private void Update(IDBRow tradePolicyDetailRow, SpecialTradePolicy specialTradePolicy)
{
this.instrumentId = (Guid)tradePolicyDetailRow["InstrumentID"];
this.autoLimitBase = (OrderLevelRiskBase)tradePolicyDetailRow["AutoLimitBase"];
this.autoLimitThreshold = (decimal)tradePolicyDetailRow["AutoLimitThreshold"];
this.autoStopBase = (OrderLevelRiskBase)tradePolicyDetailRow["AutoStopBase"];
this.autoStopThreshold = (decimal)tradePolicyDetailRow["AutoStopThreshold"];
this.isFractionCommissionOn = (bool)tradePolicyDetailRow["IsFractionCommissionOn"];
this.commissionOpen = (decimal)tradePolicyDetailRow["CommissionOpen"];
this.commissionCloseD = (decimal)tradePolicyDetailRow["CommissionCloseD"];
this.commissionCloseO = (decimal)tradePolicyDetailRow["CommissionCloseO"];
this.isFractionLevyOn = (bool)tradePolicyDetailRow["IsFractionLevyOn"];
this.levyOpen = (decimal)tradePolicyDetailRow["LevyOpen"];
this.levyClose = (decimal)tradePolicyDetailRow["LevyClose"];
this.cgseNewLevyMultipler = (decimal)tradePolicyDetailRow["CGSENewLevyMultipler"];
this.cgseCloseLevyMultipler = (decimal)tradePolicyDetailRow["CGSECloseLevyMultipler"];
this.cgseNewLevyRemainder = (decimal)tradePolicyDetailRow["CGSENewLevyRemainder"];
this.cgseCloseLevyRemainder = (decimal)tradePolicyDetailRow["CGSECloseLevyRemainder"];
this.cgseLevyCurrecyType = (CGSELevyCurrecyType)Enum.ToObject(CGSELevyCurrecyType.GetType(), tradePolicyDetailRow["CGSELevyCurrecyType"]);
specialTradePolicy.Add(this);
}
private static Price CalculateAutoClosePrice(Order order, PriceType priceType)
{
Debug.Assert(order.IsOpen);
SpecialTradePolicyDetail policy = order.Owner.SpecialTradePolicyDetail();
Settings.Instrument instrument = order.Owner.SettingInstrument();
OrderLevelRiskBase autoCloseBase = priceType == PriceType.Limit ? policy.AutoLimitBase : policy.AutoStopBase;
decimal autoCloseThreshold = priceType == PriceType.Limit ? policy.AutoLimitThreshold : policy.AutoStopThreshold;
if (autoCloseBase == OrderLevelRiskBase.None)
{
return(null);
}
else if (autoCloseBase == OrderLevelRiskBase.Necessary)
{
return(CalculateForOrderLevelRiskNecessay(order, autoCloseThreshold, instrument, priceType));
}
else
{
Price basePrice = order.ExecutePrice;
if (autoCloseBase == OrderLevelRiskBase.SettlementPrice)
{
TradeDay tradeDay = Settings.Setting.Default.GetTradeDay();
if (order.Owner.ExecuteTime > tradeDay.BeginTime)
{
return(null);
}
else
{
basePrice = (order.IsBuy ? instrument.DayQuotation.Buy : instrument.DayQuotation.Sell);
}
}
int autoClosePips = (int)autoCloseThreshold;
if (order.SetPriceMaxMovePips > 0 && order.SetPriceMaxMovePips < autoClosePips)
{
autoClosePips = order.SetPriceMaxMovePips;
}
if (order.IsBuy == (priceType == PriceType.Limit))
{
return(Price.Add(basePrice, autoClosePips, !instrument.IsNormal));
}
else
{
return(Price.Subtract(basePrice, autoClosePips, !instrument.IsNormal));
}
}
}
internal static Price CalculateAutoClosePrice(this Order order, PriceType priceType)
{
Debug.Assert(order.IsOpen);
SpecialTradePolicyDetail policy = order.Owner.SpecialTradePolicyDetail;
Settings.Instrument instrument = order.Owner.SettingInstrument;
OrderLevelRiskBase autoCloseBase = priceType == PriceType.Limit ? policy.AutoLimitBase : policy.AutoStopBase;
decimal autoCloseThreshold = priceType == PriceType.Limit ? policy.AutoLimitThreshold : policy.AutoStopThreshold;
if (autoCloseBase == OrderLevelRiskBase.Necessary)
{
return(CalculateForOrderLevelRiskNecessay(order, autoCloseThreshold, instrument, priceType));
}
else if (autoCloseBase == OrderLevelRiskBase.OpenPrice)
{
return(CalculateForOrderLevelOpenPrice(order, autoCloseThreshold, instrument, priceType));
}
else
{
return(null);
}
}
private void InternalUpdate(XElement tradePolicyDetailNode, SpecialTradePolicy specialTradePolicy)
{
foreach (XAttribute attribute in tradePolicyDetailNode.Attributes())
{
switch (attribute.Name.ToString())
{
case "InstrumentID":
this.instrumentId = XmlConvert.ToGuid(attribute.Value);
break;
case "AutoLimitBase":
this.autoLimitBase = (OrderLevelRiskBase)XmlConvert.ToInt32(attribute.Value);
break;
case "AutoLimitThreshold":
this.autoLimitThreshold = XmlConvert.ToDecimal(attribute.Value);
break;
case "AutoStopBase":
this.autoStopBase = (OrderLevelRiskBase)XmlConvert.ToInt32(attribute.Value);
break;
case "AutoStopThreshold":
this.autoStopThreshold = XmlConvert.ToDecimal(attribute.Value);
break;
case "IsFractionCommissionOn":
this.isFractionCommissionOn = XmlConvert.ToBoolean(attribute.Value);
break;
case "CommissionOpen":
this.commissionOpen = XmlConvert.ToDecimal(attribute.Value);
break;
case "CommissionCloseD":
this.commissionCloseD = XmlConvert.ToDecimal(attribute.Value);
break;
case "CommissionCloseO":
this.commissionCloseO = XmlConvert.ToDecimal(attribute.Value);
break;
case "IsFractionLevyOn":
this.isFractionLevyOn = XmlConvert.ToBoolean(attribute.Value);
break;
case "LevyOpen":
this.levyOpen = XmlConvert.ToDecimal(attribute.Value);
break;
case "LevyClose":
this.levyClose = XmlConvert.ToDecimal(attribute.Value);
break;
case "CGSENewLevyMultipler":
this.cgseNewLevyMultipler = XmlConvert.ToDecimal(attribute.Value);
break;
case "CGSECloseLevyMultipler":
this.cgseCloseLevyMultipler = XmlConvert.ToDecimal(attribute.Value);
break;
case "CGSENewLevyRemainder":
this.cgseNewLevyRemainder = XmlConvert.ToDecimal(attribute.Value);
break;
case "CGSECloseLevyRemainder":
this.cgseCloseLevyRemainder = XmlConvert.ToDecimal(attribute.Value);
break;
case "CGSELevyCurrecyType":
this.cgseLevyCurrecyType = (CGSELevyCurrecyType)XmlConvert.ToInt32(attribute.Value);
break;
}
}
}
