private decimal slipage; //weighted slipage of the specific strategy of a specific client.
public StrategyStatistics(OrderAlgo algo_)
{
this.algo = algo_;
this.turnover = 0;
this.slipage = 0;
this.orderCount = 0;
this.sliceCount = 0;
}
public override void parseQueryResult(Client client_, SqlDataReader reader_)
{
while (reader_.Read())
{
string acct = reader_["accountId"].ToString();
string orderId = reader_["orderId"].ToString();
string symbol = reader_["symbol"].ToString();
string stockName = reader_["stockName"].ToString();
MarginType marginType = (MarginType)Int32.Parse(reader_["marginType"].ToString());
decimal participation = MathUtil.round((decimal)reader_["participationRate"]);
OrderAlgo algo = (OrderAlgo)Int32.Parse(reader_["algo"].ToString());
OrderSide side = (OrderSide)Int32.Parse(reader_["side"].ToString());
decimal avgPrice = MathUtil.round((decimal)reader_["avgPrice"]);
decimal slipageInBps = MathUtil.round((decimal)reader_["slipageInBps"]);
decimal cumQty = (decimal)reader_["cumQty"];
string tradingDay = reader_["tradingDay"].ToString();
string effectiveTime = reader_["effectiveTime"].ToString();
string expireTime = reader_["expireTime"].ToString();
int sliceCount = Int32.Parse(reader_["SliceCount"].ToString());
int cancelCount = Int32.Parse(reader_["cancelCount"].ToString());
int sentQty = Int32.Parse(reader_["totalSentQty"].ToString());
int filledQty = Int32.Parse(reader_["totalFilledQty"].ToString());
int filledCount = Int32.Parse(reader_["filledCount"].ToString());
SecurityType securityType = (SecurityType)Int32.Parse(reader_["securityType"].ToString());
SavedClientOrder order = new SavedClientOrder(acct, orderId, symbol, stockName, marginType, participation,
algo, side, avgPrice, slipageInBps, cumQty, tradingDay, effectiveTime, expireTime,
sliceCount, cancelCount, filledCount, sentQty, filledQty, securityType);
// If configed to include orders with zero cumQty
if (ConfigParser.CONFIG.getRunTimeConfig().reportZeroQtyOrders())
{
client_.addClientOrder(order);
}
else if (order.getCumQty() > 0)
{
// Only include orders with positive cumQty
client_.addClientOrder(order);
}
}
}
/// <summary>
/// Construct an order from Database, used to prepare client report. Turnover is calculate according to symbol type.
/// </summary>
/// <param name="acct_">client account</param>
/// <param name="symbol_">stock symbol</param>
/// <param name="stockName_">stock name in Chinese</param>
/// <param name="side_">Direction of the trade</param>
/// <param name="avgPrice_">Average execution price</param>
/// <param name="slipageInBps_">Order slipage.</param>
/// <param name="cumQty_">Order cumQty</param>
/// <param name="tradingDay_">Order tradingDay</param>
/// <param name="effectiveTime_">Order start time</param>
/// <param name="expireTime_">order end time</param>
/// <param name="securityType">order end time</param>
public SavedClientOrder(string acct_, string orderId_, string symbol_, string stockName_,
MarginType marginType_, decimal participationRate_,
OrderAlgo algo_, OrderSide side_,
decimal avgPrice_, decimal slipageInBps_, decimal cumQty_, string tradingDay_,
string effectiveTime_, string expireTime_, int sliceCount_, int cencelCount_, int filledCount_,
int sentQty_, int filledQty_, SecurityType securityType_)
{
this.acct = acct_;
this.orderId = orderId_;
this.symbol = symbol_;
this.stockName = stockName_;
this.marginType = marginType_;
this.participationRate = participationRate_;
this.algo = algo_;
this.side = side_;
this.avgPrice = avgPrice_;
this.slipageInBps = slipageInBps_;
this.cumQty = cumQty_;
this.tradingDay = tradingDay_;
this.effectiveTime = effectiveTime_;
this.expireTime = expireTime_;
this.exchangeOrders = new List <SavedExchangeOrder>();
this.exchangeOrderCount = 0;
this.sliceCount = sliceCount_;
this.cancelCount = cencelCount_;
this.sentQty = sentQty_;
this.filledQty = filledQty_;
this.filledCount = filledCount_;
this.securityType = securityType_;
//if (StoredProcMgr.MANAGER.isRepo(this.symbol))
if (securityType.Equals(AlgoTrading.Data.SecurityType.RPO))
{
this.turnover = this.cumQty * StoredProcMgr.MANAGER.getMultiplier(this.symbol);
}
//else if (StoredProcMgr.MANAGER.isFuture(this.symbol))
else if (securityType.Equals(AlgoTrading.Data.SecurityType.FTR))
{
if (symbol.StartsWith("IF"))
{
this.turnover = this.cumQty * this.avgPrice * 300;
}
else if (symbol.StartsWith("IH"))
{
this.turnover = this.cumQty * this.avgPrice * 300;
}
else if (symbol.StartsWith("IC"))
{
this.turnover = this.cumQty * this.avgPrice * 200;
}
}
else if (securityType.Equals(AlgoTrading.Data.SecurityType.BDC))
{
if (symbol.EndsWith("sh"))
{
this.turnover = this.cumQty * this.avgPrice * 10;
}
else
{
this.turnover = this.cumQty * this.avgPrice;
}
}
//else if (StoredProcMgr.MANAGER.isEqt(this.symbol))
else if (securityType.Equals(AlgoTrading.Data.SecurityType.EQA) || securityType.Equals(AlgoTrading.Data.SecurityType.FDO) || securityType.Equals(AlgoTrading.Data.SecurityType.FDC))
{
this.turnover = this.cumQty * this.avgPrice;
}
}
public StrategyStatistics getByAlgo(OrderAlgo algo_)
{
return(tradeResult[algo_]);
}
