protected override BuySellLot CalculateSameDirectionLotsOfPendingOrders()
{
var result = base.CalculateSameDirectionLotsOfPendingOrders();
var buyDirectionLotBalance = this.CalculateBuyDirectionLotBalance();
result += new BuySellLot(buyDirectionLotBalance, 0m);
return(result);
}
protected override bool ShouldCheckMargin(Transaction tran, BuySellLot oldLots)
{
bool needCheck = !this.IsFreeOfMarginCheck(tran, oldLots);
foreach (PhysicalOrder eachOrder in tran.Orders)
{
needCheck |= eachOrder.IsOpen && eachOrder.PhysicalTradeSide == PhysicalTradeSide.Buy && eachOrder.IsPayoff;
}
return(needCheck);
}
protected override bool ShouldCheckMargin(Transaction tran, BuySellLot oldLots)
{
bool needCheck = !this.IsFreeOfMarginCheck(tran, oldLots);
foreach (Order order in tran.Orders)
{
needCheck |= order.IsOpen;
}
return(needCheck);
}
private Tuple <decimal, decimal> CalculateNetPosition()
{
var oldLotBalance = new BuySellLot(_instrument.TotalBuyLotBalance, _instrument.TotalSellLotBalance);
oldLotBalance += this.CalculateSameDirectionLotsOfPendingOrders();
bool asRisk = this.ShouldCalculateTranLotBalanceAsRisk();
var tranLotBalance = this.CalculateLotBalanceForPreCheck(asRisk);
var oldNetPosition = oldLotBalance.NetPosition;
var newNetPosition = oldNetPosition + tranLotBalance.NetPosition;
return(Tuple.Create(oldNetPosition, newNetPosition));
}
internal static BuySellLot CalculateLotBalanceForPreCheck(this Transaction tran, bool asRisk = false)
{
BuySellLot result = BuySellLot.Empty;
foreach (var eachOrder in tran.Orders)
{
if (tran.ShouldCalculateOrderLotBalance(eachOrder, asRisk))
{
result += eachOrder.CalculateLotBalance();
}
}
return(result);
}
protected BuySellLot CalculateLotBalanceForPreCheck(bool asRisk = false)
{
BuySellLot result = BuySellLot.Empty;
foreach (var eachOrder in _tran.Orders)
{
if (this.ShouldCalculateOrderLotBalance(eachOrder, asRisk))
{
result += this.CalculateOrderLotBalance(eachOrder);
}
}
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);
}
internal static bool IsExceedMaxOpenLot(Transaction tran, PlaceContext context, out string errorInfo)
{
errorInfo = string.Empty;
if (!tran.ShouldCheckIsExceedMaxOpenLot)
{
return(false);
}
TradePolicyDetail tradePolicyDetail = tran.TradePolicyDetail(context.TradeDay);
var settingAccount = tran.Owner.Setting(context.TradeDay);
if (settingAccount.MaxOpenLot == null && tradePolicyDetail.AccountMaxOpenLot == null)
{
return(false);
}
if (!tran.ExistsOpenOrder())
{
return(false);
}
bool isBuy = tran.FirstOrder.IsBuy;
var placingLotsPerInstrument = CalculateBuySellInfoPerInstrument(tran.Owner.Transactions);
decimal totalPlacingOpenLot = 0, totalPlacingOpenLotOfTheInstrument = 0;
foreach (Guid instrumentId in placingLotsPerInstrument.Keys)
{
BuySellLot info = placingLotsPerInstrument[instrumentId];
if (instrumentId == tran.InstrumentId)
{
totalPlacingOpenLotOfTheInstrument = isBuy ? info.BuyLot : info.SellLot;
totalPlacingOpenLot += (isBuy ? info.BuyLot : info.SellLot);
}
else
{
totalPlacingOpenLot += Math.Max(info.BuyLot, info.SellLot);
}
}
decimal?accountMaxOpenLot = settingAccount.MaxOpenLot;
if ((accountMaxOpenLot != null && totalPlacingOpenLot > accountMaxOpenLot) ||
(tradePolicyDetail.AccountMaxOpenLot != null && totalPlacingOpenLotOfTheInstrument > tradePolicyDetail.AccountMaxOpenLot))
{
errorInfo = string.Format("totalPlacingOpenLot={0}, totalPlacingOpenLotOfTheInstrument={1}, account.MaxOpenLot={2}, tradePolicyDetail.AccountMaxOpenLot={3}, tranID = {4}, accountID = {5}",
totalPlacingOpenLot, totalPlacingOpenLotOfTheInstrument, accountMaxOpenLot, tradePolicyDetail.AccountMaxOpenLot, tran.Id, tran.AccountId);
return(true);
}
return(false);
}
internal bool IsMarginEnoughToExecute(Transaction tran, BuySellLot oldLots, decimal lastEquity, out string errorDetail)
{
errorDetail = string.Empty;
if (this.ShouldCheckMargin(tran, oldLots))
{
decimal fee = SumFee(tran);
var account = tran.Owner;
if (account.IsMultiCurrency)
{
fee = tran.CurrencyRate(null).Exchange(fee, Settings.ExchangeDirection.RateOut);
}
if (!tran.Owner.HasEnoughMoneyToFill(tran.AccountInstrument, tran.ExistsCloseOrder(), fee, tran.FirstOrder.IsFreeOfNecessaryCheck, lastEquity, out errorDetail))
{
return(false);
}
}
return(true);
}
internal bool IsFreeOfFillMarginCheck(BuySellLot oldLots, bool existsCloseOrder)
{
TradePolicy tradePolicy = this.Owner.Setting().TradePolicy();
BuySellLot newLots = this.GetBuySellLotBalance();
if (Math.Abs(newLots.NetPosition) <= Math.Abs(oldLots.NetPosition))
{
if (tradePolicy.IsFreeOverHedge)
{
return(true);
}
if ((newLots.NetPosition * oldLots.NetPosition >= 0) && (existsCloseOrder || tradePolicy.IsFreeHedge))
{
return(true);
}
}
Logger.InfoFormat("IsFreeOfFillMarginCheck, netLots = {0}, oldLots = {1}, accountId = {2}", newLots.ToString(), oldLots.ToString(), _owner.Id);
return(false);
}
internal bool IsInAlerting(Instrument instrument, BuySellLot oldLotBalance)
{
//0-Unrestricted|1-AlertLevel1|2-AlertLevel2|3-AlertLevel3|4-AlertLevel3 Reduce Position
if (_account.Setting().ForbiddenAlert < 1 ||
_account.Setting().ForbiddenAlert < 4 && (int)this.AlertLevel < _account.Setting().ForbiddenAlert ||
_account.Setting().ForbiddenAlert == 4 && this.AlertLevel < AlertLevel.Cut)
{
return(false);
}
var currentLotBalance = instrument.GetBuySellLotBalance();
if (_account.Setting().ForbiddenAlert == 4 && this.AlertLevel == AlertLevel.Cut)
{
return(Math.Abs(oldLotBalance.NetPosition) != Math.Abs(currentLotBalance.NetPosition) || oldLotBalance.IsNetPosWithDiffDirection(currentLotBalance));
}
else
{
return(oldLotBalance.IsAbsNetPosLessThan(currentLotBalance) || oldLotBalance.IsNetPosWithDiffDirection(currentLotBalance));
}
}
protected override bool ShouldCheckMargin(Transaction tran, BuySellLot oldLots)
{
return(!this.IsFreeOfMarginCheck(tran, oldLots));
}
protected abstract bool ShouldCheckMargin(Transaction tran, BuySellLot oldLots);
protected bool IsFreeOfMarginCheck(Transaction tran, BuySellLot oldLots)
{
bool existsCloseOrder = tran.ExistsCloseOrder();
return(tran.AccountInstrument.IsFreeOfFillMarginCheck(oldLots, existsCloseOrder));
}
private void ExecuteOrdersAndVerify(Transaction tran, ExecuteContext context, BuySellLot oldLots)
{
decimal lastEquity = tran.Owner.Equity;
decimal deltaBalance = tran.ExecuteOrders(context, order =>
{
if (order.Phase != OrderPhase.Executed)
{
Logger.WarnFormat("ExecuteOrders orderId = {0} phase = {1} not equal executed", order.Id, order.Phase);
return(false);
}
return(true);
});
tran.Owner.InvalidateInstrumentCache(tran);
this.VerifyAlertLevelAndNecessary(tran, oldLots, context, lastEquity);
if (context.IsBook)
{
tran.Owner.AddBalance(tran.CurrencyId, -deltaBalance, context.ExecuteTime);
}
}