/// <summary>
/// Initializes a new instance of the <see cref="Portfolio"/> class.
/// </summary>
/// <param name="clock">The clock.</param>
/// <param name="actionscheduler">The actionscheduler.</param>
/// <param name="brokerconnection">The brokerconnection.</param>
/// <param name="brokermodel">The brokermodel.</param>
/// <param name="currency">The currency.</param>
/// <param name="eventrunner">The eventrunner.</param>
/// <param name="exceptionhandler">The exceptionhandler.</param>
/// <param name="orderTicketHandler">The order ticket handler.</param>
/// <param name="brokeraccount">The brokeraccount.</param>
/// <param name="cashmanager">The cashmanager.</param>
/// <param name="runmode">The runmode.</param>
/// <param name="datafeed">The datafeed.</param>
/// <param name="benchmark">The benchmark.</param>
/// <param name="id">The identifier.</param>
public Portfolio(WorldClock clock, ActionsScheduler actionscheduler, BrokerConnection brokerconnection, BrokerModel brokermodel,
Currency currency, EventRunner eventrunner, ExceptionHandler exceptionhandler, OrderTicketHandler orderTicketHandler,
BrokerAccount brokeraccount, CashManager cashmanager, RunMode runmode, DataFeed datafeed, Benchmark benchmark, string id = "")
{
//Set references
ActionsScheduler = actionscheduler;
BrokerAccount = brokeraccount;
BrokerConnection = brokerconnection;
BrokerModel = brokermodel;
Clock = clock;
Currency = currency;
EventRunner = eventrunner;
ExceptionHandler = exceptionhandler;
CashManager = cashmanager;
OrderTicketHandler = orderTicketHandler;
_porfolioBenchmark = benchmark;
//Set initial items
Id = id;
IsBacktesting = runmode == RunMode.Backtester;
OrderFactory = new OrderFactory(this, BrokerModel);
OrderTracker = new OrderTracker(this);
Subscription = new DataSubscriptionManager(datafeed, CashManager);
Results = new Result(0, _porfolioBenchmark);
//Portfolio benchmark is not used
benchmark.OnCalc(x => 0);
}
public async Task <BrokerAccount> CreateAccount(string playerName)
{
var Bank = cache.Get <AllBankRecords>(playerName + "_Bank");
if (Bank == null)
{
throw new System.Exception("Bank account needs to be created first!");
}
var Broker = cache.Get <AllBankRecords>(playerName + "_Broker");
if (Broker != null)
{
throw new System.Exception("Broker account has been already created for this user!");
}
BrokerAccount newPlayer = new BrokerAccount()
{
};
newPlayer.PlayerName = playerName;
var allBrokerData = new AllBrokerData()
{
};
allBrokerData.Accounts = newPlayer;
cache.Set(newPlayer.PlayerName + "_Broker", allBrokerData, Constants.cacheTime);
return(newPlayer);
}
public override void OnStrategyStart()
{
base.OnStrategyStart();
// 测试用，自定义交易时间，仿真或实盘时可删除
base.TimeHelper = new TimeHelper(new int[] { 0, 2400 }, 2100, 1458);
base.TargetPosition = 0;
//base.DualPosition.Long.Qty = 0;
//base.DualPosition.Long.QtyToday = 0;
//base.DualPosition.Short.Qty = 0;
//base.DualPosition.Short.QtyToday = 0;
if (BrokerInfo == null)
{
// 使用静态的主要原因是每个实例都来取一次没有必要
BrokerInfo = DataManager.GetBrokerInfo();
}
if (BrokerInfo.Accounts.Count > 0)
{
BrokerAccount brokerAccount = BrokerInfo.Accounts[0];
GetBrokerInfoHelper.Transform(brokerAccount, base.DualPosition);
}
LoadHistoricalBars(Clock.Now);
BarSeries bars1min = GetBars(BarType.Time, BarSize);
fastSMA = new SMA(bars1min, fastLength, Color.Red);
slowSMA = new SMA(bars1min, slowLength, Color.Green);
Draw(fastSMA, 0);
Draw(slowSMA, 0);
}
/// <summary>
/// Settle funds, delayed
/// </summary>
/// <param name="account">The account.</param>
/// <param name="quantfund">The quantfund.</param>
/// <param name="security">The security.</param>
/// <param name="occureddtutc">The occureddtutc.</param>
/// <param name="amount">The amount.</param>
public void SettleFunds(BrokerAccount account, Security security, DateTime occureddtutc, decimal amount, IQuantFund quantfund = null)
{
//Added funds
if (amount > 0)
{
//Get exchangeModel based local time
DateTime settlementdate = security.Exchange.LocalTime;
//Check for date based on market opened date and time
for (int i = 0; i < DelayedDays; i++)
{
settlementdate = settlementdate.AddDays(i);
if (!security.Exchange.IsOpenOnDate(settlementdate))
{
i--;
}
}
//Get correct date and time
settlementdate = settlementdate.Add(TimeOfDay);
//Convert time of day from local exchangeModel timezone to utc based time
settlementdate = settlementdate.ConvertTo(security.Exchange.TimeZone, TimeZone.Utc);
//Add unsettled funds (to be settled on a later time and date)
account.Cash.AddCash(security.BaseCurrency, amount, quantfund, settlementdate);
}
else //Used funds, settle right away
{
account.Cash.AddCash(security.BaseCurrency, amount, quantfund);
}
}
/// <summary>
/// Initialize position tracker
/// </summary>
/// <param name="account"></param>
/// <param name="fundid"></param>
/// <param name="benchmark"></param>
/// <param name="initialcapital"></param>
public PositionTracker(BrokerAccount account, string fundid = "", Benchmark benchmark = null, decimal initialcapital = 0m)
{
Account = account;
_fundId = fundid;
Result = new Result(initialcapital, benchmark);
}
private void H4vuEjxO1C(BinaryWriter obj0, BrokerAccount obj1)
{
obj0.Write(obj1.Name);
obj0.Write(obj1.BuyingPower);
BrokerOrder[] orders = obj1.GetOrders();
obj0.Write(orders.Length);
foreach (BrokerOrder brokerOrder in orders)
{
this.RoYu8jI0tu(obj0, brokerOrder);
}
BrokerPosition[] positions = obj1.GetPositions();
obj0.Write(positions.Length);
foreach (BrokerPosition brokerPosition in positions)
{
this.oR3uofPPWO(obj0, brokerPosition);
}
BrokerAccountField[] fields = obj1.GetFields();
obj0.Write(fields.Length);
foreach (BrokerAccountField brokerAccountField in fields)
{
obj0.Write(brokerAccountField.Name);
obj0.Write(brokerAccountField.Value);
obj0.Write(brokerAccountField.Currency);
}
}
private BrokerAccount cKpu5qjmIn(BinaryReader obj0)
{
string name1 = obj0.ReadString();
double num1 = obj0.ReadDouble();
BrokerAccount brokerAccount = new BrokerAccount(name1);
brokerAccount.BuyingPower = num1;
int num2 = obj0.ReadInt32();
for (int index = 0; index < num2; ++index)
{
brokerAccount.AddOrder(this.vHxhvWlydv(obj0));
}
int num3 = obj0.ReadInt32();
for (int index = 0; index < num3; ++index)
{
brokerAccount.AddPosition(this.lrvuzgJsBI(obj0));
}
int num4 = obj0.ReadInt32();
for (int index = 0; index < num4; ++index)
{
string name2 = obj0.ReadString();
string str = obj0.ReadString();
string currency = obj0.ReadString();
brokerAccount.AddField(name2, currency, str);
}
return(brokerAccount);
}
public BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (IsConnected)
{
tdlog.Info("GetBrokerInfo");
//TraderApi.TD_ReqQryTradingAccount(m_pTdApi);
//TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null);
//timerAccount.Enabled = false;
//timerAccount.Enabled = true;
//timerPonstion.Enabled = false;
//timerPonstion.Enabled = true;
BrokerAccount brokerAccount = new BrokerAccount(m_TradingAccount.AccountID) { BuyingPower = m_TradingAccount.Available };
Type t = typeof(CThostFtdcTradingAccountField);
FieldInfo[] fields = t.GetFields(BindingFlags.Public | BindingFlags.Instance);
foreach (FieldInfo field in fields)
{
brokerAccount.AddField(field.Name, field.GetValue(m_TradingAccount).ToString());
}
DataRow[] rows = _dbInMemInvestorPosition.SelectAll();
foreach (DataRow dr in rows)
{
BrokerPosition brokerPosition = new BrokerPosition {
Symbol = dr[DbInMemInvestorPosition.InstrumentID].ToString()
};
int pos = (int)dr[DbInMemInvestorPosition.Position];
TThostFtdcPosiDirectionType PosiDirection = (TThostFtdcPosiDirectionType)dr[DbInMemInvestorPosition.PosiDirection];
if (TThostFtdcPosiDirectionType.Long == PosiDirection)
{
brokerPosition.LongQty = pos;
}
else if (TThostFtdcPosiDirectionType.Short == PosiDirection)
{
brokerPosition.ShortQty = pos;
}
else
{
if (pos >= 0)//净NET这个概念是什么情况？
brokerPosition.LongQty = pos;
else
brokerPosition.ShortQty = -pos;
}
brokerPosition.Qty = brokerPosition.LongQty - brokerPosition.ShortQty;
brokerPosition.AddCustomField(DbInMemInvestorPosition.PosiDirection, PosiDirection.ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.HedgeFlag, ((TThostFtdcHedgeFlagType)dr[DbInMemInvestorPosition.HedgeFlag]).ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.PositionDate, ((TThostFtdcPositionDateType)dr[DbInMemInvestorPosition.PositionDate]).ToString());
brokerAccount.AddPosition(brokerPosition);
}
brokerInfo.Accounts.Add(brokerAccount);
}
return brokerInfo;
}
public BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (IsConnected)
{
if (_bTdConnected)
{
}
else
{
return(brokerInfo);
}
BrokerAccount brokerAccount = new BrokerAccount(m_TradingAccount.AccountID)
{
BuyingPower = m_TradingAccount.Available
};
Type t = typeof(CThostFtdcTradingAccountField);
FieldInfo[] fields = t.GetFields(BindingFlags.Public | BindingFlags.Instance);
foreach (FieldInfo field in fields)
{
brokerAccount.AddField(field.Name, field.GetValue(m_TradingAccount).ToString());
}
foreach (CThostFtdcInvestorPositionField pos in _dictPositions.Values)
{
BrokerPosition brokerPosition = new BrokerPosition
{
Symbol = pos.InstrumentID
};
if (TThostFtdcPosiDirectionType.Long == pos.PosiDirection)
{
brokerPosition.LongQty = pos.Position;
}
else if (TThostFtdcPosiDirectionType.Short == pos.PosiDirection)
{
brokerPosition.ShortQty = pos.Position;
}
brokerPosition.Qty = brokerPosition.LongQty - brokerPosition.ShortQty;
Type t2 = typeof(CThostFtdcInvestorPositionField);
FieldInfo[] fields2 = t2.GetFields(BindingFlags.Public | BindingFlags.Instance);
foreach (FieldInfo field in fields2)
{
brokerPosition.AddCustomField(field.Name, field.GetValue(pos).ToString());
}
brokerAccount.AddPosition(brokerPosition);
}
brokerInfo.Accounts.Add(brokerAccount);
}
return(brokerInfo);
}
/// <summary>
/// Sends the performance information messages.
/// </summary>
/// <param name="account"></param>
/// <param name="quantfunds">The quantfunds.</param>
public void SendPerformanceInfoMessages(BrokerAccount account, IQuantFund[] quantfunds)
{
if (!IsRunning || !HasSubscribers)
{
return;
}
quantfunds.ForEach(x => Enqueue(PerformanceInfoMessage.Create(x.FundId, x.Results, account.DisplayCurrency)));
}
public void Start(int barsPause = 0)
{
this.barsPause = barsPause;
if (dataStreamSource is string)
{
string barDataFile = dataStreamSource as string;
BacktestBroker backtestBroker = new BacktestBroker();
brokerAccount = new BrokerAccount();
backtestBroker.LoadAccount(brokerAccount, cacheId);
backtestSession = backtestBroker.CreateSession(brokerAccount.AccountId, tickerType, barType, dataStreamSource.ToString(), cacheId);
foreach (AnalyticsItem item in registeredAnalytics)
{
if (item.AnaylticsType == AnalyticsTypeOption.Indicator)
{
backtestSession.Indicators.Add <IIndicatorCore>(item.Instance as IIndicatorCore);
}
if (item.AnaylticsType == AnalyticsTypeOption.Signal)
{
backtestSession.Signals.Add <ISignal>(item.Instance as ISignal);
}
}
barCount = 0;
backtestSession.NewBar += OnNewBar;
backtestSession.Signals.OpenCache(barType);
backtestSession.Start();
backtestSession.Signals.CloseCache(barType);
//SignalCacheNavigator signalCacheNavigator = new SignalCacheNavigator("cache", barType, cacheId, registeredAnalytics[0].IdentityCode);
//ignalDataFrame signalDataFrame= signalCacheNavigator.GetSignalDataFrame(signalCacheNavigator.StartBarDate, 300);
chartControl.Initialize(200, 100, "cache", barType, cacheId, registeredAnalytics[0].IdentityCode);
if (barsPause == 0)
{
//Refresh();
}
//double profit= brokerAccount.Orders.GetTotalProfit(SpotForex.EURUSD);
//double loss = brokerAccount.Orders.GetTotalLoss(SpotForex.EURUSD);
}
}
public void OnFundStatusReport(object sender, FundStatusReportEventArgs e)
{
this.brokerAccount = new BrokerAccount("国信-" + this.fundID);
this.brokerAccount.AddField("Balance", e.Balance.ToString());
this.brokerAccount.AddField("AvailableBalance", e.AvailableBalance.ToString());
this.brokerAccount.AddField("TotalAssets", e.TotalAssets.ToString());
this.brokerAccount.AddField("CapitalAssets", e.CapitalAssets.ToString());
this.brokerAccount.AddField("MarketValue", e.MarketValue.ToString());
this.brokerAccount.AddField("BuyFreezed", e.BuyFreezed.ToString());
this.brokerAccount.BuyingPower = e.AvailableBalance;
}
/// <summary>
/// Settle funds to account right away
/// </summary>
/// <param name="account">The account.</param>
/// <param name="quantfund">The quantfund.</param>
/// <param name="security">The security.</param>
/// <param name="occureddtutc">The occureddtutc.</param>
/// <param name="amount">The amount.</param>
/// <exception cref="NullReferenceException">Could not find quant fund for settlement</exception>
public void SettleFunds(BrokerAccount account, Security security, DateTime occureddtutc, decimal amount, IQuantFund quantfund = null)
{
//check if we found agent
if (quantfund == null)
{
throw new NullReferenceException("Could not find quant fund for settlement");
}
//Add settled funds
account.Cash.AddCash(security.BaseCurrency, amount, quantfund);
}
public BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (IsConnected)
{
if (_bTdConnected)
{
}
else
{
return brokerInfo;
}
BrokerAccount brokerAccount = new BrokerAccount(m_TradingAccount.AccountID) { BuyingPower = m_TradingAccount.Available };
Type t = typeof(CThostFtdcTradingAccountField);
FieldInfo[] fields = t.GetFields(BindingFlags.Public | BindingFlags.Instance);
foreach (FieldInfo field in fields)
{
brokerAccount.AddField(field.Name, field.GetValue(m_TradingAccount).ToString());
}
foreach (CThostFtdcInvestorPositionField pos in _dictPositions.Values)
{
BrokerPosition brokerPosition = new BrokerPosition
{
Symbol = pos.InstrumentID
};
if (TThostFtdcPosiDirectionType.Long == pos.PosiDirection)
{
brokerPosition.LongQty = pos.Position;
}
else if (TThostFtdcPosiDirectionType.Short == pos.PosiDirection)
{
brokerPosition.ShortQty = pos.Position;
}
brokerPosition.Qty = brokerPosition.LongQty - brokerPosition.ShortQty;
Type t2 = typeof(CThostFtdcInvestorPositionField);
FieldInfo[] fields2 = t2.GetFields(BindingFlags.Public | BindingFlags.Instance);
foreach (FieldInfo field in fields2)
{
brokerPosition.AddCustomField(field.Name, field.GetValue(pos).ToString());
}
brokerAccount.AddPosition(brokerPosition);
}
brokerInfo.Accounts.Add(brokerAccount);
}
return brokerInfo;
}
public BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (!this.isConnected)
{
this.EmitError(this.Id, -1, "The TDXTradeProvider is not connected.");
return(brokerInfo);
}
ReportArgs rargs = this.trader.QueryFund();
if (rargs.Succeeded && rargs.Result != null)
{
FundRecord fundRecord = (FundRecord)rargs.Result;
BrokerAccount brokerAccount = new BrokerAccount("通达信-" + this.fundID);
brokerAccount.AddField("Balance", fundRecord.Balance.ToString());
brokerAccount.AddField("Available", fundRecord.Available.ToString());
brokerAccount.AddField("TotalAssets", fundRecord.TotalAsserts.ToString());
brokerAccount.AddField("Desirable", fundRecord.Desirable.ToString());
brokerAccount.AddField("MarketValue", fundRecord.MarketValue.ToString());
brokerAccount.AddField("Frozen", fundRecord.Frozen.ToString());
brokerAccount.BuyingPower = fundRecord.Available;
brokerInfo.Accounts.Add(brokerAccount);
rargs = this.trader.QueryPositions();
if (rargs.Succeeded && rargs.Result != null)
{
List <PositionRecord> positions = (List <PositionRecord>)rargs.Result;
foreach (PositionRecord position in positions)
{
BrokerPosition brokerPosition = new BrokerPosition();
brokerPosition.SecurityExchange = position.SecurityExchange;
brokerPosition.Symbol = position.SecurityExchange + "." + position.SecurityID;
brokerPosition.AddCustomField("Available", position.Available.ToString());
brokerPosition.Qty = position.Quantity;
brokerPosition.AddCustomField("CostPrice", position.CostPrice.ToString());
brokerPosition.LongQty = position.Quantity;
brokerAccount.AddPosition(brokerPosition);
}
}
else
{
this.EmitError(this.Id, -1, rargs.ErrorInfo);
}
}
else
{
this.EmitError(this.Id, -1, rargs.ErrorInfo);
}
return(brokerInfo);
}
/// <summary>
/// Check if margin calls are applicable and reveive any order tickets associated to this margin call
/// </summary>
/// <param name="quantFunds"></param>
/// <param name="account"></param>
/// <param name="marginwarning"></param>
/// <returns></returns>
public OrderTicket[] CheckMarginCall(IQuantFund[] quantFunds, BrokerAccount account, out bool marginwarning)
{
//Initials
marginwarning = false;
List <OrderTicket> toreturn = new List <OrderTicket>();
//Check margin in use
if (account.MarginInUse == 0)
{
return(toreturn.ToArray());
}
//Check margin level warning
if (account.MarginLevel <= account.MarginCallLevel)
{
marginwarning = true;
}
//Generate margin call orders
decimal marginneeded = account.Equity * .2M;
//No margin left == margin call
if (account.FreeMargin <= marginneeded)
{
//Set level of margin we need to thrive for
decimal marginprocessed = Math.Abs(account.FreeMargin - marginneeded);
//Go trough all positions
foreach (var position in quantFunds.SelectMany(x => x.Positions)
.Where(x => !x.IsFlat)
.OrderBy(x => x.NetProfit))
{
//Check for order
var quantfund = quantFunds.First(x => x.Positions[position.Security].Quantity == position.Quantity);
var order = GetMarginCallOrder(quantfund.FundId, position, ref marginprocessed);
if (order != null && order.Quantity != 0)
{
toreturn.Add(order);
}
//Check processed margin
if (marginprocessed <= 0)
{
break;
}
}
}
//Return orders
return(toreturn.ToArray());
}
public void M2Timeframe()
{
BacktestBroker backtestBroker = new BacktestBroker();
BrokerAccount brokerAccount = new BrokerAccount();
backtestBroker.LoadAccount(new BrokerAccount(), Guid.Empty);
BacktestSession backtestSession = backtestBroker.CreateSession(brokerAccount.AccountId, SpotForex.EURUSD, Timeframes.M1, @"data\EURUSD-M1.bar", Guid.Empty);
BollingerBands bollingerBands = new BollingerBands(Timeframes.M2, 21);
backtestSession.Indicators.Add(bollingerBands);
backtestSession.Start();
}
public void MACDTest()
{
BacktestBroker backtestBroker = new BacktestBroker();
BrokerAccount brokerAccount = new BrokerAccount();
backtestBroker.LoadAccount(new BrokerAccount(), Guid.Empty);
BacktestSession backtestSession = backtestBroker.CreateSession(brokerAccount.AccountId, SpotForex.EURUSD, Timeframes.M1, @"data\EURUSD-M1.bar", Guid.Empty);
MACD macd = new MACD(Timeframes.M1, 12, 26, 9);
backtestSession.Indicators.Add(macd);
backtestSession.Start();
}
public void EMATest()
{
BacktestBroker backtestBroker = new BacktestBroker();
BrokerAccount brokerAccount = new BrokerAccount();
backtestBroker.LoadAccount(new BrokerAccount(), Guid.Empty);
BacktestSession backtestSession = backtestBroker.CreateSession(brokerAccount.AccountId, SpotForex.EURUSD, Timeframes.M1, @"data\EURUSD-M1.bar", Guid.Empty);
EMA ema = new EMA(Timeframes.M1, 100);
backtestSession.Indicators.Add(ema);
backtestSession.Start();
}
public static void Tarnsform(BrokerAccount brokerAccount, string Symbol,
out int LongQtyToday,
out int LongQtyYd,
out int ShortQtyToday,
out int ShortQtyYd
)
{
LongQtyToday = 0;
LongQtyYd = 0;
ShortQtyToday = 0;
ShortQtyYd = 0;
foreach (BrokerPosition bp in brokerAccount.Positions)
{
if (bp.Symbol != Symbol)
{
continue;
}
// 会收到很多，得按类别进行设置
// 按日子、多空
// 投机与套保这种不进行区分，因为太复杂了，我也没法测试
if (bp.Fields[PosiDirection].Value == Long)
{
if (bp.Fields[PositionDate].Value == Today)
{
LongQtyToday += Convert.ToInt32(bp.Fields[Position].Value);
}
else
{
LongQtyYd += Convert.ToInt32(bp.Fields[Position].Value);
}
}
else
{
if (bp.Fields[PositionDate].Value == Today)
{
ShortQtyToday += Convert.ToInt32(bp.Fields[Position].Value);
}
else
{
ShortQtyYd += Convert.ToInt32(bp.Fields[Position].Value);
}
}
}
}
public void LoadBrokerAccounts(ITradeDetailsAutoCalculatorService tradeCalculatorService, string mainDirectoryWithApplicationName)
{
foreach (var broker in Brokers)
{
var account = BrokerAccount.LoadAccount(broker, mainDirectoryWithApplicationName);
if (account == null)
{
account = new BrokerAccount
{
BrokerName = broker.Name
};
}
AccountsLookup[broker] = account;
}
}
public BrokerAccount Start(int barsPause = 0)
{
this.barsPause = barsPause;
BrokerAccount brokerAccount = null;
if (dataStreamSource is string)
{
string barDataFile = dataStreamSource as string;
BacktestBroker backtestBroker = new BacktestBroker();
brokerAccount = new BrokerAccount();
backtestBroker.LoadAccount(brokerAccount, cacheId);
backtestSession = backtestBroker.CreateSession(brokerAccount.AccountId, tickerType, barType, dataStreamSource.ToString(), cacheId);
foreach (AnalyticsItem item in registeredAnalytics)
{
if (item.AnaylticsType == AnalyticsTypeOption.Indicator)
{
backtestSession.Indicators.Add <IIndicatorCore>(item.Instance as IIndicatorCore);
}
if (item.AnaylticsType == AnalyticsTypeOption.Signal)
{
backtestSession.Signals.Add <ISignal>(item.Instance as ISignal);
}
//if (item.AnaylticsType == AnalyticsTypeOption.Strategy)
//{
// backtestSession.Strategies.Add<IStrategy>(item.Instance as IStrategy);
//}
}
barCount = 0;
backtestSession.NewBar += OnNewBar;
backtestSession.Start();
}
return(brokerAccount);
}
public static void Transform(BrokerAccount brokerAccount, DualPosition dualPosition)
{
if (brokerAccount == null || dualPosition == null)
{
return;
}
int LongQtyToday = 0;
int LongQtyYd = 0;
int ShortQtyToday = 0;
int ShortQtyYd = 0;
Tarnsform(brokerAccount, dualPosition.Symbol,
out LongQtyToday, out LongQtyYd,
out ShortQtyToday, out ShortQtyYd);
dualPosition.Long.QtyToday = LongQtyToday;
dualPosition.Long.Qty = LongQtyToday + LongQtyYd;
dualPosition.Short.QtyToday = ShortQtyToday;
dualPosition.Short.Qty = ShortQtyToday + ShortQtyYd;
}
public BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (IsConnected)
{
Console.WriteLine(string.Format("GetBrokerInfo:{0}", Clock.Now.ToString("yyyy-MM-dd HH:mm:ss.fff")));
//TraderApi.TD_ReqQryTradingAccount(m_pTdApi);
//TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null);
//timerAccount.Enabled = false;
//timerAccount.Enabled = true;
//timerPonstion.Enabled = false;
//timerPonstion.Enabled = true;
BrokerAccount brokerAccount = new BrokerAccount(m_TradingAccount.AccountID);
// account fields
brokerAccount.BuyingPower = m_TradingAccount.Available;
brokerAccount.AddField("Available", m_TradingAccount.Available.ToString());
brokerAccount.AddField("Balance", m_TradingAccount.Balance.ToString());
brokerAccount.AddField("CashIn", m_TradingAccount.CashIn.ToString());
brokerAccount.AddField("CloseProfit", m_TradingAccount.CloseProfit.ToString());
brokerAccount.AddField("Commission", m_TradingAccount.Commission.ToString());
brokerAccount.AddField("Credit", m_TradingAccount.Credit.ToString());
brokerAccount.AddField("CurrMargin", m_TradingAccount.CurrMargin.ToString());
brokerAccount.AddField("DeliveryMargin", m_TradingAccount.DeliveryMargin.ToString());
brokerAccount.AddField("Deposit", m_TradingAccount.Deposit.ToString());
brokerAccount.AddField("ExchangeDeliveryMargin", m_TradingAccount.ExchangeDeliveryMargin.ToString());
brokerAccount.AddField("ExchangeMargin", m_TradingAccount.ExchangeMargin.ToString());
brokerAccount.AddField("FrozenCash", m_TradingAccount.FrozenCash.ToString());
brokerAccount.AddField("FrozenCommission", m_TradingAccount.FrozenCommission.ToString());
brokerAccount.AddField("FrozenMargin", m_TradingAccount.FrozenMargin.ToString());
brokerAccount.AddField("Interest", m_TradingAccount.Interest.ToString());
brokerAccount.AddField("InterestBase", m_TradingAccount.InterestBase.ToString());
brokerAccount.AddField("Mortgage", m_TradingAccount.Mortgage.ToString());
brokerAccount.AddField("PositionProfit", m_TradingAccount.PositionProfit.ToString());
brokerAccount.AddField("PreBalance", m_TradingAccount.PreBalance.ToString());
brokerAccount.AddField("PreCredit", m_TradingAccount.PreCredit.ToString());
brokerAccount.AddField("PreDeposit", m_TradingAccount.PreDeposit.ToString());
brokerAccount.AddField("PreMargin", m_TradingAccount.PreMargin.ToString());
brokerAccount.AddField("PreMortgage", m_TradingAccount.PreMortgage.ToString());
brokerAccount.AddField("Reserve", m_TradingAccount.Reserve.ToString());
brokerAccount.AddField("SettlementID", m_TradingAccount.SettlementID.ToString());
brokerAccount.AddField("Withdraw", m_TradingAccount.Withdraw.ToString());
brokerAccount.AddField("WithdrawQuota", m_TradingAccount.WithdrawQuota.ToString());
DataRow[] rows = _dbInMemInvestorPosition.SelectAll();
foreach (DataRow dr in rows)
{
BrokerPosition brokerPosition = new BrokerPosition {
Symbol = dr[DbInMemInvestorPosition.InstrumentID].ToString()
};
int pos = (int)dr[DbInMemInvestorPosition.Position];
TThostFtdcPosiDirectionType PosiDirection = (TThostFtdcPosiDirectionType)dr[DbInMemInvestorPosition.PosiDirection];
if (TThostFtdcPosiDirectionType.Long == PosiDirection)
{
brokerPosition.LongQty = pos;
}
else if (TThostFtdcPosiDirectionType.Short == PosiDirection)
{
brokerPosition.ShortQty = pos;
}
else
{
if (pos >= 0)//净NET这个概念是什么情况？
brokerPosition.LongQty = pos;
else
brokerPosition.ShortQty = -pos;
}
brokerPosition.Qty = brokerPosition.LongQty - brokerPosition.ShortQty;
brokerPosition.AddCustomField(DbInMemInvestorPosition.PosiDirection, PosiDirection.ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.HedgeFlag, ((TThostFtdcHedgeFlagType)dr[DbInMemInvestorPosition.HedgeFlag]).ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.PositionDate, ((TThostFtdcPositionDateType)dr[DbInMemInvestorPosition.PositionDate]).ToString());
brokerAccount.AddPosition(brokerPosition);
}
brokerInfo.Accounts.Add(brokerAccount);
}
return brokerInfo;
}
public BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (IsConnected)
{
if (_bTdConnected)
{
//tdlog.Info("GetBrokerInfo");
}
else
{
//if (nGetBrokerInfoCount < 5)
//{
// tdlog.Info("GetBrokerInfo,交易没有连接，查询无效,5次后将不显示");
// ++nGetBrokerInfoCount;
//}
return(null);
}
BrokerAccount brokerAccount = new BrokerAccount(m_TradingAccount.AccountID);
// account fields
brokerAccount.BuyingPower = m_TradingAccount.Available;
Type t = typeof(CZQThostFtdcTradingAccountField);
FieldInfo[] fields = t.GetFields(BindingFlags.Public | BindingFlags.Instance);
foreach (FieldInfo field in fields)
{
brokerAccount.AddField(field.Name, field.GetValue(m_TradingAccount).ToString());
}
DataRow[] rows = _dbInMemInvestorPosition.SelectAll();
foreach (DataRow dr in rows)
{
BrokerPosition brokerPosition = new BrokerPosition {
Symbol = dr[DbInMemInvestorPosition.InstrumentID].ToString()
};
int pos = (int)dr[DbInMemInvestorPosition.Position];
TZQThostFtdcPosiDirectionType PosiDirection = (TZQThostFtdcPosiDirectionType)dr[DbInMemInvestorPosition.PosiDirection];
if (TZQThostFtdcPosiDirectionType.Long == PosiDirection)
{
brokerPosition.LongQty = pos;
}
else if (TZQThostFtdcPosiDirectionType.Short == PosiDirection)
{
brokerPosition.ShortQty = pos;
}
else
{
if (pos >= 0)//净NET这个概念是什么情况？
{
brokerPosition.LongQty = pos;
}
else
{
brokerPosition.ShortQty = -pos;
}
}
brokerPosition.Qty = brokerPosition.LongQty - brokerPosition.ShortQty;
brokerPosition.AddCustomField(DbInMemInvestorPosition.PosiDirection, PosiDirection.ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.HedgeFlag, ((TZQThostFtdcHedgeFlagType)dr[DbInMemInvestorPosition.HedgeFlag]).ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.PositionDate, ((TZQThostFtdcPositionDateType)dr[DbInMemInvestorPosition.PositionDate]).ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.LongFrozen, dr[DbInMemInvestorPosition.LongFrozen].ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.ShortFrozen, dr[DbInMemInvestorPosition.ShortFrozen].ToString());
brokerAccount.AddPosition(brokerPosition);
}
brokerInfo.Accounts.Add(brokerAccount);
}
return(brokerInfo);
}
/// <summary>
/// Returns the amount of day trading orders left before day trading flag has been triggered
/// http://www.finra.org/investors/day-trading-margin-requirements-know-rules
/// </summary>
/// <param name="account">The brokerage account</param>
/// <param name="historicalfills">The historical fills.</param>
/// <returns></returns>
public virtual void DayTradingOrdersLeft(BrokerAccount account, Fill[] historicalfills)
{
account.DayTradingOrdersLeft = int.MaxValue;
account.PatternDayTradingHit = false;
}
public BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (IsConnected)
{
if (_bTdConnected)
{
//tdlog.Info("GetBrokerInfo");
}
else
{
//if (nGetBrokerInfoCount < 5)
//{
// tdlog.Info("GetBrokerInfo,交易没有连接，查询无效,5次后将不显示");
// ++nGetBrokerInfoCount;
//}
return null;
}
BrokerAccount brokerAccount = new BrokerAccount(m_TradingAccount.AccountID);
// account fields
brokerAccount.BuyingPower = m_TradingAccount.Available;
Type t = typeof(CZQThostFtdcTradingAccountField);
FieldInfo[] fields = t.GetFields(BindingFlags.Public | BindingFlags.Instance);
foreach (FieldInfo field in fields)
{
brokerAccount.AddField(field.Name, field.GetValue(m_TradingAccount).ToString());
}
DataRow[] rows = _dbInMemInvestorPosition.SelectAll();
foreach (DataRow dr in rows)
{
BrokerPosition brokerPosition = new BrokerPosition {
Symbol = dr[DbInMemInvestorPosition.InstrumentID].ToString()
};
int pos = (int)dr[DbInMemInvestorPosition.Position];
TZQThostFtdcPosiDirectionType PosiDirection = (TZQThostFtdcPosiDirectionType)dr[DbInMemInvestorPosition.PosiDirection];
if (TZQThostFtdcPosiDirectionType.Long == PosiDirection)
{
brokerPosition.LongQty = pos;
}
else if (TZQThostFtdcPosiDirectionType.Short == PosiDirection)
{
brokerPosition.ShortQty = pos;
}
else
{
if (pos >= 0)//净NET这个概念是什么情况？
brokerPosition.LongQty = pos;
else
brokerPosition.ShortQty = -pos;
}
brokerPosition.Qty = brokerPosition.LongQty - brokerPosition.ShortQty;
brokerPosition.AddCustomField(DbInMemInvestorPosition.PosiDirection, PosiDirection.ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.HedgeFlag, ((TZQThostFtdcHedgeFlagType)dr[DbInMemInvestorPosition.HedgeFlag]).ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.PositionDate, ((TZQThostFtdcPositionDateType)dr[DbInMemInvestorPosition.PositionDate]).ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.LongFrozen, dr[DbInMemInvestorPosition.LongFrozen].ToString());
brokerPosition.AddCustomField(DbInMemInvestorPosition.ShortFrozen, dr[DbInMemInvestorPosition.ShortFrozen].ToString());
brokerAccount.AddPosition(brokerPosition);
}
brokerInfo.Accounts.Add(brokerAccount);
}
return brokerInfo;
}
/// <summary> /// Sets the broker account. /// </summary> /// <param name="account">The account.</param> public void SetBrokerAccount(BrokerAccount account) => _brokeraccount = account;
/// <summary> /// Gets the calculated funds. /// </summary> /// <param name="account">The account.</param> /// <returns></returns> public CalculatedFunds GetCalculatedFunds(BrokerAccount account) => new CalculatedFunds(this, account.Positions, _leverage, account.PatternDayTradingHit, account.DayTradingOrdersLeft);
public static List <(DateTime Time, decimal Value)> GetDailyTotalNetMoneyIn(IBroker broker, BrokerAccount account, IBrokersCandlesService candlesService)
{
var ret = new List <(DateTime Time, decimal Value)>();
/*for (var date = new DateTime(2018, 1, 1); date <= DateTime.UtcNow; date = date.AddDays(1))
* {
* var netMoneyIn = 0.0M;
* foreach (var depositWithdrawal in account.DepositsWithdrawals.Where(x => x.Time <= date))
* {
* netMoneyIn += CryptoValueHelper.GetAssetUsdValue(candlesService, broker, depositWithdrawal.Asset, depositWithdrawal.Time, depositWithdrawal.Amount);
* }
*
* ret.Add((date, netMoneyIn));
* }*/
return(ret);
}
public static List <(DateTime Time, decimal Value)> GetDailyTotalValues(IBroker broker, BrokerAccount account, IBrokersCandlesService candlesService)
{
var ret = new List <(DateTime Time, decimal Value)>();
/*var now = DateTime.UtcNow;
*
* for (var date = new DateTime(2018, 1, 1); date <= now; date = date.AddDays(1))
* {
* var assetBalances = account.GetAssetBalances(broker, candlesService, date);
*
* if (date == now)
* {
* }
*
* // Convert to USDs
* var value = 0.0M;
* foreach (var assetBalance in assetBalances)
* {
* value += CryptoValueHelper.GetAssetUsdValue(candlesService, broker, assetBalance.Asset, date, assetBalance.Amount);
* }
*
* ret.Add((date, value));
* }*/
return(ret);
}
/// <summary>
/// Gets the calculated funds.
/// </summary>
/// <param name="quantfund">The quantfund.</param>
/// <param name="account">Current account object</param>
/// <returns></returns>
public CalculatedFunds GetCalculatedFunds(IQuantFund quantfund, BrokerAccount account) =>
new CalculatedFunds(GetUnsettledCash(quantfund), GetCash(quantfund), BaseCurrency, quantfund.Positions,
_leverage, account.PatternDayTradingHit, account.DayTradingOrdersLeft);
public void LoadAccount(BrokerAccount brokerAccount)
{
brokerAccounts.Add(brokerAccount.UserName, brokerAccount);
}
/// <summary>
/// Sends the position information messages.
/// </summary>
/// <param name="quantfunds">The quantfunds.</param>
/// <param name="cashmanager"></param>
/// <param name="brokeraccount"></param>
public void SendPositionInformationMessages(IQuantFund[] quantfunds, CashManager cashmanager, BrokerAccount brokeraccount)
{
if (!IsRunning || !HasSubscribers)
{
return;
}
quantfunds.ForEach(x =>
x.Positions.ForEach(pos => Enqueue(PositionInfoMessage.Create(x.FundId, pos, x.Universe, cashmanager.GetCalculatedFunds(x, brokeraccount)))));
}
