public void UpdateOrderFpl(IOrder order, FplData fplData)
{
fplData.AccountBaseAssetAccuracy = _assetsCache.GetAssetAccuracy(order.AccountAssetId);
fplData.QuoteRate = _cfdCalculatorService.GetQuoteRateForQuoteAsset(order.AccountAssetId, order.Instrument);
var fpl = order.GetOrderType() == OrderDirection.Buy
? (order.ClosePrice - order.OpenPrice) * fplData.QuoteRate * order.GetMatchedVolume()
: (order.OpenPrice - order.ClosePrice) * fplData.QuoteRate * order.GetMatchedVolume();
fplData.Fpl = Math.Round(fpl, fplData.AccountBaseAssetAccuracy);
var accountAsset = _accountAssetsCacheService.GetAccountAsset(order.TradingConditionId, order.AccountAssetId, order.Instrument);
fplData.MarginInit = Math.Round(order.ClosePrice * order.GetMatchedVolume() * fplData.QuoteRate / accountAsset.LeverageInit, fplData.AccountBaseAssetAccuracy);
fplData.MarginMaintenance = Math.Round(order.ClosePrice * order.GetMatchedVolume() * fplData.QuoteRate / accountAsset.LeverageMaintenance, fplData.AccountBaseAssetAccuracy);
fplData.OpenCrossPrice = Math.Round(order.OpenPrice * fplData.QuoteRate, order.AssetAccuracy);
fplData.CloseCrossPrice = Math.Round(order.ClosePrice * fplData.QuoteRate, order.AssetAccuracy);
fplData.OpenPrice = order.OpenPrice;
fplData.ClosePrice = order.ClosePrice;
fplData.SwapsSnapshot = order.GetSwaps();
fplData.CalculatedHash = fplData.ActualHash;
fplData.TotalFplSnapshot = order.GetTotalFpl(fplData.SwapsSnapshot);
var account = _accountsCacheService.Get(order.ClientId, order.AccountId);
account.CacheNeedsToBeUpdated();
}
public void UpdateOrderFpl(IOrder order, FplData fplData)
{
var handler = order.Status != OrderStatus.WaitingForExecution
? UpdateOrderFplData
: (Action <IOrder, FplData>)UpdatePendingOrderMargin;
handler(order, fplData);
}
private void UpdatePendingOrderMargin(Position order, FplData fplData)
{
fplData.AccountBaseAssetAccuracy = _assetsCache.GetAssetAccuracy(order.AccountAssetId);
CalculateMargin(order, fplData);
fplData.CalculatedHash = fplData.ActualHash;
_accountsCacheService.Get(order.AccountId).CacheNeedsToBeUpdated();
}
public decimal CalculateOvernightMaintenanceMargin(Position position)
{
var fplData = new FplData {
AccountBaseAssetAccuracy = position.FplData.AccountBaseAssetAccuracy
};
CalculateMargin(position, fplData, true);
return(fplData.MarginMaintenance);
}
public void CalculateMargin(IOrder order, FplData fplData)
{
var accountAsset = _accountAssetsCacheService.GetAccountAsset(order.TradingConditionId, order.AccountAssetId, order.Instrument);
fplData.MarginRate = _cfdCalculatorService.GetQuoteRateForBaseAsset(order.AccountAssetId, order.Instrument,
order.LegalEntity);
fplData.MarginInit =
Math.Round(Math.Abs(order.Volume) * fplData.MarginRate / accountAsset.LeverageInit,
fplData.AccountBaseAssetAccuracy);
fplData.MarginMaintenance =
Math.Round(Math.Abs(order.Volume) * fplData.MarginRate / accountAsset.LeverageMaintenance,
fplData.AccountBaseAssetAccuracy);
}
private void CalculateMargin(Position position, FplData fplData, bool isWarnCheck = false)
{
var tradingInstrument =
_tradingInstrumentsCache.GetTradingInstrument(position.TradingConditionId, position.AssetPairId);
var volumeForCalculation = Math.Abs(position.Volume);
fplData.MarginRate = position.ClosePrice * position.CloseFxPrice;
var(marginInit, marginMaintenance) = GetMargins(tradingInstrument, volumeForCalculation, fplData.MarginRate, isWarnCheck);
fplData.MarginInit = Math.Round(marginInit, fplData.AccountBaseAssetAccuracy);
fplData.MarginMaintenance = Math.Round(marginMaintenance, fplData.AccountBaseAssetAccuracy);
fplData.InitialMargin = Math.Round(position.OpenPrice * position.OpenFxPrice * volumeForCalculation / tradingInstrument.InitLeverage, fplData.AccountBaseAssetAccuracy);
}
private void CalculateMargin(Position position, FplData fplData, bool isWarnCheck = false)
{
var tradingInstrument =
_tradingInstrumentsCache.GetTradingInstrument(position.TradingConditionId, position.AssetPairId);
var volumeForCalculation = Math.Abs(position.Volume);
fplData.MarginRate = _cfdCalculatorService.GetQuoteRateForBaseAsset(position.AccountAssetId,
position.AssetPairId,
position.LegalEntity, position.Direction == PositionDirection.Short); // to use close price
var(marginInit, marginMaintenance) = GetMargins(tradingInstrument, volumeForCalculation,
fplData.MarginRate, isWarnCheck);
fplData.MarginInit = Math.Round(marginInit, fplData.AccountBaseAssetAccuracy);
fplData.MarginMaintenance = Math.Round(marginMaintenance, fplData.AccountBaseAssetAccuracy);
fplData.InitialMargin = Math.Round(position.OpenPrice * position.OpenFxPrice * volumeForCalculation /
tradingInstrument.LeverageInit, fplData.AccountBaseAssetAccuracy);
}
private void UpdatePositionFplData(Position position, FplData fplData)
{
fplData.AccountBaseAssetAccuracy = _assetsCache.GetAssetAccuracy(position.AccountAssetId);
var fpl = (position.ClosePrice - position.OpenPrice) * position.CloseFxPrice * position.Volume;
fplData.Fpl = Math.Round(fpl, fplData.AccountBaseAssetAccuracy);
if (position.ClosePrice == 0)
{
position.UpdateClosePrice(position.OpenPrice);
}
CalculateMargin(position, fplData);
if (fplData.ActualHash == 0)
{
fplData.ActualHash = 1;
}
fplData.CalculatedHash = fplData.ActualHash;
}
private void UpdateOrderFplData(IOrder order, FplData fplData)
{
fplData.AccountBaseAssetAccuracy = _assetsCache.GetAssetAccuracy(order.AccountAssetId);
fplData.FplRate = _cfdCalculatorService.GetQuoteRateForQuoteAsset(order.AccountAssetId, order.Instrument,
order.LegalEntity, order.Volume * (order.ClosePrice - order.OpenPrice) > 0);
var fpl = (order.ClosePrice - order.OpenPrice) * fplData.FplRate * order.Volume;
fplData.Fpl = Math.Round(fpl, fplData.AccountBaseAssetAccuracy);
CalculateMargin(order, fplData);
fplData.OpenPrice = order.OpenPrice;
fplData.ClosePrice = order.ClosePrice;
fplData.SwapsSnapshot = order.GetSwaps();
fplData.CalculatedHash = fplData.ActualHash;
fplData.TotalFplSnapshot = order.GetTotalFpl(fplData.SwapsSnapshot);
_accountsCacheService.Get(order.ClientId, order.AccountId).CacheNeedsToBeUpdated();
}
//TODO: change the approach completely!
private void UpdatePositionFplData(Position position, FplData fplData)
{
if (fplData.ActualHash == 0)
{
fplData.ActualHash = 1;
}
fplData.CalculatedHash = fplData.ActualHash;
if (fplData.AccountBaseAssetAccuracy == default)
{
fplData.AccountBaseAssetAccuracy = AssetsConstants.DefaultAssetAccuracy;
}
fplData.RawFpl = (position.ClosePrice - position.OpenPrice) * position.CloseFxPrice * position.Volume;
if (position.ClosePrice == 0)
{
position.UpdateClosePrice(position.OpenPrice);
}
CalculateMargin(position, fplData);
}
