/// <summary>
/// 计算冻结保证金。
/// </summary>
/// <param name="orderBook"></param>
/// <returns></returns>
private decimal CalcOrderFronzonMargin(OrderBookCalcItem orderBook)
{
if (orderBook.IsFinish)
{
return(0m);
}
;
if (orderBook.OffsetType != USeOffsetType.Open)
{
return(0m);
}
int volumeMultiple = orderBook.InstrumentDetail.VolumeMultiple;
USeMargin productMargin = orderBook.MarginRate;
decimal frozonMargin = 0;
if (orderBook.OrderSide == USeOrderSide.Buy)
{
frozonMargin = ((orderBook.OrderQty - orderBook.TradeQty) * productMargin.BrokerLongMarginRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productMargin.BrokerLongMarginRatioByMoney);
}
else if (orderBook.OrderSide == USeOrderSide.Sell)
{
frozonMargin += ((orderBook.OrderQty - orderBook.TradeQty) * productMargin.BrokerShortMarginRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productMargin.BrokerShortMarginRatioByMoney);
}
else
{
Debug.Assert(false);
}
return(frozonMargin);
}
/// <summary>
/// 计算冻结手续费。
/// </summary>
/// <param name="orderBook"></param>
/// <returns></returns>
private decimal CalcOrderFronzonFee(OrderBookCalcItem orderBook)
{
if (orderBook.IsFinish)
{
return(0m);
}
;
if (orderBook.OffsetType != USeOffsetType.Open)
{
return(0m);
}
int volumeMultiple = orderBook.InstrumentDetail.VolumeMultiple;
USeFee productFee = orderBook.FeeRate;
decimal frozonFee = 0m;
if (orderBook.OrderSide == USeOrderSide.Buy)
{
frozonFee += ((orderBook.OrderQty - orderBook.TradeQty) * productFee.OpenRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productFee.OpenRatioByMoney);
}
else if (orderBook.OrderSide == USeOrderSide.Sell)
{
frozonFee += ((orderBook.OrderQty - orderBook.TradeQty) * productFee.OpenRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productFee.OpenRatioByMoney);
}
else
{
Debug.Assert(false);
}
return(frozonFee);
}
/// <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);
}
