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);
}
}
}
/// <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"]);
}
}