public QuotedAssetSet Create()
{
var result = new QuotedAssetSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
//Handles the case of tenor curves
var id = assetAndQuote.First?.id ?? assetAndQuote.Second?.objectReference?.href;
var properties = new PriceableAssetProperties(id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
/// <summary>
/// Creates a quoted asset set without the asset type specified.
/// </summary>
/// <param name="assetType">The asset Type to remove.</param>
/// <param name="assetSet">The original assetSet</param>
/// <returns></returns>
public static QuotedAssetSet RemoveAssetsFromQuotedAssetSet(AssetTypesEnum assetType, QuotedAssetSet assetSet)
{
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
var index = 0;
foreach (var asset in assetSet.instrumentSet.Items)
{
var tempAssetType = new PriceableAssetProperties(asset.id).AssetType;
if (tempAssetType != assetType)
{
assets.Add(asset);
quotes.Add(assetSet.assetQuote[index]);
if (assetSet.instrumentSet.ItemsElementName != null)
{
types.Add(assetSet.instrumentSet.ItemsElementName[index]);
}
else
{
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(tempAssetType.ToString());
types.Add(assetTypeFpML);
}
}
index++;
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
return(new QuotedAssetSet {
instrumentSet = instrumentSet, assetQuote = quotes.ToArray()
});
}
/// <summary>
/// Creates a QuotedAssetSet from a set of instrument ids and sides, all with measureType set to MarketQuote
/// and QuoteUnits set to DecimalRate (useful for building market data requests).
/// </summary>
/// <param name="instrIds">The (m) instrument ids.</param>
/// <param name="sides">The (n) sides.</param>
/// <returns>An M * N matrix of assets/quotes in a QuotedAssetSet</returns>
public static QuotedAssetSet Parse(string[] instrIds, string[] sides)
{
var assetList = new List <Asset>();
var quoteList = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
foreach (string instrId in instrIds)
{
Asset asset = CreateAsset(instrId);
assetList.Add(asset);
quoteList.AddRange(sides.Select(side => BasicQuotationHelper.Create("MarketQuote", "DecimalRate", side)).Select(quote => new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = asset.id
}, quote = new[] { quote }
}));
var properties = new PriceableAssetProperties(asset.id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = assetList.ToArray(), ItemsElementName = types.ToArray()
};
return(new QuotedAssetSet
{
instrumentSet = instrumentSet,
assetQuote = quoteList.ToArray()
});
}
/// <summary>
/// Maps from a list of asset pairs to a quoted asset set.
/// </summary>
/// <param name="assetPairs"></param>
/// <returns></returns>
internal static QuotedAssetSet MapFromAssetPairs(ICollection <Pair <Asset, BasicAssetValuation> > assetPairs)
{
var quotedAssetSet = new QuotedAssetSet();
var assets = new Asset[assetPairs.Count];
var basicAssetValuations = new BasicAssetValuation[assetPairs.Count];
var types = new List <ItemsChoiceType19>();
var index = 0;
foreach (var pair in assetPairs)
{
assets[index] = pair.First;
basicAssetValuations[index] = pair.Second;
var properties = new PriceableAssetProperties(assets[index].id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
index++;
}
quotedAssetSet.assetQuote = basicAssetValuations;
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
quotedAssetSet.instrumentSet = instrumentSet;
return(quotedAssetSet);
}
/// <summary>
/// Creates a QuotedAssetSet from a set of instrument ids and sides, all with measureType set to MarketQuote
/// and QuoteUnits set to DecimalRate (useful for building market data requests).
/// </summary>
/// <param name="instrIds">The (m) instrument ids.</param>
/// <param name="sides">The (n) sides.</param>
/// <returns>An M * N matrix of assets/quotes in a QuotedAssetSet</returns>
public static QuotedAssetSet Parse(string[] instrIds, string[] sides)
{
var assetList = new List <Asset>();
var quoteList = new List <BasicAssetValuation>();
foreach (string instrId in instrIds)
{
Asset asset = CreateAsset(instrId);
assetList.Add(asset);
foreach (string side in sides)
{
BasicQuotation quote = BasicQuotationHelper.Create("MarketQuote", "DecimalRate", side);
quoteList.Add(new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = asset.id
},
quote = new[] { quote }
});
}
}
var instrumentSet = new InstrumentSet {
Items = assetList.ToArray()
};
return(new QuotedAssetSet
{
instrumentSet = instrumentSet,
assetQuote = quoteList.ToArray()
});
}
/// <summary>
/// availableInstrumentSet에서 name과 type이 모두 일치하는 악기 세트를 찾아 반환합니다.
/// 만약 찾지 못하면, name이 null이고 instruments가 비어 있는 InstrumentSet이 반환됩니다.
/// </summary>
/// <param name="name"></param>
/// <param name="type"></param>
/// <returns></returns>
private InstrumentSet FindInstrumentSet(string name, InstrumentSet.Type type)
{
InstrumentSet empty = new InstrumentSet(null, null, new Dictionary <int, InstrumentInfo>(), InstrumentSet.Type.character);
if (!isInstrumentsReady)
{
return(empty);
}
foreach (InstrumentSet i in availableInstrumentSets)
{
if (i.name.Equals(name) && i.type.Equals(type))
{
return(i);
}
}
return(empty);
}
public FxRateSet CreateFxRateSet()
{
var result = new FxRateSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
/// <summary>
/// main에 additional의, 채널(Staff)이 겹치지 않는 instruments를 추가합니다.
/// </summary>
/// <param name="main">기존 악기 목록</param>
/// <param name="additional">추가될 악기 세트</param>
private void ConcatenateInstrumentSet(Dictionary <int, InstrumentInfo> main, InstrumentSet additional)
{
foreach (KeyValuePair <int, InstrumentInfo> p in additional.instruments)
{
if (!main.ContainsKey(p.Key))
{
main.Add(p.Key, p.Value);
}
}
if (additional.type == InstrumentSet.Type.character && additional.name != null)
{
MinOctave = additional.minOctave;
MaxOctave = additional.maxOctave;
}
else if (additional.type == InstrumentSet.Type.accompaniment && additional.name != null)
{
MinOctaveInAccompaniment = additional.minOctave;
MaxOctaveInAccompaniment = additional.maxOctave;
}
}
public FxRateSet Create()
{
var result = new FxRateSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType22>();
foreach (var assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
}
var instrumenSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
result.instrumentSet = instrumenSet;
result.assetQuote = quotes.ToArray();
return(result);
}
/// <summary>
/// Maps from a list of asset pairs to a quoted asset set.
/// </summary>
/// <param name="assetPairs"></param>
/// <returns></returns>
internal static QuotedAssetSet MapFromAssetPairs(List <Pair <Asset, BasicAssetValuation> > assetPairs)
{
var quotedAssetSet = new QuotedAssetSet();
var assets = new Asset[assetPairs.Count];
var bavs = new BasicAssetValuation[assetPairs.Count];
var index = 0;
foreach (var pair in assetPairs)
{
assets[index] = pair.First;
bavs[index] = pair.Second;
index++;
}
quotedAssetSet.assetQuote = bavs;
var instrumentSet = new InstrumentSet {
Items = assets.ToArray()
};
quotedAssetSet.instrumentSet = instrumentSet;
return(quotedAssetSet);
}
public FxRateSet CreateFxRateSet()
{
var result = new FxRateSet();
var assets = new List <Asset>();
var quotes = new List <BasicAssetValuation>();
var types = new List <ItemsChoiceType19>();
foreach (Pair <Asset, BasicAssetValuation> assetAndQuote in _assetAndQuotes)
{
assets.Add(assetAndQuote.First);
quotes.Add(assetAndQuote.Second);
var properties = new PriceableAssetProperties(assetAndQuote.First.id);
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(properties.AssetType.ToString());
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = assets.ToArray(), ItemsElementName = types.ToArray()
};
result.instrumentSet = instrumentSet;
result.assetQuote = quotes.ToArray();
return(result);
}
public List <Instrument> Create(InstrumentSet instSet, List <SoundManager.Chip> chips, Setting setting, MIDIKbd midiKbd)
{
Instrument inst;
List <Instrument> ret = new List <Instrument>();
switch (instSet)
{
case InstrumentSet.vgm:
case InstrumentSet.zgm:
foreach (SoundManager.Chip chip in chips)
{
inst = Create(chip, setting, midiKbd);
ret.Add(inst);
}
break;
case InstrumentSet.xgm:
inst = new MMLParameter.YM2612X(chips[0], setting, midiKbd);
ret.Add(inst);
break;
case InstrumentSet.mucom:
inst = new MMLParameter.YM2608_mucom(chips[0], setting, midiKbd);
ret.Add(inst);
break;
case InstrumentSet.pmd:
inst = new MMLParameter.YM2608_PMD(chips[0], setting, midiKbd);
ret.Add(inst);
break;
default:
throw new ArgumentException();
}
return(ret);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="properties"></param>
/// <param name="expiries"></param>
/// <param name="vols"></param>
/// <param name="inputInstruments"></param>
/// <param name="inputSwapRates"></param>
/// <param name="inputBlackVolRates"></param>
protected ExpiryTermStrikeVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, DateTime[] expiries, double[] vols,
string[] inputInstruments, double[] inputSwapRates, double[] inputBlackVolRates)
{
Algorithm = PropertyHelper.ExtractAlgorithm(properties);
PricingStructureIdentifier = new VolatilitySurfaceIdentifier(properties);
var surfaceId = (VolatilitySurfaceIdentifier)PricingStructureIdentifier;
var expiryLength = expiries.Length;
var pointIndex = 0;
var points = new PricingStructurePoint[expiryLength];
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
// extract the current expiry
var expiryKeyPart = expiries[expiryIndex];
var key = new ExpiryTenorStrikeKey(expiryKeyPart.ToString(CultureInfo.InvariantCulture), 0);
_matrixIndexHelper.Add(key, pointIndex);
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = new PricingDataPointCoordinate {
expiration = new TimeDimension[1]
};
coordinates[0].expiration[0] = new TimeDimension {
Items = new object[] { expiries[expiryIndex] }
};
var pt = new PricingStructurePoint
{
value = (decimal)vols[expiryIndex],
valueSpecified = true,
coordinate = coordinates,
};
points[pointIndex++] = pt;
}
// Record the row/column sizes of the inputs
_matrixRowCount = expiries.Length;
_matrixColumnCount = 1;
PricingStructure = CreateVolatilityRepresentation(surfaceId);
PricingStructureValuation = CreateDataPoints(points, surfaceId);
if (inputInstruments != null)
{
int inputCount = inputInstruments.GetUpperBound(0);
var assetQuotes = new List <BasicAssetValuation>();
var assetSet = new List <Asset>();
var itemsList = new List <ItemsChoiceType19>();
for (int i = 0; i <= inputCount; i++)
{
var assetProperties = new PriceableAssetProperties(inputInstruments[i]);
assetSet.Add(new SimpleIRSwap {
id = inputInstruments[i], term = assetProperties.TermTenor
});
var rateQuote = BasicQuotationHelper.Create((decimal)inputSwapRates[i], AssetMeasureEnum.MarketQuote, PriceQuoteUnitsEnum.DecimalRate);
var volQuote = BasicQuotationHelper.Create((decimal)inputBlackVolRates[i], AssetMeasureEnum.Volatility, PriceQuoteUnitsEnum.LogNormalVolatility);
assetQuotes.Add(new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = inputInstruments[i]
},
definitionRef = assetProperties.TermTenor.ToString(),
quote = new[] { rateQuote, volQuote }
});
itemsList.Add(ItemsChoiceType19.simpleIrSwap);//TODO NOt actually correct.
}
var instrumentSet = new InstrumentSet {
Items = assetSet.ToArray(), ItemsElementName = itemsList.ToArray()
};
((VolatilityMatrix)PricingStructureValuation).inputs
= new QuotedAssetSet {
assetQuote = assetQuotes.ToArray(), instrumentSet = instrumentSet
};
}
// Generate an interpolator to use
double[] expiryTerms = expiries.Select(a => (surfaceId.BaseDate - a).TotalDays / 365d).ToArray();
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
var curveInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("CurveInterpolation"));
Interpolator = new VolSurfaceInterpolator(expiryTerms, new double[] { 1 }, new Matrix(vols), curveInterpolationMethod, true);
}
/// <summary>
/// Merges a QuotedAssetSet with this. Note that the referential integrity between the assets
/// and valuations is checked and maintained.
/// </summary>
/// <param name="additional">The additional QuotedAssetSet.</param>
/// <param name="checkValuationAssetReferences">if set to <c>true</c> [check valuation asset references].</param>
/// <param name="includeEmptyCurrentQuotes">if set to <c>true</c> [include empty current quotes].</param>
/// <param name="includeEmptyAdditionalQuotes">if set to <c>true</c> [include empty additional quotes].</param>
/// <returns></returns>
public QuotedAssetSet Merge(QuotedAssetSet additional,
bool checkValuationAssetReferences,
bool includeEmptyCurrentQuotes,
bool includeEmptyAdditionalQuotes)
{
var result = new QuotedAssetSet();
// build unique instrumentSet and valuation quote lists
var instrumentMap = new Dictionary <string, Asset>();
var valuationMap = new Dictionary <string, BasicAssetValuation>();
if (instrumentSet != null && instrumentSet.Items != null)
{
foreach (Asset asset in instrumentSet.Items)//The asset type
{
string assetId = asset.id;
//Trace.WriteLine(String.Format("Merge: Existing asset: '{0}'", assetId);
instrumentMap[assetId.ToLower()] = asset;
}
}
if (assetQuote != null)
{
foreach (BasicAssetValuation currentValuation in assetQuote)
{
string assetId = currentValuation.objectReference.href;
if (checkValuationAssetReferences)
{
Asset asset;
if (!instrumentMap.TryGetValue(assetId.ToLower(), out asset))
{
throw new ApplicationException(String.Format(
"Cannot find asset '{0}' for assetQuote", assetId));
}
}
// merge the quotes
BasicAssetValuation existingValuation;
if (valuationMap.TryGetValue(assetId.ToLower(), out existingValuation))
{
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' updating existing valuation", assetId);
}
else
{
// not found - create a new valuation
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' creating existing valuation", assetId);
existingValuation = new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetId
},
quote = new List <BasicQuotation>().ToArray()
};
valuationMap[assetId.ToLower()] = existingValuation;
}
// append the assetquotes
var quotes = new List <BasicQuotation>(existingValuation.quote);
foreach (BasicQuotation quote in currentValuation.quote)
{
if (quote.valueSpecified || includeEmptyCurrentQuotes)
{
quotes.Add(quote);
//if (quote.valueSpecified)
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding existing quote value '{1}'", assetId, quote.value);
//else
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding existing empty quote", assetId);
}
else
{
//Trace.WriteLine(String.Format("Merge; Asset: '{0}' skipping existing empty quote", assetId);
}
}
existingValuation.quote = quotes.ToArray();
}
}
// add extra instruments
if (additional.instrumentSet != null && additional.instrumentSet.Items != null)
{
foreach (Asset asset in additional.instrumentSet.Items)
{
string assetId = asset.id;
if (!instrumentMap.ContainsKey(assetId.ToLower()))
{
instrumentMap[assetId.ToLower()] = asset;
//Trace.WriteLine(String.Format("Merge: Additional asset: '{0}'", assetId);
}
}
}
// append valuation quotes
if (additional.assetQuote != null)
{
foreach (BasicAssetValuation additionalValuation in additional.assetQuote)
{
string assetId = additionalValuation.objectReference.href;
if (checkValuationAssetReferences)
{
Asset asset;
if (!instrumentMap.TryGetValue(assetId.ToLower(), out asset))
{
throw new ApplicationException(String.Format(
"Cannot find asset '{0}' for assetQuote", assetId));
}
}
// merge the quotes
BasicAssetValuation existingValuation;
if (valuationMap.TryGetValue(assetId.ToLower(), out existingValuation))
{
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' updating additional valuation", assetId);
}
else
{
// not found - just add the valuation
existingValuation = new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetId
},
quote = new List <BasicQuotation>().ToArray()
};
valuationMap[assetId.ToLower()] = existingValuation;
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' creating additional valuation", assetId);
}
// append the assetquotes
var quotes = new List <BasicQuotation>(existingValuation.quote);
foreach (BasicQuotation quote in additionalValuation.quote)
{
if (quote.valueSpecified || includeEmptyAdditionalQuotes)
{
quotes.Add(quote);
//if (quote.valueSpecified)
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding additional quote value '{1}'", assetId, quote.value);
//else
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' adding additional empty quote", assetId);
}
else
{
//Trace.WriteLine(String.Format("Merge; Asset: '{0}' skipping additional empty quote", assetId);
}
}
existingValuation.quote = quotes.ToArray();
}
}
var instSet = new InstrumentSet {
Items = instrumentMap.Values.ToArray()
};
result.instrumentSet = instSet;
result.assetQuote = valuationMap.Values.ToArray();
return(result);
}
/// <summary>
/// Merges a QuotedAssetSet with this. Note that the referential integrity between the assets
/// and valuations is checked and maintained.
/// </summary>
/// <param name="additional">The additional QuotedAssetSet.</param>
/// <param name="checkValuationAssetReferences">if set to <c>true</c> [check valuation asset references].</param>
/// <param name="includeEmptyCurrentQuotes">if set to <c>true</c> [include empty current quotes].</param>
/// <param name="includeEmptyAdditionalQuotes">if set to <c>true</c> [include empty additional quotes].</param>
/// <returns></returns>
public QuotedAssetSet Merge(QuotedAssetSet additional,
bool checkValuationAssetReferences,
bool includeEmptyCurrentQuotes,
bool includeEmptyAdditionalQuotes)
{
var result = new QuotedAssetSet();
// build unique instrumentSet and valuation quote lists
var instrumentMap = new Dictionary <string, Asset>();
var itemsMap = new Dictionary <string, ItemsChoiceType19>();
var valuationMap = new Dictionary <string, BasicAssetValuation>();
if (instrumentSet?.Items != null && instrumentSet.ItemsElementName != null)
{
if (instrumentSet.Items.Length == instrumentSet.ItemsElementName.Length)
{
var index = 0;
foreach (Asset asset in instrumentSet.Items) //The asset type
{
string assetId = asset.id;
instrumentMap[assetId.ToLower()] = asset;
itemsMap[assetId.ToLower()] = instrumentSet.ItemsElementName[index];
index++;
}
}
}
if (assetQuote != null)
{
foreach (BasicAssetValuation currentValuation in assetQuote)
{
string assetId = currentValuation.objectReference.href;
if (checkValuationAssetReferences)
{
if (!instrumentMap.TryGetValue(assetId.ToLower(), out _))
{
throw new ApplicationException($"Cannot find asset '{assetId}' for assetQuote");
}
}
// merge the quotes
if (valuationMap.TryGetValue(assetId.ToLower(), out var existingValuation))
{
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' updating existing valuation", assetId);
}
else
{
// not found - create a new valuation
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' creating existing valuation", assetId);
existingValuation = new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetId
},
quote = new List <BasicQuotation>().ToArray()
};
valuationMap[assetId.ToLower()] = existingValuation;
}
// append the asset quotes
var quotes = new List <BasicQuotation>(existingValuation.quote);
quotes.AddRange(currentValuation.quote.Where(quote => quote.valueSpecified || includeEmptyCurrentQuotes));
existingValuation.quote = quotes.ToArray();
}
}
// add extra instruments
if (additional.instrumentSet?.Items != null && additional.instrumentSet.ItemsElementName != null)
{
if (additional.instrumentSet.Items.Length == additional.instrumentSet.ItemsElementName.Length)
{
var index = 0;
foreach (Asset asset in additional.instrumentSet.Items)
{
string assetId = asset.id;
if (!instrumentMap.ContainsKey(assetId.ToLower()))
{
instrumentMap[assetId.ToLower()] = asset;
itemsMap[assetId.ToLower()] = additional.instrumentSet.ItemsElementName[index];
//Trace.WriteLine(String.Format("Merge: Additional asset: '{0}'", assetId);
}
index++;
}
}
}
// append valuation quotes
if (additional.assetQuote != null)
{
foreach (BasicAssetValuation additionalValuation in additional.assetQuote)
{
string assetId = additionalValuation.objectReference.href;
if (checkValuationAssetReferences)
{
if (!instrumentMap.TryGetValue(assetId.ToLower(), out _))
{
throw new ApplicationException($"Cannot find asset '{assetId}' for assetQuote");
}
}
// merge the quotes
if (valuationMap.TryGetValue(assetId.ToLower(), out var existingValuation))
{
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' updating additional valuation", assetId);
}
else
{
// not found - just add the valuation
existingValuation = new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = assetId
},
quote = new List <BasicQuotation>().ToArray()
};
valuationMap[assetId.ToLower()] = existingValuation;
//Trace.WriteLine(String.Format("Merge: Asset: '{0}' creating additional valuation", assetId);
}
// append the asset quotes
var quotes = new List <BasicQuotation>(existingValuation.quote);
quotes.AddRange(additionalValuation.quote.Where(quote => quote.valueSpecified || includeEmptyAdditionalQuotes));
existingValuation.quote = quotes.ToArray();
}
}
var instSet = new InstrumentSet {
Items = instrumentMap.Values.ToArray(), ItemsElementName = itemsMap.Values.ToArray()
};
result.instrumentSet = instSet;
result.assetQuote = valuationMap.Values.ToArray();
return(result);
}
/// <summary>
///
/// </summary>
/// <param name="header"></param>
/// <param name="v221Provider"></param>
/// <param name="requestId"></param>
/// <param name="requestParams"></param>
/// <param name="zsQuotedAssetSet"></param>
/// <returns></returns>
public V221OutputQuotedAssetSet GetMarketQuotesV221(V221Header header, V221ProviderId v221Provider, Guid requestId, string requestParams, byte[] zsQuotedAssetSet)
{
IModuleInfo connection = null;
_connectionIndex.Locked(connections =>
{
if (!connections.TryGetValue(header.SessionId, out connection))
{
throw new ApplicationException("Ignoring request from unknown client!");
}
});
//var errors = new List<V221ErrorDetail>();
var result = new QuotedAssetSet();
string step = "GetMarketQuotesV221: unknown";
try
{
step = "GetMarketQuotesV221: decompressing";
// deserialise inputs
var receivedRequest =
XmlSerializerHelper.DeserializeFromString <QuotedAssetSet>(CompressionHelper.DecompressToString(zsQuotedAssetSet));
//debug dump request
//this.Logger.LogDebug("Received: {0}", XmlSerializerHelper.SerializeToString<QuotedAssetSet>(receivedRequest));
// end debug
step = "GetMarketQuotesV221: splitting";
// split request into provider-specific requests
// build unique instrumentSet
var instrumentMap = new Dictionary <string, Asset>();
foreach (Asset asset in receivedRequest.instrumentSet.Items)
{
string assetId = asset.id;
instrumentMap[assetId.ToLower()] = asset;
}
// now split quotes based on provider preferences
MDSProviderId defaultProvider = V221Helpers.ToProviderId(v221Provider);
int providerCount = Enum.GetValues(typeof(MDSProviderId)).Length;
var providerRequests = new RequestContainer[providerCount];
for (int i = 0; i < providerRequests.Length; i++)
{
providerRequests[i] = new RequestContainer();
}
int requestedQuoteCount = 0;
foreach (BasicAssetValuation valuation in receivedRequest.assetQuote)
{
string assetId = valuation.objectReference.href;
if (!instrumentMap.TryGetValue(assetId.ToLower(), out var asset))
{
throw new ApplicationException($"Cannot find asset '{assetId}' in instrument set");
}
foreach (BasicQuotation quote in valuation.quote)
{
if (!quote.valueSpecified)
{
requestedQuoteCount++;
MDSProviderId quoteProvider = ChooseProvider(quote.informationSource, _activeProviders, defaultProvider);
RequestContainer requestContainer = providerRequests[(int)quoteProvider];
requestContainer.InstrumentMap[assetId.ToLower()] = asset;
// merge the quotes
if (!requestContainer.ValuationMap.TryGetValue(assetId.ToLower(), out var bav))
{
// missing - create
bav = new BasicAssetValuation {
objectReference = new AnyAssetReference {
href = assetId
}
};
requestContainer.ValuationMap[assetId.ToLower()] = bav;
}
// append the asset quotes
var quotes = new List <BasicQuotation>();
if (bav.quote != null)
{
quotes.AddRange(bav.quote);
}
quotes.Add(quote);
bav.quote = quotes.ToArray();
}
}
}
if (requestedQuoteCount == 0)
{
throw new ApplicationException("No quotes requested!");
}
step = "GetMarketQuotesV221: calling providers";
// run each provider request
foreach (MDSProviderId activeProvider in _activeProviders)
{
RequestContainer requestContainer = providerRequests[(int)activeProvider];
if (requestContainer.InstrumentMap.Count > 0)
{
// request is not empty - call the MDS provider
var types = new List <ItemsChoiceType19>();
foreach (var asset in requestContainer.InstrumentMap.Values)
{
var assetTypeFpML = AssetTypeConvertor.ParseEnumStringToFpML(asset.id);//TODO The id must contain the asset descriptor.
types.Add(assetTypeFpML);
}
var instrumentSet = new InstrumentSet {
Items = requestContainer.InstrumentMap.Values.ToArray(), ItemsElementName = types.ToArray()
};
var providerRequest = new QuotedAssetSet
{
instrumentSet = instrumentSet,
assetQuote = requestContainer.ValuationMap.Values.ToArray()
};
step = "GetMarketQuotesV221: calling " + activeProvider.ToString();
QuotedAssetSet providerResult = _providers[(int)activeProvider].GetMarketQuotes(
activeProvider, connection, requestId, true,
new NamedValueSet(requestParams),
providerRequest).Result;
// combine provider-specific results
result = result.Merge(providerResult, false, true, true);
}
}
step = "GetMarketQuotesV221: compressing";
return(new V221OutputQuotedAssetSet(
CompressionHelper.CompressToBuffer(XmlSerializerHelper.SerializeToString(result)),
null));
}
catch (Exception excp)
{
Logger.LogError("Exception: step='{0}': {1}", step, excp);
return(new V221OutputQuotedAssetSet(null, new V221ErrorDetail(excp)));
}
}
