private void btnSecurityDefinitionRequest_Click(object sender, EventArgs e)
{
_qf._contracts.Clear();
TT.SendMsg send = new TT.SendMsg();
send.ttSecurityDefinitionRequest(_gw, _product, QuickFix.SecurityType.FUTURE, null);
}
/// <summary>
///
/// </summary>
/// <param name="MGT"></param>
/// <param name="acct"></param>
/// <param name="SecEx"></param>
/// <param name="product"></param>
/// <param name="secID"></param>
/// <param name="tradesize"></param>
/// <param name="side"></param>
/// <param name="price"></param>
/// <param name="gateway"></param>
private void UpdatePosition(
string MGT,
string acct,
string SecEx,
string product,
string secID,
int tradesize,
char side,
decimal price,
string gateway)
{
log.WriteLog("mainForm::UpdatePosition");
//added to filter by account
if (isAccountFilterEnabled)
{
string watchedAccount = dsRisk.tblTrader.Rows.Find(MGT).Field<string>(dsRisk.tblTrader.AccountColumn);
if (watchedAccount == null || watchedAccount != acct)
{
log.WriteList("Execution disregarded because account does not match");
return;
}
}
//end account filter code
int currentBuyPos = 0;
int currentSellPos = 0;
decimal currentBuyPrc = 0.00M;
decimal currentSellPrc = 0.00M;
int previousBuyPos = 0;
int previousSellPos = 0;
if (side == QuickFix.Fields.Side.SELL )
{
currentSellPos = tradesize;
currentSellPrc = price;
}
else if (side == QuickFix.Fields.Side.BUY)
{
currentBuyPos = tradesize;
currentBuyPrc = price;
}
else
{
log.WriteList("NO BuySell info");
return;
}
try
{
if (dsRisk.tblPositions.Rows.Find(new object[] { MGT, SecEx, product, secID }) == null)
{
//TODO why cast to double??
dsRisk.tblPositions.AddtblPositionsRow(MGT, SecEx, product, secID,
currentBuyPos, currentSellPos, (double)currentBuyPrc, (double)currentSellPrc, 0.00, 0.00, gateway, acct );
TT.SendMsg send = new TT.SendMsg();
send.ttSecurityDefinitionRequest(SecEx, product, secID);
send.ttMarketDataRequest(SecEx, product, secID);
}
else
{
DataRow dr = dsRisk.tblPositions.Rows.Find(new object[] { MGT, SecEx, product, secID });
dr[dsRisk.tblPositions.AccountColumn] = acct;
//existing buy/sell positions
previousBuyPos = (int)dr[dsRisk.tblPositions.BuyPosColumn];
previousSellPos = (int)dr[dsRisk.tblPositions.SellPosColumn];
dr[dsRisk.tblPositions.BuyPosColumn] = previousBuyPos + currentBuyPos;
dr[dsRisk.tblPositions.SellPosColumn] = previousSellPos + currentSellPos;
decimal previousAvgBuyPrc = 0.00M;
if ( dr[dsRisk.tblPositions.AvgBuyColumn] != null)
previousAvgBuyPrc = (decimal )dr[dsRisk.tblPositions.AvgBuyColumn];
decimal previousAvgSellPrc = 0.00M;
if ( dr[dsRisk.tblPositions.AvgSellColumn] != null)
previousAvgSellPrc = (decimal )dr[dsRisk.tblPositions.AvgSellColumn];
dr[dsRisk.tblPositions.AvgBuyColumn] = ((previousBuyPos * previousAvgBuyPrc) +
(currentBuyPos * currentBuyPrc)) / (previousBuyPos + currentBuyPos);
dr[dsRisk.tblPositions.AvgSellColumn] = ((previousSellPos * previousAvgSellPrc) +
(currentSellPos * currentSellPrc)) / (previousSellPos + currentSellPos);
// using decimals negates the need to check for NaN?
// if (dr[dsRisk.tblPositions.AvgBuyColumn].Equals(decimal. .NaN)) { dr[dsRisk.tblPositions.AvgBuyColumn] = 0.00; }
// if (dr[dsRisk.tblPositions.AvgSellColumn].Equals(decimal .NaN)) { dr[dsRisk.tblPositions.AvgSellColumn] = 0.00; }
dr.AcceptChanges();
}
DataRow drPrc = dsRisk.tblSecurity.Rows.Find(new object[] { SecEx, product, secID });
if (drPrc != null)
{
decimal bid = (decimal )drPrc[dsRisk.tblSecurity.BidPriceColumn];
decimal ask = (decimal )drPrc[dsRisk.tblSecurity.AskPriceColumn];
CalcPnL(SecEx, product, secID, bid, ask);
}
}
catch (Exception ex)
{
log.WriteList("Exception occured mainForm::UpdatePosition");
log.WriteLog(ex.ToString());
}
}
