internal static void CalculatePreCheckNecessary(Transaction tran, ref CalculateUnfillMarginParameters unfillParams, decimal?effectiveLot = null)
{
Price buy = null;
Price sell = null;
Account account = tran.Owner;
Settings.Instrument settingInstrument = tran.SettingInstrument;
AccountClass.Instrument accountInstrument = account.GetOrCreateInstrument(settingInstrument.Id);
if (tran.OrderType == OrderType.Market || tran.OrderType == OrderType.MarketOnOpen ||
tran.OrderType == OrderType.MarketOnClose || settingInstrument.MarginFormula == MarginFormula.CSiMarketPrice ||
settingInstrument.MarginFormula == MarginFormula.CSxMarketPrice)
{
Quotation quotation = QuotationProvider.GetLatestQuotation(tran.InstrumentId, account);
buy = quotation.BuyOnCustomerSide;
sell = quotation.SellOnCustomerSide;
}
foreach (Order order in tran.Orders)
{
if (order.Phase == OrderPhase.Placed || order.Phase == OrderPhase.Placing)
{
decimal contractSize = tran.ContractSize == 0 ? accountInstrument.TradePolicyDetail.ContractSize : tran.ContractSize;
var price = order.IsBuy ? sell : buy;
order.CalculatePreCheckNecessary(settingInstrument.MarginFormula, tran.CurrencyRate, contractSize, price, effectiveLot);
}
}
foreach (Order order in tran.Orders)
{
if (tran.Type == TransactionType.OneCancelOther && tran.OrderType == OrderType.Limit && order.TradeOption == TradeOption.Better)
{
continue;
}
Collect(order, tran.ContractSize, effectiveLot, ref unfillParams);
}
}
private static void Collect(Order order, decimal contractSize, decimal?effectiveLot, ref CalculateUnfillMarginParameters unfillParams)
{
if (order.Phase != OrderPhase.Placed || order.Phase != OrderPhase.Placing)
{
return;
}
decimal lot = effectiveLot ?? order.Lot;
decimal quantity = lot * contractSize;
if (order.IsBuy)
{
if (order.IsOpen)
{
unfillParams.OpenBuyMargin += order.PreCheckMargin;
unfillParams.OpenBuyQuantity += quantity;
}
else
{
unfillParams.CloseBuyMargin += order.PreCheckMargin;
unfillParams.CloseBuyQuantity += quantity;
}
}
else
{
if (order.IsOpen)
{
unfillParams.OpenSellMargin += order.PreCheckMargin;
unfillParams.OpenSellQuantity += quantity;
}
else
{
unfillParams.CloseSellMargin += order.PreCheckMargin;
unfillParams.CloseSellQuantity += quantity;
}
}
}
