private void MarkRecall(RealTimePositionObject r, bool firstLoad)
{
if (firstLoad)
{
RecalledStockViewObject rs = new RecalledStockViewObject();
rs.Cusip = r.Cusip;
if (RecalledStocks.ContainsKey(rs))
{
r.OnRecall = "On Recall";
}
else
{
r.OnRecall = "";
}
}
else
{
bool ret = rsf.Exists(r.Cusip);
if (ret)
{
r.OnRecall = "On Recall";
}
else
{
r.OnRecall = "";
}
}
}
public RealTimeOccPositionObject(RealTimePositionObject rtPos)
: this()
{
DateOfData = rtPos.DateOfData;
ParticipantId = rtPos.ParticipantId;
Ticker = rtPos.Ticker;
Cusip = rtPos.Cusip;
Company = rtPos.Company;
BodShareQuantity = rtPos.BodShareQuantity;
LoanValue = rtPos.LoanValue;
LastActivityDate = rtPos.LastActivityDate;
Price = rtPos.Price;
HistoricalBorrowRate = rtPos.HistoricalBorrowRate;
HistoricalLoanRate = rtPos.HistoricalLoanRate;
DtcNpbActivityQuantity = rtPos.DtcNpbActivityQuantity;
DtcNpbActivityLoanValue = rtPos.DtcNpbActivityLoanValue;
DtcNonNpbActivityQuantity = rtPos.DtcNonNpbActivityQuantity;
DtcNonNpbActivityLoanValue = rtPos.DtcNonNpbActivityLoanValue;
G1BodNpbQuantity = rtPos.G1BodNpbQuantity;
G1BodNpbLoanValue = rtPos.G1BodNpbLoanValue;
G1BodNonNpbQuantity = rtPos.G1BodNonNpbQuantity;
G1BodNonNpbLoanValue = rtPos.G1BodNonNpbLoanValue;
OnRecall = rtPos.OnRecall;
Notes = rtPos.Notes;
}
private void bwt_DoWork(object sender, DoWorkEventArgs e)
{
IncomingDeliveryOrderObject d = (IncomingDeliveryOrderObject)e.Argument;
new Thread((ThreadStart) delegate()
{
this.BeginInvoke((ThreadStart) delegate()
{
try
{
RealTimePositionObject pos = calc.CalculatePosition(d);
UpdatePositions(pos);
//if they are looking at the held up returns, update those positions
if (rbHeldUp.Checked)
{
LoadHeldUp();
}
}
catch (Exception ex)
{
Trace.WriteLine(ex, TraceEnum.LoggedError);
}
});
}).Start();
}
public UpdateForm(RealTimePositionObject p, string mode)
{
InitializeComponent();
rt = p;
txtCusip.Text = p.Cusip;
txtTicker.Text = p.Ticker;
txtDescription.Text = p.Company;
txtPrice.Text = p.Price.ToString();
Mode = mode;
if (mode == "Price")
{
txtCusip.Enabled = false;
txtTicker.Enabled = false;
txtDescription.Enabled = false;
txtPrice.Focus();
}
else if (mode == "Ticker")
{
txtCusip.Enabled = false;
txtPrice.Enabled = false;
txtTicker.Focus();
}
}
private void UpdatePositions(RealTimePositionObject pos)
{
try
{
if (pos != null)
{
//find the position
int i = AllRealTimePositions.Find("Cusip", pos.Cusip);
if (i != -1)
{
//position already exists, remove it and add new one
pos.Notes = AllRealTimePositions[i].Notes;
AllRealTimePositions.RemoveAt(i);
RealTimeOccPositionObject r = new RealTimeOccPositionObject(pos);
AllRealTimePositions.Add(r);
}
else
{
//new position. add it
RealTimeOccPositionObject r = new RealTimeOccPositionObject(pos);
AllRealTimePositions.Add(r);
}
AllRealTimePositions.Sort("SortField", ListSortDirection.Descending);
ColorRows();
dgvRealTimePosition.Refresh();
}
}
catch (Exception)
{
throw;
}
}
private void btnPledge_Click(object sender, EventArgs e)
{
List <RealTimePositionObject> RTObjToPledge = new List <RealTimePositionObject>();
foreach (DataGridViewRow d in dgvRealTimePosition.SelectedRows)
{
RealTimePositionObject r = d.DataBoundItem as RealTimePositionObject;
if (r != null)
{
RTObjToPledge.Add(r);
}
}
}
private void investigateToolStripMenuItem_Click(object sender, EventArgs e)
{
try
{
RealTimePositionObject rt = (RealTimePositionObject)dgvRealTimePosition.CurrentRow.DataBoundItem;
InvestigateForm i = new InvestigateForm(rt);
i.ShowDialog();
}
catch (Exception ex)
{
Trace.WriteLine(ex, TraceEnum.LoggedError);
}
}
private void updateTickerToolStripMenuItem_Click(object sender, EventArgs e)
{
try
{
RealTimePositionObject rt = (RealTimePositionObject)dgvRealTimePosition.CurrentRow.DataBoundItem;
UpdateForm uf = new UpdateForm(rt, "Ticker");
uf.ShowDialog();
}
catch (Exception ex)
{
Trace.WriteLine(ex, TraceEnum.LoggedError);
}
}
private void ColorRows()
{
try
{
foreach (DataGridViewRow row in dgvRealTimePosition.Rows)
{
RealTimePositionObject r = (RealTimePositionObject)row.DataBoundItem;
if (r.Cusip == selectedCusip)
{
row.DefaultCellStyle.BackColor = selectedColor;
}
else
{
if (r.OnRecall == "On Recall")
{
row.DefaultCellStyle.BackColor = txtOnRecall.BackColor;
}
else
{
row.DefaultCellStyle.BackColor = Color.White;
}
if (r.Price == 0)
{
row.Cells["Exposure"].Style.BackColor = txtMissingPrice.BackColor;
}
else if (r.NumBorrows == 0)
{
row.Cells["Exposure"].Style.BackColor = txtMissingBorrows.BackColor;
}
else
{
row.Cells["Exposure"].Style.BackColor = row.Cells["RealTimePosition"].Style.BackColor;
}
}
}
// dgvRealTimePosition.Refresh();
}
catch (Exception ex)
{
Trace.WriteLine(ex, TraceEnum.LoggedError);
}
}
public InvestigateForm(RealTimePositionObject rt)
{
InitializeComponent();
rtPos = rt;
position.Add(rtPos);
dgvActivity.DataSource = rtPos.DtcActivity;
dgvPosition.DataSource = position;
helper.Add(new DgvHelper(dgvActivity, this.Name, true));
helper.Add(new DgvHelper(dgvPosition, this.Name, true));
helper.handleCellSelected += new CellSelectEventHandler(h_handleCellSelected);
}
private void UpdateStockPrice(RealTimePositionObject r)
{
if (StockPrices.ContainsKey(r.Cusip))
{
StockPriceViewObject s = null;
StockPrices.TryGetValue(r.Cusip, out s);
if (s != null)
{
r.Price = (double)s.StockloanPrice;
}
else
{
r.Price = 0;
}
}
}
private void UpdateStockInfo(RealTimePositionObject r)
{
if (Stocks.ContainsKey(r.Cusip))
{
StockViewObject s = null;
Stocks.TryGetValue(r.Cusip, out s);
if (s != null)
{
r.Ticker = s.Ticker;
r.Company = s.Name;
}
else
{
r.Ticker = "zzzzUNKNOWN";
}
}
}
private void updateTickerToolStripMenuItem_Click_1(object sender, EventArgs e)
{
try
{
ProjectedNeedsSummaryObject ps = (ProjectedNeedsSummaryObject)dgvRealTimePosition.CurrentRow.DataBoundItem;
RealTimePositionObject rt = new RealTimePositionObject();
rt.Cusip = ps.Cusip;
rt.Ticker = ps.Ticker;
rt.Company = "";
rt.Price = 0;
UpdateForm uf = new UpdateForm(rt, "Ticker");
uf.ShowDialog();
}
catch (Exception ex)
{
Trace.WriteLine(ex, TraceEnum.LoggedError);
}
}
private void dgvRealTimePosition_CellDoubleClick(object sender, DataGridViewCellEventArgs e)
{
try
{
if (e.RowIndex != -1)
{
RealTimePositionObject d = (RealTimePositionObject)dgvRealTimePosition.Rows[e.RowIndex].DataBoundItem;
DtcChannel.Instance.CusipSelected(d.Cusip);
selectedCusip = d.Cusip;
//color rows
ColorRows();
}
}
catch (Exception ex)
{
Trace.WriteLine(ex, TraceEnum.LoggedError);
MessageBox.Show(ex.ToString(), "Error");
}
}
void DtcMessageReceived(object sender, IncomingDtcMessageEventArgs e)
{
IncomingDeliveryOrderObject d;
if (e.DtcMessage is IncomingDeliveryOrderObject)
{
d = (IncomingDeliveryOrderObject)e.DtcMessage;
}
else
{
return;
}
//bwt.RunWorkerAsync(d);
new Thread((ThreadStart) delegate()
{
this.BeginInvoke((ThreadStart) delegate()
{
try
{
RealTimePositionObject pos = calc.CalculatePosition(d);
UpdatePositions(pos);
//if they are looking at the held up returns, update those positions
if (rbHeldUp.Checked)
{
LoadHeldUp();
}
}
catch (Exception ex)
{
Trace.WriteLine(ex, TraceEnum.LoggedError);
}
});
}).Start();
}
public PositionUpdateEventArgs(RealTimePositionObject pos)
{
Position = pos;
}
private void UpdateOccInfo(RealTimePositionObject r)
{
r.ContainsHedge = false;
r.OccBodQuantity = 0;
r.OccQuantityLoaned = 0;
r.OccQuantityReturned = 0;
r.OccQuantityBorrowed = 0;
r.OccQuantityReceived = 0;
//look up bod positions
List <PositionObject> pos = OccBodPositions.FindAll(p => p.Cusip == r.Cusip);
//calculate bod position
foreach (PositionObject p in pos)
{
r.ContainsHedge = true;
if (p.BorrowLoan == "B")
{
r.OccBodQuantity += p.Quantity;
}
else if (p.BorrowLoan == "L")
{
r.OccBodQuantity -= p.Quantity;
}
}
//calculate occ info
foreach (IncomingDeliveryOrderObject d in r.DtcActivity)
{
DeliveryOrderReasonCodeObject drc = null;
DeliveryOrderLookups.ReasonCodes.TryGetValue(d.ReasonCode, out drc);
//could not find reason code
if (drc == null)
{
//Trace.WriteLine("Could not find the reason code: " + d.ReasonCode, TraceEnum.LoggedError);
}
else
{
//delivery
if (d.ActivityCode == "026" && IsHedge(d.ReasonCode))
{
if (drc.NewBorrowLoan)
{
//this is a new loan
r.OccQuantityLoaned += d.ShareQuantity.Value;
}
else
{
//this was a return
r.OccQuantityReturned += d.ShareQuantity.Value;
}
r.ContainsHedge = true;
}
//receive
else if (d.ActivityCode == "027" && IsHedge(d.ReasonCode))
{
if (drc.NewBorrowLoan)
{
r.OccQuantityBorrowed += d.ShareQuantity.Value;
}
else
{
r.OccQuantityReceived += d.ShareQuantity.Value;
}
r.ContainsHedge = true;
}
//could not find activity code
else
{
}
}
}
}
private void UpdateDtcInfo(RealTimePositionObject r)
{
r.DtcQuantityLoaned = 0;
r.DtcQuantityReturned = 0;
r.DtcQuantityBorrowed = 0;
r.DtcQuantityReceived = 0;
foreach (IncomingDeliveryOrderObject d in r.DtcActivity)
{
DeliveryOrderReasonCodeObject drc = null;
DeliveryOrderLookups.ReasonCodes.TryGetValue(d.ReasonCode, out drc);
//could not find reason code
if (drc == null)
{
//Trace.WriteLine("Could not find the reason code: " + d.ReasonCode, TraceEnum.LoggedError);
}
else
{
if ((d.Receiver != Settings.Account.Padded() && d.DelivererReceiverIndicator == "R") || (d.Deliverer != Settings.Account.Padded() && d.DelivererReceiverIndicator == "D"))
{
}
//delivery
if (d.ActivityCode == "026")
{
if (drc.NewBorrowLoan)
{
//this is a new loan
r.DtcQuantityLoaned += d.ShareQuantity.Value;
}
else
{
//this was a return
r.DtcQuantityReturned += d.ShareQuantity.Value;
}
}
//receive
else if (d.ActivityCode == "027")
{
if (drc.NewBorrowLoan)
{
r.DtcQuantityBorrowed += d.ShareQuantity.Value;
}
else
{
r.DtcQuantityReceived += d.ShareQuantity.Value;
}
}
//could not find activity code
else
{
//WE HAVE A PROBLEM
//Trace.WriteLine("Could not find the activity code: " + d.ActivityCode, TraceEnum.LoggedError);
}
}
}
}
private void UpdateConduitInfo(RealTimePositionObject r)
{
avf.GetConduitQuantities(r);
}
//TODO: Get a better name for this
private void GetExtraData(RealTimePositionObject rtPos, bool firstLoad)
{
Dictionary <string, int> tradeCats = new Dictionary <string, int>();
DateTime lastBDate = DateTime.MinValue;
DateTime lastLDate = DateTime.MinValue;
//Rates
double bRate = 0;
double lRate = 0;
double bLastRate = 0;
double lLastRate = 0;
//Loan Values
double bValue = 0;
double lValue = 0;
//ShareQty
int bQty = 1;
int lQty = 1;
int bLastQty = 1;
int lLastQty = 1;
//Number of Deals
int bCount = 0;
int lCount = 0;
List <StartingPositionObject> found = new List <StartingPositionObject>();
// List<G1PositionObject> found = G1NonNpbPositions.FindAll(delegate(G1PositionObject p)
// { return p.Cusip.ToUpper() == rtPos.Cusip.ToUpper(); });
if (G1NonNpbPositions.ContainsKey(rtPos.Cusip.ToUpper()))
{
found = G1NonNpbPositions[rtPos.Cusip.ToUpper()];
}
if (found.Count > 0)
{
foreach (StartingPositionObject g in found)
{
//get all the data you need
if (!tradeCats.ContainsKey(g.TradeCategory) && (rtPos.TradeCategory == null || !rtPos.TradeCategory.Contains(g.TradeCategory)))
{
tradeCats.Add(g.TradeCategory, 0);
}
if (g.BorrowLoanIndicator == "B")
{
bRate += (double)g.Rate * (int)Math.Abs(g.Quantity.Value);
bQty += (int)Math.Abs(g.Quantity.Value);
bValue += (double)Math.Abs(g.LoanValue.Value);
bCount++;
rtPos.NumBorrows++;
if (g.TradeDate.Value.Date >= lastBDate.Date && (int)Math.Abs(g.Quantity.Value) > 0)
{
if (g.TradeDate.Value.Date > lastBDate.Date)
{
bLastRate = 0;
bLastQty = 1;
}
bLastRate += (double)g.Rate * (int)Math.Abs(g.Quantity.Value);
bLastQty += (int)Math.Abs(g.Quantity.Value);
lastBDate = g.TradeDate.Value;
}
}
else
{
lRate += (double)g.Rate * (int)Math.Abs(g.Quantity.Value);
lQty += (int)Math.Abs(g.Quantity.Value);
lValue += (double)Math.Abs(g.LoanValue.Value);
lCount++;
try
{
if (g.TradeDate.Value.Date >= lastLDate.Date && (int)Math.Abs(g.Quantity.Value) > 0)
{
if (g.TradeDate.Value.Date > lastLDate.Date)
{
lLastRate = 0;
lLastQty = 1;
}
lLastRate += (double)g.Rate * (int)Math.Abs(g.Quantity.Value);
lLastQty += (int)Math.Abs(g.Quantity.Value);
lastLDate = g.TradeDate.Value;
}
}
catch (Exception ex)
{
throw;
}
}
}
//figure out the trade category
foreach (string s in tradeCats.Keys)
{
rtPos.TradeCategory += s + " ";
}
rtPos.TradeCategory.Trim();
try
{
rtPos.HistoricalBorrowRate = bRate / bQty;
rtPos.HistoricalLoanRate = lRate / lQty;
rtPos.BorrowRate = bLastRate / bLastQty;
rtPos.LoanRate = lLastRate / lLastQty;
}
catch (Exception ex)
{
//Trace.WriteLine(ex, TraceEnum.LoggedError);
}
}
MarkRecall(rtPos, firstLoad);
UpdateStockInfo(rtPos);
UpdateStockPrice(rtPos);
//UpdateConduitInfo(rtPos);
UpdateDtcInfo(rtPos);
UpdateOccInfo(rtPos);
}
//calculates Position based on start up data
private void CalculatePosition()
{
RealTimePositions.Clear();
//Build a position from todays activity
foreach (IncomingDeliveryOrderObject d in DtcActivity)
{
RealTimePositionObject found = null;
RealTimePositions.TryGetValue(d.Cusip, out found);
//first activity for this cusip
if (found == null)
{
RealTimePositionObject newPosition = new RealTimePositionObject(d.DateAndTimeStamp.Value.Date, Settings.Account.ToInt(),
"", d.Cusip, d.CusipDescription, 0,
0, d.DateAndTimeStamp.Value,
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, "", "");
//DtcActivity has all NPB ripped out
newPosition.DtcNonNpbActivityQuantity = d.ShareQuantity_Signed.Value;
newPosition.DtcNonNpbActivityLoanValue = d.MoneyValue_Signed.Value;
newPosition.Ticker = d.CusipDescription;
newPosition.DtcActivity.Add(d);
newPosition.LastActivityDate = d.DateAndTimeStamp.Value;
RealTimePositions.Add(newPosition.Cusip, newPosition);
}
//already got some activity for this cusip
else
{
found.DtcNonNpbActivityQuantity += d.ShareQuantity_Signed.Value;
found.DtcNonNpbActivityLoanValue += d.MoneyValue_Signed.Value;
found.DtcActivity.Add(d);
if (d.DateAndTimeStamp > found.LastActivityDate)
{
found.LastActivityDate = d.DateAndTimeStamp.Value;
}
}
}
//now add the morning position to the list
foreach (DtcPositionViewObject pos in DtcBodPositions.Values)
{
RealTimePositionObject found = null;
RealTimePositions.TryGetValue(pos.CUSIP, out found);
//this cusip had no activity today
if (found == null)
{
RealTimePositions.Add(pos.CUSIP, new RealTimePositionObject(pos));
}
//already got some activity for this cusip, update its bod quantity
else
{
found.BodShareQuantity = pos.ShareQuantity;
}
}
//now subtract NPB from DTC
foreach (StartingPositionObject pos in G1NpbPositions)
{
RealTimePositionObject found = null;
RealTimePositions.TryGetValue(pos.Cusip, out found);
if (found != null)
{
found.G1BodNpbQuantity = (int)pos.Quantity.Value;
found.G1BodNpbLoanValue = pos.LoanValue.Value;
}
}
/*
* //sum up the npb data from todays DTC activity
* foreach (IncomingDeliveryOrderObject npb in DtcNpbActivity)
* {
* RealTimePositionObject found = RealTimePositions.Find(delegate(RealTimePositionObject p)
* { return p.Cusip == npb.Cusip; });
*
* if (found != null)
* {
* found.DtcNpbActivityQuantity += (int)npb.ShareQuantity_Signed.Value;
* found.DtcNpbActivityLoanValue += npb.MoneyValue_Signed.Value;
* }
* }
*/
//Get extra data
foreach (RealTimePositionObject rtPos in RealTimePositions.Values)
{
GetExtraData(rtPos, true);
}
UpdateConduitInfo(RealTimePositions.Values.ToList());
// JP 10/16/12: add pending position with 0 qty
// pending
foreach (IncomingDeliveryOrderObject d in DtcPendingActivity)
{
if (!RealTimePositions.ContainsKey(d.Cusip))
{
// no position for this cusip, but there is pending activity so add a 0 position entry
RealTimePositionObject newPosition = new RealTimePositionObject(d.DateAndTimeStamp.Value.Date, Settings.Account.ToInt(),
"", d.Cusip, d.CusipDescription, 0,
0, d.DateAndTimeStamp.Value,
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, "", "");
//DtcActivity has all NPB ripped out
newPosition.DtcNonNpbActivityQuantity = 0; //d.ShareQuantity_Signed.Value;
newPosition.DtcNonNpbActivityLoanValue = 0; //d.MoneyValue_Signed.Value;
newPosition.Ticker = d.CusipDescription;
newPosition.DtcActivity.Add(d);
newPosition.LastActivityDate = d.DateAndTimeStamp.Value;
RealTimePositions.Add(newPosition.Cusip, newPosition);
}
}
}
private void UpdatePositions(RealTimePositionObject pos)
{
}
//when a new order comes in, recalculate your Positions. There is no need
//to reload g1 data or anything like that.
public RealTimePositionObject CalculatePosition(IncomingDeliveryOrderObject d)
{
RealTimePositionObject pos = null;
if (d.Id > MaxDtcId)
{
MaxDtcId = d.Id;
}
//we only care about real msgs now.
if (d.DtcStatusIndicator == " " || d.DtcStatusIndicator == "X")
{
//Non 5239 activity
if (d.Receiver != Settings.Account.Padded() && d.Deliverer != Settings.Account.Padded())
{
return(null);
}
//Remove records with an actioncode of 0
if (d.ActionCode == "0")
{
return(null);
}
//Records that are receives but 5239 is not the receiver, same for deliver
if ((d.Receiver != Settings.Account.Padded() && d.DelivererReceiverIndicator == "R") ||
(d.Deliverer != Settings.Account.Padded() && d.DelivererReceiverIndicator == "D"))
{
return(null);
}
/* Dont care about NPB anymore
* //Remove the NPB activity
* if (d.Deliverer == "00000238" && d.Receiver == "00005239" && d.ReasonCode == "010")
* return null;
*
* if (d.Deliverer == "00005239" && d.Receiver == "00000238" && d.ReasonCode == "020")
* return null;
*/
//check to see if we already have activity for this cusip
RealTimePositions.TryGetValue(d.Cusip, out pos);
//first activity for this cusip
if (pos == null)
{
pos = new RealTimePositionObject(d.DateAndTimeStamp.Value.Date, Settings.Account.ToInt(),
"", d.Cusip, d.CusipDescription, 0, 0,
d.DateAndTimeStamp.Value,
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, "", "");
//DtcActivity has all NPB ripped out
pos.DtcNonNpbActivityQuantity = d.ShareQuantity_Signed.Value;
pos.DtcNonNpbActivityLoanValue = d.MoneyValue_Signed.Value;
pos.Ticker = d.CusipDescription;
pos.DtcActivity.Add(d);
pos.LastActivityDate = d.DateAndTimeStamp.Value;
//Add activity to dtcactivity so you do now apply it twice
DtcActivity.Add(d);
RealTimePositions.Add(pos.Cusip, pos);
}
//already got some activity for this cusip
else
{
pos.DtcNonNpbActivityQuantity += d.ShareQuantity_Signed.Value;
pos.DtcNonNpbActivityLoanValue += d.MoneyValue_Signed.Value;
pos.DtcActivity.Add(d);
if (d.DateAndTimeStamp > pos.LastActivityDate)
{
pos.LastActivityDate = d.DateAndTimeStamp.Value;
}
//Add activity to dtcactivity so you do not apply it twice
DtcActivity.Add(d);
}
GetExtraData(pos, false);
}
else
{
// JP 10/16/12
if (!RealTimePositions.ContainsKey(d.Cusip))
{
// no position for this cusip, but there is pending activity so add a 0 position entry
RealTimePositionObject newPosition = new RealTimePositionObject(d.DateAndTimeStamp.Value.Date, Settings.Account.ToInt(),
"", d.Cusip, d.CusipDescription, 0,
0, d.DateAndTimeStamp.Value,
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, "", "");
//DtcActivity has all NPB ripped out
newPosition.DtcNonNpbActivityQuantity = 0; //d.ShareQuantity_Signed.Value;
newPosition.DtcNonNpbActivityLoanValue = 0; //d.MoneyValue_Signed.Value;
newPosition.Ticker = d.CusipDescription;
newPosition.DtcActivity.Add(d);
newPosition.LastActivityDate = d.DateAndTimeStamp.Value;
RealTimePositions.Add(newPosition.Cusip, newPosition);
}
}
return(pos);
}
public void PositionUpdated(RealTimePositionObject pos)
{
OnPositionUpdated(new PositionUpdateEventArgs(pos));
}
