protected List <BasicAssetValuation> ConvertProviderResultsToStandardValuations(
Dictionary <string, BasicQuotation> providerResults,
RequestContext requestContext)
{
var results = new List <BasicAssetValuation>();
// build standard results (and convert quote units)
Logger.LogDebug(" Results :");
for (int i = 0; i < requestContext.RequestItems.Count; i++)
{
RequestItem requestItem = requestContext.RequestItems[i];
Asset standardAsset = requestItem.StandardAsset;
BasicQuotation standardQuote = requestItem.StandardQuote;
string standardInstrId = standardAsset.id;
string standardFieldId = standardQuote.GetStandardFieldName();
PriceQuoteUnitsEnum standardQuoteUnit = requestItem.StandardUnits;
PriceQuoteUnitsEnum providerQuoteUnit = requestItem.ProviderUnits;
string providerInstrId = requestContext.InstrConversionMap[standardInstrId.ToLower()];
string providerFieldId = requestContext.FieldConversionMap[standardFieldId.ToLower()];
string providerQuoteKey = FormatProviderQuoteKey(providerInstrId, providerFieldId);
if (providerResults.TryGetValue(providerQuoteKey, out var providerQuote))
{
BasicQuotation convertedQuote;
if (providerQuote.valueSpecified)
{
// valid value returned
decimal convertedValue = PriceQuoteUnitsHelper.ConvertPriceQuoteUnitsValue(providerQuoteUnit, standardQuoteUnit, providerQuote.value);
convertedQuote = BasicQuotationHelper.Create(standardQuote, convertedValue);
// debug
Logger.LogDebug(" [{0}] '{1}/{2}' ({3}/{4}) [{5}] --> '{6}/{7}' ({8}/{9}) [{10}]", i,
providerInstrId, providerFieldId, AssetMeasureEnum.MarketQuote, providerQuoteUnit, providerQuote.value,
standardInstrId, standardFieldId, AssetMeasureEnum.MarketQuote, standardQuoteUnit, convertedQuote.value);
// end debug
}
else
{
// no value - copy error details
convertedQuote = providerQuote;
// debug
Logger.LogDebug(" [{0}] '{1}/{2}' ({3}/{4}) [{5}] --> '{6}/{7}' ({8}/{9}) [{10}]", i,
providerInstrId, providerFieldId, providerQuote.measureType.Value, providerQuote.quoteUnits.Value, providerQuote.value,
standardInstrId, standardFieldId, convertedQuote.measureType.Value, convertedQuote.quoteUnits.Value, convertedQuote.value);
// end debug
}
// add other provider info
convertedQuote.timeSpecified = providerQuote.timeSpecified;
convertedQuote.time = providerQuote.time;
convertedQuote.valuationDateSpecified = providerQuote.valuationDateSpecified;
convertedQuote.valuationDate = providerQuote.valuationDate;
convertedQuote.informationSource = providerQuote.informationSource;
results.Add(new BasicAssetValuation {
objectReference = new AnyAssetReference {
href = standardAsset.id
},
quote = new[] { convertedQuote }
});
}
}
return(results);
}
protected RequestContext ConvertStandardAssetQuotesToProviderInstrFieldCodes(
MDSRequestType requestType,
QuotedAssetSet standardQuotedAssetSet)
{
// extract assets/quotes that require market quotes
var standardAssets = new List <Asset>();
var standardQuotes = new List <BasicQuotation>();
{
// build a request/response map (indexed by instrument id)
var instrumentMap = new Dictionary <string, Asset>();
//List<Pair<Asset, BasicQuotation>> completeAssetQuotes = new List<Pair<Asset, BasicQuotation>>();
foreach (Asset asset in standardQuotedAssetSet.instrumentSet.Items)
{
instrumentMap[asset.id.ToLower()] = asset;
}
foreach (BasicAssetValuation quoteInstr in standardQuotedAssetSet.assetQuote)
{
string instrId = quoteInstr.objectReference.href;
if (!instrumentMap.TryGetValue(instrId.ToLower(), out var asset))
{
throw new ApplicationException($"Cannot find instrument '{instrId}' for assetQuote");
}
foreach (BasicQuotation quoteField in quoteInstr.quote)
{
if (quoteField.valueSpecified)
{
// value provided - don't get from market
//completeAssetQuotes.Add(new Pair<Asset, BasicQuotation>(asset, quoteField));
}
else
{
// value not supplied - get from market
BasicQuotation quote = BasicQuotationHelper.Clone(quoteField);
standardAssets.Add(asset);
standardQuotes.Add(quote);
}
}
}
}
var requestItems = new List <RequestItem>();
var instrConversionMap = new Dictionary <string, string>();
var instrUniquenessMap = new Dictionary <string, string>();
var internalInstrIds = new List <string>();
var fieldConversionMap = new Dictionary <string, string>();
var fieldUniquenessMap = new Dictionary <string, string>();
var internalFieldIds = new List <string>();
Logger.LogDebug(" Mappings :");
for (int i = 0; i < standardAssets.Count; i++)
{
// map asset to provider instrument id
Asset standardAsset = standardAssets[i];
string internalInstrId = standardAsset.id;
internalInstrIds.Add(internalInstrId);
string providerInstrId = _marketDataMap.Convert(
MDSDictionaryType.Instrument, requestType,
MDSProviderId.GlobalIB, ProviderId, internalInstrId,
ConvertFailMode.ThrowException);
// update 1-way map
instrConversionMap[internalInstrId.ToLower()] = providerInstrId;
instrUniquenessMap[providerInstrId.ToLower()] = providerInstrId;
// map quote to provider field name
BasicQuotation standardQuote = standardQuotes[i];
string internalFieldId = standardQuote.GetStandardFieldName();
internalFieldIds.Add(internalFieldId);
string providerFieldId = _marketDataMap.Convert(
MDSDictionaryType.FieldName, requestType,
MDSProviderId.GlobalIB, ProviderId, internalFieldId,
ConvertFailMode.ThrowException);
// update 1-way map
fieldConversionMap[internalFieldId.ToLower()] = providerFieldId;
fieldUniquenessMap[providerFieldId.ToLower()] = providerFieldId;
// get provider units
string providerUnitsId = _marketDataMap.Convert(
MDSDictionaryType.QuoteUnits, requestType,
MDSProviderId.GlobalIB, ProviderId, String.Format("{0}/{1}", internalInstrId, internalFieldId),
ConvertFailMode.ThrowException);
var requestItem = new RequestItem
{
StandardAsset = standardAsset,
StandardQuote = standardQuote,
StandardUnits = PriceQuoteUnitsScheme.ParseEnumString(standardQuote.quoteUnits.Value),
ProviderInstrumentId = providerInstrId,
ProviderFieldName = providerFieldId,
ProviderUnits = PriceQuoteUnitsScheme.ParseEnumString(providerUnitsId)
};
requestItems.Add(requestItem);
// debug
Logger.LogDebug(" [{0}] '{1}/{2}' ({3}) --> '{4}/{5}' ({6})", i,
internalInstrIds[i], internalFieldIds[i], standardQuote.quoteUnits.Value,
instrConversionMap[internalInstrIds[i].ToLower()], fieldConversionMap[internalFieldIds[i].ToLower()], providerUnitsId);
// end debug
}
var providerInstrIds = new List <string>(instrUniquenessMap.Values);
var providerFieldIds = new List <string>(fieldUniquenessMap.Values);
// build provider instr/field code sets - todo - for now just build 1
var results = new List <ProviderInstrFieldCodeSet>();
var result = new ProviderInstrFieldCodeSet(providerInstrIds, providerFieldIds);
results.Add(result);
return(new RequestContext
{
RequestItems = requestItems,
ProviderInstrFieldCodeSets = results,
InstrConversionMap = instrConversionMap,
FieldConversionMap = fieldConversionMap
});
}
