protected virtual TransactionFillDetails getTransactionFillDetailsAmountBasedOrderByGoalSeek(
Money grossAmount, Side side, bool isCommissionRelevant, bool isValueInclComm,
DateTime settlementDate, Price price, IExchange exchange,
ICommRule rule, ICommClient client, decimal servChargePerc, int precision)
{
decimal realAmount;
decimal guess = grossAmount.Abs().CalculateSize(price).Quantity;
FinancialMath.MaxCycles = 200;
// Check -> use Commission
bool useComm = true;
bool useAddComm = false;
if (!isCommissionRelevant || rule == null)
useComm = false;
if (useComm)
useAddComm = (rule.AdditionalCalculation != null);
realAmount = FinancialMath.GoalSeek(x =>
new InstrumentSize(x, this).CalculateAmount(price).Quantity +
(useComm ? rule.CommCalculation.Calculate(client.GetNewInstance(new InstrumentSize(x, this), price, (useAddComm ? rule.AdditionalCalculation.Calculate(client.GetNewInstance(new InstrumentSize(x, this), price)) : null))).Quantity : 0M) +
(useAddComm ? rule.AdditionalCalculation.Calculate(client.GetNewInstance(new InstrumentSize(x, this), price)).Quantity : 0M) +
(new InstrumentSize(x, this).CalculateAmount(price).Abs().Quantity * servChargePerc),
grossAmount.Abs().Quantity, guess, precision);
InstrumentSize size = new InstrumentSize(realAmount, this);
Money amount = size.CalculateAmount(price);
InstrumentSize cleanSize = amount.CalculateSize(price);
Money servCh = (amount.Abs() * servChargePerc);
Money comm = amount.ZeroedAmount();
Money addComm = amount.ZeroedAmount();
if (useComm)
{
if (rule.AdditionalCalculation != null)
addComm = rule.AdditionalCalculation.Calculate(client.GetNewInstance(cleanSize, price));
comm = rule.CommCalculation.Calculate(client.GetNewInstance(cleanSize, price, addComm));
// if sell -> comm is already in the amount
if (side == Side.Sell && (comm + addComm) != null && (comm + addComm).IsNotZero)
{
amount += (comm + addComm);
cleanSize = amount.CalculateSize(price);
if (!isValueInclComm)
{
if (rule.AdditionalCalculation != null)
addComm = rule.AdditionalCalculation.Calculate(client.GetNewInstance(cleanSize, price));
comm = rule.CommCalculation.Calculate(client.GetNewInstance(cleanSize, price, addComm));
}
}
}
return new TransactionFillDetails(cleanSize, amount, null, servCh, servChargePerc, comm + addComm, grossAmount.Abs(), side);
}
/// <summary>
/// Deletes a <b>CommRule</b> object from the database.
/// </summary>
/// <param name="session">An instance of the Data Access Library (see class <see cref="B4F.TotalGiro.DAL.NHSession">NHSession</see>).</param>
/// <param name="obj">The <b>CommRule</b> object to delete from the database.</param>
public static void Delete(IDalSession session, ICommRule obj)
{
session.Delete(obj);
}
protected virtual TransactionFillDetails getTransactionFillDetailsAmountBasedOrderByGoalSeek(
IOrderAmountBased order, DateTime settlementDate, Price price, IExchange exchange,
ICommRule rule, ICommClient client, decimal servChargePerc, int precision)
{
try
{
TransactionFillDetails details = getTransactionFillDetailsAmountBasedOrderByGoalSeek(
order.GrossAmount, order.Side, order.IsCommissionRelevant, order.IsValueInclComm,
settlementDate, price, exchange, rule, client, servChargePerc, precision);
if (details.IsOK)
{
Money diff = details.Diff;
if (diff != null && diff.IsNotZero && diff.IsWithinTolerance(0.09M))
{
details.FixUp(order);
details.Size = details.Amount.CalculateSize(price);
details.Info = string.Format("F{0}", precision);
}
}
return details;
}
catch
{
}
return new TransactionFillDetails();
}
/// <summary>
/// Updates a <b>CommRule</b> object to the database.
/// </summary>
/// <param name="session">An instance of the Data Access Library (see class <see cref="B4F.TotalGiro.DAL.NHSession">NHSession</see>).</param>
/// <param name="obj">The <b>CommRule</b> object to update into the database.</param>
public static void Update(IDalSession session, ICommRule obj)
{
session.InsertOrUpdate(obj);
}