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);
}
}
//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);
}
