public override IList<Trade> Import(Stream stream, Market market, IList<Exception> exceps)
{
var trades = new List<Trade>();
//var csvStream = new MemoryStream();
//DocumentConvererHelper.XlsxToExt(stream, csvStream, "csv", 1);
//csvStream.Position = 0;
var csvStream = stream;
var parser = new TextFieldParser(csvStream) { HasFieldsEnclosedInQuotes = true };
parser.SetDelimiters(new string[] { Separator });
//parser.SetDelimiters(",");
var titles = parser.ReadFields();
if (titles == null) return trades;
var headers = new Dictionary<string, int>();
for (int i = 0; i < titles.Length; i++) headers[titles[i]] = i;
while (!parser.EndOfData)
{
var items = parser.ReadFields();
var info = new MurexInfo(items, headers);
// leave out trades not traded on report date
if (info.TradeDate != info.ReportDate) continue;
var trade = FromString(info, exceps);
if (trade != null)
{
trades.Add(trade);
}
}
parser.Close();
long count = -1;
foreach (var tr in trades)
{
tr.Id = count--;
}
// aggregate imported trades
var aggregatedTrades = PrepareTradesForMatching(trades, DateTime.Now);
return aggregatedTrades.Keys.ToList();
}
protected Trade FromString(MurexInfo info, IList<Exception> exceps)
{
var trade = new Trade();
trade.TradingDay = info.TradeDate;
trade.Description = info.SecurityType;
trade.Status = info.Status;
trade.Accrual = info.AccruedInterest;
if (info.Strategy != null)
{
var strategy = info.Strategy;
if (info.Strategy.Equals(TradeInfo.DefaultStrategy) && info.Portfolio != null)
{
strategy = info.Portfolio + ":" + info.Strategy;
}
var book = Env.Current.StaticData.GetPartyByCode(EntityPrefix + ":" + strategy);
if (book != null)
trade.BookId = book.Id;
}
if (info.Counterparty != null || info.CounterpartyCode != null)
{
var party = Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, TradeImportHelper.PartyDisplay, info.Counterparty)
?? Env.Current.StaticData.GetPartyByProperty(Party.CounterParty, TradeImportHelper.PartyMlpCode, info.CounterpartyCode);
if (party != null)
trade.InitialPartyId = party.Id;
}
if (info.PBAccount != null)
{
trade.SetProperty(MurexInfo.AccountProp, info.PBAccount);
var pbname = Alias.PartyFromAlias(0, "Murex", info.PBAccount);
if (pbname != null)
{
var pb = Env.Current.StaticData.GetPartyByCode(pbname);
if (pb != null)
trade.PrimeBrokerId = pb.Id;
}
//}
}
if (info.ClearingHouse != null)
{
var ccp = Env.Current.StaticData.GetPartyByCode(info.ClearingHouse + TradeInfo.ClearingHouseTag);
if (ccp == null)
{
var ccpName = Alias.PartyFromAlias(0, "Murex", info.ClearingHouse);
if (ccpName != null)
{
ccp = Env.Current.StaticData.GetPartyByCode(ccpName);
}
}
if (ccp != null)
trade.CcpId = ccp.Id;
}
if (info.TradeId != null && !info.TradeId.Equals("0") && info.IsOtc)
trade.SetProperty(TradeImportHelper.MurexTradeId, info.TradeId);
if (info.IsListedOption)
trade.Product = info.GetProduct(GetContracts(true), Logger);
else if (info.IsFuture)
trade.Product = info.GetProduct(GetContracts(false), Logger);
else
trade.Product = info.GetProduct(null, Logger);
if (trade.Product is MurexProduct)
{
trade.SetProperty(TradeImportHelper.GeneratorProp, ((MurexProduct)trade.Product).Generator);
}
if (!double.IsNaN(info.UpFrontAmount))
trade.SettleAmount = info.UpFrontAmount;
if (info.SecurityType.Equals(FxInfo.SpotForward) && trade.Product is FX)
{
var fx = trade.Product as FX;
if (info.BuySell.Equals("S"))
{
if (fx.Primary == info.QuotingCcy)
{
trade.Quantity = fx.PrimaryAmount;
trade.SettleAmount = -fx.QuotingAmount;
}
else
{
trade.Quantity = -fx.PrimaryAmount;
trade.SettleAmount = fx.QuotingAmount;
}
}
else
{
if (fx.Primary == info.QuotingCcy)
{
trade.Quantity = -fx.PrimaryAmount;
trade.SettleAmount = fx.QuotingAmount;
}
else
{
trade.Quantity = fx.PrimaryAmount;
trade.SettleAmount = -fx.QuotingAmount;
}
}
}
else
{
if (!info.IsOtc)
{
trade.Quantity = info.Nominal1;
if (trade.Product is Bond)
{
var bond = trade.Product as Bond;
trade.Quantity = info.Nominal1 / bond.Nominal;
}
}
else
{
trade.Quantity = info.BuySell.Equals("B") ? 1 : -1;
trade.SetProperty(TradeImportHelper.GeneratorProp, info.Instrument);
}
}
var price = Math.Abs(info.Price);
if (trade.Product is Future)
{
trade.PriceType = ((Future)trade.Product).Contract.Quotation;
}
else if (trade.Product is Bond)
{
trade.PriceType = ((Bond)trade.Product).QuotationType;
}
if (trade.PriceType != QuotationType.None && Utilities.IsPercentageQuotation(trade.PriceType))
price /= 100;
trade.Price = price;
return trade;
}