private void EvalDailySettlementPriceWarnings(string symbol)
{
SecurityMasterRecord security = SecurityMasterRecords.Where(x => x.Symbol == symbol).FirstOrDefault();
if (security.AssetClass == Security._SPOT)
{
//WE shouldn't have this service requested for a spot currency
DoLog(string.Format("WARNING2 - Daily Settlement Price requested for spot currency! : {0}", symbol), MessageType.Error);
}
}
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- Once Logged we request the security master record. We set the request timestamp for timeout calculation
SecurityMasterRecordRequestStartTime = DateTime.Now;
SubscriptionTAFinished = false;
RequestSecurityMasterList();
//3.1- We launch the thread that will process all the securities once everything is available
Thread processSecurityMasterRecordThread = new Thread(ProcessSecurityMasterRecordThread);
processSecurityMasterRecordThread.Start();
}
else if (msg is SubscriptionResponse)
{
SubscriptionResponse subscrResp = (SubscriptionResponse)msg;
if (subscrResp.Service == "TA")
{
SubscriptionTAFinished = true;
}
}
else if (msg is SecurityMasterRecord)
{
SecurityMasterRecord security = (SecurityMasterRecord)msg;
//4-Every time we get a security, if the arrival time is less than timeout time, we update the list that hold
//all the securities
TimeSpan elapsed = DateTime.Now - SecurityMasterRecordRequestStartTime;
if (elapsed.TotalSeconds < _SECURITY_MASTER_RECORD_TIMOUT_IN_SECONDS && !SubscriptionTAFinished)
{
SecurityMasterRecords.Add(security);
}
else
{
//4.1- Here the security arrive after the timeout. We have to set some warning in the logs to check
// if we have to recalibrate the timeout threshold
if (SubscriptionTAFinished)
{
DoLog(string.Format("TC1-Security Master Record arrived afte subscription response succesfull received!:{0}", security.Symbol));
}
else if (elapsed.TotalSeconds > _SECURITY_MASTER_RECORD_TIMOUT_IN_SECONDS)
{
DoLog(string.Format("TC2-Security Master Record arrived after timeout expiration!:{0}", security.Symbol));
}
}
}
}
private static void ProcessSecurityList(string secType, string symbol)
{
//5.2.1 - As the derivative (contract) traded is also a security, we will show a security list like we did in ProcessPairCombo method
List <Security> securities = new List <Security>();
//5.2.2 - Still missing to filter the underlying as we have no field for it!!!
foreach (SecurityMasterRecord secMasterRecord in SecurityMasterRecords.Where(x => x.AssetClass == secType && x.CurrencyPair == symbol))
{
securities.Add(new Security()
{
Symbol = secMasterRecord.Symbol, Description = secMasterRecord.Description
});
}
//5.2.3 - Showing all the derivatives (contracts) available for secType (prodcut) and symbol (pair) selected
ShowSecurityList(securities, secType, symbol);
}
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);
}
