public QuotedAssetSet Create()
{
var result = new QuotedAssetSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
//Handles the case of tenor curves
var id = assetAndQuote.First?.id ?? assetAndQuote.Second?.objectReference?.href;
var properties = new PriceableAssetProperties(id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
/// <summary>
/// Creates a QuotedAssetSet from a set of instrument ids and sides, all with measureType set to MarketQuote
/// and QuoteUnits set to DecimalRate (useful for building market data requests).
/// </summary>
/// <param name="instrIds">The (m) instrument ids.</param>
/// <param name="sides">The (n) sides.</param>
/// <returns>An M * N matrix of assets/quotes in a QuotedAssetSet</returns>
public static QuotedAssetSet Parse(string[] instrIds, string[] sides)
{
var assetList = new List <Asset>();
var quoteList = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
foreach (string instrId in instrIds)
{
Asset asset = CreateAsset(instrId);
assetList.Add(asset);
quoteList.AddRange(sides.Select(side => BasicQuotationHelper.Create("MarketQuote", "DecimalRate", side)).Select(quote => new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = asset.id
}, quote = new[] { quote }
}));
var properties = new PriceableAssetProperties(asset.id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = assetList.ToArray(), ItemsElementName = types.ToArray()
};
return(new QuotedAssetSet
{
instrumentSet = instrumentSet,
assetQuote = quoteList.ToArray()
});
}
public FxRateSet CreateFxRateSet()
{
var result = new FxRateSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
var properties = new PriceableAssetProperties(assetAndQuote.First.id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
/// <summary>
///
/// </summary>
/// <param name="header"></param>
/// <param name="v221Provider"></param>
/// <param name="requestId"></param>
/// <param name="requestParams"></param>
/// <param name="zsQuotedAssetSet"></param>
/// <returns></returns>
public V221OutputQuotedAssetSet GetMarketQuotesV221(V221Header header, V221ProviderId v221Provider, Guid requestId, string requestParams, byte[] zsQuotedAssetSet)
{
IModuleInfo connection = null;
_connectionIndex.Locked(connections =>
{
if (!connections.TryGetValue(header.SessionId, out connection))
{
throw new ApplicationException("Ignoring request from unknown client!");
}
});
//var errors = new List<V221ErrorDetail>();
var result = new QuotedAssetSet();
string step = "GetMarketQuotesV221: unknown";
try
{
step = "GetMarketQuotesV221: decompressing";
// deserialise inputs
var receivedRequest =
XmlSerializerHelper.DeserializeFromString <QuotedAssetSet>(CompressionHelper.DecompressToString(zsQuotedAssetSet));
//debug dump request
//this.Logger.LogDebug("Received: {0}", XmlSerializerHelper.SerializeToString<QuotedAssetSet>(receivedRequest));
// end debug
step = "GetMarketQuotesV221: splitting";
// split request into provider-specific requests
// build unique instrumentSet
var instrumentMap = new Dictionary <string, Asset>();
foreach (Asset asset in receivedRequest.instrumentSet.Items)
{
string assetId = asset.id;
instrumentMap[assetId.ToLower()] = asset;
}
// now split quotes based on provider preferences
MDSProviderId defaultProvider = V221Helpers.ToProviderId(v221Provider);
int providerCount = Enum.GetValues(typeof(MDSProviderId)).Length;
var providerRequests = new RequestContainer[providerCount];
for (int i = 0; i < providerRequests.Length; i++)
{
providerRequests[i] = new RequestContainer();
}
int requestedQuoteCount = 0;
foreach (BasicAssetValuation valuation in receivedRequest.assetQuote)
{
string assetId = valuation.objectReference.href;
if (!instrumentMap.TryGetValue(assetId.ToLower(), out var asset))
{
throw new ApplicationException($"Cannot find asset '{assetId}' in instrument set");
}
foreach (BasicQuotation quote in valuation.quote)
{
if (!quote.valueSpecified)
{
requestedQuoteCount++;
MDSProviderId quoteProvider = ChooseProvider(quote.informationSource, _activeProviders, defaultProvider);
RequestContainer requestContainer = providerRequests[(int)quoteProvider];
requestContainer.InstrumentMap[assetId.ToLower()] = asset;
// merge the quotes
if (!requestContainer.ValuationMap.TryGetValue(assetId.ToLower(), out var bav))
{
// missing - create
bav = new BasicAssetValuation {
objectReference = new AnyAssetReference {
href = assetId
}
};
requestContainer.ValuationMap[assetId.ToLower()] = bav;
}
// append the asset quotes
var quotes = new List <BasicQuotation>();
if (bav.quote != null)
{
quotes.AddRange(bav.quote);
}
quotes.Add(quote);
bav.quote = quotes.ToArray();
}
}
}
if (requestedQuoteCount == 0)
{
throw new ApplicationException("No quotes requested!");
}
step = "GetMarketQuotesV221: calling providers";
// run each provider request
foreach (MDSProviderId activeProvider in _activeProviders)
{
RequestContainer requestContainer = providerRequests[(int)activeProvider];
if (requestContainer.InstrumentMap.Count > 0)
{
// request is not empty - call the MDS provider
var types = new List <ItemsChoiceType19>();
foreach (var asset in requestContainer.InstrumentMap.Values)
{
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(asset.id);//TODO The id must contain the asset descriptor.
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = requestContainer.InstrumentMap.Values.ToArray(), ItemsElementName = types.ToArray()
};
var providerRequest = new QuotedAssetSet
{
instrumentSet = instrumentSet,
assetQuote = requestContainer.ValuationMap.Values.ToArray()
};
step = "GetMarketQuotesV221: calling " + activeProvider.ToString();
QuotedAssetSet providerResult = _providers[(int)activeProvider].GetMarketQuotes(
activeProvider, connection, requestId, true,
new NamedValueSet(requestParams),
providerRequest).Result;
// combine provider-specific results
result = result.Merge(providerResult, false, true, true);
}
}
step = "GetMarketQuotesV221: compressing";
return(new V221OutputQuotedAssetSet(
CompressionHelper.CompressToBuffer(XmlSerializerHelper.SerializeToString(result)),
null));
}
catch (Exception excp)
{
Logger.LogError("Exception: step='{0}': {1}", step, excp);
return(new V221OutputQuotedAssetSet(null, new V221ErrorDetail(excp)));
}
}
