public bool Check(Trade trade)
{
Boolean result = true;
var entity = Env.Current.StaticData.GetPartyById(trade.EntityId).Code;
if (entity.Equals("SMF") && trade.Product.ProcessingType.Equals("FX") && trade.Product.UnderlierInfo.Equals("FX:USD:IDR"))
{
trade.SetProperty("OverridePB", "CGMI_PB_FI");
}
return result;
}
public override bool ExcludeFromMatching(Trade otTrade, DateTime dt, bool isExternalTrade)
{
if (isExternalTrade)
{
if (otTrade.Status.Equals(stateDeleted))
{
otTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
otTrade.SetProperty(ReconcileTaskExecutor.ImportRef, "Matured");
return true;
}
}
var maturity = otTrade.Product.RiskMaturity;
var maturity2 = otTrade.Product.ContractMaturity;
if (!maturity2.IsNull && maturity2 < maturity)
maturity = maturity2;
if (!maturity.IsNull && maturity <= new SimpleDate(dt))
{
otTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
otTrade.SetProperty(ReconcileTaskExecutor.ImportRef, "Matured");
return true;
}
return false;
}
public bool Check(Trade trade, StringBuilder msg)
{
var bond = trade.Product as Bond;
//Is this a Sell of a EUR BOND
trade.RemoveProperty(PropName);
if (trade.Quantity < 0 && bond != null && bond.Currency.Equals("EUR"))
{
//Need to notify user to check Funding
if (MessageBox.Show("Please check funding for this Bond " + bond.Description + " " + bond.Isin,
"Check EUR Funding", MessageBoxButtons.OKCancel) == DialogResult.Cancel)
{
return false;
}
trade.SetProperty(PropName, "true");
}
return true;
}
public override bool ExcludeFromMatching(Trade otTrade, DateTime dt, bool isExternalTrade)
{
if (isExternalTrade)
{
if (otTrade.Product is GenericProduct)
{
var desc = ((GenericProduct)otTrade.Product).ProductDescription;
if (desc.Equals(TypeUnknown))
{
otTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
return true;
}
}
if (otTrade.Quantity == 0)
{
otTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
otTrade.SetProperty(ReconcileTaskExecutor.ImportRef, "Matured");
return true;
}
}
if (otTrade.Product is FX)
{
if (((FX)otTrade.Product).PrimaryAmount < Utilities.Epsilon)
otTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
otTrade.SetProperty(ReconcileTaskExecutor.ImportRef, "Matured");
return true;
}
var maturity = otTrade.Product.RiskMaturity;
var maturity2 = otTrade.Product.ContractMaturity;
if (!maturity2.IsNull && maturity2 < maturity)
maturity = maturity2;
if (!maturity.IsNull && maturity <= new SimpleDate(dt))
{
otTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
otTrade.SetProperty(ReconcileTaskExecutor.ImportRef, "Matured");
return true;
}
return false;
}
//Init Trade Date SettleDateS Strategy CounterParty ....
internal static bool InitTrade(Trade trade, TradeInfo info, FilterData filterData, StringBuilder sb)
{
Trade existingTrade = null;
if (info.HoldingID != null)
{
if (filterData.ExistingTransIds != null && filterData.ExistingTransIds.Count > 0)
{
if (filterData.ExistingTransIds.Contains(info.HoldingID))
existingTrade = Env.Current.Trade.GetTradeByProperty(SymmetryTranId, info.HoldingID);
}
else existingTrade = Env.Current.Trade.GetTradeByProperty(SymmetryTranId, info.HoldingID);
}
if (existingTrade != null)
{
if (filterData.OnlyNewTrades) return false;
trade.Id = existingTrade.Id;
trade.Status = existingTrade.Status;
trade.Action = UpdateAction;
trade.Version = existingTrade.Version;
trade.Product = existingTrade.Product;
trade.InputUserId = existingTrade.InputUserId;
trade.InputTime = existingTrade.InputTime;
if (existingTrade.BackToBackBookId != 0)
{
trade.BackToBackBookId = existingTrade.BackToBackBookId;
trade.SetProperty(Trade.BackToBackInternalTradeId, existingTrade.GetProperty(Trade.BackToBackInternalTradeId));
}
}
else
{
trade.Id = 0; // _id--;
trade.Status = "New";
trade.Action = "Create";
}
if (info.HoldingID != null)
trade.SetProperty(SymmetryTranId, info.HoldingID);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(MurexTradeId, info.TradeID);
// set parties: entity, book, counterparty
// need to book trade under block entity
var s1 = ManagedAccountCode + ":" + info.Strategy;
var s2 = MasterFundCode + ":" + info.Strategy;
var s3 = info.Strategy;
var p1 = ManagedAccountCode;
var p2 = MasterFundCode;
var p3 = BlockEntityCode;
var entity1 = SetAndLoadParty(trade, p1, Party.Entity);
var entity2 = SetAndLoadParty(trade, p2, Party.Entity);
var entity3 = SetAndLoadParty(trade, p3, Party.Entity + ":" + Party.Block); // must be block entity
var book1 = SetAndLoadParty(trade, s1, Party.Book, entity1.Id);
var book2 = SetAndLoadParty(trade, s2, Party.Book, entity2.Id);
var book3 = SetAndLoadParty(trade, s3, Party.Book, entity3.Id, true); // book trade under book3
SetUpAllocaitonGrid(AllocName, entity3.Id, entity1.Id, info.ReportDate.AddYears(-2), 1);
if (info.Portfolio != null)
{
SetBookPortfolio(book1, info.Portfolio);
SetBookPortfolio(book2, info.Portfolio);
SetBookPortfolio(book3, info.Portfolio);
}
// set counterParty
var counterparty = Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, PartyDisplay, info.Counterparty);
if (counterparty == null)
{
if (!info.Counterparty.Equals(TradeInfo.DefaultParty))
Logger.Warn(FormatReadFileMessage("CounterParty does not exist by display name, will create or load one by code", info.Counterparty, info.HoldingID, info.TradeID, false));
SetAndLoadParty(trade, info.Counterparty, Party.CounterParty);
}
else
{
trade.PartyId = counterparty.Id;
trade.InitialPartyId = counterparty.Id;
}
var tradeDate = (info.Otc != null && !info.Otc.TradeDate.IsNull) ? info.Otc.TradeDate : info.ReportDate;
trade.TradeTime = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day);
trade.SettlementDate = info.ReportDate;
trade.Price = info.Price;
if (!double.IsNaN(info.Quantity))
trade.Quantity = info.Quantity;
else
trade.Quantity = info.Nominal1;
trade.SettleCurrency = info.Currency1;
trade.Source = Source;
trade.SourceReference = info.HoldingID;
trade.SetProperty(SourceSys, info.FileSource);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(info.FileSource + "TradeId", info.TradeID);
//Set Clearer and PrimeBroker
if (info.PrimeBroker != null)
{
var clearer = Env.Current.StaticData.GetPartyByCode(info.PrimeBroker);
if (clearer == null)
{
//Should create SSI Automatically ??
SetAndLoadParty(trade, info.PrimeBroker, Party.Clearer + ":" + Party.PrimeBroker);
}
else
{
trade.ClearerId = clearer.Id;
trade.PrimeBrokerId = clearer.Id;
}
}
/*
else if (info.Account != null)
{
var clearer = Env.Current.StaticData.GetPartyByCode(info.Account);
if (clearer == null)
{
//Should create SSI Automatically ??
SetAndLoadParty(trade, info.Account, Party.Clearer);
}
else
trade.ClearerId = clearer.Id;
}*/
return true;
}
public bool ExcludeFromMatching(Trade otTrade, DateTime dt, bool isExternalTrade)
{
if (isExternalTrade)
{
if (!(otTrade.Product is FX))
{
if (Math.Abs(otTrade.Quantity - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
else
{
var fx = otTrade.Product as FX;
if (Math.Abs(fx.PrimaryAmount - 0) < 0.5)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
if (otTrade.Product is SymmetryProduct)
{
if (((SymmetryProduct)otTrade.Product).MaturityDate <= new SimpleDate(dt))
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "Matured");
return true;
}
}
else
{
var maturity = otTrade.Product.RiskMaturity;
if (!maturity.IsNull && maturity <= new SimpleDate(dt))
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "Matured");
return true;
}
}
return false;
}
//When running the Reconciliation we need to exclude terminated Trade
//based on Termination Trade Date.
//Exclude as well Trades maturing Today
if (!otTrade.Product.IsMultiplyTraded)
{
var maturity = otTrade.Product.RiskMaturity;
if (!maturity.IsNull && maturity <= new SimpleDate(dt))
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "Matured");
return true;
}
if (ProductHelper.IsTerminated(otTrade.Product, dt))
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "Terminated");
return true;
}
if (otTrade.Product is OtcOption)
{
var mat = otTrade.Product.ContractMaturity;
if (!mat.IsNull && mat <= new SimpleDate(dt))
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "Matured");
return true;
}
}
}
if (!(otTrade.Product.IsMultiplyTraded))
{
if (otTrade.Product is FXOption)
{
var fxoption = otTrade.Product as FXOption;
var optionInfo = fxoption.OptionInfo;
if (optionInfo != null && optionInfo is DigitalInfo)
{
if ((optionInfo as DigitalInfo).SettlementAmount == 0)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
return false;
}
if (fxoption.PrimaryAmount == 0)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
if (!(otTrade.Product is FxFva) && fxoption.QuotingAmount == 0)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
/*
if (otTrade.Product is NDF)
{
var fx = otTrade.Product as NDF;
if (fx.Primary == "USD")
{
if (Math.Abs(fx.QuotingAmount - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
else if (fx.Quoting == "USD")
{
if (Math.Abs(fx.PrimaryAmount - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
else
{
if (Math.Abs(fx.PrimaryAmount - 0) < Utilities.Epsilon && Math.Abs(fx.QuotingAmount - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
}
else if (otTrade.Product is FX)
{
var fx = otTrade.Product as FX;
if (fx.Primary == "USD")
{
if (Math.Abs(fx.PrimaryAmount - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
else if (fx.Quoting == "USD")
{
if (Math.Abs(fx.QuotingAmount - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
else
{
if (Math.Abs(fx.PrimaryAmount - 0) < Utilities.Epsilon && Math.Abs(fx.QuotingAmount - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
}
*/
if (otTrade.Product is FX)
{
var fx = otTrade.Product as FX;
if (Math.Abs(fx.PrimaryAmount - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
if (otTrade.Product is Repo)
{
if (otTrade.SettlementDate > new SimpleDate(dt))
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ForwardPosition");
return true;
}
}
if (otTrade.Product is FRA)
{
if (Math.Abs(otTrade.Quantity - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
if (otTrade.Product is Swap)
{
if (Math.Abs(otTrade.Quantity - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
if (otTrade.Product is Swaption)
{
if (Math.Abs(otTrade.Quantity - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
}
}
else if (Math.Abs(otTrade.Quantity - 0) < Utilities.Epsilon)
{
otTrade.SetProperty(Reconciled, "true");
otTrade.SetProperty(ImportRef, "ZeroPosition");
return true;
}
return false;
}
public Trade FromString(string[] items, IDictionary<string, int> headers, IList<Exception> exceps, Market market, CultureInfo info, SimpleDate asOfDate)
{
var symInfo = new SymmetryInfo(items, headers, info);
//Ignore Currency
if (symInfo.SecurityType.ToLower() == "currency") return null;
//if (symInfo.Maturity <= asOfDate) return null;
//if (symInfo.SecurityType.ToLower() != "spot-forward")
{
if (Math.Abs(symInfo.CurrentDayPosition - 0) < Utilities.Epsilon) return null;
}
var trade = new Trade();
//Build Security
Product product = null;
try
{
product = GetProduct(symInfo);
}
catch (Exception x)
{
Logger.Error(x.Message);
exceps.Add(
new Exception("No Product retrieved for Security Code:" + symInfo.SecurityType + "/" +
symInfo.Security));
}
var pr = new SymmetryProduct();
if (product != null)
{
trade.PriceType = QuotationType.Price;
if (product.QuoteName != null)
trade.PriceType = product.QuoteName.QuoteType;
if (product is FX)
{
var fx = product as FX;
double dd = symInfo.CurrentDayPosition;
if (symInfo.Currency == "USD")
{
if (fx.Primary == "USD")
{
fx.PrimaryAmount = dd;
if (dd > 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
else if (fx.Quoting == "USD")
{
fx.PrimaryAmount = dd;
if (dd < 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
}
else
{
if (symInfo.Currency == fx.Quoting)
{
fx.QuotingAmount = dd;
if (dd < 0) trade.Quantity = 1;
else trade.Quantity = -1;
}
else if (symInfo.Currency == fx.Primary)
{
fx.PrimaryAmount = dd;
trade.Quantity = dd;
}
}
fx.PrimarySettleDate = symInfo.Maturity;
fx.QuotingSettleDate = symInfo.Maturity;
trade.SettlementDate = symInfo.Maturity;
pr = null;
}
else if (product is FXOption)
{
trade.SetProperty(DPEDescription, symInfo.Security);
pr = null;
}
else if (product is VolSwap)
pr = null;
else if (product.IsMultiplyTraded) pr = null;
}
if (pr != null)
{
pr.DetailQuantity = symInfo.CurrentDayPosition;
pr.DetailCurrCode = symInfo.Currency;
pr.Security = string.IsNullOrEmpty(symInfo.Security) ?
symInfo.Currency + "|" + symInfo.SecurityType + "|" + symInfo.Maturity : symInfo.Security;
pr.SecurityType = symInfo.SecurityType;
pr.MaturityDate = symInfo.Maturity;
if (pr.Security == null) pr.Security = "Unknown";
if (symInfo.SecurityType != null && symInfo.SecurityType.ToLowerInvariant().Equals("swaptions"))
{
var desc = pr.Security.Split(' ');
for (int i = 0; i < desc.Length; i++)
{
if (desc[i] == "PAY" || desc[i] == "REC")
{
var strikes = desc[i + 1];
pr.Strike = Convert.ToDouble(strikes, CultureInfo.InvariantCulture) / 100;
break;
}
}
}
if (pr.Generator != null)
trade.SetProperty("Generator", pr.Generator);
}
trade.Product = product;
if (pr != null) trade.Product = pr;
trade.SettleCurrency = symInfo.Currency;
if (!(trade.Product is FX))
{
trade.Quantity = symInfo.CurrentDayPosition;
if (trade.Product is Mbs)
{
trade.Quantity /= ((Mbs)trade.Product).GetPrincipalFactorAsOf(asOfDate, asOfDate);
}
else if (trade.Product is Bond)
{
trade.Quantity /= ((Bond)trade.Product).Nominal;
}
else if (trade.Product is VolSwap)
{
trade.Quantity /= 100;
}
}
trade.SetProperty(ImportRef, symInfo.Security);
//trade.SettleAmount = Convert.ToDouble(items[DetailLocalCost]);
//Retrieve Book
var ss = symInfo.MicroStrategy;
string bookCode;
if (Utilities.IsNullOrEmpty(ss))
{
var traderName = Env.Current.StaticData.GetAlias(new Alias
{
EntityId = 0,
AliasType = PortfolioAliasType,
Source = Source,
SourceReference = symInfo.Trader
});
if (traderName != null)
bookCode = EntityPrefix + ":" + traderName.Name + ":" + "Default";
else
bookCode = EntityPrefix + ":Default";
}
else
{
bookCode = EntityPrefix + ":" + ss;
}
var book = Env.Current.StaticData.GetPartyByCode(bookCode);
if (book != null)
{
trade.BookId = book.Id;
}
return trade;
}
internal static string GetGeneratorName(Trade trade)
{
var gname = trade.GetProperty(TradeImportHelper.GeneratorProp);
if (!string.IsNullOrEmpty(gname)) return gname;
var template = trade.GetProperty(TradeImportHelper.TemplateProp);
if (template != null)
{
var prod = trade.Product;
string aliasSource = null;
if (prod is MTMCurrencySwap || prod is CurrencySwap)
aliasSource = SwapInfo.AliasSourceCcy;
else if (prod is FRA)
aliasSource = SwapInfo.AliasSourceFra;
else if (prod is Swap)
aliasSource = SwapInfo.AliasSourceIrs;
else if (prod is Swaption)
aliasSource = SwaptionInfo.AliasSourceSwpt;
if (aliasSource != null)
{
//if (aliasSource.Equals(SwapInfo.AliasSourceIrs) || aliasSource.Equals(SwaptionInfo.AliasSourceSwpt))
{
// use ot template -> generator mapping
var alias =
new Alias
{
AliasType = "Template",
EntityId = 0,
Source = aliasSource,
SourceReference = template
};
alias = Env.Current.StaticData.GetAlias(alias);
if (alias != null)
{
trade.SetProperty("Generator", alias.Name);
return alias.Name;
}
}
/*
else
{
// use generator <- ot template mapping
var aliases = Env.Current.StaticData.GetAliasesByName(new Alias
{
AliasType = "Template",
EntityId = 0,
Source = aliasSource,
Name = template
});
if (aliases != null && aliases.Count > 0)
{
var alias = aliases[0];
trade.SetProperty("Generator", alias.SourceReference);
return alias.SourceReference;
}
}*/
}
}
return null;
}
protected void SetMatchingFlag(Trade otTrade, Trade externalTrade)
{
otTrade.SetProperty(ImportRef, externalTrade.GetProperty("ImportRef"));
otTrade.SetProperty(Reconciled, "true");
externalTrade.SetProperty(Reconciled, "true");
}
public bool Reconcile(Trade otTrade, Trade externalTrade, Market market, bool fullMatch, DateTime reconcileDate,
IList<Exception> exceps)
{
string unmatchReason = string.Empty;
var s = otTrade.GetProperty(ImportRef);
var s2 = externalTrade.GetProperty(ImportRef);
if (s != null && s2 != null)
{
if (s.Equals(s2)) return true;
}
s = otTrade.GetProperty(Reconciled);
if (s != null && s.ToLowerInvariant().Equals("true")) return false;
s2 = externalTrade.GetProperty(Reconciled);
if (s2 != null && s2.ToLowerInvariant().Equals("true")) return false;
if (externalTrade.BookId != otTrade.BookId) return false;
/*
if (externalTrade.BookId != 0)
{
if (otTrade.BookId != externalTrade.BookId)
{
if (fullMatch) return false;
else
{
var book1 = Env.Current.StaticData.GetPartyById(otTrade.BookId);
var book2 = Env.Current.StaticData.GetPartyById(externalTrade.BookId);
if (book1 != null && book2 != null)
{
var port1 = book1.GetProperty(TradeImportHelper.BookProp2);
var port2 = book2.GetProperty(TradeImportHelper.BookProp2);
if (port1 != null && port2 != null && !port1.Equals(port2))
{
return false;
}
}
unmatchReason += "Book ";
}
}
}
else
{
return false;
}*/
#region symmetryProduct
var ifsproduct = externalTrade.Product as SymmetryProduct;
if (ifsproduct != null)
{
if (ifsproduct.SecurityType.ToLowerInvariant() == "currency swaps")
{
if (otTrade.Product is MTMCurrencySwap)
{
//Check Generator
var generator = GetGeneratorName(otTrade);
if (generator == null) return false;
if (!ifsproduct.Security.StartsWith(generator)) return false;
if (!ifsproduct.Generator.Equals(generator.Trim())) return false;
if (otTrade.Product.ContractMaturity != ifsproduct.ContractMaturity)
{
var sd = otTrade.Product.ContractMaturity;
var sw = otTrade.Product as MTMCurrencySwap;
var paymentP = CalendarHelper.Get(sw.PayLeg.PaymentMarketPlaces);
if (!sd.IsBusinessDay(paymentP))
{
sd = sd.NextBusinessDay(paymentP);
if (sd != ifsproduct.ContractMaturity) return false;
}
else return false;
}
if (externalTrade.Product.Currency == "USD")
{
//The Nominal may be in the other currency
var swap = otTrade.Product as MTMCurrencySwap;
if (swap.PayLeg.NotionalCurrency == "USD")
{
if (Math.Abs(externalTrade.Quantity - swap.ReceiveLeg.Notional) < Utilities.Epsilon)
{
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "RecLegNotional ";
}
else
{
if (Math.Abs(externalTrade.Quantity - swap.PayLeg.Notional) < Utilities.Epsilon)
{
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "PayLegNotional ";
}
}
if (externalTrade.Product.Currency == otTrade.SettleCurrency)
{
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) > Utilities.Epsilon)
{
if (fullMatch) return false;
else unmatchReason += "Notional ";
}
}
else
{
if (Math.Abs(externalTrade.Quantity - otTrade.SettleAmount) > Utilities.Epsilon)
{
if (fullMatch) return false;
else unmatchReason += "Notional ";
}
}
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
else
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
if (otTrade.Product is CurrencySwap)
{
//Check Generator
var generator = GetGeneratorName(otTrade);
if (generator == null) return false;
if (!ifsproduct.Security.StartsWith(generator)) return false;
if (!ifsproduct.Generator.Equals(generator.Trim())) return false;
if (otTrade.Product.ContractMaturity != ifsproduct.ContractMaturity)
{
var sd = otTrade.Product.ContractMaturity;
var sw = otTrade.Product as CurrencySwap;
var paymentP = CalendarHelper.Get(sw.PayLeg.PaymentMarketPlaces);
if (!sd.IsBusinessDay(paymentP))
{
sd = sd.NextBusinessDay(paymentP);
if (sd != ifsproduct.ContractMaturity) return false;
}
else return false;
}
//The Nominal may be in the other currency
var swap = otTrade.Product as CurrencySwap;
if (Math.Abs(externalTrade.Quantity - swap.ReceiveLeg.Notional) < Utilities.Epsilon)
{
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "RecLegNotional ";
if (Math.Abs(externalTrade.Quantity - swap.PayLeg.Notional) < Utilities.Epsilon)
{
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "PayLegNotional ";
if (!fullMatch)
{
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
}
return false;
}
if (ifsproduct.SecurityType.ToLowerInvariant() == "interest rate swaps")
{
if (otTrade.Product is Swap)
{
var ccy = otTrade.Product.Currency;
if (otTrade.Product is NDS)
{
ccy = (otTrade.Product as NDS).NonDeliverableCurrency;
}
if (ccy != ifsproduct.Currency) return false;
var generator = GetGeneratorName(otTrade);
if (generator == null) return false;
var isBasisSwap = generator.ToLower().Contains("basis");
if (!ifsproduct.Security.StartsWith(generator)) return false;
if (!ifsproduct.Generator.Equals(generator.Trim())) return false;
if (otTrade.Product.ContractMaturity != ifsproduct.ContractMaturity)
{
var sd = otTrade.Product.ContractMaturity;
var sw = otTrade.Product as Swap;
var paymentP = CalendarHelper.Get(sw.PayLeg.PaymentMarketPlaces);
if (!sd.IsBusinessDay(paymentP))
{
sd = sd.NextBusinessDay(paymentP);
if (sd != ifsproduct.ContractMaturity) return false;
}
else return false;
}
// for basis swap, we don't have the side infomation, so can only compare the abs value
var notionalDiff = isBasisSwap ? Math.Abs(externalTrade.Quantity) - Math.Abs(otTrade.Quantity)
: externalTrade.Quantity - otTrade.Quantity;
if (Math.Abs(notionalDiff) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "Notional ";
}
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
else
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
return false;
}
if (ifsproduct.SecurityType.ToLowerInvariant() == "swaptions")
{
if (otTrade.Product is Swaption)
{
var ccy = otTrade.Product.Currency;
var swaption = otTrade.Product as Swaption;
if (ccy != ifsproduct.Currency) return false;
if (otTrade.Product.ContractMaturity != ifsproduct.ContractMaturity) return false;
//Check Generator
var generator = GetGeneratorName(otTrade);
if (generator == null) return false;
if (!ifsproduct.Security.StartsWith(generator)) return false;
if (!ifsproduct.Generator.Equals(generator.Trim())) return false;
if (Math.Abs(ifsproduct.Strike - swaption.OptionStrike) > Utilities.Epsilon) return false;
if (swaption.OptionType == OptionType.Put)
{
// PAY
if (!ifsproduct.Security.Contains("PAY")) return false;
}
else if (swaption.OptionType == OptionType.Call)
{
//REC
if (!ifsproduct.Security.Contains("REC")) return false;
}
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "Notional ";
}
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
else otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
return false;
}
if (ifsproduct.SecurityType.ToLowerInvariant() == "fras")
{
if (otTrade.Product is FRA)
{
var ccy = otTrade.Product.Currency;
if (ccy != ifsproduct.Currency) return false;
var fra = otTrade.Product as FRA;
if (fra.StartDate != ifsproduct.ContractMaturity) return false;
//Check Generator
var generator = GetGeneratorName(otTrade);
if (generator == null) return false;
if (!ifsproduct.Security.StartsWith(generator)) return false;
if (!ifsproduct.Generator.Equals(generator.Trim())) return false;
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) > Utilities.Epsilon)
{
if (fullMatch) return false;
else unmatchReason += "Notional ";
}
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
else otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
return false;
}
return false;
}
#endregion symemtryProduct
#region fx
var fxifs = externalTrade.Product as FX;
if (fxifs != null)
{
if (otTrade.Product is FX)
{
if (otTrade.SettlementDate != externalTrade.SettlementDate) return false;
var fx = otTrade.Product as FX;
if (!fx.CurrencyPair.Equals(fxifs.CurrencyPair)) return false;
if (Math.Abs(fxifs.PrimaryAmount - 0) > Utilities.Epsilon)
{
if (Math.Abs(fx.PrimaryAmount - fxifs.PrimaryAmount) < 1)
{
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "PrimaryAmount ";
}
else if (Math.Abs(fxifs.QuotingAmount - 0) > Utilities.Epsilon)
{
if (Math.Abs(fx.QuotingAmount - fxifs.QuotingAmount) < 1)
{
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "QuotingAmount ";
}
else
{
if (Math.Abs(fxifs.QuotingAmount - 0) < Utilities.Epsilon && Math.Abs(fxifs.PrimaryAmount - 0) < Utilities.Epsilon)
{
if (Math.Abs(fx.PrimaryAmount - 0) < Utilities.Epsilon || Math.Abs(fx.QuotingAmount - 0) < Utilities.Epsilon)
{
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "PrimaryAmount QuotingAmount ";
}
}
if (!fullMatch)
{
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
return false;
}
return false;
}
#endregion fx
#region listed
var fut = externalTrade.Product as Future;
if (fut != null)
{
if (otTrade.Product is Future)
{
var otfut = otTrade.Product as Future;
if (otfut.Id != fut.Id) return false;
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) < 1)
{
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "Quantity ";
if (!fullMatch)
{
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
}
return false;
}
var equ = externalTrade.Product as Equity;
if (equ != null)
{
if (otTrade.Product is Equity)
{
var otfut = otTrade.Product as Equity;
if (otfut.Id != equ.Id) return false;
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) < 1)
{
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "Quantity ";
if (!fullMatch)
{
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
}
return false;
}
var bond = externalTrade.Product as Bond;
if (bond != null)
{
if (otTrade.Product is Mbs)
{
var otfut = otTrade.Product as Mbs;
if (otfut.Id != bond.Id) return false;
//double dd = otfut.GetPrincipalFactorAsOf(new SimpleDate(reconcileDate),
// new SimpleDate(reconcileDate));
//if (Math.Abs(externalTrade.Quantity - otTrade.Quantity * dd) < 1)
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) < 0.1)
{
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "Quantity ";
if (!fullMatch)
{
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
return false;
}
if (otTrade.Product is Bond)
{
var otfut = otTrade.Product as Bond;
if (otfut.Id != bond.Id) return false;
//if (Math.Abs(externalTrade.Quantity - otTrade.Quantity * otTrade.Product.Nominal) < 1)
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) < 0.1)
{
SetMatchingFlag(otTrade, externalTrade);
return true;
}
unmatchReason += "Quantity ";
if (!fullMatch)
{
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
}
return false;
}
#endregion listed
#region fxOption
var extfxoption = externalTrade.Product as FXOption;
if (extfxoption != null)
{
var fxoption = otTrade.Product as FXOption;
if (fxoption == null) return false;
var extDpeDesc = externalTrade.GetProperty(DPEDescription);
var dpeDesc = otTrade.GetProperty(DPEDescription);
bool descMatched = false;
if (extDpeDesc != null && dpeDesc != null && extDpeDesc.Trim().Equals(dpeDesc.Trim()))
descMatched = true;
var oinfo = fxoption.OptionInfo;
if (fxoption is FxFva)
{
if (!(extfxoption is FxFva)) return false;
var fva = fxoption as FxFva;
var extFva = extfxoption as FxFva;
if (!descMatched)
{
if (!extfxoption.CurrencyPair.Equals(fxoption.CurrencyPair)) return false;
if (extfxoption.IsBuy != fxoption.IsBuy) return false;
if (fva.FvaExpiryDate != extFva.FvaExpiryDate) return false;
}
if (Math.Abs(fva.PrimaryAmount - extFva.PrimaryAmount) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "PrimaryAmount ";
}
}
else
{
if (descMatched)
{
if (Math.Abs(extfxoption.PrimaryAmount - fxoption.PrimaryAmount) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "PrimaryAmount ";
}
}
else
{
if (extfxoption.ExerciseType != fxoption.ExerciseType)
{
if (fxoption.ExerciseType == OptionExerciseType.Digital && extfxoption.ExerciseType == OptionExerciseType.European)
{
// tolerate this diff, external is booked as vanilla for digital
}
else
return false;
}
if (!extfxoption.CurrencyPair.Equals(fxoption.CurrencyPair)) return false;
if (extfxoption.IsBuy != fxoption.IsBuy) return false;
if (extfxoption.ExpiryDate != fxoption.ExpiryDate) return false;
if (fxoption.ExerciseType == OptionExerciseType.Digital ||
fxoption.ExerciseType == OptionExerciseType.European || fxoption.ExerciseType == OptionExerciseType.Barrier)
{
if (extfxoption.OptionType != fxoption.OptionType) return false;
if (Math.Abs(extfxoption.PrimaryAmount - fxoption.PrimaryAmount) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "PrimaryAmount ";
}
//if (Math.Abs(extfxoption.QuotingAmount - fxoption.QuotingAmount) > Utilities.Epsilon)
//{
// if (fullMatch) return false;
// unmatchReason += "QuotingAmount ";
//}
if (Math.Abs(extfxoption.OptionStrike - fxoption.OptionStrike) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "Strike ";
}
if (fxoption.ExerciseType == OptionExerciseType.Barrier)
{
var binfo1 = fxoption.OptionInfo as BarrierInfo;
var binfo2 = extfxoption.OptionInfo as BarrierInfo;
if (Math.Abs(binfo1.BarrierStrike - binfo2.BarrierStrike) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "UpperBarrier ";
}
if (Math.Abs(binfo1.LowerBarrierStrike - binfo2.LowerBarrierStrike) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "LowerBarrier ";
}
}
}
else if (fxoption.ExerciseType == OptionExerciseType.Touch)
{
var binfo1 = fxoption.OptionInfo as DigitalInfo;
var binfo2 = extfxoption.OptionInfo as DigitalInfo;
if (Math.Abs(binfo1.BarrierStrike - binfo2.BarrierStrike) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "UpperBarrier ";
}
if (Math.Abs(binfo1.LowerBarrierStrike - binfo2.LowerBarrierStrike) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "LowerBarrier ";
}
if (Math.Abs(extfxoption.PrimaryAmount - fxoption.PrimaryAmount) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "PrimaryAmount ";
}
}
}
}
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
else
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
#endregion fxOption
#region volswap
var extvolswap = externalTrade.Product as VolSwap;
if (extvolswap != null)
{
var volswap = otTrade.Product as VolSwap;
if (volswap == null) return false;
if (volswap.ContractMaturity != extvolswap.ContractMaturity) return false;
if (volswap.UnderlierId != extvolswap.UnderlierId) return false;
if (volswap.PaymentCurrency != extvolswap.PaymentCurrency) return false;
if (Math.Abs(externalTrade.Quantity - otTrade.Quantity) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "Notional ";
}
if (Math.Abs(volswap.Strike - extvolswap.Strike) > Utilities.Epsilon)
{
if (fullMatch) return false;
unmatchReason += "Strike ";
}
if (fullMatch)
SetMatchingFlag(otTrade, externalTrade);
else
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
#endregion volswap
return false;
}
protected Trade FromString(MurexInfo info, IList<Exception> exceps)
{
var trade = new Trade();
trade.TradingDay = info.TradeDate;
trade.Description = info.SecurityType;
trade.Status = info.Status;
trade.Accrual = info.AccruedInterest;
if (info.Strategy != null)
{
var strategy = info.Strategy;
if (info.Strategy.Equals(TradeInfo.DefaultStrategy) && info.Portfolio != null)
{
strategy = info.Portfolio + ":" + info.Strategy;
}
var book = Env.Current.StaticData.GetPartyByCode(EntityPrefix + ":" + strategy);
if (book != null)
trade.BookId = book.Id;
}
if (info.Counterparty != null || info.CounterpartyCode != null)
{
var party = Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, TradeImportHelper.PartyDisplay, info.Counterparty)
?? Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, TradeImportHelper.PartyMlpCode, info.CounterpartyCode);
if (party != null)
trade.InitialPartyId = party.Id;
}
if (info.PBAccount != null)
{
trade.SetProperty(MurexInfo.AccountProp, info.PBAccount);
var pbname = Alias.PartyFromAlias(0, "Murex", info.PBAccount);
if (pbname != null)
{
var pb = Env.Current.StaticData.GetPartyByCode(pbname);
if (pb != null)
trade.PrimeBrokerId = pb.Id;
}
//}
}
if (info.ClearingHouse != null)
{
var ccp = Env.Current.StaticData.GetPartyByCode(info.ClearingHouse + TradeInfo.ClearingHouseTag);
if (ccp == null)
{
var ccpName = Alias.PartyFromAlias(0, "Murex", info.ClearingHouse);
if (ccpName != null)
{
ccp = Env.Current.StaticData.GetPartyByCode(ccpName);
}
}
if (ccp != null)
trade.CcpId = ccp.Id;
}
if (info.TradeId != null && !info.TradeId.Equals("0") && info.IsOtc)
trade.SetProperty(TradeImportHelper.MurexTradeId, info.TradeId);
if (info.IsListedOption)
trade.Product = info.GetProduct(GetContracts(true), Logger);
else if (info.IsFuture)
trade.Product = info.GetProduct(GetContracts(false), Logger);
else
trade.Product = info.GetProduct(null, Logger);
if (trade.Product is MurexProduct)
{
trade.SetProperty(TradeImportHelper.GeneratorProp, ((MurexProduct)trade.Product).Generator);
}
if (!double.IsNaN(info.UpFrontAmount))
trade.SettleAmount = info.UpFrontAmount;
if (info.SecurityType.Equals(FxInfo.SpotForward) && trade.Product is FX)
{
var fx = trade.Product as FX;
if (info.BuySell.Equals("S"))
{
if (fx.Primary == info.QuotingCcy)
{
trade.Quantity = fx.PrimaryAmount;
trade.SettleAmount = -fx.QuotingAmount;
}
else
{
trade.Quantity = -fx.PrimaryAmount;
trade.SettleAmount = fx.QuotingAmount;
}
}
else
{
if (fx.Primary == info.QuotingCcy)
{
trade.Quantity = -fx.PrimaryAmount;
trade.SettleAmount = fx.QuotingAmount;
}
else
{
trade.Quantity = fx.PrimaryAmount;
trade.SettleAmount = -fx.QuotingAmount;
}
}
}
else
{
if (!info.IsOtc)
{
trade.Quantity = info.Nominal1;
if (trade.Product is Bond)
{
var bond = trade.Product as Bond;
trade.Quantity = info.Nominal1 / bond.Nominal;
}
}
else
{
trade.Quantity = info.BuySell.Equals("B") ? 1 : -1;
trade.SetProperty(TradeImportHelper.GeneratorProp, info.Instrument);
}
}
var price = Math.Abs(info.Price);
if (trade.Product is Future)
{
trade.PriceType = ((Future)trade.Product).Contract.Quotation;
}
else if (trade.Product is Bond)
{
trade.PriceType = ((Bond)trade.Product).QuotationType;
}
if (trade.PriceType != QuotationType.None && Utilities.IsPercentageQuotation(trade.PriceType))
price /= 100;
trade.Price = price;
return trade;
}
public override bool Reconcile(Trade otTrade, Trade externalTrade, Market market, bool fullMatch, DateTime reconciliationDate, IList<Exception> exceps)
{
var ref1 = otTrade.GetProperty(ReconcileTaskExecutor.Reconciled);
if (ref1 != null && ref1.ToLowerInvariant().Equals("true")) return false;
var ref2 = externalTrade.GetProperty(ReconcileTaskExecutor.Reconciled);
if (ref2 != null && ref2.ToLowerInvariant().Equals("true")) return false;
if (!(otTrade.Product.GetType() == externalTrade.Product.GetType())) return false;
if (otTrade.PrimeBrokerId != externalTrade.PrimeBrokerId &&
otTrade.ClearerId != externalTrade.ClearerId) return false;
if (externalTrade.BookId != otTrade.BookId) return false;
if (externalTrade.PartyId != otTrade.PartyId) return false;
if (Math.Abs(otTrade.Price - externalTrade.Price) > Utilities.Epsilon) return false;
var fut1 = otTrade.Product as Future;
var fut2 = externalTrade.Product as Future;
if (fut1 != null && fut2 != null)
{
var ticker1 = fut1.Ticker;
var ticker2 = fut2.Ticker;
if (!string.IsNullOrEmpty(ticker1) && !string.IsNullOrEmpty(ticker2))
{
if (!ticker1.Equals(ticker2)) return false;
}
}
if ((otTrade.Quantity > 0 && externalTrade.Quantity < 0) ||
(otTrade.Quantity < 0 && externalTrade.Quantity > 0)) return false;
var tradedate1 = new SimpleDate(otTrade.TradeTime);
var tradedate2 = new SimpleDate(externalTrade.TradeTime);
if (tradedate1 != tradedate2 && otTrade.TradingDay != tradedate2) return false;
if (fullMatch)
{
if (Math.Abs(otTrade.Quantity - externalTrade.Quantity) > Utilities.Epsilon) return false;
if (!CompareFees(otTrade, externalTrade)) return false;
}
otTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
externalTrade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
return true;
}
public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var trades = new List<Trade>();
var dict = new Dictionary<TradeInfo, Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (FilterInfo(info)) continue;
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Currency1)) continue;
if (info.Otc == null || !(info.Otc is SwaptionInfo) || info.Otc.IsEmpty())
{
sb.Append(TradeImportHelper.FormatErrorMessage("Swaption info not found or not complete", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
var alias =
Env.Current.StaticData.GetAlias(new Alias
{
AliasType = "Template",
EntityId = 0,
Source = SwaptionInfo.AliasSourceSwpt,
SourceReference = info.Instrument
});
if (alias != null)
{
var sinfo = info.Otc as SwapInfo;
sinfo.Generator = Env.Current.StaticData.GetTemplate(Template.Shared, "Swaption", alias.Name);
if (sinfo.Generator == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Generator Template for Swaption " + alias.Name + " not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
}
else
{
sb.Append(TradeImportHelper.FormatErrorMessage("Alias for Generator not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null && count % 5 == 0) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
var swInfo = info.Otc as SwaptionInfo;
try
{
var copy = trade.Id > 0 ? (Trade)trade.Clone() : null;
if (swInfo.Generator != null)
{
var tradeType = trade.TradeType;
swInfo.Generator.Apply(trade, new SimpleDate(swInfo.TradeDate), market);
trade.TradeType = tradeType;
}
if (trade.Product == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("No product generated after applying Generator", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (copy != null)
{
TradeImportHelper.CopyTrade(copy, trade);
trade.MirrorBookId = copy.MirrorBookId;
trade.MirrorTradeId = copy.MirrorTradeId;
}
TradeImportHelper.SetParties(trade, info);
var swaption = (Swaption)trade.Product;
trade.SettlementDate = swInfo.SettleDate;
swaption.ExpiryDate = swInfo.OptionMaturity;
swaption.ExerciseType= info.OptionStyle.Equals("E") ? OptionExerciseType.European : OptionExerciseType.American;
swaption.ExerciseSettlement = swInfo.SettlementType;
swaption.IsBuy = info.TradeAction.Equals("B");
swaption.InitialPremiumPayReceive = swaption.IsBuy ? PayReceive.Pay : PayReceive.Receive;
swaption.InitialPremiumAmount = Math.Abs(swInfo.FeeAmount);
swaption.InitialPremiumCurrency = swInfo.FeeCurrency;
swaption.InitialPremiumDate = swInfo.SettleDate;
if (swInfo.SettleDate >= swInfo.OptionMaturity)
swaption.FirstPremium.IsForwardStart = true;
var swap = swaption.Swap;
// Assuming trade action tells direction of underlying swap (probably putcall)
if (info.PutCall.Equals("C") && swap.ReceiveLeg.IsFixedRate)
swap.SwitchLegs();
else if (info.PutCall.Equals("P") && !swap.ReceiveLeg.IsFixedRate)
swap.SwitchLegs();
var fixedLeg = swap.PayLeg.IsFixedRate ? swap.PayLeg : swap.ReceiveLeg;
var floatLeg = swap.PayLeg.IsFixedRate ? swap.ReceiveLeg : swap.PayLeg;
InitLegs(swap.PayLeg, swap.ReceiveLeg, info);
if (trade.CcpId != 0)
{
//Nothing to do let the EventScheduleHelper insert the StepIn
}
else
{
if (fixedLeg.StartDate < trade.GetTradingDay())
{
fixedLeg.FirstFullCalculationPeriod = true;
fixedLeg.FirstCalculationPeriodStart = fixedLeg.StartDate;
floatLeg.FirstFullCalculationPeriod = true;
floatLeg.FirstCalculationPeriodStart = floatLeg.StartDate;
fixedLeg.StartDate = trade.GetTradingDay();
floatLeg.StartDate = fixedLeg.StartDate;
}
}
if (swInfo.Generator != null)
swInfo.Generator.Provider.FillTrade(trade, market);
if (swInfo.Generator != null)
trade.SetProperty("TemplateName", swInfo.Generator.Name);
trade.SetProperty(TradeImportHelper.GeneratorProp, info.Instrument);
//Add UpFront Fee
/*
if (Math.Abs(info.PremiumAmount) > Utilities.Epsilon)
{
var fee = new Fee
{
Date = swInfo.SettleDate,
FeeType = FeeType.Upfront,
PartyId = trade.PartyId,
Currency = trade.Product.Currency,
Amount = Math.Abs(info.PremiumAmount),
PayReceive = info.PremiumAmount < 0 ? PayReceive.Pay : PayReceive.Receive
};
if (trade.Fees == null) trade.Fees = new List<Fee>();
trade.Fees.Add(fee);
}*/
trades.Add(trade);
}
catch (Exception x)
{
Logger.Error("Import Swaption", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.HoldingID, info.TradeID, info.Instrument));
}
}
sb.Append("Imported " + trades.Count + " Swaptions\n");
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
return trades;
}
protected void SetImporterProperty(Trade trade)
{
trade.SetProperty("TradeSource", "SymmetryImporter");
}
public override bool Reconcile(Trade otTrade, Trade externalTrade, Market market, bool fullMatch, DateTime reconciliationDate, IList<Exception> exceps)
{
var date = new SimpleDate(reconciliationDate);
var time = reconciliationDate;
if (externalTrade.Status.Equals(MurexInfo.StateDead)) return false;
string unmatchReason = string.Empty;
bool sameRef = false;
var otTid = otTrade.GetProperty(TradeImportHelper.MurexTradeId);
var extTid = externalTrade.GetProperty(TradeImportHelper.MurexTradeId);
externalTrade.SetProperty(ReconcileTaskExecutor.ImportRef, extTid);
if (otTid != null && extTid != null)
{
if (!otTid.Equals(extTid, StringComparison.Ordinal)) return false;
else sameRef = !fullMatch; // if not in fullMatch mode, turn on sameRef flag
}
if (otTrade.BookId != externalTrade.BookId)
{
if (fullMatch) return false;
else
{
var book1 = Env.Current.StaticData.GetPartyById(otTrade.BookId);
var book2 = Env.Current.StaticData.GetPartyById(externalTrade.BookId);
if (book1 != null && book2 != null)
{
var port1 = book1.GetProperty(TradeImportHelper.BookProp2);
var port2 = book2.GetProperty(TradeImportHelper.BookProp2);
if (port1 != null && port2 != null && !port1.Equals(port2))
{
return false;
}
}
unmatchReason += "Book ";
}
}
if (externalTrade.Product is MurexProduct)
{
var murex = externalTrade.Product as MurexProduct;
var ot = otTrade.Product;
var generator = SymmetryPositionReconciler.GetGeneratorName(otTrade);
if (!CompareParties(otTrade, externalTrade, fullMatch, ref unmatchReason) && fullMatch) return false;
if (!ot.ProcessingType.Equals(murex.ProductProcessingType))
{
if ((ot.ProcessingType.Equals("Swap") && murex.ProductProcessingType.Equals("NDS")) ||
(ot.ProcessingType.Equals("NDS") && murex.ProductProcessingType.Equals("Swap")))
{
if (fullMatch) return false;
else unmatchReason += "Swap/NDS ";
}
else return false;
}
if (otTrade.TradingDay != externalTrade.TradingDay)
{
if (!sameRef) return false;
else unmatchReason += "TradeDate ";
}
if (generator == null || murex.Generator == null || !generator.Equals(murex.Generator))
{
if (!sameRef) return false;
else if (!unmatchReason.Contains("Swap/NDS")) unmatchReason += "Template ";
}
#region swap
if (ot is Swap)
{
// can be irs, currency swap or mtm currency swap
var swap = ot as Swap;
var payLeg = swap.PayLeg;
var recLeg = swap.ReceiveLeg;
Leg leg1, leg2; // 1 and 2 in import file
if ((payLeg.IsFixedRate && !recLeg.IsFixedRate) ||
(!payLeg.IsFixedRate && recLeg.IsFixedRate))
{
// fixed-float: leg1 is fixed, leg2 is float
if (payLeg.IsFixedRate)
{
if (!externalTrade.BuySell.Equals(BuySell.Sell.ToString()))
{
if (!sameRef) return false;
else unmatchReason += "Direction ";
}
leg1 = payLeg;
leg2 = recLeg;
}
else
{
if (externalTrade.BuySell.Equals(BuySell.Sell.ToString()))
{
if (!sameRef) return false;
else unmatchReason += "Direction ";
}
leg1 = recLeg;
leg2 = payLeg;
}
if (!CompareLegs(leg1, leg2, murex, false, fullMatch, sameRef, ref unmatchReason, reconciliationDate) && fullMatch) return false;
}
else if (!payLeg.IsFixedRate && !recLeg.IsFixedRate)
{
// float-float: buy/sell = rec/pay is on leg1
if (externalTrade.Quantity > 0)
{
leg1 = recLeg;
leg2 = payLeg;
}
else
{
leg1 = payLeg;
leg2 = recLeg;
}
if (!CompareLegs(leg1, leg2, murex, true, fullMatch, sameRef, ref unmatchReason, reconciliationDate) && fullMatch) return false;
}
if (!CompareFees(otTrade, murex))
{
if (fullMatch) return false;
else unmatchReason += "UpfrontFee ";
}
}
#endregion swap
#region fra
else if (ot is FRA)
{
var fra = ot as FRA;
if (otTrade.BuySell != externalTrade.BuySell)
{
if (!sameRef) return false;
else unmatchReason += "BuySell ";
}
if (fra.StartDate != murex.EffectiveDate)
{
if (!sameRef) return false;
else unmatchReason += "StartDate ";
}
if (fra.EndDate != murex.EndDate)
{
if (!sameRef) return false;
else unmatchReason += "EndDate ";
}
if (Math.Abs(fra.FixedRate - murex.FixedRate) > _rateTolerance)
{
if (fullMatch) return false;
else unmatchReason += "FixedRate ";
}
if (Math.Abs(fra.CurrentNominal(date, time, false) - murex.Nominal1) > _qtyTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Nominal ";
}
if (!CompareFees(otTrade, murex))
{
if (fullMatch) return false;
else unmatchReason += "UpfrontFee ";
}
}
#endregion fra
#region swaption
else if (ot is Swaption)
{
var spt = ot as Swaption;
if (otTrade.SettlementDate != murex.EffectiveDate)
{
if (!sameRef) return false;
else unmatchReason += "SettleDate ";
}
if (spt.ExpiryDate != murex.EndDate)
{
if (!sameRef) return false;
else unmatchReason += "ExpiryDate ";
}
if (murex.ExerciseSettlement != ExerciseSettlement.None
&& spt.ExerciseSettlement != murex.ExerciseSettlement)
{
if (!sameRef) return false;
else unmatchReason += "SettlementType ";
}
if (spt.ExerciseType != murex.ExerciseType)
{
if (!sameRef) return false;
else unmatchReason += "ExerciseType ";
}
if (!otTrade.BuySell.Equals(externalTrade.BuySell))
{
if (!sameRef) return false;
else unmatchReason += "BuySell ";
}
{
var premiumMatch = true;
if (Math.Abs(spt.InitialPremiumAmount - Math.Abs(murex.UpFrontAmount)) > _qtyTolerance) premiumMatch = false;
if ((spt.InitialPremiumCurrency != null && murex.UpFrontCcy == null) || (spt.InitialPremiumCurrency == null && murex.UpFrontCcy != null) ||
(spt.InitialPremiumCurrency != null && murex.UpFrontCcy != null && spt.InitialPremiumCurrency != murex.UpFrontCcy))
premiumMatch = false;
if (spt.InitialPremiumDate != murex.UpFrontDate)
premiumMatch = false;
if (!premiumMatch)
{
if (fullMatch) return false;
else unmatchReason += "Premium ";
}
}
// call= payleg is fixed, put = recleg is fixed
var payLeg = spt.Swap.PayLeg;
var recLeg = spt.Swap.ReceiveLeg;
double fixedRate;
if (murex.CallPut == OptionType.Call)
{
if (!payLeg.IsFixedRate)
{
if (!sameRef) return false;
else unmatchReason += "PutCall ";
}
fixedRate = payLeg.FixedRate;
}
else if (murex.CallPut == OptionType.Put)
{
if (!recLeg.IsFixedRate)
{
if (!sameRef) return false;
else unmatchReason += "PutCall ";
}
fixedRate = recLeg.FixedRate;
}
else return false;
if (Math.Abs(payLeg.CurrentNominal(date, time, false) - murex.Nominal1) > _qtyTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Nominal ";
}
if (Math.Abs(fixedRate - murex.FixedRate) > _rateTolerance)
{
if (fullMatch) return false;
else unmatchReason += "FixedRate ";
}
if (payLeg.NotionalCurrency != murex.Currency1)
{
if (!sameRef) return false;
else unmatchReason += "Currency ";
}
if (payLeg.StartDate != murex.SwapStartDate
&& payLeg.FirstCalculationPeriodStart != murex.SwapStartDate)
{
if (!sameRef) return false;
else unmatchReason += "SwapStartDate ";
}
if (payLeg.EndDate != murex.SwapEndDate)
{
if (!sameRef) return false;
else unmatchReason += "SwapEndDate ";
}
}
#endregion swaption
else
{
// do not support other type
return false;
}
otTrade.SetProperty(ReconcileTaskExecutor.ImportRef, extTid);
if (!fullMatch && unmatchReason.Length > 0)
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
else if (externalTrade.Product is GenericProduct)
{
// no product found in ot
return false;
}
else
{
if (externalTrade.Product.GetType() != otTrade.Product.GetType())
{
if (IsLumpFxNdf() && otTrade.Product is FX && externalTrade.Product is FX)
{
// lump them together
}
else return false;
}
#region listed
if (externalTrade.Product.IsMultiplyTraded)
{
if (otTrade.Product.Id != externalTrade.Product.Id) return false;
{
if (Math.Abs(otTrade.Quantity - externalTrade.Quantity) > _qtyTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Quantity ";
}
if (!ComparePrice(otTrade, externalTrade))
{
if (fullMatch) return false;
else unmatchReason += "Price ";
}
}
}
#endregion listed
#region fx
else if (otTrade.Product is FX)
{
var fx1 = otTrade.Product as FX;
var fx2 = externalTrade.Product as FX;
if (!otTrade.BuySell.Equals(externalTrade.BuySell)) return false;
if (!fx1.Primary.Equals(fx2.Primary)) return false;
if (!fx1.Quoting.Equals(fx2.Quoting)) return false;
{
if (Math.Abs(fx1.PrimaryAmount - fx2.PrimaryAmount) > _amountTolerance)
{
if (fullMatch) return false;
else unmatchReason += "PrimaryAmount ";
}
if (Math.Abs(fx1.QuotingAmount - fx2.QuotingAmount) > _amountTolerance)
{
if (fullMatch) return false;
else unmatchReason += "QuotingAmount ";
}
}
if (!IsLumpFxNdf())
{
if (otTrade.Product is NDF)
{
var ndf1 = fx1 as NDF;
var ndf2 = fx2 as NDF;
if (ndf1.FXFixingName != null && ndf1.FXFixingName != ndf2.FXFixingName) return false;
if (ndf1.NonDeliverableCurrency != null && ndf1.NonDeliverableCurrency != ndf2.NonDeliverableCurrency) return false;
if (!ndf1.FXFixingDate.IsNull && !ndf2.FXFixingDate.IsNull && ndf1.FXFixingDate != ndf2.FXFixingDate) return false;
if (ndf1.FixingValue != 0 && ndf2.FixingValue != 0 && Math.Abs(ndf1.FixingValue - ndf2.FixingValue) > _priceTolerance)
{
if (fullMatch) return false;
else unmatchReason += "FixingValue ";
}
}
}
}
#endregion fx
#region fxoption
else if (otTrade.Product is FXOption)
{
if (!CompareParties(otTrade, externalTrade, fullMatch, ref unmatchReason) && fullMatch) return false;
var fxo1 = otTrade.Product as FXOption;
var fxo2 = externalTrade.Product as FXOption;
if (fxo1.IsBuy != fxo2.IsBuy)
{
if (!sameRef) return false;
else unmatchReason += "BuySell ";
}
if (fxo1.Primary != fxo2.Primary)
{
if (!sameRef) return false;
else unmatchReason += "PrimaryCcy ";
}
if (fxo1.Quoting != fxo2.Quoting)
{
if (!sameRef) return false;
else unmatchReason += "QuotingCcy ";
}
if (otTrade.TradingDay != externalTrade.TradingDay)
{
if (!sameRef) return false;
else unmatchReason += "TradeDate ";
}
if (fxo1.OptionType != fxo2.OptionType)
{
if (!sameRef) return false;
else unmatchReason += "PutCall ";
}
if (fxo1.ExerciseSettlement != fxo2.ExerciseSettlement)
{
if (!sameRef) return false;
else unmatchReason += "SettlementType ";
}
if (fxo1.ExerciseType != fxo2.ExerciseType)
{
if (!sameRef) return false;
else unmatchReason += "ExerciseType ";
}
if (fxo1.ExerciseSettlement == ExerciseSettlement.Cash && fxo1.SettleCurrency != fxo2.SettleCurrency)
{
if (!sameRef) return false;
else unmatchReason += "SettleCurrency ";
}
if (fxo1.ExpiryDate != fxo2.ExpiryDate)
{
if (!sameRef) return false;
else unmatchReason += "ExpiryDate ";
}
if (Math.Abs(fxo1.PrimaryAmount - fxo2.PrimaryAmount) > _amountTolerance)
{
if (fullMatch) return false;
else unmatchReason += "PrimaryAmount ";
}
if (Math.Abs(fxo1.QuotingAmount - fxo2.QuotingAmount) > _amountTolerance)
{
if (fullMatch) return false;
else unmatchReason += "QuotingAmount ";
}
if (Math.Abs(fxo1.OptionStrike - fxo2.OptionStrike) > _priceTolerance)
{
if (fullMatch) return false;
else unmatchReason += "Strike ";
}
var premiumMatch = true;
if (Math.Abs(fxo1.InitialPremiumAmount - fxo2.InitialPremiumAmount) > _amountTolerance) premiumMatch = false;
if (fxo1.InitialPremiumCurrency != null && fxo2.InitialPremiumCurrency == null) premiumMatch = false;
if (fxo1.InitialPremiumCurrency == null && fxo2.InitialPremiumCurrency != null) premiumMatch = false;
if (fxo1.InitialPremiumCurrency != null && fxo2.InitialPremiumCurrency != null
&& fxo1.InitialPremiumCurrency != fxo2.InitialPremiumCurrency) premiumMatch = false;
if (fxo1.InitialPremiumDate != fxo1.InitialPremiumDate) premiumMatch = false;
if (!premiumMatch)
{
if (fullMatch) return false;
else unmatchReason += "Premium ";
}
}
#endregion fxoption
otTrade.SetProperty(ReconcileTaskExecutor.ImportRef, extTid);
if (!fullMatch && unmatchReason.Length > 0)
otTrade.SetProperty(ReconcileTaskExecutor.UnmatchReason, unmatchReason);
return true;
}
}
static public void SetParties(Trade trade, TradeInfo info)
{
if (info.HoldingID != null)
trade.SetProperty(SymmetryTranId, info.HoldingID);
if (info.TradeID != null && !info.TradeID.Equals("0"))
trade.SetProperty(MurexTradeId, info.TradeID);
var strategy = info.Strategy;
var code = strategy;
var entity = Env.Current.StaticData.GetPartyByCode(BlockEntityCode);
if (entity == null) return;
var book = Env.Current.StaticData.GetPartyByCode(code);
if (book == null)
{
return;
}
trade.BookId = book.Id;
if (!string.IsNullOrEmpty(info.Counterparty))
{
var party = Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, PartyDisplay, info.Counterparty) ??
Env.Current.StaticData.GetPartyByCode(info.Counterparty);
if (party != null)
{
if (party.RoleList.Contains(Party.Entity))
{
if (Party.GetEntity(trade.BookId).Id == party.Id)
trade.TradeType = TradeType.Internal;
}
trade.PartyId = party.Id;
trade.InitialPartyId = party.Id;
}
}
if (!string.IsNullOrEmpty(info.PrimeBroker))
{
var party = Env.Current.StaticData.GetPartyByCode(info.PrimeBroker) ??
Env.Current.StaticData.SaveAndLoadParty(new Party
{
Code = info.PrimeBroker,
RoleList = new List<string> {Party.PrimeBroker, Party.Clearer,Party.Agent}
});
trade.PrimeBrokerId = party.Id;
trade.ClearerId = party.Id;
}
if (!string.IsNullOrEmpty(info.ClearingHouse))
{
var party = Env.Current.StaticData.GetPartyByCode(info.ClearingHouse) ??
Env.Current.StaticData.SaveAndLoadParty(new Party
{
Code = info.ClearingHouse,
Role = Party.Ccp
});
if (!party.RoleList.Contains(Party.Ccp))
{
var list = party.RoleList.ToList();
list.Add(Party.Ccp);
party.RoleList = list;
party.Action = UpdateAction;
party = Env.Current.StaticData.SaveAndLoadParty(party);
}
trade.CcpId = party.Id;
}
}
public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var trades = new List<Trade>();
var dict = new Dictionary<TradeInfo, Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (FilterInfo(info)) continue;
if(filterData.Currencies !=null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Currency1)) continue;
if (info.Otc == null || !(info.Otc is SwapInfo) || info.Otc.IsEmpty())
{
sb.Append(TradeImportHelper.FormatErrorMessage("Swap info not found or not complete", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
var prodCurrency = Env.Current.StaticData.GetCurrency(info.Currency1);
string prodtype, aliasSource;
if (info.SecurityType.Equals(SwapInfo.IRSwap))
{
prodtype = prodCurrency.IsNonDeliverable ? "NDS" : "Swap";
aliasSource = SwapInfo.AliasSourceIrs;
}
else if (info.SecurityType.Equals(SwapInfo.CcySwap))
{
prodtype = info.Instrument.Contains("MTM") ? "MTMCurrencySwap" : "CurrencySwap";
aliasSource = SwapInfo.AliasSourceCcy;
}
else
{
prodtype = "FRA";
aliasSource = SwapInfo.AliasSourceFra;
}
var alias = Env.Current.StaticData.GetAlias(new Alias
{
AliasType = "Template",
EntityId = 0,
Source = aliasSource,
SourceReference = info.Instrument
});
if (alias != null)
{
var swapInfo = info.Otc as SwapInfo;
var template = Env.Current.StaticData.GetTemplate(Template.Shared, prodtype, alias.Name);
if (template == null && prodtype == "Swap")
{
// some swap is booked as NDS
prodtype = "NDS";
template = Env.Current.StaticData.GetTemplate(Template.Shared, prodtype, alias.Name);
prodtype = "Swap/NDS";
}
swapInfo.Generator = template;
if (swapInfo.Generator == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Generator template for " + prodtype + " " + alias.Name + " not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
}
else
{
sb.Append(TradeImportHelper.FormatErrorMessage("Alias for Generator not found", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var trade = new Trade();
if (FilterInfo(info)) continue;
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null && count%5==0) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
var sinfo= info.Otc as SwapInfo;
try
{
var copy = trade.Id > 0 ? (Trade)trade.Clone() : null;
var tradeType = trade.TradeType;
sinfo.Generator.Apply(trade, new SimpleDate(sinfo.TradeDate), market);
trade.TradeType = tradeType;
if (trade.Product == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("No product generated after applying Generator", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (trade.Product == null) continue;
if (copy != null)
{
TradeImportHelper.CopyTrade(copy, trade);
trade.MirrorBookId = copy.MirrorBookId;
trade.MirrorTradeId = copy.MirrorTradeId;
}
//if (sinfo.ClearingHouse != null)
// info.ClearingHouse = sinfo.ClearingHouse;
trade.SettlementDate = sinfo.SwapStartDate1;
TradeImportHelper.SetParties(trade, info);
if (info.SecurityType.Equals(SwapInfo.IRSwap))
{
var swap = trade.Product as Swap;
var payLeg = swap.PayLeg;
var recLeg = swap.ReceiveLeg;
Leg leg1 = payLeg, leg2 = recLeg;
if (!payLeg.IsFixedRate && !recLeg.IsFixedRate)
{
// basis swap
var r1 = payLeg.RateIndex; // leg1 index
var r2 = recLeg.RateIndex; // leg2 index
if (r1.Equals(r2))
{
r1 = payLeg.RateIndexTenor.Count.ToString();
r2 = recLeg.RateIndexTenor.Count.ToString();
}
var idx1 = sinfo.Generator.Name.IndexOf(r1);
var idx2 = sinfo.Generator.Name.IndexOf(r2);
if ((idx1 < idx2 && info.TradeAction.Equals("B")) || (idx1 > idx2 && (info.TradeAction.Equals("S"))))
{
swap.SwitchLegs();
}
if (idx2 < idx1)
{
leg1 = recLeg;
leg2 = payLeg;
}
InitLegs2(leg1, leg2, info);
}
else
{
if ((info.TradeAction.Equals("S") && !swap.PayLeg.IsFixedRate) ||
(info.TradeAction.Equals("B") && swap.PayLeg.IsFixedRate))
swap.SwitchLegs();
InitLegs(swap.PayLeg, swap.ReceiveLeg, info);
}
if (trade.CcpId != 0)
{
//Nothing to do let the EventScheduleHelper insert the StepIn
}
else
{
if (swap.PayLeg.StartDate < trade.GetTradingDay())
{
swap.PayLeg.FirstFullCalculationPeriod = true;
swap.PayLeg.FirstCalculationPeriodStart = sinfo.SwapStartDate1;
swap.ReceiveLeg.FirstFullCalculationPeriod = true;
swap.ReceiveLeg.FirstCalculationPeriodStart = sinfo.SwapStartDate1;
swap.PayLeg.StartDate = trade.GetTradingDay();
swap.ReceiveLeg.StartDate = swap.PayLeg.StartDate;
}
}
}
else if (info.SecurityType.Equals(SwapInfo.CcySwap))
{
var swap = trade.Product as CurrencySwap;
var mtm = trade.Product as MTMCurrencySwap;
Leg payLeg, recLeg, leg1, leg2;
payLeg = swap != null ? swap.PayLeg : mtm.PayLeg;
recLeg = swap != null ? swap.ReceiveLeg : mtm.ReceiveLeg;
if (info.TradeAction.Equals("B") && recLeg.NotionalCurrency.Equals(info.Currency2) ||
(info.TradeAction.Equals("S") && recLeg.NotionalCurrency.Equals(info.Currency1)))
{
if (swap != null)
swap.SwitchLegs();
else
mtm.SwitchLegs();
}
if (payLeg.NotionalCurrency.Equals(info.Currency1))
{
leg1 = payLeg;
leg2 = recLeg;
}
else
{
leg2 = payLeg;
leg1 = recLeg;
}
InitLegs2(leg1, leg2, info);
}
else if (info.SecurityType.Equals(SwapInfo.Fras))
{
var fra = trade.Product as FRA;
InitFra(fra, info);
}
sinfo.Generator.Provider.FillTrade(trade, market);
trade.SetProperty("TemplateName", sinfo.Generator.Name);
trade.SetProperty(TradeImportHelper.GeneratorProp, info.Instrument);
//Add UpFront Fee
if (Math.Abs(sinfo.FeeAmount) > Utilities.Epsilon)
{
var fee = new Fee
{
Date = sinfo.FeeDate,
FeeType = FeeType.Upfront,
PartyId = trade.PartyId,
Currency = sinfo.FeeCurrency,
Amount = Math.Abs(sinfo.FeeAmount),
PayReceive = sinfo.FeePayRecv.Equals("Pay") ? PayReceive.Pay : PayReceive.Receive // how about None??
};
if (trade.Fees == null) trade.Fees = new List<Fee>();
trade.Fees.Add(fee);
}
trades.Add(trade);
}
catch (Exception x)
{
Logger.Error("Import Swap/FRA/CurrencySwap/NDS", x);
sb.Append(TradeImportHelper.FormatErrorMessage("Fill Trade " + x.Message + " " + x.StackTrace, info.HoldingID, info.TradeID, info.Instrument));
}
}
sb.Append("Imported " + trades.Count + " Swaps/Fras/CurrencySwap/NDS\n");
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
return trades;
}
public override bool ExcludeFromMatching(Trade trade, DateTime dt, bool isExternalTrade)
{
if (isExternalTrade)
{
if ((trade.Status != null && trade.Status.Equals(MurexInfo.StateDead)))
{
trade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
trade.SetProperty(ReconcileTaskExecutor.ImportRef, "Dead");
return true;
}
if (Math.Abs(trade.Quantity) < Utilities.Epsilon)
{
trade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
trade.SetProperty(ReconcileTaskExecutor.ImportRef, "ZeroQuantity");
return true;
}
if (trade.Description != null)
{
if (!(trade.Description.Equals(TradeInfo.Bonds) || trade.Description.Equals(TradeInfo.EquityFutures) ||
trade.Description.Equals(TradeInfo.LongFutures) || trade.Description.Equals(TradeInfo.ShortFutures) ||
trade.Description.Equals(TradeInfo.ComFutures) || trade.Description.Equals(TradeInfo.OtherFutures) ||
trade.Description.Equals(TradeInfo.IrfOption) || trade.Description.Equals(TradeInfo.EqOption) ||
trade.Description.Equals(SwapInfo.IRSwap) || trade.Description.Equals(SwapInfo.CcySwap) ||
trade.Description.Equals(MurexInfo.Fras) || trade.Description.Equals(SwaptionInfo.Swaption) ||
trade.Description.Equals(FxInfo.SpotForward) || trade.Description.Equals(FxoInfo.SimpleFXO)))
{
trade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
trade.SetProperty(ReconcileTaskExecutor.ImportRef, "TypeNotSupported");
return true;
}
}
else
{
trade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
trade.SetProperty(ReconcileTaskExecutor.ImportRef, "TypeUnkonwn");
return true;
}
}
var maturity = trade.Product.RiskMaturity;
var maturity2 = trade.Product.ContractMaturity;
if (!maturity2.IsNull && maturity2 < maturity)
maturity = maturity2;
if (!maturity.IsNull && maturity <= new SimpleDate(dt))
{
trade.SetProperty(ReconcileTaskExecutor.Reconciled, "true");
trade.SetProperty(ReconcileTaskExecutor.ImportRef, "Matured");
return true;
}
return false;
}
