public static OrderEditView CheckPrice(OrderEditView orderEditView)
{
using (IDalSession session = NHSessionFactory.CreateSession())
{
ISecurityOrder order = (ISecurityOrder)OrderMapper.GetOrder(session, orderEditView.OrderId);
ITradeableInstrument tradedInstrument = order.TradedInstrument;
Price price = new Price(orderEditView.Price, order.TradedInstrument.CurrencyNominal, order.TradedInstrument);
// Check if the Price is still reliable
IPriceDetail instrumentPrice = tradedInstrument.CurrentPrice;
if (instrumentPrice == null || instrumentPrice.Price.IsZero)
orderEditView.Warning = string.Format("No price was found for {0} so the validation is not very reliable.", tradedInstrument.DisplayName);
else
{
// check if the price is within 1% of the last exRate
decimal rate = instrumentPrice.Price.Quantity;
decimal diff = (price.Quantity - rate) / rate;
decimal diffPct = Math.Round(Math.Abs(diff), 4) * 100;
if (diffPct > 1)
orderEditView.Warning = string.Format("The price you entered is {0}% {1} than the last known price ({2}).", diffPct.ToString("0.##"), (diff < 0 ? "smaller" : "higher"), instrumentPrice.Price.ShortDisplayString);
if (instrumentPrice.IsOldDate)
orderEditView.Warning += (orderEditView.Warning != string.Empty ? Environment.NewLine : "") + string.Format("The price found for {0} is old ({1}) so the validation is not very reliable.", tradedInstrument.DisplayName, instrumentPrice.Date.ToShortDateString());
}
return orderEditView;
}
}
/// <summary>
/// Constructor for creating a test FeeClient object
/// </summary>
/// <param name="account"></param>
/// <param name="instrument"></param>
/// <param name="side"></param>
/// <param name="actiontype"></param>
/// <param name="transactionDate"></param>
/// <param name="issizebased"></param>
/// <param name="orderValue"></param>
/// <param name="amount"></param>
/// <param name="price"></param>
/// <param name="ordercurrency"></param>
/// <param name="isValueInclComm"></param>
public CommClient(IAccountTypeInternal account,IInstrument instrument, Side side, OrderActionTypes actiontype,
DateTime transactionDate, bool issizebased, InstrumentSize orderValue, Money amount, Price price,
ICurrency ordercurrency, bool isValueInclComm)
{
if (account == null)
throw new ApplicationException("It is not possible to calculate the commission when the account is unknown.");
if (instrument == null)
throw new ApplicationException("It is not possible to calculate the commission when the instrument value is unknown.");
this.account = account;
this.instrument = instrument;
this.Side = side;
this.ActionType = actiontype;
this.TransactionDate = transactionDate;
this.IsSizeBased = issizebased;
this.OriginalOrderType = issizebased ? BaseOrderTypes.SizeBased : BaseOrderTypes.AmountBased;
this.Value = orderValue;
this.amount = amount;
this.Price = price;
this.OrderCurrency = ordercurrency;
this.IsValueInclComm = isValueInclComm;
type = CommClientType.Test;
}
public FundPositionHistorical(IFundPortfolioHistorical parent, InstrumentSize size, Price price, Decimal rate)
{
this.Parent = parent;
this.Size = size;
this.Price = price;
this.rate = rate;
}
public CrumbleTransaction(IOrder order, ICrumbleAccount acctA, IAccount acctB,
InstrumentSize valueSize, Price price, decimal exRate, DateTime transactionDate,
DateTime transactionDateTime, Decimal ServiceChargePercentage, Side txSide, ITradingJournalEntry tradingJournalEntry,
IGLLookupRecords lookups, ListOfTransactionComponents[] components)
: base(order, acctA, acctB, valueSize, price, exRate, transactionDate, transactionDateTime, ServiceChargePercentage,
txSide, tradingJournalEntry, lookups, components)
{
}
/// <summary>
/// This method tries to find a commission rule based on the parameters entered
/// </summary>
/// <param name="saccount">Account number</param>
/// <param name="sinstrument">Instrument</param>
/// <param name="sordervalue">Order value</param>
/// <param name="samount">Amount</param>
/// <param name="sprice">Price</param>
public static string CalculateAccruedInterest(int instrumentId,
DateTime settlementDate, BaseOrderTypes orderType,
decimal amountQuantity, decimal sizeQuantity, decimal priceQuantity,
int exchangeId)
{
string result = "";
try
{
using (IDalSession session = NHSessionFactory.CreateSession())
{
InstrumentSize size = null;
IBond instrument = (IBond)InstrumentMapper.GetInstrument(session, instrumentId);
IExchange exchange = null;
if (instrument == null)
throw new ApplicationException("select a valid bond");
if (exchangeId != 0 && exchangeId != int.MinValue)
exchange = ExchangeMapper.GetExchange(session, exchangeId);
ICurrency defcurrency = instrument.CurrencyNominal;
Price price = null;
if (priceQuantity != 0M)
price = new Price(priceQuantity, defcurrency, instrument);
else if (instrument.CurrentPrice != null)
price = instrument.CurrentPrice.Price;
if (!(price != null && price.IsNotZero))
throw new ApplicationException("There is no price");
if (orderType == BaseOrderTypes.AmountBased)
{
Money amount = new Money(amountQuantity, defcurrency);
size = instrument.CalculateSizeBackwards(amount, price, settlementDate);
}
else
size = new InstrumentSize(sizeQuantity, instrument);
AccruedInterestDetails accInt = instrument.AccruedInterest(size, settlementDate, exchange);
Money calcAmount = size.CalculateAmount(price);
if (accInt.IsRelevant)
result = accInt.DisplayString + string.Format("<br>Size: {0}<br>Amount: {1}<br>Settlement Date: {2}",
size.Quantity, calcAmount.Quantity, settlementDate.ToString("dd-MM-yyyy"));
else
result = "Accrued interest is not relevant";
}
}
catch (Exception ex)
{
result = "Error during accrued interest test: " + ex.Message;
}
return result;
}
public TransactionNTM(IAccountTypeInternal acctA, IAccount acctB,
InstrumentSize valueSize,
Price price, decimal exRate, DateTime transactionDate, DateTime transactionDateTime,
Decimal ServiceChargePercentage, Side txSide,
ITradingJournalEntry tradingJournalEntry,
IGLLookupRecords lookups, ListOfTransactionComponents[] components, string description)
: base(acctA, acctB, valueSize, price, exRate, transactionDate,
transactionDateTime, ServiceChargePercentage, txSide,
tradingJournalEntry, lookups, components)
{
this.Description = description;
}
public HistoricalPositionRowView(ICashPositionHistorical position)
{
key = position.Key;
instrumentName = position.PositionInstrument.Name;
size = position.HistoricalValue.Quantity;
value = position.HistoricalBaseValue;
PositionSize = position.HistoricalBaseValue;
price = new Price(1m, position.PositionInstrument.ToCurrency, position.PositionInstrument);
priceDate = position.Parent.PositionDate;
exchangeRate = position.HistoricalValue.XRate;
//modelAllocation = Math.Round(100m * position.ModelAllocation, 4);
isin = "Cash";
}
public BonusDistribution(IAccountTypeInternal acctA, IAccount acctB,
InstrumentSize valueSize,
Price price, decimal exRate, DateTime transactionDate, DateTime transactionDateTime,
Decimal ServiceChargePercentage, Side txSide,
ICorporateActionBonusDistribution bonusDistributionDetails, ITradingJournalEntry tradingJournalEntry,
IGLLookupRecords lookups, ListOfTransactionComponents[] components)
: base(acctA, acctB, valueSize,
price, exRate, transactionDate, transactionDateTime,
ServiceChargePercentage, txSide,
tradingJournalEntry,
lookups, components)
{
this.CorporateActionType = CorporateActionTypes.BonusDistribution;
this.CorporateActionDetails = bonusDistributionDetails;
}
public HistoricalPositionRowView(IFundPositionHistorical position)
{
key = position.Key;
instrumentName = position.Size.Underlying.DisplayName;
PositionSize = position.Size;
size = position.Size.Quantity;
value = position.HistoricalBaseValue;
price = position.Price;
priceDate = position.Parent.PositionDate;
exchangeRate = position.HistoricalValue.XRate;
//modelAllocation = Math.Round(100m * position.ModelAllocation, 4);
if (position.Size.Underlying.IsTradeable)
{
ITradeableInstrument instrument = (ITradeableInstrument)position.Size.Underlying;
isin = instrument.Isin;
}
}
internal StgSizeOrder(IStgAmtOrder childOrder, InstrumentSize value, Price price, IOrderRouteMapper routeMapper)
: base(childOrder.Account, value, false)
{
// Used for TypeConversion
// Some check
if (childOrder.ParentOrder != null)
throw new ApplicationException("This order has a parent order and can no longer be converted.");
this.IsTypeConverted = true;
setInitialValues(routeMapper);
this.price = price;
this.ChildOrders.Add(childOrder);
childOrder.Approve();
//this.CommissionDetails = childOrder.CommissionDetails;
this.exRate = childOrder.ExRate;
Validate();
}
public PositionRowView(IFundPosition position)
{
key = position.Key;
instrumentName = position.Size.Underlying.DisplayName;
size = position.Size.Quantity;
value = position.CurrentBaseValue;
modelAllocation = Math.Round(100m * position.ModelAllocation, 4);
if (position.Size.Underlying.IsWithPrice)
{
IInstrumentsWithPrices instrument = (IInstrumentsWithPrices)position.Size.Underlying;
isin = instrument.Isin;
IsCloseable = instrument.IsTradeable;
if (instrument.CurrentPrice != null)
{
price = instrument.CurrentPrice.Price;
priceDate = instrument.CurrentPrice.Date;
}
if (instrument.CurrencyNominal.ExchangeRate != null)
exchangeRate = instrument.CurrencyNominal.ExchangeRate.Rate;
else
{
if (instrument.CurrencyNominal.IsBase)
exchangeRate = 1M;
}
if (instrument.SecCategory.Key == SecCategories.Bond)
{
IBond bond = (IBond)instrument;
if (bond != null && bond.DoesPayInterest)
{
AccruedInterest = position.
Get(v => v.BondCouponPayments).
Get(w => w.ActivePayment).
Get(x => x.DailyCalculations.
Get(y => y.LastCalculation).
Get(z => z.CalculatedAccruedInterestUpToDate));
ShowAccruedInterest = (AccruedInterest != null && AccruedInterest.IsNotZero);
}
}
}
}
internal AggregatedCashValuation(ValuationCollection cashValuations, bool aggregateToBase)
{
bool hasInitialized = false;
if (aggregateToBase)
{
foreach (IValuation valuation in cashValuations)
{
if (valuation.Instrument.IsCash)
{
if (this.account == null)
{
this.account = valuation.Account;
this.date = valuation.Date;
this.key = valuation.Key;
this.marketRate = 1M;
this.avgOpenExRate = 1M;
baseCurrency = ((ICurrency)valuation.Instrument).BaseCurrency;
price = new Price(1M, baseCurrency, baseCurrency);
this.bookPrice = price;
this.costPrice = price;
this.marketPrice = price;
this.displayInstrumentsCategory = valuation.DisplayInstrumentsCategory;
this.AssetClass = valuation.ValuationMutation.AssetClass;
this.ValuationMutation = valuation.ValuationMutation;
}
this.size += valuation.BaseMarketValue;
this.bookValue += valuation.BookValue;
this.bookChange += valuation.BookChange;
this.deposit += valuation.Deposit;
this.withDrawal += valuation.WithDrawal;
if (!valuation.ValuationMutation.IsSecurityValuationMutation)
{
this.depositToDate += ((IMonetaryValuationMutation)valuation.ValuationMutation).DepositToDate;
this.withDrawalToDate += ((IMonetaryValuationMutation)valuation.ValuationMutation).WithDrawalToDate;
}
hasInitialized = true;
}
}
}
if (!hasInitialized)
throw new ApplicationException("Class AggregatedCashValuation could not be initialized");
}
public CorporateActionStockDividend(IAccountTypeInternal acctA, IAccount acctB,
InstrumentSize valueSize, Price price, decimal exRate, DateTime transactionDate,
IDividendHistory dividendDetails, InstrumentSize previousSize,
ITradingJournalEntry tradingJournalEntry)
: base(acctA, acctB, valueSize,
price, exRate, transactionDate, transactionDate,
0M, valueSize.Sign ? Side.XI : Side.XO,
tradingJournalEntry, null, null)
{
if (dividendDetails == null)
throw new ApplicationException("Dividend details are mandatory when creating a stock dividend corporate action");
if (previousSize == null)
throw new ApplicationException("The units in possession are mandatory when creating a stock dividend corporate action");
else if (previousSize.IsZero)
throw new ApplicationException("The units can not be zero when creating a stock dividend corporate action");
this.CorporateActionType = CorporateActionTypes.StockDividend;
this.CorporateActionDetails = dividendDetails;
this.PreviousSize = previousSize;
}
public static void CheckMaximalRoundOffError(bool isSizeBased, InstrumentSize size, Money amount, Price price, Money accruedInterest, Side side)
{
if (!isSizeBased)
{
InstrumentSize calcAmt = size.CalculateAmount(price) * (decimal)side * -1M;
//if (accruedInterest != null && accruedInterest.IsNotZero)
//{
// accruedInterest = accruedInterest.Abs() * (decimal)side * -1M;
// calcAmt += accruedInterest;
//}
InstrumentSize diff = (calcAmt.Abs() - amount.Abs());
if (diff.IsNotZero && !diff.IsWithinTolerance(0.02m))
{
decimal percLeft = diff.Abs().Quantity / amount.Abs().Quantity;
if (percLeft >= 0.05m)
throw new ApplicationException(string.Format(
"Price times Size ({0}) differs by {1}% from the provided Amount ({2}). Order cannot be filled.",
calcAmt.DisplayString, Math.Round(percLeft * 100m, 1), amount.DisplayString));
}
}
}
/// <summary>
/// Fills an order by setting the agreed size and price, exchange rate, counter party and transaction date.
/// </summary>
/// <param name="trade">The order to be filled</param>
/// <param name="size">Size of the instrument</param>
/// <param name="price">Agreed price of the instrument</param>
/// <param name="amount">Amount of the order (=size * price)</param>
/// <returns>True if it succeeded</returns>
protected bool fillOrder(ITransactionOrder trade, InstrumentSize size, Price price, Money amount, Money serviceCharge, Money accruedInterest)
{
decimal ratio = 1m;
Transactions.AddTransactionOrder(trade);
FilledValue += fillOrderValue(size, amount, serviceCharge, accruedInterest);
if (this.IsSecurity)
{
((ISecurityOrder)this).ServiceCharge += serviceCharge;
if (this.IsAmountBased)
((ISecurityOrder)this).AccruedInterest += accruedInterest;
}
// If OrderExecution -> set FillRatio
if (trade.TransactionType == TransactionTypes.Execution)
{
if (IsCompleteFilled)
// if order is already partly filled -> subtract rest
ratio = 1M - Transactions.TotalFillRatio();
else
{
InstrumentSize diff = PlacedValue.Abs() - fillOrderValue(size, amount, serviceCharge, accruedInterest).Abs();
if (diff.IsZero || diff.IsWithinTolerance(0.02M))
ratio = 1M;
else
{
ratio = fillOrderValue(size, amount, serviceCharge, accruedInterest).Abs().Quantity / PlacedValue.Abs().Quantity;
// If this trade filled the order (OpenSize = 0) -> take the remainder ratio
if (OpenValue.IsZero)
{
decimal var = ratio - (1M - getFillatioTransactions());
if (Math.Abs(var) < 0.0001M)
ratio = 1M - getFillatioTransactions();
}
}
}
}
trade.FillRatio = ratio;
OrderStateMachine.SetNewStatus(this, OrderStateEvents.Fill);
//// If MoneyOrder on order -> set ExRate
//if (IsMonetary)
//{
// // Use the size as the amount -> because it is a conversion
// processMoneyFill(price, trade);
//}
return true;
}
public override ISecurityOrder Convert(Price price, B4F.TotalGiro.OrderRouteMapper.IOrderRouteMapper routeMapper)
{
throw new ApplicationException("Client Orders may not be converted at this time");
}
protected virtual TransactionFillDetails getTransactionFillDetailsAmountBasedOrderByGoalSeek(
Money grossAmount, Side side, bool isCommissionRelevant, bool isValueInclComm,
DateTime settlementDate, Price price, IExchange exchange,
ICommRule rule, ICommClient client, decimal servChargePerc, int precision)
{
decimal realAmount;
decimal guess = grossAmount.Abs().CalculateSize(price).Quantity;
FinancialMath.MaxCycles = 200;
// Check -> use Commission
bool useComm = true;
bool useAddComm = false;
if (!isCommissionRelevant || rule == null)
useComm = false;
if (useComm)
useAddComm = (rule.AdditionalCalculation != null);
realAmount = FinancialMath.GoalSeek(x =>
new InstrumentSize(x, this).CalculateAmount(price).Quantity +
(useComm ? rule.CommCalculation.Calculate(client.GetNewInstance(new InstrumentSize(x, this), price, (useAddComm ? rule.AdditionalCalculation.Calculate(client.GetNewInstance(new InstrumentSize(x, this), price)) : null))).Quantity : 0M) +
(useAddComm ? rule.AdditionalCalculation.Calculate(client.GetNewInstance(new InstrumentSize(x, this), price)).Quantity : 0M) +
(new InstrumentSize(x, this).CalculateAmount(price).Abs().Quantity * servChargePerc),
grossAmount.Abs().Quantity, guess, precision);
InstrumentSize size = new InstrumentSize(realAmount, this);
Money amount = size.CalculateAmount(price);
InstrumentSize cleanSize = amount.CalculateSize(price);
Money servCh = (amount.Abs() * servChargePerc);
Money comm = amount.ZeroedAmount();
Money addComm = amount.ZeroedAmount();
if (useComm)
{
if (rule.AdditionalCalculation != null)
addComm = rule.AdditionalCalculation.Calculate(client.GetNewInstance(cleanSize, price));
comm = rule.CommCalculation.Calculate(client.GetNewInstance(cleanSize, price, addComm));
// if sell -> comm is already in the amount
if (side == Side.Sell && (comm + addComm) != null && (comm + addComm).IsNotZero)
{
amount += (comm + addComm);
cleanSize = amount.CalculateSize(price);
if (!isValueInclComm)
{
if (rule.AdditionalCalculation != null)
addComm = rule.AdditionalCalculation.Calculate(client.GetNewInstance(cleanSize, price));
comm = rule.CommCalculation.Calculate(client.GetNewInstance(cleanSize, price, addComm));
}
}
}
return new TransactionFillDetails(cleanSize, amount, null, servCh, servChargePerc, comm + addComm, grossAmount.Abs(), side);
}
protected virtual TransactionFillDetails getTransactionFillDetailsAmountBasedOrderByGoalSeek(
IOrderAmountBased order, DateTime settlementDate, Price price, IExchange exchange,
ICommRule rule, ICommClient client, decimal servChargePerc, int precision)
{
try
{
TransactionFillDetails details = getTransactionFillDetailsAmountBasedOrderByGoalSeek(
order.GrossAmount, order.Side, order.IsCommissionRelevant, order.IsValueInclComm,
settlementDate, price, exchange, rule, client, servChargePerc, precision);
if (details.IsOK)
{
Money diff = details.Diff;
if (diff != null && diff.IsNotZero && diff.IsWithinTolerance(0.09M))
{
details.FixUp(order);
details.Size = details.Amount.CalculateSize(price);
details.Info = string.Format("F{0}", precision);
}
}
return details;
}
catch
{
}
return new TransactionFillDetails();
}
public static void UpdateHistoricalPrice(DateTime date, decimal PriceQuantity, string isin)
{
IDalSession session = NHSessionFactory.CreateSession();
IInstrumentsWithPrices instrument = (IInstrumentsWithPrices)InstrumentMapper.GetInstrumentswithPricesByIsin(session, isin)[0];
Price price = new Price(PriceQuantity, instrument.CurrencyNominal, instrument);
IList<IHistoricalPrice> historicalPrices = HistoricalPriceMapper.GetHistoricalPrices(session, instrument, date);
IHistoricalPrice historicalPrice = null;
if (historicalPrices.Count == 0)
{
instrument.HistoricalPrices.AddHistoricalPrice(new HistoricalPrice(price, date));
InstrumentMapper.Update(session, instrument);
}
else
{
historicalPrice = (IHistoricalPrice)historicalPrices[0];
historicalPrice.Price = price;
HistoricalPriceMapper.Update(session, historicalPrice);
}
//Hashtable parameters = new Hashtable();
//parameters.Add("InstrumentID", instrument.Key);
//session.ExecuteStoredProcedure("EXEC dbo.TG_FillHistPricesWeekendsHolidays @p_intInstrumentID = :InstrumentID", parameters);
session.Close();
}
public new virtual ISecurityOrder Convert(Price price, IOrderRouteMapper routeMapper)
{
InstrumentSize value = Amount.CalculateSize(price);
return new StgSizeOrder(this, value, price, routeMapper);
}
public IOrderExecution Fill(InstrumentSize size, Price price, Money amount, decimal exRate,
IAccount counterParty, DateTime transactionDate, DateTime transactionDateTime, IExchange exchange,
bool isCompleteFill, Money serviceCharge, decimal serviceChargePercentage, Money accruedInterest,
ITradingJournalEntry tradingJournalEntry, IGLLookupRecords lookups)
{
IOrderExecution returnValue = null;
if (size == null || price == null || amount == null)
throw new Exception("Size, Price and Amount are mandatory when filling the order.");
if (IsFillable != OrderFillability.True)
throw new ApplicationException("This Order is not fillable.");
setSignServiceCharge(ref serviceCharge, ref serviceChargePercentage);
if (accruedInterest != null && accruedInterest.IsNotZero)
accruedInterest = accruedInterest.Abs() * (decimal)this.Side * -1M;
CheckMaximalRoundOffError(IsSizeBased, size, amount, price, accruedInterest, this.Side);
if (isCompleteFill)
{
// Check whether the order has not been filled before
if (Transactions.Count > 0)
throw new ApplicationException("The order has already been filled and so it can not be a complete fill.");
if (this.OpenValue.IsZero)
throw new ApplicationException("The open value of this order is zero.");
InstrumentSize diff = getTradeDifferenceOpenValue(size, amount, serviceCharge, accruedInterest);
if (diff.IsNotZero)
{
const decimal maxAllowed = 0.05m;
// TickSize && NominalValue
decimal tickSize = 0M;
if (this.OrderType == OrderTypes.SizeBased)
{
IInstrumentExchange ie = getInstrumentExchange(exchange);
if (ie != null)
tickSize = ie.TickSize;
}
if (this.RequestedInstrument.SecCategory.Key == SecCategories.Bond)
tickSize = ((IBond)this.RequestedInstrument).NominalValue.Quantity;
if (!(tickSize > 0M && Math.Abs(diff.Quantity / tickSize) < 1M))
{
decimal fillRatio = diff.Abs().Quantity / this.OpenValue.Abs().Quantity;
if (fillRatio > maxAllowed)
throw new ApplicationException(
string.Format("The size of this transaction is different from the order size by more than {0:0.##}%.", maxAllowed * 100));
}
}
amount.XRate = exRate;
}
else
{
orderInitialCheck(ref amount, size, exRate, serviceCharge, accruedInterest);
}
this.IsCompleteFilled = isCompleteFill;
orderCheckSide(this.Side, ref amount, ref size);
checkServiceChargePercentage(serviceCharge, serviceChargePercentage, amount);
ListOfTransactionComponents[] components = packageComponents(amount, serviceCharge, accruedInterest);
returnValue = new OrderExecution(this, counterParty, size, price, exRate, transactionDate, transactionDateTime, serviceChargePercentage, tradingJournalEntry, lookups, components);
fillOrder(returnValue, size, price, amount, serviceCharge, accruedInterest);
return returnValue;
}
public new virtual ISecurityOrder Convert(Price price, IOrderRouteMapper routeMapper)
{
Money value = this.Value.CalculateAmount(price);
return new StgAmtOrder(this, value);
}
private static Price MathOperation(Price lhs, Price rhs, MathOperator op)
{
if (((Object)rhs == null) && ((Object)lhs == null))
{
//throw new ApplicationException("Both Prices may not be Null!");
return null;
}
else if (((Object)rhs == null) || ((Object)lhs == null))
{
if ((Object)rhs == null)
{
return (Price)lhs.MemberwiseClone();
}
else
{
switch (op)
{
case MathOperator.Add:
return (Price)rhs.MemberwiseClone();
case MathOperator.Subtract:
return (rhs * -1);
default:
throw new ApplicationException("You did not select a valid math operation");
}
}
}
else
{
// Use Eq because it is not possible to do operator overloading on an interface
if (!(lhs.Underlying.Equals(rhs.Underlying)))
{
throw new ApplicationException("Cannot add Two different currencies!");
}
else if (!(lhs.Instrument.Equals(rhs.Instrument)))
{
throw new ApplicationException("Cannot add Two different instruments!");
}
else
{
switch (op)
{
case MathOperator.Add:
return lhs.Clone(lhs.Quantity + rhs.Quantity);
case MathOperator.Subtract:
return lhs.Clone(lhs.Quantity - rhs.Quantity);
default:
throw new ApplicationException("You did not select a valid math operation");
}
}
}
}
private static bool CompareOperation(Price lhs, Price rhs, CompareOperator cp)
{
bool result;
if (((Object)rhs == null) || ((Object)lhs == null))
{
throw new ApplicationException("One or both Prices can not be Null!");
}
else
{
// Use Eq because it is not possible to do operator overloading on an interface
if (!(lhs.Underlying.Equals(rhs.Underlying)))
{
throw new ApplicationException("Cannot compare prices with different currencies");
}
else if (!(lhs.Instrument.Equals(rhs.Instrument)))
{
throw new ApplicationException("Cannot compare prices with different instruments");
}
else
{
switch (cp)
{
case CompareOperator.Greater:
result = (lhs.Quantity > rhs.Quantity);
break;
case CompareOperator.GreaterOrEqual:
result = (lhs.Quantity >= rhs.Quantity);
break;
case CompareOperator.Smaller:
result = (lhs.Quantity < rhs.Quantity);
break;
case CompareOperator.SmallerOrEqual:
result = (lhs.Quantity <= rhs.Quantity);
break;
default:
throw new ApplicationException("You did not select a valid comparison option");
}
return result;
}
}
}
private void processMoneyFill(Price price, ITransactionOrder newTrade)
{
//// If MoneyOrder on order -> set ExRate
//if (IsMonetary)
//{
// IStgMonetaryOrder mo = null;
// if (IsStgOrder && IsMonetary)
// mo = this as IStgMonetaryOrder;
// if (mo != null && mo.MoneyParent != null)
// {
// // First check if already exist
// if (mo.MoneyParent.ParentOrder != null)
// throw new ApplicationException("Monetary orders can only be filled once.");
// decimal exRate = Math.Round(1 / price.Quantity, 6);
// Money amount = mo.MoneyParent.Amount.Convert(exRate, (ICurrency)price.Instrument);
// StgAmtOrder newParent = new StgAmtOrder((IStgAmtOrder)mo.MoneyParent, amount, exRate);
// mo.MoneyParent.SetParentOrder(newParent);
// newTrade.ConvertedOrder = newParent;
// ((IOrder)mo.MoneyParent).SetExRate(exRate);
// //newParent.Approve();
// }
//}
}
public virtual TransactionFillDetails GetTransactionFillDetails(
IOrder order, Price price, DateTime settlementDate, IFeeFactory feeFactory,
decimal fillRatio, IExchange exchange)
{
if (order.IsSizeBased)
return GetTransactionFillDetails((IOrderSizeBased)order, price, settlementDate, feeFactory, fillRatio, exchange);
else
return GetTransactionFillDetails((IOrderAmountBased)order, price, settlementDate, feeFactory, fillRatio, exchange);
}
public virtual IStgSizeOrder ConvertBondOrder(Price price, DateTime settlementDate, IOrderRouteMapper routeMapper)
{
if (TradedInstrument.SecCategory.Key != SecCategories.Bond)
throw new ApplicationException("This is not a bond order.");
IBond bond = (IBond)TradedInstrument;
if (bond.DoesPayInterest)
{
// Calculate backwards the number of bonds
InstrumentSize value = bond.CalculateSizeBackwards(Amount, price, settlementDate);
StgSizeOrder convertedOrder = new StgSizeOrder(this, value, price, routeMapper);
AccruedInterestDetails calc = bond.AccruedInterest(value, settlementDate, null);
if (calc.IsRelevant)
convertedOrder.AccruedInterest = calc.AccruedInterest;
return convertedOrder;
}
else
return (IStgSizeOrder)this.Convert(price, routeMapper);
}
public virtual TransactionFillDetails GetTransactionFillDetails(
IOrderSizeBased order, Price price, DateTime settlementDate, IFeeFactory feeFactory,
decimal fillRatio, IExchange exchange)
{
Money serviceCharge = null;
Money commission = null;
decimal serviceChargePercentageforOrder = getServiceChargePercentage(order, exchange);
// Use the Value of the child order -> difference will go to Crumble account
InstrumentSize size = order.Value * fillRatio;
Money amount = size.CalculateAmount(price);
if (serviceChargePercentageforOrder != 0M)
serviceCharge = (amount * serviceChargePercentageforOrder).Abs().Negate();
TransactionFillDetails details = new TransactionFillDetails(size, amount, null, serviceCharge, serviceChargePercentageforOrder, commission, order.GrossAmount, order.Side);
details.SetSign(order.Side);
return details;
}
public static void UpdateOrderFill(OrderFillView orderFillView)
{
IDalSession session = NHSessionFactory.CreateSession();
try
{
ICurrency orderCurrency;
ITransaction transaction;
IExchange exchange = null;
Money serviceCharge = null;
decimal serviceChargePercentage = 0m;
ISecurityOrder order = (ISecurityOrder)OrderMapper.GetOrder(session, orderFillView.OrderId);
IAccount counterpartyAccount = AccountMapper.GetAccountByNumber(session, FUND_SETTLE);
if (counterpartyAccount == null)
throw new ApplicationException(string.Format("The counterparty account {0} can not be found in the database.", FUND_SETTLE));
if (orderFillView.ExchangeId != 0 && orderFillView.ExchangeId != int.MinValue)
exchange = ExchangeMapper.GetExchange(session, orderFillView.ExchangeId);
if (exchange == null)
throw new ApplicationException("Select an exchange when filling the order");
if (order.Value.Underlying.IsCash)
orderCurrency = (ICurrency)order.Value.Underlying;
else
orderCurrency = ((ITradeableInstrument)order.Value.Underlying).CurrencyNominal;
Price price = new Price(orderFillView.Price, orderCurrency, ((ISecurityOrder)(order)).TradedInstrument);
InstrumentSize size = new InstrumentSize(orderFillView.Size, order.TradedInstrument);
ICurrency txCurrency = null;
if (order.TradedInstrument.IsCash)
txCurrency = (ICurrency)order.TradedInstrument;
else
txCurrency = (ICurrency)order.TradedInstrument.CurrencyNominal;
decimal exRate = order.TradedInstrument.CurrencyNominal.ExchangeRate.Rate;
if (orderFillView.ServiceChargeAmount != 0)
{
serviceCharge = new Money(orderFillView.ServiceChargeAmount, txCurrency);
serviceChargePercentage = orderFillView.ServiceChargePercentage;
}
//if (orderFillView.IsCompleteFill)
//{
Money amount = new Money(orderFillView.Amount, txCurrency);
//transaction = order.Fill(size, price, amount, exRate, counterpartyAccount,
// orderFillView.TransactionDate, orderFillView.TransactionTime, exchange,
// orderFillView.IsCompleteFill, serviceCharge, serviceChargePercentage);
//}
//else
// transaction = order.Fill(size, price, exRate, counterpartyAccount, orderFillView.TransactionDate, serviceCharge, serviceChargePercentage);
//if (Util.IsNotNullDate(orderFillView.SettlementDate))
// transaction.ContractualSettlementDate = orderFillView.SettlementDate;
//transaction.Approve();
//TransactionMapper.Insert(session, transaction);
//if (transaction.Approved)
//{
// IFeeFactory fees = FeeFactory.GetInstance(session);
// //order.Allocate(transaction, fees);
// OrderMapper.Update(session, order);
//}
}
finally
{
session.Close();
}
}
public TransactionFillDetails GetTransactionFillDetails(
IOrderAmountBased order, Price price, DateTime settlementDate, IFeeFactory feeFactory,
decimal fillRatio, IExchange exchange)
{
decimal serviceChargePercentageforOrder = getServiceChargePercentage(order, exchange);
TransactionFillDetails details = null;
if (IsCommissionLinear)
{
Money amount = order.Amount * fillRatio;
Money serviceCharge = null;
if (serviceChargePercentageforOrder != 0M)
{
Money newAmount = amount * (decimal)(1M / (1M + serviceChargePercentageforOrder));
serviceCharge = (amount.Abs() - newAmount.Abs());
amount = newAmount;
}
// Calculate Commission
Money commission = null;
// if the trade fills the Order completely -> take the Commission from the Order
if (fillRatio == 1M)
commission = order.Commission;
// Convert amount when necessary
if (!amount.Underlying.Equals(price.Underlying) && !price.Underlying.IsObsoleteCurrency)
amount = amount.Convert(order.ExRate, price.Underlying);
InstrumentSize size = amount.CalculateSize(price);
details = new TransactionFillDetails(size, amount, null, serviceCharge, serviceChargePercentageforOrder, commission, order.GrossAmount, order.Side);
}
else
{
// Do the goalseek
ICommClient client;
ICommRule rule = feeFactory.GetRelevantCommRule(order.Account, this, order.Side,
order.ActionType, settlementDate, true, out client);
for (int i = 4; i > 0; i--)
{
details = getTransactionFillDetailsAmountBasedOrderByGoalSeek(
order, settlementDate, price, exchange,
rule, client, serviceChargePercentageforOrder, i);
if (details.IsOK && !details.IsDiff)
break;
}
if (!details.IsOK || details.IsDiff)
throw new ApplicationException("Not possible to calculate the trade amounts, probably a commission rule applied with a minimum amount.");
}
if (details != null)
details.SetSign(order.Side);
return details;
}
