public static Kospi200FuturesTradeInfo makeKospi200f_tradeInfo(DateTime tradeDate,
string availableTradeCD,
int quantity,
double tradeIndex)
{
Kospi200FuturesTradeInfo ifti = new Kospi200FuturesTradeInfo();
Kospi200Index_futures index_futures = Kospi200Index_futures.CreateKOSPI200F(tradeDate,
availableTradeCD,
quantity,
tradeIndex);
index_futures.Index_ = tradeIndex;
ifti.Financial_instrument_ = index_futures;
// index multiplier
clsTRADABLE_KRX_INDEXFUTURES_TB clstb = new clsTRADABLE_KRX_INDEXFUTURES_TB();
clstb.INST_KRX_CD = availableTradeCD;
if (clstb.SelectOwn() == 0)
{ throw new Exception("availableTradeCD does not exist : " + availableTradeCD); }
double indexMultiplier = clstb.INDEX_MULTIPLIER;
double tradeFeeRate = 0.00003; // 키움꺼임.
ifti.DAO_ = new clsHITM_TRADEINFO_TB();
ifti.DAO_.TRADE_ID = IDGenerator.getNewTradeID(TradeInfo.TradeType.Dynamic_Hedge,
index_futures.InstrumentType_,
tradeDate);
ifti.DAO_.INSTRUMENT_ID = index_futures.indexFuturesDAO_.INSTRUMENT_ID;
ifti.DAO_.TRADE_DT = tradeDate.ToString("yyyyMMdd");
ifti.DAO_.TRADE_TM = DateTime.Now.ToString("HHmmss");
ifti.DAO_.TRADE_SEQ = IDGenerator.getTradeSeq(tradeDate);
ifti.DAO_.TRADE_TYP = Convert.ToInt32(TradeInfo.TradeType.Dynamic_Hedge);
ifti.DAO_.FP_MASTER_TYP = index_futures.baseDAO_.FP_MASTER_TYP;
ifti.DAO_.TRADE_UNIT = Convert.ToInt32(tradeIndex * indexMultiplier);
ifti.DAO_.TRADE_MULTIPLIER = indexMultiplier;
ifti.DAO_.TRADE_CURR = "KRW";
ifti.DAO_.CURR_RATE = 1.0;
ifti.DAO_.TRADE_INDEX = tradeIndex;
ifti.DAO_.TRADE_INDEXUNIT = 1.0;
ifti.DAO_.TRADE_QNT = quantity;
ifti.DAO_.TRADE_NOTIONAL_AMT = Math.Round(Math.Abs(Convert.ToDouble(quantity * tradeIndex * indexMultiplier)));
ifti.DAO_.ACCOUNT_AMT = 0.0;// ifti.DAO_.TRADE_NOTIONAL_AMT;
ifti.DAO_.TRADE_FEE = Math.Round(Math.Abs(ifti.DAO_.TRADE_NOTIONAL_AMT * tradeFeeRate));
ifti.DAO_.TRADE_PL = 0.0;
ifti.DAO_.TRADE_FEE_PAYMENT_DT = tradeDate.ToString("yyyyMMdd");
ifti.DAO_.COUNTER_ID = "KRX";
ifti.DAO_.BOOKED_FLAG = 0;
return ifti;
}
public override void loadAvailableInst()
{
this.AvailableInstList_.Clear();
clsTRADABLE_KRX_INDEXFUTURES_TB clstb = new clsTRADABLE_KRX_INDEXFUTURES_TB();
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select())
{
this.AvailableInstList_.Add( clsTRADABLE_KRX_INDEXFUTURES_TB.Create(dr) );
}
}
// code parsing or 어쩌구.
public static Kospi200Index_futures CreateKOSPI200F(DateTime tradeDate,
string krxCode,
int quantity,
double tradeIndex)
{
// 장내 이므로 불러옴.
clsTRADABLE_KRX_INDEXFUTURES_TB clstb = new clsTRADABLE_KRX_INDEXFUTURES_TB();
clstb.INST_KRX_CD = krxCode;
clstb.SelectOwn();
Kospi200Index_futures inst = new Kospi200Index_futures();
string inst_ID = IDGenerator.getNewInstrumentID(inst.InstrumentType_, tradeDate, inst);
inst.baseDAO_.INSTRUMENT_ID = inst_ID;
inst.baseDAO_.INSTRUMENT_NM = clstb.INST_NM;
//inst.baseDAO_.FP_MASTER_TYP = Convert.ToInt32(inst.InstrumentType_); // 아직 구분 못했음. 우선 그냥 instType으로 넣음.
inst.baseDAO_.FP_MASTER_TYP = IDGenerator.KRXCodetoFP_MASTER_TYP(krxCode);
inst.baseDAO_.NOTIONAL = Convert.ToDouble(clstb.INDEX_MULTIPLIER);
inst.baseDAO_.PRICE = tradeIndex;
inst.baseDAO_.QUANTITY = quantity;
inst.baseDAO_.CURR = "KRW";
inst.baseDAO_.FX_RATE = 1.0;
//inst.baseDAO_.NOTIONAL = Math.Abs(quantity * tradeIndex * clstb.INDEX_MULTIPLIER);
//inst.baseDAO_.CURR = "KRW";
//inst.baseDAO_.BUY_SELL = (quantity > 0) ? (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Buy :
// (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Sell ;
//inst.baseDAO_.QUANTITY = Math.Abs(quantity);
inst.baseDAO_.EFFECTIVE_DT = tradeDate.ToString("yyyyMMdd");
inst.baseDAO_.MATURITY_DT = clstb.MATURITY_DT;
inst.baseDAO_.BOOKED_DT = tradeDate.ToString("yyyyMMdd");
inst.baseDAO_.CLOSED_DT = "20991231";
inst.indexFuturesDAO_.INSTRUMENT_ID = inst_ID;
inst.indexFuturesDAO_.INSTRUMENT_TYP = Convert.ToInt32(inst.InstrumentType_); // 내부 타입인데..
inst.indexFuturesDAO_.NOTIONAL = Math.Abs(quantity * tradeIndex * clstb.INDEX_MULTIPLIER);
inst.indexFuturesDAO_.QUANTITY = quantity;
inst.indexFuturesDAO_.INDEX_MULTIPLIER = clstb.INDEX_MULTIPLIER;
inst.indexFuturesDAO_.UNDERLYING_INDEX_CD = clstb.UNDERLYING_CD;
inst.indexFuturesDAO_.CURR = "KRW";
inst.indexFuturesDAO_.EFFECTIVE_DT = tradeDate.ToString("yyyyMMdd");
inst.indexFuturesDAO_.MATURITY_DT = clstb.MATURITY_DT;
CalendarManager cm = new CalendarManager(tradeDate, CalendarManager.CountryType.SOUTH_KOREA);
// CF
FP_SimpleCashFlow fp_simple = new FP_SimpleCashFlow();
fp_simple.DAO_ = new clsMAST_CF_SIMPLE_TB();
DateTime maturityDate = ConvertingTool.ToDateTime(clstb.MATURITY_DT);
fp_simple.DAO_.LEG_ID = inst_ID;
fp_simple.DAO_.LEG_TYP = (int)clsMAST_SWAP_TB.LEG_TYP_Type.SIMPLE;
fp_simple.DAO_.NOTIONAL = inst.indexFuturesDAO_.NOTIONAL;
fp_simple.DAO_.AMOUNT = 0.0;
fp_simple.DAO_.CALC_START_DT = tradeDate.ToString("yyyyMMdd");
fp_simple.DAO_.CALC_END_DT = maturityDate.ToString("yyyyMMdd");
fp_simple.DAO_.CASHFLOW_DT = maturityDate.ToString("yyyyMMdd");
fp_simple.DAO_.PAY_RECEIVE = 1;
fp_simple.DAO_.PAYMENT_DT = fp_simple.DAO_.CASHFLOW_DT;
inst.FP_CashFlowList_.Add(fp_simple);
return inst;
}
public clsTRADABLE_KRX_INDEXFUTURES_TB Clone()
{
try
{
clsTRADABLE_KRX_INDEXFUTURES_TB cloneTB = new clsTRADABLE_KRX_INDEXFUTURES_TB();
cloneTB._INST_KRX_CD = this._INST_KRX_CD;
cloneTB._INST_NM = this._INST_NM;
cloneTB._MATURITY_DT = this._MATURITY_DT;
cloneTB._UNDERLYING_CD = this._UNDERLYING_CD;
cloneTB._INDEX_MULTIPLIER = this._INDEX_MULTIPLIER;
cloneTB._BROKER_CD = this._BROKER_CD;
return cloneTB;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
public static clsTRADABLE_KRX_INDEXFUTURES_TB Create(DataRow dr)
{
try
{
clsTRADABLE_KRX_INDEXFUTURES_TB tb = new clsTRADABLE_KRX_INDEXFUTURES_TB();
tb._INST_KRX_CD = Convert.ToString(dr[0]);
tb._INST_NM = Convert.ToString(dr[1]);
tb._MATURITY_DT = Convert.ToString(dr[2]);
tb._UNDERLYING_CD = Convert.ToString(dr[3]);
tb._INDEX_MULTIPLIER = Convert.ToInt32(dr[4]);
tb._BROKER_CD = Convert.ToString(dr[5]);
return tb;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
