static void Main(string[] args) { Reference <ILogger> loggerRef = Reference <ILogger> .Create(new ConsoleLogger("TestWebMdc: ")); loggerRef.Target.LogInfo("Running..."); try { // get some market quotes from for a Highlander FX curve // and get a Highlander volatility matrix const string curveName = "Orion.V5r3.Configuration.PricingStructures.QR_LIVE.FxCurve.AUD-USD"; QuotedAssetSet quotedAssetSet; using (ICoreClient client = new CoreClientFactory(loggerRef).SetEnv(BuildConst.BuildEnv).Create()) { ICoreItem marketItem = client.LoadItem <Market>(curveName); if (marketItem == null) { throw new ApplicationException("Market '" + curveName + "' not found!"); } var market = (Market)marketItem.Data; //PricingStructure ps = market.Items[0]; PricingStructureValuation psv = market.Items1[0]; var valuation = psv as YieldCurveValuation; if (valuation != null) { quotedAssetSet = valuation.inputs; } else { var curveValuation = psv as FxCurveValuation; if (curveValuation != null) { quotedAssetSet = new QuotedAssetSet { instrumentSet = curveValuation.spotRate.instrumentSet, assetQuote = curveValuation.spotRate.assetQuote } } ; else { throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name); } } } //Copied from the working version const int port = 9123; // create MDS client using (IMarketDataClient mdc = MarketDataFactory.Create(loggerRef, null, "localhost:" + port.ToString(CultureInfo.InvariantCulture)))//This was null in the 3rd parameter. { { const MDSProviderId providerId = MDSProviderId.Bloomberg; loggerRef.Target.LogInfo("----- {0} Market Quotes -----", providerId); QuotedAssetSet quotes = mdc.GetMarketQuotes( providerId, null, Guid.NewGuid(), true, null, quotedAssetSet).Result; LogResults(loggerRef.Target, quotes); } { const MDSProviderId providerId = MDSProviderId.GlobalIB; loggerRef.Target.LogInfo("----- {0} Volatility Matrix -----", providerId); var matrixProps = new NamedValueSet(); matrixProps.Set("Function", "MarketData"); matrixProps.Set("Market", "EOD"); matrixProps.Set("CurveName", "AUD-Swap"); matrixProps.Set("PricingStructureType", "RateATMVolatilityMatrix"); QuotedAssetSet matrix = mdc.GetPricingStructure( providerId, null, Guid.NewGuid(), true, null, matrixProps).Result; LogResults(loggerRef.Target, matrix); } } } catch (Exception e) { loggerRef.Target.Log(e); } loggerRef.Target.LogInfo("Completed."); loggerRef.Target.LogInfo("Press ENTER to exit."); Console.ReadLine(); }
static void Main(string[] args) { using (Reference <ILogger> loggerRef = Reference <ILogger> .Create(new ConsoleLogger("TestMds: "))) { loggerRef.Target.LogInfo("{0} Started.", DateTime.Now); try { const MDSProviderId provider = MDSProviderId.Bloomberg; var settings = new NamedValueSet(); const int port = 9123; settings.Set(MdsPropName.Port, port); settings.Set(MdsPropName.EnabledProviders, new[] { MDSProviderId.GlobalIB.ToString(), provider.ToString() }); using (Reference <ICoreClient> clientRef = Reference <ICoreClient> .Create(new CoreClientFactory(loggerRef).SetEnv(BuildConst.BuildEnv).Create())) using (var mds = new MarketDataServer()) { mds.LoggerRef = loggerRef; mds.Client = clientRef; mds.OtherSettings = settings; mds.Start(); loggerRef.Target.LogDebug("Waiting..."); Thread.Sleep(15000); loggerRef.Target.LogDebug("Continuing..."); List <ICoreItem> marketItems; { marketItems = clientRef.Target.LoadItems <Market>(Expr.StartsWith(Expr.SysPropItemName, "Orion.V5r3.Configuration.")); } if (marketItems.Count == 0) { throw new ApplicationException("No curve definitions found!"); } using (IMarketDataClient mdc = MarketDataFactory.Create(loggerRef, null, "localhost:" + port.ToString(CultureInfo.InvariantCulture))) { foreach (ICoreItem marketItem in marketItems) { loggerRef.Target.LogDebug("Curve: {0}", marketItem.Name); var market = (Market)marketItem.Data; //PricingStructure ps = market.Items[0]; PricingStructureValuation psv = market.Items1[0]; QuotedAssetSet curveDefinition; if (psv is YieldCurveValuation valuation) { curveDefinition = valuation.inputs; } else { if (psv is FxCurveValuation curveValuation) { curveDefinition = new QuotedAssetSet { instrumentSet = curveValuation.spotRate.instrumentSet, assetQuote = curveValuation.spotRate.assetQuote } } ; else { throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name); } } // call MDS MDSResult <QuotedAssetSet> mdsResponse = mdc.GetMarketQuotes( provider, null, Guid.NewGuid(), false, null, // caspar-specific parameters curveDefinition); if (mdsResponse.Error != null) { throw mdsResponse.Error; } foreach (BasicAssetValuation result in mdsResponse.Result.assetQuote) { string instrId = result.objectReference.href; foreach (BasicQuotation quote in result.quote) { string fieldId = quote.GetStandardFieldName(); loggerRef.Target.LogDebug("{0}/{1} ({2}/{3}) = [{4}]", instrId, fieldId, quote.measureType.Value, quote.quoteUnits.Value, quote.value); } } } } // using MDC mds.Stop(); }// using MDS } catch (Exception e) { loggerRef.Target.Log(e); } loggerRef.Target.LogInfo("{0} Completed.", DateTime.Now); loggerRef.Target.LogInfo("Press ENTER to exit."); Console.ReadLine(); } }
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response) { if (baseRequest == null) { throw new ArgumentNullException(nameof(baseRequest)); } var request = baseRequest as OrdinaryCurveGenRequest; if (request == null) { throw new InvalidCastException( $"{typeof(RequestBase).Name} is not a {typeof(OrdinaryCurveGenRequest).Name}"); } CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray(); response.ItemCount = curveSelectors.Length; DateTime lastStatusPublishedAt = DateTime.Now; // check for workflow cancellation if (Cancelled) { throw new OperationCanceledException(CancelReason); } // iterate selected curves foreach (CurveSelection curveSelector in curveSelectors) { // publish 'intermediate' in-progress result (throttled) if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5)) { lastStatusPublishedAt = DateTime.Now; response.Status = RequestStatusEnum.InProgress; Context.Cache.SaveObject(response); } string nameSpace = curveSelector.NameSpace; string inputMarketName = curveSelector.MarketName; string inputCurveName = curveSelector.CurveName; string inputCurveType = curveSelector.CurveType; // given a curve definition, this workflow generates: // - a live base curve using current market data // load curve definition Context.Logger.LogDebug("Building ordinary curve: {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName); string curveUniqueId = $"Configuration.PricingStructures.{inputMarketName}.{inputCurveType}.{inputCurveName}"; //TODO This does not work for MArket=Test_EOD because the market date propeerty //is not included in the identifier and unique identifier! ICoreItem marketItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, curveUniqueId); // check data is not mutated //AssertNotModified<Market>(marketItem); // note: we must clone the definition to avoid updating it in the cache! var market = marketItem.GetData <Market>(true); //AssertSomeQuotesMissing(((YieldCurveValuation)(cachedMarket.Items1[0])).inputs); //Market clonedMarket = BinarySerializerHelper.Clone<Market>(cachedMarket); PricingStructure ps = market.Items[0]; PricingStructureValuation psv = market.Items1[0]; // supply base data and build datetime psv.baseDate = new IdentifiedDate { Value = request.BaseDate }; QuotedAssetSet curveDefinition; if (psv is YieldCurveValuation curveValuation) { curveDefinition = curveValuation.inputs; } else { if (psv is FxCurveValuation valuation) { curveDefinition = valuation.spotRate; } else { throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name); } } //AssertSomeQuotesMissing(curveDefinition); // default outputs var curveDefProps = new NamedValueSet(marketItem.AppProps); var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);//.GetValue<string>(CurveProp.PricingStructureType, true)); var curveName = curveDefProps.GetValue <string>(CurveProp.CurveName, true); string marketDataItemName = String.Format(FunctionProp.QuotedAssetSet.ToString() + ".{0}.{1}.{2}", inputMarketName, curveType, curveName); curveDefProps.Set("BootStrap", true); curveDefProps.Set(CurveProp.BaseDate, request.BaseDate); IPricingStructureIdentifier liveCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(curveDefProps, inputMarketName, null, null, null, null); NamedValueSet liveCurveProps = liveCurveId.Properties; var liveCurveItemName = liveCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true); var liveCurve = new Market(); // empty try { // build a request/response map (indexed by instrument id) var instrumentMap = new Dictionary <string, Asset>(); foreach (Asset asset in curveDefinition.instrumentSet.Items) { instrumentMap[asset.id.ToLower()] = asset; } int bavNum = 0; foreach (BasicAssetValuation quoteInstr in curveDefinition.assetQuote) { if (quoteInstr.objectReference?.href == null) { throw new ApplicationException($"Missing objectReference in BasicAssetValuation[{bavNum}]"); } string instrId = quoteInstr.objectReference.href; if (!instrumentMap.TryGetValue(instrId.ToLower(), out _)) { throw new ApplicationException($"Cannot find instrument '{instrId}' for assetQuote"); } bavNum++; } // request market data from MDS QuotedAssetSet marketData; if (request.UseSavedMarketData) { // get saved market data marketData = Context.Cache.LoadObject <QuotedAssetSet>(nameSpace + "." + marketDataItemName); if (marketData == null) { throw new ApplicationException( $"Could not load saved market data with name: '{marketDataItemName}'"); } } else { //throw new NotImplementedException(); using (var mdc = MarketDataFactory.Create(Reference <ILogger> .Create(Context.Logger), Assembly.GetExecutingAssembly(), null)) { // call MDS //AssertSomeQuotesMissing(curveDefinition); Guid mdsRequestId = Guid.NewGuid(); MDSResult <QuotedAssetSet> mdsResponse = mdc.GetMarketQuotes( MDSProviderId.Bloomberg, null, mdsRequestId, true, null, curveDefinition); if (mdsResponse.Error != null) { throw mdsResponse.Error; } marketData = mdsResponse.Result; if ((marketData.assetQuote == null) || marketData.assetQuote.Length < 1) { throw new ApplicationException($"MDS response contains no quotes! ({mdsRequestId})"); } // save transient market data for later offline use if (request.SaveMarketData) { var marketDataProps = new NamedValueSet(); marketDataProps.Set(liveCurveProps.Get(EnvironmentProp.NameSpace));//TODO Added to filter on client namespace! marketDataProps.Set(liveCurveProps.Get(CurveProp.Market)); marketDataProps.Set(liveCurveProps.Get(CurveProp.PricingStructureType)); marketDataProps.Set(liveCurveProps.Get(CurveProp.CurveName)); marketDataProps.Set(liveCurveProps.Get(CurveProp.Currency1)); Context.Cache.SaveObject(marketData, marketDataItemName, marketDataProps, true, TimeSpan.FromDays(7)); } } } // check market data for undefined/invalid quotes foreach (BasicAssetValuation asset in marketData.assetQuote) { if (asset.quote.Any(quote => quote.measureType.Value.Equals("undefined", StringComparison.OrdinalIgnoreCase))) { throw new ApplicationException( $"Market quote undefined/missing for asset '{asset.objectReference.href}'"); } } // merge MDS results with stored quotes in the curve definition curveDefinition.Replace(marketData);//Merge(marketData, true, false, true); // generate ordinary base curve if (psv is YieldCurveValuation valuation) { valuation.inputs = curveDefinition; } else { ((FxCurveValuation)psv).spotRate = new FxRateSet { instrumentSet = curveDefinition.instrumentSet, assetQuote = curveDefinition.assetQuote }; } // hack - if rate basis curve then call new triplet fn, else call old pair fn. IPricingStructure ips; switch (curveType) { case PricingStructureTypeEnum.RateBasisCurve: { // rate basis curves require a reference curve string refCurveUniqueId = $"Market.{inputMarketName}.{curveDefProps.GetValue<string>(CurveProp.ReferenceCurveName, true)}"; // load the reference curve ICoreItem refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveUniqueId); var refCurve = (Market)refCurveItem.Data; //Format the ref curve data and call the pricing structure helper. var refCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(refCurve.Items[0], refCurve.Items1[0], refCurveItem.AppProps); liveCurveProps.Set(CurveProp.ReferenceCurveUniqueId, refCurveUniqueId); var spreadCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, liveCurveProps); //create and set the pricingstructure ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, refCurveFpMLTriplet, spreadCurveFpMLTriplet); //Creator.Create(refCurveFpMLTriplet, spreadCurveFpMLTriplet); } break; case PricingStructureTypeEnum.RateXccyCurve: { // rate basis curves require a base curve string baseCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}", inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceCurveName, true)); // load the reference curve ICoreItem baseCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, baseCurveUniqueId); var baseCurve = (Market)baseCurveItem.Data; // rate basis curves require an fx curve string fxCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}", inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceFxCurveName, true)); // load the reference curve ICoreItem fxCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, fxCurveUniqueId); var fxCurve = (Market)fxCurveItem.Data; // rate basis curves require a reference curve string refCurveUniqueId = String.Format(nameSpace + ".Market.{0}.{1}", inputMarketName, curveDefProps.GetValue <string>(CurveProp.ReferenceCurrency2CurveName, true)); // load the reference curve ICoreItem refCurveItem = LoadAndCheckMarketItem(Context.Cache, nameSpace, refCurveUniqueId); var refCurve = (Market)refCurveItem.Data; //Format the ref curve data and call the pricing structure helper. var baseCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(baseCurve.Items[0], baseCurve.Items1[0], baseCurveItem.AppProps); var fxCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(fxCurve.Items[0], fxCurve.Items1[0], fxCurveItem.AppProps); var refCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(refCurve.Items[0], refCurve.Items1[0], refCurveItem.AppProps); liveCurveProps.Set(CurveProp.ReferenceCurveUniqueId, baseCurveUniqueId); liveCurveProps.Set(CurveProp.ReferenceFxCurveUniqueId, fxCurveUniqueId); liveCurveProps.Set(CurveProp.ReferenceCurrency2CurveId, refCurveUniqueId); var spreadCurveFpMLTriplet = new Triplet <PricingStructure, PricingStructureValuation, NamedValueSet>(ps, psv, liveCurveProps); //create and set the pricingstructure ips = CurveLoader.LoadInterestRateCurve(Context.Logger, Context.Cache, nameSpace, baseCurveFpMLTriplet, fxCurveFpMLTriplet, refCurveFpMLTriplet, spreadCurveFpMLTriplet); //Creator.Create(baseCurveFpMLTriplet, fxCurveFpMLTriplet, refCurveFpMLTriplet, spreadCurveFpMLTriplet); } break; //TODO Add Volatility types as well default: { ips = CurveLoader.LoadCurve(Context.Logger, Context.Cache, nameSpace, new Pair <PricingStructure, PricingStructureValuation>(ps, psv), liveCurveProps); //Creator.Create(new Pair<PricingStructure, PricingStructureValuation>(ps, psv), liveCurveProps); } break; } // retrieve curve liveCurve = PricingStructureHelper.CreateMarketFromFpML( ips.GetPricingStructureId().UniqueIdentifier, ips.GetFpMLData()); // curve done response.IncrementItemsPassed(); } catch (Exception innerExcp) { response.IncrementItemsFailed(); Context.Logger.Log(innerExcp); liveCurveProps.Set(WFPropName.ExcpName, WFHelper.GetExcpName(innerExcp)); liveCurveProps.Set(WFPropName.ExcpText, WFHelper.GetExcpText(innerExcp)); } // ================================================================================ // calculate curve lifetimes // SOD = 8am, EOD = 4:30pm // live curves // - publish anytime // - expires SOD next day // EOD (today) curves // - publish for 15 minutes prior to EOD today // - expires in 7 days // EOD (dated) - 7 days // - publish for 15 minutes prior to EOD today // - expires in 7 days DateTime dtNow = DateTime.Now; DateTime dtToday = dtNow.Date; DateTime dtEODPublishBegin = dtToday.AddHours(16.25); // 4:15pm today DateTime dtEODPublishUntil = dtToday.AddHours(16.5); // 4:30pm today DateTime dtSODTomorrow = dtToday.AddHours(24 + 8); // 8am tomorrow //DateTime dtEODTomorrow = dtToday.AddHours(24 + 16); // 4pm tomorrow // publish live curve Context.Cache.SaveObject(liveCurve, nameSpace + "." + liveCurveItemName, liveCurveProps, true, dtSODTomorrow); // republish as latest EOD curve if (request.ForceGenerateEODCurves || ((dtNow >= dtEODPublishBegin) && (dtNow <= dtEODPublishUntil))) { NamedValueSet itemProps = PricingStructureIdentifier.CreateMarketCurveIdentifier(liveCurveProps, CurveConst.QR_EOD, null, null, null, null).Properties; var itemName = itemProps.GetValue <string>(CurveProp.UniqueIdentifier, true); // persistent Context.Cache.SaveObject(liveCurve, nameSpace + "." + itemName, itemProps, false, TimeSpan.FromDays(7)); } // republish as dated EOD curve if (request.ForceGenerateEODCurves || ((dtNow >= dtEODPublishBegin) && (dtNow <= dtEODPublishUntil))) { NamedValueSet itemProps = PricingStructureIdentifier.CreateMarketCurveIdentifier(liveCurveProps, CurveConst.QR_EOD, dtToday, null, null, null).Properties; var itemName = itemProps.GetValue <string>(CurveProp.UniqueIdentifier, true); // persistent Context.Cache.SaveObject(liveCurve, nameSpace + "." + itemName, itemProps, false, TimeSpan.FromDays(7)); } } // foreach curve // success response.Status = RequestStatusEnum.Completed; }