public static bool AllowAccept(OrderTask orderTask,QuotePolicyDetail quotePolicyDetail,string origin,int acceptDQVariation)
{
//Allow: (isNormal = IsBuy), SetPrice >= Calculated.Quotepolicy.Ask, SetPrice <= Calculated.Quotepolicy.Bid
InstrumentClient instrument = orderTask.Transaction.Instrument;
Price ask = null;
Price bid = null;
Price marketOriginPrice = new Price(origin, instrument.NumeratorUnit, instrument.Denominator);
marketOriginPrice = marketOriginPrice + acceptDQVariation;
if (quotePolicyDetail.PriceType == PriceType.WatchOnly)
{
int diffValue = instrument.GetSourceAskBidDiffValue();
bid = marketOriginPrice;
ask = bid + diffValue;
}
else if (quotePolicyDetail.PriceType == PriceType.OriginEnable)
{
bid = marketOriginPrice + quotePolicyDetail.AutoAdjustPoints + (0 - quotePolicyDetail.SpreadPoints);
var diffValue = instrument.GetSourceAskBidDiffValue();
ask = bid + (Math.Abs(diffValue)) + (quotePolicyDetail.SpreadPoints);
}
else
{
bid = marketOriginPrice + (quotePolicyDetail.AutoAdjustPoints);
ask = bid + (quotePolicyDetail.SpreadPoints);
}
Price setPrice = new Price(orderTask.SetPrice, instrument.NumeratorUnit, instrument.Denominator);
if(instrument.IsNormal == (orderTask.IsBuy == BuySell.Buy))
{
if (ask != null)
{
return setPrice > ask;
}
}
else
{
if (bid != null)
{
return setPrice < bid;
}
}
return false;
}
public bool AllowAccept(OrderTask orderTask,QuotePolicyDetail quotePolicyDetail, bool isBuy, string marketPrice, int acceptDQVariation)
{
InstrumentClient instrument = orderTask.Transaction.Instrument;
Price marketPricePrice = Price.CreateInstance(marketPrice, instrument.NumeratorUnit, instrument.Denominator);
marketPricePrice = marketPricePrice + acceptDQVariation;
if (quotePolicyDetail.PriceType == PriceType.OriginEnable)
{
marketPricePrice = marketPricePrice + quotePolicyDetail.AutoAdjustPoints + (0 - quotePolicyDetail.SpreadPoints);
}
else
{
marketPricePrice = marketPricePrice + (quotePolicyDetail.AutoAdjustPoints);
}
Price setPrice = new Price(orderTask.SetPrice, instrument.NumeratorUnit, instrument.Denominator);
if (instrument.IsNormal == isBuy)
{
if (marketPricePrice != null)
{
return setPrice > marketPricePrice;
}
}
else
{
if (marketPricePrice != null)
{
return setPrice < marketPricePrice;
}
}
return false;
}
internal void CreateBestPrice(bool isAdd)
{
int adjust = isAdd ? 1 : -1;
if (this._BSStatus == BSStatus.Both)
{
this._BestBuyString = this.Ask;
this._BestSellString = this.Bid;
this.BestBuy = this.BestSell = this.GetBestBuySellString(this.Ask, this.Bid);
this.AnswerPrice = this.BestBuy;
}
else
{
Price ask = new Price(this.Ask, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price bid = new Price(this.Bid, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
if (this._Instrument.IsNormal ^ (this._BSStatus == BSStatus.Buy))
{
this.BestBuy = (ask - adjust).ToString();
this.BestSell = (bid - adjust).ToString();
this.AnswerPrice = this.BestSell;
}
else
{
this.BestBuy = (ask + adjust).ToString();
this.BestSell = (bid + adjust).ToString();
this.AnswerPrice = this.BestBuy;
}
}
this.SetPrice = string.IsNullOrEmpty(this.BestBuy) ? this.BestSell : this.BestBuy;
}
internal void SetAvgPrice()
{
Price price = null;
decimal avgBuyPriceValue = this._BuyLot != decimal.Zero ? this._BuyLotMultiplyAvgPriceSum / this._BuyLot : decimal.Zero;
price = new Price(avgBuyPriceValue.ToString(), this._MinNumeratorUnit, this._MaxDenominator);
this.BuyAvgPrice = price == null ? "0" : price.ToString();
decimal avgSellPriceValue = this._SellLot != decimal.Zero ? this._SellLotMultiplyAvgPriceSum / this._SellLot : decimal.Zero;
price = new Price(avgSellPriceValue.ToString(), this._MinNumeratorUnit, this._MaxDenominator);
this.SellAvgPrice = price == null ? "0" : price.ToString();
decimal avgNetPriceValue = this._NetLot != decimal.Zero ? this._NetLotMultiplyAvgPriceSum / this._NetLot : decimal.Zero;
price = new Price(avgNetPriceValue.ToString(), this._MinNumeratorUnit, this._MaxDenominator);
this.NetAvgPrice = price == null ? "0" : price.ToString();
}
private OrderRange GetPriceRange(string executePrice, int interval, InstrumentClient instrument)
{
Price rangeValue = new Price(executePrice, (int)instrument.NumeratorUnit, (int)instrument.Denominator);
Price beginPrice = rangeValue;
Price EndPrice = rangeValue + interval;
OrderRange orderRange = new OrderRange(RangeType.Price, interval, beginPrice.ToString(), EndPrice.ToString());
return orderRange;
}
public int GetSourceAskBidDiffValue()
{
int diffValue = 0;
Price lastAsk = new Price(this.LastQuotation.Ask, this.NumeratorUnit, this.Denominator);
Price lastBid = new Price(this.LastQuotation.Bid, this.NumeratorUnit, this.Denominator);
diffValue = lastAsk - lastBid;
return diffValue;
}
internal void UpdateMarketPrice(bool isBuy)
{
//if (!this._Instrument.NumeratorUnit.HasValue) return;
if (isBuy)
{
Price bid = new Price(this.Bid, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
this.MarketPrice = bid;
}
else
{
Price ask = new Price(this.Ask, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
this.MarketPrice = ask;
}
}
internal void SetCustomerPrice()
{
Price ask = new Price(this.Ask, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price bid = new Price(this.Bid, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
if (this._Instrument.IsNormal ^ (this.BuySell == BuySell.Buy))
{
this.CustomerPrice = this.MarketPrice + 1;
}
else
{
this.CustomerPrice = this.MarketPrice - 1;
}
}
internal override AddTransactionCommandBase CreateDoneTransaction(Account account, Transaction ifTran, Guid sourceOrderId, iExchange.Common.Price limitPrice, iExchange.Common.Price stopPrice)
{
throw new NotImplementedException();
}
internal override AddTransactionCommandBase CreateByAutoClose(Account account, Agent.Order openOrder, iExchange.Common.Price closePrice, iExchange.Common.OrderType orderType)
{
throw new NotImplementedException();
}
internal override AddTransactionCommandBase CreateDoneTransaction(Account account, Transaction ifTran, Guid sourceOrderId, iExchange.Common.Price limitPrice, iExchange.Common.Price stopPrice)
{
return(new AddPhysicalTransactionCommand(account, (PhysicalTransaction)ifTran, sourceOrderId, limitPrice, stopPrice));
}
internal override AddTransactionCommandBase CreateByAutoClose(Account account, Order openOrder, iExchange.Common.Price closePrice, iExchange.Common.OrderType orderType)
{
return(new AddPhysicalTransactionCommand(account, (PhysicalOrder)openOrder, closePrice, orderType));
}
public static bool IsProblePrice(InstrumentClient instrument,string marketPrice,string executedPrice)
{
Price setExecutedPrice = new Price(executedPrice, instrument.NumeratorUnit, instrument.Denominator);
Price currentPrice = new Price(marketPrice, instrument.NumeratorUnit, instrument.Denominator);
return (Math.Abs(currentPrice - setExecutedPrice) > instrument.AlertVariation);
}
public static bool IsLimitedPriceByDailyMaxMove(string newPrice,InstrumentClient instrument)
{
bool isLimited = false;
if (!string.IsNullOrEmpty(newPrice) && instrument.DailyMaxMove != 0)
{
Price adjustPrice = new Price(newPrice, instrument.NumeratorUnit, instrument.Denominator);
Price previousClosePrice = new Price(instrument.PreviousClosePrice, instrument.NumeratorUnit, instrument.Denominator);
if((adjustPrice > (previousClosePrice + instrument.DailyMaxMove))
|| (adjustPrice < (previousClosePrice - instrument.DailyMaxMove)))
{
isLimited = true;
}
}
return isLimited;
}
internal void UpdateDiff()
{
Price customerAskPrice = new Price((double)this.CustomerAskPrice, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price customerBidPrice = new Price((double)this.CustomerBidPrice, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price ask = new Price(this.Ask, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price bid = new Price(this.Bid, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
this.AskDiff = ask - customerAskPrice;
this.BidDiff = bid - customerBidPrice;
}
internal void SetCustomerPrice(bool isBuy)
{
string pricString = isBuy ? this.CustomerBidPrice.ToString() : this.CustomerAskPrice.ToString();
Price price = new Price(pricString, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price ask = new Price(this.Ask, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price bid = new Price(this.Bid, this._Instrument.NumeratorUnit, this._Instrument.Denominator);
Price marketPrice = isBuy ? ask : bid;
if (this._Instrument.IsNormal ^ (this.BuySell == BuySell.Buy))
{
price = marketPrice + 1;
}
else
{
price = marketPrice - 1;
}
}
