private static Asset CreateEmptyAsset()
{
var asset = new Asset
{
DividendsFactor = new DividendsFactor(),
TickFormulaDetails = new TickFormula
{
TickFormulaParameters = new TickFormulaParameters()
},
Underlying = new Underlying
{
MarketDetails = new Market
{
Calendar = new Calendar(),
MarketHours = new MarketHours(),
DividendsFactor = new DividendsFactor(),
},
InterestRates = new List <InterestRate>(),
DividendsFactor = new DividendsFactor(),
AvailableClientProfiles = new List <ClientProfile>()
},
};
return(asset);
}
public static void SetAssetFieldsFromProduct(this Asset asset, Product product)
{
asset.AssetId = product.ProductId;
asset.UnderlyingMdsCode = product.UnderlyingMdsCode;
asset.ForceId = product.ForceId;
asset.Name = product.Name;
asset.ShortPosition = product.ShortPosition;
asset.Comments = product.Comments;
asset.MarketMakerAssetAccountId = product.MarketMakerAssetAccountId;
asset.IsinLong = product.IsinLong;
asset.IsinShort = product.IsinShort;
asset.Issuer = product.Issuer;
asset.MaxPositionSize = product.MaxPositionSize;
asset.SettlementCurrency = product.SettlementCurrency;
asset.MaxOrderSize = product.MaxOrderSize;
asset.NewsId = product.NewsId;
asset.ContractSize = product.ContractSize;
asset.MinOrderDistancePercent = product.MinOrderDistancePercent;
asset.MinOrderEntryInterval = product.MinOrderEntryInterval;
asset.MinOrderSize = product.MinOrderSize;
asset.Parity = product.Parity;
asset.PublicationRic = product.PublicationRic;
asset.Tags = product.Tags;
asset.TickFormulaName = product.TickFormula;
asset.Parity = product.Parity;
asset.OvernightMarginMultiplier = product.OvernightMarginMultiplier;
asset.Underlying.AssetType = product.AssetType;
asset.Underlying.Keywords = product.Keywords;
asset.LiquidationThresholdQuantity = 0;
asset.Underlying.RicCode = product.PublicationRic;
asset.Underlying.HedgeCost = product.HedgeCost;
}
public static void SetAssetFieldsFromTickFormula(this Asset asset, ITickFormula tickFormula)
{
asset.TickFormulaName = tickFormula.Id;
asset.TickFormulaDetails.Name = tickFormula.Id;
asset.TickFormulaDetails.TickFormulaParameters.Ladders = tickFormula.PdlLadders;
asset.TickFormulaDetails.TickFormulaParameters.Values = tickFormula.PdlTicks;
}
public static void SetAssetFieldsFromBaseCurrency(this Asset asset,
Currency baseCurrency,
IList <string> assetTypesWithZeroInterestRate)
{
asset.SetAssetFieldsFromCurrency(baseCurrency,
assetTypesWithZeroInterestRate,
x => asset.Underlying.VariableInterestRate1 = x);
}
public static void SetAssetFieldsFromMarketSettings(this Asset asset, MarketSettings marketSettings)
{
var marketScheduleUtcRespectful = marketSettings.MarketSchedule.ShiftToUtc();
asset.Underlying.MarketDetails.Calendar.Holidays = marketSettings.Holidays;
asset.Underlying.MarketDetails.MarketHours.Open = marketScheduleUtcRespectful.Open;
asset.Underlying.MarketDetails.MarketHours.Close = marketScheduleUtcRespectful.Close;
asset.Underlying.MarketDetails.Name = marketSettings.Name;
asset.Underlying.MarketDetails.MarketId = marketSettings.Id;
asset.SetHalfWorkingDays(marketSettings);
}
private async Task PublishAssetUpsertedEvent(Asset asset, string oldMdsCodeIfUpdated = null)
{
var evt = new AssetUpsertedEvent
{
Asset = asset,
EventMetadata = new EventMetadata(
eventId: Guid.NewGuid().ToString(),
eventCreationDate: DateTime.UtcNow),
PropertiesPriorValueIfUpdated = new AssetUpdatedProperties
{
UnderlyingMdsCode = oldMdsCodeIfUpdated
}
};
await _assetUpsertedPublisher.ProduceAsync(evt);
_log.WriteInfo(nameof(LegacyAssetsCacheUpdater), evt, "Published asset upserted event");
}
public static void SetDividendFactorFields(this Asset asset, MarketSettings marketSettings,
BrokerSettingsContract brokerSettings, Product product)
{
var dividendShort = product.DividendsShort ?? marketSettings.DividendsShort ?? brokerSettings.DividendsShortPercent;
var dividendLong = product.DividendsLong ?? marketSettings.DividendsLong ?? brokerSettings.DividendsLongPercent;
var dividend871M = product.Dividends871M ?? marketSettings.Dividends871M ?? brokerSettings.Dividends871MPercent;
asset.DividendsFactor.Percent = dividendLong;
asset.DividendsFactor.ShortPercent = dividendShort;
asset.DividendsFactor.Us871Percent = dividend871M;
asset.Underlying.MarketDetails.DividendsFactor.Percent = dividendLong;
asset.Underlying.MarketDetails.DividendsFactor.ShortPercent = dividendShort;
asset.Underlying.MarketDetails.DividendsFactor.Us871Percent = dividend871M;
asset.Underlying.DividendsFactor.Percent = dividendLong;
asset.Underlying.DividendsFactor.ShortPercent = dividendShort;
asset.Underlying.DividendsFactor.Us871Percent = dividend871M;
}
private static void SetAssetFieldsFromCurrency(this Asset asset,
Currency currency,
IList <string> assetTypesWithZeroInterestRate,
Action <string> assignInterestRate)
{
if (assetTypesWithZeroInterestRate.Contains(asset.Underlying.AssetType) || currency == null)
{
assignInterestRate(string.Empty);
return;
}
assignInterestRate(currency.InterestRateMdsCode);
asset.Underlying.InterestRates.Add(new InterestRate
{
MdsCode = currency.InterestRateMdsCode,
Currency = currency.Id,
Name = currency.InterestRateMdsCode,
});
}
public static void SetAssetFieldsFromUnderlying(this Asset asset, UnderlyingsCacheModel underlying)
{
asset.Underlying.AlmParam = underlying.AlmParam;
asset.Underlying.CfiCode = underlying.CfiCode;
asset.Underlying.Eligible871m = underlying.Eligible871M;
asset.Underlying.Isin = underlying.Isin;
asset.Underlying.MdsCode = underlying.MdsCode;
asset.Underlying.Name = underlying.Name;
asset.Underlying.RepoSurchargePercent = underlying.RepoSurchargePercent;
asset.Underlying.Spread = underlying.Spread;
asset.Underlying.TradingCurrency = underlying.TradingCurrency;
asset.Underlying.CommodityBase = underlying.CommodityBase;
asset.Underlying.BaseCurrency = underlying.BaseCurrency;
asset.Underlying.IndexName = underlying.IndexName;
asset.Underlying.EMIRType = underlying.EmirType;
asset.Underlying.CommodityDetails = underlying.CommodityDetails;
asset.LastTradingDate = underlying.LastTradingDate?.ToString(DateFormat, CultureInfo.InvariantCulture);
asset.ExpiryDate = underlying.ExpiryDate?.ToString(DateFormat, CultureInfo.InvariantCulture);
asset.Underlying.MaturityDate = underlying.MaturityDate?.ToString(DateFormat, CultureInfo.InvariantCulture);
}
private static void SetHalfWorkingDays(this Asset asset, MarketSettings marketSettings)
{
asset.Underlying.MarketDetails.Calendar.HalfWorkingDays = marketSettings.MarketSchedule.HalfWorkingDays.ToList();
}
public static void SetAssetFieldsFromAssetType(this Asset asset, AssetType assetType)
{
asset.Underlying.UnderlyingCategoryId = assetType.UnderlyingCategoryId;
}
public static void SetAssetFieldsFromCategory(this Asset asset, ProductCategory category)
{
asset.CategoryRaw = category.Id;
}