public void Check_Order_InitialMargin()
{
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(
new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 1.3M, Bid = 1.2M
}));
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(
new InstrumentBidAskPair {
Instrument = "CHFJPY", Ask = 2.5M, Bid = 2.3M
}));
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 1.25M, Bid = 1.25M
});
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURJPY", Ask = 2.3M, Bid = 2.3M
});
var order1 = TestObjectsFactory.CreateNewOrder(OrderType.Market, "EURUSD", Accounts[1],
MarginTradingTestsUtils.TradingConditionId, 1000);
var order2 = TestObjectsFactory.CreateNewOrder(OrderType.Market, "CHFJPY", Accounts[1],
MarginTradingTestsUtils.TradingConditionId, -100);
Assert.AreEqual(10.4M, _fplService.GetInitMarginForOrder(order1));
Assert.AreEqual(10M, _fplService.GetInitMarginForOrder(order2));
}
public void CheckIsEnoughBalance(Order order, IMatchingEngineBase matchingEngine)
{
var orderMargin = _fplService.GetInitMarginForOrder(order);
var accountMarginAvailable = _accountsCacheService.Get(order.AccountId).GetMarginAvailable();
var quote = _quoteCacheService.GetQuote(order.AssetPairId);
var openPrice = order.Price ?? 0;
var closePrice = 0m;
var directionForClose = order.Volume.GetClosePositionOrderDirection();
if (quote.GetVolumeForOrderDirection(order.Direction) >= Math.Abs(order.Volume) &&
quote.GetVolumeForOrderDirection(directionForClose) >= Math.Abs(order.Volume))
{
closePrice = quote.GetPriceForOrderDirection(directionForClose);
if (openPrice == 0)
{
openPrice = quote.GetPriceForOrderDirection(order.Direction);
}
}
else
{
var openPriceInfo = matchingEngine.GetBestPriceForOpen(order.AssetPairId, order.Volume);
var closePriceInfo =
matchingEngine.GetPriceForClose(order.AssetPairId, order.Volume, openPriceInfo.externalProviderId);
if (openPriceInfo.price == null || closePriceInfo == null)
{
throw new ValidateOrderException(OrderRejectReason.NoLiquidity,
"Price for open/close can not be calculated");
}
closePrice = closePriceInfo.Value;
if (openPrice == 0)
{
openPrice = openPriceInfo.price.Value;
}
}
var pnlInTradingCurrency = (closePrice - openPrice) * order.Volume;
var fxRate = _cfdCalculatorService.GetQuoteRateForQuoteAsset(order.AccountAssetId,
order.AssetPairId, order.LegalEntity,
pnlInTradingCurrency > 0);
var pnl = pnlInTradingCurrency * fxRate;
// just in case... is should be always negative
if (pnl > 0)
{
_log.WriteWarning(nameof(CheckIsEnoughBalance), order.ToJson(),
$"Theoretical PnL at the moment of order execution is positive");
pnl = 0;
}
if (accountMarginAvailable + pnl < orderMargin)
{
throw new ValidateOrderException(OrderRejectReason.NotEnoughBalance,
MtMessages.Validation_NotEnoughBalance,
$"Account available margin: {accountMarginAvailable}, order margin: {orderMargin}, pnl: {pnl} " +
$"(open price: {openPrice}, close price: {closePrice}, fx rate: {fxRate})");
}
}
public void CheckIsEnoughBalance(Order order, IMatchingEngineBase matchingEngine, decimal additionalMargin)
{
_log.WriteInfo(nameof(CheckIsEnoughBalance), new { Order = order, additionalMargin }.ToJson(),
"Start checking if account balance is enough ...");
var orderMargin = _fplService.GetInitMarginForOrder(order);
_log.WriteInfo(nameof(CheckIsEnoughBalance), new { Order = order, orderMargin }.ToJson(),
"Order margin calculated");
var account = _accountsProvider.GetAccountById(order.AccountId);
var accountMarginAvailable = account.GetMarginAvailable() + additionalMargin;
_log.WriteInfo(nameof(CheckIsEnoughBalance), new { Order = order, Account = account, accountMarginAvailable }.ToJson(),
"Account margin available calculated");
var quote = _quoteCacheService.GetQuote(order.AssetPairId);
decimal openPrice;
decimal closePrice;
var directionForClose = order.Volume.GetClosePositionOrderDirection();
if (quote.GetVolumeForOrderDirection(order.Direction) >= Math.Abs(order.Volume) &&
quote.GetVolumeForOrderDirection(directionForClose) >= Math.Abs(order.Volume))
{
closePrice = quote.GetPriceForOrderDirection(directionForClose);
openPrice = quote.GetPriceForOrderDirection(order.Direction);
}
else
{
var openPriceInfo = matchingEngine.GetBestPriceForOpen(order.AssetPairId, order.Volume);
var closePriceInfo =
matchingEngine.GetPriceForClose(order.AssetPairId, order.Volume, openPriceInfo.externalProviderId);
if (openPriceInfo.price == null || closePriceInfo == null)
{
throw new ValidateOrderException(OrderRejectReason.NoLiquidity,
"Price for open/close can not be calculated");
}
closePrice = closePriceInfo.Value;
openPrice = openPriceInfo.price.Value;
}
_log.WriteInfo(nameof(CheckIsEnoughBalance), new { Order = order, Quote = quote, openPrice, closePrice }.ToJson(),
"Open and close prices calculated");
var pnlInTradingCurrency = (closePrice - openPrice) * order.Volume;
var fxRate = _cfdCalculatorService.GetQuoteRateForQuoteAsset(order.AccountAssetId,
order.AssetPairId, order.LegalEntity,
pnlInTradingCurrency > 0);
var pnl = pnlInTradingCurrency * fxRate;
// just in case... is should be always negative
if (pnl > 0)
{
_log.WriteWarning(nameof(CheckIsEnoughBalance), order.ToJson(),
$"Theoretical PnL at the moment of order execution is positive");
pnl = 0;
}
_log.WriteInfo(nameof(CheckIsEnoughBalance), new { Order = order, pnlInTradingCurrency, fxRate, pnl }.ToJson(),
"PNL calculated");
var assetType = _assetPairsCache.GetAssetPairById(order.AssetPairId).AssetType;
if (!_clientProfileSettingsCache.TryGetValue(account.TradingConditionId, assetType, out var clientProfileSettings))
{
throw new InvalidOperationException($"Client profile settings for [{account.TradingConditionId}] and asset type [{assetType}] were not found in cache");
}
var tradingInstrument =
_tradingInstrumentsCache.GetTradingInstrument(account.TradingConditionId, order.AssetPairId);
var entryCost = CostHelper.CalculateEntryCost(
order.Price,
order.Direction == OrderDirection.Buy ? Lykke.Snow.Common.Costs.OrderDirection.Buy : Lykke.Snow.Common.Costs.OrderDirection.Sell,
quote.Ask,
quote.Bid,
fxRate,
tradingInstrument.Spread,
tradingInstrument.HedgeCost,
_marginTradingSettings.BrokerDefaultCcVolume,
_marginTradingSettings.BrokerDonationShare);
_log.WriteInfo(nameof(CheckIsEnoughBalance),
new
{
OrderPrice = order.Price, OrderDirection = order.Direction, quote.Ask, quote.Bid, fxRate,
tradingInstrument.Spread, tradingInstrument.HedgeCost, _marginTradingSettings.BrokerDefaultCcVolume,
_marginTradingSettings.BrokerDonationShare, CalculatedEntryCost = entryCost
}.ToJson(),
"Entry cost calculated");
var exitCost = CostHelper.CalculateExitCost(
order.Price,
order.Direction == OrderDirection.Buy ? Lykke.Snow.Common.Costs.OrderDirection.Buy : Lykke.Snow.Common.Costs.OrderDirection.Sell,
quote.Ask,
quote.Bid,
fxRate,
tradingInstrument.Spread,
tradingInstrument.HedgeCost,
_marginTradingSettings.BrokerDefaultCcVolume,
_marginTradingSettings.BrokerDonationShare);
_log.WriteInfo(nameof(CheckIsEnoughBalance),
new
{
OrderPrice = order.Price, OrderDirection = order.Direction, quote.Ask, quote.Bid, fxRate,
tradingInstrument.Spread, tradingInstrument.HedgeCost, _marginTradingSettings.BrokerDefaultCcVolume,
_marginTradingSettings.BrokerDonationShare, CalculatedExitCost = exitCost
}.ToJson(),
"Exit cost calculated");
if (accountMarginAvailable + pnl - entryCost - exitCost < orderMargin)
{
throw new ValidateOrderException(OrderRejectReason.NotEnoughBalance,
MtMessages.Validation_NotEnoughBalance,
$"Account available margin: {accountMarginAvailable}, order margin: {orderMargin}, pnl: {pnl}, entry cost: {entryCost}, exit cost: {exitCost} " +
$"(open price: {openPrice}, close price: {closePrice}, fx rate: {fxRate})");
}
_log.WriteInfo(nameof(CheckIsEnoughBalance), new { Order = order, accountMarginAvailable, pnl, entryCost, exitCost, orderMargin }.ToJson(),
"Account balance is enough, validation succeeded.");
}