/// <summary>
/// Initializes a new instance of the <see cref="T:B4F.TotalGiro.PortfolioComparer.PortfolioCompareSetting">PortfolioCompareSetting</see> class.
/// </summary>
/// <param name="compareAction">
/// When this argument equals 'CloseOrders' it is checked whether positions exist that do not exist in the modelportfolio.
/// When this is the case this will result in only sell close size based orders.
/// When the argument equals 'Rebalance' a normal rebalance is done.
/// However the method will generate an error when positions do exist that do not exist in the modelportfolio.
/// When the argument equals 'CashFundOrders' the remaining cash will be transferred to cash fund.
/// </param>
/// <param name="instruction">The instruction that generated the orders</param>
/// <param name="engineParams">The parameters used in porfolio compare action</param>
public PortfolioCompareSetting(PortfolioCompareAction compareAction, IInstruction instruction, InstructionEngineParameters engineParams)
{
if (instruction == null)
throw new ApplicationException("The instruction is mandatory");
this.CompareAction = compareAction;
this.Instruction = instruction;
this.EngineParams = engineParams;
}
internal void Add(IOrder order, PortfolioCompareAction compareAction)
{
if (!(order.IsMonetary && ((IMonetaryOrder)order).MoneyParent != null))
{
if (!order.IsClosed && order.OpenValue.IsNotZero)
{
decimal ratio = 1M;
// remove already approved transactions from the ratio
if (order.Transactions != null && order.Transactions.Count > 0)
ratio -= order.Transactions.TotalApprovedFillRatio();
// Find traded instrument
PositionComparer pc = getPos(order.RequestedInstrument);
if (pc != null)
{
if (order.IsAmountBased)
pc.ExistingOrderAmount += order.GrossAmount * ratio;
else if (order.IsSizeBased)
pc.ExistingOrderSize += order.OpenValue;
pc.OrderIds += (pc.OrderIds != string.Empty ? ", " : "") + order.OrderID.ToString();
}
if (compareAction != PortfolioCompareAction.CloseOrders)
{
if (!(order.OpenValue.Underlying.IsCash && order.OpenValue.Underlying.ToCurrency.IsBase))
throw new ApplicationException("Order not in base currency");
// Find cash record
pc = getPos(order.OpenValue.Underlying);
if (pc != null)
pc.OpenOrderAmount += (order.GrossAmount * ratio * - 1M);
}
}
}
}