/// <summary>
/// Creates a temporary copy of a model portfolio.
/// </summary>
/// <param name="modelRow">The original model record.</param>
/// <returns>A batch of commands that will create a copy of the original model.</returns>
private static ModelBatch CopyModel(ClientMarketData.ModelRow modelRow)
{
// Create the batch and fill it in with the assembly and type needed for this function.
ModelBatch modelBatch = new ModelBatch();
RemoteAssembly remoteAssembly = modelBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Model");
// This method will insert a copy of the original model's header.
RemoteMethod insertModel = remoteType.Methods.Add("Insert");
insertModel.Parameters.Add("modelId", DataType.Int, Direction.ReturnValue);
insertModel.Parameters.Add("rowVersion", DataType.Long, Direction.Output);
insertModel.Parameters.Add("objectTypeCode", modelRow.ObjectRow.ObjectTypeCode);
insertModel.Parameters.Add("name", String.Format("Copy of {0}", modelRow.ObjectRow.Name));
insertModel.Parameters.Add("schemeId", modelRow.SchemeId);
insertModel.Parameters.Add("algorithmId", modelRow.AlgorithmId);
insertModel.Parameters.Add("temporary", true);
insertModel.Parameters.Add("description", modelRow.ObjectRow.Description);
// For a sector model, copy each of the sector level targets into the destination model.
if (modelRow.ModelTypeCode == ModelType.Sector)
{
// The object Type for this operation.
RemoteType sectorTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.SectorTarget");
// Add the position level target to the model.
foreach (ClientMarketData.SectorTargetRow sectorTargetRow in modelRow.GetSectorTargetRows())
{
RemoteMethod insertSector = sectorTargetType.Methods.Add("Insert");
insertSector.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertSector.Parameters.Add("sectorId", sectorTargetRow.SectorId);
insertSector.Parameters.Add("percent", sectorTargetRow.Percent);
}
}
// For a position model, copy each of the position level targets into the destination model.
if (modelRow.ModelTypeCode == ModelType.Security)
{
// The object Type for this operation.
RemoteType positionTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.PositionTarget");
// Add the position level target to the model.
foreach (ClientMarketData.PositionTargetRow positionTargetRow in modelRow.GetPositionTargetRows())
{
RemoteMethod insertSecurity = positionTargetType.Methods.Add("Insert");
insertSecurity.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertSecurity.Parameters.Add("securityId", positionTargetRow.SecurityId);
insertSecurity.Parameters.Add("positionTypeCode", positionTargetRow.PositionTypeCode);
insertSecurity.Parameters.Add("percent", positionTargetRow.Percent);
}
}
// Save the reference to the 'modelId' return parameter.
modelBatch.ModelIdParameter = insertModel.Parameters["modelId"];
// This batch will create a copy of the original model.
return(modelBatch);
}
/// <summary>
/// Constructs a well formed, but empty, AppraisalDocument.
/// </summary>
public AppraisalDocument()
{
// Initialize the members.
this.accountRow = null;
this.modelRow = null;
// Create the root element and add it to the document.
this.AppendChild(new AppraisalElement(this));
}
/// <summary>
/// Returns a set of orders that will achieve the targets specified by the model.
/// </summary>
/// <param name="accountRow">The account or parent account to be rebalanced.</param>
/// <param name="modelRow">The target percentages to use for rebalancing.</param>
/// <returns>A Dataset of new, updated and deleted orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// The orders to insert, update and delete orders to achieve the target percentages will be put in this DataSet.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// Rebalance the parent account and all it's children.
SelectedSecurity.RecurseAccounts(remoteBatch, remoteTransaction, accountRow, modelRow);
// This is the sucessful result of rebalancing.
return(remoteBatch);
}
/// <summary>
/// Returns a set of orders that will achieve the targets specified by the model.
/// </summary>
/// <param name="accountRow">The account or parent account to be rebalanced.</param>
/// <param name="modelRow">The target percentages to use for rebalancing.</param>
/// <returns>A Dataset of new, updated and deleted orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// Make sure the scheme still exists in the in-memory database. We need it to rebalance the appraisal.
ClientMarketData.SchemeRow schemeRow;
if ((schemeRow = ClientMarketData.Scheme.FindBySchemeId(modelRow.SchemeId)) == null)
{
throw new ArgumentException("Scheme doesn't exist in the ClientMarketData", modelRow.SchemeId.ToString());
}
// The final result of this method is a command batch that can be sent to the server.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// Rebalance the parent account and all it's children.
RecurseAccounts(remoteBatch, remoteTransaction, accountRow, modelRow, schemeRow);
// The sucessful result of rebalancing.
return(remoteBatch);
}
/// <summary>
/// Returns a set of orders that will achieve the targets specified by the model.
/// </summary>
/// <param name="accountRow">The account or parent account to be rebalanced.</param>
/// <param name="modelRow">The target percentages to use for rebalancing.</param>
/// <returns>A Dataset of new, updated and deleted orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// The orders to insert, update and delete orders to achieve the target percentages will be put in this
// DataSet.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// The outline of the appraisal will be needed to make calculations based on a position, that is a security,
// account, position type combination. Note that we're also including all the model securities in the
// outline. This triggers a rebalance if a security exists in the model, but doesn't exist yet in the
// appraisal.
AppraisalSet appraisalSet = new Appraisal(accountRow, modelRow, true);
// Rebalance the parent account and all it's children.
Security.RecurseAccounts(remoteBatch, remoteTransaction, appraisalSet, accountRow, modelRow);
// This is the sucessful result of rebalancing.
return(remoteBatch);
}
/// <summary>
/// Recursively calculates proposed orders for a sector.
/// </summary>
/// <param name="sector">Gives the current sector (sector) for the calculation.</param>
private static void RecurseSectors(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction, ClientMarketData.ModelRow modelRow,
AppraisalSet.SectorRow driverSector, decimal actualSectorMarketValue, decimal targetSectorMarketValue)
{
// The main idea here is to keep the ratio of the security to the sector constant, while changing the market
// value of the sector. Scan each of the securities belonging to this sector.
foreach (AppraisalSet.ObjectTreeRow objectTreeRow in
driverSector.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
// Cycle through each of the securities in the sector. We're going to keep the ratio of the security the
// same as we target a different sector total.
foreach (AppraisalSet.SecurityRow driverSecurity in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
// We need to reference the security record for calculating proposed orders and the market value
// of the trade.
ClientMarketData.SecurityRow securityRow =
ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// In this rebalancing operation, the cash balance is dependant on the securities bought and
// sold. When stocks are bought or sold below, they will impact the underlying currency. A cash
// target can be reached by setting all the other percentages up properly. As long as the total
// percentage in a model is 100%, the proper cash target will be calculated. We don't have to do
// anything with this asset type.
if (securityRow.SecurityTypeCode == SecurityType.Currency)
{
continue;
}
// The ratio of the security within the sector will stay constant, even though the sector may
// increase or decrease with the target in the model. Note that there's only one account in the
// 'Accounts' table of the driver because this is a 'Wrap' operation.
foreach (AppraisalSet.AccountRow driverAccount in driverPosition.GetAccountRows())
{
// Find the account associated with the driver record.
ClientMarketData.AccountRow accountRow =
ClientMarketData.Account.FindByAccountId(driverAccount.AccountId);
// The market value of all the securities are normalized to the base currency of the account
// so they can be aggregated.
ClientMarketData.CurrencyRow currencyRow =
ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Sector rebalancing keeps the percentage of a security within the sector constant. Only the
// overall percentage of the sector with respect to the NAV changes. The first step in this
// rebalancing operation is to calculate the market value of the given position.
decimal actualPositionMarketValue = MarketValue.Calculate(currencyRow, accountRow,
securityRow, driverPosition.PositionTypeCode, MarketValueFlags.EntirePosition);
// The target market value operation keeps the percentage of the position constant while
// changing the overall sector percentage.
decimal targetPositionMarketValue = (actualSectorMarketValue == 0) ? 0.0M :
actualPositionMarketValue * targetSectorMarketValue / actualSectorMarketValue;
// Calculate the market value of an order that will achieve the target. Note that we're not
// including the existing proposed orders in the market value, but we did include them when
// calculating the account's market value. This allows us to put in what-if orders that will
// impact the market value before we do the rebalancing.
decimal proposedMarketValue = targetPositionMarketValue - MarketValue.Calculate(currencyRow,
accountRow, securityRow, driverPosition.PositionTypeCode,
MarketValueFlags.ExcludeProposedOrder);
// Calculate the quantity needed to hit the target market value and round it according to the
// model. Note that the market values and prices are all denominated in the currency of the
// parent account. Also note the quantityFactor is needed for the proper quantity
// calculation.
decimal proposedQuantity = proposedMarketValue /
(Price.Security(currencyRow, securityRow) * securityRow.QuantityFactor);
// If we have an equity, round to the model's lot size.
if (securityRow.SecurityTypeCode == SecurityType.Equity)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.EquityRounding, 0) *
modelRow.EquityRounding;
}
// A debt generally needs to be rounded to face.
if (securityRow.SecurityTypeCode == SecurityType.Debt)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.DebtRounding, 0) *
modelRow.DebtRounding;
}
// Have the OrderForm object construct an order based on the quantity we've calcuated
// from the market value. This will fill in the defaults for the order and translate the
// signed quantities into transaction codes.
ProposedOrder.Create(remoteBatch, remoteTransaction, accountRow, securityRow,
driverAccount.PositionTypeCode, proposedQuantity);
}
}
}
// Recurse into each of the sub-sectors. This allows us to rebalance with any number of levels to the
// hierarchy. Eventually, we will run across a sector with security positions in it and end up doing some
// real work.
foreach (AppraisalSet.SectorRow childSector in objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
SectorWrap.RecurseSectors(remoteBatch, remoteTransaction, modelRow, childSector, actualSectorMarketValue, targetSectorMarketValue);
}
}
}
/// <summary>
/// Rebalances an account to the sector targets, then recursively rebalances the children accounts.
/// </summary>
/// <param name="orderFormBuilder">A collection of orders.</param>
/// <param name="accountRow">The parent account to be rebalanced.</param>
/// <param name="modelRow">The model containing the sector targets.</param>
/// <param name="schemeRow">The outline scheme used to define the sector contents.</param>
private static void RecurseAccounts(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow, ClientMarketData.SchemeRow schemeRow)
{
// All the market values of all the securities in this account are normalized to a single currency so they can
// be aggregated.
ClientMarketData.CurrencyRow currencyRow = ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Calculate the total market value for the appraisal without including child accounts. This is a 'Wrap'
// rebalancing, so we're only concerned with what's in this account. The account's market value will be the
// denominator in all calculations involving sector percentages.
decimal accountMarketValue = MarketValue.Calculate(currencyRow, accountRow,
MarketValueFlags.EntirePosition);
// The outline of the appraisal will be needed to make market value calculations based on a sector. Note that
// we're not including the child accounts in the outline. Wrap rebalancing works only on a single account at
// a time.
AppraisalSet appraisalSet = new Appraisal(accountRow, schemeRow, false);
// By cycling through all the immediate children of the scheme record, we'll have covered the top-level
// sectors in this appraisal.
foreach (AppraisalSet.SchemeRow driverScheme in appraisalSet.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow driverTree in
driverScheme.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (AppraisalSet.SectorRow driverSector in
driverTree.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
// Find the sectors row record that corresponds to the current sector in the appraisal set.
ClientMarketData.SectorRow sectorRow = ClientMarketData.Sector.FindBySectorId(driverSector.SectorId);
// Get the market value of the top-level sector, including all sub-sectors and all positions
// belonging to only the current account.
decimal actualSectorMarketValue = MarketValue.Calculate(currencyRow, accountRow, sectorRow,
MarketValueFlags.EntirePosition);
// This will find the model percentage of the current top-level sector. If the sector wasn't
// specified in the model, assume a value of zero, which would indicate that we're to sell the
// entire sector.
ClientMarketData.SectorTargetRow sectorTargetRow =
ClientMarketData.SectorTarget.FindByModelIdSectorId(modelRow.ModelId, driverSector.SectorId);
decimal targetPercent = (sectorTargetRow == null) ? 0.0M : sectorTargetRow.Percent;
// The sector's target market value is calculated from the model percentage and the current
// account market value. This is placed in a member variable so it's available to the methods
// when we recurse.
decimal targetSectorMarketValue = accountMarketValue * targetPercent;
// Now that we have a sector target to shoot for, recursively descend into the structure
// calculating proposed orders.
SectorWrap.RecurseSectors(remoteBatch, remoteTransaction, modelRow, driverSector, actualSectorMarketValue,
targetSectorMarketValue);
}
}
}
// Now that we've rebalanced the parent account, cycle through all the children accounts and rebalance them.
foreach (ClientMarketData.ObjectTreeRow objectTreeRow in
accountRow.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (ClientMarketData.AccountRow childAccount in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetAccountRows())
{
SectorWrap.RecurseAccounts(remoteBatch, remoteTransaction, childAccount, modelRow, schemeRow);
}
}
}
/// <summary>
/// Recursively rebalances an account and all it's children.
/// </summary>
/// <param name="accountRow">The parent account to be rebalanced.</param>
private static void RecurseAccounts(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
AppraisalSet appraisalSet, ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// The base currency of the account is used to cacluate market values.
ClientMarketData.CurrencyRow currencyRow = ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Calculate the total market value for the appraisal. This will be the denominator in all calculations involving
// portfolio percentages.
decimal accountMarketValue = MarketValue.Calculate(currencyRow, accountRow, MarketValueFlags.EntirePosition);
// Cycle through all the positions of the appraisal using the current account and calculate the size and direction of
// the trade needed to bring it to the model's target percent.
foreach (AppraisalSet.SecurityRow driverSecurity in appraisalSet.Security)
{
// We need to reference the security row in the ClientMarketData to price this item.
ClientMarketData.SecurityRow securityRow = ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// In this rebalancing operation, the cash balance is dependant on the securities bought and sold. The assumption
// is made that we won't implicitly add or remove cash to accomplish the reblancing operation. When stocks are
// bought or sold below, they will impact the underlying currency. A cash target can be reached by setting all the
// other percentages up properly. As long as the total percentage in a model is 100%, the proper cash target will
// be calculated. We don't have to do anything with this asset type.
if (securityRow.SecurityTypeCode == SecurityType.Currency)
{
continue;
}
// This section will calculate the difference in between the actual and target market values for each
// position and create orders that will bring the account to the targeted percentages.
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
// Calculate the proposed quantity needed to bring this asset/account combination to the percentage given by
// the model. First, find the target percent. If it's not there, we assume a target of zero (meaning sell all
// holdings).
ClientMarketData.PositionTargetRow positionTargetRow =
ClientMarketData.PositionTarget.FindByModelIdSecurityIdPositionTypeCode(modelRow.ModelId,
securityRow.SecurityId, driverPosition.PositionTypeCode);
decimal targetPositionPercent = positionTargetRow == null ? 0.0M : positionTargetRow.Percent;
// The market value of this trade will be the target market value less the current market value of
// this position (without including the existing proposed orders in the current market value
// calculation).
decimal targetPositionMarketValue = targetPositionPercent * accountMarketValue;
decimal actualPositionMarketValue = MarketValue.Calculate(currencyRow, accountRow, securityRow,
driverPosition.PositionTypeCode, MarketValueFlags.ExcludeProposedOrder);
decimal proposedMarketValue = targetPositionMarketValue - actualPositionMarketValue;
// Calculate the quantity needed to hit the target market value and round it according to the model. Note that
// the market values and prices are all denominated in the currency of the parent account. Also note the
// quantityFactor is needed for the proper quantity calculation.
decimal price = Price.Security(currencyRow, securityRow);
decimal proposedQuantity = price == 0.0M ? 0.0M : proposedMarketValue / (price * securityRow.QuantityFactor);
// If we have an equity, round to the model's lot size. Common values are 100 and 1.
if (securityRow.SecurityTypeCode == SecurityType.Equity)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.EquityRounding, 0) * modelRow.EquityRounding;
}
// A debt generally needs to be rounded to face.
if (securityRow.SecurityTypeCode == SecurityType.Debt)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.DebtRounding, 0) * modelRow.DebtRounding;
}
// Have the Order Form Builder object construct an order based on the new proposed quantity. This method will
// fill in the defaults needed for a complete Proposed Order. It will also create an deposit or widthdrawal
// from an account to cover the transaction.
ProposedOrder.Create(remoteBatch, remoteTransaction, accountRow, securityRow, driverPosition.PositionTypeCode,
proposedQuantity);
}
}
// Now that we've rebalanced the parent account, cycle through all the children accounts and rebalance them.
foreach (ClientMarketData.ObjectTreeRow objectTreeRow in
accountRow.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (ClientMarketData.AccountRow childAccount in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetAccountRows())
{
Security.RecurseAccounts(remoteBatch, remoteTransaction, appraisalSet, childAccount, modelRow);
}
}
}
/// <summary>
/// Recursively calculates proposed orders for a sector.
/// </summary>
/// <param name="sector">Gives the current sector (sector) for the calculation.</param>
private static void RecurseSectors(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.CurrencyRow currencyRow, ClientMarketData.ModelRow modelRow, AppraisalSet.ObjectRow driverObject,
decimal actualSectorMarketValue, decimal targetSectorMarketValue)
{
// Run through each of the positions in the sector and calculate the current percentage of the position within
// the sector. We're going to keep this percentage as we rebalance to the new sector market value.
foreach (AppraisalSet.SecurityRow driverSecurity in driverObject.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
// We need to know what kind of security we're dealing with when calculating market values and quantities
// below.
ClientMarketData.SecurityRow securityRow =
ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// In this rebalancing operation, the cash balance is dependant on the securities bought and sold. When
// stocks are bought or sold below, they will impact the underlying currency. We can not balance to a
// currency target directly.
if (securityRow.SecurityTypeCode == SecurityType.Currency)
{
continue;
}
// Calculate the proposed orders for each account. The fraction of the security within the sector will
// stay the same, even though the sector may increase or decrease with respect to the total market value.
foreach (AppraisalSet.AccountRow driverAccount in driverPosition.GetAccountRows())
{
// The underlying currency is needed for the market value calculations.
ClientMarketData.AccountRow accountRow = ClientMarketData.Account.FindByAccountId(driverAccount.AccountId);
// Sector rebalancing keeps the percentage of a security within the sector constant. Only the overall
// percentage of the sector with respect to the NAV changes. To accomplish this, we first calculate
// the percentage of the security within the sector before we rebalance the sector.
decimal actualPositionMarketValue = MarketValue.Calculate(currencyRow,
accountRow, securityRow, driverPosition.PositionTypeCode,
MarketValueFlags.EntirePosition);
// Calculate the target market value as a percentage of the entire sector (use zero if the sector has
// no market value to prevent divide by zero errors).
decimal targetPositionMarketValue = (actualSectorMarketValue == 0) ? 0.0M :
actualPositionMarketValue * targetSectorMarketValue / actualSectorMarketValue;
// The target proposed orders market value keeps the percentage of the position constant while
// changing the overall sector percentage.
decimal proposedMarketValue = targetPositionMarketValue - MarketValue.Calculate(currencyRow,
accountRow, securityRow, driverPosition.PositionTypeCode,
MarketValueFlags.ExcludeProposedOrder);
// Calculate the quantity needed to hit the target market value and round it according to the
// model. Note that the market values and prices are all denominated in the currency of the
// parent account. Also note the quantityFactor is needed for the proper quantity calculation.
decimal proposedQuantity = proposedMarketValue / (Price.Security(currencyRow, securityRow) *
securityRow.PriceFactor * securityRow.QuantityFactor);
// If we have an equity, round to the model's lot size.
if (securityRow.SecurityTypeCode == SecurityType.Equity)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.EquityRounding, 0) *
modelRow.EquityRounding;
}
// A debt generally needs to be rounded to face.
if (securityRow.SecurityTypeCode == SecurityType.Debt)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.DebtRounding, 0) *
modelRow.DebtRounding;
}
// Have the Order Form Builder object construct an order based on the quantity we've calcuated from
// the market value. This method will fill in the defaults needed for a complete proposed order.
ProposedOrder.Create(remoteBatch, remoteTransaction, accountRow, securityRow,
driverAccount.PositionTypeCode, proposedQuantity);
}
}
}
// Recurse into each of the sub-sectors. This allows us to rebalance with any number of levels to the
// hierarchy. Eventually, we will run across a sector with security positions in it and end up doing some
// real work.
foreach (AppraisalSet.ObjectTreeRow driverTree in
driverObject.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
SectorMerge.RecurseSectors(remoteBatch, remoteTransaction, currencyRow, modelRow,
driverTree.ObjectRowByFKObjectObjectTreeChildId, actualSectorMarketValue,
targetSectorMarketValue);
}
}
/// <summary>
/// Rebalances an AppraisalModelSet to sector targets. The model is applied to the aggregate market value of the
/// account and it's children.
/// </summary>
/// <param name="accountId">The parent account to be rebalanced.</param>
/// <param name="modelId">The sector model to be used.</param>
/// <returns>A set of proposed orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// Make sure the scheme still exists in the in-memory database. We need it to rebalance to calculate
// sector totals.
ClientMarketData.SchemeRow schemeRow;
if ((schemeRow = ClientMarketData.Scheme.FindBySchemeId(modelRow.SchemeId)) == null)
{
throw new ArgumentException("Scheme doesn't exist in the ClientMarketData", modelRow.SchemeId.ToString());
}
// All the market values need to be normalized to a single currency so the sectors can be aggregated. This
// value is made available to all methods through a member rather than passed on the stack.
ClientMarketData.CurrencyRow currencyRow = accountRow.CurrencyRow;
// The final result of this method is a command batch that can be sent to the server.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// Calculate the total market value for the appraisal and all the sub-accounts. This will be the denominator
// in all calculations involving sector percentages. This feature makes a 'Merge' rebalancer different from a
// 'Wrap' rebalance. The 'Wrap' uses the sub-account's market value as the denominator when calculating
// sector market values.
decimal accountMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// The outline of the appraisal will be needed to make calculations based on a position, that is a security,
// account, position type combination grouped by a security classification scheme.
AppraisalSet appraisalSet = new Appraisal(accountRow, schemeRow, true);
// By cycling through all the immediate children of the scheme record, we'll have covered the top-level
// sectors in this appraisal.
foreach (AppraisalSet.SchemeRow driverScheme in appraisalSet.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow driverTree in driverScheme.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (AppraisalSet.SectorRow driverSector in driverTree.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
// The appraisal set collects the ids of the records used. We need to look up the actual sector
// record from the ClientMarketData in order to search through it and aggregate sub-sectors and
// securities.
ClientMarketData.SectorRow sectorRow = ClientMarketData.Sector.FindBySectorId(driverSector.SectorId);
// Get the market value of the top-level sector, including all subaccounts and all positions.
decimal actualSectorMarketValue = MarketValue.Calculate(currencyRow, accountRow,
sectorRow, MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// This will find the model percentage of the current top-level sector. If the sector wasn't
// specified in the model, assume a value of zero, which would indicate that we're to sell the
// entire sector.
ClientMarketData.SectorTargetRow sectorTargetRow =
ClientMarketData.SectorTarget.FindByModelIdSectorId(modelRow.ModelId, driverSector.SectorId);
decimal targetPercent = sectorTargetRow == null ? 0.0M : sectorTargetRow.Percent;
// The target market value is calculated from the model percentage and the actual aggregate
// account market value.
decimal targetSectorMarketValue = accountMarketValue * targetPercent;
// Now that we have a target to shoot for, recursively descend into the structure calculating
// propsed orders.
RecurseSectors(remoteBatch, remoteTransaction, currencyRow, modelRow, driverSector.ObjectRow,
actualSectorMarketValue, targetSectorMarketValue);
}
}
}
// This object holds a complete set of proposed orders to achieve the sector targets in the model.
return(remoteBatch);
}
/// <summary>
/// Chooses or creates a model for the appraisal.
/// </summary>
/// <param name="accountId">The account used to select a model.</param>
public static int SelectModel(int accountId)
{
// The logic in this method will determine if a temporary model is needed and built it. If a temporary model is
// required, it will be built using this command batch. In all cases, the appropriate model for the given account will
// be returned to the caller. In some cases, a model will be constructed on the fly from the existing values in the
// account. These temporary models will use most of the position and trading tables
ModelBatch modelBatch = null;
try
{
// Lock the tables
Debug.Assert(!ClientMarketData.AreLocksHeld);
ClientMarketData.AccountLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.AllocationLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.CurrencyLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.DebtLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.EquityLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ModelLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.SectorTargetLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.PositionTargetLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.ObjectLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.ObjectTreeLock.AcquireWriterLock(CommonTimeout.LockWait);
ClientMarketData.OrderLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.PriceLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ProposedOrderLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SchemeLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SectorLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SecurityLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.TaxLotLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.TransactionTypeLock.AcquireReaderLock(CommonTimeout.LockWait);
// Find the account record that is being opened.
ClientMarketData.AccountRow accountRow = ClientMarketData.Account.FindByAccountId(accountId);
if (accountRow == null)
{
throw new Exception(String.Format("Account {0} has been deleted", accountId));
}
// The objective is to find out whether a 'Self' model must be created from the existing positions, or whether a
// an empty or a copy of a model is required to view an account appraisal. The first test is to see whether any model
// has been assigned to the account.
if (accountRow.IsModelIdNull())
{
// This will create an empty position model for the appraisal.
modelBatch = Models.CreateEmptyModel(accountRow);
}
else
{
// At this point, a model has been assigned to the account. Get the model and find out if a temporary copy
// needs to be made.
ClientMarketData.ModelRow modelRow = ClientMarketData.Model.FindByModelId(accountRow.ModelId);
if (modelRow == null)
{
throw new Exception(String.Format("Model {0} has been deleted", accountRow.ModelId));
}
// A 'self' model is one that requires a calculation of the current positions.
if (!modelRow.SectorSelf && !modelRow.SecuritySelf)
{
// Currently, the existing model is used on an appraisal. Any changes to the model in the appraisal view
// will be stored in the persistent model. It may be useful sometime in the future to make a copy of the
// model and prompt the user to save it when the appraisal is closed.
return(modelRow.ModelId);
}
else
{
// Make sure that the account has been assigned a scheme before attempting to build a model from it.
if (accountRow.IsSchemeIdNull())
{
throw new Exception(String.Format("No scheme has been assigned to account {0}.", accountRow));
}
// If the account has a default scheme, make sure it still exists.
ClientMarketData.SchemeRow schemeRow = ClientMarketData.Scheme.FindBySchemeId(accountRow.SchemeId);
if (schemeRow == null)
{
throw new ArgumentException("This scheme has been deleted", accountRow.SchemeId.ToString());
}
// Create a model based on the current sector totals.
if (modelRow.SectorSelf)
{
modelBatch = Models.CreateSectorSelfModel(accountRow, schemeRow);
}
// Create a model based on the current position totals.
if (modelRow.SecuritySelf)
{
modelBatch = Models.CreatePositionSelfModel(accountRow, schemeRow);
}
}
}
}
finally
{
// Release the table locks.
if (ClientMarketData.AccountLock.IsReaderLockHeld)
{
ClientMarketData.AccountLock.ReleaseReaderLock();
}
if (ClientMarketData.AllocationLock.IsReaderLockHeld)
{
ClientMarketData.AllocationLock.ReleaseReaderLock();
}
if (ClientMarketData.CurrencyLock.IsReaderLockHeld)
{
ClientMarketData.CurrencyLock.ReleaseReaderLock();
}
if (ClientMarketData.DebtLock.IsReaderLockHeld)
{
ClientMarketData.DebtLock.ReleaseReaderLock();
}
if (ClientMarketData.EquityLock.IsReaderLockHeld)
{
ClientMarketData.EquityLock.ReleaseReaderLock();
}
if (ClientMarketData.ModelLock.IsWriterLockHeld)
{
ClientMarketData.ModelLock.ReleaseWriterLock();
}
if (ClientMarketData.SectorTargetLock.IsWriterLockHeld)
{
ClientMarketData.SectorTargetLock.ReleaseWriterLock();
}
if (ClientMarketData.PositionTargetLock.IsWriterLockHeld)
{
ClientMarketData.PositionTargetLock.ReleaseWriterLock();
}
if (ClientMarketData.ObjectLock.IsWriterLockHeld)
{
ClientMarketData.ObjectLock.ReleaseWriterLock();
}
if (ClientMarketData.ObjectTreeLock.IsWriterLockHeld)
{
ClientMarketData.ObjectTreeLock.ReleaseWriterLock();
}
if (ClientMarketData.OrderLock.IsReaderLockHeld)
{
ClientMarketData.OrderLock.ReleaseReaderLock();
}
if (ClientMarketData.PriceLock.IsReaderLockHeld)
{
ClientMarketData.PriceLock.ReleaseReaderLock();
}
if (ClientMarketData.ProposedOrderLock.IsReaderLockHeld)
{
ClientMarketData.ProposedOrderLock.ReleaseReaderLock();
}
if (ClientMarketData.SchemeLock.IsReaderLockHeld)
{
ClientMarketData.SchemeLock.ReleaseReaderLock();
}
if (ClientMarketData.SectorLock.IsReaderLockHeld)
{
ClientMarketData.SectorLock.ReleaseReaderLock();
}
if (ClientMarketData.SecurityLock.IsReaderLockHeld)
{
ClientMarketData.SecurityLock.ReleaseReaderLock();
}
if (ClientMarketData.TaxLotLock.IsReaderLockHeld)
{
ClientMarketData.TaxLotLock.ReleaseReaderLock();
}
if (ClientMarketData.TransactionTypeLock.IsReaderLockHeld)
{
ClientMarketData.TransactionTypeLock.ReleaseReaderLock();
}
Debug.Assert(!ClientMarketData.AreLocksHeld);
}
// At this point, a batch is ready to be sent that will create the model and populate it with target values. The data
// structure is an overloaded version of the 'RemoteBatch' class. The 'ModelBatch' contains a member which references
// the 'modelId' return value from the creation of the model. This value will be returned to the caller as a reference
// to the temporary model.
ClientMarketData.Send(modelBatch);
// Rethrow a generic error message for the failed model.
if (modelBatch.HasExceptions)
{
throw new Exception("Can't create model.");
}
// Return the model identifier generated by the server.
return((int)modelBatch.ModelIdParameter.Value);
}
/// <summary>
/// Constructs an AppraisalDocument.
/// </summary>
/// <param name="accountRow">A record containing the account or fund data.</param>
/// <param name="modelRow">A record containing the model that is superimposed on the appraisal data for
/// rebalancing.</param>
public AppraisalDocument(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// Create a view of the proposed orders that makes it easy to aggregate by position.
this.proposedOrderView = new DataView(ClientMarketData.ProposedOrder);
this.proposedOrderView.Sort = "[AccountId], [SecurityId], [PositionTypeCode]";
// Create a view of the orders that makes it easy to aggregate by position.
this.orderView = new DataView(ClientMarketData.Order);
this.orderView.Sort = "[AccountId], [SecurityId], [PositionTypeCode]";
// Create a view of the allocations that makes it easy to aggregate by position.
this.allocationView = new DataView(ClientMarketData.Allocation);
this.allocationView.Sort = "[AccountId], [SecurityId], [PositionTypeCode]";
// This makes the account and model avaiable to the recursive methods.
this.accountRow = accountRow;
this.modelRow = modelRow;
// Create the root element and add it to the document.
AppraisalElement rootElement = new AppraisalElement(this);
this.AppendChild(rootElement);
// Create and populate the DataSet that represents the outline of the appraisal. This function creates a
// set of linked structures that contains only the sectors, securities and positions that will appear in
// this document. This driver is built from the bottom up, meaning that we start with the tax lots,
// proposed orders, orders and allocations associated with the given account and build the driver up to
// the topmost security classification scheme. The alternative -- starting with the classification scheme
// and building down until we join with the tax lots, etc, -- turned out to be six times slower.
this.appraisal = new Common.Appraisal(accountRow, modelRow, true);
// This sector is a catch-all heading for securities not mapped to the given hierarchy. If everything is
// mapped, then this sector won't appear in the document.
SectorElement unclassifiedSector = null;
// Now that the driver is built, we can begin constructing the document. The first section is the
// 'Unclassified' sector. This section catches all securities that aren't explicitly mapped to the
// hierarchy. This is important because classification schemes are not guaranteed to map every security.
// Without this section, those unmapped securities wouldn't appear on the appraisal and wouldn't be
// included in the NAV calculation. That is very bad. Note also that we skip over the classification
// scheme record during the check. We know that the security classification scheme is at the top of the
// hierarchy and won't have any parents. Every other record that doesn't have a parent in the hierarchy
// is 'Unclassified'.
foreach (AppraisalSet.SecurityRow parentSecurity in this.appraisal.Security)
{
if (parentSecurity.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeChildId().Length == 0)
{
// If the document doesn't have an 'Unclassified' sector yet, then add the sector heading. All
// secutiries that are not mapped to the given hierarchy will appear under this catch-all header.
if (unclassifiedSector == null)
{
rootElement.InsertBySortOrder(unclassifiedSector = new SectorElement(this));
}
// Attach the each of the unclassified securities to the unclassified sector heading.
BuildDocument(unclassifiedSector, parentSecurity.ObjectRow);
}
}
// The report is built recursively. The 'AppraisalSet', constructed above, represents an 'inner join' of the
// hierarchy information to the active position information. We'll begin traversing the 'AppraisalSet' from
// the top level security: a single node representing the classification scheme.
foreach (AppraisalSet.SchemeRow schemeRow in this.appraisal.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow objectTreeRow in schemeRow.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
BuildDocument(rootElement, objectTreeRow.ObjectRowByFKObjectObjectTreeChildId);
}
}
}
