public OrdersElement(BlockOrderDocument blockOrderDocument, ClientMarketData.OrderRow orderRow) :
base("Order", blockOrderDocument)
{
this.orderRow = orderRow;
AddAttribute("OrderId", this.orderRow.OrderId);
AddAttribute("AccountId", this.orderRow.AccountId);
AddAttribute("SecurityId", this.orderRow.SecurityId);
AddAttribute("SecurityName", this.orderRow.SecurityRowByFKSecurityOrderSecurityId.ObjectRow.Name);
AddAttribute("SecuritySymbol", this.orderRow.SecurityRowByFKSecurityOrderSecurityId.Symbol);
AddAttribute("SettlementName", this.orderRow.SecurityRowByFKSecurityOrderSettlementId.ObjectRow.Name);
AddAttribute("SettlementSymbol", this.orderRow.SecurityRowByFKSecurityOrderSettlementId.Symbol);
AddAttribute("PositionTypeCode", this.orderRow.PositionTypeCode);
AddAttribute("TransactionTypeCode", this.orderRow.TransactionTypeCode);
AddAttribute("TransactionTypeName", this.orderRow.TransactionTypeRow.Mnemonic);
AddAttribute("Quantity", this.orderRow.Quantity);
AddAttribute("TimeInForceCode", this.orderRow.TimeInForceCode);
AddAttribute("TimeInForceName", this.orderRow.TimeInForceRow.Mnemonic);
AddAttribute("OrderTypeCode", this.orderRow.OrderTypeCode);
AddAttribute("OrderTypeName", this.orderRow.OrderTypeRow.Mnemonic);
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityIdCurrencyId(
this.orderRow.SecurityId, this.orderRow.SettlementId);
if (priceRow != null)
{
AddAttribute("LastPrice", priceRow.LastPrice);
AddAttribute("BidPrice", priceRow.BidPrice);
AddAttribute("BidSize", priceRow.BidSize);
AddAttribute("AskPrice", priceRow.AskPrice);
AddAttribute("AskSize", priceRow.AskSize);
}
if (!this.orderRow.IsPrice1Null())
{
AddAttribute("Price1", this.orderRow.Price1);
}
if (!this.orderRow.IsPrice2Null())
{
AddAttribute("Price2", this.orderRow.Price2);
}
if (!this.orderRow.IsConditionCodeNull())
{
AddAttribute("ConditionCode", this.orderRow.ConditionCode);
}
if (!this.orderRow.IsNoteNull())
{
AddAttribute("Note", this.orderRow.Note);
}
}
/// <summary>
/// Finds the price of a security.
/// </summary>
/// <param name="security">The security.</param>
/// <param name="currency">The underlying currency for the price.</param>
/// <returns>The price of the security in the specified currency.</returns>
public Price(Security security, Security currency)
{
try
{
// Lock the tables.
Debug.Assert(!ClientMarketData.AreLocksHeld);
ClientMarketData.PriceLock.AcquireReaderLock(CommonTimeout.LockWait);
// Look up the price record.
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityIdCurrencyId(security.SecurityId, currency.SecurityId);
// If we have a record for the price/currency combination, then update it with the new price.
if (priceRow != null)
{
// Initialize the record.
this.lastPrice = priceRow.LastPrice;
this.lastSize = priceRow.LastSize;
this.askPrice = priceRow.AskPrice;
this.askSize = priceRow.AskSize;
this.bidPrice = priceRow.BidPrice;
this.bidSize = priceRow.BidSize;
}
else
{
// Initialize the record.
this.lastPrice = 0.0M;
this.lastSize = 0.0M;
this.askPrice = 0.0M;
this.askSize = 0.0M;
this.bidPrice = 0.0M;
this.bidSize = 0.0M;
}
}
finally
{
// Locks are no longer needed on the price table.
if (ClientMarketData.PriceLock.IsReaderLockHeld)
{
ClientMarketData.PriceLock.ReleaseReaderLock();
}
Debug.Assert(!ClientMarketData.AreLocksHeld);
}
}
public MatchElement(MatchHistoryDocument matchDocument, ClientMarketData.MatchRow matchRow, FieldArray fields) :
base("Match", matchDocument)
{
// WorkingOrderId
AddAttribute("MatchId", matchRow.MatchId);
AddAttribute("WorkingOrderId", matchRow.WorkingOrderId);
AddAttribute("ContraOrderId", matchRow.ContraOrderId);
// Status
if (fields[Field.Status])
{
AddAttribute("StatusCode", matchRow.StatusCode);
AddAttribute("StatusName", matchRow.StatusRow.Mnemonic);
}
// Blotter
if (fields[Field.Blotter])
{
AddAttribute("Blotter", matchRow.WorkingOrderRow.BlotterRow.BlotterId);
AddAttribute("BlotterName", matchRow.WorkingOrderRow.BlotterRow.ObjectRow.Name);
}
// Security
if (fields[Field.Security])
{
AddAttribute("SecurityId", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.SecurityId);
AddAttribute("SecuritySymbol", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.Symbol);
AddAttribute("SecurityName", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.ObjectRow.Name);
if (!matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.IsAverageDailyVolumeNull())
{
AddAttribute("AverageDailyVolume", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.AverageDailyVolume / 1000);
}
if (!matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.IsMarketCapitalizationNull())
{
AddAttribute("MarketCapitalization", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.MarketCapitalization / 1000000);
}
MemoryStream memoryStream = new MemoryStream(Convert.FromBase64String(matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.Logo));
Bitmap bitmap = new Bitmap(memoryStream);
Bitmap halfBitmap = new Bitmap(bitmap, new Size(bitmap.Width / 2, bitmap.Height / 2));
MemoryStream halfStream = new MemoryStream();
halfBitmap.Save(halfStream, System.Drawing.Imaging.ImageFormat.Png);
AddAttribute("SecurityImage", Convert.ToBase64String(halfStream.GetBuffer()));
}
// Submitted Quantity
if (fields[Field.SubmittedQuantity])
{
AddAttribute("SubmittedQuantity", matchRow.WorkingOrderRow.SubmittedQuantity);
}
// Quantity Executed
if (fields[Field.Execution])
{
decimal executedQuantity = decimal.Zero;
decimal marketValue = decimal.Zero;
foreach (ClientMarketData.NegotiationRow negotiationRow in matchRow.GetNegotiationRows())
{
if (negotiationRow.ExecutionRow != null)
{
executedQuantity = negotiationRow.ExecutionRow.ExecutionQuantity;
marketValue = negotiationRow.ExecutionRow.ExecutionPrice * negotiationRow.ExecutionRow.ExecutionQuantity;
}
}
if (executedQuantity != decimal.Zero)
{
AddAttribute("ExecutedQuantity", executedQuantity);
AddAttribute("AveragePrice", marketValue / executedQuantity);
}
}
// Direction (OrderType)
if (fields[Field.OrderTypeCode])
{
AddAttribute("OrderTypeCode", matchRow.WorkingOrderRow.OrderTypeCode);
AddAttribute("OrderTypeMnemonic", matchRow.WorkingOrderRow.OrderTypeRow.Mnemonic);
AddAttribute("OrderTypeDescription", matchRow.WorkingOrderRow.OrderTypeRow.Description);
}
// Created Time.
if (fields[Field.CreatedTime])
{
AddAttribute("CreatedTime", matchRow.CreatedTime.ToString("s"));
}
// Find the pricing record.
if (!matchRow.WorkingOrderRow.IsSettlementIdNull())
{
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityId(matchRow.WorkingOrderRow.SecurityId);
if (priceRow != null)
{
if (fields[Field.LastPrice])
{
AddAttribute("LastPrice", priceRow.LastPrice);
}
if (fields[Field.BidPrice])
{
AddAttribute("BidPrice", priceRow.BidPrice);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskPrice", priceRow.AskPrice);
}
if (fields[Field.LastSize])
{
AddAttribute("LastSize", priceRow.LastSize);
}
if (fields[Field.BidSize])
{
AddAttribute("BidSize", priceRow.BidSize);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskSize", priceRow.AskSize);
}
if (fields[Field.Volume])
{
AddAttribute("Volume", priceRow.Volume);
}
if (fields[Field.VolumeWeightedAveragePrice])
{
AddAttribute("VolumeWeightedAveragePrice", priceRow.VolumeWeightedAveragePrice);
}
}
}
}
public DestinationOrderElement(DestinationOrderDocument destinationOrderDocument, ClientMarketData.DestinationOrderRow destinationOrderRow, FieldArray fields) :
base("DestinationOrder", destinationOrderDocument)
{
// Aggregate all the data related to this staged order. This will work out the aggregates and distinct column
// operations.
if (fields[Field.OrderedQuantity] || fields[Field.ExecutedQuantity])
{
AggregateFields(destinationOrderRow);
}
// DestinationOrderId - Primary Key for this report.
AddAttribute("DestinationOrderId", destinationOrderRow.DestinationOrderId);
// Status - Note that the status code is always provided to the DOM for color coding of the fields.
AddAttribute("StatusCode", destinationOrderRow.StatusCode);
if (fields[Field.Status])
{
AddAttribute("StatusName", destinationOrderRow.StatusRow.Mnemonic);
}
// Blotter
if (fields[Field.Blotter])
{
AddAttribute("Blotter", destinationOrderRow.WorkingOrderRow.BlotterId);
AddAttribute("BlotterName", destinationOrderRow.WorkingOrderRow.BlotterRow.ObjectRow.Name);
}
// OrderType
if (fields[Field.OrderType])
{
AddAttribute("OrderTypeCode", destinationOrderRow.WorkingOrderRow.OrderTypeCode);
AddAttribute("OrderTypeMnemonic", destinationOrderRow.WorkingOrderRow.OrderTypeRow.Mnemonic);
AddAttribute("CashSign", destinationOrderRow.WorkingOrderRow.OrderTypeRow.CashSign);
AddAttribute("QuantitySign", destinationOrderRow.WorkingOrderRow.OrderTypeRow.QuantitySign);
}
// TimeInForce
if (fields[Field.TimeInForce])
{
AddAttribute("TimeInForceCode", destinationOrderRow.WorkingOrderRow.TimeInForceRow.TimeInForceCode);
AddAttribute("TimeInForceName", destinationOrderRow.WorkingOrderRow.TimeInForceRow.Mnemonic);
}
// Security
if (fields[Field.Security])
{
AddAttribute("SecurityId", destinationOrderRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.SecurityId);
AddAttribute("SecuritySymbol", destinationOrderRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.Symbol);
AddAttribute("SecurityName", destinationOrderRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.ObjectRow.Name);
}
// Destination Order Total Quantity
if (fields[Field.OrderedQuantity])
{
AddAttribute("DestinationOrderQuantity", destinationOrderRow.OrderedQuantity);
}
// Total Executed Quantity and Average Price
if (fields[Field.ExecutedQuantity])
{
AddAttribute("ExecutedQuantity", this.totalExecutedQuantity);
AddAttribute("AveragePrice", this.averagePriceExecuted);
}
// Destination Order Leaves (Total Source Quantity - Total Destination Quantity)
if (fields[Field.OrderedQuantity] || fields[Field.ExecutedQuantity])
{
AddAttribute("LeavesQuantity", this.totalLeavesQuantity);
}
// Destination
if (fields[Field.Destination])
{
if (!destinationOrderRow.WorkingOrderRow.IsDestinationIdNull())
{
AddAttribute("DestinationId", destinationOrderRow.WorkingOrderRow.DestinationRow.DestinationId);
AddAttribute("DestinationName", destinationOrderRow.WorkingOrderRow.DestinationRow.Name);
AddAttribute("DestinationShortName", destinationOrderRow.WorkingOrderRow.DestinationRow.ShortName);
}
}
// The Direction of this order (buy, sell, buy cover, etc.)
if (fields[Field.PriceType])
{
AddAttribute("PriceTypeCode", destinationOrderRow.WorkingOrderRow.PriceTypeRow.PriceTypeCode);
AddAttribute("PriceTypeMnemonic", destinationOrderRow.WorkingOrderRow.PriceTypeRow.Mnemonic);
}
// The remaining Destination Order Fields
if (fields[Field.DestinationOrder])
{
// Created
AddAttribute("CreatedName", destinationOrderRow.WorkingOrderRow.UserRowByUserWorkingOrderCreatedUserId.ObjectRow.Name);
AddAttribute("CreatedTime", destinationOrderRow.WorkingOrderRow.CreatedTime.ToString("s"));
// Commission
AddAttribute("Commission", this.totalCommission);
// FilledNet
AddAttribute("NetMarketValue", this.totalMarketValue - destinationOrderRow.WorkingOrderRow.OrderTypeRow.CashSign * this.totalCommission);
// Market
// AddAttribute("MarketId", destinationOrderRow.WorkingOrderRow.SecurityRowByFKSecurityDestinationOrderSecurityId.MarketRow.MarketId);
// AddAttribute("MarketName", destinationOrderRow.WorkingOrderRow.SecurityRowByFKSecurityDestinationOrderSecurityId.MarketRow.Name);
// AddAttribute("MarketShortName", destinationOrderRow.WorkingOrderRow.SecurityRowByFKSecurityDestinationOrderSecurityId.MarketRow.ShortName);
// Limit Price
if (!destinationOrderRow.WorkingOrderRow.IsLimitPriceNull())
{
AddAttribute("LimitPrice", (decimal)destinationOrderRow.WorkingOrderRow.LimitPrice);
}
// Stop Price
if (!destinationOrderRow.WorkingOrderRow.IsStopPriceNull())
{
AddAttribute("StopPrice", (decimal)destinationOrderRow.WorkingOrderRow.StopPrice);
}
// TradeDate
AddAttribute("TradeDate", destinationOrderRow.WorkingOrderRow.CreatedTime.ToString("s"));
// CommissionType
// if (destinationOrderRow != null)
// {
// ClientMarketData.CommissionRateTypeRow commissionRateTypeRow =
// ClientMarketData.CommissionRateType.FindByCommissionRateTypeCode((int)this.commissionRateTypeCode);
// AddAttribute("CommissionRateTypeCode", commissionRateTypeRow.CommissionRateTypeCode);
// AddAttribute("CommissionRateTypeName", commissionRateTypeRow.Name);
// AddAttribute("CommissionRate", this.averageCommissionRate);
// }
// Filled Gross
AddAttribute("MarketValue", this.totalMarketValue);
}
// Find the pricing record.
if (!destinationOrderRow.WorkingOrderRow.IsSettlementIdNull())
{
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityId(destinationOrderRow.WorkingOrderRow.SecurityId);
if (priceRow != null)
{
if (fields[Field.LastPrice])
{
AddAttribute("LastPrice", priceRow.LastPrice);
}
if (fields[Field.BidPrice])
{
AddAttribute("BidPrice", priceRow.BidPrice);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskPrice", priceRow.AskPrice);
}
if (fields[Field.LastSize])
{
AddAttribute("LastSize", priceRow.LastSize);
}
if (fields[Field.BidSize])
{
AddAttribute("BidSize", priceRow.BidSize);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskSize", priceRow.AskSize);
}
}
}
}
public QuoteElement(QuoteDocument quoteDocument, ClientMarketData.PriceRow priceRow, FieldArray fields)
: base("Quote", quoteDocument)
{
// try to add the data elements from the security row
if (priceRow.SecurityRow != null)
{
// security name
if (fields[Field.SecurityName])
{
AddAttribute("SecurityName", priceRow.SecurityRow.ObjectRow.Name);
}
// symbol
if (fields[Field.Symbol])
{
AddAttribute("Symbol", priceRow.SecurityRow.Symbol);
}
}
// try to add the data elements from the price row
if (priceRow != null)
{
// SecurityId
AddAttribute("SecurityId", priceRow.SecurityId);
// last trade
if (fields[Field.LastPrice])
{
AddAttribute("LastPrice", priceRow.LastPrice);
decimal dayPriceDiff = priceRow.LastPrice - priceRow.OpenPrice;
AddAttribute("DayPriceDifference", priceRow.LastPrice - priceRow.OpenPrice);
AddAttribute("DayPricePercentageDifference", priceRow.OpenPrice == 0.0M ? 0.0M :
(priceRow.LastPrice - priceRow.OpenPrice) / priceRow.OpenPrice);
}
if (fields[Field.PreviousClosePrice])
{
AddAttribute("PreviousClosePrice", priceRow.ClosePrice);
}
if (fields[Field.OpenPrice])
{
AddAttribute("OpenPrice", priceRow.OpenPrice);
}
if (fields[Field.LastSize])
{
AddAttribute("LastSize", priceRow.LastSize);
}
// price
if (fields[Field.BidPrice])
{
AddAttribute("BidPrice", priceRow.BidPrice);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskPrice", priceRow.AskPrice);
}
// size
if (fields[Field.AskSize])
{
AddAttribute("AskSize", priceRow.AskSize);
}
if (fields[Field.BidSize])
{
AddAttribute("BidSize", priceRow.BidSize);
}
// volume
if (fields[Field.Volume])
{
AddAttribute("Volume", priceRow.Volume);
}
if (fields[Field.AverageDailyVolume])
{
AddAttribute("AverageDailyVolume", priceRow.SecurityRow.AverageDailyVolume);
}
if (fields[Field.DayLowPrice])
{
AddAttribute("DayLowPrice", priceRow.LowPrice);
}
if (fields[Field.DayHighPrice])
{
AddAttribute("DayHighPrice", priceRow.HighPrice);
}
/* LOGO ???
* MemoryStream memoryStream = new MemoryStream(Convert.FromBase64String(matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.Logo));
* Bitmap bitmap = new Bitmap(memoryStream);
* Bitmap halfBitmap = new Bitmap(bitmap, new Size(bitmap.Width / 2, bitmap.Height / 2));
* MemoryStream halfStream = new MemoryStream();
* halfBitmap.Save(halfStream, System.Drawing.Imaging.ImageFormat.Png);
* AddAttribute("SecurityImage", Convert.ToBase64String(halfStream.GetBuffer()));
* */
}
}
/// <summary>
/// Creates a well formed quote document object model from fragments of data.
/// </summary>
/// <param name="fragmentList">A collection of fragments to be added/removed from the document in the viewer.</param>
public QuoteDocument(FragmentList fragmentList)
{
try
{
// Lock the tables
System.Diagnostics.Debug.Assert(!ClientMarketData.IsLocked);
ClientMarketData.BlotterLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SourceOrderLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.DestinationLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.DestinationOrderLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ExecutionLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ImageLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ObjectLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ObjectTreeLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.OrderTypeLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.PriceTypeLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.PriceLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SecurityLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.StatusLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.StylesheetLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.TimeInForceLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.TimerLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.UserLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.WorkingOrderLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.VolumeCategoryLock.AcquireReaderLock(CommonTimeout.LockWait);
// The root of the fragment document.
XmlNode fragmentNode = this.AppendChild(this.CreateElement("Fragment"));
// The insert, update and delete elements are only included only when there is data in those sections.
XmlNode insertNode = null;
XmlNode updateNode = null;
XmlNode deleteNode = null;
foreach (Fragment fragment in fragmentList)
{
// The generic record in the fragment is cast here to a WorkingOrderRow. By design, this is the only type of
// record that will be placed into the FragmentList.
ClientMarketData.PriceRow priceRow = (ClientMarketData.PriceRow)fragment.Row;
// Insert, Update or Delete the fragment.
switch (fragment.DataAction)
{
case DataAction.Insert:
// The 'insert' element is optional until there is something to insert.
if (insertNode == null)
{
insertNode = fragmentNode.AppendChild(this.CreateElement("Insert"));
}
// Insert the record.
insertNode.AppendChild(new QuoteElement(this, priceRow, FieldArray.Set));
break;
case DataAction.Update:
// The 'update' element is optional until there is something to update.
if (updateNode == null)
{
updateNode = fragmentNode.AppendChild(this.CreateElement("Update"));
}
// Update individual properties of the record.
updateNode.AppendChild(new QuoteElement(this, priceRow, fragment.Fields));
break;
case DataAction.Delete:
// The 'delete' element is optional until there is something to delete.
if (deleteNode == null)
{
deleteNode = fragmentNode.AppendChild(this.CreateElement("Delete"));
}
// The original record can't be used (because it has been deleted, duh). A key is constructed from the data
// stored in the fragment list.
CommonElement commonElement = new CommonElement("QuoteOrder", this);
commonElement.AddAttribute("SecurityId", (int)fragment.Key[0]);
deleteNode.AppendChild(commonElement);
break;
}
}
}
catch (Exception exception)
{
// Write the error and stack trace out to the event log.
EventLog.Error("{0}, {1}", exception.Message, exception.StackTrace);
}
finally
{
// Release the table locks.
if (ClientMarketData.BlotterLock.IsReaderLockHeld)
{
ClientMarketData.BlotterLock.ReleaseReaderLock();
}
if (ClientMarketData.SourceOrderLock.IsReaderLockHeld)
{
ClientMarketData.SourceOrderLock.ReleaseReaderLock();
}
if (ClientMarketData.DestinationLock.IsReaderLockHeld)
{
ClientMarketData.DestinationLock.ReleaseReaderLock();
}
if (ClientMarketData.DestinationOrderLock.IsReaderLockHeld)
{
ClientMarketData.DestinationOrderLock.ReleaseReaderLock();
}
if (ClientMarketData.ExecutionLock.IsReaderLockHeld)
{
ClientMarketData.ExecutionLock.ReleaseReaderLock();
}
if (ClientMarketData.ImageLock.IsReaderLockHeld)
{
ClientMarketData.ImageLock.ReleaseReaderLock();
}
if (ClientMarketData.ObjectLock.IsReaderLockHeld)
{
ClientMarketData.ObjectLock.ReleaseReaderLock();
}
if (ClientMarketData.ObjectTreeLock.IsReaderLockHeld)
{
ClientMarketData.ObjectTreeLock.ReleaseReaderLock();
}
if (ClientMarketData.OrderTypeLock.IsReaderLockHeld)
{
ClientMarketData.OrderTypeLock.ReleaseReaderLock();
}
if (ClientMarketData.PriceTypeLock.IsReaderLockHeld)
{
ClientMarketData.PriceTypeLock.ReleaseReaderLock();
}
if (ClientMarketData.PriceLock.IsReaderLockHeld)
{
ClientMarketData.PriceLock.ReleaseReaderLock();
}
if (ClientMarketData.SecurityLock.IsReaderLockHeld)
{
ClientMarketData.SecurityLock.ReleaseReaderLock();
}
if (ClientMarketData.StatusLock.IsReaderLockHeld)
{
ClientMarketData.StatusLock.ReleaseReaderLock();
}
if (ClientMarketData.StylesheetLock.IsReaderLockHeld)
{
ClientMarketData.StylesheetLock.ReleaseReaderLock();
}
if (ClientMarketData.TimeInForceLock.IsReaderLockHeld)
{
ClientMarketData.TimeInForceLock.ReleaseReaderLock();
}
if (ClientMarketData.TimerLock.IsReaderLockHeld)
{
ClientMarketData.TimerLock.ReleaseReaderLock();
}
if (ClientMarketData.UserLock.IsReaderLockHeld)
{
ClientMarketData.UserLock.ReleaseReaderLock();
}
if (ClientMarketData.WorkingOrderLock.IsReaderLockHeld)
{
ClientMarketData.WorkingOrderLock.ReleaseReaderLock();
}
if (ClientMarketData.VolumeCategoryLock.IsReaderLockHeld)
{
ClientMarketData.VolumeCategoryLock.ReleaseReaderLock();
}
System.Diagnostics.Debug.Assert(!ClientMarketData.IsLocked);
}
}
/// <summary>
/// This handler is called when prices have changed.
/// </summary>
/// <param name="sender">The object that originated the event.</param>
/// <param name="priceRowChangingEvent">Event argument.</param>
private void ChangePriceRow(object sender, ClientMarketData.PriceRowChangeEvent priceRowChangeEvent)
{
if (priceRowChangeEvent.Action == DataRowAction.Commit)
{
// Extract the price row from the event argumetns.
ClientMarketData.PriceRow priceRow = priceRowChangeEvent.Row;
// The code below will compare the current values to the original ones and set an indicator for which values have
// changed. This set of indicators will determine which values are included in the incremental XML fragment that
// is created to update the viewer.
FieldArray fields = FieldArray.Set;
//FieldArray.Set;
// There will only be 'Current' rows after the first batch of data is read from the server into the data model.
// This check is needed to prevent exceptions when comparing the current row to the original one.
if (!priceRow.HasVersion(DataRowVersion.Original))
{
return;
}
// don't perform update if the securityId is not the security being displayed
if (!priceRow.SecurityId.Equals(this.Tag))
{
return;
}
// Set an indicator if the Last Price has changed.
if (!priceRow[ClientMarketData.Price.LastPriceColumn, DataRowVersion.Original].Equals(
priceRow[ClientMarketData.Price.LastPriceColumn, DataRowVersion.Current]))
{
fields[Field.LastPrice] = true;
}
// Set an indicator if the Ask Price has changed.
if (!priceRow[ClientMarketData.Price.AskPriceColumn, DataRowVersion.Original].Equals(
priceRow[ClientMarketData.Price.AskPriceColumn, DataRowVersion.Current]))
{
fields[Field.AskPrice] = true;
}
// Set an indicator if the Bid Price has changed.
if (!priceRow[ClientMarketData.Price.BidPriceColumn, DataRowVersion.Original].Equals(
priceRow[ClientMarketData.Price.BidPriceColumn, DataRowVersion.Current]))
{
fields[Field.BidPrice] = true;
}
// Set an indicator if the Last Size has changed.
if (!priceRow[ClientMarketData.Price.LastSizeColumn, DataRowVersion.Original].Equals(
priceRow[ClientMarketData.Price.LastSizeColumn, DataRowVersion.Current]))
{
fields[Field.LastSize] = true;
}
// Set an indicator if the Ask Size has changed.
if (!priceRow[ClientMarketData.Price.AskSizeColumn, DataRowVersion.Original].Equals(
priceRow[ClientMarketData.Price.AskSizeColumn, DataRowVersion.Current]))
{
fields[Field.AskSize] = true;
}
// Set an indicator if the Bid Size has changed.
if (!priceRow[ClientMarketData.Price.BidSizeColumn, DataRowVersion.Original].Equals(
priceRow[ClientMarketData.Price.BidSizeColumn, DataRowVersion.Current]))
{
fields[Field.BidSize] = true;
}
// Set an indiator if the Volume has changed.
if (!priceRow[ClientMarketData.Price.VolumeColumn, DataRowVersion.Original].Equals(
priceRow[ClientMarketData.Price.VolumeColumn, DataRowVersion.Current]))
{
fields[Field.Volume] = true;
}
if (fields)
{
this.fragmentList.Add(DataAction.Update, priceRow, fields);
}
}
}
public MatchElement(MatchDocument matchDocument, ClientMarketData.MatchRow matchRow, FieldArray fields) :
base("Match", matchDocument)
{
// WorkingOrderId
AddAttribute("MatchId", matchRow.MatchId);
AddAttribute("WorkingOrderId", matchRow.WorkingOrderId);
AddAttribute("ContraOrderId", matchRow.ContraOrderId);
// Status
if (fields[Field.Status])
{
AddAttribute("StatusCode", matchRow.StatusCode);
AddAttribute("StatusName", matchRow.StatusRow.Mnemonic);
TimeSpan timeLeft = matchRow.TimerRow.StopTime.Subtract(matchRow.TimerRow.CurrentTime);
AddAttribute("TimeLeft", string.Format("{0:0}:{1:00}", timeLeft.Minutes, timeLeft.Seconds));
AddAttribute("SecondsLeft", Convert.ToInt32(timeLeft.TotalSeconds));
}
// Blotter
if (fields[Field.Blotter])
{
AddAttribute("Blotter", matchRow.WorkingOrderRow.BlotterRow.BlotterId);
AddAttribute("BlotterName", matchRow.WorkingOrderRow.BlotterRow.ObjectRow.Name);
}
// Security
if (fields[Field.Security])
{
AddAttribute("SecurityId", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.SecurityId);
AddAttribute("SecuritySymbol", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.Symbol);
AddAttribute("SecurityName", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.ObjectRow.Name);
if (!matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.IsAverageDailyVolumeNull())
{
AddAttribute("AverageDailyVolume", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.AverageDailyVolume / 1000);
}
if (!matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.IsMarketCapitalizationNull())
{
AddAttribute("MarketCapitalization", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.MarketCapitalization / 1000000);
}
AddAttribute("VolumeCategoryMnemonic", matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.VolumeCategoryRow.Mnemonic);
MemoryStream memoryStream = new MemoryStream(Convert.FromBase64String(matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.Logo));
Bitmap bitmap = new Bitmap(memoryStream);
Bitmap halfBitmap = new Bitmap(bitmap, new Size(bitmap.Width / 2, bitmap.Height / 2));
MemoryStream halfStream = new MemoryStream();
halfBitmap.Save(halfStream, System.Drawing.Imaging.ImageFormat.Png);
AddAttribute("SecurityImage", Convert.ToBase64String(halfStream.GetBuffer()));
}
// Submitted Quantity
if (fields[Field.SubmittedQuantity])
{
AddAttribute("SubmittedQuantity", matchRow.WorkingOrderRow.SubmittedQuantity);
}
// Direction (OrderType)
if (fields[Field.OrderTypeCode])
{
AddAttribute("OrderTypeCode", matchRow.WorkingOrderRow.OrderTypeCode);
AddAttribute("OrderTypeMnemonic", matchRow.WorkingOrderRow.OrderTypeRow.Mnemonic);
}
// Find the pricing record.
if (!matchRow.WorkingOrderRow.IsSettlementIdNull())
{
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityId(matchRow.WorkingOrderRow.SecurityId);
if (priceRow != null)
{
if (fields[Field.LastPrice])
{
AddAttribute("LastPrice", priceRow.LastPrice);
}
if (fields[Field.BidPrice])
{
AddAttribute("BidPrice", priceRow.BidPrice);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskPrice", priceRow.AskPrice);
}
if (fields[Field.LastSize])
{
AddAttribute("LastSize", priceRow.LastSize);
}
if (fields[Field.BidSize])
{
AddAttribute("BidSize", priceRow.BidSize);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskSize", priceRow.AskSize);
}
if (fields[Field.Volume])
{
AddAttribute("Volume", priceRow.Volume);
}
if (fields[Field.InterpolatedVolume])
{
AddAttribute("InterpolatedVolume", VolumeHelper.CurrentVolumePercentage(DateTime.Now,
matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.AverageDailyVolume,
priceRow.Volume));
}
if (fields[Field.VolumeWeightedAveragePrice])
{
AddAttribute("VolumeWeightedAveragePrice", priceRow.VolumeWeightedAveragePrice);
}
}
}
}
/// <summary>
/// Creates an Equity Element for an Appriasal Document.
/// </summary>
/// <param name="appraisalDocument">The parent Xml Document.</param>
/// <param name="equityRow">An equity record from the data model.</param>
/// <param name="PositionTypeCode">Whether a short or long position.</param>
public EquityElement(AppraisalDocument appraisalDocument, ClientMarketData.EquityRow equityRow,
AppraisalSet.PositionRow positionRow) : base("Equity", appraisalDocument)
{
// These records are used to access information held in the ancestors.
ClientMarketData.SecurityRow securityRow = equityRow.SecurityRowByFKSecurityEquityEquityId;
ClientMarketData.ObjectRow objectRow = securityRow.ObjectRow;
// Add the essential attributes for this element.
AddAttribute("SecurityId", equityRow.EquityId.ToString());
AddAttribute("PositionTypeCode", positionRow.PositionTypeCode.ToString());
AddAttribute("Name", objectRow.Name.ToString());
AddAttribute("PriceFactor", securityRow.PriceFactor.ToString());
AddAttribute("QuantityFactor", securityRow.QuantityFactor.ToString());
// Find the price based on the default currency found in the equity record. If the security master doesn't
// have a price for this security, provide dummy values to insure a market value can be calculated. Zero is a
// perfectly reasonable interpretation of a missing price.
ClientMarketData.PriceRow securityPrice = ClientMarketData.Price.FindBySecurityIdCurrencyId(
securityRow.SecurityId, equityRow.SettlementId);
if (securityPrice == null)
{
AddAttribute("Price", "0.0");
}
else
{
if (ClientPreferences.Pricing == Pricing.Close)
{
AddAttribute("Price", securityPrice.ClosePrice.ToString());
}
if (ClientPreferences.Pricing == Pricing.Last)
{
AddAttribute("Price", securityPrice.LastPrice.ToString());
}
}
// Find the crossing price. This is used to convert any local price into the account's base currency. Provide
// defaults if the crossing price can be found. While this will lead to wrong values, they will be obvious on
// the appraisal.
ClientMarketData.PriceRow currencyPrice = ClientMarketData.Price.FindBySecurityIdCurrencyId(
equityRow.SettlementId, appraisalDocument.AccountRow.CurrencyRow.CurrencyId);
if (currencyPrice == null)
{
AddAttribute("CloseCrossPrice", "0.0");
AddAttribute("LastCrossPrice", "0.0");
}
else
{
AddAttribute("CloseCrossPrice", currencyPrice.ClosePrice.ToString());
AddAttribute("LastCrossPrice", currencyPrice.LastPrice.ToString());
}
// Add a target percentage if one is associated with this security.
ClientMarketData.PositionTargetRow positionTargetRow =
ClientMarketData.PositionTarget.FindByModelIdSecurityIdPositionTypeCode(
appraisalDocument.ModelRow.ModelId, equityRow.EquityId, positionRow.PositionTypeCode);
if (positionTargetRow != null)
{
AddAttribute("ModelPercent", positionTargetRow.Percent.ToString());
}
// If there is a position record associated with this, er.. position, then add the externally supplied data
// to the record. Since the tax lots are always aggregated as we need them into a position, there's no static
// table that keeps position data. This information is generally from an outside system that is related to
// the position, such as risk metrics or quantitative calculations.
ClientMarketData.PositionRow position = ClientMarketData.Position.FindByAccountIdSecurityIdPositionTypeCode(
appraisalDocument.AccountRow.AccountId, positionRow.SecurityId, positionRow.PositionTypeCode);
if (position != null)
{
if (!position.IsUserData0Null())
{
AddAttribute("UserData0", position.UserData0.ToString());
}
if (!position.IsUserData1Null())
{
AddAttribute("UserData1", position.UserData1.ToString());
}
if (!position.IsUserData2Null())
{
AddAttribute("UserData2", position.UserData2.ToString());
}
if (!position.IsUserData3Null())
{
AddAttribute("UserData3", position.UserData3.ToString());
}
if (!position.IsUserData4Null())
{
AddAttribute("UserData4", position.UserData4.ToString());
}
if (!position.IsUserData5Null())
{
AddAttribute("UserData5", position.UserData5.ToString());
}
if (!position.IsUserData6Null())
{
AddAttribute("UserData6", position.UserData6.ToString());
}
if (!position.IsUserData7Null())
{
AddAttribute("UserData7", position.UserData7.ToString());
}
}
// Add the account level aggregates for this security/position type pair.
foreach (AppraisalSet.AccountRow accountRow in positionRow.GetAccountRows())
{
this.AppendChild(new AccountElement(appraisalDocument, accountRow));
}
}
/// <summary>
/// Creates a Currency Element for an Appraisal Document.
/// </summary>
/// <param name="appraisalDocument">The parent Xml Document.</param>
/// <param name="currencyRow">A currency record in the data model.</param>
/// <param name="PositionTypeCode">Whether a short or long position.</param>
public CurrencyElement(AppraisalDocument appraisalDocument, ClientMarketData.CurrencyRow currencyRow,
AppraisalSet.PositionRow positionRow) : base("Currency", appraisalDocument)
{
// These records are used to access information held in the ancestors.
ClientMarketData.SecurityRow securityRow = currencyRow.SecurityRow;
ClientMarketData.ObjectRow objectRow = securityRow.ObjectRow;
// Add the essential attributes for this element.
AddAttribute("SecurityId", currencyRow.CurrencyId.ToString());
AddAttribute("PositionTypeCode", positionRow.PositionTypeCode.ToString());
AddAttribute("Name", objectRow.Name.ToString());
// Add the price info.
ClientMarketData.PriceRow priceRow =
ClientMarketData.Price.FindBySecurityIdCurrencyId(securityRow.SecurityId,
appraisalDocument.AccountRow.CurrencyRow.CurrencyId);
if (priceRow == null)
{
AddAttribute("Price", "0.0");
}
else
{
if (ClientPreferences.Pricing == Pricing.Close)
{
AddAttribute("Price", priceRow.ClosePrice.ToString());
}
if (ClientPreferences.Pricing == Pricing.Last)
{
AddAttribute("Price", priceRow.LastPrice.ToString());
}
}
// Add a target percentage if one is associated with this security.
ClientMarketData.PositionTargetRow positionTargetRow =
ClientMarketData.PositionTarget.FindByModelIdSecurityIdPositionTypeCode(
appraisalDocument.ModelRow.ModelId, currencyRow.CurrencyId, positionRow.PositionTypeCode);
if (positionTargetRow != null)
{
AddAttribute("ModelPercent", positionTargetRow.Percent.ToString());
}
// If there is a position record associated with this, er.. position, then add the externally supplied data
// to the record. Since the tax lots are always aggregated as we need them into a position, there's no static
// table that keeps position data. This information is generally from an outside system that is related to
// the position, such as risk metrics or quantitative calculations.
ClientMarketData.PositionRow position = ClientMarketData.Position.FindByAccountIdSecurityIdPositionTypeCode(
appraisalDocument.AccountRow.AccountId, positionRow.SecurityId, positionRow.PositionTypeCode);
if (position != null)
{
if (!position.IsUserData0Null())
{
AddAttribute("UserData0", position.UserData0.ToString());
}
if (!position.IsUserData1Null())
{
AddAttribute("UserData1", position.UserData1.ToString());
}
if (!position.IsUserData2Null())
{
AddAttribute("UserData2", position.UserData2.ToString());
}
if (!position.IsUserData3Null())
{
AddAttribute("UserData3", position.UserData3.ToString());
}
if (!position.IsUserData4Null())
{
AddAttribute("UserData4", position.UserData4.ToString());
}
if (!position.IsUserData5Null())
{
AddAttribute("UserData5", position.UserData5.ToString());
}
if (!position.IsUserData6Null())
{
AddAttribute("UserData6", position.UserData6.ToString());
}
if (!position.IsUserData7Null())
{
AddAttribute("UserData7", position.UserData7.ToString());
}
}
// Append the account level aggregates to this security/position type element.
foreach (AppraisalSet.AccountRow accountRow in positionRow.GetAccountRows())
{
this.AppendChild(new AccountElement(appraisalDocument, accountRow));
}
}
public void CalculateFields()
{
// The block order document has an operation that displays distinct values when the occur. For instance, if
// all the orders in the block have the same time in force, then that time in force will appear in the
// document at the block level. However, if any one of the elements is different from the others, the same
// column would be blanked out to show that there is more than one value associated with this attribute of the
// block. The first order is used as a seed for this operation. If any element in the block doesn't share
// the first order's attribute, then that attribute is left blank.
decimal quantityOrdered = 0.0M;
OrdersElement firstOrder = (OrdersElement)this.SelectSingleNode(".//Order");
if (firstOrder != null)
{
// Aggregates by Orders.
int orders = 0;
int securityIdSum = 0;
int accountIdSum = 0;
int transactionTypeCodeSum = 0;
int timeInForceCodeSum = 0;
int orderTypeCodeSum = 0;
decimal price1Sum = 0.0M;
decimal price2Sum = 0.0M;
foreach (OrdersElement ordersElement in this.SelectNodes("Order"))
{
orders++;
securityIdSum += ordersElement.OrderRow.SecurityId;
accountIdSum += ordersElement.OrderRow.AccountId;
transactionTypeCodeSum += ordersElement.OrderRow.TransactionTypeCode;
timeInForceCodeSum += ordersElement.OrderRow.TimeInForceCode;
orderTypeCodeSum += ordersElement.OrderRow.OrderTypeCode;
price1Sum += ordersElement.OrderRow.IsPrice1Null() ? 0.0M : ordersElement.OrderRow.Price1;
price2Sum += ordersElement.OrderRow.IsPrice2Null() ? 0.0M : ordersElement.OrderRow.Price2;
quantityOrdered += ordersElement.OrderRow.Quantity;
}
if (securityIdSum == firstOrder.OrderRow.SecurityId * orders)
{
AddAttribute("SecurityId", firstOrder.OrderRow.SecurityId);
ClientMarketData.SecurityRow securityRow = firstOrder.OrderRow.SecurityRowByFKSecurityOrderSecurityId;
AddAttribute("SecurityName", securityRow.ObjectRow.Name);
AddAttribute("SecuritySymbol", securityRow.Symbol);
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityIdCurrencyId(
firstOrder.OrderRow.SecurityId, firstOrder.OrderRow.SettlementId);
if (priceRow != null)
{
AddAttribute("LastPrice", priceRow.LastPrice);
AddAttribute("BidPrice", priceRow.BidPrice);
AddAttribute("BidSize", priceRow.BidSize);
AddAttribute("AskPrice", priceRow.AskPrice);
AddAttribute("AskSize", priceRow.AskSize);
}
// Add Fixed Income Fundamentals where they exist.
foreach (ClientMarketData.DebtRow debtRow in securityRow.GetDebtRowsByFKSecurityDebtDebtId())
{
if (!debtRow.IsIssuerIdNull())
{
AddAttribute("IssuerId", debtRow.IssuerId);
}
AddAttribute("DebtTypeCode", debtRow.DebtTypeCode);
AddAttribute("Coupon", debtRow.Coupon);
AddAttribute("MaturityDate", debtRow.MaturityDate.ToShortDateString());
}
}
if (accountIdSum == firstOrder.OrderRow.AccountId * orders)
{
AddAttribute("AccountId", firstOrder.OrderRow.AccountId);
ClientMarketData.AccountRow accountRow = firstOrder.OrderRow.AccountRow;
AddAttribute("AccountName", accountRow.ObjectRow.Name);
}
if (transactionTypeCodeSum == firstOrder.OrderRow.TransactionTypeCode * orders)
{
AddAttribute("TransactionTypeCode", firstOrder.OrderRow.TransactionTypeCode);
AddAttribute("TransactionTypeName", firstOrder.OrderRow.TransactionTypeRow.Mnemonic);
}
if (timeInForceCodeSum == firstOrder.OrderRow.TimeInForceCode * orders)
{
AddAttribute("TimeInForceCode", firstOrder.OrderRow.TimeInForceCode);
AddAttribute("TimeInForceName", firstOrder.OrderRow.TimeInForceRow.Mnemonic);
}
if (orderTypeCodeSum == firstOrder.OrderRow.OrderTypeCode * orders)
{
AddAttribute("OrderTypeCode", firstOrder.OrderRow.OrderTypeCode);
AddAttribute("OrderTypeName", firstOrder.OrderRow.OrderTypeRow.Mnemonic);
}
if (!firstOrder.OrderRow.IsPrice1Null() && price1Sum == firstOrder.OrderRow.Price1 * orders)
{
AddAttribute("Price1", firstOrder.OrderRow.Price1);
}
if (!firstOrder.OrderRow.IsPrice2Null() && price2Sum == firstOrder.OrderRow.Price2 * orders)
{
AddAttribute("Price2", firstOrder.OrderRow.Price2);
}
// HACK - Trade and Settlement are defaulted. These should be distinct elements from the executions.
AddAttribute("TradeDate", DateTime.Now.ToShortDateString());
AddAttribute("SettlementDate", DateTime.Now.ToShortDateString());
}
AddAttribute("QuantityOrdered", quantityOrdered);
// Aggregate Placements
decimal quantityPlaced = 0.0M;
PlacementsElement firstPlacement = (PlacementsElement)this.SelectSingleNode(".//Placement");
if (firstPlacement != null)
{
// Aggregates by Placements.
int placements = 0;
int brokerIdSum = 0;
foreach (PlacementsElement placementsElement in this.SelectNodes("Placement"))
{
placements++;
brokerIdSum += placementsElement.PlacementRow.BrokerId;
quantityPlaced += placementsElement.PlacementRow.Quantity;
}
if (brokerIdSum == firstPlacement.PlacementRow.BrokerId * placements)
{
AddAttribute("PlacementBrokerId", firstPlacement.PlacementRow.BrokerId);
AddAttribute("PlacementBrokerSymbol", firstPlacement.PlacementRow.BrokerRow.Symbol);
}
}
AddAttribute("QuantityPlaced", quantityPlaced);
// Aggregate Execution
decimal quantityExecuted = 0.0M;
ExecutionElement firstExecution = (ExecutionElement)this.SelectSingleNode(".//Execution");
if (firstExecution != null)
{
// Aggregates by Execution.
int placements = 0;
int brokerIdSum = 0;
foreach (ExecutionElement placementsElement in this.SelectNodes("Execution"))
{
placements++;
brokerIdSum += placementsElement.ExecutionRow.BrokerId;
quantityExecuted += placementsElement.ExecutionRow.Quantity;
}
if (brokerIdSum == firstExecution.ExecutionRow.BrokerId * placements)
{
AddAttribute("PlacementBrokerId", firstExecution.ExecutionRow.BrokerId);
AddAttribute("PlacementBrokerSymbol", firstExecution.ExecutionRow.BrokerRow.Symbol);
}
}
AddAttribute("QuantityExecuted", quantityExecuted);
}
/// <summary>
/// Opens the document for the given object and it's argument.
/// </summary>
/// <param name="matchId">The primary identifier of the object to open.</param>
/// <param name="argument">Options that can be used to further specify the document's properties.</param>
public void OpenMatchCommand(object parameter)
{
// Extract the command argument.
int matchId = (int)parameter;
// This will force an empty placement and placement document to appear until we get some data. It's the same
// as forcing a drawing of the headers only.
this.matchId = matchId;
try
{
// Lock the tables
System.Diagnostics.Debug.Assert(!ClientMarketData.IsLocked);
ClientMarketData.EquityLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.MatchLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.ObjectLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.PriceLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.SecurityLock.AcquireReaderLock(CommonTimeout.LockWait);
ClientMarketData.WorkingOrderLock.AcquireReaderLock(CommonTimeout.LockWait);
// Install the event handlers. The ClientMarketData component will advise us when the data has changed.
ClientMarketData.MatchRow matchRow = ClientMarketData.Match.FindByMatchId(matchId);
if (matchRow == null)
{
return;
}
ClientMarketData.SecurityRow securityRow = matchRow.WorkingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId;
ClientMarketData.EquityRow equityRow = ClientMarketData.Equity.FindByEquityId(securityRow.SecurityId);
if (equityRow == null)
{
return;
}
string securityName = securityRow.ObjectRow.Name;
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityId(securityRow.SecurityId);
decimal price = priceRow.LastPrice;
Invoke(displayDelegate, new object[] { securityName, price });
}
finally
{
if (ClientMarketData.EquityLock.IsReaderLockHeld)
{
ClientMarketData.EquityLock.ReleaseReaderLock();
}
if (ClientMarketData.MatchLock.IsReaderLockHeld)
{
ClientMarketData.MatchLock.ReleaseReaderLock();
}
if (ClientMarketData.ObjectLock.IsReaderLockHeld)
{
ClientMarketData.ObjectLock.ReleaseReaderLock();
}
if (ClientMarketData.PriceLock.IsReaderLockHeld)
{
ClientMarketData.PriceLock.ReleaseReaderLock();
}
if (ClientMarketData.SecurityLock.IsReaderLockHeld)
{
ClientMarketData.SecurityLock.ReleaseReaderLock();
}
if (ClientMarketData.WorkingOrderLock.IsReaderLockHeld)
{
ClientMarketData.WorkingOrderLock.ReleaseReaderLock();
}
System.Diagnostics.Debug.Assert(!ClientMarketData.IsLocked);
}
}
public WorkingOrderElement(WorkingOrderDocument workingOrderDocument, ClientMarketData.WorkingOrderRow workingOrderRow, FieldArray fields) :
base("WorkingOrder", workingOrderDocument)
{
// Aggregate all the data related to this staged order. This will work out the aggregates and distinct column
// operations.
if (fields[Field.SourceOrder] || fields[Field.DestinationOrder] || fields[Field.Execution] || fields[Field.Allocation])
{
AggregateFields(workingOrderRow);
}
// WorkingOrderId - Primary Key for this report.
AddAttribute("WorkingOrderId", workingOrderRow.WorkingOrderId);
// Status - Note that the status code is always provided to the DOM for color coding of the fields.
AddAttribute("StatusCode", workingOrderRow.StatusCode);
if (fields[Field.Status])
{
AddAttribute("StatusName", workingOrderRow.StatusRow.Mnemonic);
}
// Select a green flag for submitted records, a red flag for unsubmitted.
int imageIndex = -1;
switch (workingOrderRow.StatusCode)
{
case Status.Error:
imageIndex = ClientMarketData.Image.KeyImageExternalId0.Find("Error Small");
break;
case Status.Submitted:
imageIndex = ClientMarketData.Image.KeyImageExternalId0.Find("Flag Green Small");
break;
default:
imageIndex = ClientMarketData.Image.KeyImageExternalId0.Find("Flag Red Small");
break;
}
if (imageIndex != -1)
{
ClientMarketData.ImageRow imageRow =
(ClientMarketData.ImageRow)ClientMarketData.Image.KeyImageExternalId0[imageIndex].Row;
AddAttribute("StatusImage", imageRow.Image);
}
// Blotter
if (fields[Field.Blotter])
{
AddAttribute("Blotter", workingOrderRow.BlotterId);
AddAttribute("BlotterName", workingOrderRow.BlotterRow.ObjectRow.Name);
}
// SubmissionTypeCode
if (fields[Field.SubmissionTypeCode])
{
AddAttribute("SubmissionTypeCode", workingOrderRow.SubmissionTypeCode);
}
// IsBrokerMatch
if (fields[Field.IsBrokerMatch])
{
AddAttribute("IsBrokerMatch", workingOrderRow.IsBrokerMatch);
}
// IsInstitutionMatch
if (fields[Field.IsInstitutionMatch])
{
AddAttribute("IsInstitutionMatch", workingOrderRow.IsInstitutionMatch);
}
// IsHedgeMatch
if (fields[Field.IsHedgeMatch])
{
AddAttribute("IsHedgeMatch", workingOrderRow.IsHedgeMatch);
}
// Auto-Execute - we always send the isAutomatic flag and the quantity
if (fields[Field.AutoExecute])
{
AddAttribute("IsAutomatic", workingOrderRow.IsAutomatic);
if (!workingOrderRow.IsAutomaticQuantityNull())
{
AddAttribute("AutomaticQuantity", workingOrderRow.AutomaticQuantity);
}
else
{
AddAttribute("AutomaticQuantity", 0);
}
}
// LimitPrice
if (fields[Field.LimitPrice])
{
if (!workingOrderRow.IsLimitPriceNull())
{
AddAttribute("LimitPrice", workingOrderRow.LimitPrice);
}
else
{
AddAttribute("LimitPrice", 0);
}
}
// OrderType
if (fields[Field.OrderType])
{
AddAttribute("OrderTypeCode", workingOrderRow.OrderTypeCode);
AddAttribute("OrderTypeDescription", workingOrderRow.OrderTypeRow.Description);
AddAttribute("OrderTypeMnemonic", workingOrderRow.OrderTypeRow.Mnemonic);
AddAttribute("CashSign", workingOrderRow.OrderTypeRow.CashSign);
AddAttribute("QuantitySign", workingOrderRow.OrderTypeRow.QuantitySign);
// Select a green flag for submitted records, a red flag for unsubmitted.
int orderTypeImageIndex = -1;
switch (workingOrderRow.OrderTypeCode)
{
case OrderType.Buy:
orderTypeImageIndex = ClientMarketData.Image.KeyImageExternalId0.Find("Navigate Plain Green Small");
break;
case OrderType.Sell:
orderTypeImageIndex = ClientMarketData.Image.KeyImageExternalId0.Find("Navigate Plain Red Small");
break;
}
if (orderTypeImageIndex != -1)
{
ClientMarketData.ImageRow imageRow =
(ClientMarketData.ImageRow)ClientMarketData.Image.KeyImageExternalId0[orderTypeImageIndex].Row;
AddAttribute("OrderTypeImage", imageRow.Image);
}
}
// TimeInForce
if (fields[Field.TimeInForce])
{
AddAttribute("TimeInForceCode", workingOrderRow.TimeInForceRow.TimeInForceCode);
AddAttribute("TimeInForceName", workingOrderRow.TimeInForceRow.Mnemonic);
}
// Security
if (fields[Field.Security])
{
AddAttribute("SecurityId", workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.SecurityId);
AddAttribute("SecuritySymbol", workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.Symbol);
AddAttribute("SecurityName", workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.ObjectRow.Name);
if (!workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.IsMarketCapitalizationNull())
{
AddAttribute("MarketCapitalization", workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.MarketCapitalization / 1000000.0m);
}
if (!workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.IsAverageDailyVolumeNull())
{
AddAttribute("AverageDailyVolume", workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.AverageDailyVolume / 1000.0m);
}
AddAttribute("VolumeCategoryMnemonic", workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.VolumeCategoryRow.Mnemonic);
}
// Source Order Total Quantity
if (fields[Field.SourceOrder])
{
AddAttribute("SourceOrderQuantity", this.totalSourceOrderedQuantity);
}
// Destination Order Total Quantity
if (fields[Field.DestinationOrder])
{
AddAttribute("DestinationOrderQuantity", this.totalDestinationOrderedQuantity);
}
// Total Executed Quantity and Average Price
if (fields[Field.SubmittedQuantity])
{
AddAttribute("SubmittedQuantity", workingOrderRow.SubmittedQuantity);
}
// Total Executed Quantity and Average Price
if (fields[Field.Execution])
{
AddAttribute("ExecutedQuantity", this.totalExecutedQuantity);
AddAttribute("AveragePrice", this.averagePriceExecuted);
}
// Total Quantity Allocated
if (fields[Field.Allocation])
{
AddAttribute("AllocatedQuantity", this.totalAllocatedQuantity);
}
// Working Order Leaves (Total Source Quantity - Total Destination Quantity)
if (fields[Field.SourceOrder] || fields[Field.DestinationOrder])
{
AddAttribute("LeavesQuantity", this.totalLeavesQuantity);
}
// Working Order Working Quantity (Total Source Quantity - Total Executed Quantity)
if (fields[Field.SourceOrder] || fields[Field.Execution])
{
AddAttribute("WorkingQuantity", this.totalWorkingQuantity);
}
// Start Time
if (fields[Field.StartTime] && !workingOrderRow.IsStartTimeNull())
{
AddAttribute("StartTime", workingOrderRow.StartTime.ToString("s"));
}
// Stop Time
if (fields[Field.StopTime] && !workingOrderRow.IsStopTimeNull())
{
AddAttribute("StopTime", workingOrderRow.StopTime.ToString("s"));
}
// Maxmimum Volatility
if (fields[Field.MaximumVolatility] && !workingOrderRow.IsMaximumVolatilityNull())
{
AddAttribute("MaximumVolatility", workingOrderRow.MaximumVolatility);
}
// News Free Time
if (fields[Field.NewsFreeTime] && !workingOrderRow.IsNewsFreeTimeNull())
{
AddAttribute("NewsFreeTime", workingOrderRow.NewsFreeTime);
}
// Timer Field
if (fields[Field.Timer])
{
TimeSpan timeLeft = workingOrderRow.TimerRow.StopTime.Subtract(workingOrderRow.TimerRow.CurrentTime);
AddAttribute("TimeLeft", string.Format("{0:0}:{1:00}", timeLeft.Minutes, timeLeft.Seconds));
}
// The Working Order Fields
if (fields[Field.WorkingOrder])
{
// Created
AddAttribute("CreatedName", workingOrderRow.UserRowByUserWorkingOrderCreatedUserId.ObjectRow.Name);
AddAttribute("CreatedTime", workingOrderRow.CreatedTime.ToString("s"));
// Destination
if (!workingOrderRow.IsDestinationIdNull())
{
AddAttribute("DestinationId", workingOrderRow.DestinationRow.DestinationId);
AddAttribute("DestinationName", workingOrderRow.DestinationRow.Name);
AddAttribute("DestinationShortName", workingOrderRow.DestinationRow.ShortName);
}
// The Direction of this order (buy, sell, buy cover, etc.)
AddAttribute("PriceTypeCode", workingOrderRow.PriceTypeRow.PriceTypeCode);
AddAttribute("PriceTypeMnemonic", workingOrderRow.PriceTypeRow.Mnemonic);
// Commission
AddAttribute("Commission", this.totalCommission);
// FilledNet
AddAttribute("NetMarketValue", this.totalMarketValue - workingOrderRow.OrderTypeRow.CashSign * this.totalCommission);
// Market
// AddAttribute("MarketId", workingOrderRow.SecurityRowByFKSecurityWorkingOrderSecurityId.MarketRow.MarketId);
// AddAttribute("MarketName", workingOrderRow.SecurityRowByFKSecurityWorkingOrderSecurityId.MarketRow.Name);
// AddAttribute("MarketShortName", workingOrderRow.SecurityRowByFKSecurityWorkingOrderSecurityId.MarketRow.ShortName);
// LimitPrice
// NOTE: LimitPrice is not sent when the WorkingOrder flag is set.
// LimitPrice has a separate bit set in the field arary
// Stop Price
if (!workingOrderRow.IsStopPriceNull())
{
AddAttribute("StopPrice", (decimal)workingOrderRow.StopPrice);
}
// TradeDate
AddAttribute("TradeDate", workingOrderRow.CreatedTime.ToString("s"));
// UploadTime
if (!workingOrderRow.IsUploadedTimeNull())
{
AddAttribute("UploadTime", workingOrderRow.CreatedTime.ToString("s"));
}
// CommissionType
// if (workingOrderRow != null)
// {
// ClientMarketData.CommissionRateTypeRow commissionRateTypeRow =
// ClientMarketData.CommissionRateType.FindByCommissionRateTypeCode((int)this.commissionRateTypeCode);
// AddAttribute("CommissionRateTypeCode", commissionRateTypeRow.CommissionRateTypeCode);
// AddAttribute("CommissionRateTypeName", commissionRateTypeRow.Name);
// AddAttribute("CommissionRate", this.averageCommissionRate);
// }
// Filled Gross
AddAttribute("MarketValue", this.totalMarketValue);
// Unfilled
AddAttribute("Unfilled", this.totalSourceOrderedQuantity - this.totalExecutedQuantity);
}
// Find the pricing record.
if (!workingOrderRow.IsSettlementIdNull())
{
ClientMarketData.PriceRow priceRow = ClientMarketData.Price.FindBySecurityId(workingOrderRow.SecurityId);
if (priceRow != null)
{
if (fields[Field.LastPrice])
{
AddAttribute("LastPrice", priceRow.LastPrice);
}
if (fields[Field.BidPrice])
{
AddAttribute("BidPrice", priceRow.BidPrice);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskPrice", priceRow.AskPrice);
}
if (fields[Field.LastSize])
{
AddAttribute("LastSize", priceRow.LastSize);
}
if (fields[Field.BidSize])
{
AddAttribute("BidSize", priceRow.BidSize);
}
if (fields[Field.AskPrice])
{
AddAttribute("AskSize", priceRow.AskSize);
}
if (fields[Field.Volume])
{
AddAttribute("Volume", priceRow.Volume);
}
if (fields[Field.InterpolatedVolume])
{
AddAttribute("InterpolatedVolume", VolumeHelper.CurrentVolumePercentage(DateTime.Now,
workingOrderRow.SecurityRowBySecurityWorkingOrderSecurityId.AverageDailyVolume,
priceRow.Volume));
}
if (fields[Field.VolumeWeightedAveragePrice])
{
AddAttribute("VolumeWeightedAveragePrice", priceRow.VolumeWeightedAveragePrice);
}
}
}
}
