List <Order> GetOrderList(IPortfolio portfolio)
{
var ol = new List <Order>();
if (CurrentPortfolio == null)
{
CurrentPortfolio = portfolio;
}
if (portfolio.LastMarketDataTime <= CurrentPortfolio.LastMarketDataTime)
{
return(ol);
}
RefreshPortfolio(portfolio);
RefreshTarget();
if (Target.CurrentPrice == 0)
{
return(ol);
}
LogInfo("Target Info:" + CommonProc.ConvertObjectToString(Target));
LogInfo("Portfolio Info:" + CommonProc.ConvertObjectToString(portfolio));
if (Math.Abs(Target.AbsDistance) > Target.TargetThreshold)
{
var dn = (GetTotleValue().Number *Target.TargetWeight) / Target.CurrentPrice - Target.Shares;
//var dn = (GetTotleValue() * (v.CurrentWeight + v.TargetThreshold) - v.CurrentValue) / (1 - v.CurrentWeight - v.TargetThreshold) / v.CurrentPrice;
int n = Convert.ToInt32(dn);
if (n != 0)
{
ol.Add(new Order()
{
OrderTime = CurrentPortfolio.LastMarketDataTime,
Currency = Target.CurrentCurrency,
TargetPortfolioName = Target.TargetPortfolioName,
Instrument = new Instrument()
{
Ticker = Target.TargetTicker
},
Shares = n,
OrderDirection = OrderType.Buy,
Price = Target.CurrentPrice,
Mode = OrderMode.OrderLong
});
}
}
return(ol);
}
public virtual string GetStatus()
{
return(CommonProc.ConvertObjectToString(this));
}
public override string GetSerialParameter()
{
TradeAlgorithmSerialString = CommonProc.ConvertObjectToString(TradeAlgorithmList);
return(base.GetSerialParameter());
}
public void Save()
{
var s = CommonProc.ConvertObjectToString(this);
CommonProc.SaveStringToFile(s);
}