/// <summary>
/// Copy the values from the data model.
/// </summary>
/// <param name="workingOrderRow">The data model row that is the source of the data.</param>
public override void Copy(DataModel.WorkingOrderRow workingOrderRow)
{
// Validate the parameters.
if (workingOrderRow == null)
{
throw new ArgumentNullException("workingOrderRow");
}
// Allow the base class to copy the core of the working order.
base.Copy(workingOrderRow);
// Copy the scalar that are specific to the Equity instruments directly from the data model.
this.IsCrossing = workingOrderRow.CrossingRow.CrossingCode == CrossingCode.AlwaysMatch;
this.IsBrokerMatch = workingOrderRow.IsBrokerMatch;
this.IsHedgeMatch = workingOrderRow.IsHedgeMatch;
this.IsInstitutionMatch = workingOrderRow.IsInstitutionMatch;
this.LimitPrice = workingOrderRow.IsLimitPriceNull() ? 0.0M : workingOrderRow.LimitPrice;
this.OrderTypeMnemonic = workingOrderRow.OrderTypeRow.Mnemonic;
this.OrderTypeCode = workingOrderRow.OrderTypeRow.OrderTypeCode;
this.StopPrice = workingOrderRow.IsStopPriceNull() ? 0.0M : workingOrderRow.StopPrice;
this.TimeInForceCode = workingOrderRow.TimeInForceRow.TimeInForceCode;
}
/// <summary>
/// Create an debt working order.
/// </summary>
void CreateDebt()
{
// All orders get a unique identifier.
Guid workingOrderId = Guid.NewGuid();
// These records provide the starting point for generating the orders.
DataModel.BlotterRow blotterRow = DataModel.Blotter.BlotterKey.Find(generatorInfo.BlotterId);
DataModel.UserRow userRow = DataModel.User.UserKey.Find(generatorInfo.UserId);
DataModel.CountryRow unitedStatesRow = DataModel.Country.CountryKeyExternalId0.Find("US");
DataModel.StatusRow statusRow = DataModel.Status.StatusKey.Find(StatusCode.New);
// Generate the settlement currency
DataModel.EntityRow usdEntityRow = DataModel.Entity.EntityKeyExternalId0.Find("USD");
DataModel.SecurityRow settlementCurrencyRow = DataModel.Security.SecurityKey.Find(usdEntityRow.EntityId);
// The orders are an even mix of Buys and Sells. Most positions are long.
Boolean isBuy = random.Next(2) == 0;
Boolean isLong = random.Next(4) != 0;
SideCode sideCode = isBuy && isLong ? SideCode.Buy : !isBuy && isLong ? SideCode.Sell : isBuy && !isLong ? SideCode.BuyCover : SideCode.SellShort;
DataModel.SideRow sideRow = DataModel.Side.SideKey.Find(sideCode);
// Find a random debt position that is unique to this blotter.
DataModel.SecurityRow securityRow = null;
while (securityRow == null)
{
// Select a random debt instrument for the next order.
DataModel.DebtRow debtRow = DataModel.Debt[random.Next(DataModel.Debt.Count - 1)];
// Only generate orders for positions that are unique to this blotter.
Position position = new Position(debtRow.DebtId, sideCode);
if (!positionSet.Contains(position))
{
securityRow = debtRow.SecurityRowByFK_Security_Debt_DebtId;
positionSet.Add(position);
}
}
// These orders will not match by default. We need to turn them on manually.
DataModel.CrossingRow crossingRow = DataModel.Crossing.CrossingKey.Find(CrossingCode.NeverMatch);
// Select a random Time In Force for this order. Most orders are Day orders but occationally we'll generate a GTC just to keep it interesting.
TimeInForceCode timeInForce = random.Next(4) == 0 ? TimeInForceCode.GoodTillCancel : TimeInForceCode.Day;
DataModel.TimeInForceRow timeInForceRow = DataModel.TimeInForce.TimeInForceKey.Find(timeInForce);
// Generate the trade and settlement dates based on the current time and make sure it doesn't fall on a weekend.
DateTime tradeDate = DateTime.Now;
DateTime settlementDate = DateTime.Now;
TimeSpan oneDay = TimeSpan.FromDays(1.0);
for (Int32 dayIndex = 0; dayIndex < 3; dayIndex++)
{
settlementDate += oneDay;
if (settlementDate.DayOfWeek == DayOfWeek.Saturday)
{
settlementDate += oneDay;
}
if (settlementDate.DayOfWeek == DayOfWeek.Sunday)
{
settlementDate += oneDay;
}
}
// This will generate random matching preferences for the orders for demonstrating the matching box capabilities.
Boolean isBrokerMatch = random.Next(20) == 0;
Boolean isHedgeMatch = random.Next(15) == 0;
Boolean isInstitutionMatch = true;
// This randomizes the random matching patterns. Every now and then, don't match with anyone.
if (random.Next(5) == 0)
{
isBrokerMatch = false;
isHedgeMatch = false;
isInstitutionMatch = false;
}
// <transaction>
XElement elementTransaction = new XElement("transaction");
this.xDocument.Root.Add(elementTransaction);
// <method name="StoreWorkingOrder">
XElement elementWorkingOrder = new XElement("method", new XAttribute("name", "StoreWorkingOrder"));
elementTransaction.Add(elementWorkingOrder);
// <parameter name="blotterKey" value="EMERGING MARKETS BLOTTER" />
elementWorkingOrder.Add(
new XElement("parameter",
new XAttribute("name", "blotterKey"),
new XAttribute("value", blotterRow.EntityRow.ExternalId0)));
// <parameter name="configurationId" value="US TICKER" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "configurationId"), new XAttribute("value", "CUSIP")));
// <parameter name="createdTime" value="5/6/2012 5:27:56 PM" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "createdTime"), new XAttribute("value", DateTime.Now.ToString("G"))));
// <parameter name="crossingKey" value="NEVER MATCH" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "crossingKey"), new XAttribute("value", crossingRow.ExternalId0)));
// <parameter name="externalId0" value="{bab88942-5c4e-440a-a352-c8e9b00fec12}" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "externalId0"), new XAttribute("value", workingOrderId.ToString("B"))));
// <parameter name="isBrokerMatch" value="false" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "isBrokerMatch"), new XAttribute("value", isBrokerMatch)));
// <parameter name="isHedgeMatch" value="false" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "isHedgeMatch"), new XAttribute("value", isHedgeMatch)));
// <parameter name="isInstitutionMatch" value="true" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "isInstitutionMatch"), new XAttribute("value", isInstitutionMatch)));
// <parameter name="modifiedTime" value="5/6/2012 5:27:56 PM" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "modifiedTime"), new XAttribute("value", DateTime.Now.ToString("G"))));
// <parameter name="orderTypeKey" value="MKT" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "orderTypeKey"), new XAttribute("value", "MKT")));
// <parameter name="securityKeyBySecurityId" value="ODP" />
elementWorkingOrder.Add(
new XElement("parameter",
new XAttribute("name", "securityKeyBySecurityId"),
new XAttribute("value", securityRow.EntityRow.ExternalId4)));
// <parameter name="securityKeyBySettlementId" value="USD" />
elementWorkingOrder.Add(
new XElement("parameter",
new XAttribute("name", "securityKeyBySettlementId"),
new XAttribute("value", settlementCurrencyRow.EntityRow.ExternalId0)));
// <parameter name="settlementDate" value="5/9/2012 5:27:56 PM" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "settlementDate"), new XAttribute("value", settlementDate.ToString("G"))));
// <parameter name="sideKey" value="SELL" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "sideKey"), new XAttribute("value", sideRow.ExternalId0)));
// <parameter name="statusKey" value="NEW" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "statusKey"), new XAttribute("value", statusRow.ExternalId0)));
// <parameter name="timeInForceKey" value="DAY" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "timeInForceKey"), new XAttribute("value", timeInForceRow.ExternalId0)));
// <parameter name="tradeDate" value="5/6/2012 5:27:56 PM" />
elementWorkingOrder.Add(new XElement("parameter", new XAttribute("name", "tradeDate"), new XAttribute("value", tradeDate.ToString("G"))));
// <parameter name="userKeyByCreatedUserId" value="DEV KAPOOR" />
elementWorkingOrder.Add(
new XElement("parameter",
new XAttribute("name", "userKeyByCreatedUserId"),
new XAttribute("value", userRow.EntityRow.ExternalId0)));
// <parameter name="userKeyByModifiedUserId" value="DEV KAPOOR" />
elementWorkingOrder.Add(
new XElement("parameter",
new XAttribute("name", "userKeyByModifiedUserId"),
new XAttribute("value", userRow.EntityRow.ExternalId0)));
// This will generate between one and three source orders for the working order. Source orders are a blocking concept. You can get several orders for
// the same security on the same side for the same price. When this happens, it is much more efficient to block them as a single order and execute them
// as a single order and allocate them back to the original orders when the order is done.
Int32 sourceOrderCount = random.Next(1, 3);
for (Int32 sourceOrderIndex = 0; sourceOrderIndex < sourceOrderCount; sourceOrderIndex++)
{
// This creates a unique identifier for the source order.
Guid sourceOrderId = Guid.NewGuid();
// This generates a random quantity for the order between 100 and 10,000 shares.
Decimal orderedQuantity = Convert.ToDecimal(random.Next(1, 100)) * 100.0M;
// <method name="StoreSourceOrder">
XElement elementSourceOrder = new XElement("method", new XAttribute("name", "StoreSourceOrder"));
elementTransaction.Add(elementSourceOrder);
// <parameter name="configurationId" value="US TICKER" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "configurationId"), new XAttribute("value", "CUSIP")));
// <parameter name="createdTime" value="2012-05-06T17:27:56.2658093-04:00" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "createdTime"), new XAttribute("value", DateTime.Now)));
// <parameter name="externalId0" value="{3c69e0a0-3316-4499-a7b1-6dda5a058837}" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "externalId0"), new XAttribute("value", sourceOrderId.ToString("B"))));
// <parameter name="modifiedTime" value="5/6/2012 5:27:56 PM" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "modifiedTime"), new XAttribute("value", DateTime.Now.ToString("G"))));
// <parameter name="orderedQuantity" value="4300.0" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "orderedQuantity"), new XAttribute("value", orderedQuantity)));
// <parameter name="orderTypeKey" value="MKT" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "orderTypeKey"), new XAttribute("value", "MKT")));
// <parameter name="securityKeyBySecurityId" value="ODP" />
elementSourceOrder.Add(
new XElement("parameter",
new XAttribute("name", "securityKeyBySecurityId"),
new XAttribute("value", securityRow.EntityRow.ExternalId4)));
// <parameter name="securityKeyBySettlementId" value="USD" />
elementSourceOrder.Add(
new XElement("parameter",
new XAttribute("name", "securityKeyBySettlementId"),
new XAttribute("value", settlementCurrencyRow.EntityRow.ExternalId0)));
// <parameter name="settlementDate" value="2012-05-09T17:27:56.2528086-04:00" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "settlementDate"), new XAttribute("value", settlementDate)));
// <parameter name="sideKey" value="SELL" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "sideKey"), new XAttribute("value", sideRow.ExternalId0)));
// <parameter name="statusKey" value="NEW" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "statusKey"), new XAttribute("value", statusRow.ExternalId0)));
// <parameter name="timeInForceKey" value="DAY" />
elementSourceOrder.Add(
new XElement("parameter",
new XAttribute("name", "timeInForceKey"),
new XAttribute("value", timeInForceRow.ExternalId0)));
// <parameter name="tradeDate" value="5/6/2012 5:27:56 PM" />
elementSourceOrder.Add(new XElement("parameter", new XAttribute("name", "tradeDate"), new XAttribute("value", tradeDate.ToString("G"))));
// <parameter name="userKeyByCreatedUserId" value="DEV KAPOOR" />
elementSourceOrder.Add(
new XElement("parameter",
new XAttribute("name", "userKeyByCreatedUserId"),
new XAttribute("value", userRow.EntityRow.ExternalId0)));
// <parameter name="userKeyByModifiedUserId" value="DEV KAPOOR" />
elementSourceOrder.Add(
new XElement("parameter",
new XAttribute("name", "userKeyByModifiedUserId"),
new XAttribute("value", userRow.EntityRow.ExternalId0)));
// <parameter name="workingOrderKey" value="{bab88942-5c4e-440a-a352-c8e9b00fec12}" />
elementSourceOrder.Add(
new XElement("parameter",
new XAttribute("name", "workingOrderKey"),
new XAttribute("value", workingOrderId.ToString("B"))));
}
}
/// <summary>
/// Gets an internal database identifier based on the Enumerated value.
/// </summary>
/// <param name="key">The strongly typed enumerated value.</param>
/// <returns>The equivalent record identifier from the database.</returns>
public static Guid FromCode(TimeInForceCode key)
{
return(TimeInForceMap.enumDictionary[key]);
}
/// <summary>
/// Converts a TimeInForce to a string.
/// </summary>
/// <returns>A TimeInForce value.</returns>
/// <param name="value">The FIX string representation of a TimeInForce.</param>
public static string ConvertTo(TimeInForceCode messageType)
{
return((string)TimeInForceConverter.toTable[messageType]);
}