public SweepUnitContext_Bond_Long(
TradingDirection ls,
BondPair pair,
Account bondAccount,
ISweeper sweeper)
{
this.ID = SweepUnitIDManager.NextID++;
this.LongShort = ls;
Trace.Assert(this.LongShort == TradingDirection.Long);
this.InitSignedGoalCount = pair.Count;
this.CurSignedTargetCount = pair.Count;
this.EnterCode = pair.EnterCodeWithMarketType;
this._initEnterPrice = pair.EnterPrice;
this.BondAccount = bondAccount;
this._enterMarketType = BondUtil.GetMarketType(pair.EnterCodeWithMarketType);
this._sweeper = sweeper;
CreateInitOrders(pair);
this.RealOrdersLong = new List<POrder>();
ReadyBidAskCountDataForAllocate(pair);
}
public SweepUnitContext_Bond_Short(
TradingDirection ls,
BondPair pair,
Account bondAccount,
ISweeper sweeper)
{
this.ID = SweepUnitIDManager.NextID++;
this.LongShort = ls;
Trace.Assert(this.LongShort == TradingDirection.Short);
// -15
this.CurSignedTargetCount = pair.Count * (-1);
this.EnterCode = pair.EnterCodeWithMarketType;
this.PairCode = pair.PairCodeWithMarketType;
this._initSweepPrice = pair.PairPrice;
this.BondAccount = bondAccount;
this._enterMarketType = BondUtil.GetMarketType(pair.EnterCodeWithMarketType);
this._pairMarketType = BondUtil.GetMarketType(pair.PairCodeWithMarketType);
this._sweeper = sweeper;
this.RealOrdersShort = new List<POrder>();
}
public void AddPair(BondPair pair)
{
String key = GetKey(pair);
String reverseKey = GetReverseKey(pair);
if (!_keys.ContainsKey(key) && !_keys.ContainsKey(reverseKey))
{
_keys.Add(key, key);
_pairs.Add(pair);
}
}
public Sweeper_BondArb(
BondPair pair,
Account bondAccount)
{
try
{
this.ID = g_curID++;
this._bStartWithSweeperMode = false;
this.EnterCodeWithMarketType = pair.EnterCodeWithMarketType;
this.PairCodeWithMarketType = pair.PairCodeWithMarketType;
this.EnterPrice = pair.EnterPrice;
this.PairPrice = pair.PairPrice;
logger.Info("[Start BondArb Sweeper] #{0:n0}, '{1}' ({2:n0} -> {3:n0}) ({4:n0})",
this.ID,
BondUtil.GetCodeNoTail(this.EnterCodeWithMarketType),
this.EnterPrice,
this.PairPrice,
pair.Count);
SweepUnitContext_Bond_Long contextLong =
new SweepUnitContext_Bond_Long(TradingDirection.Long, pair, bondAccount, this);
_sweepUnitLong = new SweepUnitTemplate(contextLong, this, 5);
_sweepUnitLong.CompleteCarefully();
SweepUnitContext_Bond_Short contextShort =
new SweepUnitContext_Bond_Short(TradingDirection.Short, pair, bondAccount, this);
_sweepUnitShort = new SweepUnitTemplate(contextShort, this, 5);
_sweepUnitShort.CompleteCarefully();
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
}
void SetHousingBondPairAndRmds(ref BondPair housingBondPair, ref RawMarketData rmdNormal, ref RawMarketData rmdSmall)
{
housingBondPair = BondPairManager.Ins().GetBondPair(_kHousingBondCode_Normal);
RawMarketData rmd1 = RmdManager.Ins().BondSpot.GetData(housingBondPair.Code1);
RawMarketData rmd2 = RmdManager.Ins().BondSpot.GetData(housingBondPair.Code2);
rmdNormal = GetNormalRMD(rmd1, rmd2);
rmdSmall = GetSmallRMD(rmd1, rmd2);
}
void SetCreditBondPairAndRmds(ref BondPair bondPair, ref RawMarketData rmdNormal, ref RawMarketData rmdRetail)
{
bondPair = BondPairManager.Ins().GetBondPair(_kDoosanCode_Normal);
RawMarketData rmd1 = RmdManager.Ins().BondSpot.GetData(bondPair.Code1);
RawMarketData rmd2 = RmdManager.Ins().BondSpot.GetData(bondPair.Code2);
rmdNormal = GetNormalRMD(rmd1, rmd2);
rmdRetail = GetRetailRMD(rmd1, rmd2);
}
private int CheckArbChance(BondPair pair)
{
return pair.CheckArbChance(this._bondAccount);
}
void ReadyBidAskCountDataForAllocate(BondPair pair)
{
// 매수에 100개, 매도에 10개인 기회인 경우에
// 잘못하면 10개의 주문을 내고 매도쪽에 수량이 부족할 수가 있다.
// 이런 경우를 막기 위해서 매도쪽도 같이 수량을 잡아주도록 한다.
this._dummyShortOrderForReserveBidAskCount = new POrder(
TradingDirection.Short,
pair.PairCodeWithMarketType,
Math.Abs(this.InitSignedGoalCount),
pair.PairPrice,
this.BondAccount,
pair.GetSweeperRMD(),
BondUtil.GetMarketType(pair.PairCodeWithMarketType),
true);
// 바로 취소
this._dummyShortOrderForReserveBidAskCount.OrderNumber = 0;
this._dummyShortOrderForReserveBidAskCount.Update(0, 0, false);
this._dummyShortOrderForReserveBidAskCount.UpdateCancelMessage(_dummyShortOrderForReserveBidAskCount.ReqCount);
}
void CreateInitOrders(BondPair pair)
{
Trace.Assert(this.LongShort == TradingDirection.Long);
LongShortCount lsc = new LongShortCount(pair.Count);
List<long> reqCounts = GetReqCounts(lsc, this._enterMarketType);
double reqPrice = this._initEnterPrice;
TradingDirection ls = TradingDirection.Long;
_initOrders = new List<POrder>();
foreach (long reqCount in reqCounts)
{
POrder o = new POrder(ls, this.EnterCode, reqCount, reqPrice, this.BondAccount, pair.GetEnterRMD(),
BondUtil.GetMarketType(this.EnterCode), false);
o.ShortCutTargetOfContractCallBack = this;
_initOrders.Add(o);
}
}
String GetReverseKey(BondPair pair)
{
return String.Format("{1};{0}", pair.Code1, pair.Code2);
}
String GetKey(BondPair pair)
{
return String.Format("{0};{1}", pair.Code1, pair.Code2);
}
public List<BondPair> GetNewPairsAndDeleteNewArrival()
{
List<BondPair> pairs = new List<BondPair>();
List<RawMarketData> newArrival = new List<RawMarketData>();
lock (_bondLock)
{
if (_bondNewArrival.Count > 0)
{
newArrival.AddRange(_bondNewArrival);
_bondNewArrival.Clear();
}
}
foreach (RawMarketData rmd in newArrival)
{
String shortCode = Util.GetBondShortCode(rmd.Code);
RawMarketData rmdNormal = GetBondRmdNormal(shortCode);
RawMarketData rmdRetail = GetBondRmdRetail(shortCode);
RawMarketData rmdSmall = GetBondRmdSmall(shortCode);
if (rmdNormal != null && rmdSmall != null)
{
BondPair tp = new BondPair(rmdNormal.Code, rmdSmall.Code, rmdNormal.Name);
pairs.Add(tp);
}
else if (rmdNormal != null && rmdRetail != null)
{
BondPair tp = new BondPair(rmdNormal.Code, rmdRetail.Code, rmdNormal.Name);
pairs.Add(tp);
}
else if (rmdRetail != null && rmdSmall != null)
{
BondPair tp = new BondPair(rmdRetail.Code, rmdSmall.Code, rmdRetail.Name);
pairs.Add(tp);
}
}
return pairs;
}
