private static void InitializeFilledAndMarginArgs(this AccountClass.Instrument instrument, bool isBuy, MarginAndQuantityResult unfilledArgs, MarginAndQuantityResult filledArgs, MarginAndQuantityResult marginArgs)
{
var physicalInstrument = instrument as Physical.PhysicalInstrument;
BuySellPair margin, quantity, partialMargin, partialQuantity;
margin = new BuySellPair(instrument.TotalBuyMargin, instrument.TotalSellMargin);
quantity = new BuySellPair(instrument.TotalBuyQuantity, instrument.TotalSellQuantity);
if (physicalInstrument != null)
{
partialMargin = new BuySellPair(physicalInstrument.TotalBuyMarginForPartialPaymentPhysicalOrder, physicalInstrument.TotalSellMarginForPartialPaymentPhysicalOrder);
partialQuantity = new BuySellPair(physicalInstrument.TotalBuyLotBalanceForPartialPaymentPhysicalOrder, physicalInstrument.TotalSellLotBalanceForPartialPaymentPhysicalOrder);
}
else
{
partialMargin = BuySellPair.Empty;
partialQuantity = BuySellPair.Empty;
}
filledArgs.Add(isBuy, margin, quantity, partialMargin, partialQuantity);
marginArgs.Add(isBuy, unfilledArgs);
marginArgs.Add(isBuy, margin, quantity, partialMargin, partialQuantity);
}
private static decimal CalculateNecessary(AccountClass.Instrument instrument, bool isBuy, MarginAndQuantityResult marginArgs, MarginAndQuantityResult filledArgs)
{
MarginAndQuantityResult necessaryParams = new MarginAndQuantityResult();
necessaryParams.Add(isBuy, marginArgs, filledArgs);
decimal netNecessary = 0m;
decimal hedgeNecessary = 0m;
decimal partialPaymentPhysicalNecessary = 0m;
if (necessaryParams.PartialQuantity.Sell > 0)
{
partialPaymentPhysicalNecessary = necessaryParams.PartialMargin.Sell;
}
else if (necessaryParams.PartialQuantity.Buy > 0)
{
partialPaymentPhysicalNecessary = necessaryParams.PartialMargin.Buy;
}
instrument.CalculateNetAndHedgeNecessary(necessaryParams.Margin.Buy, necessaryParams.Margin.Sell,
necessaryParams.Quantity.Buy, necessaryParams.Quantity.Sell, partialPaymentPhysicalNecessary,
out netNecessary, out hedgeNecessary);
return(netNecessary + hedgeNecessary);
}
