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);
}
}
internal static decimal CalculateCGSELevy(decimal lot, bool isOpen, SpecialTradePolicyDetail policy, CurrencyRate currencyRate)
{
int roundValue = (int)Math.Round(lot, MidpointRounding.AwayFromZero);
decimal levy = roundValue * (isOpen ? policy.CGSENewLevyMultipler : policy.CGSECloseLevyMultipler);
if (lot > roundValue)
{
levy += (isOpen ? policy.CGSENewLevyRemainder : policy.CGSECloseLevyRemainder);
}
return(-currencyRate.Exchange(-levy));
}
private static Price CalculateAutoClosePrice(Order order, PriceType priceType)
{
Debug.Assert(order.IsOpen);
SpecialTradePolicyDetail policy = order.Owner.SpecialTradePolicyDetail();
Settings.Instrument instrument = order.Owner.SettingInstrument();
OrderLevelRiskBase autoCloseBase = priceType == PriceType.Limit ? policy.AutoLimitBase : policy.AutoStopBase;
decimal autoCloseThreshold = priceType == PriceType.Limit ? policy.AutoLimitThreshold : policy.AutoStopThreshold;
if (autoCloseBase == OrderLevelRiskBase.None)
{
return(null);
}
else if (autoCloseBase == OrderLevelRiskBase.Necessary)
{
return(CalculateForOrderLevelRiskNecessay(order, autoCloseThreshold, instrument, priceType));
}
else
{
Price basePrice = order.ExecutePrice;
if (autoCloseBase == OrderLevelRiskBase.SettlementPrice)
{
TradeDay tradeDay = Settings.Setting.Default.GetTradeDay();
if (order.Owner.ExecuteTime > tradeDay.BeginTime)
{
return(null);
}
else
{
basePrice = (order.IsBuy ? instrument.DayQuotation.Buy : instrument.DayQuotation.Sell);
}
}
int autoClosePips = (int)autoCloseThreshold;
if (order.SetPriceMaxMovePips > 0 && order.SetPriceMaxMovePips < autoClosePips)
{
autoClosePips = order.SetPriceMaxMovePips;
}
if (order.IsBuy == (priceType == PriceType.Limit))
{
return(Price.Add(basePrice, autoClosePips, !instrument.IsNormal));
}
else
{
return(Price.Subtract(basePrice, autoClosePips, !instrument.IsNormal));
}
}
}
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);
}
internal static Price CalculateAutoClosePrice(this Order order, PriceType priceType)
{
Debug.Assert(order.IsOpen);
SpecialTradePolicyDetail policy = order.Owner.SpecialTradePolicyDetail;
Settings.Instrument instrument = order.Owner.SettingInstrument;
OrderLevelRiskBase autoCloseBase = priceType == PriceType.Limit ? policy.AutoLimitBase : policy.AutoStopBase;
decimal autoCloseThreshold = priceType == PriceType.Limit ? policy.AutoLimitThreshold : policy.AutoStopThreshold;
if (autoCloseBase == OrderLevelRiskBase.Necessary)
{
return(CalculateForOrderLevelRiskNecessay(order, autoCloseThreshold, instrument, priceType));
}
else if (autoCloseBase == OrderLevelRiskBase.OpenPrice)
{
return(CalculateForOrderLevelOpenPrice(order, autoCloseThreshold, instrument, priceType));
}
else
{
return(null);
}
}
internal static decimal CalculateCommission(TradePolicyDetail tradePolicyDetail, SpecialTradePolicyDetail specialTradePolicyDetail,
CurrencyRate currencyRate, DateTime tradeDayBeginTime, Settings.Account account, Settings.Instrument instrument,
decimal contractSize, decimal pairRelationFactor, DateTime openOrderExecuteTime, decimal closeLot, Price closePrice)
{
bool isDayCloseRelation = openOrderExecuteTime >= tradeDayBeginTime;
decimal commission = pairRelationFactor * tradePolicyDetail.GetCommissionClose(isDayCloseRelation);
if (specialTradePolicyDetail != null && specialTradePolicyDetail.IsFractionCommissionOn)
{
decimal fractionCommission = pairRelationFactor * specialTradePolicyDetail.GetCommissionClose(isDayCloseRelation);
commission = FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * commission, (int)closeLot, contractSize, closePrice, currencyRate)
+ FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * fractionCommission, closeLot - (int)closeLot, contractSize, closePrice, currencyRate);
}
else
{
commission = FeeCalculator.CalculateCommission(instrument.CommissionFormula, instrument.TradePLFormula, account.RateCommission * commission, closeLot, contractSize, closePrice, currencyRate);
}
return(commission);
}
internal static CurrencyRate GetCGSELevyCurrencyRate(Settings.Account account, Settings.Instrument instrument, SpecialTradePolicyDetail specialTradePolicyDetail, CurrencyRate defaultCurrencyRate, ExecuteContext context)
{
if (specialTradePolicyDetail.CGSELevyCurrecyType == CGSELevyCurrecyType.UseInstrumentCurrencyType)
{
return(defaultCurrencyRate);
}
else
{
Guid sourceCurrencyId = account.CurrencyId;
Guid targetCurrencyId = account.IsMultiCurrency ? instrument.CurrencyId : account.CurrencyId;
return(context != null && context.ShouldUseHistorySettings ? Settings.Setting.Default.GetCurrencyRate(sourceCurrencyId, targetCurrencyId, context.TradeDay)
: Settings.Setting.Default.GetCurrencyRate(sourceCurrencyId, targetCurrencyId));
}
}
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);;
}
