private static decimal CalculateUnfilledAutoCloseLot(AccountClass.Instrument instrument, Transaction tran, bool isBuy, bool isAutoClose, Dictionary <Guid, decimal> remainFilledLotPerOrderDict)
{
decimal result = 0m;
foreach (Transaction eachTran in instrument.GetTransactions())
{
if (!eachTran.ShouldSumPlaceMargin())
{
continue;
}
bool isHandledOCOTran = false;
foreach (Order eachOrder in eachTran.Orders)
{
if (isHandledOCOTran)
{
continue;
}
isHandledOCOTran = eachTran.Type == TransactionType.OneCancelOther;
if (eachOrder.IsBuy != isBuy)
{
continue;
}
if (!eachOrder.IsOpen)
{
CalculateRemainFilledLotPerOpenOrder(eachOrder, remainFilledLotPerOrderDict);
}
else if (isAutoClose)
{
result += eachOrder.Lot;
}
}
}
return(result);
}
internal static decimal CalculateTotalAutoCloseLot(AccountClass.Instrument instrument, bool isBuy, decimal unfilledLot, Dictionary <Guid, decimal> remainLotsDict)
{
decimal result = 0m;
decimal remainUnfilledLot = unfilledLot;
foreach (Transaction eachTran in instrument.GetTransactions())
{
if (remainUnfilledLot <= 0)
{
break;
}
foreach (Order eachOrder in eachTran.Orders)
{
if (eachOrder.IsBuy != isBuy && eachOrder.IsOpen && eachOrder.Phase == OrderPhase.Executed)
{
var items = FilledCalculator.CalculateOrderCanCloseLot(eachOrder, unfilledLot, remainLotsDict);
decimal canClosedLot = items.Item1;
decimal remainLot = items.Item2;
remainLotsDict[eachOrder.Id] = remainLot - canClosedLot;
remainUnfilledLot -= canClosedLot;
result += canClosedLot;
if (remainUnfilledLot <= 0)
{
break;
}
}
}
}
return(result);
}
internal static IEnumerable <ResetOrder> GetOrders(this AccountClass.Instrument instrument, DateTime tradeDay)
{
foreach (var eachTran in instrument.GetTransactions())
{
foreach (var eachOrder in eachTran.Orders)
{
var orderDayHistory = ResetManager.Default.GetOrderDayHistory(eachOrder.Id, tradeDay);
if (eachOrder.IsOpen && eachOrder.LotBalance > 0 && eachOrder.Phase == OrderPhase.Executed && orderDayHistory != null && orderDayHistory.LotBalance > 0)
{
yield return(new ResetOrder(eachOrder));
}
}
}
}
internal static MarginAndQuantityResult CalculateFillMarginAndQuantity(AccountClass.Instrument instrument, bool isBuy, Dictionary <Guid, decimal> remainFilledLotPerOrderDict)
{
var result = new MarginAndQuantityResult();
foreach (Transaction eachTran in instrument.GetTransactions())
{
foreach (Order eachOrder in eachTran.Orders)
{
if (eachOrder.ShouldCalculateFilledMarginAndQuantity(isBuy))
{
result += eachOrder.CalculateFilledMarginAndQuantity(isBuy, remainFilledLotPerOrderDict);
}
}
}
return(result);
}
protected virtual BuySellLot CalculateSameDirectionLotsOfPendingOrders()
{
if (!_tran.IsPending)
{
return(BuySellLot.Empty);
}
BuySellLot result = BuySellLot.Empty;
foreach (Transaction eachTran in _instrument.GetTransactions())
{
if (this.ShouldSumPlaceMargin(eachTran))
{
result += this.CalculateLotBalanceForPreCheck();
}
}
return(result);
}
private static MarginAndQuantityResult CalculateUnfilledMarginAndQuantity(AccountClass.Instrument instrument, bool isBuy, Dictionary <Guid, decimal> unfilledLotsPerTran)
{
MarginAndQuantityResult result = new MarginAndQuantityResult();
foreach (Transaction eachTran in instrument.GetTransactions())
{
if (eachTran.OrderCount == 0)
{
continue;
}
decimal?unfilledLot;
if (eachTran.ShouldCalculatePreCheckNecessary(instrument, isBuy, unfilledLotsPerTran, out unfilledLot))
{
result += eachTran.CalculateUnfilledMarginAndQuantity(unfilledLot);
}
}
return(result);
}
internal static TradePolicyDetail Get(AccountClass.Instrument instrument)
{
var result = instrument.TradePolicyDetail();
if (result != null)
{
return(result);
}
var trans = instrument.GetTransactions();
if (trans.Count == 0)
{
throw new NullReferenceException(string.Format("tradePolicyDetail not found, because instrument's tranCount = 0, instrumentId = {0}, accountId = {1}", instrument.Id, instrument.Owner.Id));
}
var order = trans[0].FirstOrder;
return(GetCommon(order.Id, instrument.Owner));
}
private static Dictionary <Guid, decimal> CalculateRemainUnfilledLotPerTransactionInSameDirection(AccountClass.Instrument instrument, bool isBuy, decimal totalAutoCloseLot)
{
Dictionary <Guid, decimal> result = null;
foreach (Transaction eachTran in instrument.GetTransactions())
{
if (totalAutoCloseLot <= 0)
{
break;
}
if (!eachTran.ShouldSumPlaceMargin())
{
continue;
}
bool isHandledOCOTran = false;
foreach (Order eachOrder in eachTran.Orders)
{
if (isHandledOCOTran)
{
continue;
}
isHandledOCOTran = eachTran.Type == TransactionType.OneCancelOther;
if (eachOrder.IsBuy == isBuy && eachOrder.IsOpen)
{
decimal canFilledLot = Math.Min(totalAutoCloseLot, eachOrder.Lot);
decimal unfilledLot = eachOrder.Lot - canFilledLot;
if (result == null)
{
result = new Dictionary <Guid, decimal>();
}
result[eachTran.Id] = unfilledLot;
totalAutoCloseLot -= canFilledLot;
if (totalAutoCloseLot <= 0)
{
break;
}
}
}
}
return(result);
}