public Position_KtbSkel GetPosition()
{
if (IsDone())
{
String futureCode = this.TargetPosition.FutureCode;
double futureAvgPrice = GetAvgFuturePrice();
long tmpFutureCount = GetFutureMaxPossibleCount();
LongShortCount tmpFutureLsc = new LongShortCount(this.TargetPosition.SignedFutureCount);
LongShortCount futureLsc =
new LongShortCount(tmpFutureLsc.LongShort, Convert.ToUInt64(tmpFutureCount));
long signedFutureCount = futureLsc.GetSignedCount();
String spotCode = this.TargetPosition.SpotCode;
double spotAvgPrice = this.TargetPosition.SpotAvgPriceTimeAdjust;
LongShortCount tmpSpotLsc = new LongShortCount(this.TargetPosition.SignedSpotCount);
LongShortCount spotLsc =
new LongShortCount(tmpSpotLsc.LongShort, Convert.ToUInt64(this.UnsignedSpotContractedCount));
long signedSpotCount = spotLsc.GetSignedCount();
DateTime tradingDate = CoreLib.DateUtil.GetTodayDateTime(0, 0, 0);
Position_KtbSkel position = new Position_KtbSkel(
spotCode, signedSpotCount, spotAvgPrice,
futureCode, signedFutureCount, futureAvgPrice,
tradingDate, 0);
return position;
}
else
{
String ex = "Invalid";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return null;
}
// 신규 주문을 낼 때
public LongShortCount GetRemainLongShortCount()
{
// 타겟 수량 - 체결된 수량
LongShortCount lsc = new LongShortCount(this.LongShort, Convert.ToUInt64(this.UnsignedTargetCount));
long targetSignedCount = lsc.GetSignedCount();
long totalSignedContractedCount = GetTotalSignedContractedCount();
long signedRemainCount = targetSignedCount - totalSignedContractedCount;
LongShortCount remainLongShortCount = new LongShortCount(signedRemainCount);
if (remainLongShortCount.LongShort != this.LongShort)
{
// 이렇게 될리가 없다.
String ex = "Invalid";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return remainLongShortCount;
}
List<PriceLongShortCount> GetPrice_Count_ForReqOrders(LongShortCount lsc, RawMarketData rmd, Boolean bOverAging)
{
List<PriceLongShortCount> arr = new List<PriceLongShortCount>();
if (lsc.Count < 2 || bOverAging)
{
double price = 0;
if (lsc.LongShort == TradingDirection.Long)
{
price = ProductUtil.Ins().RoundProductPrice(rmd.Code, ProductUtil.Ins().GetOneTickUpPrice(rmd.Code, rmd.BidPrice1));
}
else
{
price = ProductUtil.Ins().RoundProductPrice(rmd.Code, ProductUtil.Ins().GetOneTickDownPrice(rmd.Code, rmd.AskPrice1));
}
PriceLongShortCount pc = new PriceLongShortCount(price, lsc);
arr.Add(pc);
}
else
{
long count1 = (long)(lsc.Count / 2);
long count2 = (long)lsc.Count - count1;
double price1 = 0;
double price2 = 0;
if (lsc.LongShort == TradingDirection.Long)
{
price1 = ProductUtil.Ins().RoundProductPrice(rmd.Code, ProductUtil.Ins().GetOneTickUpPrice(rmd.Code, rmd.BidPrice1));
price2 = rmd.BidPrice1;
}
else
{
price1 = rmd.AskPrice1;
price2 = ProductUtil.Ins().RoundProductPrice(rmd.Code, ProductUtil.Ins().GetOneTickDownPrice(rmd.Code, rmd.AskPrice1));
}
PriceLongShortCount pc1 = new PriceLongShortCount(price1, new LongShortCount(lsc.LongShort, (ulong)count1));
PriceLongShortCount pc2 = new PriceLongShortCount(price2, new LongShortCount(lsc.LongShort, (ulong)count2));
if (pc1.LSC.Count > 0) { arr.Add(pc1); }
if (pc2.LSC.Count > 0) { arr.Add(pc2); }
}
return arr;
}
public void SetTarget(LongShortCount lsc)
{
this.CurSignedTargetCount = lsc.GetSignedCount();
if (this.InitSignedGoalCount * this.CurSignedTargetCount < 0)
{
// 부호가 반대이다.
logger.Error(
"Target count twisted(sign is different) {0:n0}, {1:n0}",
this.CurSignedTargetCount,
this.InitSignedGoalCount);
Util.KillWithNotice("Target count twisted(sign is different)");
Trace.Assert(false);
}
if (Math.Abs(this.InitSignedGoalCount) < Math.Abs(this.CurSignedTargetCount))
{
logger.Error(
"Target count twisted(goal count) {0:n0}, {1:n0}",
this.CurSignedTargetCount,
this.InitSignedGoalCount);
Util.KillWithNotice("Target count twisted(goal count)");
Trace.Assert(false);
}
}
public Boolean RequestSweepOrders(Boolean bOverAging, Boolean bCompleteQuickly)
{
try
{
// 현재 체결된 수량을 구한 뒤 TargetCount와의 차이를 통해 주문해야 하는 수량을 구하고 주문한다.
long curContractedCount = POrderUtil.GetSignedContractedCount(this.RealOrders);
long remainSignedCount = this.CurSignedTargetCount - curContractedCount;
if (remainSignedCount == 0)
{
return true; // done
}
LongShortCount lsc = new LongShortCount(remainSignedCount);
RawMarketData rmd = RmdManager.Ins().GetDataClone(this.Code);
if (!Util.IsValidRMDTimeAndPrice(rmd))
{
return false;
}
List<PriceLongShortCount> pcs = GetPrice_Count_ForReqOrders(lsc, rmd, bOverAging);
List<POrder> orders = new List<POrder>();
foreach (PriceLongShortCount pc in pcs)
{
POrder o = new POrder(lsc.LongShort, this.Code, (long)pc.LSC.Count, pc.Price, this.AccountFO, rmd);
orders.Add(o);
}
POrderUtil.RequestOrder(orders, this.RealOrders);
return true;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return false;
}
public Boolean Run()
{
try
{
if (this.SweepUnit.CurState == SweepUnitTemplate.StateEnum._4_WaitingRunSign)
{
_signedTargetCount = this.SweepUnit.Context.GetSignedContractedCount();
logger.Info("TestHTSSweeper [{0}] start ResumeSweep Target {1:n0}", SweepUnit.ID, _signedTargetCount);
LongShortCount lsc = new LongShortCount(_signedTargetCount);
SweepUnit.ResumeSweep(lsc);
}
Boolean bRunComplete1 = SweepUnit.Run();
if (bRunComplete1)
{
logger.Info(
"TestHTSSweeper [{0}] {1} complete...",
SweepUnit.ID,
SweepUnit.Context.GetSignedContractedCount());
_bDone = true;
return true;
}
if (SweepUnit.IsException())
{
// 에러가 났다.
logger.Error("TestHTSSweeper [{0}] Exception", SweepUnit.ID);
Util.KillWithNotice("TestHTSSweeper Exception");
_bDone = true;
return true;
}
return false;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
return true;
}
}
List<long> GetReqCounts(LongShortCount lsc, MarketType marketType)
{
List<long> list = new List<long>();
if (marketType == MarketType._0_Bond_일반)
{
// 한큐에 주문을 낸다.
list.Add((long)lsc.Count);
}
else if (marketType == MarketType._1_Bond_소액)
{
long curCount = (long)lsc.Count;
const long k50_000_000 = 50 * CommonConst._1_000 * CommonConst._1_000;
while (true)
{
if (curCount <= 0)
{
break;
}
if (curCount <= k50_000_000)
{
list.Add(curCount);
break;
}
list.Add(k50_000_000);
curCount -= (k50_000_000);
}
}
else if (marketType == MarketType._2_Bond_소매)
{
// 소매시장인 경우라면 한큐에 몽땅낸다.
list.Add((long)lsc.Count);
}
return list;
}
public Boolean RequestSweepOrders(Boolean bOverAging, Boolean bCompleteQuickly)
{
try
{
if (IsStateDone())
{
return true; // done;
}
if (bOverAging)
{
// 이런일 없도록 해놓았다.
Trace.Assert(false);
}
if (bCompleteQuickly)
{
// 이런일 없도록 해놓았다.
Trace.Assert(false);
}
long curShortContractedCount = POrderUtil.GetSignedContractedCount(this.RealOrdersShort);
long remainSignedCount = this.CurSignedTargetCount - curShortContractedCount;
if (remainSignedCount == 0)
{
return true; // done
}
if (this.CurSignedTargetCount > 0)
{
// 매수였는데 여기로 오면 정말 이상한 것이다.
logger.Error("매수인 경우 Sweep에서 바로 done상태가 되어야 정상이다.");
Util.KillWithNotice("매수인 경우 Sweep에서 바로 done상태가 되어야 정상이다.");
}
LongShortCount lsc = new LongShortCount(remainSignedCount);
// 매수인 것이 남아있을 수가 없다.
Trace.Assert(lsc.LongShort == TradingDirection.Short);
List<POrder> sweepOrders = GetSweepOrders(lsc);
POrderUtil.RequestOrder(sweepOrders, this.RealOrdersShort);
return true;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return false;
}
public void SetTarget(LongShortCount lsc)
{
this.CurSignedTargetCount = lsc.GetSignedCount();
if (this.CurSignedTargetCount < 0)
{
Trace.Assert(false);
}
}
public void SyncWithMaxCompletePercent(double maxCompletePercent)
{
if (_State != State._1_MuteFewSecsForInitOrders)
{
return;
}
Trace.Assert(maxCompletePercent >= 0 && maxCompletePercent <= 100);
double diffPercent = maxCompletePercent - GetPercent_AttemptOfTarget();
if (diffPercent <= 0)
{
// 이미 max complete percent보다 많이 시도한 상태이다.
return;
}
long attempCount = POrderUtil.GetSignedMaxPossibleExposureCount(this.RealOrders);
Trace.Assert(attempCount * this.CurSignedTargetCount >= 0);
long newEnterAttemptCount = (long)((maxCompletePercent * this.CurSignedTargetCount) / 100) - attempCount;
if (newEnterAttemptCount == 0)
{
return;
}
Trace.Assert(newEnterAttemptCount * this.CurSignedTargetCount >= 0);
// newEnterAttempCount만큼 매매를 한다.
if (this.RealOrders.Count >= 4)
{
// 4개 이상 내는 것은 이상하다.
logger.Warn(String.Format("RealOrders.Count >= 4"));
return;
}
LongShortCount lsc = new LongShortCount(newEnterAttemptCount);
RawMarketData rmdClone = RmdManager.Ins().GetDataClone(this.Code);
POrder o = new POrder(lsc.LongShort, this.Code, (long)lsc.Count, this.InitEnterPrice, this.AccountFO, rmdClone);
o.AddComment("SweepUnit_FO.SyncWithMaxCompletePErcent");
if (o.ReqCount > 0)
{
RequestOrder_Raw(o, RealOrders);
}
else
{
o.Free();
}
}
LongShortCount GetNewReqLongShortCount()
{
long futureMaxPossibleCount = Math.Abs(GetFutureMaxPossibleCount());
long newFutReqCount = this.UnsignedSpotContractedCount - futureMaxPossibleCount;
if (newFutReqCount < 0)
{
String ex = "Invalid";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
LongShortCount lsc = new LongShortCount(this.TargetPosition.SignedFutureCount);
return new LongShortCount(lsc.LongShort, Convert.ToUInt64(newFutReqCount));
}
List<long> SplitCountForSweepOrdersViaMarketType(LongShortCount lsc, MarketType marketType)
{
List<long> list = new List<long>();
Trace.Assert(marketType != MarketType._0_Bond_일반);
// 1000원보다 작은 단위일리가 없다. 1000으로 나눈 나머지는 0이어야한다.
UInt64 remain = lsc.Count % CommonConst._1_000;
Trace.Assert(remain == 0);
if (marketType == MarketType._1_Bond_소액)
{
long curCount = (long)lsc.Count;
const long k50_000_000 = 50 * CommonConst._1_000 * CommonConst._1_000;
while (true)
{
Trace.Assert(curCount >= 0);
if (curCount == 0)
{
break;
}
if (curCount <= k50_000_000)
{
list.Add(curCount);
break;
}
list.Add(k50_000_000);
curCount -= (k50_000_000);
}
}
else if (marketType == MarketType._2_Bond_소매)
{
// 소매시장인 경우라면 한큐에 몽땅낸다.
list.Add((long)lsc.Count);
}
return list;
}
List<POrder> GetSweepOrders(LongShortCount lsc)
{
// 매도할 가격을 우선 구한다.
// 두 시장에서 모두 매도할 수 있는 가격중에 큰 값에 주문을 내도록 한다.
double reqPrice = GetShortSweepPrice();
// 매도할 것이다.
TradingDirection ls = TradingDirection.Short;
// 주문은 일반-소액인 경우에는 소액, 일반-소매인 경우에는 소매에 주문을 내도록 한다.
String sweepCode = GetSweepCode();
MarketType sweepMarketType = GetSweepMarketType();
Trace.Assert(sweepMarketType != MarketType._0_Bond_일반);
RawMarketData rmdClone = RmdManager.Ins().GetDataClone(sweepCode);
List<POrder> orders = new List<POrder>();
List<long> reqCounts = SplitCountForSweepOrdersViaMarketType(lsc, sweepMarketType);
foreach (long reqCount in reqCounts)
{
POrder o = new POrder(ls, sweepCode, reqCount, reqPrice, BondAccount, rmdClone, sweepMarketType, false);
o.ShortCutTargetOfContractCallBack = this;
orders.Add(o);
}
return orders;
}
public void SetTarget(LongShortCount lsc)
{
}
void CreateInitOrders(BondPair pair)
{
Trace.Assert(this.LongShort == TradingDirection.Long);
LongShortCount lsc = new LongShortCount(pair.Count);
List<long> reqCounts = GetReqCounts(lsc, this._enterMarketType);
double reqPrice = this._initEnterPrice;
TradingDirection ls = TradingDirection.Long;
_initOrders = new List<POrder>();
foreach (long reqCount in reqCounts)
{
POrder o = new POrder(ls, this.EnterCode, reqCount, reqPrice, this.BondAccount, pair.GetEnterRMD(),
BondUtil.GetMarketType(this.EnterCode), false);
o.ShortCutTargetOfContractCallBack = this;
_initOrders.Add(o);
}
}
public PriceLongShortCount(double price, LongShortCount lsc)
{
this.Price = price;
this.LSC = lsc;
}
public Boolean Run()
{
try
{
if ((_sweepUnitLong.CurState == SweepUnitTemplate.StateEnum._4_WaitingRunSign &&
_sweepUnitShort.CurState == SweepUnitTemplate.StateEnum._4_WaitingRunSign) ||
(_sweepUnitLong.CurState == SweepUnitTemplate.StateEnum._7_Done &&
_sweepUnitShort.CurState == SweepUnitTemplate.StateEnum._4_WaitingRunSign) ||
(_sweepUnitLong.CurState == SweepUnitTemplate.StateEnum._4_WaitingRunSign &&
_sweepUnitShort.CurState == SweepUnitTemplate.StateEnum._7_Done))
{
long signedLongContractedCount = _sweepUnitLong.Context.GetSignedContractedCount();
LongShortCount lscLong = new LongShortCount(signedLongContractedCount);
_sweepUnitLong.ResumeSweep(lscLong);
_sweepUnitShort.ResumeSweep(lscLong);
logger.Info("[Resume BondArb Sweeper] #{0:n0}, '{1}' ({2:n0} -> {3:n0})",
this.ID,
BondUtil.GetCodeNoTail(this.EnterCodeWithMarketType),
this.EnterPrice,
this.PairPrice);
}
Boolean bRunComplete1 = _sweepUnitLong.Run();
Boolean bRunComplete2 = _sweepUnitShort.Run();
if (bRunComplete1 && bRunComplete2)
{
_bDone = true;
logger.Info("[End BondArb Sweeper] #{0:n0}, pnl({4:n0}), '{1}' ({2:n0} -> {3:n0})",
this.ID,
BondUtil.GetCodeNoTail(this.EnterCodeWithMarketType),
this.EnterPrice,
this.PairPrice,
GetPnLIfDone());
return true;
}
return false; // 아직 할일이 남아있다.
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
return true;
}
}
