NetExposureHedger

NetExposureHedger

public NetExposureHedger(IReadOnlyDictionary<SecurityId, NetExposureLimit> limits, string portfolioName, IdGenerator idGenerator)

netExposureHedger = NetExposureHedger(limits, portfolioName, idGenerator)

Initializes a new instance of the NetExposureHedger.

limits

How far each instrument may run before its gap is closed. An instrument not named here is never hedged. The table is read on every row, so one named later is hedged from then on.

portfolioName

The portfolio a hedge is placed on, which has to reach the exchange.

idGenerator

Where the transaction id of a hedge order comes from.

Count

public int Count { get; }

value = netExposureHedger.Count

How many capped instruments anything is known about. An instrument the table does not name is not one of them, whatever has been stated about it.

IsHedging

public bool IsHedging { get; }

value = netExposureHedger.IsHedging

Whether any instrument is capped at all. Capping none is how the table says nothing is ever hedged.

PortfolioName

public string PortfolioName { get; }

value = netExposureHedger.PortfolioName

The portfolio a hedge is placed on, which has to reach the exchange.

HedgeFinished

public bool HedgeFinished(long transactionId)

result = netExposureHedger.HedgeFinished(transactionId)

A hedge order is no longer on its way - it filled, or it never reached the exchange.

transactionId

The transaction the hedge was produced under.

Returns: when the transaction was a hedge still reserving part of the gap.

SetExposure

public OrderRegisterMessage SetExposure(SecurityId securityId, decimal volume, decimal averagePrice)

result = netExposureHedger.SetExposure(securityId, volume, averagePrice)

States the net position that has to be held at the exchange on an instrument.

securityId

The instrument.

volume

The signed position that has to be there.

averagePrice

What the exposure is worth a unit, or zero when nothing is known. The uncovered gap is what the money cap measures at this price.

Returns: The order that closes the gap, or when none is due.

SetHedgePosition

public OrderRegisterMessage SetHedgePosition(SecurityId securityId, decimal volume, decimal averagePrice)

result = netExposureHedger.SetHedgePosition(securityId, volume, averagePrice)

States the net position the hedging portfolio actually holds at the exchange on an instrument.

securityId

The instrument.

volume

The signed position that is there.

averagePrice

What the hedging portfolio holds it at a unit, or zero when nothing is known. This prices what is covered already, which the money cap does not measure.

Returns: The order that closes the gap, or when none is due.