Boolean EnterNewDoorOrder(ElwInfo targetElw, KospiOptionInfo targetKOI, KospiOptionInfo doorKOI)
{
try
{
const double kDownBarrier = 0.1;
const double kMinBuffer = 0.5;
RawMarketData targetOptionRMD = RmdManager.Ins().GetDataClone(targetKOI.Code);
RawMarketData doorOptionRMD = RmdManager.Ins().GetDataClone(doorKOI.Code);
if (!Util.IsValidPrice(targetOptionRMD.BidPrice1))
{
return false;
}
if (!Util.IsValidPrice(doorOptionRMD.BidPrice1))
{
return false;
}
if (doorOptionRMD.BidPrice1 <= kDownBarrier)
{
return false;
}
if (targetOptionRMD.BidPrice1 <= doorOptionRMD.BidPrice1)
{
logger.Warn("{0} {1} <= {2} {3}",
targetOptionRMD.Code,
targetOptionRMD.BidPrice1,
doorOptionRMD.Code,
doorOptionRMD.BidPrice1);
return false;
}
String elwCode = targetElw.Code;
double reqPrice = ElwOptionUtil.ConvertOptionPriceToElwPrice(targetElw, doorOptionRMD.BidPrice1);
// same strike의 bidPrice - kMinBuffer 가격에 해당하는 price
double reqPrice2 = ElwOptionUtil.ConvertOptionPriceToElwPrice(targetElw, Math.Max(0, targetOptionRMD.BidPrice1 - kMinBuffer));
// reference bidPrice와 target(같은 strike의 옵션)의 bidPrice - 0.5 중에 작은 값을 take
reqPrice = Math.Min(reqPrice, reqPrice2);
// 5원보다 작으면 정말 이상한 것이다.
if (reqPrice < 4)
{
return false;
}
long reqCount = targetElw.MaxPossibleOrderCount;
if (_parent.EnterMinCount)
{
reqCount = 10; // 테스트 경우 무조건 10개 주문
}
Account account = _parent.Parent.ElwAccount;
RawMarketData rmdElw = RmdManager.Ins().GetDataClone(elwCode);
POrder o = new POrder(TradingDirection.Long, elwCode, reqCount, reqPrice, account, rmdElw);
OrderLimitReferenceOOR limitReference = new OrderLimitReferenceOOR(OrderLimitReferenceOOR.OrderType.OOR, targetOptionRMD);
o.LimitOrderReference = limitReference;
POrderUtil.RequestOrder(o, this._orders);
_parent.Parent.AddFishingOrder(o, STR_Door.FishingOrderType.Active);
return true;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return false;
}
public void RequestNewSweepOrder(
TradingDirection ls,
String code,
long reqCount,
double reqPrice,
RawMarketData rmd)
{
OptionTribe ot = ElwOptionUtil.GetOptionTribeFromCode(code);
String optionCode = ot.KOI.Code;
RawMarketData rmdReferenceOption = RmdManager.Ins().GetDataClone(optionCode);
if (!IsProperPrice(rmd, ls, code, reqPrice, rmdReferenceOption))
{
logger.Warn("가격이 적당하지 않다. 주문을 넣지 않았습니다.");
return;
}
Account account = null;
if (ElwUtil.IsElwCode(code))
{
account = _parent.Parent.ElwAccount;
}
else
{
account = _parent.Parent.OptionAccount;
}
POrder o = new POrder(ls, code, reqCount, reqPrice, account, rmd);
OrderLimitReferenceOOR limitReference = new OrderLimitReferenceOOR(OrderLimitReferenceOOR.OrderType.Sweep, rmdReferenceOption);
o.LimitOrderReference = limitReference;
POrderUtil.RequestOrder(o, null);
_sweepOrders.Add(o);
}
