private decimal CaculateFeeForCuttingAll(decimal buyLotSum, ICollection <CuttingItem> openBuyOrders,
decimal sellLotSum, ICollection <CuttingItem> openSellOrders)
{
decimal fee = 0;
var quotation = _owner.GetQuotation();
if (quotation == null)
{
return(fee);
}
Price buy = quotation.BuyPrice, sell = quotation.SellPrice;
if (sellLotSum > 0)
{
fee += this.CaculateFeeForCutting(sellLotSum, sell, openSellOrders);
}
if (buyLotSum > 0)
{
fee += this.CaculateFeeForCutting(buyLotSum, buy, openBuyOrders);
}
return(fee);
}
private List <Transaction> CutNet(Instrument instrument)
{
bool isBuy = (instrument.TotalBuyLotBalance < instrument.TotalSellLotBalance);
decimal lotBalanceSum = Math.Abs(instrument.TotalBuyLotBalance - instrument.TotalSellLotBalance);
if (lotBalanceSum == 0)
{
return(null);
}
var quotation = instrument.GetQuotation();
var price = isBuy ? quotation.BuyPrice : quotation.SellPrice;
Dictionary <Guid, decimal> closedLotPerOpenOrderDict = new Dictionary <Guid, decimal>();;
var tran = this.CutCommon(closedLotPerOpenOrderDict, instrument, isBuy, lotBalanceSum, price);
var result = new List <Transaction>();
result.Add(tran);
return(result);
}
private List <Transaction> CutAll(Instrument instrument)
{
List <Transaction> result = new List <Transaction>(CUT_ALL_TRANSACTION_CAPACITY);
Quotation quotation = instrument.GetQuotation();
if (quotation == null)
{
return(result);
}
Dictionary <Guid, decimal> closedLotPerOpenOrderDict = new Dictionary <Guid, decimal>();;
if (instrument.TotalSellLotBalance > 0)
{
var tran = this.CutCommon(closedLotPerOpenOrderDict, instrument, true, instrument.TotalSellLotBalance, quotation.SellPrice);
result.Add(tran);
}
if (instrument.TotalBuyLotBalance > 0)
{
var tran = this.CutCommon(closedLotPerOpenOrderDict, instrument, false, instrument.TotalBuyLotBalance, quotation.BuyPrice);
result.Add(tran);
}
return(result);
}