public static List<OpenInterestSummary> GetAccountSummary()
{
List<OpenInterestSummary> openInterestSummarys = new List<OpenInterestSummary>();
string xmlPath = GetCommandXmlPath("AccountSummary");
XmlDocument doc = new XmlDocument();
doc.Load(xmlPath);
XmlNodeList XmlNodeList = doc.ChildNodes[1].ChildNodes;
foreach (XmlNode summaryNode in XmlNodeList)
{
OpenInterestSummary summaryItem = new OpenInterestSummary();
summaryItem.UpdateByXmlRowAttribute(summaryNode);
openInterestSummarys.Add(summaryItem);
}
int i = 1;
foreach (OpenInterestSummary item in openInterestSummarys)
{
Tuple<string,Guid, string> group = ExchangeData.GetAccountGroup("WF01", item.Id);
//Just test
item.GroupId = Guid.NewGuid();
item.GroupCode = "Demo";
item.Code = "Account00" + i;
i++;
}
return openInterestSummarys;
}
private static OpenInterestSummary OrderSummaryItemSetItem(Guid orderId, Guid instrumentId, AccountType accountType, string executePrice, decimal lotBalance, bool isBuy, decimal contractSize, string executeTime)
{
OpenInterestSummary orderSummaryItem = new OpenInterestSummary();
var executePriceValue = XmlConvert.ToDecimal(executePrice);
decimal buyLot = isBuy ? lotBalance : decimal.Zero;
decimal sellLot = !isBuy ? lotBalance : decimal.Zero;
orderSummaryItem.Id = orderId;
orderSummaryItem.InstrumentId = instrumentId;
orderSummaryItem.Code = executeTime;
orderSummaryItem.BuyLot = buyLot;
orderSummaryItem.BuyAvgPrice = isBuy ? executePrice : "0";
orderSummaryItem.BuyContractSize = buyLot * contractSize;
orderSummaryItem.SellLot = sellLot;
orderSummaryItem.SellAvgPrice = !isBuy ? executePrice : "0";
orderSummaryItem.SellContractSize = sellLot * contractSize;
if (accountType == AccountType.Company) //Company
{
orderSummaryItem.NetLot = sellLot - buyLot;
orderSummaryItem.NetContractSize = sellLot * contractSize - buyLot * contractSize;
}
else
{
orderSummaryItem.NetLot = buyLot - sellLot;
orderSummaryItem.NetContractSize = buyLot * contractSize - sellLot * contractSize;
}
orderSummaryItem.NetAvgPrice = isBuy ? executePrice : "-" + executePrice;
return(orderSummaryItem);
}
internal static List <OpenInterestSummary> GetOpenInterestAccountSummary(XmlNode accountSummaryNode)
{
List <OpenInterestSummary> openInterestSummarys = new List <OpenInterestSummary>();
foreach (XmlNode summaryNode in accountSummaryNode.ChildNodes)
{
OpenInterestSummary summaryItem = new OpenInterestSummary();
summaryItem.Initialize(summaryNode);
openInterestSummarys.Add(summaryItem);
}
return(openInterestSummarys);
}
internal static List <OpenInterestSummary> GetOpenInterestInstrumentSummary(XmlNode summaryXmlNode)
{
if (summaryXmlNode == null)
{
return(null);
}
List <OpenInterestSummary> openInterestSummarys = new List <OpenInterestSummary>();
foreach (XmlNode instrumentNode in summaryXmlNode.ChildNodes)
{
OpenInterestSummary instrumentSummary = new OpenInterestSummary();
instrumentSummary.Initialize(instrumentNode);
openInterestSummarys.Add(instrumentSummary);
}
return(openInterestSummarys);
}
internal static List <OpenInterestSummary> GetOpenInterestOrderSummary(XmlNode orderSummaryNode, AccountType accountType)
{
List <OpenInterestSummary> orderSummaryItems = new List <OpenInterestSummary>();
foreach (XmlNode tranNode in orderSummaryNode)
{
Guid transactionId = new Guid(tranNode.Attributes["ID"].Value);
decimal contractSize = decimal.Parse(tranNode.Attributes["ContractSize"].Value);
Guid instrumentId = new Guid(tranNode.Attributes["InstrumentID"].Value);
string executeTime = tranNode.Attributes["ExecuteTime"].Value;
foreach (XmlNode orderNode in tranNode.ChildNodes)
{
Guid orderId = new Guid(orderNode.Attributes["ID"].Value);
bool isBuy = bool.Parse(orderNode.Attributes["IsBuy"].Value);
decimal lotBalance = decimal.Parse(orderNode.Attributes["LotBalance"].Value);
string executePrice = orderNode.Attributes["ExecutePrice"].Value;
OpenInterestSummary orderSummaryItem = OrderSummaryItemSetItem(orderId, instrumentId, accountType, executePrice, lotBalance, isBuy, contractSize, executeTime);
orderSummaryItems.Add(orderSummaryItem);
}
}
return(orderSummaryItems);
}
private static OpenInterestSummary OrderSummaryItemSetItem(AccountType accountType, string executePrice, decimal lotBalance, bool isBuy, decimal contractSize, string executeTime)
{
OpenInterestSummary orderSummaryItem = new OpenInterestSummary();
var executePriceValue = XmlConvert.ToDecimal(executePrice);
decimal buyLot = isBuy ? lotBalance : decimal.Zero;
decimal sellLot = !isBuy ? lotBalance : decimal.Zero;
orderSummaryItem.Code = executeTime;
orderSummaryItem.BuyLot = buyLot;
orderSummaryItem.BuyAvgPrice = isBuy ? executePrice : "0";
orderSummaryItem.BuyContractSize = buyLot * contractSize;
orderSummaryItem.SellLot = sellLot;
orderSummaryItem.SellAvgPrice = !isBuy ? executePrice : "0";
orderSummaryItem.SellContractSize = sellLot * contractSize;
if (accountType == AccountType.Company) //Company
{
orderSummaryItem.NetLot = sellLot - buyLot;
orderSummaryItem.NetContractSize = sellLot * contractSize - buyLot * contractSize;
}
else
{
orderSummaryItem.NetLot = buyLot - sellLot;
orderSummaryItem.NetContractSize = buyLot * contractSize - sellLot * contractSize;
}
orderSummaryItem.NetAvgPrice = isBuy ? executePrice : "-" + executePrice;
return orderSummaryItem;
}
public static List<OpenInterestSummary> GetInstrumentSummary()
{
List<OpenInterestSummary> openInterestSummarys = new List<OpenInterestSummary>();
string xmlPath = GetCommandXmlPath("InstrumentSummary");
XmlDocument doc = new XmlDocument();
doc.Load(xmlPath);
XmlNodeList XmlNodeList = doc.ChildNodes[1].ChildNodes;
foreach (XmlNode instrumentNode in XmlNodeList)
{
OpenInterestSummary instrumentSummary = new OpenInterestSummary();
instrumentSummary.UpdateByXmlRowAttribute(instrumentNode);
openInterestSummarys.Add(instrumentSummary);
}
return openInterestSummarys;
}
private Dictionary <string, OpenInterestSummary> GetOpenInterestSummarysByInstrument(Guid[] accountIDs, Guid[] instrumentIDs, string[] blotterCodeSelecteds)
{
Dictionary <string, OpenInterestSummary> openInterestSummarys = new Dictionary <string, OpenInterestSummary>();
foreach (Guid eachAccountId in accountIDs)
{
if (!AccountRepository.Default.Contains(eachAccountId))
{
continue;
}
Account account = (Account)AccountRepository.Default.Get(eachAccountId);
var trans = account.GetTrans(instrumentIDs);
if (trans.Count > 0)
{
bool hasOpenOrder = false;
OpenInterestSummary accountOpenInterestSummary = new OpenInterestSummary(eachAccountId.ToString());
foreach (Transaction tran in trans)
{
if (tran.OrderType == OrderType.BinaryOption)
{
continue;
}
bool isExistsOpenOrder;
decimal buyLot, sellLot, buySumEL, sellSumEL, buyContractSize, sellContractSize;
tran.OpenInterestSummary(blotterCodeSelecteds, out isExistsOpenOrder, out buyLot, out sellLot, out buySumEL, out sellSumEL, out buyContractSize, out sellContractSize);
if (!isExistsOpenOrder)
{
continue;
}
hasOpenOrder = true;
Instrument instrument = tran.Instrument;
if (accountOpenInterestSummary.NumeratorUnit == null || accountOpenInterestSummary.NumeratorUnit > instrument.NumeratorUnit)
{
accountOpenInterestSummary.NumeratorUnit = instrument.NumeratorUnit;
}
if (accountOpenInterestSummary.Denominator == null || accountOpenInterestSummary.Denominator < instrument.Denominator)
{
accountOpenInterestSummary.Denominator = instrument.Denominator;
}
accountOpenInterestSummary.BuyLot += buyLot;
accountOpenInterestSummary.SellLot += sellLot;
accountOpenInterestSummary.BuySumEL += buySumEL;
accountOpenInterestSummary.SellSumEL += sellSumEL;
accountOpenInterestSummary.BuyContractSize += buyContractSize;
accountOpenInterestSummary.SellContractSize += sellContractSize;
accountOpenInterestSummary.AccountType = account.Type;
if (account.Type == AccountType.Company)
{
accountOpenInterestSummary.NetLot = accountOpenInterestSummary.SellLot - accountOpenInterestSummary.BuyLot;
accountOpenInterestSummary.NetContractSize = accountOpenInterestSummary.SellContractSize - accountOpenInterestSummary.BuyContractSize;
}
else
{
accountOpenInterestSummary.NetLot = accountOpenInterestSummary.BuyLot - accountOpenInterestSummary.SellLot;
accountOpenInterestSummary.NetContractSize = accountOpenInterestSummary.BuyContractSize - accountOpenInterestSummary.SellContractSize;
}
}
if (hasOpenOrder)
{
openInterestSummarys.Add(accountOpenInterestSummary.Id, accountOpenInterestSummary);
}
}
}
return(openInterestSummarys);
}
public XmlNode GetOpenInterestInstrumentSummary(Token token, bool isGroupByOriginCode, string[] blotterCodeSelecteds)
{
Guid[] accountIDs = null;
this.GetAccountIDs(token, ref accountIDs);
if (accountIDs == null)
{
return(null);
}
Array.Sort(accountIDs);
var openInterestInstrumentInfos = this.GetOpenInterestInstrumentInfoFromDB(token);
_readWriteLock.EnterReadLock();
try
{
Logger.Info("GetOpenInterestInstrumentSummary");
XmlDocument xmlDoc = new XmlDocument();
XmlElement instrumentsNode = xmlDoc.CreateElement("Instruments");
if (!isGroupByOriginCode)
{
foreach (OpenInterestInstrumentInfo openInterestInstrumentInfo in openInterestInstrumentInfos.Values)
{
Guid[] instrumentIDs = new Guid[1];
instrumentIDs.SetValue(openInterestInstrumentInfo.InstrumentId, 0);
var openInterestSummarys = this.GetOpenInterestSummarysByInstrument(accountIDs, instrumentIDs, blotterCodeSelecteds);
if (openInterestSummarys.Count > 0)
{
OpenInterestSummary openInterestInstrumentSummary = new OpenInterestSummary(openInterestInstrumentInfo.InstrumentId.ToString());
foreach (OpenInterestSummary accountOpenInterestSummary in openInterestSummarys.Values)
{
if (openInterestInstrumentSummary.NumeratorUnit == null || accountOpenInterestSummary.NumeratorUnit > accountOpenInterestSummary.NumeratorUnit)
{
openInterestInstrumentSummary.NumeratorUnit = accountOpenInterestSummary.NumeratorUnit;
}
if (openInterestInstrumentSummary.Denominator == null || accountOpenInterestSummary.Denominator < accountOpenInterestSummary.Denominator)
{
openInterestInstrumentSummary.Denominator = accountOpenInterestSummary.Denominator;
}
openInterestInstrumentSummary.BuyLot += accountOpenInterestSummary.BuyLot;
openInterestInstrumentSummary.SellLot += accountOpenInterestSummary.SellLot;
openInterestInstrumentSummary.BuySumEL += accountOpenInterestSummary.BuySumEL;
openInterestInstrumentSummary.SellSumEL += accountOpenInterestSummary.SellSumEL;
openInterestInstrumentSummary.BuyContractSize += accountOpenInterestSummary.BuyContractSize;
openInterestInstrumentSummary.SellContractSize += accountOpenInterestSummary.SellContractSize;
openInterestInstrumentSummary.NetLot = accountOpenInterestSummary.NetLot;
openInterestInstrumentSummary.NetContractSize = accountOpenInterestSummary.NetContractSize;
}
XmlNode instrumentNode = xmlDoc.ImportNode(openInterestInstrumentSummary.ToXmlNode("Instrument", openInterestInstrumentInfo.Code), true);
instrumentsNode.AppendChild(instrumentNode);
}
}
}
else
{
Dictionary <string, List <Guid> > originCodeInstruments = new Dictionary <string, List <Guid> >();
foreach (OpenInterestInstrumentInfo openInterestInstrumentInfo in openInterestInstrumentInfos.Values)
{
List <Guid> originCodeOpenInterestInstrumentInfos;
if (!originCodeInstruments.ContainsKey(openInterestInstrumentInfo.OriginCode))
{
originCodeOpenInterestInstrumentInfos = new List <Guid>();
originCodeInstruments.Add(openInterestInstrumentInfo.OriginCode, originCodeOpenInterestInstrumentInfos);
}
else
{
originCodeOpenInterestInstrumentInfos = originCodeInstruments[openInterestInstrumentInfo.OriginCode];
}
originCodeOpenInterestInstrumentInfos.Add(openInterestInstrumentInfo.InstrumentId);
}
foreach (string originCode in originCodeInstruments.Keys)
{
List <Guid> originCodeOpenInterestInstrumentInfos = originCodeInstruments[originCode];
var openInterestSummarys = this.GetOpenInterestSummarysByInstrument(accountIDs, originCodeOpenInterestInstrumentInfos.ToArray(), blotterCodeSelecteds);
if (openInterestSummarys.Count > 0)
{
OpenInterestSummary openInterestInstrumentSummary = new OpenInterestSummary(originCode);
foreach (OpenInterestSummary accountOpenInterestSummary in openInterestSummarys.Values)
{
if (openInterestInstrumentSummary.NumeratorUnit == null || accountOpenInterestSummary.NumeratorUnit > accountOpenInterestSummary.NumeratorUnit)
{
openInterestInstrumentSummary.NumeratorUnit = accountOpenInterestSummary.NumeratorUnit;
}
if (openInterestInstrumentSummary.Denominator == null || accountOpenInterestSummary.Denominator < accountOpenInterestSummary.Denominator)
{
openInterestInstrumentSummary.Denominator = accountOpenInterestSummary.Denominator;
}
openInterestInstrumentSummary.BuyLot += accountOpenInterestSummary.BuyLot;
openInterestInstrumentSummary.SellLot += accountOpenInterestSummary.SellLot;
openInterestInstrumentSummary.BuySumEL += accountOpenInterestSummary.BuySumEL;
openInterestInstrumentSummary.SellSumEL += accountOpenInterestSummary.SellSumEL;
openInterestInstrumentSummary.BuyContractSize += accountOpenInterestSummary.BuyContractSize;
openInterestInstrumentSummary.SellContractSize += accountOpenInterestSummary.SellContractSize;
openInterestInstrumentSummary.NetLot += accountOpenInterestSummary.NetLot;
openInterestInstrumentSummary.NetContractSize += accountOpenInterestSummary.NetContractSize;
}
XmlNode instrumentNode = xmlDoc.ImportNode(openInterestInstrumentSummary.ToXmlNode("Instrument", originCode), true);
instrumentsNode.AppendChild(instrumentNode);
}
}
}
if (!instrumentsNode.HasChildNodes)
{
instrumentsNode = null;
}
return(instrumentsNode);
}
catch (Exception e)
{
Logger.Error(e);
return(null);
}
finally
{
_readWriteLock.ExitReadLock();
}
}
//internal static void Initialize(this Transaction transaction, XmlNode xmlNode)
//{
// foreach (XmlAttribute attribute in xmlNode.Attributes)
// {
// String nodeName = attribute.Name;
// String nodeValue = attribute.Value;
// if (nodeName == "ID")
// {
// transaction.Id = new Guid(nodeValue);
// }
// else if (nodeName == "Code")
// {
// transaction.Code = nodeValue;
// }
// else if (nodeName == "Type")
// {
// transaction.Type = (TransactionType)(int.Parse(nodeValue));
// }
// else if (nodeName == "SubType")
// {
// transaction.SubType = (TransactionSubType)(int.Parse(nodeValue));
// }
// else if (nodeName == "Phase")
// {
// transaction.Phase = (OrderPhase)(int.Parse(nodeValue));
// }
// else if (nodeName == "BeginTime")
// {
// transaction.BeginTime = DateTime.Parse(nodeValue);
// }
// else if (nodeName == "EndTime")
// {
// transaction.EndTime = DateTime.Parse(nodeValue);
// }
// else if (nodeName == "ExpireType")
// {
// transaction.ExpireType = (ExpireType)(int.Parse(nodeValue));
// }
// else if (nodeName == "SubmitTime")
// {
// transaction.SubmitTime = DateTime.Parse(nodeValue);
// }
// else if (nodeName == "SubmitorID")
// {
// transaction.SubmitorId = new Guid(nodeValue);
// }
// else if (nodeName == "ExecuteTime")
// {
// transaction.ExecuteTime = DateTime.Parse(nodeValue);
// }
// else if (nodeName == "OrderType")
// {
// transaction.OrderType = (OrderType)(int.Parse(nodeValue));
// }
// else if (nodeName == "ContractSize")
// {
// transaction.ContractSize = decimal.Parse(nodeValue);
// }
// else if (nodeName == "AccountID")
// {
// transaction.AccountId = new Guid(nodeValue);
// }
// else if (nodeName == "InstrumentID")
// {
// transaction.InstrumentId = new Guid(nodeValue);
// }
// else if (nodeName == "ErrorCode")
// {
// transaction.Error = (TransactionError)Enum.Parse(typeof(TransactionError), nodeValue);
// }
// else if (nodeName == "AssigningOrderID" && !string.IsNullOrEmpty(nodeValue))
// {
// transaction.AssigningOrderId = new Guid(nodeValue);
// }
// else if (nodeName == "InstrumentCategory")
// {
// transaction.InstrumentCategory = (InstrumentCategory)Enum.Parse(typeof(InstrumentCategory), nodeValue);
// }
// }
//}
//internal static void Initialize(this Order order, XmlNode xmlNode)
//{
// foreach (XmlAttribute attribute in xmlNode.Attributes)
// {
// string nodeName = attribute.Name;
// string nodeValue = attribute.Value;
// if (nodeName.Equals("ID"))
// {
// order.Id = new Guid(nodeValue);
// }
// else if (nodeName.Equals("Code"))
// {
// order.Code = nodeValue;
// }
// else if (nodeName.Equals("Lot"))
// {
// order.Lot = decimal.Parse(nodeValue);
// }
// else if (nodeName == "MinLot")
// {
// if (!string.IsNullOrEmpty(nodeValue))
// {
// order.MinLot = decimal.Parse(nodeValue);
// }
// }
// else if (nodeName.Equals("IsOpen"))
// {
// order.IsOpen = bool.Parse(nodeValue);
// }
// else if (nodeName.Equals("IsBuy"))
// {
// order.IsBuy = bool.Parse(nodeValue);
// }
// else if (nodeName.Equals("SetPrice"))
// {
// order.SetPrice = nodeValue;
// }
// else if (nodeName.Equals("ExecutePrice"))
// {
// order.ExecutePrice = nodeValue;
// }
// else if (nodeName.Equals("BestPrice"))
// {
// order.BestPrice = nodeValue;
// }
// else if (nodeName.Equals("BestTime"))
// {
// order.BestTime = DateTime.Parse(nodeValue);
// }
// else if (nodeName.Equals("TradeOption"))
// {
// order.TradeOption = (TradeOption)(int.Parse(nodeValue));
// }
// else if (nodeName.Equals("DQMaxMove"))
// {
// order.DQMaxMove = int.Parse(nodeValue);
// }
// else if (nodeName.Equals("HitCount"))
// {
// order.HitCount = short.Parse(nodeValue);
// }
// }
//}
internal static void Initialize(this OpenInterestSummary openInterestSummary, XmlNode xmlNode)
{
foreach (XmlAttribute attribute in xmlNode.Attributes)
{
String nodeName = attribute.Name;
String nodeValue = attribute.Value;
if (nodeName == "ID")
{
Guid id;
Guid.TryParse(nodeValue, out id);
if (id == Guid.Empty)
{
openInterestSummary.OriginCode = nodeValue;
openInterestSummary.IsOrigin = true;
}
else
{
openInterestSummary.IsOrigin = false;
openInterestSummary.Id = Guid.Parse(nodeValue);
}
}
else if (nodeName == "Code")
{
openInterestSummary.Code = nodeValue;
}
else if (nodeName == "Type")
{
openInterestSummary.AccountType = (AccountType)(int.Parse(nodeValue));
}
else if (nodeName == "MinNumeratorUnit")
{
openInterestSummary.MinNumeratorUnit = int.Parse(nodeValue);
}
else if (nodeName == "MaxDenominator")
{
openInterestSummary.MaxDenominator = int.Parse(nodeValue);;
}
else if (nodeName == "BuyLot")
{
openInterestSummary.BuyLot = decimal.Parse(nodeValue);;
}
else if (nodeName == "AvgBuyPrice")
{
openInterestSummary.BuyAvgPrice = nodeValue;;
}
else if (nodeName == "BuyContractSize")
{
openInterestSummary.BuyContractSize = decimal.Parse(nodeValue);;
}
else if (nodeName == "SellLot")
{
openInterestSummary.SellLot = decimal.Parse(nodeValue);;
}
else if (nodeName == "AvgSellPrice")
{
openInterestSummary.SellAvgPrice = nodeValue;;
}
else if (nodeName == "SellContractSize")
{
openInterestSummary.SellContractSize = decimal.Parse(nodeValue);;
}
else if (nodeName == "NetLot")
{
openInterestSummary.NetLot = decimal.Parse(nodeValue);;
}
else if (nodeName == "AvgNetPrice")
{
openInterestSummary.NetAvgPrice = nodeValue;;
}
else if (nodeName == "NetContractSize")
{
openInterestSummary.NetContractSize = decimal.Parse(nodeValue);;
}
}
}
