private Price GetRefPrice(UsableMarginPrice usableMarginPrice, bool isBuy, bool isNormal)
{
Price refPrice1 = isNormal == isBuy ? usableMarginPrice.PrivateBid : usableMarginPrice.PrivateAsk;
Price refPrice2 = isNormal == isBuy ? usableMarginPrice.PublicBid : usableMarginPrice.PublicAsk;
return(refPrice1 ?? refPrice2);
}
private IEnumerable <MarginData> CalculateMarginData(Account account, DateTime tradeDay, InstrumentManager instrumentManager)
{
var setting = Settings.Setting.Default;
var settingAccount = setting.GetAccount(account.Id, tradeDay);
Dictionary <Guid, MarginData> result = new Dictionary <Guid, MarginData>(account.InstrumentCount);
foreach (var eachInstrument in instrumentManager.Instruments)
{
var settingInstrument = setting.GetInstrument(eachInstrument.Id, tradeDay);
if (settingInstrument.MarginFormula == MarginFormula.FCPO || settingInstrument.MarginFormula == MarginFormula.FKLI)
{
continue;
}
if (!eachInstrument.ExistsOrdersForCalculateNormal(tradeDay))
{
continue;
}
MarginData marginData;
if (!result.TryGetValue(eachInstrument.Id, out marginData))
{
marginData = this.CreateMarginData(setting, settingAccount, settingInstrument, tradeDay);
result.Add(eachInstrument.Id, marginData);
}
this.CalculateInstrumentMarginData(setting, settingAccount, settingInstrument, tradeDay, marginData);
UsableMarginPrice usableMarginPrice = ResetManager.Default.GetRefPriceForUsableMargin(eachInstrument.Id, account.Id, tradeDay);
foreach (var eachOrder in eachInstrument.GetOrders(tradeDay))
{
if (!eachOrder.IsForexOrderOrPayoffShortSellOrder())
{
continue;
}
decimal orderMargin = this.CalculateOrderMargin(eachOrder.Order, setting, settingInstrument, settingAccount, tradeDay, usableMarginPrice);
marginData.MarginBuy += this.GetBuyOrSellValue(orderMargin, eachOrder.Order, BuySellType.Buy);
marginData.MarginSell += this.GetBuyOrSellValue(orderMargin, eachOrder.Order, BuySellType.Sell);
decimal quantity = eachOrder.Order.LotBalance * eachOrder.Order.Owner.ContractSize(tradeDay);
marginData.BuyLot += this.GetBuyOrSellValue(quantity, eachOrder.Order, BuySellType.Buy);
marginData.SellLot += this.GetBuyOrSellValue(quantity, eachOrder.Order, BuySellType.Sell);
marginData.BuyLotBalance += this.GetBuyOrSellValue(eachOrder.Order.LotBalance, eachOrder.Order, BuySellType.Buy);
marginData.SellLotBalance += this.GetBuyOrSellValue(eachOrder.Order.LotBalance, eachOrder.Order, BuySellType.Sell);
}
}
return(result.Values);
}
private decimal CalculateOrderMargin(Order order, Settings.Setting setting, Settings.Instrument instrument, Settings.Account account, DateTime tradeDay, UsableMarginPrice usableMarginPrice)
{
Guid currencyId = this.GetCurrencyId(account, instrument);
var currencyRate = setting.GetCurrencyRate(instrument.CurrencyId, currencyId);
decimal?rateIn = currencyRate == null ? (decimal?)null : currencyRate.RateIn;
decimal?rateOut = currencyRate == null ? (decimal?)null : currencyRate.RateOut;
var currency = setting.GetCurrency(currencyId, tradeDay);
int decimals = currency.Decimals;
Price refPrice = this.GetRefPrice(usableMarginPrice, order.IsBuy, instrument.IsNormal);
return(Calculator.MarginCalculator.CalculateRptMargin((int)instrument.MarginFormula, order.LotBalance, order.Owner.ContractSize(tradeDay), order.ExecutePrice, rateIn, rateOut, decimals, refPrice));
}
