalCurrency = info.Currency1;
var instrCcy = Env.Current.StaticData.GetCurrency(info.Currency1);
if (instrCcy == null)
{
//sb.Append("[Not Imported] HoldingID = " + info.SourceID + " No Currency Static Defined for " + info.Currency1 + "\n");
sb.Append(TradeImportHelper.FormatErrorMessage("No Currency Static Defined for " + info.Currency1, info.SourceID, info.Instrument));
continue;
}
repo.Cash.Leg.Daycount = OrchestradeCommon.RefData.Currency.FloatDaycount(info.Currency1);
// need to set a default daycount
repo.Cash.Leg.PaymentMarketPlaces = instrCcy.DefaultMarketPlace;
repo.NoticePeriodMarketPlace = instrCcy.DefaultMarketPlace;
// ---------------------------------------------------------------------------------------------------------
// colSec.HairCut
// colSec.HairCutType
// colSec.HairCutConvention
// colSec.IsCollateralTaken
// colSec.CouponPassThrough
colSec.NominalCollateral = info.Nominal1;
colSec.PriceType = bond.QuoteName.QuoteType;
var bd = bond as Bond;
if (bd != null)
{
colSec.PoolFactor = bd.GetPoolFactor(colSec.StartDate);
colSec.InflationFactor = bd.GetIndexationFactor(colSec.StartDate, market);
}
if (colSec.PoolFactor == 0) colSec.PoolFactor = 1;
if (colSec.InflationFactor == 0) colSec.InflationFactor = 1;
colSec.SettleCurrency = info.Currency1;
// colSec.CouponReinvestmentRate = 0;
// colSec.DividendReturnRate = 1;
CollateralHelper.SetAccrual(trade, colSec, market);
var securityPrice = info.Price;
// price ...
tempProvider.FillTrade(trade, market);
trades.Add(trade);
// rerate...
// interest amount...
}
catch(NullReferenceException x)
{
//sb.Append("[Not Imported] Fill Trade HoldingID = " + info.SourceID + " Symbol " + info.Symbol + " " + x.Message + "\n");
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.SourceID, info.Instrument));
}
catch (Exception x)
{
//sb.Append("[Not Imported] Fill Trade HoldingID = " + info.SourceID + " Symbol " + info.Symbol + " " + x.Message + "\n");
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.SourceID, info.Instrument));
}
}
else
{
//sb.Append("[Not Imported] HoldingID = " + info.SourceID + " Security not found (" + info.Instrument + ") " + "\n");
sb.Append(TradeImportHelper.FormatErrorMessage(" Security not found", info.SourceID, info.Instrument));
}
}
return trades;
}
public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var trades = new List<Trade>();
var dict = new Dictionary<TradeInfo, Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (FilterInfo(info)) continue;
if(filterData.Currencies !=null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Currency1)) continue;
if (info.Otc == null || !(info.Otc is SwapInfo) || info.Otc.IsEmpty())
{
sb.Append(TradeImportHelper.FormatErrorMessage("Swap info not found or not complete", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
var prodCurrency = Env.Current.StaticData.GetCurrency(info.Currency1);
string prodtype, aliasSource;
if (info.SecurityType.Equals(SwapInfo.IRSwap))
{
prodtype = prodCurrency.IsNonDeliverable ? "NDS" : "Swap";
aliasSource = SwapInfo.AliasSourceIrs;
}
else if (info.SecurityType.Equals(SwapInfo.CcySwap))
{
prodtype = info.Instrument.Contains("MTM") ? "MTMCurrencySwap" : "CurrencySwap";
aliasSource = SwapInfo.AliasSourceCcy;
}
else
{
prodtype = "FRA";
aliasSource = SwapInfo.AliasSourceFra;
}
var alias = Env.Current.StaticData.GetAlias(new Alias
{
AliasType = "Template",
EntityId = 0,
Source = aliasSource,
SourceReference = info.Instrument
});
if (alias != null)
{
var swapInfo = info.Otc as SwapInfo;
var template = Env.Current.StaticData.GetTemplate(Template.Shared, prodtype, alias.Name);
if (template == null && prodtype == "Swap")
{
// some swap is booked as NDS
prodtype = "NDS";
template = Env.Current.StaticData.GetTemplate(Template.Shared, prodtype, alias.Name);
prodtype = "Swap/NDS";
}
swapInfo.Generator = template;
if (swapInfo.Generator == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Generator template for " + prodtype + " " + alias.Name + " not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
}
else
{
sb.Append(TradeImportHelper.FormatErrorMessage("Alias for Generator not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var trade = new Trade();
if (FilterInfo(info)) continue;
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null && count%5==0) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
var sinfo= info.Otc as SwapInfo;
try
{
var copy = trade.Id > 0 ? (Trade)trade.Clone() : null;
var tradeType = trade.TradeType;
sinfo.Generator.Apply(trade, new SimpleDate(sinfo.TradeDate), market);
trade.TradeType = tradeType;
if (trade.Product == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("No product generated after applying Generator", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (trade.Product == null) continue;
if (copy != null)
{
TradeImportHelper.CopyTrade(copy, trade);
trade.MirrorBookId = copy.MirrorBookId;
trade.MirrorTradeId = copy.MirrorTradeId;
}
//if (sinfo.ClearingHouse != null)
// info.ClearingHouse = sinfo.ClearingHouse;
trade.SettlementDate = sinfo.SwapStartDate1;
TradeImportHelper.SetParties(trade, info);
if (info.SecurityType.Equals(SwapInfo.IRSwap))
{
var swap = trade.Product as Swap;
var payLeg = swap.PayLeg;
var recLeg = swap.ReceiveLeg;
Leg leg1 = payLeg, leg2 = recLeg;
if (!payLeg.IsFixedRate && !recLeg.IsFixedRate)
{
// basis swap
var r1 = payLeg.RateIndex; // leg1 index
var r2 = recLeg.RateIndex; // leg2 index
if (r1.Equals(r2))
{
r1 = payLeg.RateIndexTenor.Count.ToString();
r2 = recLeg.RateIndexTenor.Count.ToString();
}
var idx1 = sinfo.Generator.Name.IndexOf(r1);
var idx2 = sinfo.Generator.Name.IndexOf(r2);
if ((idx1 < idx2 && info.TradeAction.Equals("B")) || (idx1 > idx2 && (info.TradeAction.Equals("S"))))
{
swap.SwitchLegs();
}
if (idx2 < idx1)
{
leg1 = recLeg;
leg2 = payLeg;
}
InitLegs2(leg1, leg2, info);
}
else
{
if ((info.TradeAction.Equals("S") && !swap.PayLeg.IsFixedRate) ||
(info.TradeAction.Equals("B") && swap.PayLeg.IsFixedRate))
swap.SwitchLegs();
InitLegs(swap.PayLeg, swap.ReceiveLeg, info);
}
if (trade.CcpId != 0)
{
//Nothing to do let the EventScheduleHelper insert the StepIn
}
else
{
if (swap.PayLeg.StartDate < trade.GetTradingDay())
{
swap.PayLeg.FirstFullCalculationPeriod = true;
swap.PayLeg.FirstCalculationPeriodStart = sinfo.SwapStartDate1;
swap.ReceiveLeg.FirstFullCalculationPeriod = true;
swap.ReceiveLeg.FirstCalculationPeriodStart = sinfo.SwapStartDate1;
swap.PayLeg.StartDate = trade.GetTradingDay();
swap.ReceiveLeg.StartDate = swap.PayLeg.StartDate;
}
}
}
else if (info.SecurityType.Equals(SwapInfo.CcySwap))
{
var swap = trade.Product as CurrencySwap;
var mtm = trade.Product as MTMCurrencySwap;
Leg payLeg, recLeg, leg1, leg2;
payLeg = swap != null ? swap.PayLeg : mtm.PayLeg;
recLeg = swap != null ? swap.ReceiveLeg : mtm.ReceiveLeg;
if (info.TradeAction.Equals("B") && recLeg.NotionalCurrency.Equals(info.Currency2) ||
(info.TradeAction.Equals("S") && recLeg.NotionalCurrency.Equals(info.Currency1)))
{
if (swap != null)
swap.SwitchLegs();
else
mtm.SwitchLegs();
}
if (payLeg.NotionalCurrency.Equals(info.Currency1))
{
leg1 = payLeg;
leg2 = recLeg;
}
else
{
leg2 = payLeg;
leg1 = recLeg;
}
InitLegs2(leg1, leg2, info);
}
else if (info.SecurityType.Equals(SwapInfo.Fras))
{
var fra = trade.Product as FRA;
InitFra(fra, info);
}
sinfo.Generator.Provider.FillTrade(trade, market);
trade.SetProperty("TemplateName", sinfo.Generator.Name);
trade.SetProperty(TradeImportHelper.GeneratorProp, info.Instrument);
//Add UpFront Fee
if (Math.Abs(sinfo.FeeAmount) > Utilities.Epsilon)
{
var fee = new Fee
{
Date = sinfo.FeeDate,
FeeType = FeeType.Upfront,
PartyId = trade.PartyId,
Currency = sinfo.FeeCurrency,
Amount = Math.Abs(sinfo.FeeAmount),
PayReceive = sinfo.FeePayRecv.Equals("Pay") ? PayReceive.Pay : PayReceive.Receive // how about None??
};
if (trade.Fees == null) trade.Fees = new List<Fee>();
trade.Fees.Add(fee);
}
trades.Add(trade);
}
catch (Exception x)
{
Logger.Error("Import Swap/FRA/CurrencySwap/NDS", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.HoldingID, info.TradeID, info.Instrument));
}
}
sb.Append("Imported " + trades.Count + " Swaps/Fras/CurrencySwap/NDS\n");
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
return trades;
}
internal static IList<PartyInfo> ReadPartyData(FilterData filterData, StringBuilder sb)
{
var fileName = filterData.FileName;
if (!File.Exists(fileName))
{
if (sb != null) sb.Append("File " + fileName + " not found\n");
return new List<PartyInfo>();
}
var list = new List<PartyInfo>();
using (var stream = File.OpenRead(fileName))
{
using (var reader = new StreamReader(stream))
{
string line;
var header = reader.ReadLine();
if (string.IsNullOrEmpty(header))
{
Logger.Error("[Error Read File] Empty Headers ... ");
return new List<PartyInfo>();
}
var headers = new Dictionary<string, int>();
using (var csvParser = new TextFieldParser(new StringReader(header)))
{
csvParser.SetDelimiters(new[] { "," });
var hss = csvParser.ReadFields();
int idx = 0;
foreach (var s in hss)
{
headers[s.Trim()] = idx++;
}
}
while ((line = reader.ReadLine()) != null)
{
//Parse Line here
if (string.IsNullOrEmpty(line)) break; //we are at end
var pinfo = new PartyInfo(line, headers);
list.Add(pinfo);
}
}
}
return list;
}
//Init Trade Date SettleDateS Strategy CounterParty ....
internal static bool InitTrade(Trade trade, TradeInfo info, FilterData filterData, StringBuilder sb)
{
Trade existingTrade = null;
if (info.HoldingID != null)
{
if (filterData.ExistingTransIds != null && filterData.ExistingTransIds.Count > 0)
{
if (filterData.ExistingTransIds.Contains(info.HoldingID))
existingTrade = Env.Current.Trade.GetTradeByProperty(SymmetryTranId, info.HoldingID);
}
else existingTrade = Env.Current.Trade.GetTradeByProperty(SymmetryTranId, info.HoldingID);
}
if (existingTrade != null)
{
if (filterData.OnlyNewTrades) return false;
trade.Id = existingTrade.Id;
trade.Status = existingTrade.Status;
trade.Action = UpdateAction;
trade.Version = existingTrade.Version;
trade.Product = existingTrade.Product;
trade.InputUserId = existingTrade.InputUserId;
trade.InputTime = existingTrade.InputTime;
if (existingTrade.BackToBackBookId != 0)
{
trade.BackToBackBookId = existingTrade.BackToBackBookId;
trade.SetProperty(Trade.BackToBackInternalTradeId, existingTrade.GetProperty(Trade.BackToBackInternalTradeId));
}
}
else
{
trade.Id = 0; // _id--;
trade.Status = "New";
trade.Action = "Create";
}
if (info.HoldingID != null)
trade.SetProperty(SymmetryTranId, info.HoldingID);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(MurexTradeId, info.TradeID);
// set parties: entity, book, counterparty
// need to book trade under block entity
var s1 = ManagedAccountCode + ":" + info.Strategy;
var s2 = MasterFundCode + ":" + info.Strategy;
var s3 = info.Strategy;
var p1 = ManagedAccountCode;
var p2 = MasterFundCode;
var p3 = BlockEntityCode;
var entity1 = SetAndLoadParty(trade, p1, Party.Entity);
var entity2 = SetAndLoadParty(trade, p2, Party.Entity);
var entity3 = SetAndLoadParty(trade, p3, Party.Entity + ":" + Party.Block); // must be block entity
var book1 = SetAndLoadParty(trade, s1, Party.Book, entity1.Id);
var book2 = SetAndLoadParty(trade, s2, Party.Book, entity2.Id);
var book3 = SetAndLoadParty(trade, s3, Party.Book, entity3.Id, true); // book trade under book3
SetUpAllocaitonGrid(AllocName, entity3.Id, entity1.Id, info.ReportDate.AddYears(-2), 1);
if (info.Portfolio != null)
{
SetBookPortfolio(book1, info.Portfolio);
SetBookPortfolio(book2, info.Portfolio);
SetBookPortfolio(book3, info.Portfolio);
}
// set counterParty
var counterparty = Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, PartyDisplay, info.Counterparty);
if (counterparty == null)
{
if (!info.Counterparty.Equals(TradeInfo.DefaultParty))
Logger.Warn(FormatReadFileMessage("CounterParty does not exist by display name, will create or load one by code", info.Counterparty, info.HoldingID, info.TradeID, false));
SetAndLoadParty(trade, info.Counterparty, Party.CounterParty);
}
else
{
trade.PartyId = counterparty.Id;
trade.InitialPartyId = counterparty.Id;
}
var tradeDate = (info.Otc != null && !info.Otc.TradeDate.IsNull) ? info.Otc.TradeDate : info.ReportDate;
trade.TradeTime = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day);
trade.SettlementDate = info.ReportDate;
trade.Price = info.Price;
if (!double.IsNaN(info.Quantity))
trade.Quantity = info.Quantity;
else
trade.Quantity = info.Nominal1;
trade.SettleCurrency = info.Currency1;
trade.Source = Source;
trade.SourceReference = info.HoldingID;
trade.SetProperty(SourceSys, info.FileSource);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(info.FileSource + "TradeId", info.TradeID);
//Set Clearer and PrimeBroker
if (info.PrimeBroker != null)
{
var clearer = Env.Current.StaticData.GetPartyByCode(info.PrimeBroker);
if (clearer == null)
{
//Should create SSI Automatically ??
SetAndLoadParty(trade, info.PrimeBroker, Party.Clearer + ":" + Party.PrimeBroker);
}
else
{
trade.ClearerId = clearer.Id;
trade.PrimeBrokerId = clearer.Id;
}
}
/*
else if (info.Account != null)
{
var clearer = Env.Current.StaticData.GetPartyByCode(info.Account);
if (clearer == null)
{
//Should create SSI Automatically ??
SetAndLoadParty(trade, info.Account, Party.Clearer);
}
else
trade.ClearerId = clearer.Id;
}*/
return true;
}
public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var trades = new List<Trade>();
var dict = new Dictionary<TradeInfo, Trade>();
var exceptions = new List<Exception>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
count++;
if (FilterInfo(info)) continue;
if (info.IsMurex && (info.Otc == null || info.Otc.IsEmpty()))
{
sb.Append(TradeImportHelper.FormatErrorMessage("Fx info not found or not complete", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
var ccy = info.Currency1;
if (ccy == null && info.Otc != null && info.Otc is FxInfo)
ccy = ((FxInfo)info.Otc).PrimaryCcy;
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(ccy)) continue; //Skip filtered ccy
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
count = 0;
foreach (var kvp in dict)
{
count++;
if (filterData.Progress != null && count % 5 == 0) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
var fxInfo = info.Otc as FxInfo;
var fxoInfo = info.Otc as FxoInfo;
try
{
var copy = trade.Id > 0 ? (Trade)trade.Clone() : null;
if (copy != null)
TradeImportHelper.CopyTrade(copy, trade);
CurrencyPair cp;
string c1, c2;
if (fxInfo != null)
{
c1 = fxInfo.PrimaryCcy;
c2 = fxInfo.QuotingCcy;
}
else
{
c1 = info.Currency1;
c2 = info.Currency2;
}
cp = Env.Current.Trade.GetCurrencyPair(c1, c2);
if (cp == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Undefined Currency Pair " + c1 + ":" + c2, info.HoldingID, info.TradeID, info.Instrument));
continue;
}
var ccy1 = Env.Current.StaticData.GetCurrency(cp.Primary);
var ccy2 = Env.Current.StaticData.GetCurrency(cp.Quoting);
var isNdf = false;
if (ccy1.IsNonDeliverable || ccy2.IsNonDeliverable)
isNdf = true;
if (info.SecurityType.Equals(FxInfo.SpotForward) || info.SecurityType.Equals(TradeInfo.CrossCurrency))
{
// FX or NDF
var fx = trade.Product as FX ?? (isNdf ? new NDF() : new FX());
var fxTempProvider = new FXTemplateProvider();
var ndfTemplateProvider = new NDFTemplateProvider();
fx.IsForward = false;
fx.Primary = cp.Primary;
fx.Quoting = cp.Quoting;
var sd = fxInfo != null ? fxInfo.SettleDate : info.Maturity;
fx.PrimarySettleDate = sd;
fx.QuotingSettleDate = sd;
if (!info.IsMurex)
{
// handling imagine fx info
if (fx.Primary == info.Currency1)
{
fx.PrimaryAmount = Math.Abs(info.Quantity);
fx.QuotingAmount = Math.Abs(info.Nominal1);
trade.Quantity = info.Quantity;
}
else
{
fx.PrimaryAmount = Math.Abs(info.Nominal1);
fx.QuotingAmount = Math.Abs(info.Quantity);
trade.Quantity = info.Nominal1;
}
fx.SpotRate = Math.Abs(fx.Primary.Equals("USD") ? info.Price : 1 / info.Price);
}
else if (fxInfo != null)
{
if (fx.Primary == fxInfo.PrimaryCcy)
{
fx.PrimaryAmount = Math.Abs(fxInfo.PrimaryAmount);
fx.QuotingAmount = Math.Abs(fxInfo.QuotingAmount);
//trade.Quantity = info.TradeAction.Equals("B") ? -1 : 1;
}
else
{
fx.PrimaryAmount = Math.Abs(fxInfo.QuotingAmount);
fx.QuotingAmount = Math.Abs(fxInfo.PrimaryAmount);
//trade.Quantity = info.TradeAction.Equals("B") ? 1 : -1;
}
if (info.TradeAction.Equals("B")) //It means the Buy the M_XPQTYCUR fxinfo.QuotingCcy
{
if (fx.Primary == fxInfo.QuotingCcy)
{
trade.Quantity = 1;
}
else trade.Quantity = -1;
}
else
{
if (fx.Primary == fxInfo.QuotingCcy)
{
trade.Quantity = -1;
}
else trade.Quantity = 1;
}
fx.SpotRate = Math.Abs(info.Price);
}
double amt = fx.PrimaryAmount * fx.SpotRate;
if (Math.Abs(amt - fx.QuotingAmount) > 1)
{
var diff1 = Math.Abs(amt - fx.QuotingAmount);
//Check the other way round
amt = fx.QuotingAmount * fx.SpotRate;
if (Math.Abs(amt - fx.PrimaryAmount) > 1)
{
var diff2 = amt - fx.PrimaryAmount;
var diff = Math.Min(diff1, diff2);
sb.Append("Warning Incorrect Amounts for Trade Spot-Forward: TradeID = " + info.TradeID + " Diff = " + diff + "\n");
}
}
var spotDate = fxInfo != null ? cp.SpotDate(fxInfo.TradeDate) : cp.SpotDate(new SimpleDate(trade.TradeTime));
if (spotDate < sd) fx.IsForward = true;
trade.Price = fx.SpotRate;
trade.Product = fx;
if (!isNdf)
fxTempProvider.FillTrade(trade, market);
else if (fxInfo != null)
{
var ndCcy = ccy1.IsNonDeliverable ? cp.Primary : cp.Quoting;
var ndfixing = cp.Quoting + "/" + cp.Primary;
var ndf = fx as NDF;
if (ndf == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Instrument was saved as FX while it's NDF", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
ndf.NonDeliverableCurrency = ndCcy;
var fix = Env.Current.StaticData.GetFxFixing(ndfixing);
if (fix == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("FX Fixing Missing for " + ndfixing, info.HoldingID, info.TradeID, info.Instrument));
continue;
}
ndf.FXFixingName = fix.Name;
ndf.FXFixingOffset = fix.FixingLag;
ndf.FXFixingDate = fxInfo.FixingDate;
if (!double.IsNaN(fxInfo.FixingRate) && fxInfo.FixingRate != 0)
ndf.FixingValue = fxInfo.FixingRate;
ndfTemplateProvider.FillTrade(trade, market);
}
}
else if (fxoInfo != null)
{
// fx option
var fxo = trade.Product as FXOption ?? new FXOption();
var optionInfo = fxo.OptionInfo;
var fxoTempProvider = new FXOptionTemplateProvider();
trade.Product = fxo;
fxo.ExpiryDate = info.Maturity;
fxo.Primary = cp.Primary;
fxo.Quoting = cp.Quoting;
fxo.IsBuy = info.TradeAction.Equals("B") ? true : false;
if (fxo.Primary.Equals(info.Currency1))
{
fxo.PrimaryAmount = Math.Abs(info.Nominal1);
fxo.QuotingAmount = Math.Abs(info.Nominal2);
}
else
{
fxo.PrimaryAmount = Math.Abs(info.Nominal2);
fxo.QuotingAmount = Math.Abs(info.Nominal1);
}
fxo.OptionStrike = Math.Abs(info.Strike);
fxo.ExerciseSettlement = fxoInfo.SettlementType;
if (fxo.ExerciseSettlement == ExerciseSettlement.None)
{
sb.Append("Warning SettlementType is None: TradeID=" + info.TradeID + " " + info.Instrument + "\n");
}
fxo.InitialPremiumAmount = fxoInfo.OptionPremium;
fxo.InitialPremiumDate = fxoInfo.PremiumDate;
fxo.InitialPremiumCurrency = fxoInfo.PremiumCcy;
fxo.InitialPremiumPayReceive = info.TradeAction.Equals("B") ? PayReceive.Pay : PayReceive.Receive;
fxo.OptionType = info.PutCall == "P" ? OptionType.Put : OptionType.Call;
fxo.SettleCurrency = info.Currency1;
fxo.SettlementMarketPlaces = cp.DefaultMarketPlaces;
fxo.SettlementLag = cp.SpotLag;
fxo.ExpireCity = MapExpireCity(fxoInfo.CutOff);
double amt = fxo.PrimaryAmount * fxo.OptionStrike;
if (Math.Abs(amt - fxo.QuotingAmount) > 1)
{
sb.Append("Warning Incorrect Amounts for Trade FXOption: TradeID=" + info.TradeID + " Diff = " + (amt - fxo.PrimaryAmount) + "\n");
}
fxo.ExerciseType = OptionExerciseType.European;
fxoTempProvider.FillTrade(trade, market);
}
TradeImportHelper.SetParties(trade, info);
trades.Add(trade);
}
catch (NullReferenceException x)
{
Logger.Error("Import FX", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.HoldingID, info.TradeID, info.Instrument));
}
catch (Exception x)
{
Logger.Error("Import FX", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.HoldingID, info.TradeID, info.Instrument));
}
}
sb.Append("Imported " + trades.Count + " FX Trades\n");
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
return trades;
}
internal static IList<TradeInfo> ReadData(FilterTrade filterTrade, FilterData filterData, StringBuilder sb)
{
var fileName= filterData.FolderName;
if (!File.Exists(fileName))
{
if (sb != null) sb.Append("File " + fileName + " not found\n");
return new List<TradeInfo>();
}
var list = new List<TradeInfo>();
using (var stream = File.OpenRead(fileName))
{
using (var reader = new StreamReader(stream))
{
string line;
var header = reader.ReadLine();
if (string.IsNullOrEmpty(header))
{
Logger.Error("[Error Read File] Empty Headers ... ");
return new List<TradeInfo>();
}
var headers = new Dictionary<string, int>();
using (var csvParser = new TextFieldParser(new StringReader(header)))
{
csvParser.SetDelimiters(new[] { "," });
var hss = csvParser.ReadFields();
int idx = 0;
foreach (var s in hss)
{
headers[s.Trim()] = idx++;
}
}
//var hss = header.Split(Separators, StringSplitOptions.None);
int skipped1 = 0, skipped2 = 0, skipped3 = 0, skipped4 = 0, skipped5 = 0;
var count = 0;
while ((line = reader.ReadLine()) != null)
{
count++;
//Parse Line here
if (string.IsNullOrEmpty(line)) break; //we are at end
var tinfo = new TradeInfo(line, headers);
// start filtering out bad entries
// 1. Symbol not found
// 2. Duplicated entries
// 3. Trade has expired
// 4. Quantity/Nominal is 0
// 5. Security type not support
var isblankedOut = tinfo.IsMurex && tinfo.SecurityType.Equals(FxInfo.SpotForward); // murex spotforward info is blanked out
var isSymbolBlankedOut = isblankedOut || (tinfo.IsMurex && tinfo.SecurityType.Equals(SwapInfo.CcySwap));
if (tinfo.ReportDate.IsNull) tinfo.ReportDate = filterData.LiveDate;
if (!isSymbolBlankedOut && tinfo.Symbol == null)
{
var msg = FormatReadFileMessage("Product Symbol not found", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
Logger.Warn("Trade Import " + msg);
//sb.Append(msg);
skipped1++;
continue;
}
if (tinfo.IsMurex && tinfo.HoldingID != null)
{
// right now only Murex has id for each entry
if (filterData.ExistingIds.Contains(tinfo.HoldingID))
{
var msg = FormatReadFileMessage("Duplicated HoldingID found", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
//sb.Append(msg);
Logger.Warn("Trade Import " + msg);
skipped2++;
continue;
}
else
filterData.ExistingIds.Add(tinfo.HoldingID);
}
if (!tinfo.Maturity.IsNull && filterData.LiveDate > tinfo.Maturity)
{
if (tinfo.IsMurex || tinfo.Maturity.Month != filterData.LiveDate.Month)
{
var msg = FormatReadFileMessage("Trade has matured before live date", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
//sb.Append(msg);
Logger.Warn("Trade Import " + msg);
skipped3++;
continue;
}
}
if (tinfo.Nominal1 == 0 && tinfo.Nominal2 == 0)
{
var msg = FormatReadFileMessage("Trade's quantity/nominal is 0", tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
//sb.Append(msg);
Logger.Warn("Trade Import " + msg);
skipped4++;
continue;
}
if (!tinfo.IsMurex && !SecurityTypeSupported(tinfo.SecurityType))
{
var msg = FormatReadFileMessage("Security type(" + (tinfo.SecurityType ?? string.Empty) + ") is not supported by the importer",
tinfo.Instrument, tinfo.HoldingID, tinfo.TradeID);
Logger.Warn("Trade Import " + msg);
skipped5++;
continue;
}
list.Add(tinfo);
}
var skipped = skipped1 + skipped2 + skipped3 + skipped4 + skipped5;
sb.Append(skipped + "/" + count + " entries are skipped at file loading\n");
if (skipped1 > 0) sb.Append("Skip symbol is null " + skipped1 + "\n");
if (skipped2 > 0) sb.Append("Skip duplicated entries " + skipped2 + "\n");
if (skipped3 > 0) sb.Append("Skip trade has expired " + skipped3 + "\n");
if (skipped4 > 0) sb.Append("Skip 0 quality/norminal " + skipped4 + "\n");
if (skipped5 > 0) sb.Append("Skip security type not identified " + skipped5 + "\n");
}
}
filterData.Data = list;
return list;
}
virtual public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var trades = new List<Trade>();
var dict = new Dictionary<TradeInfo, Trade>();
var exceptions = new List<Exception>();
//var futures = new Dictionary<string, Future>();
var allContracts = Env.Current.MarketData.GetAllContracts(null);
var contracts = new List<Contract>();
var isETO = IsListedOption();
foreach (var c in allContracts)
{
if (isETO != c.IsETO) continue;
if (c.TickerSymbol != null)
{
contracts.Add(c);
}
}
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
//int skipped = 0;
foreach (var info in infos)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (FilterInfo(info)) continue;
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
string display;
var bbgTicker = info.IsMurex ? TryGetTicker(info, out display) : TryGetTicker2(info, out display);
//info.Identifier2 + info.Symbol.Substring(info.Symbol.Length - 2);
if (!string.IsNullOrEmpty(bbgTicker))
{
var prod = Env.Current.Trade.GetProductByCode(Product.DefaultTicker, bbgTicker) as Future;
if (!info.IsMurex && prod == null)
prod = Env.Current.Trade.GetProductByCode(Product.RtDefaultTicker, info.Symbol) as Future;
if (prod != null && prod.Contract != null)
{
if (IsBadMaturity(info.Maturity, prod.ContractMaturity, info.IsMurex))
{
sb.Append("Warning: " + info.Instrument + " Maturity " + info.Maturity + " is different than System created " + prod.ContractMaturity + "\n");
SetSourceProperty(prod, info);
}
else if (!info.IsMurex)
{
TradeImportHelper.SetAndSaveRtDefaultTicker(prod, info.Symbol);
}
info.Security = prod;
dict[info] = trade;
continue;
}
if (prod != null && prod.Contract == null)
{
Logger.Warn("Future Import Bad future found skipping null contract " + bbgTicker + prod.Id);
}
Contract contract;
var fut = FindFuture(feed, info, contracts, bbgTicker, out contract);
#if false
if (contract == null)
{
var toSave = FindContracts(feed, bbgTicker, info.ReportDate);
if (toSave != null && toSave.Count > 0)
{
var saved = new List<Contract>();
var errors = new List<string>();
var warnings = new List<string>();
foreach (var c in toSave)
{
errors.Clear();
warnings.Clear();
c.IsValid(warnings, errors);
if (errors.Count == 0)
try
{
var cc = Env.Current.MarketData.SaveAndLoadContract(c);
saved.Add(cc);
}
catch
{
sb.Append("Saving Contract fails: " + bbgTicker + "\n");
continue;
}
else
{
sb.Append("Snapped Contract is not valid: " + bbgTicker + " Error: " + errors[0] + "\n");
continue;
}
}
if(saved.Count > 0) fut = FindFuture(feed, info, saved, bbgTicker);
}
}
#endif
if (fut != null)
{
if (!info.IsMurex && fut.ContractMaturity < filterData.LiveDate)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Contract expiry date " + TradeImportHelper.FormatDate(fut.ContractMaturity)
+ " is before live date", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (fut.Id <= 0)
{
try
{
fut = (Future)Env.Current.Trade.SaveAndLoadProduct(fut);
}
catch
{
sb.Append(TradeImportHelper.FormatErrorMessage("Cannot save created " + info.SecurityType, info.HoldingID, info.TradeID, info.Instrument));
continue;
}
}
if (IsBadMaturity(info.Maturity, fut.ContractMaturity, info.IsMurex))
{
sb.Append("Warning: " + info.Instrument + " Maturity " + info.Maturity + " is different than System created " + fut.ContractMaturity + "\n");
SetSourceProperty(fut, info);
}
else if (!info.IsMurex)
TradeImportHelper.SetAndSaveRtDefaultTicker(fut, info.Symbol);
info.Security = fut;
dict[info] = trade;
}
else
{
sb.Append(TradeImportHelper.FormatErrorMessage("Cannot Find " + info.SecurityType + " " + display, info.HoldingID, info.TradeID, info.Instrument));
continue;
}
}
else
{
sb.Append(TradeImportHelper.FormatErrorMessage("Symbol not found", info.HoldingID, info.TradeID, info.Instrument));
}
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
var tempProvider = new FutureTemplateProvider();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(dict.Count, "Initializing Trades");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var trade = kvp.Value;
var info = kvp.Key;
if (info.Security != null)
{
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && info.Security.Currency != null
&& !filterData.Currencies.Contains(info.Security.Currency))
continue;
if (((Future)info.Security).Contract.RtTickerSymbol == null && info.Security.GetProperty(Product.RtDefaultTicker) == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Trade Security found but contract's Rt Ticker Symbol is missing",
info.HoldingID, info.TradeID, info.Instrument));
continue;
}
trade.Product = info.Security;
try
{
trade.PriceType = info.Security.QuoteName.QuoteType;
if (Utilities.IsPercentageQuotation(trade.PriceType) /*|| trade.PriceType == QuotationType.Cents*/)
{
trade.Price = trade.Price / 100;
info.MarketPrice /= 100;
}
tempProvider.FillTrade(trade, market);
trade.Product = info.Security;
if (trade.Fees != null)
{
if (trade.Product.Currency == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Invalid Trade Product Ccy is NULL", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
foreach (var f in trade.Fees)
{
f.Currency = trade.Product.Currency;
f.Date = trade.SettlementDate;
}
}
trades.Add(kvp.Value);
}
catch (Exception x)
{
Logger.Error("Future Import", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.HoldingID, info.TradeID, info.Instrument));
}
#if false
if (filterData.SaveQuote)
{
var q = TradeImportHelper.SaveAndLoadQuote(trade, market, info.ReportDate, info.MarketPrice, exceptions);
if (q != null)
sb.Append("[Quote Saved] " + q.Name + "\n");
else
sb.Append("[Quote Not Saved] HoldingID = " + info.SourceID + " Symbol = " + info.Symbol + "\n");
}
#endif
}
else
{
sb.Append(TradeImportHelper.FormatErrorMessage(" Security not found", info.HoldingID, info.TradeID, info.Instrument));
}
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
var ptype = IsListedOption() ? " ListedOptions\n" : " Futures\n";
sb.Append("Imported " + trades.Count + ptype);
return trades;
}
public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var trades = new List<Trade>();
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var dict = new Dictionary<TradeInfo, Trade>();
var symbols = new Dictionary<string, Product>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (FilterInfo(info)) continue;
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
var symbol = info.Symbol; // symbol is cusip/isin/sedol
if (symbol != null) symbol = symbol.Trim();
if (!string.IsNullOrEmpty(symbol))
{
var p = Env.Current.Trade.GetProductByCode(Product.CusipProductCode, symbol) ??
Env.Current.Trade.GetProductByCode(Product.IsinProductCode, symbol) ??
Env.Current.Trade.GetProductByCode(Product.SedolProductCode, symbol);
if (p == null)
{
if (symbols.Count < MaxEqs)
{
symbols[symbol] = null;
}
else dict[info] = null; //Remove it
}
else info.Security = p;
}
else
sb.Append(TradeImportHelper.FormatErrorMessage("Symbol is null", info.HoldingID, info.TradeID, info.Instrument));
}
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
// snapping equities by cusip, isin or sedol
var snapped = new List<Product>();
var exceptions = new List<Exception>();
if (symbols.Count > 0 && feed != null)
{
var prodcs = new List<Product>();
foreach (var s in symbols.Keys)
{
var eq = new Equity();
eq.SetProperty(Product.DefaultTicker, s);
prodcs.Add(eq);
}
sb.Append("Snapping Equities By Symbol " + symbols.Count + " " + Utilities.ToString(new List<string>(symbols.Keys)) + "\n");
try
{
FeedImportSecurityTaskExecutor.SnapProducts("Equity.FeedMapping.xml", prodcs, feed, exceptions, true, snapped);
// might need other equity type snapping
}
catch (Exception x)
{
sb.Append(x.ToString());
}
}
foreach (var p in snapped)
{
var isin = p.Isin;
var cusip = p.Cusip;
var sedol = p.Sedol;
if (p.Id > 0)
{
if (symbols.ContainsKey(cusip))
symbols[cusip] = p;
else if (symbols.ContainsKey(isin))
symbols[isin] = p;
else if (symbols.ContainsKey(sedol))
symbols[sedol] = p;
}
}
if (snapped.Count > 0) sb.Append("Snapped " + snapped.Count + " equities by Symbol\n");
var tempEquityProvider = new EquityTemplateProvider();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(dict.Count, "Initializing Trades");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
if (trade == null) continue;
if (info.Security == null)
{
if (!string.IsNullOrEmpty(info.Symbol) && symbols.ContainsKey(info.Symbol))
info.Security = symbols[info.Symbol];
}
if (info.Security != null)
{
if (info.Security.Currency == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Bad Security currency is NULL", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Security.Currency))
{
continue;
}
var equity = info.Security as Equity;
if (CreateEquity(trade, info, market, sb, tempEquityProvider))
{
trades.Add(trade);
}
}
else
sb.Append(TradeImportHelper.FormatErrorMessage("Security not found", info.HoldingID, info.TradeID, info.Symbol));
}
if (exceptions.Count > 0)
{
sb.Append("Exceptions snapping equities:\n");
foreach (var ex in exceptions) sb.Append(ex.Message + " " + ex + "\n");
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
sb.Append("Imported " + trades.Count + " Equities\n");
return trades;
}
public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var trades = new List<Trade>();
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var dict = new Dictionary<TradeInfo, Trade>();
var symbols = new Dictionary<string, Product>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
//int skipped = 0;
foreach (var info in infos)
{
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (FilterInfo(info)) continue;
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
//trades.Add(trade);
var symbol = info.Symbol; // symbol is either cusip/isin, or r-symbol
if (symbol != null) symbol = symbol.Trim();
if (!string.IsNullOrEmpty(symbol))
{
var p = Env.Current.Trade.GetProductByCode(Product.CusipProductCode, symbol) ??
Env.Current.Trade.GetProductByCode(Product.IsinProductCode, symbol);
if (p == null)
{
if (symbols.Count < MaxBonds)
{
symbols[symbol] = null; // bond;
}
else dict[info] = null;//Remove it
}
else info.Security = p;
}
else
sb.Append(TradeImportHelper.FormatErrorMessage("Symbol is null", info.HoldingID, info.TradeID, info.Instrument));
}
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
//Now Get Bonds by Cusips and by Isins
var snapped = new List<Product>();
var exceptions = new List<Exception>();
if (symbols.Count > 0 && feed != null)
{
var prodcs = new List<Product>();
foreach (var s in symbols.Keys)
{
var bond = new Bond();
bond.SetProperty(Product.DefaultTicker, s);
prodcs.Add(bond);
}
sb.Append("Snapping Bonds By Symbol " + symbols.Count + " " + Utilities.ToString(new List<string>(symbols.Keys)) + "\n");
try{
FeedImportSecurityTaskExecutor.SnapProducts("Bond.FeedMapping.xml", prodcs, feed, exceptions, true, snapped);
}
catch (Exception x)
{
sb.Append(x.ToString());
}
}
foreach (var p in snapped)
{
var isin = p.Isin;
var cusip = p.Cusip;
if (p.Id > 0)
{
if (symbols.ContainsKey(isin))
symbols[isin] = p;
else if (symbols.ContainsKey(cusip))
symbols[cusip] = p;
}
}
if (snapped.Count > 0) sb.Append("Snapped " + snapped.Count + " bonds by Symbol\n");
var tempBondProvider = new BondTemplateProvider();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(dict.Count, "Initializing Trades");
count = 0;
//int fxbcount = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
if (trade == null)
{
//skipped++;
continue;
}
if (info.Security == null)
{
if (!string.IsNullOrEmpty(info.Symbol) && symbols.ContainsKey(info.Symbol))
{
info.Security = symbols[info.Symbol];
}
}
if (info.Security != null)
{
if (info.Security.Currency == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Bad Security currency is NULL", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Security.Currency))
{
continue;
}
var bond = info.Security as Bond;
if (bond != null && bond.IsFixedRate == false)
{
var rateInex = Env.Current.StaticData.GetRateIndex(bond.Leg.IndexCurrency, bond.Leg.RateIndex);
if (rateInex == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Missing RateIndex " + bond.Leg.IndexCurrency + " " + bond.Leg.RateIndex,
info.HoldingID, info.TradeID, info.Instrument));
continue;
}
}
if (CreateBond(trade, info, filterData, market, sb, tempBondProvider))
trades.Add(trade);
}
else
sb.Append(TradeImportHelper.FormatErrorMessage("Security not found", info.HoldingID, info.TradeID, info.Symbol));
}
if (exceptions.Count > 0)
{
sb.Append("Exceptions snapping bonds:\n");
foreach (var ex in exceptions) sb.Append(ex.Message + " " + ex + "\n");
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
sb.Append("Imported " + trades.Count + " Bonds\n");
return trades;
}
static bool CreateBond(Trade trade, TradeInfo info, FilterData filterData, Market market, StringBuilder sb, TemplateProvider provider)
{
try
{
var bond = (Bond)info.Security;
trade.Product = info.Security;
// assuming file has all clean price
trade.PriceType = QuotationType.CleanPrice;
if (bond.IssueDate > trade.SettlementDate)
trade.SettlementDate = bond.IssueDate;
trade.Price /= 100;
info.MarketPrice /= 100;
trade.Quantity = info.Nominal1/bond.FaceValue;
if (!double.IsNaN(info.Quantity))
{
if (trade.Quantity != info.Quantity)
sb.Append("Warning Bad Quantity for Trade" + " Symbol " + info.Symbol + "\n");
}
provider.FillTrade(trade, market);
if (Double.IsNaN(trade.Accrual))
{
trade.Accrual = 0;
sb.Append("Warning Bad Accrual for Trade" + " Symbol " + info.Symbol + "\n");
}
return true;
}
catch (Exception x)
{
Logger.Error("Import Bond", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message, info.HoldingID, info.TradeID, info.Instrument));
return false;
}
}
public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var trades = new List<Trade>();
var dict = new Dictionary<TradeInfo, Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (FilterInfo(info)) continue;
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Currency1)) continue;
if (info.Otc == null || !(info.Otc is SwaptionInfo) || info.Otc.IsEmpty())
{
sb.Append(TradeImportHelper.FormatErrorMessage("Swaption info not found or not complete", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
var alias =
Env.Current.StaticData.GetAlias(new Alias
{
AliasType = "Template",
EntityId = 0,
Source = SwaptionInfo.AliasSourceSwpt,
SourceReference = info.Instrument
});
if (alias != null)
{
var sinfo = info.Otc as SwapInfo;
sinfo.Generator = Env.Current.StaticData.GetTemplate(Template.Shared, "Swaption", alias.Name);
if (sinfo.Generator == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Generator Template for Swaption " + alias.Name + " not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
}
else
{
sb.Append(TradeImportHelper.FormatErrorMessage("Alias for Generator not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null && count % 5 == 0) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
var swInfo = info.Otc as SwaptionInfo;
try
{
var copy = trade.Id > 0 ? (Trade)trade.Clone() : null;
if (swInfo.Generator != null)
{
var tradeType = trade.TradeType;
swInfo.Generator.Apply(trade, new SimpleDate(swInfo.TradeDate), market);
trade.TradeType = tradeType;
}
if (trade.Product == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("No product generated after applying Generator", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (copy != null)
{
TradeImportHelper.CopyTrade(copy, trade);
trade.MirrorBookId = copy.MirrorBookId;
trade.MirrorTradeId = copy.MirrorTradeId;
}
TradeImportHelper.SetParties(trade, info);
var swaption = (Swaption)trade.Product;
trade.SettlementDate = swInfo.SettleDate;
swaption.ExpiryDate = swInfo.OptionMaturity;
swaption.ExerciseType= info.OptionStyle.Equals("E") ? OptionExerciseType.European : OptionExerciseType.American;
swaption.ExerciseSettlement = swInfo.SettlementType;
swaption.IsBuy = info.TradeAction.Equals("B");
swaption.InitialPremiumPayReceive = swaption.IsBuy ? PayReceive.Pay : PayReceive.Receive;
swaption.InitialPremiumAmount = Math.Abs(swInfo.FeeAmount);
swaption.InitialPremiumCurrency = swInfo.FeeCurrency;
swaption.InitialPremiumDate = swInfo.SettleDate;
if (swInfo.SettleDate >= swInfo.OptionMaturity)
swaption.FirstPremium.IsForwardStart = true;
var swap = swaption.Swap;
// Assuming trade action tells direction of underlying swap (probably putcall)
if (info.PutCall.Equals("C") && swap.ReceiveLeg.IsFixedRate)
swap.SwitchLegs();
else if (info.PutCall.Equals("P") && !swap.ReceiveLeg.IsFixedRate)
swap.SwitchLegs();
var fixedLeg = swap.PayLeg.IsFixedRate ? swap.PayLeg : swap.ReceiveLeg;
var floatLeg = swap.PayLeg.IsFixedRate ? swap.ReceiveLeg : swap.PayLeg;
InitLegs(swap.PayLeg, swap.ReceiveLeg, info);
if (trade.CcpId != 0)
{
//Nothing to do let the EventScheduleHelper insert the StepIn
}
else
{
if (fixedLeg.StartDate < trade.GetTradingDay())
{
fixedLeg.FirstFullCalculationPeriod = true;
fixedLeg.FirstCalculationPeriodStart = fixedLeg.StartDate;
floatLeg.FirstFullCalculationPeriod = true;
floatLeg.FirstCalculationPeriodStart = floatLeg.StartDate;
fixedLeg.StartDate = trade.GetTradingDay();
floatLeg.StartDate = fixedLeg.StartDate;
}
}
if (swInfo.Generator != null)
swInfo.Generator.Provider.FillTrade(trade, market);
if (swInfo.Generator != null)
trade.SetProperty("TemplateName", swInfo.Generator.Name);
trade.SetProperty(TradeImportHelper.GeneratorProp, info.Instrument);
//Add UpFront Fee
/*
if (Math.Abs(info.PremiumAmount) > Utilities.Epsilon)
{
var fee = new Fee
{
Date = swInfo.SettleDate,
FeeType = FeeType.Upfront,
PartyId = trade.PartyId,
Currency = trade.Product.Currency,
Amount = Math.Abs(info.PremiumAmount),
PayReceive = info.PremiumAmount < 0 ? PayReceive.Pay : PayReceive.Receive
};
if (trade.Fees == null) trade.Fees = new List<Fee>();
trade.Fees.Add(fee);
}*/
trades.Add(trade);
}
catch (Exception x)
{
Logger.Error("Import Swaption", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.HoldingID, info.TradeID, info.Instrument));
}
}
sb.Append("Imported " + trades.Count + " Swaptions\n");
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
return trades;
}
private void ImportProductButtonClick(object sender, EventArgs e)
{
var all = checkBoxAllProducts.Checked;
var sb = new StringBuilder();
tradeOutputText.Lines = null;
var trades = new List<Trade>();
//var excludeTradeIds = new List<long>();
var folderName = textBoxTradeFolder.Text;
var ccys = Utilities.ToList(checkedComboBoxEditCurrency.Text);
//var tranIds = Utilities.ToList(textBoxTransIds.Text); // ??
var stgys = Utilities.ToList(checkedComboBoxEditStrategy.Text); // disabled
var les = Utilities.ToList(checkedComboBoxEditLegalEntity.Text); // disabled
var sources = Utilities.ToList(checkedComboBoxEditSources.Text.ToLower());
var liveDate = GetLiveDate();
importProductButton.Enabled = false;
buttonCancel.Enabled = true;
bool onlyNewTrade = checkBoxnlyNewTrade.Checked;
var progress = new ImportProgress { ProgressBar = saveProgressBar, IsCanceled = false };
importProductButton.Tag = progress;
var filterData = new FilterData
{
Currencies = ccys,
//TransIds = tranIds,
OnlyNewTrades = onlyNewTrade,
LiveDate = liveDate,
Strategies = stgys,
Progress = progress,
FolderName = folderName
};
var existIds = Env.Current.Trade.GetTradePropertyValues(TradeImportHelper.SymmetryTranId, false);
filterData.ExistingTransIds = new List<string>();
filterData.ExistingIds = new List<string>();
foreach (var id in existIds.Keys) filterData.ExistingTransIds.Add(id);
tradeOutputText.Text = "";
var feed = checkBoxUseFeed.Checked ? GetFeed() : null;
// if (TradeImportHelper.NewMethod) filterData.Data = TradeImportHelper.LoadFile(fileName, filterData);
var market = GetMarket();
var importers = BuildImporters();
var thread = new Thread(() =>
{
try
{
var lst = new List<string>();
lst.AddRange(all ? AllProducTypes : Utilities.ToList(checkedComboBoxEditProduct.Text).ToArray());
string[] files = Directory.GetFiles(filterData.FolderName, "*.csv");
var filesSorted = SortFiles(files, sources); // remove not used and sort files in the folder
foreach (var f in filesSorted)
{
filterData.FolderName = f; // replace with file name
filterData.Data = null;
sb.Append("-------- Importing from " + Path.GetFileName(f) +
" --------\n");
foreach (var ci in lst)
{
if (progress.IsCanceled) return;
Invoke(new MethodInvoker(() =>
{
tradeOutputText.AppendText(" Importing " + ci + "\n");
}));
ITradeImportHelper importer;
if (importers.TryGetValue(ci, out importer))
{
trades.AddRange(importer.Import(market, feed, sb, filterData));
}
else
{
Logger.Error("Cannot Find Importer for " + ci);
}
}
}
//Filter Trades
//var newtrades = trades.Where(t => t.Id <= 0 || t.Status != "Matured").ToList();
//trades = newtrades;
/*
var ssb = new StringBuilder();
foreach (var s in filterData.MissingEntities)
{
ssb.Append("Missing Entity " + s + "\n");
sb.Append("Missing Entity " + s + "\n");
}
foreach (var s in filterData.MissingStrategies)
{
ssb.Append("Missing Strategy " + s + "\n");
sb.Append("Missing Strategy " + s + "\n");
}
if (ssb.Length > 0)
Invoke(new MethodInvoker(() => MessageBox.Show(ssb.ToString())));
*/
//Filter using IsValidInput
{
var validTrades = new List<Trade>();
var errors = new List<string>();
var warnings = new List<string>();
sb.Append("-------------------- Validation Check --------------------\n");
foreach (var t in trades)
{
try
{
errors.Clear();
warnings.Clear();
bool isValid = t.IsValid(warnings, errors);
var id = t.GetProperty(TradeImportHelper.SymmetryTranId) ?? "N/A";
var sid = t.GetProperty(TradeImportHelper.MurexTradeId) ?? "N/A";
if (!isValid)
{
foreach (var err in errors)
sb.Append("[IsValid Error] Trade= ").Append(t.Id).Append(" HoldingID= ").Append(id).Append(" TradeId= ").Append(sid).
Append(" type= ").Append(t.Product.GetType().Name).Append(" ").Append(err).Append("\n");
}
else
{
foreach (var err in warnings)
sb.Append("[IsValid Warning] Trade= ").Append(t.Id).Append(" HoldingID= ").Append(id).Append(" TradeId= ").Append(sid).
Append(" type= ").Append(t.Product.GetType().Name).Append(" ").Append(err).Append("\n");
validTrades.Add(t);
}
}
catch (Exception xx)
{
Logger.Error("IsValid Input " + t.Id + " ", xx);
}
}
trades = validTrades;
}
sb.Append("\nImported Trades Count in all: " + trades.Count + "\n");
saveProductButton.Tag = trades;
/*
if (excludeTradeIds.Count != 0)
{
foreach (long id in excludeTradeIds)
{
var trade = Env.Current.Trade.GetTrade(id);
if (trade == null) continue;
if (trade.Status == "Canceled") continue;
trade.Action = "Cancel";
trade.SetProperty("InitialId", Convert.ToString(trade.Id));
trades.Add(trade);
}
}*/
if (progress.IsCanceled) return;
Invoke(new MethodInvoker(() =>
{
MessageBox.Show(trades.Count +
" trades Imported");
tradeOutputText.Lines =
sb.ToString().Split('\n');
if (trades.Count > 0)
ShowTrades(trades, null);
}));
}
catch (Exception x)
{
Logger.Error(x);
Invoke(new MethodInvoker(() => MessageBox.Show(x.ToString())));
}
finally
{
Invoke(new MethodInvoker(() =>
{
importProductButton.Enabled = true;
importProductButton.Tag = null;
buttonCancel.Enabled = false;
}
));
}
});
thread.Start();
}
private void ImportPartyButtonClick(object sender, EventArgs e)
{
importPartyButton.Enabled = false;
var sb = new StringBuilder();
var progress = new ImportProgress { ProgressBar = saveProgressBar, IsCanceled = false };
importPartyButton.Tag = progress;
var filename = textBoxPartyFile.Text;
var filterData = new FilterData
{
FileName = filename
};
var thread = new Thread(() =>
{
try
{
sb.Append("-------- Importing from " + Path.GetFileName(filename) +
" --------\n");
Invoke(new MethodInvoker(() =>
{
tradeOutputText.AppendText(" Importing parties \n");
}));
var infos = TradeImportHelper.ReadPartyData(filterData, sb);
var infos2 = new List<PartyInfo>();
var parties = new List<Party>();
var partyCodes = new HashSet<string>();
string duplicates = string.Empty;
int newCount = 0, updateCount = 0;
foreach (var info in infos)
{
if (partyCodes.Contains(info.Code))
{
var msg = "[Load Party Error] Duplicated code (" + info.Code + ") found, will be ignored\n";
duplicates += msg;
sb.Append(msg);
}
else
{
partyCodes.Add(info.Code);
infos2.Add(info);
}
}
if (duplicates.Length > 0)
{
if (MessageBox.Show("Duplicates:\n" + duplicates + "Do you want to continue without them?",
"Load Parties", MessageBoxButtons.YesNo) == DialogResult.No)
return;
}
foreach (var info in infos2)
{
var party = TradeImportHelper.LoadParty(info, sb);
if (party != null)
{
parties.Add(party);
if (party.Action.Equals(TradeImportHelper.UpdateAction))
updateCount++;
else
newCount++;
}
}
var count = parties.Count;
if (count == 0)
{
sb.Append("No new parties loaded\n");
}
else
{
var msg = newCount + " new and " + updateCount + " updated parties loaded.\n";
sb.Append(msg);
if (MessageBox.Show(msg + " Do you want to Save?", "Save Parties", MessageBoxButtons.YesNo) == DialogResult.No)
return;
saveProgressBar.Properties.Minimum = 0;
saveProgressBar.Properties.Maximum = count;
saveProgressBar.EditValue = 0;
var thread2 = new Thread(() => SaveParties(parties, importPartyButton));
thread2.Start();
}
tradeOutputText.Lines = sb.ToString().Split('\n');
}
catch (Exception x)
{
Logger.Error(x);
Invoke(new MethodInvoker(() => MessageBox.Show(x.ToString())));
}
finally
{
Invoke(new MethodInvoker(() =>
{
importPartyButton.Enabled = true;
}
));
}
});
thread.Start();
}
