public decimal GetInitMarginForOrder(Order order)
{
var accountAsset =
_tradingInstrumentsCache.GetTradingInstrument(order.TradingConditionId, order.AssetPairId);
var marginRate = _cfdCalculatorService.GetQuoteRateForBaseAsset(order.AccountAssetId, order.AssetPairId,
order.LegalEntity, order.Direction == OrderDirection.Buy);
var accountBaseAssetAccuracy = _assetsCache.GetAssetAccuracy(order.AccountAssetId);
return(Math.Round(
GetMargins(accountAsset, Math.Abs(order.Volume), marginRate).MarginInit,
accountBaseAssetAccuracy));
}
public void Is_GetQuoteRateForBaseAsset_Correct()
{
const string instrument = "BTCUSD";
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = instrument, Ask = 905.35M, Bid = 905.1M
}));
var quote = _quoteCacheService.GetQuote(instrument);
Assert.IsNotNull(quote);
Assert.AreEqual(905.1, quote.Bid);
Assert.AreEqual(905.35, quote.Ask);
var quoteRate = _cfdCalculatorService.GetQuoteRateForBaseAsset(Accounts[0].BaseAssetId, instrument, "LYKKEVU");
Assert.AreEqual(905.35, quoteRate);
quoteRate = _cfdCalculatorService.GetQuoteRateForBaseAsset(Accounts[0].BaseAssetId, instrument, "LYKKEVU", false);
Assert.AreEqual(905.1, quoteRate);
}
public void CalculateMargin(IOrder order, FplData fplData)
{
var accountAsset = _accountAssetsCacheService.GetAccountAsset(order.TradingConditionId, order.AccountAssetId, order.Instrument);
fplData.MarginRate = _cfdCalculatorService.GetQuoteRateForBaseAsset(order.AccountAssetId, order.Instrument,
order.LegalEntity);
fplData.MarginInit =
Math.Round(Math.Abs(order.Volume) * fplData.MarginRate / accountAsset.LeverageInit,
fplData.AccountBaseAssetAccuracy);
fplData.MarginMaintenance =
Math.Round(Math.Abs(order.Volume) * fplData.MarginRate / accountAsset.LeverageMaintenance,
fplData.AccountBaseAssetAccuracy);
}
private decimal GetSwaps(string accountAssetId, string instrument, OrderDirection type, DateTime?openDate, DateTime?closeDate, decimal volume, decimal swapRate)
{
decimal result = 0;
if (openDate.HasValue)
{
var close = closeDate ?? DateTime.UtcNow;
var seconds = (decimal)(close - openDate.Value).TotalSeconds;
const int secondsInYear = 31536000;
var quote = _calculator.GetQuoteRateForBaseAsset(accountAssetId, instrument);
var swaps = quote * volume * swapRate * seconds / secondsInYear;
result = Math.Round(swaps, _assetsCache.GetAssetAccuracy(accountAssetId));
}
return(result);
}
private decimal GetSwaps(string accountAssetId, string instrument, DateTime?openDate, DateTime?closeDate,
decimal volume, decimal swapRate, string legalEntity)
{
decimal result = 0;
if (openDate.HasValue)
{
var close = closeDate ?? DateTime.UtcNow;
var seconds = (decimal)(close - openDate.Value).TotalSeconds;
const int secondsInYear = 31536000;
var quote = _cfdCalculatorService.GetQuoteRateForBaseAsset(accountAssetId, instrument, legalEntity,
volume * swapRate > 0);
var swaps = quote * volume * swapRate * seconds / secondsInYear;
result = Math.Round(swaps, AssetsConstants.DefaultAssetAccuracy);
}
return(result);
}
