/// <summary>
/// 定时查询--账户资金查询。
/// </summary>
/// <param name="queryInfo"></param>
private void OnQueryFundExpired(CtpQueryFundInfo queryInfo)
{
try
{
TradingAccountField field = QueryTradingAccountFromCtp();
m_dataBuffer.UpdateTradingAccountInfo(field);
}
catch (Exception ex)
{
Debug.WriteLine(string.Format("OnQueryFundExpired() query fund info failed,{0}", ex.Message));
m_logger.WriteError(string.Format("{0}.OnQueryFundExpired() query fund info failed,Error:{1}.",
ToString(), ex.Message));
return;
}
try
{
USeFund fundInfo = m_dataBuffer.GetFund();
FireFundChanged(fundInfo);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
m_logger.WriteError(string.Format("{0}.OnQueryFundExpired() failed,Error:{1}.", ToString(), ex.Message));
}
}
/// <summary>
/// 查询账户信息。
/// </summary>
/// <returns></returns>
public override USeFund QueryFundInfo()
{
USeFund fund = new USeFund();
fund.AccountID = m_investorID;
fund.Deposit = 100000000;
fund.Mortgage = 100000000;
fund.PreBalance = 10000000000;
fund.PreCredit = 33;
fund.PreMortgage = 77777;
fund.WithDraw = 777;
return(fund);
}
/// <summary>
/// 克隆USeFund对象。
/// </summary>
/// <returns></returns>
public USeFund Clone()
{
USeFund accountInfo = new USeFund();
accountInfo.AccountID = this.AccountID;
accountInfo.PreMortgage = this.PreMortgage;
accountInfo.PreCredit = this.PreCredit;
accountInfo.PreBalance = this.PreBalance;
accountInfo.Deposit = this.Deposit;
accountInfo.WithDraw = this.WithDraw;
accountInfo.Mortgage = this.Mortgage;
accountInfo.DeliveryMargin = this.DeliveryMargin;
return(accountInfo);
}
/// <summary>
/// CTP InvestorPositionField To USePosition。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeFund CtpTradingAccountFieldToUSeFund(TradingAccountField field)
{
USeFund fundInfo = new USeFund();
try
{
fundInfo.AccountID = field.AccountID.Trim();
fundInfo.PreMortgage = field.PreMortgage.ToDecimal();
fundInfo.PreCredit = field.PreCredit.ToDecimal();
fundInfo.PreBalance = field.PreBalance.ToDecimal();
fundInfo.Deposit = field.Deposit.ToDecimal();
fundInfo.WithDraw = field.Withdraw.ToDecimal();
fundInfo.Mortgage = field.Mortgage.ToDecimal();
fundInfo.DeliveryMargin = field.DeliveryMargin.ToDecimal();
}
catch (Exception ex)
{
Debug.Assert(false, "CtpTradingAccountFieldToUSeAccountInfo() convet failed," + ex.Message);
}
return(fundInfo);
}
private USeFundDetail CalculFoundBeforeTrade()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
try
{
List <USeTradeBook> tradeBookList = orderDriver.QueryTradeBooks();
List <USePositionDetail> tradeAccountPosList = orderDriver.QueryPositionDetail();
List <USeOrderBook> orderBookList = orderDriver.QueryOrderBooks();
USeFund accountInfo = orderDriver.QueryFundInfo();
if (tradeBookList == null || tradeAccountPosList == null || orderBookList == null || accountInfo == null)
{
return(null);
}
#region 读取
decimal preBalance = accountInfo.PreBalance; //上日客户权益（读取）即上日结算准备金
decimal preCredit = accountInfo.PreCredit; // 上日信用额度
decimal preMortgage = accountInfo.PreMortgage; // 上次质押金额
decimal mortgage = accountInfo.Mortgage; // 质押金额
decimal withDraw = accountInfo.WithDraw; // 今日出金
decimal deposit = accountInfo.Deposit; // 今日入金
decimal deliveryMargin = accountInfo.DeliveryMargin; //交割保证金
#endregion 读取
// 静态权益 = 上日结存 - 上次信用额度 - 上次质押金额
// + 质押金额(可能有延时)- 今日出金(可能有延时) + 今日入金(可能有延时)
decimal staticBenefit = preBalance - preCredit - preMortgage + mortgage - withDraw + deposit;
#region 成交回报推算
decimal holdHistoryMargin = 0m;
decimal holdMargin = 0m;
foreach (USePositionDetail posItem in tradeAccountPosList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(posItem.Instrument);
int volumeMultiple = detail.VolumeMultiple;
USeMargin productMargin = orderDriver.QueryInstrumentMargin(posItem.Instrument);
USeMarketData marketData = quoteDriver.Query(posItem.Instrument);
if (posItem.RemainQty > 0) // 有持仓
{
if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Long)
{
// 历史多头持仓保证金 = 上日结算价 × 合约乘数 × 持仓手数 × 交易所多头保证金率
decimal margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * productMargin.BrokerLongMarginRatioByMoney) +
(posItem.RemainQty * productMargin.BrokerLongMarginRatioByVolume);
holdHistoryMargin += margin;
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Short)
{
decimal margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * productMargin.BrokerShortMarginRatioByMoney) +
(posItem.RemainQty * productMargin.BrokerLongMarginRatioByVolume);
holdHistoryMargin += margin;
}
else
{
Debug.Assert(false);
}
}
}
holdMargin = holdHistoryMargin;
#endregion
// 动态权益 = 静态权益
decimal dynamicBenefit = staticBenefit;
decimal frozon = 0;
decimal closeProfit = 0m;
decimal holdProfit = 0m;
decimal tradeFee = 0m;
decimal available = dynamicBenefit - holdMargin - frozon - deliveryMargin;
//风险度 = (占用保证金 + 交割保证金) / 动态权益
decimal risk = decimal.Divide((holdMargin + deliveryMargin), dynamicBenefit);
decimal preferCash = available;
if (tradeBookList.Count != 0 || tradeAccountPosList.Count != 0)
{
preferCash = (decimal)(preferCash * 7 / 10);
}
USeFundDetail fundDetail = new USeFundDetail();
fundDetail.AccountID = string.Empty;
fundDetail.Available = available;
fundDetail.Deposit = deposit;
fundDetail.Mortgage = mortgage;
fundDetail.PreBalance = preBalance;
fundDetail.PreCredit = preCredit;
fundDetail.PreMortgage = preMortgage;
fundDetail.WithDraw = withDraw;
fundDetail.StaticBenefit = staticBenefit;
fundDetail.CloseProfit = closeProfit;
fundDetail.TradeFee = tradeFee;
fundDetail.HoldProfit = holdProfit;
fundDetail.HoldMargin = holdMargin;
fundDetail.DynamicBenefit = dynamicBenefit;
fundDetail.FrozonMargin = 0; fundDetail.AccountID = string.Empty;
fundDetail.Available = available;
fundDetail.Deposit = deposit;
fundDetail.Mortgage = mortgage;
fundDetail.PreBalance = preBalance;
fundDetail.PreCredit = preCredit;
fundDetail.PreMortgage = preMortgage;
fundDetail.WithDraw = withDraw;
fundDetail.StaticBenefit = staticBenefit;
fundDetail.CloseProfit = closeProfit;
fundDetail.TradeFee = tradeFee;
fundDetail.HoldProfit = holdProfit;
fundDetail.HoldMargin = holdMargin;
fundDetail.DynamicBenefit = dynamicBenefit;
fundDetail.FrozonMargin = 0;
fundDetail.FrozonFee = 0;
fundDetail.Fronzon = frozon;
fundDetail.Risk = risk;
fundDetail.PreferCash = preferCash;
return(fundDetail);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
return(null);
}
}
/// <summary>
/// 计算帐户数据。
/// </summary>
private USeFundDetail CalculateFundInfo()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
try
{
List <TradeBookCalcItem> tradeBookList = QueryTradeBooks();;
List <PositionDetailCalcItem> tradeAccountPosList = QueryPositonDetails();
List <OrderBookCalcItem> orderBookList = QueryOrderBooks();
USeFund accountInfo = orderDriver.QueryFundInfo();
//if (tradeBookList == null || tradeAccountPosList == null || orderBookList == null || accountInfo == null) return null;
#region 读取
decimal preBalance = accountInfo.PreBalance; //上日客户权益（读取）即上日结算准备金
decimal preCredit = accountInfo.PreCredit; // 上日信用额度
decimal preMortgage = accountInfo.PreMortgage; // 上次质押金额
decimal mortgage = accountInfo.Mortgage; // 质押金额
decimal withDraw = accountInfo.WithDraw; // 今日出金
decimal deposit = accountInfo.Deposit; // 今日入金
decimal deliveryMargin = accountInfo.DeliveryMargin; //交割保证金
#endregion 读取
// 静态权益 = 上日结存 - 上次信用额度 - 上次质押金额
// + 质押金额(可能有延时)- 今日出金(可能有延时) + 今日入金(可能有延时)
decimal staticBenefit = preBalance - preCredit - preMortgage + mortgage - withDraw + deposit;
#region 成交回报推算
// 手续费 = SUM(成交回报手续费)
decimal tradeFee = tradeBookList.Sum(t => t.Fee);
// 平历史仓盈亏 = SUM((平仓价 - 上日结算价) × 多头合约平仓量 × 合约乘数+ (上日结算价-平仓价)× 空头合约平仓量 × 合约乘数))
// 平当日仓盈亏 = SUM((平仓价 - 开仓价)× 多头合约持仓量 × 合约乘数 + (开仓价-平仓价）× 空头合约平仓量 × 合约乘数）
// 历史持仓盈亏 = SUM((最新价 - 上日结算价) × 多头合约持仓量× 合约乘数 + (上日结算价-最新价)× 空头合约持仓量 × 合约乘数)
// 当日持仓盈亏 = SUM((最新价 - 开仓价) × 多头合约持仓量 × 合约乘数 + (开仓价-最新价) × 空头合约持仓量 × 合约乘数)
// 历史持仓保证金 = SUM(上日结算价 × 合约乘数 × 持仓手数 × 保证金率)
// 当日持仓保证金 = SUM(开仓价×合约乘数×持仓手数×保证金率)
decimal closeProfit = 0m;
decimal holdProfit = 0m;
decimal holdMargin = 0m;
decimal frozonMargin = 0m;
decimal frozonFee = 0m;
#region 计算持仓盈亏
holdProfit = tradeAccountPosList.Sum((p) => CalcHoldingProfit(p));
closeProfit = tradeAccountPosList.Sum((p) => CalcCloseProfit(p));
#endregion
#region 计算持仓占用保证金
List <MarginCalcResultByProductAndDirection> holdMarginList = (tradeAccountPosList.Where(p => p.RemainQty > 0)
.GroupBy(p => new { p.InstrumentDetail.Varieties, p.Instrument.Market, p.Direction })
.Select(g => new MarginCalcResultByProductAndDirection {
Product = g.Key.Varieties,
Market = g.Key.Market,
Direction = g.Key.Direction,
HoldMargin = g.Sum((i) => CalcHoldingPositonMargin(i)),
})).ToList();
List <MarginCalcResultByProductAndDirection> fronzonMarginList = (orderBookList.Where(o => (o.IsFinish == false && o.OffsetType == USeOffsetType.Open))
.GroupBy(o => new { o.InstrumentDetail.Varieties, o.Instrument.Market, o.Direction })
.Select(g => new MarginCalcResultByProductAndDirection {
Product = g.Key.Varieties,
Market = g.Key.Market,
Direction = g.Key.Direction,
HoldMargin = g.Sum((i) => CalcOrderFronzonMargin(i))
})).ToList();
List <MarginCalcResultByProduct> holdProductMargin = (holdMarginList.GroupBy(p => new { p.Product, p.Market })
.Select(g => new MarginCalcResultByProduct {
Product = g.Key.Product,
Market = g.Key.Market,
HoldLongMargin = g.Where(i => i.Direction == USeDirection.Long).Sum(i => i.HoldMargin),
HoldShortMargin = g.Where(i => i.Direction == USeDirection.Short).Sum(i => i.HoldMargin)
})).ToList();
List <MarginCalcResultByProduct> fronzonProductMargin = (fronzonMarginList.GroupBy(p => new { p.Product, p.Market })
.Select(g => new MarginCalcResultByProduct {
Product = g.Key.Product,
Market = g.Key.Market,
FrozonLongMargin = g.Where(i => i.Direction == USeDirection.Long).Sum(i => i.HoldMargin),
FrozonShortMargin = g.Where(i => i.Direction == USeDirection.Short).Sum(i => i.HoldMargin)
})).ToList();
List <MarginCalcResultByProduct> marginList = new List <MarginCalcResultByProduct>();
marginList.AddRange(holdProductMargin);
marginList.AddRange(fronzonProductMargin);
holdMargin = CalculateHoldMargin(marginList);
frozonMargin = CalculateFronzonMargin(marginList);
frozonFee = orderBookList.Where(o => o.IsFinish == false).Sum((i) => CalcOrderFronzonFee(i));
#endregion
#endregion
// 动态权益 = 静态权益 + 持仓盈亏 + 平仓盈亏 - 手续费（取成交回报手续费）
decimal dynamicBenefit = staticBenefit + holdProfit + closeProfit - tradeFee;
#region 委托回报推算
// 买冻结保证金 = SUM(委托价格 * 合约乘数 * 委托手数 * 多头保证金率)
// 卖冻结保证金 = SUM(委托价格 * 合约乘数 * 委托手数 * 空头保证金率)
// 买冻结手续费 = SUM(委托价格 * 合约乘数 * 委托手数 * 期货多头手续费率)
// 卖冻结手续费 = SUM(委托价格 * 合约乘数 * 委托手数 * 期货空头手续费率)
decimal frozon = frozonMargin + frozonFee;
#endregion
decimal available = 0m;
// 可用资金(当持仓盈亏>=0时) = 动态权益 - 持仓盈亏 – 占用保证金 – 下单冻结 - 交割保证金
//[yangming]新版本好似可用资金要减去平仓盈亏
// 可用资金(当持仓盈亏 <0时) = 动态权益 – 占用保证金 – 下单冻结 - 交割保证金
available = dynamicBenefit - holdMargin - frozon - deliveryMargin;
if (holdProfit > 0)
{
available = available - holdProfit;
}
if (closeProfit > 0)
{
available = available - closeProfit;
}
//风险度 = (占用保证金 + 交割保证金 + 买冻结保证金 + 卖冻结保证金) / 动态权益
//decimal risk = decimal.Divide((holdMargin + deliveryMargin + frozonMargin),(dynamicBenefit));
decimal risk = decimal.Divide(holdMargin, (dynamicBenefit));
decimal preferCash = available;
if (tradeBookList.Count != 0 || tradeAccountPosList.Count != 0)
{
preferCash = (decimal)(preferCash * 7 / 10);
}
USeFundDetail fundDetail = new USeFundDetail();
fundDetail.AccountID = string.Empty;
fundDetail.Available = available;
fundDetail.Deposit = deposit;
fundDetail.Mortgage = mortgage;
fundDetail.PreBalance = preBalance;
fundDetail.PreCredit = preCredit;
fundDetail.PreMortgage = preMortgage;
fundDetail.WithDraw = withDraw;
fundDetail.StaticBenefit = staticBenefit;
fundDetail.CloseProfit = closeProfit;
fundDetail.TradeFee = tradeFee;
fundDetail.HoldProfit = holdProfit;
fundDetail.HoldMargin = holdMargin;
fundDetail.DynamicBenefit = dynamicBenefit;
fundDetail.FrozonMargin = frozonMargin;
fundDetail.FrozonFee = frozonFee;
fundDetail.Fronzon = frozon;
fundDetail.Risk = risk;
fundDetail.PreferCash = preferCash;
return(fundDetail);
}
catch (Exception ex)
{
//Debug.Assert(false, ex.Message);
return(null);
}
}
