/// <summary>
/// 评估创建套利单需要保证金。
/// </summary>
/// <param name="openArg"></param>
/// <returns></returns>
public decimal EvaluateMargin(ArbitrageOpenArgument openArg)
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
USeInstrumentDetail buyInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.SellInstrument);
USeMarketData buyMarketData = quoteDriver.Query(openArg.BuyInstrument);
USeMarketData sellMarketData = quoteDriver.Query(openArg.SellInstrument);
USeMargin buyMarginRate = orderDriver.QueryInstrumentMargin(openArg.BuyInstrument);
USeMargin sellMarginRate = orderDriver.QueryInstrumentMargin(openArg.SellInstrument);
decimal buyMargin = (openArg.TotalOrderQty * buyMarginRate.BrokerLongMarginRatioByVolume) +
(buyMarketData.LastPrice * openArg.TotalOrderQty * buyInstrumentDetail.VolumeMultiple * buyMarginRate.BrokerLongMarginRatioByMoney);
decimal sellMargin = (openArg.TotalOrderQty * sellMarginRate.BrokerShortMarginRatioByVolume) +
(sellMarketData.LastPrice * openArg.TotalOrderQty * sellInstrumentDetail.VolumeMultiple * sellMarginRate.BrokerShortMarginRatioByMoney);
if (openArg.BuyInstrument.Market == USeMarket.SHFE && openArg.SellInstrument.Market == USeMarket.SHFE)
{
return(Math.Max(buyMargin, sellMargin));
}
else
{
return(buyMargin + sellMargin);
}
}
/// <summary>
/// 计算冻结保证金。
/// </summary>
/// <param name="orderBook"></param>
/// <returns></returns>
private decimal CalcOrderFronzonMargin(OrderBookCalcItem orderBook)
{
if (orderBook.IsFinish)
{
return(0m);
}
;
if (orderBook.OffsetType != USeOffsetType.Open)
{
return(0m);
}
int volumeMultiple = orderBook.InstrumentDetail.VolumeMultiple;
USeMargin productMargin = orderBook.MarginRate;
decimal frozonMargin = 0;
if (orderBook.OrderSide == USeOrderSide.Buy)
{
frozonMargin = ((orderBook.OrderQty - orderBook.TradeQty) * productMargin.BrokerLongMarginRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productMargin.BrokerLongMarginRatioByMoney);
}
else if (orderBook.OrderSide == USeOrderSide.Sell)
{
frozonMargin += ((orderBook.OrderQty - orderBook.TradeQty) * productMargin.BrokerShortMarginRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productMargin.BrokerShortMarginRatioByMoney);
}
else
{
Debug.Assert(false);
}
return(frozonMargin);
}
private void UpddateMarketData(object sender, USeMarketDataChangedEventArgs e)
{
USeOrderSide orderSide = GetChoiceDirection();
this.labelUpper.Text = e.MarketData.AskPrice.ToString();
this.labelLower.Text = e.MarketData.BidPrice.ToString();
USeFundDetail fundDetail = USeManager.Instance.FundCalculator.FundDetail;
Debug.Assert(fundDetail != null);
decimal available = fundDetail.Available;
decimal priceScole = USeManager.Instance.OrderDriver.QueryInstrumentVolumeMultiple(m_selectedInstrument);
USeMargin useMargin = USeManager.Instance.OrderDriver.QueryInstrumentMargin(m_selectedInstrument);
decimal margin = 0m;
if (orderSide == USeOrderSide.Buy)
{
this.numericUpDownPrice.Value = e.MarketData.AskPrice;
margin = (useMargin.BrokerLongMarginRatioByMoney * priceScole * this.numericUpDownPrice.Value) + useMargin.BrokerLongMarginRatioByVolume;
}
else if (orderSide == USeOrderSide.Sell)
{
this.numericUpDownPrice.Value = e.MarketData.BidPrice;
margin = (useMargin.BrokerShortMarginRatioByMoney * priceScole * this.numericUpDownPrice.Value) + useMargin.BrokerShortMarginRatioByVolume;
}
else
{
Debug.Assert(false);
}
decimal miniVolumnMoney = margin > 0 ? decimal.Divide(available, margin) : 0;
this.Label_CanVolumn.Text = (Math.Floor(miniVolumnMoney)).ToString();
}
/// <summary>
/// 克隆USeMargin对象。
/// </summary>
/// <returns></returns>
public USeMargin Clone()
{
USeMargin margin = new USeMargin();
margin.Instrument = this.Instrument.Clone();
margin.ExchangeLongMarginRatio = this.ExchangeLongMarginRatio;
margin.ExchangeShortMarginRatio = this.ExchangeShortMarginRatio;
margin.BrokerLongMarginRatioByMoney = this.BrokerLongMarginRatioByMoney;
margin.BrokerLongMarginRatioByVolume = this.BrokerLongMarginRatioByVolume;
margin.BrokerShortMarginRatioByMoney = this.BrokerShortMarginRatioByMoney;
margin.BrokerShortMarginRatioByVolume = this.BrokerShortMarginRatioByVolume;
return(margin);
}
/// <summary>
/// 查询合约保证金。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
public override USeMargin QueryInstrumentMargin(USeInstrument instrument)
{
USeMargin margin = new USeMargin()
{
Instrument = instrument.Clone(),
ExchangeLongMarginRatio = 0.09m,
ExchangeShortMarginRatio = 0.09m,
BrokerLongMarginRatioByMoney = 0.09m,
BrokerLongMarginRatioByVolume = 0,
BrokerShortMarginRatioByMoney = 0.09m,
BrokerShortMarginRatioByVolume = 0
};
return(margin);
}
/// <summary>
/// 计算保证金。
/// </summary>
/// <param name="instrument">合约。</param>
/// <param name="direction">方向。</param>
/// <param name="qty">数量。</param>
/// <param name="price">价格。</param>
/// <returns></returns>
private decimal CalculateMargin(USeInstrument instrument, USeDirection direction, int qty, decimal price)
{
USeMargin margin = m_dataBuffer.GetMargin(instrument);
int volumeMultiple = m_dataBuffer.GetVolumeMultiple(instrument);
switch (direction)
{
case USeDirection.Long:
return(margin.BrokerLongMarginRatioByMoney * price * qty * volumeMultiple + margin.BrokerLongMarginRatioByVolume * qty);
case USeDirection.Short:
return(margin.BrokerShortMarginRatioByMoney * price * qty * volumeMultiple + margin.BrokerShortMarginRatioByVolume * qty);
default:
Debug.Assert(false, "CalculateMargin(),invalid direction");
return(0m);
}
}
/// <summary>
/// 查询委托回报。
/// </summary>
/// <returns></returns>
private List <OrderBookCalcItem> QueryOrderBooks()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
List <USeOrderBook> orderBookList = orderDriver.QueryOrderBooks();
List <OrderBookCalcItem> list = new List <OrderBookCalcItem>();
if (orderBookList == null)
{
return(list);
}
foreach (USeOrderBook orderBookItem in orderBookList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(orderBookItem.Instrument);
USeMargin productMargin = orderDriver.QueryInstrumentMargin(orderBookItem.Instrument);
USeFee productFee = orderDriver.QueryInstrumentFee(orderBookItem.Instrument);
OrderBookCalcItem calcItem = new OrderBookCalcItem()
{
InstrumentDetail = detail,
MarginRate = productMargin,
FeeRate = productFee,
OrderNum = orderBookItem.OrderNum,
Account = orderBookItem.Account,
Instrument = orderBookItem.Instrument,
OrderQty = orderBookItem.OrderQty,
OrderPrice = orderBookItem.OrderPrice,
TradeQty = orderBookItem.TradeQty,
TradeAmount = orderBookItem.TradeAmount,
TradePrice = orderBookItem.TradePrice,
TradeFee = orderBookItem.TradeFee,
OrderStatus = orderBookItem.OrderStatus,
CancelQty = orderBookItem.CancelQty,
OrderSide = orderBookItem.OrderSide,
OffsetType = orderBookItem.OffsetType,
Memo = orderBookItem.Memo,
OrderTime = orderBookItem.OrderTime
};
list.Add(calcItem);
}
return(list);
}
/// <summary>
/// CTP InstrumentMarginRateField To USeMargin。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeMargin CtpMarginRateFieldToUSeProductMarginInfo(InstrumentMarginRateField filed)
{
USeMargin margin = new USeMargin();
margin.Instrument = m_dataBuffer.GetInstrumnetByCode(filed.InstrumentID);
try
{
margin.BrokerLongMarginRatioByMoney = filed.LongMarginRatioByMoney == double.MaxValue ? 0m : Convert.ToDecimal(filed.LongMarginRatioByMoney);
margin.BrokerLongMarginRatioByVolume = filed.LongMarginRatioByVolume == double.MaxValue ? 0m : Convert.ToDecimal(filed.LongMarginRatioByVolume);
margin.BrokerShortMarginRatioByMoney = filed.ShortMarginRatioByMoney == double.MaxValue ? 0m : Convert.ToDecimal(filed.ShortMarginRatioByMoney);
margin.BrokerShortMarginRatioByVolume = filed.ShortMarginRatioByVolume == double.MaxValue ? 0m : Convert.ToDecimal(filed.ShortMarginRatioByVolume);
}
catch (Exception ex)
{
Debug.Assert(false, "InstrumentMarginRateFieldToFulcProductMarginInfo() convet failed," + ex.Message);
}
return(margin);
}
/// <summary>
/// 查询持仓明细。
/// </summary>
/// <returns></returns>
private List <PositionDetailCalcItem> QueryPositonDetails()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
List <USePositionDetail> positonList = orderDriver.QueryPositionDetail();
List <PositionDetailCalcItem> list = new List <PositionDetailCalcItem>();
if (positonList == null)
{
return(list);
}
foreach (USePositionDetail posItem in positonList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(posItem.Instrument);
USeMargin productMargin = orderDriver.QueryInstrumentMargin(posItem.Instrument);
USeMarketData marketData = quoteDriver.Query(posItem.Instrument);
PositionDetailCalcItem calcItem = new PositionDetailCalcItem()
{
InstrumentDetail = detail,
Margin = productMargin,
MarketData = marketData,
ID = posItem.ID,
Instrument = posItem.Instrument.Clone(),
Direction = posItem.Direction,
PositionType = posItem.PositionType,
OpenQty = posItem.OpenQty,
OpenPrice = posItem.OpenPrice,
OpenTime = posItem.OpenTime,
CloseQty = posItem.CloseQty,
CloseAmount = posItem.CloseAmount,
ClosePrice = posItem.ClosePrice
};
list.Add(calcItem);
}
return(list);
}
/// <summary>
/// 查询合约保证金。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
public override USeMargin QueryInstrumentMargin(USeInstrument instrument)
{
if (m_dataBuffer.ExistInstrument(instrument.InstrumentCode) == false)
{
throw new Exception(string.Format("Unsupport instrument[{0}]", instrument));
}
USeMargin margin = m_dataBuffer.GetMargin(instrument);
if (margin != null)
{
return(margin);
}
else
{
int index = 3;
while (index > 0)
{
index--;
try
{
InstrumentMarginRateField field = QueryMarginFromCtp(instrument.InstrumentCode);
m_dataBuffer.UpdateInstrumentMagin(field);
margin = m_dataBuffer.GetMargin(instrument);
Debug.Assert(margin != null, "QueryInstrumentMargin(),margin is null");
return(margin);
}
catch
{
}
Thread.Sleep(1200);
}
Debug.Assert(false, "QueryInstrumentMargin(),margin is null");
// 如果还查不到则抛出异常
throw new Exception(string.Format("Query instrument[{0}] margin failed", instrument));
}
}
/// <summary>
/// 计算当前套利单占用的保证金。
/// </summary>
/// <returns></returns>
public decimal CalculatUseMargin()
{
ArbitrageOpenArgument openArg = null;
lock (m_syncObj)
{
if (m_arbitrageOrder.State == ArbitrageOrderState.Finish ||
m_arbitrageOrder.State == ArbitrageOrderState.Closed)
{
//平仓完成套利单不占用保证金
return(0m);
}
openArg = m_arbitrageOrder.OpenArgument.Clone();
}
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
USeInstrumentDetail buyInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.SellInstrument);
USeMarketData buyMarketData = quoteDriver.Query(openArg.BuyInstrument);
USeMarketData sellMarketData = quoteDriver.Query(openArg.SellInstrument);
USeMargin buyMarginRate = orderDriver.QueryInstrumentMargin(openArg.BuyInstrument);
USeMargin sellMarginRate = orderDriver.QueryInstrumentMargin(openArg.SellInstrument);
decimal buyMargin = (openArg.TotalOrderQty * buyMarginRate.BrokerLongMarginRatioByVolume) +
(buyMarketData.LastPrice * openArg.TotalOrderQty * buyInstrumentDetail.VolumeMultiple * buyMarginRate.BrokerLongMarginRatioByMoney);
decimal sellMargin = (openArg.TotalOrderQty * sellMarginRate.BrokerShortMarginRatioByVolume) +
(sellMarketData.LastPrice * openArg.TotalOrderQty * sellInstrumentDetail.VolumeMultiple * sellMarginRate.BrokerShortMarginRatioByMoney);
if (openArg.BuyInstrument.Market == USeMarket.SHFE && openArg.SellInstrument.Market == USeMarket.SHFE)
{
return(Math.Max(buyMargin, sellMargin));
}
else
{
return(buyMargin + sellMargin);
}
}
private USeFundDetail CalculFoundBeforeTrade()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
try
{
List <USeTradeBook> tradeBookList = orderDriver.QueryTradeBooks();
List <USePositionDetail> tradeAccountPosList = orderDriver.QueryPositionDetail();
List <USeOrderBook> orderBookList = orderDriver.QueryOrderBooks();
USeFund accountInfo = orderDriver.QueryFundInfo();
if (tradeBookList == null || tradeAccountPosList == null || orderBookList == null || accountInfo == null)
{
return(null);
}
#region 读取
decimal preBalance = accountInfo.PreBalance; //上日客户权益（读取）即上日结算准备金
decimal preCredit = accountInfo.PreCredit; // 上日信用额度
decimal preMortgage = accountInfo.PreMortgage; // 上次质押金额
decimal mortgage = accountInfo.Mortgage; // 质押金额
decimal withDraw = accountInfo.WithDraw; // 今日出金
decimal deposit = accountInfo.Deposit; // 今日入金
decimal deliveryMargin = accountInfo.DeliveryMargin; //交割保证金
#endregion 读取
// 静态权益 = 上日结存 - 上次信用额度 - 上次质押金额
// + 质押金额(可能有延时)- 今日出金(可能有延时) + 今日入金(可能有延时)
decimal staticBenefit = preBalance - preCredit - preMortgage + mortgage - withDraw + deposit;
#region 成交回报推算
decimal holdHistoryMargin = 0m;
decimal holdMargin = 0m;
foreach (USePositionDetail posItem in tradeAccountPosList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(posItem.Instrument);
int volumeMultiple = detail.VolumeMultiple;
USeMargin productMargin = orderDriver.QueryInstrumentMargin(posItem.Instrument);
USeMarketData marketData = quoteDriver.Query(posItem.Instrument);
if (posItem.RemainQty > 0) // 有持仓
{
if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Long)
{
// 历史多头持仓保证金 = 上日结算价 × 合约乘数 × 持仓手数 × 交易所多头保证金率
decimal margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * productMargin.BrokerLongMarginRatioByMoney) +
(posItem.RemainQty * productMargin.BrokerLongMarginRatioByVolume);
holdHistoryMargin += margin;
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Short)
{
decimal margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * productMargin.BrokerShortMarginRatioByMoney) +
(posItem.RemainQty * productMargin.BrokerLongMarginRatioByVolume);
holdHistoryMargin += margin;
}
else
{
Debug.Assert(false);
}
}
}
holdMargin = holdHistoryMargin;
#endregion
// 动态权益 = 静态权益
decimal dynamicBenefit = staticBenefit;
decimal frozon = 0;
decimal closeProfit = 0m;
decimal holdProfit = 0m;
decimal tradeFee = 0m;
decimal available = dynamicBenefit - holdMargin - frozon - deliveryMargin;
//风险度 = (占用保证金 + 交割保证金) / 动态权益
decimal risk = decimal.Divide((holdMargin + deliveryMargin), dynamicBenefit);
decimal preferCash = available;
if (tradeBookList.Count != 0 || tradeAccountPosList.Count != 0)
{
preferCash = (decimal)(preferCash * 7 / 10);
}
USeFundDetail fundDetail = new USeFundDetail();
fundDetail.AccountID = string.Empty;
fundDetail.Available = available;
fundDetail.Deposit = deposit;
fundDetail.Mortgage = mortgage;
fundDetail.PreBalance = preBalance;
fundDetail.PreCredit = preCredit;
fundDetail.PreMortgage = preMortgage;
fundDetail.WithDraw = withDraw;
fundDetail.StaticBenefit = staticBenefit;
fundDetail.CloseProfit = closeProfit;
fundDetail.TradeFee = tradeFee;
fundDetail.HoldProfit = holdProfit;
fundDetail.HoldMargin = holdMargin;
fundDetail.DynamicBenefit = dynamicBenefit;
fundDetail.FrozonMargin = 0; fundDetail.AccountID = string.Empty;
fundDetail.Available = available;
fundDetail.Deposit = deposit;
fundDetail.Mortgage = mortgage;
fundDetail.PreBalance = preBalance;
fundDetail.PreCredit = preCredit;
fundDetail.PreMortgage = preMortgage;
fundDetail.WithDraw = withDraw;
fundDetail.StaticBenefit = staticBenefit;
fundDetail.CloseProfit = closeProfit;
fundDetail.TradeFee = tradeFee;
fundDetail.HoldProfit = holdProfit;
fundDetail.HoldMargin = holdMargin;
fundDetail.DynamicBenefit = dynamicBenefit;
fundDetail.FrozonMargin = 0;
fundDetail.FrozonFee = 0;
fundDetail.Fronzon = frozon;
fundDetail.Risk = risk;
fundDetail.PreferCash = preferCash;
return(fundDetail);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
return(null);
}
}
