private static decimal CalculateOtherFee(FeeParameter feeParameter)
{
decimal otherFee = feeParameter.TradePolicyDetail.OtherFeeClose;
otherFee = FeeCalculator.CalculateLevy(feeParameter.Instrument.OtherFeeFormula, feeParameter.Instrument.TradePLFormula, feeParameter.Account.RateOtherFee * otherFee, feeParameter.ClosedLot, feeParameter.ContractSize, feeParameter.ExecutePrice, feeParameter.CurrencyRate);
return(otherFee);
}
internal static void CalculateFee(TradePolicyDetail tradePolicyDetail, SpecialTradePolicyDetail specialTradePolicyDetail,
CurrencyRate currencyRate, DateTime tradeDayBeginTime, Settings.Account account, Settings.Instrument instrument,
decimal contractSize, decimal pairRelationFactor, DateTime openOrderExecuteTime, decimal closedLot, Price executePrice,
out decimal commission, out decimal levy)
{
bool isDayCloseRelation = openOrderExecuteTime >= tradeDayBeginTime;
commission = pairRelationFactor * tradePolicyDetail.GetCommissionClose(isDayCloseRelation);
levy = tradePolicyDetail.LevyClose;
if (specialTradePolicyDetail != null && specialTradePolicyDetail.IsFractionCommissionOn)
{
decimal fractionCommission = pairRelationFactor * specialTradePolicyDetail.GetCommissionClose(isDayCloseRelation);
commission = FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * commission, (int)closedLot, contractSize, executePrice, currencyRate)
+ FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * fractionCommission, closedLot - (int)closedLot, contractSize, executePrice, currencyRate);
}
else
{
commission = FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * commission, closedLot, contractSize, executePrice, currencyRate);
}
if (specialTradePolicyDetail != null && specialTradePolicyDetail.IsFractionLevyOn)
{
decimal fractionLevy = specialTradePolicyDetail.LevyClose;
levy = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * levy, (int)closedLot, contractSize, executePrice, currencyRate)
+ FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * fractionLevy, closedLot - (int)closedLot, contractSize, executePrice, currencyRate);
}
else
{
levy = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * levy, closedLot, contractSize, executePrice, currencyRate);
}
}
protected override decimal CalculateLevy(ExecuteContext context)
{
decimal result = 0m;
var setting = this.GetHistorySettings(context);
var instrument = setting.Item1;
var account = setting.Item2;
var currencyRate = setting.Item5;
var tradePolicyDetail = setting.Item3;
decimal contractSize = !context.ShouldUseHistorySettings ? this.Tran.ContractSize(context.TradeDay) : tradePolicyDetail.ContractSize;
if (instrument.LevyFormula.TakeFeeAsCost())
{
return(result);
}
var specialTradePolicyDetail = setting.Item4;
if (!instrument.LevyFormula.IsDependOnPL() && specialTradePolicyDetail != null && specialTradePolicyDetail.IsFractionLevyOn)
{
result = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * tradePolicyDetail.LevyOpen, (int)_order.Lot, contractSize, _order.ExecutePrice, currencyRate)
+ FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * specialTradePolicyDetail.LevyOpen, _order.Lot - (int)_order.Lot, contractSize, _order.ExecutePrice, currencyRate);
}
else
{
result = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * tradePolicyDetail.LevyOpen, _order.Lot, contractSize, _order.ExecutePrice, currencyRate);
}
if (!instrument.LevyFormula.IsDependOnPL() && specialTradePolicyDetail != null)
{
var cgseLevyCurrencyRate = specialTradePolicyDetail.GetCGSELevyCurrencyRate(account, instrument, currencyRate, context);
result += FeeCalculator.CalculateCGSELevy(_order.Lot, true, specialTradePolicyDetail, cgseLevyCurrencyRate);
}
return(result);
}
protected override decimal CalculateOtherFee(ExecuteContext context)
{
decimal result = 0m;
var setting = this.GetHistorySettings(context);
var instrument = setting.Item1;
var account = setting.Item2;
var currencyRate = setting.Item5;
var tradePolicyDetail = setting.Item3;
decimal contractSize = !context.ShouldUseHistorySettings ? this.Tran.ContractSize(context.TradeDay) : tradePolicyDetail.ContractSize;
if (instrument.OtherFeeFormula.TakeFeeAsCost())
{
return(result);
}
result = FeeCalculator.CalculateLevy(instrument.OtherFeeFormula, instrument.TradePLFormula, account.RateOtherFee * tradePolicyDetail.OtherFeeOpen, _order.Lot, contractSize, _order.ExecutePrice, currencyRate);
return(result);
}
internal static decimal CalculateLevy(TradePolicyDetail tradePolicyDetail, SpecialTradePolicyDetail specialTradePolicyDetail,
CurrencyRate currencyRate, Settings.Account account, Settings.Instrument instrument, decimal contractSize, decimal closeLot, Price closePrice)
{
decimal levy = tradePolicyDetail.LevyClose;
if (specialTradePolicyDetail != null && specialTradePolicyDetail.IsFractionLevyOn)
{
decimal fractionLevy = specialTradePolicyDetail.LevyClose;
levy = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * levy, (int)closeLot, contractSize, closePrice, currencyRate)
+ FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * fractionLevy, closeLot - (int)closeLot, contractSize, closePrice, currencyRate);
}
else
{
levy = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * levy, closeLot, contractSize, closePrice, currencyRate);
}
return(levy);
}
private static decimal CalculateLevy(FeeParameter feeParameter)
{
decimal levy = feeParameter.TradePolicyDetail.LevyClose;
if (!feeParameter.Instrument.LevyFormula.IsDependOnPL() && feeParameter.SpecialTradePolicyDetail != null && feeParameter.SpecialTradePolicyDetail.IsFractionLevyOn)
{
decimal fractionLevy = feeParameter.SpecialTradePolicyDetail.LevyClose;
levy = FeeCalculator.CalculateLevy(feeParameter.Instrument.LevyFormula, feeParameter.Instrument.TradePLFormula, feeParameter.Account.RateLevy * levy, (int)feeParameter.ClosedLot, feeParameter.ContractSize, feeParameter.ExecutePrice, feeParameter.CurrencyRate)
+ FeeCalculator.CalculateLevy(feeParameter.Instrument.LevyFormula, feeParameter.Instrument.TradePLFormula, feeParameter.Account.RateLevy * fractionLevy, feeParameter.ClosedLot - (int)feeParameter.ClosedLot, feeParameter.ContractSize, feeParameter.ExecutePrice, feeParameter.CurrencyRate);
}
else
{
levy = FeeCalculator.CalculateLevy(feeParameter.Instrument.LevyFormula, feeParameter.Instrument.TradePLFormula, feeParameter.Account.RateLevy * levy, feeParameter.ClosedLot, feeParameter.ContractSize, feeParameter.ExecutePrice, feeParameter.CurrencyRate, feeParameter.TradePL);
}
if (!feeParameter.Instrument.LevyFormula.IsDependOnPL() && feeParameter.SpecialTradePolicyDetail != null)
{
CurrencyRate cgseLevyCurrencyRate = FeeCalculator.GetCGSELevyCurrencyRate(feeParameter.Account, feeParameter.Instrument, feeParameter.SpecialTradePolicyDetail, feeParameter.CurrencyRate, feeParameter.Context);
levy += FeeCalculator.CalculateCGSELevy(feeParameter.ClosedLot, false, feeParameter.SpecialTradePolicyDetail, cgseLevyCurrencyRate);
}
return(levy);
}
private decimal CaculateFeeForCutting(decimal closedLot, Price cutPrice, ICollection <CuttingItem> cuttingItems)
{
if ((decimal)cutPrice == 0)
{
return(0m);
}
decimal commission = 0m, levy = 0m, otherFee = 0m;
Settings.Instrument instrument = _owner.Setting;
Settings.Account account = _owner.Owner.Setting();
TradePolicyDetail tradePolicyDetail = _owner.TradePolicyDetail();
SpecialTradePolicyDetail specialTradePolicyDetail = _owner.SpecialTradePolicyDetail(null);
decimal contractSize = tradePolicyDetail.ContractSize;
CurrencyRate currencyRate = _owner.CurrencyRate(null);
if (instrument.ExchangeSystem == ExchangeSystem.Local &&
(account.RiskLevelAction == RiskLevelAction.CloseNetPosition || account.RiskLevelAction == RiskLevelAction.CloseAll))
{
if (!instrument.CommissionFormula.TakeFeeAsCost() || !instrument.LevyFormula.TakeFeeAsCost() || !instrument.OtherFeeFormula.TakeFeeAsCost())
{
foreach (CuttingItem eachCuttingItem in cuttingItems)
{
Price buyPrice, sellPrice, closePrice;
if (eachCuttingItem.IsBuy)
{
buyPrice = cutPrice;
sellPrice = eachCuttingItem.ExecutePrice;
}
else
{
sellPrice = cutPrice;
buyPrice = eachCuttingItem.ExecutePrice;
}
closePrice = cutPrice;
decimal subCommission = 0m, subLevy = 0m, subOtherFee = 0m;
decimal tradePL = TradePLCalculator.Calculate(instrument.TradePLFormula, eachCuttingItem.CuttingLot, eachCuttingItem.ContractSize, (decimal)buyPrice, (decimal)sellPrice, (decimal)closePrice, _owner.Currency(null).Decimals);
var feeParameter = new FeeParameter()
{
Account = account,
TradePolicyDetail = tradePolicyDetail,
SpecialTradePolicyDetail = specialTradePolicyDetail,
Instrument = instrument,
CurrencyRate = currencyRate,
ContractSize = contractSize,
OpenOrderExecuteTime = eachCuttingItem.ExecuteTime,
ClosedLot = eachCuttingItem.CuttingLot,
ExecutePrice = cutPrice,
TradePL = tradePL
};
OrderRelation.CalculateFee(feeParameter, out subCommission, out subLevy, out subOtherFee);
commission += subCommission;
levy += subLevy;
otherFee += subOtherFee;
}
}
if (instrument.LevyFormula.TakeFeeAsCost())
{
levy = this.CalculateFeeCommon(account.RateLevy, tradePolicyDetail.LevyClose, closedLot, contractSize);
}
if (instrument.OtherFeeFormula.TakeFeeAsCost())
{
otherFee = this.CalculateFeeCommon(account.RateOtherFee, tradePolicyDetail.OtherFeeClose, closedLot, contractSize);
}
if (instrument.CommissionFormula.TakeFeeAsCost())
{
commission = this.CalculateFeeCommon(account.RateCommission, tradePolicyDetail.CommissionCloseD, closedLot, contractSize);
}
else
{
if (commission >= 0)
{
commission = Math.Max(commission, tradePolicyDetail.MinCommissionClose);
}
}
}
else
{
if (instrument.CommissionFormula.TakeFeeAsCost()) //Adjust PricePips
{
commission = this.CalculateFeeCommon(account.RateCommission, tradePolicyDetail.CommissionOpen, closedLot, contractSize);
}
else
{
if (!instrument.CommissionFormula.IsDependOnPL() && specialTradePolicyDetail != null && specialTradePolicyDetail.IsFractionCommissionOn)
{
commission = FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * tradePolicyDetail.CommissionOpen,
(int)closedLot, contractSize, cutPrice, currencyRate) +
FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * tradePolicyDetail.CommissionOpen, closedLot - (int)closedLot,
contractSize, cutPrice, currencyRate);
}
else
{
commission = FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * tradePolicyDetail.CommissionOpen, closedLot, contractSize, cutPrice, currencyRate);
}
if (commission >= 0)
{
commission = Math.Max(commission, tradePolicyDetail.MinCommissionOpen);
}
}
if (instrument.LevyFormula.TakeFeeAsCost()) //Adjust PricePips
{
levy = this.CalculateFeeCommon(account.RateLevy, tradePolicyDetail.LevyOpen, closedLot, contractSize);
}
else
{
if (!instrument.LevyFormula.IsDependOnPL() && specialTradePolicyDetail != null && specialTradePolicyDetail.IsFractionCommissionOn)
{
levy = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * tradePolicyDetail.LevyOpen, (int)closedLot
, contractSize, cutPrice, currencyRate) +
FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * tradePolicyDetail.LevyOpen, closedLot - (int)closedLot
, contractSize, cutPrice, currencyRate);
}
else
{
levy = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateLevy * tradePolicyDetail.LevyOpen, closedLot, contractSize, cutPrice, currencyRate);
}
if (!instrument.LevyFormula.IsDependOnPL() && specialTradePolicyDetail != null)
{
CurrencyRate cgseLevyCurrencyRate = FeeCalculator.GetCGSELevyCurrencyRate(account, instrument, specialTradePolicyDetail, currencyRate, null);
levy += FeeCalculator.CalculateCGSELevy(closedLot, true, specialTradePolicyDetail, cgseLevyCurrencyRate);
}
}
if (instrument.OtherFeeFormula.TakeFeeAsCost())
{
otherFee = this.CalculateFeeCommon(account.RateOtherFee, tradePolicyDetail.OtherFeeOpen, closedLot, contractSize);
}
else
{
otherFee = FeeCalculator.CalculateLevy(instrument.LevyFormula, instrument.TradePLFormula, account.RateOtherFee * tradePolicyDetail.OtherFeeOpen, closedLot, contractSize, cutPrice, currencyRate);
}
}
return(commission + levy + otherFee);;
}
