/// <summary>
/// 计算平仓损益。
/// </summary>
/// <param name="arbitrageOrder"></param>
/// <returns></returns>
private ProfitResult CalculatCloseProfit(USeArbitrageOrder arbitrageOrder)
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
Debug.Assert(orderDriver != null);
Debug.Assert(quoteDriver != null);
ArbitrageTaskGroup closeTaskGroup = arbitrageOrder.CloseTaskGroup;
List <USeOrderBook> orderBookList = arbitrageOrder.GetAllOrderBooks();
USeMarketData buyMarketData = USeManager.Instance.QuoteDriver.Query(closeTaskGroup.BuyInstrument);
USeMarketData sellMarketData = USeManager.Instance.QuoteDriver.Query(closeTaskGroup.SellInstrument);
USeInstrumentDetail buyInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(closeTaskGroup.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(closeTaskGroup.SellInstrument);
decimal buyProfit = CalculateProfitByOrderBook(orderBookList, buyInstrumentDetail, buyMarketData);
decimal sellProfit = CalculateProfitByOrderBook(orderBookList, sellInstrumentDetail, sellMarketData);
decimal totalProfit = buyProfit + sellProfit;
ProfitResult result = new ProfitResult()
{
BuyProfit = buyProfit,
SellProfit = sellProfit
};
return(result);
}
private ArbitrageOrderSettlement CalculateSettlementResult()
{
USeArbitrageOrder arbitrageOrder = null;
lock (m_syncObj)
{
arbitrageOrder = m_arbitrageOrder.Clone();
}
List <USeOrderBook> orderBookList = arbitrageOrder.GetAllOrderBooks();
USeInstrument buyInstrument = arbitrageOrder.OpenArgument.BuyInstrument;
USeInstrument sellInstrument = arbitrageOrder.OpenArgument.SellInstrument;
USeMarketData buyMarketData = USeManager.Instance.QuoteDriver.Query(buyInstrument);
USeMarketData sellMarketData = USeManager.Instance.QuoteDriver.Query(sellInstrument);
USeInstrumentDetail buyInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(buyInstrument);
USeInstrumentDetail sellInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(sellInstrument);
decimal buyProfit = CalculateProfit(orderBookList, buyInstrumentDetail, buyMarketData);
decimal sellProfit = CalculateProfit(orderBookList, sellInstrumentDetail, sellMarketData);
decimal totalProfit = buyProfit + sellProfit;
ArbitrageOrderSettlement settlemt = new ArbitrageOrderSettlement()
{
BuyInstrumentProfit = buyProfit,
SellInstrumentProfit = sellProfit,
Profit = totalProfit
};
return(settlemt);
}
