/// <summary>
/// 评估创建套利单需要保证金。
/// </summary>
/// <param name="openArg"></param>
/// <returns></returns>
public decimal EvaluateMargin(ArbitrageOpenArgument openArg)
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
USeInstrumentDetail buyInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.SellInstrument);
USeMarketData buyMarketData = quoteDriver.Query(openArg.BuyInstrument);
USeMarketData sellMarketData = quoteDriver.Query(openArg.SellInstrument);
USeMargin buyMarginRate = orderDriver.QueryInstrumentMargin(openArg.BuyInstrument);
USeMargin sellMarginRate = orderDriver.QueryInstrumentMargin(openArg.SellInstrument);
decimal buyMargin = (openArg.TotalOrderQty * buyMarginRate.BrokerLongMarginRatioByVolume) +
(buyMarketData.LastPrice * openArg.TotalOrderQty * buyInstrumentDetail.VolumeMultiple * buyMarginRate.BrokerLongMarginRatioByMoney);
decimal sellMargin = (openArg.TotalOrderQty * sellMarginRate.BrokerShortMarginRatioByVolume) +
(sellMarketData.LastPrice * openArg.TotalOrderQty * sellInstrumentDetail.VolumeMultiple * sellMarginRate.BrokerShortMarginRatioByMoney);
if (openArg.BuyInstrument.Market == USeMarket.SHFE && openArg.SellInstrument.Market == USeMarket.SHFE)
{
return(Math.Max(buyMargin, sellMargin));
}
else
{
return(buyMargin + sellMargin);
}
}
/// <summary>
/// 计算开仓损益。
/// </summary>
/// <param name="arbitrageOrder"></param>
/// <returns></returns>
private ProfitResult CalculatOpenProfit(USeArbitrageOrder arbitrageOrder)
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
Debug.Assert(orderDriver != null);
Debug.Assert(quoteDriver != null);
ArbitrageTaskGroup taskGroup = arbitrageOrder.OpenTaskGroup;
List <USeOrderBook> orderBookList = arbitrageOrder.OpenTaskGroup.GetAllOrderBooks();
USeMarketData buyMarketData = quoteDriver.Query(taskGroup.BuyInstrument);
USeMarketData sellMarketData = quoteDriver.Query(taskGroup.SellInstrument);
USeInstrumentDetail buyInstrumentDetail = orderDriver.QueryInstrumentDetail(taskGroup.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = orderDriver.QueryInstrumentDetail(taskGroup.SellInstrument);
decimal buyProfit = CalculateProfitByOrderBook(orderBookList, buyInstrumentDetail, buyMarketData);
decimal sellProfit = CalculateProfitByOrderBook(orderBookList, sellInstrumentDetail, sellMarketData);
decimal totalProfit = buyProfit + sellProfit;
ProfitResult result = new ProfitResult()
{
BuyProfit = buyProfit,
SellProfit = sellProfit
};
return(result);
}
/// <summary>
/// 计算当前套利单占用的保证金。
/// </summary>
/// <returns></returns>
public decimal CalculatUseMargin()
{
ArbitrageOpenArgument openArg = null;
lock (m_syncObj)
{
if (m_arbitrageOrder.State == ArbitrageOrderState.Finish ||
m_arbitrageOrder.State == ArbitrageOrderState.Closed)
{
//平仓完成套利单不占用保证金
return(0m);
}
openArg = m_arbitrageOrder.OpenArgument.Clone();
}
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
USeInstrumentDetail buyInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.SellInstrument);
USeMarketData buyMarketData = quoteDriver.Query(openArg.BuyInstrument);
USeMarketData sellMarketData = quoteDriver.Query(openArg.SellInstrument);
USeMargin buyMarginRate = orderDriver.QueryInstrumentMargin(openArg.BuyInstrument);
USeMargin sellMarginRate = orderDriver.QueryInstrumentMargin(openArg.SellInstrument);
decimal buyMargin = (openArg.TotalOrderQty * buyMarginRate.BrokerLongMarginRatioByVolume) +
(buyMarketData.LastPrice * openArg.TotalOrderQty * buyInstrumentDetail.VolumeMultiple * buyMarginRate.BrokerLongMarginRatioByMoney);
decimal sellMargin = (openArg.TotalOrderQty * sellMarginRate.BrokerShortMarginRatioByVolume) +
(sellMarketData.LastPrice * openArg.TotalOrderQty * sellInstrumentDetail.VolumeMultiple * sellMarginRate.BrokerShortMarginRatioByMoney);
if (openArg.BuyInstrument.Market == USeMarket.SHFE && openArg.SellInstrument.Market == USeMarket.SHFE)
{
return(Math.Max(buyMargin, sellMargin));
}
else
{
return(buyMargin + sellMargin);
}
}
/// <summary>
/// 查询委托回报。
/// </summary>
/// <returns></returns>
private List <OrderBookCalcItem> QueryOrderBooks()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
List <USeOrderBook> orderBookList = orderDriver.QueryOrderBooks();
List <OrderBookCalcItem> list = new List <OrderBookCalcItem>();
if (orderBookList == null)
{
return(list);
}
foreach (USeOrderBook orderBookItem in orderBookList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(orderBookItem.Instrument);
USeMargin productMargin = orderDriver.QueryInstrumentMargin(orderBookItem.Instrument);
USeFee productFee = orderDriver.QueryInstrumentFee(orderBookItem.Instrument);
OrderBookCalcItem calcItem = new OrderBookCalcItem()
{
InstrumentDetail = detail,
MarginRate = productMargin,
FeeRate = productFee,
OrderNum = orderBookItem.OrderNum,
Account = orderBookItem.Account,
Instrument = orderBookItem.Instrument,
OrderQty = orderBookItem.OrderQty,
OrderPrice = orderBookItem.OrderPrice,
TradeQty = orderBookItem.TradeQty,
TradeAmount = orderBookItem.TradeAmount,
TradePrice = orderBookItem.TradePrice,
TradeFee = orderBookItem.TradeFee,
OrderStatus = orderBookItem.OrderStatus,
CancelQty = orderBookItem.CancelQty,
OrderSide = orderBookItem.OrderSide,
OffsetType = orderBookItem.OffsetType,
Memo = orderBookItem.Memo,
OrderTime = orderBookItem.OrderTime
};
list.Add(calcItem);
}
return(list);
}
/// <summary>
/// 查询持仓明细。
/// </summary>
/// <returns></returns>
private List <PositionDetailCalcItem> QueryPositonDetails()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
List <USePositionDetail> positonList = orderDriver.QueryPositionDetail();
List <PositionDetailCalcItem> list = new List <PositionDetailCalcItem>();
if (positonList == null)
{
return(list);
}
foreach (USePositionDetail posItem in positonList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(posItem.Instrument);
USeMargin productMargin = orderDriver.QueryInstrumentMargin(posItem.Instrument);
USeMarketData marketData = quoteDriver.Query(posItem.Instrument);
PositionDetailCalcItem calcItem = new PositionDetailCalcItem()
{
InstrumentDetail = detail,
Margin = productMargin,
MarketData = marketData,
ID = posItem.ID,
Instrument = posItem.Instrument.Clone(),
Direction = posItem.Direction,
PositionType = posItem.PositionType,
OpenQty = posItem.OpenQty,
OpenPrice = posItem.OpenPrice,
OpenTime = posItem.OpenTime,
CloseQty = posItem.CloseQty,
CloseAmount = posItem.CloseAmount,
ClosePrice = posItem.ClosePrice
};
list.Add(calcItem);
}
return(list);
}
/// <summary>
/// 查询成交回报。
/// </summary>
/// <returns></returns>
private List <TradeBookCalcItem> QueryTradeBooks()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
List <USeTradeBook> tradeBookList = orderDriver.QueryTradeBooks();
List <TradeBookCalcItem> list = new List <TradeBookCalcItem>();
if (tradeBookList == null)
{
return(list);
}
foreach (USeTradeBook tradeItem in tradeBookList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(tradeItem.Instrument);
//USeMargin productMargin = orderDriver.QueryInstrumentMargin(tradeItem.Instrument);
TradeBookCalcItem calcItem = new TradeBookCalcItem()
{
InstrumentDetail = detail,
TradeNum = tradeItem.TradeNum,
Instrument = tradeItem.Instrument,
OrderNum = tradeItem.OrderNum,
OrderSide = tradeItem.OrderSide,
OffsetType = tradeItem.OffsetType,
Price = tradeItem.Price,
Qty = tradeItem.Qty,
Amount = tradeItem.Amount,
Fee = tradeItem.Fee,
TradeTime = tradeItem.TradeTime,
Account = tradeItem.Account
};
list.Add(calcItem);
}
return(list);
}
private USeFundDetail CalculFoundBeforeTrade()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
try
{
List <USeTradeBook> tradeBookList = orderDriver.QueryTradeBooks();
List <USePositionDetail> tradeAccountPosList = orderDriver.QueryPositionDetail();
List <USeOrderBook> orderBookList = orderDriver.QueryOrderBooks();
USeFund accountInfo = orderDriver.QueryFundInfo();
if (tradeBookList == null || tradeAccountPosList == null || orderBookList == null || accountInfo == null)
{
return(null);
}
#region 读取
decimal preBalance = accountInfo.PreBalance; //上日客户权益（读取）即上日结算准备金
decimal preCredit = accountInfo.PreCredit; // 上日信用额度
decimal preMortgage = accountInfo.PreMortgage; // 上次质押金额
decimal mortgage = accountInfo.Mortgage; // 质押金额
decimal withDraw = accountInfo.WithDraw; // 今日出金
decimal deposit = accountInfo.Deposit; // 今日入金
decimal deliveryMargin = accountInfo.DeliveryMargin; //交割保证金
#endregion 读取
// 静态权益 = 上日结存 - 上次信用额度 - 上次质押金额
// + 质押金额(可能有延时)- 今日出金(可能有延时) + 今日入金(可能有延时)
decimal staticBenefit = preBalance - preCredit - preMortgage + mortgage - withDraw + deposit;
#region 成交回报推算
decimal holdHistoryMargin = 0m;
decimal holdMargin = 0m;
foreach (USePositionDetail posItem in tradeAccountPosList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(posItem.Instrument);
int volumeMultiple = detail.VolumeMultiple;
USeMargin productMargin = orderDriver.QueryInstrumentMargin(posItem.Instrument);
USeMarketData marketData = quoteDriver.Query(posItem.Instrument);
if (posItem.RemainQty > 0) // 有持仓
{
if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Long)
{
// 历史多头持仓保证金 = 上日结算价 × 合约乘数 × 持仓手数 × 交易所多头保证金率
decimal margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * productMargin.BrokerLongMarginRatioByMoney) +
(posItem.RemainQty * productMargin.BrokerLongMarginRatioByVolume);
holdHistoryMargin += margin;
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Short)
{
decimal margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * productMargin.BrokerShortMarginRatioByMoney) +
(posItem.RemainQty * productMargin.BrokerLongMarginRatioByVolume);
holdHistoryMargin += margin;
}
else
{
Debug.Assert(false);
}
}
}
holdMargin = holdHistoryMargin;
#endregion
// 动态权益 = 静态权益
decimal dynamicBenefit = staticBenefit;
decimal frozon = 0;
decimal closeProfit = 0m;
decimal holdProfit = 0m;
decimal tradeFee = 0m;
decimal available = dynamicBenefit - holdMargin - frozon - deliveryMargin;
//风险度 = (占用保证金 + 交割保证金) / 动态权益
decimal risk = decimal.Divide((holdMargin + deliveryMargin), dynamicBenefit);
decimal preferCash = available;
if (tradeBookList.Count != 0 || tradeAccountPosList.Count != 0)
{
preferCash = (decimal)(preferCash * 7 / 10);
}
USeFundDetail fundDetail = new USeFundDetail();
fundDetail.AccountID = string.Empty;
fundDetail.Available = available;
fundDetail.Deposit = deposit;
fundDetail.Mortgage = mortgage;
fundDetail.PreBalance = preBalance;
fundDetail.PreCredit = preCredit;
fundDetail.PreMortgage = preMortgage;
fundDetail.WithDraw = withDraw;
fundDetail.StaticBenefit = staticBenefit;
fundDetail.CloseProfit = closeProfit;
fundDetail.TradeFee = tradeFee;
fundDetail.HoldProfit = holdProfit;
fundDetail.HoldMargin = holdMargin;
fundDetail.DynamicBenefit = dynamicBenefit;
fundDetail.FrozonMargin = 0; fundDetail.AccountID = string.Empty;
fundDetail.Available = available;
fundDetail.Deposit = deposit;
fundDetail.Mortgage = mortgage;
fundDetail.PreBalance = preBalance;
fundDetail.PreCredit = preCredit;
fundDetail.PreMortgage = preMortgage;
fundDetail.WithDraw = withDraw;
fundDetail.StaticBenefit = staticBenefit;
fundDetail.CloseProfit = closeProfit;
fundDetail.TradeFee = tradeFee;
fundDetail.HoldProfit = holdProfit;
fundDetail.HoldMargin = holdMargin;
fundDetail.DynamicBenefit = dynamicBenefit;
fundDetail.FrozonMargin = 0;
fundDetail.FrozonFee = 0;
fundDetail.Fronzon = frozon;
fundDetail.Risk = risk;
fundDetail.PreferCash = preferCash;
return(fundDetail);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
return(null);
}
}
private void btnOK_Click(object sender, EventArgs e)
{
List <ErrorUSeOrderBook> result = new List <ErrorUSeOrderBook>();
try
{
//如果存在未被处理的委托单，提示处理
foreach (DataRow row in m_dataTable.Rows)
{
string errorMessage = string.Empty;
if (IsMatchRule(row, out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowErrrorMessageBox(this, "请处理异常委托单");
return;
}
}
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
Debug.Assert(orderDriver != null);
//根据界面生成结果保存到Result
foreach (DataRow row in m_dataTable.Rows)
{
USeInstrument instrument = row["Instrument"] as USeInstrument;
Debug.Assert(instrument != null);
USeInstrumentDetail instrumentDetail = orderDriver.QueryInstrumentDetail(instrument);
//[yangming]合约过期后可能查不到了，此处可以考虑用品种信息获取合约乘数
Debug.Assert(instrumentDetail != null);
int orderQty = Convert.ToInt32(row["OrderQty"]);
int tradeQty = Convert.ToInt32(row["TradeQty"]);
int cancelQty = orderQty - tradeQty;
Debug.Assert(cancelQty >= 0);
decimal tradePrice = Convert.ToDecimal(row["TradePrice"]);
decimal tradeFee = Convert.ToDecimal(row["TradeFee"]);
decimal tradeAmount = tradePrice * tradeQty * instrumentDetail.VolumeMultiple;
USeOrderStatus selectedOrderStatus = (USeOrderStatus)row["SelectedOrderStatus"];
USeOrderStatus status = USeOrderStatus.Unknown;
if (selectedOrderStatus == USeOrderStatus.AllTraded)
{
status = USeOrderStatus.AllTraded;
}
else if (selectedOrderStatus == USeOrderStatus.AllCanceled)
{
if (cancelQty == orderQty)
{
status = USeOrderStatus.AllCanceled;
}
else
{
status = USeOrderStatus.PartCanceled;
}
}
USeOrderNum orderNum = row["OrderNum"] as USeOrderNum;
ErrorUSeOrderBook erroOrderBook = row["ErrorUSeOrderBook"] as ErrorUSeOrderBook;
erroOrderBook.OrderBook.OrderStatus = status;
erroOrderBook.OrderBook.CancelQty = cancelQty;
erroOrderBook.OrderBook.TradeQty = tradeQty;
erroOrderBook.OrderBook.TradePrice = tradePrice;
erroOrderBook.OrderBook.TradeAmount = tradeAmount;
erroOrderBook.OrderBook.TradeFee = tradeFee;
result.Add(erroOrderBook);
}
this.Result = result;
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, ex.Message);
return;
}
this.DialogResult = DialogResult.Yes;
this.Close();
}