public override void EndElement(string endElement)
{
if ("instrument" == endElement)
{
long id = GetLongValue(Id, 0L);
String name = GetStringValue(Name);
string symbol = GetStringValue(Symbol);
string isin = GetStringValue(UnderlyingIsin);
string assetClass = GetStringValue(AssetClass);
UnderlyingInfo underlying = new UnderlyingInfo(symbol, isin, assetClass);
DateTime startTime = GetDateTime(StartTime, DateTime.MinValue);
DateTime? expiryTime = GetDateTime(EndTime);
TimeSpan openOffset = GetTimeSpan(OpeningOffset, TimeSpan.MinValue);
TimeSpan closeOffset = GetTimeSpan(ClosingOffset, TimeSpan.MinValue);
string timeZone = GetStringValue(Timezone);
List <DayOfWeek> daysOfWeek = GetDaysOfWeek();
CalendarInfo calendarInfo = new CalendarInfo(startTime, expiryTime, openOffset, closeOffset, timeZone, daysOfWeek);
decimal marginRate = GetDecimalValue(Margin, 0);
decimal maximumPosition = GetDecimalValue(MaximumPositionThreshold, 0);
RiskInfo riskInfo = new RiskInfo(marginRate, maximumPosition);
decimal priceIncrement = GetDecimalValue(PriceIncrement, 0);
decimal quantityIncrement = GetDecimalValue(OrderQuantityIncrement, 0);
decimal volatilityBandPercentage = GetDecimalValue(RetailVolatilityBandPercentage, 0);
OrderBookInfo orderBookInfo = new OrderBookInfo(priceIncrement, quantityIncrement, volatilityBandPercentage);
string currency = GetStringValue(Currency);
decimal unitPrice = GetDecimalValue(UnitPrice, 0);
string unitOfMeasure = GetStringValue(ContractUnitMeasure);
decimal contractSize = GetDecimalValue(ContractSize, 0);
ContractInfo contractInfo = new ContractInfo(currency, unitPrice, unitOfMeasure, contractSize);
decimal minimumCommission = GetDecimalValue(MinimumCommission, 0);
decimal?aggressiveCommissionRate = GetDecimalValue(AggressiveCommisionRate);
decimal?passiveCommissionRate = GetDecimalValue(PassiveCommissionRate);
decimal?aggressiveCommissionPerContract = GetDecimalValue(AggressiveCommissionPerContract);
decimal?passiveCommissionPerContract = GetDecimalValue(PassiveCommissionPerContract);
string fundingBaseRate = GetStringValue(FundingBaseRate);
int dailyInterestRateBasis = GetIntValue(DailyInteresetRateBasis, 0);
decimal?fundingPremiumPercentage = GetDecimalValue(FundingPremiumPercentage);
decimal?fundingReductionPercentage = GetDecimalValue(FundingReductionPercentage);
decimal?longSwapPoints = GetDecimalValue(LongSwapPoints);
decimal?shortSwapPoints = GetDecimalValue(ShortSwapPoints);
CommercialInfo commercialInfo = new CommercialInfo(minimumCommission, aggressiveCommissionRate, passiveCommissionRate,
aggressiveCommissionPerContract, passiveCommissionPerContract,
fundingBaseRate, dailyInterestRateBasis,
fundingPremiumPercentage, fundingReductionPercentage, longSwapPoints, shortSwapPoints);
_instruments.Add(new Instrument(id, name, underlying, calendarInfo, riskInfo, orderBookInfo, contractInfo, commercialInfo));
}
}
public IActionResult Create([Bind] RiskInfo objris)
{
if (ModelState.IsValid)
{
riskDAL.AddRisk(objris);
return(RedirectToAction("Index"));
}
return(View(objris));
}
public Instrument(long id, string name, UnderlyingInfo underlying, CalendarInfo calendar, RiskInfo risk, OrderBookInfo orderBook, ContractInfo contract, CommercialInfo commercial)
{
this._id = id;
this._name = name;
this._underlying = underlying;
this._calendar = calendar;
this._risk = risk;
this._orderBook = orderBook;
this._contract = contract;
this._commercial = commercial;
}
public IActionResult Edit(int?id, [Bind] RiskInfo objris)
{
if (id == null)
{
return(NotFound());
}
if (ModelState.IsValid)
{
riskDAL.UpdateRisk(objris);
return(RedirectToAction("Index"));
}
return(View(riskDAL));
}
public IActionResult Edit(int?id)
{
if (id == null)
{
return(NotFound());
}
RiskInfo ris = riskDAL.GetRiskById(id);
if (ris == null)
{
return(NotFound());
}
return(View(ris));
}
/// <summary>
/// 风控检测
/// 仅针对股票买入和期货开仓进行判断
/// 新交易影响持仓参数：
/// 股票：
/// 可用资金减少
/// 股票成本增加
/// 风控冻结资金量增加
/// 期货：
/// 期货冻结资金增加
/// 可用资金减少
/// </summary>
/// <param name="alias">用户名</param>
/// <param name="orderlist">交易列表</param>
/// <param name="result">结果</param>
/// <returns>是否通过风控</returns>
public static bool RiskDetection(string alias, List <TradeOrderStruct> orderlist, out string result)
{
result = string.Empty;
if (alias == null)
{
return(false);
}
//第一步： 计算新交易引入后对于股票，期货持仓参数的预见性影响
alias = alias.Trim();
//风控错误码
int errCode = 0;
//默认策略号
String StrategyId = "000";
if (orderlist != null && orderlist.Count > 0)
{
StrategyId = orderlist[0].belongStrategy;
}
//获取真实实时账户信息
UserInfo user = DBAccessLayer.GetOneUser(alias);
if (user == null)
{
result = "未查到用户：" + alias;
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = 0,
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//刷新内存中的资金信息
AccountInfo current_account = accountMonitor.UpdateAccountList(user);
StockAccountTable stock_account = accountMonitor.GetStockAccount(alias);
if (stock_account == null)
{
result = "stockAccountDictionary中不存在用户：" + alias;
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = 0,
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
FutureAccountTable future_account = accountMonitor.GetFutureAccount(alias);
if (future_account == null)
{
result = "futureAccountDictionary中不存在用户： " + alias;
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = 0,
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//计划买入股票交易列表
var Stock_to_buy_var = (from item
in orderlist
where item.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy &&
(item.cSecurityType == "S" || item.cSecurityType == "s")
select item);
List <TradeOrderStruct> Stock_to_buy = new List <TradeOrderStruct>();
if (Stock_to_buy_var.Count() != 0)
{
Stock_to_buy = Stock_to_buy_var.ToList();
}
//计划卖出股票交易列表
var Stock_to_sell_var = (from item
in orderlist
where item.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionSell &&
(item.cSecurityType == "S" || item.cSecurityType == "s")
select item);
List <TradeOrderStruct> Stock_to_sell = new List <TradeOrderStruct>();
if (Stock_to_sell_var.Count() != 0)
{
Stock_to_sell = Stock_to_sell_var.ToList();
}
//计划开仓期货交易列表
var Future_to_open_var = (from item
in orderlist
where item.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetOpen &&
(item.cSecurityType == "F" || item.cSecurityType == "f")
select item);
List <TradeOrderStruct> Future_to_open = new List <TradeOrderStruct>();
if (Future_to_open_var.Count() != 0)
{
Future_to_open = Future_to_open_var.ToList();
}
//计划平仓期货交易列表
var Future_to_close_var = (from item
in orderlist
where item.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetClose &&
(item.cSecurityType == "F" || item.cSecurityType == "f")
select item);
List <TradeOrderStruct> Future_to_close = new List <TradeOrderStruct>();
if (Future_to_close_var.Count() != 0)
{
Future_to_close = Future_to_close_var.ToList();
}
//计算预期购买股票成本
double stock_etimate_add_cost = 0;
foreach (TradeOrderStruct order in Stock_to_buy)
{
stock_etimate_add_cost += order.dOrderPrice * order.nSecurityAmount;
}
//计算预期期货追加保证金
double future_estimate_add_deposit = 0;
//计算预期期货对应股票市值变化值
double future_estimate_market_value = 0;
foreach (TradeOrderStruct order in Future_to_open)
{
future_estimate_add_deposit += (order.nSecurityAmount * order.dOrderPrice * AccountPARA.MarginValue * AccountPARA.Factor(order.cSecurityCode));
if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionBuy)
{
future_estimate_market_value += (order.nSecurityAmount * order.dOrderPrice * AccountPARA.Factor(order.cSecurityCode));
}
else if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionSell)
{
future_estimate_market_value -= (order.nSecurityAmount * order.dOrderPrice * AccountPARA.Factor(order.cSecurityCode));
}
}
//第二步： 计算修改的资金账户参数是否满足风控指标要求
//判断卖出/平仓证券是否小于持仓
#region 黑白名单判断及总股本限制
//获得白名单
List <BWNameTable> BWRecords = DBAccessLayer.GetWBNamwList();
foreach (TradeOrderStruct tos in orderlist)
{
BWNameTable BW_record = BWRecords.Find(delegate(BWNameTable item) { return(item.Code.Trim() == tos.cSecurityCode.Trim()); });
if (BW_record == null)
{
errCode = 4;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = tos.dOrderPrice,
amount = Convert.ToInt32(tos.nSecurityAmount),
err = result,
orientation = tos.cTradeDirection,
code = tos.cSecurityCode.Trim(),
strid = tos.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
if (tos.cSecurityType.ToUpper() == "S" && tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
//判断总股本数量和流通股数量限制
double buylimit = Convert.ToDouble(BW_record.PercentageA) * Convert.ToDouble(BW_record.Amount);
double buylimit2 = Convert.ToDouble(BW_record.PercentageB) * Convert.ToDouble(BW_record.Value);
int entrust_amount = 0;
AccountEntrust entrust_record = current_account.entrusts.Find(
delegate(AccountEntrust item)
{
return(item.code == tos.cSecurityCode);
}
);
if (entrust_record != null)
{
entrust_amount = Convert.ToInt32(entrust_record.dealAmount);
}
int position_amount = 0;
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.code == tos.cSecurityCode);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
//总股本限制
if (tos.nSecurityAmount + entrust_amount + position_amount > buylimit)
{
errCode = 5;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = tos.dOrderPrice,
amount = Convert.ToInt32(tos.nSecurityAmount),
err = result,
orientation = tos.cTradeDirection,
code = tos.cSecurityCode.Trim(),
strid = tos.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//流通股限制
if (tos.nSecurityAmount + entrust_amount + position_amount > buylimit2)
{
errCode = 5;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = tos.dOrderPrice,
amount = Convert.ToInt32(tos.nSecurityAmount),
err = result,
orientation = tos.cTradeDirection,
code = tos.cSecurityCode.Trim(),
strid = tos.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
#endregion
#region 判断卖出/平仓证券是否小于持仓
foreach (TradeOrderStruct order in orderlist)
{
if (order.cSecurityType == "F" || order.cSecurityType == "f")
{
if (order.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetClose)
{
int position_amount = 0;
//期货平仓交易，需要判断对应开仓数量是否满足
if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionBuy)
{
//买入平仓，需要判断卖出开仓数量
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.direction == TradeOrientationAndFlag.FutureTradeDirectionSell && order.cSecurityCode == item.code);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
if (order.nSecurityAmount > position_amount)
{
//买入平仓数量小于卖出仓位，交易被拒绝。
errCode = 12;
result = accountMonitor.GetErrorCode(errCode, order.cSecurityCode + "|" + position_amount + "|" + order.cTradeDirection);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = order.dOrderPrice,
amount = Convert.ToInt32(order.nSecurityAmount),
err = result,
orientation = order.cTradeDirection,
code = order.cSecurityCode.Trim(),
strid = order.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
else if (order.cTradeDirection == TradeOrientationAndFlag.FutureTradeDirectionSell)
{
//卖出平仓，需要判断买入开仓的数量
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.direction == TradeOrientationAndFlag.FutureTradeDirectionBuy && order.cSecurityCode == item.code);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
if (order.nSecurityAmount > position_amount)
{
//卖出平仓数量小于买入仓位，交易被拒绝。
errCode = 12;
result = accountMonitor.GetErrorCode(errCode, order.cSecurityCode + "|" + position_amount + "|" + order.cTradeDirection);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = order.dOrderPrice,
amount = Convert.ToInt32(order.nSecurityAmount),
err = result,
orientation = order.cTradeDirection,
code = order.cSecurityCode.Trim(),
strid = order.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
}
else if (order.cSecurityType == "S" || order.cSecurityType == "s")
{
if (order.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionSell)
{
//股票卖出交易，需要判断当前持仓数量是否满足
int entrust_amount = 0;
AccountEntrust entrust_record = current_account.entrusts.Find(
delegate(AccountEntrust item)
{
return(item.code == order.cSecurityCode && item.direction == TradeOrientationAndFlag.StockTradeDirectionSell);
}
);
if (entrust_record != null)
{
entrust_amount = Convert.ToInt32(entrust_record.dealAmount);
}
int position_amount = 0;
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.code == order.cSecurityCode);
}
);
if (position_record != null)
{
position_amount = Convert.ToInt32(position_record.amount);
}
//判断当前持仓和委托+下单卖出总和比较
if (order.nSecurityAmount + entrust_amount > position_amount)
{
errCode = 11;
result = accountMonitor.GetErrorCode(errCode, order.cSecurityCode + "|" + (entrust_amount + position_amount).ToString());
RiskInfo info = new RiskInfo()
{
alias = alias,
price = order.dOrderPrice,
amount = Convert.ToInt32(order.nSecurityAmount),
err = result,
orientation = order.cTradeDirection,
code = order.cSecurityCode.Trim(),
strid = order.belongStrategy
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
}
#endregion
#region 判断买入股票和期货需要资金是否高于当前可用资金
//预期股票剩余资金
double stock_balance = Convert.ToDouble(current_account.account) - stock_etimate_add_cost;
if (stock_balance <= 0)
{
errCode = 1;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
//预期期货可用资金
double future_balance = Convert.ToDouble(current_account.faccount) - future_estimate_add_deposit;
if (future_balance <= 0)
{
errCode = 2;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 单一股票占总资产不超过5%
//总资产
double totalAccount = Convert.ToDouble(current_account.account) + Convert.ToDouble(current_account.fstockvalue) + Convert.ToDouble(current_account.fvalue);
foreach (TradeOrderStruct tos in orderlist)
{
if (tos.cSecurityType.ToUpper() == "S")
{
if (CheckStockException(tos.cSecurityCode))
{
continue;
}
if (tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
double entrust_value = 0;
AccountEntrust entrust_record = current_account.entrusts.Find(
delegate(AccountEntrust item)
{
return(item.code == tos.cSecurityCode);
}
);
if (entrust_record != null)
{
entrust_value = Convert.ToDouble(entrust_record.dealMoney) * Convert.ToDouble(entrust_record.dealAmount);
}
double position_value = 0;
AccountPosition position_record = current_account.positions.Find(
delegate(AccountPosition item)
{
return(item.code == tos.cSecurityCode);
}
);
if (position_record != null)
{
position_value = Convert.ToDouble(position_record.price) * Convert.ToDouble(position_record.amount);
}
if ((tos.nSecurityAmount * tos.dOrderPrice + entrust_value + position_value) / totalAccount > riskPara.PerStockCostPercentage)
{
errCode = 6;
result = accountMonitor.GetErrorCode(errCode, tos.cSecurityCode);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
}
}
}
#endregion
#region 股票所占投资总额不超过80%
//总市值，totalAccount
//当前股票成本 ， current_account.cost + 委托中的买入股票成本
double estimate_stock_value = Convert.ToDouble(current_account.value);
foreach (AccountEntrust record in current_account.entrusts)
{
if (record.direction == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
estimate_stock_value += Convert.ToDouble(record.dealMoney) * Convert.ToDouble(record.dealAmount);
}
}
foreach (RiskFrozenInfo record in current_account.riskFrozenInfo)
{
if (record.Type.ToUpper() == "S" && record.TradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
estimate_stock_value += Convert.ToDouble(record.FrozenCost);
}
}
estimate_stock_value += stock_etimate_add_cost;
if (estimate_stock_value / totalAccount > riskPara.stockRatio)
{
errCode = 13;
result = accountMonitor.GetErrorCode(errCode, (estimate_stock_value / totalAccount * 100).ToString());
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 单日期货交易次数不超过10手
if (FutureTradeTimes.Keys.Contains(alias))
{
if (DateTime.Now.Hour > 16)
{
//下午四点后，默认计数清零
FutureTradeTimes[alias] = 0;
}
if (DateTime.Now.DayOfWeek == DayOfWeek.Saturday || DateTime.Now.DayOfWeek == DayOfWeek.Sunday)
{
//周末直接清零
FutureTradeTimes[alias] = 0;
}
}
else
{
FutureTradeTimes.Add(alias, 0);
}
int future_trade_hand_count = 0;
foreach (TradeOrderStruct tos in orderlist)
{
if (tos.cSecurityType.ToUpper() == "F" && tos.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetOpen)
{
//只有期货开仓才会计入数量限制，平仓不限
future_trade_hand_count += Convert.ToInt32(tos.nSecurityAmount);
}
}
if (FutureTradeTimes[alias] + future_trade_hand_count > 10)
{
errCode = 10;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 期货风险度和敞口比例
//期货风险度
double risk_radio = (Convert.ToDouble(current_account.fbond) + future_estimate_add_deposit) / (Convert.ToDouble(current_account.fvalue));
if (risk_radio >= riskPara.riskLevel)
{
errCode = 8;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
#region 监控用户登录判断
if (!userOper.CheckMonitorUser(CONFIG.GlobalMonitor))
{
errCode = 14;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
return(false);
}
#endregion
//敞口
foreach (TradeOrderStruct tos in orderlist)
{
//股票卖出和期货平仓交易不计算敞口
if (tos.cSecurityType.ToUpper() == "S" && tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionSell)
{
continue;
}
if (tos.cSecurityType.ToUpper() == "F" && tos.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetClose)
{
continue;
}
//股票买入和期货开仓需要通过敞口验证
double changkouRatio = 0;
if (!((Convert.ToDouble(current_account.value) + stock_etimate_add_cost) == 0))
{
changkouRatio = (Convert.ToDouble(current_account.fstockvalue) + future_estimate_market_value + Convert.ToDouble(current_account.value) + stock_etimate_add_cost) / (Convert.ToDouble(current_account.value) + stock_etimate_add_cost);
if (Math.Abs(changkouRatio) > riskPara.changkouRatio)
{
errCode = 9;
result = accountMonitor.GetErrorCode(errCode, changkouRatio.ToString());
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
//return false;
}
}
else
{
errCode = 9;
result = accountMonitor.GetErrorCode(errCode, "无穷大");
RiskInfo info = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(info));
//return false;
}
}
//第三部： 实际减少股票资金
foreach (TradeOrderStruct tos in orderlist)
{
if (tos.cSecurityType.ToUpper() == "S")
{
if (tos.cTradeDirection == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
//股票交易买入需要计入风控列表
accountMonitor.UpdateRiskFrozonAccount(user.alias, tos.cSecurityCode, Convert.ToInt32(tos.nSecurityAmount), tos.nSecurityAmount
* tos.dOrderPrice, "S", tos.cTradeDirection);
}
}
else if (tos.cSecurityType.ToUpper() == "F")
{
if (tos.cOffsetFlag == TradeOrientationAndFlag.FutureTradeOffsetOpen)
{
//期货交易开仓需要计入风控列表
accountMonitor.UpdateRiskFrozonAccount(user.alias, tos.cSecurityCode, Convert.ToInt32(tos.nSecurityAmount), tos.nSecurityAmount * tos.dOrderPrice, "F", tos.cTradeDirection);
}
}
}
errCode = 0;
result = accountMonitor.GetErrorCode(errCode, string.Empty);
RiskInfo infoSuccess = new RiskInfo()
{
alias = alias,
price = 0,
amount = Convert.ToInt32(0),
err = result,
orientation = "0",
code = "000",
strid = StrategyId
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.AddRiskRecord), (object)(infoSuccess));
return(true);
}
