// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region no Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
//
//
//
#endregion//Public Methods
#region Private Methods
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
private void buttonStart_Click(object sender, EventArgs e)
{
m_HedgeOptionsWriter = new HedgeOptionsWriter(m_Log);
m_InstrumentExistInDatabase = new List <InstrumentName>();
m_InstrumentPendingWriting = new List <InstrumentName>();
m_BREInstrumentInfoItems = new Dictionary <InstrumentName, InstrumentInfoItem>();
// Generate query to get all instruments from the data base.
InstrumentInfoQuery BREInstrumentInfoQuery = new InstrumentInfoQuery();
ProductTypes productTypes;
if (Enum.TryParse <ProductTypes>(textBoxProductType.Text, out productTypes))
{
m_Product = new Product(textBoxExchangeName.Text, textBoxProductName.Text, productTypes);
BREInstrumentInfoQuery.InstrumentName = new InstrumentName(m_Product, string.Empty);
BREInstrumentInfoQuery.IsRead = true;
BREInstrumentInfoQuery.Status = QueryStatus.New;
}
else
{
m_Log.NewEntry(LogLevel.Error, "Product type parse failed");
return;
}
// Submit query and store existing instruments from the data base.
m_DatabaseReaderWriter.SubmitSync(BREInstrumentInfoQuery);
List <InstrumentInfoItem> BREInstrumentInfoItems = BREInstrumentInfoQuery.Results;
foreach (InstrumentInfoItem BREInstrumentInfoItem in BREInstrumentInfoItems)
{
if (m_BREInstrumentInfoItem == null)
{
m_BREInstrumentInfoItem = BREInstrumentInfoItem; // Need one of this only.
}
string instrumentNameString = BREInstrumentInfoItem.InstrumentNameTT;
InstrumentName instrumentName;
if (instrumentNameString != null && InstrumentName.TryDeserialize(instrumentNameString, out instrumentName))
{
m_InstrumentExistInDatabase.Add(instrumentName);
m_BREInstrumentInfoItems.Add(instrumentName, BREInstrumentInfoItem);
}
}
// Launch market instruments request.
m_Market.RequestProducts(new List <Product>()
{
m_Product
});
m_Market.RequestInstruments(m_Product);
}
//
//
private void buttonWrite_Click(object sender, EventArgs e)
{
List <InstrumentInfoQuery> BREInstrumentInfoQuerys = new List <InstrumentInfoQuery>();
foreach (InstrumentName instrumentName in m_InstrumentPendingWriting)
{
if (m_BREInstrumentInfoItems.ContainsKey(instrumentName))
{
InstrumentInfoItem BREInstrumentInfoItem = m_BREInstrumentInfoItems[instrumentName];
InstrumentInfoQuery BREInstrumentInfoQuery = new InstrumentInfoQuery();
BREInstrumentInfoQuery.InstrumentName = instrumentName;
BREInstrumentInfoQuery.IsRead = false;
BREInstrumentInfoQuery.Status = QueryStatus.New;
BREInstrumentInfoQuery.Results.Add(BREInstrumentInfoItem);
if (!m_InstrumentExistInDatabase.Contains(instrumentName))
{
BREInstrumentInfoQuerys.Add(BREInstrumentInfoQuery);
}
}
else
{
m_Log.NewEntry(LogLevel.Error, "No instrument found for instrument {0}.", instrumentName);
return;
}
}
foreach (InstrumentInfoQuery BREInstrumentInfoQuery in BREInstrumentInfoQuerys)
{
m_DatabaseReaderWriter.SubmitAsync(BREInstrumentInfoQuery);
}
m_UIDispatcher.Invoke(
new Action(() =>
{
this.buttonWrite.Enabled = false;
})
);
}
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
//
//
/// <summary>
/// This function will generate resulting instruments for the quote instrument.
/// Also, it will generate the ratios and hedge instruments in that resulting instrument.
/// </summary>
/// <param name="instrumentInfoItem"></param>
/// <returns></returns>
public bool TryGenerateHedgeOptions(InstrumentName quoteInstrument, InstrumentInfoItem instrumentInfoItem, HedgeOptions hedgeOptions)
{
bool isSuccess = false;
string hedgeOptionString = instrumentInfoItem.HedgeOptions;
// Consider the target example:
// 1x{1xGE_U4.-1xGE_Z4}-1x{1xGE_Z4.-1xGE_H5}=1x{1xGE_U4.-2xGE_Z4.1xGE_H5}|-1x{1xGE_U4.-1xGE_Z4}+1x{1xGE_M4.-1xGE_U4}=1x{1xGE_M4.-2xGE_U4.1xGE_Z4}
// |2x{1xGE_U4.-1xGE_Z4}-1x{1xGE_U4.-1xGE_H5}=1x{1xGE_U4.-2xGE_Z4.1xGE_H5}|-2x{1xGE_U4.-1xGE_Z4}+1x{1xGE_M4.-1xGE_Z4}=1x{1xGE_M4.-2xGE_U4.1xGE_Z4}
// |-3x{1xGE_U4.-1xGE_Z4}+1x{1xGE_M4.-1xGE_H5}=1x{1xGE_M4.-3xGE_U4.3xGE_Z4.-1xGE_H5}
// First step: Parse different hedges and resulting instruments.
char seperator = '|';
string[] hedgeOptionUnits = hedgeOptionString.Split(new char[] { seperator }, StringSplitOptions.RemoveEmptyEntries);
if (hedgeOptionUnits.Length > 0)
{
string exchangeName = quoteInstrument.Product.Exchange;
List <string> matchedResults = new List <string>();
foreach (string hedgeOptionUnit in hedgeOptionUnits)
{
// Second step: Parse hedge instruments and resulting instruments.
// Target: 1x{1xGE_U4.-1xGE_Z4}-1x{1xGE_Z4.-1xGE_H5}=1x{1xGE_U4.-2xGE_Z4.1xGE_H5}
seperator = '=';
string[] hedgeAndResultingInstruments = hedgeOptionUnit.Split(new char[] { seperator }, StringSplitOptions.RemoveEmptyEntries);
if (hedgeAndResultingInstruments.Length == 2)
{
HedgeOption hedgeOption = null;
bool isQuoteInstrument = false; // Quote instrument always the first.
// Third step: Parse hedge instruments further by their weights.
// Target: 1x{1xGE_U4.-1xGE_Z4}-1x{1xGE_Z4.-1xGE_H5}
string hedgeInstrumentsPart = hedgeAndResultingInstruments[0];
string pattern = @"-?\d+x{[^}]+}";
matchedResults.Clear();
MatchCollection matchCollection = Regex.Matches(hedgeInstrumentsPart, pattern);
foreach (Match match in matchCollection)
{
string matchedValue = match.Value;
matchedResults.Add(matchedValue);
}
// Fourth step: Parse weight and instrument name for each hedge instrument.
// Target: 1x{1xGE_U4.-1xGE_Z4}
foreach (string matchedInstrument in matchedResults)
{
int weight = 0;
// 1. Weight:
string firstPart = matchedInstrument.Substring(0, matchedInstrument.IndexOf('x'));
if (int.TryParse(firstPart, out weight) && weight != 0)
{
// 2. Name:
pattern = @"\{(?<hedgeName>\S+)\}";
Match match = Regex.Match(matchedInstrument, pattern);
string name = match.Groups["hedgeName"].Value;
// Fifth step: Parse instrument name out.
//// There may be alternative way to do it. The data base contains the instrument name TT and we may use that.
// Target: 1xGE_U4.-1xGE_Z4
InstrumentName instrumentComposed = quoteInstrument;
if (QTMath.TryComposeInstrumentName(name, quoteInstrument, m_Log, out instrumentComposed))
{
if (!isQuoteInstrument)
{
hedgeOption = new HedgeOption();
hedgeOption.QuoteInstrument = instrumentComposed;
hedgeOption.QuoteWeight = weight;
hedgeOption.TryAddInstrumentAndWeight(instrumentComposed, weight);
isQuoteInstrument = true;
}
else
{
if (instrumentComposed != quoteInstrument)
{
hedgeOption.TryAddInstrumentAndWeight(instrumentComposed, weight);
}
else
{
m_Log.NewEntry(LogLevel.Error, "instrument composed same as quote instrument {0}.", instrumentComposed);
return(isSuccess);
}
}
}
else
{
m_Log.NewEntry(LogLevel.Error, "Failed to compose instrument name for string {0}.", name);
return(isSuccess);
}
}
else
{
m_Log.NewEntry(LogLevel.Error, "instrument weight parse failed for {0}.", matchedInstrument);
return(isSuccess);
}
}
// If the hedge option exists.
if (hedgeOption != null)
{
// Sixth step: Continue to read the resulting instrument if hedge option is valid.
// Target: 1x{1xGE_U4.-2xGE_Z4.1xGE_H5}
string resultingInstrumentPart = hedgeAndResultingInstruments[1];
// 1.Weight:
string weightString = resultingInstrumentPart.Substring(0, resultingInstrumentPart.IndexOf('x'));
int resultingWeight = 0;
if (int.TryParse(weightString, out resultingWeight) && resultingWeight != 0)
{
// 2.Name:
pattern = @"\{(?<resultingName>\S+)\}";
Match match = Regex.Match(resultingInstrumentPart, pattern);
string resultingInstrumentName = match.Groups["resultingName"].Value;
ResultingInstrument resultingInstrument = new ResultingInstrument();
resultingInstrument.ResultingInstrumentNameDataBase = resultingInstrumentName;
hedgeOption.ResultingInstrument = resultingInstrument;
hedgeOption.ResultingWeight = resultingWeight;
// 3. Compose resulting instrument name:
InstrumentName instrumentComposed = quoteInstrument;
if (QTMath.TryComposeInstrumentName(resultingInstrumentName, quoteInstrument, m_Log, out instrumentComposed))
{
resultingInstrument.ResultingInstrumentName = instrumentComposed;
resultingInstrument.ResultingInstrumentNameTT = instrumentComposed.FullName;
if (!hedgeOptions.TryAddHedgeOption(hedgeOption))
{
m_Log.NewEntry(LogLevel.Error, "Failed to add hedge option for instrument {0}.", quoteInstrument);
return(isSuccess);
}
}
else
{
m_Log.NewEntry(LogLevel.Error, "Failed to compose instrument name for string {0}.", resultingInstrumentName);
return(isSuccess);
}
}
}
}
else
{
m_Log.NewEntry(LogLevel.Error, "hedge and resulting instruments parse failed for string {0}.", hedgeOptionUnit);
return(isSuccess);
}
}
isSuccess = true;
}
else
{
m_Log.NewEntry(LogLevel.Error, "hedge options parse failed for string {0}.", hedgeOptionString);
return(isSuccess);
}
return(isSuccess);
}
