예제 #1
0
        private static void Update(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
                                   ClientMarketData.ProposedOrderRow parentProposedOrder, decimal quantityInstruction)
        {
            // These define the assembly and the types within those assemblies that will be used to create the proposed orders on
            // the middle tier.
            RemoteAssembly remoteAssembly    = remoteBatch.Assemblies.Add("Service.Core");
            RemoteType     proposedOrderType = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrder");

            ClientMarketData.AccountRow  accountRow  = parentProposedOrder.AccountRow;
            ClientMarketData.SecurityRow securityRow = parentProposedOrder.SecurityRowByFKSecurityProposedOrderSecurityId;

            // This will turn the signed quantity into an absolute quantity and a transaction code (e.g. -1000 is turned into a
            // SELL of 1000 shares).
            decimal parentQuantity = Math.Abs(quantityInstruction);

            int parentTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode,
                                                                      parentProposedOrder.PositionTypeCode, quantityInstruction);

            // The time in force first comes from the user preferences, next, account settings and finally defaults to a day
            // orders.
            int timeInForceCode = !ClientPreferences.IsTimeInForceCodeNull() ? ClientPreferences.TimeInForceCode :
                                  !accountRow.IsTimeInForceCodeNull() ? accountRow.TimeInForceCode : TimeInForce.DAY;

            // The destination blotter comes first from the user preferences, second from the account preferences, and finally uses
            // the auto-routing logic.
            int blotterId = !ClientPreferences.IsBlotterIdNull() ? ClientPreferences.BlotterId :
                            !accountRow.IsBlotterIdNull() ? accountRow.BlotterId :
                            TradingSupport.AutoRoute(securityRow, parentQuantity);

            // Create a command to update the proposed order.
            RemoteMethod updateParent = proposedOrderType.Methods.Add("Update");

            updateParent.Transaction = remoteTransaction;
            updateParent.Parameters.Add("rowVersion", parentProposedOrder.RowVersion);
            updateParent.Parameters.Add("proposedOrderId", parentProposedOrder.ProposedOrderId);
            updateParent.Parameters.Add("accountId", parentProposedOrder.AccountId);
            updateParent.Parameters.Add("securityId", parentProposedOrder.SecurityId);
            updateParent.Parameters.Add("settlementId", parentProposedOrder.SettlementId);
            updateParent.Parameters.Add("blotterId", blotterId);
            updateParent.Parameters.Add("positionTypeCode", parentProposedOrder.PositionTypeCode);
            updateParent.Parameters.Add("transactionTypeCode", parentTransactionTypeCode);
            updateParent.Parameters.Add("timeInForceCode", timeInForceCode);
            updateParent.Parameters.Add("orderTypeCode", OrderType.Market);
            updateParent.Parameters.Add("quantity", parentQuantity);

            foreach (ClientMarketData.ProposedOrderTreeRow proposedOrderTree in
                     parentProposedOrder.GetProposedOrderTreeRowsByFKProposedOrderProposedOrderTreeParentId())
            {
                ClientMarketData.ProposedOrderRow childProposedOrder =
                    proposedOrderTree.ProposedOrderRowByFKProposedOrderProposedOrderTreeChildId;

                // If this is the settlement part of the order, then adjust the quantity.
                if (childProposedOrder.SecurityId == parentProposedOrder.SettlementId)
                {
                    // The settlement security is needed for the calculation of the cash impact of this trade.
                    ClientMarketData.CurrencyRow currencyRow =
                        MarketData.Currency.FindByCurrencyId(childProposedOrder.SettlementId);

                    decimal marketValue = parentQuantity * securityRow.QuantityFactor *
                                          Price.Security(currencyRow, securityRow) * securityRow.PriceFactor *
                                          TransactionType.GetCashSign(parentTransactionTypeCode);

                    decimal childQuantity = Math.Abs(marketValue);

                    int childTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode,
                                                                             parentProposedOrder.PositionTypeCode, marketValue);

                    // Create a command to update the proposed order.
                    RemoteMethod updateChild = proposedOrderType.Methods.Add("Update");
                    updateChild.Transaction = remoteTransaction;
                    updateChild.Parameters.Add("rowVersion", childProposedOrder.RowVersion);
                    updateChild.Parameters.Add("proposedOrderId", childProposedOrder.ProposedOrderId);
                    updateChild.Parameters.Add("accountId", childProposedOrder.AccountId);
                    updateChild.Parameters.Add("securityId", childProposedOrder.SecurityId);
                    updateChild.Parameters.Add("settlementId", childProposedOrder.SettlementId);
                    updateChild.Parameters.Add("blotterId", blotterId);
                    updateChild.Parameters.Add("positionTypeCode", parentProposedOrder.PositionTypeCode);
                    updateChild.Parameters.Add("transactionTypeCode", childTransactionTypeCode);
                    updateChild.Parameters.Add("timeInForceCode", timeInForceCode);
                    updateChild.Parameters.Add("orderTypeCode", OrderType.Market);
                    updateChild.Parameters.Add("quantity", childQuantity);
                }
            }
        }
예제 #2
0
        /// <summary>
        /// Creates a command in a RemoteBatch structure to insert a proposed order.
        /// </summary>
        /// <param name="remoteBatch"></param>
        /// <param name="remoteTransaction"></param>
        /// <param name="accountRow"></param>
        /// <param name="securityRow"></param>
        /// <param name="positionTypeCode"></param>
        /// <param name="quantityInstruction"></param>
        private static void Insert(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
                                   ClientMarketData.AccountRow accountRow, ClientMarketData.SecurityRow securityRow, int positionTypeCode,
                                   decimal quantityInstruction)
        {
            // These define the assembly and the types within those assemblies that will be used to create the proposed orders on
            // the middle tier.
            RemoteAssembly remoteAssembly        = remoteBatch.Assemblies.Add("Service.Core");
            RemoteType     proposedOrderType     = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrder");
            RemoteType     proposedOrderTreeType = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrderTree");

            // Find the default settlement for this order.
            int settlementId = Shadows.Quasar.Common.Security.GetDefaultSettlementId(securityRow);

            // As a convention between the rebalancing section and the order generation, the parentQuantity passed into this method
            // is a signed value where the negative values are treated as 'Sell' instructions and the positive values meaning
            // 'Buy'. This will adjust the parentQuantity so the trading methods can deal with an unsigned value, which is more
            // natural for trading.
            decimal parentQuantity = Math.Abs(quantityInstruction);

            // This will turn the signed parentQuantity into an absolute parentQuantity and a transaction code (e.g. -1000 is
            // turned into a SELL of 1000 shares).
            int parentTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode, positionTypeCode, quantityInstruction);

            // The time in force first comes from the user preferences, next, account settings and finally defaults to a day
            // orders.
            int timeInForceCode = !ClientPreferences.IsTimeInForceCodeNull() ?
                                  ClientPreferences.TimeInForceCode : !accountRow.IsTimeInForceCodeNull() ? accountRow.TimeInForceCode :
                                  TimeInForce.DAY;

            // The destination blotter comes first from the user preferences, second from the account preferences, and finally uses
            // the auto-routing logic.
            int parentBlotterId = ClientPreferences.IsBlotterIdNull() ? (accountRow.IsBlotterIdNull() ?
                                                                         TradingSupport.AutoRoute(securityRow, parentQuantity) : accountRow.BlotterId) : ClientPreferences.BlotterId;

            // Create a command to delete the relationship between the parent and child.
            RemoteMethod insertParent = proposedOrderType.Methods.Add("Insert");

            insertParent.Transaction = remoteTransaction;
            insertParent.Parameters.Add("proposedOrderId", DataType.Int, Direction.ReturnValue);
            insertParent.Parameters.Add("blotterId", parentBlotterId);
            insertParent.Parameters.Add("accountId", accountRow.AccountId);
            insertParent.Parameters.Add("securityId", securityRow.SecurityId);
            insertParent.Parameters.Add("settlementId", settlementId);
            insertParent.Parameters.Add("positionTypeCode", positionTypeCode);
            insertParent.Parameters.Add("transactionTypeCode", parentTransactionTypeCode);
            insertParent.Parameters.Add("timeInForceCode", timeInForceCode);
            insertParent.Parameters.Add("orderTypeCode", OrderType.Market);
            insertParent.Parameters.Add("quantity", parentQuantity);

            // Now it's time to create an order for the settlement currency.
            if (securityRow.SecurityTypeCode == SecurityType.Equity || securityRow.SecurityTypeCode == SecurityType.Debt)
            {
                // The underlying currency is needed for the market value calculations.
                ClientMarketData.CurrencyRow currencyRow = MarketData.Currency.FindByCurrencyId(settlementId);

                decimal marketValue = parentQuantity * securityRow.QuantityFactor * Price.Security(currencyRow, securityRow)
                                      * securityRow.PriceFactor * TransactionType.GetCashSign(parentTransactionTypeCode);

                // The stragegy for handling the settlement currency changes is to calculate the old market value, calculate the
                // new market value, and add the difference to the running total for the settlement currency of this security. The
                // new market value is the impact of the trade that was just entered.
                int childTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode, positionTypeCode,
                                                                         marketValue);
                decimal childQuantity = Math.Abs(marketValue);

                // The destination blotter comes first from the user preferences, second from the account preferences, and finally
                // uses the auto-routing logic.
                int childBlotterId = ClientPreferences.IsBlotterIdNull() ? (accountRow.IsBlotterIdNull() ?
                                                                            TradingSupport.AutoRoute(currencyRow.SecurityRow, childQuantity) : accountRow.BlotterId) :
                                     ClientPreferences.BlotterId;

                // Fill in the rest of the fields and the defaulted fields for this order. Create a command to delete the
                // relationship between the parent and child.
                RemoteMethod insertChild = proposedOrderType.Methods.Add("Insert");
                insertChild.Transaction = remoteTransaction;
                insertChild.Parameters.Add("proposedOrderId", DataType.Int, Direction.ReturnValue);
                insertChild.Parameters.Add("blotterId", childBlotterId);
                insertChild.Parameters.Add("accountId", accountRow.AccountId);
                insertChild.Parameters.Add("securityId", settlementId);
                insertChild.Parameters.Add("settlementId", settlementId);
                insertChild.Parameters.Add("transactionTypeCode", childTransactionTypeCode);
                insertChild.Parameters.Add("positionTypeCode", positionTypeCode);
                insertChild.Parameters.Add("timeInForceCode", timeInForceCode);
                insertChild.Parameters.Add("orderTypeCode", OrderType.Market);
                insertChild.Parameters.Add("quantity", childQuantity);

                RemoteMethod insertRelation = proposedOrderTreeType.Methods.Add("Insert");
                insertRelation.Transaction = remoteTransaction;
                insertRelation.Parameters.Add("parentId", insertParent.Parameters["proposedOrderId"]);
                insertRelation.Parameters.Add("childId", insertChild.Parameters["proposedOrderId"]);
            }
        }