public InstrumentConversion(IAccountTypeInternal acctA, IAccount acctB,
InstrumentSize valueSize, InstrumentSize convertedInstrumentSize, Money additionalCash,
decimal exRate, IInstrumentHistory instrumentTransformation,
ITradingJournalEntry tradingJournalEntry, IGLLookupRecords lookups)
: base(acctA, acctB, valueSize, valueSize.GetPrice(0M), exRate,
instrumentTransformation.ChangeDate, instrumentTransformation.ChangeDate, 0M,
(valueSize.Sign ? Side.XI : Side.XO), tradingJournalEntry, lookups, null)
{
if (instrumentTransformation == null)
throw new ApplicationException("Corporate action information is missing");
if (!(valueSize != null && valueSize.IsNotZero && convertedInstrumentSize != null && convertedInstrumentSize.IsNotZero))
throw new ApplicationException("Not all instrument information for this corporate action is available, both instruments have to be supplied");
if (valueSize.Underlying.Equals(convertedInstrumentSize.Underlying))
throw new ApplicationException("Both instruments can not be the same in a corporate action");
if (valueSize.Sign.Equals(convertedInstrumentSize.Sign))
throw new ApplicationException("Both instruments can not have the same side in a corporate action");
IInstrumentsHistoryConversion conversion = (IInstrumentsHistoryConversion)instrumentTransformation;
if (!(conversion.Instrument.Equals(valueSize.Underlying) && conversion.NewInstrument.Equals(convertedInstrumentSize.Underlying)))
throw new ApplicationException("Corporate action does not equal the instrument history data");
decimal diff = (convertedInstrumentSize.Abs().Quantity / valueSize.Abs().Quantity) - conversion.ConversionRate;
if (diff != 0)
throw new ApplicationException("Sizes do not correspond with conversion rate of the Corporate action");
if (additionalCash != null && additionalCash.IsNotZero)
{
ListOfTransactionComponents[] components = new ListOfTransactionComponents[1];
components[0] = new ListOfTransactionComponents() { ComponentType = BookingComponentTypes.Conversion, ComponentValue = additionalCash };
createComponents(lookups, components);
}
this.CorporateActionType = CorporateActionTypes.Conversion;
ConvertedInstrumentSize = convertedInstrumentSize;
CorporateActionType = instrumentTransformation.CorporateActionType;
InstrumentTransformation = instrumentTransformation;
}
private InstrumentSize getTradeDifferenceOpenValue(InstrumentSize size, Money amount, Money serviceCharge, Money accruedInterest)
{
InstrumentSize diff;
if (IsSizeBased)
diff = (this.OpenValue.Abs() - size.Abs());
else
diff = (this.OpenValue.Abs() - amount.Abs() + serviceCharge + accruedInterest);
return diff;
}
protected bool orderCheckSide(Side side, ref Money amount, ref InstrumentSize size)
{
if (side == Side.Buy)
{
size = size.Abs();
amount = amount.Abs() * -1;
}
else
{
size = size.Abs() * -1;
amount = amount.Abs();
}
return true;
}
/// <summary>
/// Used by method <b>Calculate</b> on derived classes to perform the common part of the commission calculation.
/// </summary>
/// <param name="size">The size for which to calculate commission.</param>
/// <param name="client">The order for which to calculate commission.</param>
/// <returns>The value of the commission.</returns>
protected Money calculateNormal(InstrumentSize size, ICommClient client)
{
Money result = new Money(0m, CommCurrency);
InstrumentSize comSize = size.Abs();
foreach (CommCalcLineSizeBased line in CommLines)
{
if (line.Envelops(comSize))
{
result = line.Calculate(comSize);
SetCommissionInfoOnOrder(client, string.Format("Flat -> Size ({0}) {1} -> use {2}.", comSize.DisplayString, line.DisplayRange, line.LineDistinctives));
break;
}
}
return addFixMinMax(result, client);
}
protected void getPosTxInfo(IFundPositionTx posTx, out InstrumentSize newSize, out IsOpenClose isOpen)
{
isOpen = IsOpenClose.Close;
newSize = InstrumentSize.Add(posTx.Size, Size, true);
// Determine if it is opening or closing
if (Size == null || Size.IsZero)
isOpen = IsOpenClose.Open;
else if (newSize.Sign != Size.Sign && newSize.IsNotZero)
isOpen = IsOpenClose.Both;
// short position -> gets larger
else if (!Size.Sign && newSize.Sign == Size.Sign && newSize.Abs() > Size.Abs())
isOpen = IsOpenClose.Open;
else
{
if (IsSecurityValuationMutation)
{
if (posTx.Side == Side.Sell || posTx.Side == Side.XO)
isOpen = IsOpenClose.Close;
else
isOpen = IsOpenClose.Open;
}
else
{
// Cash -> just check the effect of the transaction
if (Size.Sign == posTx.Size.Sign)
isOpen = IsOpenClose.Open;
else
isOpen = IsOpenClose.Close;
}
}
}
