public static bool CheckMarginAmount(Order order)
{
double newReqMargin, newInitialOrderMargin, price;
double orderPrice;
int sign;
if (order.OrderAction == "DELETE") // will be handled when exchange sends confirmation
{
//trader log will be updated when trade is executed
return true;
}
//uses current price for market orders
if (!traderMarginAcct.ContainsKey(order.CustomerID)) StartMarginAcct(order.CustomerID);
orderPrice = (order.OrderType == "LIMIT" ? order.LimitPrice : order.OrderType == "STOP" ? order.StopPrice : Container.currentPrice);
initaltraderMargin temp = (initaltraderMargin)traderMarginAcct[order.CustomerID];
sign = (order.BuySell == "B" ? 1 : -1);
newInitialOrderMargin = orderPrice * order.Quantity * 0.02 * sign;
newReqMargin = orderPrice * order.Quantity * 0.018 * sign;
if (Math.Abs(temp.RequiredMargin + newInitialOrderMargin) < temp.AccountBalance)//probably need to make this work better
{
price = (temp.Price * temp.Positions + order.Quantity * orderPrice * sign) / (temp.Positions + order.Quantity);
double gain = (temp.Price - price) * sign;
if (temp.Positions < temp.Positions + order.Quantity * sign) //closing out some positions need to work on this
temp.AccountBalance = temp.AccountBalance + gain * (temp.Positions + order.Quantity * sign);
temp.Price = price;
temp.Positions += order.Quantity * sign;
temp.RequiredMargin += newReqMargin * sign;
return true;
}
else
{
//return trade, insuficient margin
return false;
}
}
public static bool CheckMarginAmount(Order order)// Idealy on open margin information would be loaded from an xml and on close xml would be updated
{
double newReqMargin, newInitialOrderMargin, price, gain;
double orderPrice;
int sign;
if (order.OrderAction == "DELETE")
{
//trader log will be updated when trade is executed
return(true);
}
//if no record of trader new account is added with defualt values
if (!traderMarginAcct.ContainsKey(order.CustomerID))
{
StartMarginAcct(order.CustomerID);
}
//uses current price for market orders
orderPrice = (order.OrderType == "LIMIT" ? order.LimitPrice : order.OrderType == "STOP" ? order.StopPrice : Container.currentPrice);
initaltraderMargin temp = (initaltraderMargin)traderMarginAcct[order.CustomerID];
sign = (order.BuySell == "B" ? 1 : -1);
newInitialOrderMargin = orderPrice * order.Quantity * 0.02 * sign;
newReqMargin = orderPrice * order.Quantity * 0.018 * sign;
if (Math.Abs(temp.RequiredMargin + newInitialOrderMargin) < temp.AccountBalance)//checks that the trader has enough available margin
{
price = (temp.Price * temp.Positions + order.Quantity * orderPrice) / (temp.Positions + order.Quantity);
temp.Price = price;
temp.Positions += order.Quantity * sign;
temp.RequiredMargin = temp.positions * temp.Price * 0.018;
return(true);
}
else
{
//return trade, insuficient margin
return(false);
}
}
public static void UpdateMarginForDeletedOrder(Order order)
{
double orderPrice, newReqMargin, price;
int sign;
orderPrice = (order.OrderType == "LIMIT" ? order.LimitPrice : order.OrderType == "STOP" ? order.StopPrice : Container.currentPrice);
initaltraderMargin temp = (initaltraderMargin)traderMarginAcct[order.CustomerID];
sign = (order.BuySell == "B" ? -1 : 1);//revesed since order is being deleted
newReqMargin = orderPrice * order.Quantity * 0.018 * sign;
price = (temp.Price * temp.Positions + order.Quantity * orderPrice * sign) / (temp.Positions + order.Quantity);
temp.Price = price;
temp.Positions += order.Quantity * sign;
temp.RequiredMargin += newReqMargin * sign;
//return true;
}
public static void UpdateMarginForExucutedOrder(Order order)
{
double orderPrice, newReqMargin;
int sign;
orderPrice = (order.OrderType == "LIMIT" ? order.LimitPrice : order.OrderType == "STOP" ? order.StopPrice : Container.currentPrice);
orderPrice = orderPrice - order.executionPrice;//difference between original price and executed price
initaltraderMargin temp = (initaltraderMargin)traderMarginAcct[order.CustomerID];
sign = (order.BuySell == "B" ? 1 : -1);
if (Math.Abs(temp.Positions) > Math.Abs(temp.Positions + order.Quantity * sign)) //closing out some positions
{
orderPrice = order.executionPrice;
double gain = orderPrice - temp.Price;
temp.AccountBalance = temp.AccountBalance + gain * order.executionQuantity;
int netPosition = Math.Abs(temp.Positions) - Math.Abs(order.Quantity);
temp.Positions += order.Quantity * sign;
if (netPosition < 0)
{
temp.Price = orderPrice;
temp.RequiredMargin = orderPrice * temp.Positions * 0.018 * sign;
}
else
{
temp.RequiredMargin = temp.Price * temp.Positions * 0.018;// * -sign;
}
}
else
{
newReqMargin = orderPrice * order.ExecutionQuantity * 0.018 * sign;
temp.Price = (temp.Price * temp.Positions + order.ExecutionQuantity * orderPrice) / (temp.Positions);
temp.RequiredMargin = temp.Price * temp.positions * 0.018;
}
}
public static bool CheckMarginAmount(Order order)
{
double newReqMargin, newInitialOrderMargin, maint, price;
int sign;
if (order.OrderAction == "DELETE") // will be handled when exchange sends confirmation
{
//trader log will be updated when trade is executed
return(true);
}
if (!traderMarginAcct.ContainsKey(order.CustomerID))
{
StartMarginAcct(order.CustomerID);
}
initaltraderMargin temp = (initaltraderMargin)traderMarginAcct[order.CustomerID];
sign = (order.BuySell == "B" ? 1 : -1);
newInitialOrderMargin = order.LimitPrice * order.Quantity * Convert.ToDouble(ConfigurationManager.AppSettings["initialMargin"]) * sign;
newReqMargin = order.LimitPrice * order.Quantity * Convert.ToDouble(ConfigurationManager.AppSettings["maintMargin"]) * sign;
if (Math.Abs(temp.RequiredMargin + newInitialOrderMargin) > temp.AccountBalance) //probably need to make this work better
{
price = (temp.Price * temp.Positions + order.Quantity * order.LimitPrice) / (temp.Positions + order.Quantity);
temp.Price = price;
temp.Positions += order.Quantity * sign;
temp.RequiredMargin += newReqMargin * sign;
return(true);
}
else
{
//return trade, insuficient margin
return(false);
}
}
