private double CalculateSpreadDiscount(NetPositionDTO currContract, NetPositionDTO nextContract, int spreadIndex)
{
double totalDiscount = 0;
if (Math.Sign(nextContract.NetContracts) != Math.Sign(currContract.NetContracts))//we have a spread
{
double netSpread = Math.Min(Math.Abs(currContract.NetContracts), Math.Abs(nextContract.NetContracts));
if (netSpread != 0)
{
DailySettlementPrice DSP1 = DailySettlementPrices.Where(x => x.Symbol == currContract.Symbol).FirstOrDefault();
DailySettlementPrice DSP2 = DailySettlementPrices.Where(x => x.Symbol == nextContract.Symbol).FirstOrDefault();
if (spreadIndex == 1)//1-wide spread
{
totalDiscount += netSpread * Config.MarginPct * Config.OneWideCalDisc * (DSP1.Price.Value + DSP2.Price.Value);
}
else if (spreadIndex == 2)//2-wide spread
{
totalDiscount += netSpread * Config.MarginPct * Config.TwoWideCalDisc * (DSP1.Price.Value + DSP2.Price.Value);
}
else if (spreadIndex >= 3)//3-wide spread or wider
{
totalDiscount += netSpread * Config.MarginPct * Config.ThreeWideCalDisc * (DSP1.Price.Value + DSP2.Price.Value);
}
;
currContract.NetContracts -= (currContract.NetContracts > 0) ? netSpread : (-1 * netSpread);
nextContract.NetContracts -= (nextContract.NetContracts > 0) ? netSpread : (-1 * netSpread);
}
}
return(totalDiscount);
}
private void DailySettlementThread(object param)
{
object[] paramArray = (object[])param;
IWebSocketConnection socket = (IWebSocketConnection)paramArray[0];
WebSocketSubscribeMessage subscrMsg = (WebSocketSubscribeMessage)paramArray[1];
bool subscResp = false;
try
{
while (true)
{
DailySettlementPrice dailySettl = DailySettlementPrices.Where(x => x.Symbol == subscrMsg.ServiceKey).FirstOrDefault();
if (dailySettl != null)
{
DoSend <DailySettlementPrice>(socket, dailySettl);
Thread.Sleep(3000);//3 seconds
if (!subscResp)
{
ProcessSubscriptionResponse(socket, "FP", subscrMsg.ServiceKey, subscrMsg.UUID);
Thread.Sleep(2000);
subscResp = true;
}
}
else
{
DoLog(string.Format("Daily Settlement Price not found for symbol {0}...", subscrMsg.ServiceKey), MessageType.Information);
break;
}
}
}
catch (Exception ex)
{
DoLog(string.Format("Critical error processing daily settlement price message: {0}...", ex.Message), MessageType.Error);
}
}
protected double?GetVMRequirement(List <ClientPosition> prevPositions, List <TradeDTO> todayTrades)
{
if (DailySettlementPrices.Length == TodayDailySettlementPrices.Length)
{
double vmReqs = 0;
foreach (ClientPosition prevPos in prevPositions)
{
DailySettlementPrice prevDSP = DailySettlementPrices.Where(x => x.Symbol == prevPos.Symbol).FirstOrDefault();
DailySettlementPrice todayDSP = TodayDailySettlementPrices.Where(x => x.Symbol == prevPos.Symbol).FirstOrDefault();
if (prevDSP == null || !prevDSP.Price.HasValue)
{
throw new Exception(string.Format("Missing DSP for symbol {0}", prevPos.Symbol));
}
if (todayDSP == null || !todayDSP.Price.HasValue)
{
throw new Exception(string.Format("Today DSP for symbol {0}", prevPos.Symbol));
}
double prevPosVMReq = prevPos.Contracts * (todayDSP.Price.Value - prevDSP.Price.Value);
double todayPosVMReq = 0;
foreach (TradeDTO trade in todayTrades.Where(x => x.Symbol == prevPos.Symbol).ToList())
{
if (trade.GetSignedExecutionSize() > 0)
{
todayPosVMReq += trade.ExecutionSize * (todayDSP.Price.Value - trade.ExecutionPrice);
}
else
{
todayPosVMReq += trade.ExecutionSize * (trade.ExecutionPrice - todayDSP.Price.Value);
}
}
vmReqs += prevPosVMReq + todayPosVMReq;
}
return(vmReqs * -1);//Negative is that I earned profit, Positive is that I loss
}
else
{
return(null);
}
}
private DailySettlementPrice[] GetDSPs(Dictionary <string, double> DSPDicts)
{
List <DailySettlementPrice> DSPs = new List <DailySettlementPrice>();
foreach (string symbol in DSPDicts.Keys)
{
DailySettlementPrice DSP = new DailySettlementPrice();
DSP.Msg = "DailySettlementPrice";
DSP.Symbol = symbol;
DSP.Price = DSPDicts[symbol];
DSPs.Add(DSP);
}
return(DSPs.ToArray());
}
//here I can work with just 1 security
public double GetExposureChange(char side, double qty, string symbol, string firmId, ClientPosition[] Positions, List <OrderDTO> Orders)
{
double finalExposure = 0;
double currentExposure = 0;
double netContracts = 0;
qty = (ClientOrderRecord._SIDE_BUY == side) ? qty : -1 * qty;
netContracts = GetNetContracts(firmId, symbol, Positions, side, Orders);
DailySettlementPrice DSP = DailySettlementPrices.Where(x => x.Symbol == symbol).FirstOrDefault();
if (DSP != null && DSP.Price.HasValue)
{
currentExposure = (Math.Abs(netContracts) * DSP.Price.Value);
finalExposure = (Math.Abs(netContracts + qty) * DSP.Price.Value);
}
return(finalExposure - currentExposure);
}
public double GetUsedCredit(string firmId, ClientPosition[] Positions)
{
List <NetPositionDTO> netPositionsArr = new List <NetPositionDTO>();
double creditUsed = 0;
foreach (SecurityMasterRecord security in SecurityMasterRecords)
{
double netContracts = GetNetContracts(firmId, security.Symbol, Positions);;
DailySettlementPrice DSP = DailySettlementPrices.Where(x => x.Symbol == security.Symbol).FirstOrDefault();
if (DSP != null && DSP.Price.HasValue && netContracts != 0)
{
creditUsed += Math.Abs(netContracts) * DSP.Price.Value;
}
if (security.MaturityDate != "")
{
netPositionsArr.Add(new NetPositionDTO()
{
AssetClass = security.AssetClass, Symbol = security.Symbol, MaturityDate = security.GetMaturityDate(), NetContracts = netContracts
});
}
DoLog(string.Format("Final Net Contracts for Security Id {0}:{1}", security.Symbol, netContracts), zHFT.Main.Common.Util.Constants.MessageType.Information);
}
if (Config.ImplementCalendarMarginDiscount)
{
string[] assetClasses = GetAvailableAssetClasses();
foreach (string assetClass in assetClasses)
{
creditUsed -= (CalculateCalendarMarginDiscounts(netPositionsArr.ToArray(), assetClass) / Config.MarginPct);
}
}
return(creditUsed - GetPriorDayCredit(firmId));
}
protected double GetPotentialxMargin(char side, string firmId, ClientPosition[] Positions, List <OrderDTO> Orders)
{
double acumMargin = 0;
foreach (SecurityMasterRecord security in SecurityMasterRecords)
{
double potentialNetContracts = GetNetContracts(firmId, security.Symbol, Positions, side, Orders);
DoLog(string.Format("Potential Contracts for Security {0} after Orders:{1}", security.Symbol, potentialNetContracts), zHFT.Main.Common.Util.Constants.MessageType.Information);
DailySettlementPrice DSP = DailySettlementPrices.Where(x => x.Symbol == security.Symbol).FirstOrDefault();
if (DSP != null && DSP.Price.HasValue)
{
acumMargin += Math.Abs(potentialNetContracts) * DSP.Price.Value * Config.MarginPct;
}
}
//TODO : implement the calendar spreads margin calculation
DoLog(string.Format("Acum Margin for FirmId {0} after Orders:{1}", firmId, acumMargin), zHFT.Main.Common.Util.Constants.MessageType.Information);
return(acumMargin - GetFundedMargin(firmId));
}
protected double GetBaseMargin(string firmId, ClientPosition[] Positions, string symbol = null, DailySettlementPrice[] DSPsToUse = null)
{
double acumMargin = 0;
foreach (SecurityMasterRecord security in SecurityMasterRecords.Where(x => (symbol == null || x.Symbol == symbol)))
{
double netContracts = GetNetContracts(firmId, security.Symbol, Positions);
DailySettlementPrice DSP = DSPsToUse == null?DailySettlementPrices.Where(x => x.Symbol == security.Symbol).FirstOrDefault() : DSPsToUse.Where(x => x.Symbol == security.Symbol).FirstOrDefault();
if (DSP != null && DSP.Price.HasValue)
{
acumMargin += Math.Abs(netContracts) * DSP.Price.Value * Config.MarginPct;
}
DoLog(string.Format("Net Contracts for Security {0} :{1}", security.Symbol, netContracts), zHFT.Main.Common.Util.Constants.MessageType.Information);
}
//TODO : implement the calendar spreads margin calculation
DoLog(string.Format("Base Margin for FirmId {0}:{1}", firmId, acumMargin), zHFT.Main.Common.Util.Constants.MessageType.Information);
return(acumMargin);
}
private static void ProcessEvent(WebSocketMessage msg)
{
if (msg is ClientLoginResponse)
{
ClientLoginResponse loginResp = (ClientLoginResponse)msg;
if (loginResp.JsonWebToken != null)
{
ClientLoginResponse = loginResp;
}
DoLog(string.Format("Client successfully logged with token {0}", loginResp.JsonWebToken));
//3- Subscribe market data for Security
//Market data will be delivered through many services, for the moment we will use
// LS - LastSales will have all the information regarding the trades that took place (high, low, last, etc.)
// LQ - QuoteService will tell us the the best offers (best buy and sell) that we have for a security.
// It is what fills the red/green holders that we can see in the image!
// When we select a Product (SPOT) and Pair (XBT-USD) in the combos, we will have to fill the instrument holder (story 74)
// ---> In that context we only need the Quote (LQ) service
// Only when we CLICK that instrument we will need the trades service (LS) to fill the header
// ---> Then we can make this call
//Of course, every time we subscribe to some security , we will have to ususcribe to another one.
// That will be covered in the spec document
RequestMarketData(Security);
}
else if (msg is LastSale)
{
//4.1 LastSale event arrived! We update the security in memory with the following fields
LastSale lastSale = (LastSale)msg;
lock (Security)
{
Security.MarketData.LastTradeDateTime = lastSale.GetLastTime();
Security.MarketData.MDTradeSize = lastSale.LastShares;
Security.MarketData.Trade = lastSale.LastPrice;
Security.MarketData.NominalVolume = lastSale.Volume;
Security.MarketData.TradingSessionHighPrice = lastSale.High;
Security.MarketData.TradingSessionLowPrice = lastSale.Low;
Security.MarketData.OpeningPrice = lastSale.Open;
Security.MarketData.NetChgPrevDay = lastSale.Change;
}
MarketDataRefresh();
}
else if (msg is Quote)
{
//4.2 Quote event arrived! We update the security in memory with the following fields
Quote quote = (Quote)msg;
lock (Security)
{
Security.MarketData.BestBidPrice = quote.Bid;
Security.MarketData.BestBidSize = quote.BidSize;
Security.MarketData.BestAskPrice = quote.Ask;
Security.MarketData.BestAskSize = quote.AskSize;
}
MarketDataRefresh();
}
else if (msg is DailySettlementPrice)
{
//4.3 DailySettlementPrice event arrived! We update the security in memory with the following fields
DailySettlementPrice DSP = (DailySettlementPrice)msg;
lock (Security)
{
Security.MarketData.SettlementPrice = DSP.Price;
}
MarketDataRefresh();
}
else if (msg is OfficialFixingPrice)
{
//4.4 DailySettlementPrice event arrived! We update the security in memory with the following fields
OfficialFixingPrice fixingPrice = (OfficialFixingPrice)msg;
lock (Security)
{
Security.MarketData.FIXPrice = fixingPrice.Price;
}
MarketDataRefresh();
}
else if (msg is SubscriptionResponse)
{
SubscriptionResponse subscrResp = (SubscriptionResponse)msg;
//We have to process this message to be sure that the subscription was fully processed
}
}