public IList<Trade> Import(Market market, Feed feed, StringBuilder sb, FilterData filterData)
{
var trades = new List<Trade>();
var infos = filterData.Data ?? TradeImportHelper.ReadData(FilterInfo, filterData, sb);
var dict = new Dictionary<TradeInfo, Trade>();
var symbols = new Dictionary<string, Product>();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(infos.Count, "Building Products");
int count = 0;
foreach (var info in infos)
{
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (FilterInfo(info)) continue;
var trade = new Trade();
if (!TradeImportHelper.InitTrade(trade, info, filterData, sb)) continue;
dict[info] = trade;
var symbol = info.Symbol; // symbol is cusip/isin/sedol
if (symbol != null) symbol = symbol.Trim();
if (!string.IsNullOrEmpty(symbol))
{
var p = Env.Current.Trade.GetProductByCode(Product.CusipProductCode, symbol) ??
Env.Current.Trade.GetProductByCode(Product.IsinProductCode, symbol) ??
Env.Current.Trade.GetProductByCode(Product.SedolProductCode, symbol);
if (p == null)
{
if (symbols.Count < MaxEqs)
{
symbols[symbol] = null;
}
else dict[info] = null; //Remove it
}
else info.Security = p;
}
else
sb.Append(TradeImportHelper.FormatErrorMessage("Symbol is null", info.HoldingID, info.TradeID, info.Instrument));
}
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
// snapping equities by cusip, isin or sedol
var snapped = new List<Product>();
var exceptions = new List<Exception>();
if (symbols.Count > 0 && feed != null)
{
var prodcs = new List<Product>();
foreach (var s in symbols.Keys)
{
var eq = new Equity();
eq.SetProperty(Product.DefaultTicker, s);
prodcs.Add(eq);
}
sb.Append("Snapping Equities By Symbol " + symbols.Count + " " + Utilities.ToString(new List<string>(symbols.Keys)) + "\n");
try
{
FeedImportSecurityTaskExecutor.SnapProducts("Equity.FeedMapping.xml", prodcs, feed, exceptions, true, snapped);
// might need other equity type snapping
}
catch (Exception x)
{
sb.Append(x.ToString());
}
}
foreach (var p in snapped)
{
var isin = p.Isin;
var cusip = p.Cusip;
var sedol = p.Sedol;
if (p.Id > 0)
{
if (symbols.ContainsKey(cusip))
symbols[cusip] = p;
else if (symbols.ContainsKey(isin))
symbols[isin] = p;
else if (symbols.ContainsKey(sedol))
symbols[sedol] = p;
}
}
if (snapped.Count > 0) sb.Append("Snapped " + snapped.Count + " equities by Symbol\n");
var tempEquityProvider = new EquityTemplateProvider();
if (filterData.Progress != null) filterData.Progress.AnalysisInit(dict.Count, "Initializing Trades");
count = 0;
foreach (var kvp in dict)
{
if (filterData.Progress != null && filterData.Progress.IsCanceled) return new List<Trade>();
count++;
if (filterData.Progress != null) filterData.Progress.AnalysisProgress(count, "");
var info = kvp.Key;
var trade = kvp.Value;
if (trade == null) continue;
if (info.Security == null)
{
if (!string.IsNullOrEmpty(info.Symbol) && symbols.ContainsKey(info.Symbol))
info.Security = symbols[info.Symbol];
}
if (info.Security != null)
{
if (info.Security.Currency == null)
{
sb.Append(TradeImportHelper.FormatErrorMessage("Bad Security currency is NULL", info.HoldingID, info.TradeID, info.Instrument));
continue;
}
if (filterData.Currencies != null && filterData.Currencies.Count > 0 && !filterData.Currencies.Contains(info.Security.Currency))
{
continue;
}
var equity = info.Security as Equity;
if (CreateEquity(trade, info, market, sb, tempEquityProvider))
{
trades.Add(trade);
}
}
else
sb.Append(TradeImportHelper.FormatErrorMessage("Security not found", info.HoldingID, info.TradeID, info.Symbol));
}
if (exceptions.Count > 0)
{
sb.Append("Exceptions snapping equities:\n");
foreach (var ex in exceptions) sb.Append(ex.Message + " " + ex + "\n");
}
if (filterData.Progress != null) filterData.Progress.AnalysisDone();
sb.Append("Imported " + trades.Count + " Equities\n");
return trades;
}