/// <summary>
/// 期货成交后更新本地期货资金信息
/// 修改：
/// 平仓盈亏
/// 保证金
/// </summary>
/// <param name="alias">用户名</param>
/// <param name="hand">手数，正为开仓, 负为平仓</param>
/// <param name="code">持仓修改的证券代码</param>
/// <param name="direction">期货的方向</param>
/// <param name="old_hand">修改前证券仓位总手数</param>
/// <param name="old_price">修改后证券仓位总手数</param>
/// <param name="price">价格</param>
public static void ChangeFutureAccountDuToFutureDeal(string alias, string code, double price, int hand, string direction, double old_price, int old_hand)
{
lock (FutureAccountDictionary)
{
if (FutureAccountDictionary.Keys.Contains(alias))
{
//保证金改变
FutureAccountTable future = FutureAccountDictionary[alias.Trim()];
future.CashDeposit = (Convert.ToDouble(FutureAccountDictionary[alias.Trim()].CashDeposit) + AccountPARA.Factor(code) * hand * price * AccountPARA.MarginValue).ToString();
//平仓盈亏改变
if (hand < 0)
{
double earning = 0;
if (direction == TradeOrientationAndFlag.FutureTradeDirectionBuy)
{
earning = Convert.ToDouble(FutureAccountDictionary[alias.Trim()].OffsetGain);
earning += (price - old_price) * hand * AccountPARA.Factor(code);
future.OffsetGain = earning.ToString();
}
else if (direction == TradeOrientationAndFlag.FutureTradeDirectionSell)
{
earning = Convert.ToDouble(FutureAccountDictionary[alias.Trim()].OffsetGain);
earning += (old_price - price) * hand * AccountPARA.Factor(code);
future.OffsetGain = earning.ToString();
FutureAccountDictionary[alias.Trim()].OffsetGain = earning.ToString();
}
}
FutureAccountDictionary.Remove(future.Alias);
FutureAccountDictionary.Add(future.Alias, future);
DBAccessLayer.InsertFutureAccountTable(future.StatisInterests, future.OffsetGain, future.FrozenValue, future.OpsitionGain, future.DynamicInterests, future.CashDeposit, future.ExpendableFund, future.Alias);
}
else
{
FutureAccountTable future = DBAccessLayer.GetFutureAccount(alias.Trim());
future.CashDeposit = (Convert.ToDouble(FutureAccountDictionary[alias.Trim()].CashDeposit) + AccountPARA.Factor(code) * hand * price * AccountPARA.MarginValue).ToString();
if (hand < 0)
{
double earning = 0;
if (direction == TradeOrientationAndFlag.FutureTradeDirectionBuy)
{
earning = Convert.ToDouble(FutureAccountDictionary[alias.Trim()].OffsetGain);
earning += (price - old_price) * hand * AccountPARA.Factor(code);
future.OffsetGain = earning.ToString();
}
else if (direction == TradeOrientationAndFlag.FutureTradeDirectionSell)
{
earning = Convert.ToDouble(FutureAccountDictionary[alias.Trim()].OffsetGain);
earning += (old_price - price) * hand * AccountPARA.Factor(code);
future.OffsetGain = earning.ToString();
}
}
DBAccessLayer.InsertFutureAccountTable(future.StatisInterests, future.OffsetGain, future.FrozenValue, future.OpsitionGain, future.DynamicInterests, future.CashDeposit, future.ExpendableFund, future.Alias);
FutureAccountDictionary.Add(alias.Trim(), future);
}
}
}
/// <summary>
/// 更新用户仓位信息包含股票和期货
/// 该函数按照WorkThread的周期执行
/// </summary>
/// <param name="info">输入用户信息</param>
/// <returns>用户仓位信息</returns>
public static AccountInfo UpdateAccountList(UserInfo info)
{
string alias = info.alias.Trim();
//获取全部持仓，该值会拆分成CC_Stock_records 和 CC_Future_records
List <CC_TAOLI_TABLE> CC_records = new List <CC_TAOLI_TABLE>();
if (CCDictionary.Keys.Contains(alias))
{
CC_records = CCDictionary[alias];
}
//获取股票持仓
List <CC_TAOLI_TABLE> CC_Stock_records = (from item in CC_records where item.CC_TYPE == "49" && item.CC_USER == alias select item).ToList();
//获取期货持仓
List <CC_TAOLI_TABLE> CC_Future_records = (from item in CC_records where item.CC_TYPE == "1" && item.CC_USER == alias select item).ToList();
//获取风控预冻结资金
List <RiskFrozenInfo> Risk_Frozen_records = new List <RiskFrozenInfo>();
if (RiskFrozenDictionary.Keys.Contains(alias))
{
Risk_Frozen_records = RiskFrozenDictionary[alias];
}
//获取股票委托冻结资金
double Entrust_frozen = 0;
List <ERecord> Erecords = new List <ERecord>();
//获取委托持仓
EntrustRecord.GetUserAccountInfo(alias, out Entrust_frozen, out Erecords);
//内存股票账户，记录其中的可用资金，股票成本，冻结资金不随行情改变，直接使用
StockAccountTable stockAccount = StockAccountDictionary[alias];
//股票可用资金
//1. 经过风控股票买入时改变，从减少可用资金，增加风控冻结资金；
//2. 经过持仓股票卖出时改变，减少股票成本，增加股票可用资金
// 股票可用资金，不会因行情改变而改变
double stock_balance = Convert.ToDouble(stockAccount.Balance.Trim());
//股票成本
double stock_cost = Convert.ToDouble(stockAccount.StockValue.Trim());
//冻结资金 (委托冻结资金 + 风控冻结资金)
double stock_frozen_value = 0;
foreach (ERecord record in Erecords)
{
stock_frozen_value += record.Amount * record.OrderPrice;
}
foreach (RiskFrozenInfo record in Risk_Frozen_records)
{
if (record.Type == "S" || record.Type == "s")
{
stock_frozen_value += Convert.ToDouble(record.FrozenCost);
}
}
//计算股票市值
double market_value = 0;
//股票盈亏
double stock_earning = 0;
foreach (CC_TAOLI_TABLE item in CC_Stock_records)
{
double price = 0;
if (MarketPrice.market.Keys.Contains(item.CC_CODE.Trim()))
{
price = MarketPrice.market[item.CC_CODE.Trim()] / 10000;
}
else
{
price = Convert.ToDouble(item.CC_BUY_PRICE);
}
if (price != 0)
{
//存在最新市值，采用最新市值计算
market_value += (Convert.ToInt32(item.CC_AMOUNT) * price);
//知道最新市值才能求盈亏
stock_earning += (price - Convert.ToDouble(item.CC_BUY_PRICE)) * Convert.ToInt32(item.CC_AMOUNT);
}
else
{
//未找到最新市值，用成交价计算
market_value += (Convert.ToInt32(item.CC_AMOUNT) * Convert.ToDouble(item.CC_BUY_PRICE));
}
}
//股票权益 （可用资金 + 股票市值 + 冻结资金量）
double stock_total = stock_balance + market_value + stock_frozen_value;
//内存期货账户，记录其中的平仓盈亏，静态权益，保证金，期货冻结资金不随行情改变，直接使用
FutureAccountTable futureAccount = FutureAccountDictionary[alias];
//静态权益
double static_intrests = Convert.ToDouble(futureAccount.StatisInterests.Trim());
//平仓盈亏
double offset_gain = Convert.ToDouble(futureAccount.OffsetGain.Trim());
//保证金
double cash_deposit = Convert.ToDouble(futureAccount.CashDeposit.Trim());
//期货冻结保证金
double frozen_cash_deposit = 0;
foreach (RiskFrozenInfo record in Risk_Frozen_records)
{
if (record.Type == "F" || record.Type == "F")
{
frozen_cash_deposit += Convert.ToDouble(record.FrozenCost) * AccountPARA.Factor(record.Code) * AccountPARA.MarginValue;
}
}
//期货对应股票市值
double future_stock_marketvalue = 0;
//持仓盈亏
double opsition_gain = 0;
foreach (CC_TAOLI_TABLE item in CC_Future_records)
{
double fprice = 0;
if (MarketPrice.market.Keys.Contains(item.CC_CODE.Trim()))
{
fprice = MarketPrice.market[item.CC_CODE.Trim()] / 10000;
}
else
{
fprice = Convert.ToDouble(item.CC_BUY_PRICE);
}
if (item.CC_DIRECTION == TradeOrientationAndFlag.FutureTradeDirectionBuy)
{
if (fprice != 0)
{
//期货买入仓位
//没有实时行情信息，无需再运行持仓盈亏
opsition_gain += (fprice - Convert.ToDouble(item.CC_BUY_PRICE)) * Convert.ToInt32(item.CC_AMOUNT) * AccountPARA.Factor(item.CC_CODE);
//存在实时行情，用期货行情计算期货对应股票市值
future_stock_marketvalue += (AccountPARA.Factor(item.CC_CODE) * Convert.ToInt32(item.CC_AMOUNT) * fprice);
}
else
{
//不存在实时行情，用成交价格计算期货对应股票市值
future_stock_marketvalue += (AccountPARA.Factor(item.CC_CODE) * Convert.ToInt32(item.CC_AMOUNT) * Convert.ToDouble(item.CC_BUY_PRICE));
}
}
else if (item.CC_DIRECTION == TradeOrientationAndFlag.FutureTradeDirectionSell)
{
if (fprice != 0)
{
//期货买入仓位
//没有实时行情信息，无需再运行持仓盈亏
opsition_gain += (Convert.ToDouble(item.CC_BUY_PRICE) - fprice) * Convert.ToInt32(item.CC_AMOUNT) * AccountPARA.Factor(item.CC_CODE);
//存在实时行情，用期货行情计算期货对应股票市值
future_stock_marketvalue -= (AccountPARA.Factor(item.CC_CODE) * Convert.ToInt32(item.CC_AMOUNT) * fprice);
}
else
{
//不存在实时行情，用成交价格计算期货对应股票市值
future_stock_marketvalue -= (AccountPARA.Factor(item.CC_CODE) * Convert.ToInt32(item.CC_AMOUNT) * Convert.ToDouble(item.CC_BUY_PRICE));
}
}
}
//动态权益 （静态权益 + 平仓盈亏 + 持仓盈亏）
double dynamic_interests = static_intrests + offset_gain + opsition_gain;
//可用资金 （动态权益 - 保证金）
double expendableFund = dynamic_interests - cash_deposit;
//期货风险度 （占用保证金 / 动态权益）
double future_risk = cash_deposit / dynamic_interests;
//更新股票资金Dictionary
lock (StockAccountDictionary)
{
StockAccountDictionary[alias].Balance = stock_balance.ToString();
StockAccountDictionary[alias].Earning = stock_earning.ToString();
StockAccountDictionary[alias].MarketValue = market_value.ToString();
StockAccountDictionary[alias].StockFrozenValue = stock_frozen_value.ToString();
StockAccountDictionary[alias].StockValue = stock_cost.ToString();
StockAccountDictionary[alias].Total = stock_total.ToString();
StockAccountDictionary[alias].UpdateTime = DateTime.Now;
}
//更新期货资金Dictionary
lock (FutureAccountDictionary)
{
FutureAccountDictionary[alias].CashDeposit = cash_deposit.ToString();
FutureAccountDictionary[alias].DynamicInterests = dynamic_interests.ToString();
FutureAccountDictionary[alias].ExpendableFund = expendableFund.ToString();
FutureAccountDictionary[alias].FrozenValue = frozen_cash_deposit.ToString();
FutureAccountDictionary[alias].OffsetGain = offset_gain.ToString();
FutureAccountDictionary[alias].OpsitionGain = opsition_gain.ToString();
FutureAccountDictionary[alias].StatisInterests = static_intrests.ToString();
FutureAccountDictionary[alias].UpdateTime = DateTime.Now;
}
//返回账户信息
AccountInfo accinfo = new AccountInfo();
accinfo.positions = new List <AccountPosition>();
accinfo.entrusts = new List <AccountEntrust>();
accinfo.riskFrozenInfo = new List <RiskFrozenInfo>();
accinfo.account = stock_balance.ToString();
accinfo.alias = alias;
accinfo.balance = stock_balance.ToString();
accinfo.cost = stock_cost.ToString();
accinfo.earning = stock_earning.ToString();
foreach (ERecord item in Erecords)
{
accinfo.entrusts.Add(new AccountEntrust()
{
code = item.Code,
dealAmount = item.DealAmount.ToString(),
dealMoney = item.DealFrezonMoney.ToString(),
exchange = item.ExchangeId,
requestAmount = item.Amount.ToString(),
requestPrice = item.OrderPrice.ToString(),
direction = item.Direction.ToString(),
orderRef = item.OrderRef.ToString(),
orderSysRef = item.SysOrderRef.ToString()
});
}
accinfo.faccount = expendableFund.ToString();
accinfo.fbond = cash_deposit.ToString();
accinfo.fincome = (opsition_gain + offset_gain).ToString();
accinfo.frisk = (future_risk * 100).ToString() + "%";
accinfo.frozen = frozen_cash_deposit.ToString();
accinfo.fstockvalue = future_stock_marketvalue.ToString();
accinfo.fvalue = dynamic_interests.ToString();
accinfo.name = info.name;
foreach (CC_TAOLI_TABLE item in CC_Stock_records)
{
accinfo.positions.Add(new AccountPosition()
{
amount = item.CC_AMOUNT.ToString(),
code = item.CC_CODE,
direction = item.CC_DIRECTION,
name = item.CC_USER,
price = item.CC_BUY_PRICE.ToString(),
type = item.CC_TYPE
});
}
foreach (CC_TAOLI_TABLE item in CC_Future_records)
{
accinfo.positions.Add(new AccountPosition()
{
amount = item.CC_AMOUNT.ToString(),
code = item.CC_CODE,
direction = item.CC_DIRECTION,
name = item.CC_USER,
price = item.CC_BUY_PRICE.ToString(),
type = item.CC_TYPE
});
}
accinfo.risk_exposure = "0";
accinfo.riskFrozenInfo = new List <RiskFrozenInfo>();
foreach (RiskFrozenInfo record in Risk_Frozen_records)
{
accinfo.riskFrozenInfo.Add(record);
}
accinfo.value = market_value.ToString();
return(accinfo);
}
/// <summary>
/// 风控检测
/// 仅针对股票买入和期货开仓进行判断
/// 新交易影响持仓参数：
/// 股票：
/// 可用资金减少
/// 股票成本增加
/// 风控冻结资金量增加
/// 期货：
/// 期货冻结资金增加
/// 可用资金减少
/// </summary>
/// <param name="alias">用户名</param>
/// <param name="orderlist">交易列表</param>
/// <param name="result">结果</param>
/// <returns>是否通过风控</returns>
public static bool RiskDetection(string alias, List <TradeOrderStruct> orderlist, out string result)
{
result = string.Empty;
if (alias == null)
{
return(false);
}
//第一步： 计算新交易引入后对于股票，期货持仓参数的预见性影响
alias = alias.Trim();
//风控错误码
int errCode = 0;
//默认策略号
String StrategyId = "000";
if (orderlist != null && orderlist.Count > 0)
{
StrategyId = orderlist[0].belongStrategy;
}
//获取真实实时账户信息
UserInfo user = DBAccessLayer.GetOneUser(alias);
if (user == null)
{
result = "未查到用户：" + alias;
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = 0,
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//刷新内存中的资金信息
AccountInfo current_account = accountMonitor.UpdateAccountList(user);
StockAccountTable stock_account = accountMonitor.GetStockAccount(alias);
if (stock_account == null)
{
result = "stockAccountDictionary中不存在用户：" + alias;
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = 0,
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
FutureAccountTable future_account = accountMonitor.GetFutureAccount(alias);
if (future_account == null)
{
result = "futureAccountDictionary中不存在用户： " + alias;
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = 0,
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//计划买入股票交易列表
var Stock_to_buy_var = (from item
in orderlist
where item.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy &&
(item.cSecurityType == "S" || item.cSecurityType == "s")
select item);
List <TradeOrderStruct> Stock_to_buy = new List <TradeOrderStruct>();
if (Stock_to_buy_var.Count() != 0)
{
Stock_to_buy = Stock_to_buy_var.ToList();
}
//计划卖出股票交易列表
var Stock_to_sell_var = (from item
in orderlist
where item.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionSell &&
(item.cSecurityType == "S" || item.cSecurityType == "s")
select item);
List <TradeOrderStruct> Stock_to_sell = new List <TradeOrderStruct>();
if (Stock_to_sell_var.Count() != 0)
{
Stock_to_sell = Stock_to_sell_var.ToList();
}
//计划开仓期货交易列表
var Future_to_open_var = (from item
in orderlist
where item.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetOpen &&
(item.cSecurityType == "F" || item.cSecurityType == "f")
select item);
List <TradeOrderStruct> Future_to_open = new List <TradeOrderStruct>();
if (Future_to_open_var.Count() != 0)
{
Future_to_open = Future_to_open_var.ToList();
}
//计划平仓期货交易列表
var Future_to_close_var = (from item
in orderlist
where item.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetClose &&
(item.cSecurityType == "F" || item.cSecurityType == "f")
select item);
List <TradeOrderStruct> Future_to_close = new List <TradeOrderStruct>();
if (Future_to_close_var.Count() != 0)
{
Future_to_close = Future_to_close_var.ToList();
}
//计算预期购买股票成本
double stock_etimate_add_cost = 0;
foreach (TradeOrderStruct order in Stock_to_buy)
{
stock_etimate_add_cost += order.dOrderPrice * order.nSecurityAmount;
}
//计算预期期货追加保证金
double future_estimate_add_deposit = 0;
//计算预期期货对应股票市值变化值
double future_estimate_market_value = 0;
foreach (TradeOrderStruct order in Future_to_open)
{
future_estimate_add_deposit += (order.nSecurityAmount * order.dOrderPrice * AccountPARA.MarginValue * AccountPARA.Factor(order.cSecurityCode));
if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionBuy)
{
future_estimate_market_value += (order.nSecurityAmount * order.dOrderPrice * AccountPARA.Factor(order.cSecurityCode));
}
else if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionSell)
{
future_estimate_market_value -= (order.nSecurityAmount * order.dOrderPrice * AccountPARA.Factor(order.cSecurityCode));
}
}
//第二步： 计算修改的资金账户参数是否满足风控指标要求
//判断卖出/平仓证券是否小于持仓
#region 黑白名单判断及总股本限制
//获得白名单
List <BWNameTable> BWRecords = DBAccessLayer.GetWBNamwList();
foreach (TradeOrderStruct tos in orderlist)
{
BWNameTable BW_record = BWRecords.Find(delegate(BWNameTable item) { return(item.Code.Trim() == tos.cSecurityCode.Trim()); });
if (BW_record == null)
{
errCode = 4;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = tos.dOrderPrice,
amount = Convert.ToInt32(tos.nSecurityAmount),
err = result,
orientation = tos.cTradeDirection,
code = tos.cSecurityCode.Trim(),
strid = tos.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
if (tos.cSecurityType.ToUpper() == "S" && tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
//判断总股本数量和流通股数量限制
double buylimit = Convert.ToDouble(BW_record.PercentageA) * Convert.ToDouble(BW_record.Amount);
double buylimit2 = Convert.ToDouble(BW_record.PercentageB) * Convert.ToDouble(BW_record.Value);
int entrust_amount = 0;
AccountEntrust entrust_record = current_account.entrusts.Find(
delegate(AccountEntrust item)
{
return(item.code == tos.cSecurityCode);
}
);
if (entrust_record != null)
{
entrust_amount = Convert.ToInt32(entrust_record.dealAmount);
}
int position_amount = 0;
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.code == tos.cSecurityCode);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
//总股本限制
if (tos.nSecurityAmount + entrust_amount + position_amount > buylimit)
{
errCode = 5;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = tos.dOrderPrice,
amount = Convert.ToInt32(tos.nSecurityAmount),
err = result,
orientation = tos.cTradeDirection,
code = tos.cSecurityCode.Trim(),
strid = tos.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//流通股限制
if (tos.nSecurityAmount + entrust_amount + position_amount > buylimit2)
{
errCode = 5;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = tos.dOrderPrice,
amount = Convert.ToInt32(tos.nSecurityAmount),
err = result,
orientation = tos.cTradeDirection,
code = tos.cSecurityCode.Trim(),
strid = tos.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
#endregion
#region 判断卖出/平仓证券是否小于持仓
foreach (TradeOrderStruct order in orderlist)
{
if (order.cSecurityType == "F" || order.cSecurityType == "f")
{
if (order.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetClose)
{
int position_amount = 0;
//期货平仓交易，需要判断对应开仓数量是否满足
if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionBuy)
{
//买入平仓，需要判断卖出开仓数量
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.direction == TradeOrientationAndFlag.FutureTradeDirectionSell && order.cSecurityCode == item.code);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
if (order.nSecurityAmount > position_amount)
{
//买入平仓数量小于卖出仓位，交易被拒绝。
errCode = 12;
result = accountMonitor.GetErrorCode(errCode, order.cSecurityCode + "|" + position_amount + "|" + order.cTradeDirection);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = order.dOrderPrice,
amount = Convert.ToInt32(order.nSecurityAmount),
err = result,
orientation = order.cTradeDirection,
code = order.cSecurityCode.Trim(),
strid = order.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
else if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionSell)
{
//卖出平仓，需要判断买入开仓的数量
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.direction == TradeOrientationAndFlag.FutureTradeDirectionBuy && order.cSecurityCode == item.code);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
if (order.nSecurityAmount > position_amount)
{
//卖出平仓数量小于买入仓位，交易被拒绝。
errCode = 12;
result = accountMonitor.GetErrorCode(errCode, order.cSecurityCode + "|" + position_amount + "|" + order.cTradeDirection);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = order.dOrderPrice,
amount = Convert.ToInt32(order.nSecurityAmount),
err = result,
orientation = order.cTradeDirection,
code = order.cSecurityCode.Trim(),
strid = order.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
}
else if (order.cSecurityType == "S" || order.cSecurityType == "s")
{
if (order.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionSell)
{
//股票卖出交易，需要判断当前持仓数量是否满足
int entrust_amount = 0;
AccountEntrust entrust_record = current_account.entrusts.Find(
delegate(AccountEntrust item)
{
return(item.code == order.cSecurityCode && item.direction == TradeOrientationAndFlag.StockTradeDirectionSell);
}
);
if (entrust_record != null)
{
entrust_amount = Convert.ToInt32(entrust_record.dealAmount);
}
int position_amount = 0;
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.code == order.cSecurityCode);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
//判断当前持仓和委托+下单卖出总和比较
if (order.nSecurityAmount + entrust_amount > position_amount)
{
errCode = 11;
result = accountMonitor.GetErrorCode(errCode, order.cSecurityCode + "|" + (entrust_amount + position_amount).ToString());
RiskInfo info = new RiskInfo()
{
alias = alias,
price = order.dOrderPrice,
amount = Convert.ToInt32(order.nSecurityAmount),
err = result,
orientation = order.cTradeDirection,
code = order.cSecurityCode.Trim(),
strid = order.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
}
#endregion
#region 判断买入股票和期货需要资金是否高于当前可用资金
//预期股票剩余资金
double stock_balance = Convert.ToDouble(current_account.account) - stock_etimate_add_cost;
if (stock_balance <= 0)
{
errCode = 1;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//预期期货可用资金
double future_balance = Convert.ToDouble(current_account.faccount) - future_estimate_add_deposit;
if (future_balance <= 0)
{
errCode = 2;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 单一股票占总资产不超过5%
//总资产
double totalAccount = Convert.ToDouble(current_account.account) + Convert.ToDouble(current_account.fstockvalue) + Convert.ToDouble(current_account.fvalue);
foreach (TradeOrderStruct tos in orderlist)
{
if (tos.cSecurityType.ToUpper() == "S")
{
if (CheckStockException(tos.cSecurityCode))
{
continue;
}
if (tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
double entrust_value = 0;
AccountEntrust entrust_record = current_account.entrusts.Find(
delegate(AccountEntrust item)
{
return(item.code == tos.cSecurityCode);
}
);
if (entrust_record != null)
{
entrust_value = Convert.ToDouble(entrust_record.dealMoney) * Convert.ToDouble(entrust_record.dealAmount);
}
double position_value = 0;
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.code == tos.cSecurityCode);
}
);
if (position_record != null)
{
position_value = Convert.ToDouble(position_record.price) * Convert.ToDouble(position_record.amount);
}
if ((tos.nSecurityAmount * tos.dOrderPrice + entrust_value + position_value) / totalAccount > riskPara.PerStockCostPercentage)
{
errCode = 6;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
}
#endregion
#region 股票所占投资总额不超过80%
//总市值，totalAccount
//当前股票成本 ， current_account.cost + 委托中的买入股票成本
double estimate_stock_value = Convert.ToDouble(current_account.value);
foreach (AccountEntrust record in current_account.entrusts)
{
if (record.direction == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
estimate_stock_value += Convert.ToDouble(record.dealMoney) * Convert.ToDouble(record.dealAmount);
}
}
foreach (RiskFrozenInfo record in current_account.riskFrozenInfo)
{
if (record.Type.ToUpper() == "S" && record.TradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
estimate_stock_value += Convert.ToDouble(record.FrozenCost);
}
}
estimate_stock_value += stock_etimate_add_cost;
if (estimate_stock_value / totalAccount > riskPara.stockRatio)
{
errCode = 13;
result = accountMonitor.GetErrorCode(errCode, (estimate_stock_value / totalAccount * 100).ToString());
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 单日期货交易次数不超过10手
if (FutureTradeTimes.Keys.Contains(alias))
{
if (DateTime.Now.Hour > 16)
{
//下午四点后，默认计数清零
FutureTradeTimes[alias] = 0;
}
if (DateTime.Now.DayOfWeek == DayOfWeek.Saturday || DateTime.Now.DayOfWeek == DayOfWeek.Sunday)
{
//周末直接清零
FutureTradeTimes[alias] = 0;
}
}
else
{
FutureTradeTimes.Add(alias, 0);
}
int future_trade_hand_count = 0;
foreach (TradeOrderStruct tos in orderlist)
{
if (tos.cSecurityType.ToUpper() == "F" && tos.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetOpen)
{
//只有期货开仓才会计入数量限制，平仓不限
future_trade_hand_count += Convert.ToInt32(tos.nSecurityAmount);
}
}
if (FutureTradeTimes[alias] + future_trade_hand_count > 10)
{
errCode = 10;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 期货风险度和敞口比例
//期货风险度
double risk_radio = (Convert.ToDouble(current_account.fbond) + future_estimate_add_deposit) / (Convert.ToDouble(current_account.fvalue));
if (risk_radio >= riskPara.riskLevel)
{
errCode = 8;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 监控用户登录判断
if (!userOper.CheckMonitorUser(CONFIG.GlobalMonitor))
{
errCode = 14;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
//敞口
foreach (TradeOrderStruct tos in orderlist)
{
//股票卖出和期货平仓交易不计算敞口
if (tos.cSecurityType.ToUpper() == "S" && tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionSell)
{
continue;
}
if (tos.cSecurityType.ToUpper() == "F" && tos.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetClose)
{
continue;
}
//股票买入和期货开仓需要通过敞口验证
double changkouRatio = 0;
if (!((Convert.ToDouble(current_account.value) + stock_etimate_add_cost) == 0))
{
changkouRatio = (Convert.ToDouble(current_account.fstockvalue) + future_estimate_market_value + Convert.ToDouble(current_account.value) + stock_etimate_add_cost) / (Convert.ToDouble(current_account.value) + stock_etimate_add_cost);
if (Math.Abs(changkouRatio) > riskPara.changkouRatio)
{
errCode = 9;
result = accountMonitor.GetErrorCode(errCode, changkouRatio.ToString());
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
//return false;
}
}
else
{
errCode = 9;
result = accountMonitor.GetErrorCode(errCode, "无穷大");
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
//return false;
}
}
//第三部： 实际减少股票资金
foreach (TradeOrderStruct tos in orderlist)
{
if (tos.cSecurityType.ToUpper() == "S")
{
if (tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
//股票交易买入需要计入风控列表
accountMonitor.UpdateRiskFrozonAccount(user.alias, tos.cSecurityCode, Convert.ToInt32(tos.nSecurityAmount), tos.nSecurityAmount
* tos.dOrderPrice, "S", tos.cTradeDirection);
}
}
else if (tos.cSecurityType.ToUpper() == "F")
{
if (tos.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetOpen)
{
//期货交易开仓需要计入风控列表
accountMonitor.UpdateRiskFrozonAccount(user.alias, tos.cSecurityCode, Convert.ToInt32(tos.nSecurityAmount), tos.nSecurityAmount * tos.dOrderPrice, "F", tos.cTradeDirection);
}
}
}
errCode = 0;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo infoSuccess = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(infoSuccess));
return(true);
}