public bool HasEnoughMoneyToPlace(Transaction tran)
{
if (tran.IsFreeOfPlaceMarginCheck())
{
return(true);
}
Account account = tran.Owner;
AccountClass.Instrument instrument = account.GetOrCreateInstrument(tran.InstrumentId);
decimal placeCheckNecessary = account.CalculatePreCheckNecessary(tran);
decimal placeCheckBalance = account.CalculatePreCheckBalance();
decimal credit = account.CalculateCredit(instrument);
decimal unclearBalance = account.CaculateUnclearBalance();
TradePolicy tradePolicy = account.Setting.TradePolicy;
MarginCheckOption marginCheckOption = tradePolicy.OpenNecessaryPolicy.MarginCheckOption;
bool isMarginEnough = true;
if (marginCheckOption == MarginCheckOption.Balance || marginCheckOption == MarginCheckOption.All)
{
decimal necessary = account.SumFund.Balance - unclearBalance - placeCheckBalance + account.Setting.ShortMargin + credit +
account.SumFund.InterestNotValued + account.SumFund.StorageNotValued + account.SumFund.TradePLNotValued;
isMarginEnough &= placeCheckNecessary <= necessary;
}
if (marginCheckOption == MarginCheckOption.Equity || marginCheckOption == MarginCheckOption.All)
{
decimal equity = account.SumFund.Equity - unclearBalance - placeCheckBalance + account.Setting.ShortMargin + credit;
isMarginEnough &= placeCheckNecessary <= equity;
}
return(isMarginEnough);
}
internal void Update(XElement necessaryPolicyNode, string prefix)
{
int prefixLength = prefix.Length;
foreach (var attribute in necessaryPolicyNode.Attributes())
{
if (!attribute.Name.ToString().StartsWith(prefix))
{
continue;
}
switch (attribute.Name.ToString().Substring(prefixLength))
{
case "MarginCheckOption":
this.marginCheckOption = (MarginCheckOption)XmlConvert.ToInt32(attribute.Value);
break;
case "NetFactor":
this.netFactor = XmlConvert.ToDecimal(attribute.Value);
break;
case "HedgeFactor":
this.hedgeFactor = XmlConvert.ToDecimal(attribute.Value);
break;
}
}
}
internal bool HasEnoughMoneyToFill(AccountClass.Instrument instrument, bool existsCloseOrder, decimal fee, bool isNecessaryFreeOrder, decimal lastEquity, bool isForPayoff, out string errorInfo)
{
decimal riskCredit = this.CalculateCredit(instrument.Id);
decimal unclearBalance = _owner.UnclearDepositManager.Sum();
TradePolicy tradePolicy = _owner.Setting().TradePolicy(null);
MarginCheckOption marginCheckOption = this.GetMarginCheckOption(existsCloseOrder, tradePolicy);
decimal fillCheckNecessary = existsCloseOrder ? _fund.RiskRawData.NecessaryFillingCloseOrder : _fund.RiskRawData.NecessaryFillingOpenOrder;
errorInfo = string.Empty;
bool isBalanceEnough = this.CheckBalanceIsEnough(instrument.IsPhysical, marginCheckOption, unclearBalance, fillCheckNecessary, out errorInfo);
bool isEquityEnough = this.CheckEquityIsEnough(instrument.IsPhysical, marginCheckOption, unclearBalance, fillCheckNecessary, fee, isForPayoff, riskCredit, isNecessaryFreeOrder, lastEquity, out errorInfo);
Logger.Warn(this.BuildLoggerInfo(existsCloseOrder, riskCredit, unclearBalance, marginCheckOption, instrument.Id, instrument.Owner, lastEquity));
return(isBalanceEnough && isEquityEnough);
}
private bool CheckEquityIsEnough(bool isPhysical, MarginCheckOption marginCheckOption, decimal unclearBalance, decimal fillCheckNecessary, decimal fee, bool isForPayoff, decimal riskCredit, bool isNecessaryFreeOrder, decimal lastEquity, out string errorInfo)
{
errorInfo = string.Empty;
if (marginCheckOption == MarginCheckOption.Equity || marginCheckOption == MarginCheckOption.All)
{
decimal equity = isNecessaryFreeOrder ? _fund.Equity : lastEquity;
if (isForPayoff)
{
equity -= fee;
}
var equityForCheck = equity - unclearBalance + _owner.ShortMargin + riskCredit;
bool result = equityForCheck >= fillCheckNecessary;
if (!result)
{
errorInfo = string.Format("CheckEquityIsEnough failed, equityForCheck = {0}, comparedEquity = {1}, equity = {2}, fee = {3}, lastEquity = {4}, isNecessaryFreeOrder = {5}, balance = {6}, necessary = {7}, accountId = {8}", equityForCheck, fillCheckNecessary, equity, fee, lastEquity, isNecessaryFreeOrder, _owner.Balance, _owner.Necessary, _owner.Id);
}
return(result);
}
return(true);
}
internal static bool HasEnoughMoneyToPlace(this Account account, Transaction tran)
{
if (tran.IsFreeOfPlaceMarginCheck())
{
return(true);
}
AccountClass.Instrument instrument = account.GetOrCreateInstrument(tran.InstrumentId);
decimal preCheckNecessaryForBalanceCheckOption = 0;
decimal placeCheckNecessary = account.CalculatePreCheckNecessary(tran, out preCheckNecessaryForBalanceCheckOption);
decimal placeCheckBalance = account.CalculatePreCheckBalance();
decimal credit = account.CalculateCredit(instrument);
decimal unclearBalance = account.CaculateUnclearBalance();
TradePolicy tradePolicy = account.Setting().TradePolicy(null);
MarginCheckOption marginCheckOption = tradePolicy.OpenNecessaryPolicy.MarginCheckOption;
bool isMarginEnough = true;
decimal balanceRemainAmount = account.Balance - unclearBalance - placeCheckBalance + account.Setting().ShortMargin + credit;
Logger.InfoFormat("precheck placeCheckNecessary = {0}, placeCheckBalance = {1}, credit = {2}, unclearBalance = {3}, balanceRemainAmount = {4}, ShortMargin = {5} , accountId = {6}, marginCheckOption = {7}, tranId = {8}, isPhysical = {9}, equity = {10}", placeCheckNecessary,
placeCheckBalance, credit, unclearBalance, balanceRemainAmount, account.Setting().ShortMargin, account.Id, marginCheckOption, tran.Id, tran.IsPhysical, account.Equity);
if (marginCheckOption == MarginCheckOption.Balance || marginCheckOption == MarginCheckOption.All)
{
if (tran.IsPhysical)
{
isMarginEnough &= balanceRemainAmount >= 0;
}
else
{
isMarginEnough &= preCheckNecessaryForBalanceCheckOption <= balanceRemainAmount;
}
}
if (marginCheckOption == MarginCheckOption.Equity || marginCheckOption == MarginCheckOption.All)
{
decimal equity = account.Equity - unclearBalance - placeCheckBalance + account.Setting().ShortMargin + credit;
isMarginEnough &= placeCheckNecessary <= equity;
}
return(isMarginEnough);
}
private bool CheckBalanceIsEnough(bool isPhysical, MarginCheckOption marginCheckOption, decimal unclearBalance, decimal fillCheckNecessary, out string errorInfo)
{
errorInfo = string.Empty;
if (marginCheckOption == MarginCheckOption.Balance || marginCheckOption == MarginCheckOption.All)
{
bool result = true;
if (isPhysical)
{
result = this.CheckBalanceIsEnoughForPhysicalOrder(unclearBalance);
}
else
{
result = this.CheckBalanceIsEnoughForNormal(unclearBalance, fillCheckNecessary);
}
if (!result)
{
errorInfo = this.BuildCheckBalanceFailedInfo(isPhysical, unclearBalance, fillCheckNecessary);
}
return(result);
}
return(true);
}
private string BuildLoggerInfo(bool existsCloseOrder, decimal riskCredit, decimal unclearBalance, MarginCheckOption marginCheckOption, Guid instrumentId, Account account, decimal lastEquity)
{
var fund = account.SumFund;
StringBuilder sb = Protocal.StringBuilderCache.Acquire(200);
sb.Append("HasEnoughMoneyToFill NecessaryFillingCloseOrder =");
sb.Append(fund.RiskRawData.NecessaryFillingCloseOrder);
sb.Append(", NecessaryFillingOpenOrder =");
sb.Append(fund.RiskRawData.NecessaryFillingOpenOrder);
sb.Append(", existsCloseOrder =");
sb.Append(existsCloseOrder);
sb.Append(", riskCredit = ");
sb.Append(riskCredit);
sb.Append(", unclearBalance = ");
sb.Append(unclearBalance);
sb.Append(", marginCheckOption =");
sb.Append(marginCheckOption);
sb.Append(", shortMargin = ");
sb.Append(account.Setting().ShortMargin);
sb.Append(", equity = ");
sb.Append(account.SumFund.Equity);
sb.Append(", lastEquity = ");
sb.Append(lastEquity);
sb.Append(", instrumentId = ");
sb.Append(instrumentId);
sb.Append(", accountId = ");
sb.Append(account.Id);
return(Protocal.StringBuilderCache.GetStringAndRelease(sb));
}
internal NecessaryPolicy(IDBRow necessaryPolicyRow, string prefix)
{
this.marginCheckOption = (MarginCheckOption)(int)necessaryPolicyRow[prefix + "MarginCheckOption"];
this.netFactor = (decimal)necessaryPolicyRow[prefix + "NetFactor"];
this.hedgeFactor = (decimal)necessaryPolicyRow[prefix + "HedgeFactor"];
}