private void UpdateTable()
{
try
{
var acc = AccountStatus.Instance.AccountData;
if (acc == null)
{
return;
}
var orders = MarketOrdersStorage.Instance.MarketOrders ?? new List <MarketOrder>();
var sumPos = PositionSummary.GetPositionSummary(orders, acc.Currency, (float)acc.Balance)
?? new List <PositionSummary>();
Invoke(new Action <List <PositionSummary> >(lst => grid.DataBind(lst)), sumPos);
var height = sumPos.Count * grid.CellHeight + grid.CaptionHeight + 2;
if (grid.Width < grid.MinimumTableWidth) // учесть высоту скролбара
{
height += SystemInformation.HorizontalScrollBarHeight;
}
if (height != lastHeight)
{
lastHeight = height;
ContentHeightChanged(height);
}
}
catch (Exception ex)
{
Logger.Error("UpdateAccountInfo error", ex);
}
}
public void CreateTest3()
{
UserPosition up = createPosition(10, 90,
OrderType.开仓, TradeDirectType.卖);
var ps = new PositionSummary(up, 90m);
var up1 = createPosition(20, 120,
OrderType.开仓, TradeDirectType.卖);
ps.Update(up1, true, 120);
var up2 = createPosition(5, 200, OrderType.平仓,
TradeDirectType.买);
ps.Update(up2, false, 200);
Assert.AreEqual(25, ps.Count);
// Assert.AreEqual(25, ps.ClosableCount);
Assert.AreEqual(110, ps.BuyPrice);
Assert.AreEqual(2750, ps.BuyTotal);
Assert.AreEqual(-2250, ps.FloatProfit);
Assert.AreEqual(-450, ps.CloseProfit);
Assert.AreEqual(-5000, ps.TotalValue);
}
public void CreateTest5()
{
UserPosition up = createPosition(10, 90,
OrderType.开仓, TradeDirectType.卖);
var ps = new PositionSummary(up, 90m);
var up1 = createPosition(20, 120,
OrderType.开仓, TradeDirectType.卖);
ps.Update(up1, true, 120);
var up2 = createPosition(5, 200, OrderType.平仓,
TradeDirectType.买);
ps.Update(up2, false, 200);
var up3 = createPosition(10, 200, OrderType.开仓,
TradeDirectType.卖);
ps.Update(up3, true, 200);
var up4 = createPosition(15, 140, OrderType.平仓,
TradeDirectType.买);
ps.Update(up4, false, 140);
Assert.AreEqual(20, ps.Count);
// Assert.AreEqual(20, ps.ClosableCount);
Assert.IsTrue(135.714m - ps.BuyPrice < 0.001m);
Assert.IsTrue(2714.28m - ps.BuyTotal < 0.01m);
Assert.IsTrue(-85.72m - ps.FloatProfit < 0.01m);
Assert.IsTrue(-514.29m - ps.CloseProfit < 0.01m);
Assert.AreEqual(-2800, ps.TotalValue);
}
/// <summary>
/// 生成买平操作的委托
/// </summary>
/// <param name="up"></param>
/// <param name="total"></param>
/// <returns></returns>
protected override Tuple <Order, bool> CreateSellOrder(Trader t, PositionSummary up, int total)
{
decimal price;
var fuse = GetFuser(up);
var pm = GetPossibleMatch(up)
.Where(a => a.Price <(decimal)fuse.MaxPrice && a.Price>(decimal) fuse.MinPrice)
.OrderBy(a => a.Price)
.FirstOrDefault();
if (pm == null)
{
price = (decimal)fuse.MaxPrice;
var closableCount = t.GetClosableCount(up.CCode, TradeDirectType.买);
var r = new Order
{
Id = IdService <Order> .Instance.NewId(),
OrderPolicy = OrderPolicy.限价申报,
Price = price,
Count = closableCount,
ReportCount = closableCount,
Contract = up.GetContract(this.model),
Direction = TradeDirectType.买,
OrderType = OrderType.平仓,
OrderTime = DateTime.Now,
Trader = t,
State = OrderState.等待中,
IsBySystem = true
};
PutInReorder(r, fuse, true, up);
return(Tuple.Create(r, true));
}
else
{
price = pm.Price;
//下单数量是1数量和平仓数量的较小值
var pcount = pm.Count >= total?total:pm.Count;
if (pcount > SysPrm.Instance.MonitorParams.MaxCountPerSell)
{
pcount = SysPrm.Instance.MonitorParams.MaxCountPerSell;
}
var r = new Order
{
Id = IdService <Order> .Instance.NewId(),
OrderPolicy = OrderPolicy.市价IOC,
Price = price,
Count = pcount,
ReportCount = pcount,
Contract = up.GetContract(this.model),
Direction = TradeDirectType.买,
OrderType = OrderType.平仓,
OrderTime = DateTime.Now,
Trader = t,
State = OrderState.等待中,
IsBySystem = true
};
return(Tuple.Create(r, false));
}
}
public ReorderItem(Order up, ContractFuse cf, bool isHandelMax, PositionSummary pos, IMatch matcher)
{
this.matcher = matcher;
Blaster.Log.Info(string.Format("平仓委托重新报价加入队列:{0}-大{1}-边{2},{3}-单{4}", up.Trader.Name, isHandelMax, cf.MaxPrice, cf.MinPrice, up.ToShortString()));
this.order = up; this.cf = cf; this.Pos = pos;
HisOrderIds = new List <int> {
up.Id
};
this.isHandleMax = isHandelMax;
//引发熔断--
cf.ShouldAccept(up);
if (isHandelMax)
{
cf.OnMaxChanged += cf_OnMaxChanged;
}
else
{
cf.OnMinChanged += cf_OnMinChanged;
}
cf.Excutor.OnFuseOver += Excutor_OnFuseOver;
CreateTime = DateTime.Now;
checkTimer = new Timer();
checkTimer.Interval = ContractFuse.FuseSpanInMin / 2 * 60 * 1000;
checkTimer.Elapsed += checkTimer_Elapsed;
checkTimer.Start();
}
public void Add(Order up, ContractFuse cf, bool isHandelMax, PositionSummary ps)
{
var feh = new ReorderItem(up, cf, isHandelMax, ps, this.matcher);
feh.OnDone += feh_OnDone;
list.Add(feh);
}
private void CalculateCurrentLeverage()
{
if (!AccountStatus.Instance.isAuthorized)
{
return;
}
try
{
var orders = MarketOrdersStorage.Instance.MarketOrders;
if (orders == null || orders.Count == 0)
{
return;
}
var account = AccountStatus.Instance.AccountData;
if (account == null)
{
return;
}
var lstPos = PositionSummary.GetPositionSummary(orders, account.Currency, (float)account.Balance);
currentLeverage = lstPos.Count == 0 ? 0 : lstPos.First(p => string.IsNullOrEmpty(p.Symbol)).Leverage;
tbCurLeverage.Text = currentLeverage.ToString("f3");
}
catch (Exception ex)
{
Logger.Error("Ошибка в CalculateCurrentLeverage()", ex);
}
}
private bool CheckMargin(string symbol, int side, int volume)
{
var minLeverageToWarn = UserSettings.Instance.MessageOnEnterExceedLeverage
? UserSettings.Instance.RiskLeverCritical
: 10000;
var equity = AccountStatus.Instance.AccountData.Equity;
if (equity == 0)
{
return(false);
}
if (minLeverageToWarn == 0)
{
return(true);
}
var orders = MarketOrdersStorage.Instance.MarketOrders;
if (orders == null || orders.Count == 0)
{
return(true);
}
var depoCurx = AccountStatus.Instance.AccountData.Currency;
// подсчет плеча
var quotes = QuoteStorage.Instance.ReceiveAllData();
var posSum = PositionSummary.GetPositionSummary(quotes, orders, depoCurx);
var leverage = posSum.Sum(p => !string.IsNullOrEmpty(p.Symbol) ? p.Leverage : 0);
var volumeBySymbol = posSum.Sum(p => p.Symbol == symbol ? p.Volume : 0);
var newVolumeBySymbol = volumeBySymbol + (side * volume);
var newVolumeDepo = ConvertBaseVolumeToDepo(newVolumeBySymbol, symbol, depoCurx, quotes);
var newSymbolLeverage = Math.Abs(newVolumeDepo / (float)equity);
var oldSymbolLeverage = posSum.Sum(p => p.Symbol == symbol ? p.Leverage : 0);
if (newSymbolLeverage <= oldSymbolLeverage)
{
return(true); // экспозиция не увеличивается
}
var newLeverage = leverage - oldSymbolLeverage + newSymbolLeverage;
if (newLeverage >= minLeverageToWarn)
{
var msg =
string.Format(Localizer.GetString("MessageWarningExceedLeverageFmt"),
leverage, newLeverage, minLeverageToWarn);
if (MessageBox.Show(msg,
Localizer.GetString("TitleWarning"),
MessageBoxButtons.YesNo, MessageBoxIcon.Exclamation) == DialogResult.No)
{
return(false);
}
}
return(true);
}
public async Task <ActionResult> Create(PositionDto positionDto)
{
if (string.IsNullOrEmpty(positionDto.Description))
{
return(StatusCode(StatusCodes.Status422UnprocessableEntity));
}
var position = new Position(positionDto.Description);
await positionRepository.InsertAsync(position);
return(CreatedAtAction(
nameof(Get),
new { id = position.Id.ToString() },
PositionSummary.FromDomain(position)));
}
public void CreateTest()
{
UserPosition up = createPosition(10, 90,
OrderType.开仓, TradeDirectType.卖);
var ps = new PositionSummary(up, 90m);
Assert.AreEqual(10, ps.Count);
// Assert.AreEqual(10, ps.ClosableCount);
Assert.AreEqual(90, ps.BuyPrice);
Assert.AreEqual(900, ps.BuyTotal);
Assert.AreEqual(0, ps.FloatProfit);
Assert.AreEqual(0, ps.CloseProfit);
Assert.AreEqual(-900, ps.TotalValue);
}
public static decimal GetReleasePerPos(this PositionSummary up, Func <string, Contract> GetContractByCode, decimal curPrice)
{
if (up.PositionType == "义务仓")
{
var c = GetContractByCode(up.CCode);
if (c == null)
{
return(0);
}
var one = c.GetMaintainForContract(curPrice);
var delta = one - curPrice;
return(delta);
}
else
{
return(curPrice);
}
}
public void Calc(UserPosition up, bool isAdd, decimal curPrice)
{
var k = up.Order.Contract.Code;
PositionSummary ps = null;
lock (calcSync)
{
if (!dic.ContainsKey(k))
{
ps = new PositionSummary(up, curPrice);
dic.Add(k, ps);
}
else
{
ps = dic[k];
dic[k].Update(up, isAdd, curPrice);
}
}
}
public void CreateTest2()
{
UserPosition up = createPosition(10, 90,
OrderType.开仓, TradeDirectType.卖);
var ps = new PositionSummary(up, 90m);
var up1 = createPosition(20, 120,
OrderType.开仓, TradeDirectType.卖);
ps.Update(up1, true, 120);
Assert.AreEqual(30, ps.Count);
// Assert.AreEqual(30, ps.ClosableCount);
Assert.AreEqual(110, ps.BuyPrice);
Assert.AreEqual(3300, ps.BuyTotal);
Assert.AreEqual(-300, ps.FloatProfit);
Assert.AreEqual(0, ps.CloseProfit);
Assert.AreEqual(-3600, ps.TotalValue);
}
/// <summary>
/// 计算平仓比率:需要平仓的份数
/// 每份合约得到的资金数=释放的维持保证金-买入价格
/// </summary>
/// <param name="up"></param>
/// <returns></returns>
decimal CalRatio(Trader t, PositionSummary up, decimal needed)
{
try
{
if (up == null)
{
Log.Info(string.Format("计算比例时合约为空:仓{0}-人{1}", up.CName, t.Name));
return(0);
}
var cp = Market.Get(up.CName).NewestDealPrice;
var pp = up.GetReleasePerPos((a) => { return(model.Contracts.Where(c => c.Code == a).FirstOrDefault()); }, cp);
var r = needed / pp;
Log.Info(string.Format("平仓份数:{0}-{1}-价{2}-释{3}-份{4}", t.Name, up.CName, cp, pp, r));
return(r);
}
catch (Exception ex)
{
Log.Error(ex);
return(0);
}
}
public PositionSummaryDto(PositionSummary ps, decimal curPrice, int closableCount)
{
this.Id = ps.Id;
this.OrderType = ps.OrderType;
this.PositionType = ps.PositionType;
this.BuyPrice = Math.Round(ps.BuyPrice, 2);
this.BuyTotal = Math.Round(ps.BuyTotal, 2);
this.Contract = new ContractDto(ps.Contract);
this.Count = ps.Count;
this.ClosableCount = closableCount > 0 ? closableCount : 0;
this.TotalValue = Math.Round(ps.TotalValue, 2);
this.FloatProfit = Math.Round(ps.FloatProfit, 2);
this.CloseProfit = Math.Round(ps.CloseProfit, 2);
this.Maintain = Math.Round(ps.GetMaintain(curPrice), 2);
this.Commission = 0;
}
public void RaisePC(PositionSummary p, Trader t)
{
try
{
if (p == null)
{
return;
}
var m = this.market.Get(p.CName);
var np = m == null ? 0m : m.NewestDealPrice;
var c = t.GetClosableCount(p);
var pd = new PositionSummaryDto(p, np, c);
if (OnPositionSummaryChanged != null)
{
OnPositionSummaryChanged.BeginInvoke(t.Name, pd, null, null);
}
}
catch (Exception ex)
{
Singleton <TextLog> .Instance.Error(ex, "raisepc");
}
}
private void RenderBody(StringBuilder sb)
{
// заголовок (доход по счету такому-то...)
RenderAccountTitle(sb, " ");
// таблица статистики по счету
RenderStatTableHeader(sb, " ");
RenderStatTable(sb, " ");
RenderStatTableFooter(sb, " ");
// график средств / баланса
RenderProfitChart(sb, " ");
// таблица - суммарные позы
if (openedOrders.Count > 0)
{
var quotes = QuoteStorage.Instance.ReceiveAllData();
var listSum = PositionSummary.GetPositionSummary(quotes, openedOrders, account.Currency);
RenderSummaryOpenDealsTableHeader(sb, " ");
RenderSummaryOpenDealsTable(sb, " ", listSum);
RenderSummaryOpenDealsTableFooter(sb, " ");
// таблица открытых сделок
RenderOpenDealsTableHeader(sb, " ");
RenderOpenDealsTable(sb, " ");
RenderOpenDealsTableFooter(sb, " ");
}
if (renderClosedDeals)
{
RenderClosedDealsTableHeader(sb, " ");
RenderClosedDealsTable(sb, " ");
RenderClosedDealsTableFooter(sb, " ");
}
}
public static int GetClosableCount(this Trader t, PositionSummary ps)
{
return(t.GetClosableCount(ps.CCode, ps.PositionType == "权利仓" ? TradeDirectType.卖 : TradeDirectType.买));
}
/// <summary>
/// 确认持仓
/// </summary>
/// <param name="p1"></param>
/// <param name="count"></param>
/// <param name="buyPrice"></param>
/// <param name="maintain"></param>
void vp_c_bp_m(PositionSummary p1, int count, decimal buyPrice, decimal maintain)
{
Assert.AreEqual(p1.Count, count);
Assert.AreEqual(p1.BuyPrice, buyPrice);
//Assert.AreEqual(p1.Maintain, maintain);
}
/// <summary>
/// 将委托放入重新报价队列
/// </summary>
/// <param name="o"></param>
/// <param name="cf"></param>
/// <param name="isFuseMax">是否是上边界发生变化时重新报价</param>
protected void PutInReorder(Order o, ContractFuse cf, bool isFuseMax, PositionSummary pos)// upId)
{
this.fehc.Add(o, cf, isFuseMax, pos);
}
protected ContractFuse GetFuser(PositionSummary up)
{
var f = Market.Get(up.CName);
return(f.fuser);
}
/// <summary> /// 创建委托 /// </summary> /// <param name="up"></param> /// <param name="total"></param> /// <returns>委托,是否是以熔断价报出</returns> protected abstract Tuple <Order, bool> CreateSellOrder(Trader t, PositionSummary up, int total);
public static bool IsSelling(this Trader t, PositionSummary p)
{
var k = MakeKey(t, p);
return(sellDic.Get(k));
}
//行权
void Execute(PositionSummary up, Trader ts, decimal exeBasePrice, bool isManual = false)
{
up.Contract.IsNotInUse = true;
//if (up.Order == null) return;
if (!isManual)
{
if (up.Contract.ExcuteTime.Date != DateTime.Now.Date)
{
return;
}
}
if (up.Contract.OptionType == OptionType.认购期权) //认购期权:跌了不行权
{
if (exeBasePrice > up.Contract.ExcutePrice) //涨了
{
var d = exeBasePrice - up.Contract.ExcutePrice;
var t = d * up.Count * up.Contract.CoinCount;
if (up.PositionType == "权利仓") //权利方
{
ts.Account.BailAccount.Collect(t); //收钱
handler.SaveRecord(ts, up.Contract, PositionType.权利仓, up.Count, exeBasePrice, true, t);
TraderService.OperateAccount(ts, t, AccountChangeType.行权划入, "系统操作", null, ts.Account.BailAccount.Total);
}
else//义务方
{
ts.BailPay(t, ts.GetMarket(), null, AccountChangeType.行权划出);
handler.SaveRecord(ts, up.Contract, PositionType.义务仓, up.Count, exeBasePrice, false, t);
}
}
else
{
if (up.PositionType == "权利仓")//权利方
{
handler.SaveRecord(ts, up.Contract, PositionType.权利仓, up.Count, exeBasePrice, true, 0);
}
else//义务方
{
handler.SaveRecord(ts, up.Contract, PositionType.义务仓, up.Count, exeBasePrice, false, 0);
}
}
}
else//认沽期权:涨了不行权
{
if (exeBasePrice < up.Contract.ExcutePrice)//跌了
{
var d = up.Contract.ExcutePrice - exeBasePrice;
var t = d * up.Count * up.Contract.CoinCount;
if (up.PositionType == "权利仓") //权利方
{
ts.Account.BailAccount.Collect(t); //收钱
handler.SaveRecord(ts, up.Contract, PositionType.权利仓, up.Count, exeBasePrice, true, t);
TraderService.OperateAccount(ts, t, AccountChangeType.行权划入, "系统操作", null, ts.Account.BailAccount.Total);
}
else//义务方
{
ts.BailPay(t, ts.GetMarket(), null, AccountChangeType.行权划出);
handler.SaveRecord(ts, up.Contract, PositionType.义务仓, up.Count, exeBasePrice, false, t);
}
}
else
{
if (up.PositionType == "权利仓")//权利方
{
handler.SaveRecord(ts, up.Contract, PositionType.权利仓, up.Count, exeBasePrice, true, 0);
}
else//义务方
{
handler.SaveRecord(ts, up.Contract, PositionType.义务仓, up.Count, exeBasePrice, false, 0);
}
}
}
}
public void Sell(Trader t, PositionSummary up, int count, int blastId)
{
int total = count;
t.SetSell(up, true);
int loopcount = 0;
while (total > 0)
{
//检查持仓
var pos = t.GetPositionSummary(up.CCode, PositionType.权利仓);
if (pos == null)
{
break;
}
lock (pos.PositionType)
{
if (pos.PositionType != this.positionType.ToString())
{
break;
}
var closable = t.GetClosableCount(pos);
if (closable <= 0)
{
break;
}
if (loopcount++ > MaxLoopCount)
{
Log.Info(string.Format("平仓循环超过{0}次,结束:{1}3-2平仓操作:{2}-仓{3}-平数{4}", MaxLoopCount, up.CName,
this.positionType,
up, count));
break;
}
var cs = CreateSellOrder(t, up, total);
matcher.Handle(cs.Item1);
Log.Info(string.Format("{0}平仓操作:{1}-仓{2}-平数{3}-熔{4}-单{5}", up.CName,
this.positionType,
up.CName, count, cs.Item2, cs.Item1.ToShortString()));
BlasterOperaton bo;
bo = new BlasterOperaton
{
Id = IdService <BlasterOperaton> .Instance.NewId(),
BlasterRecordId = blastId,
OpOrderId = cs.Item1.Id,
Order = cs.Item1,
PositionId = 0,
Result = cs.Item1.State == OrderState.已成交
};
RaiseSell(bo);
if (t.GetMaintainRatio() >= 1)
{
return; //当保证率大于等于1时平仓结束
}
if (cs.Item2)
{
return;
}
else
{
total -= cs.Item1.TotalDoneCount;
}
}
}
t.SetSell(up, false);
}
/// <summary>
/// 可能的买家
/// </summary>
/// <param name="up"></param>
/// <returns></returns>
protected override IEnumerable <Order> GetPossibleMatch(PositionSummary up)
{
return(matcher.Container.GetByDir(up.CCode, TradeDirectType.买));
}
static string MakeKey(Trader t, PositionSummary p)
{
return(string.Format("{0}-{1}", t.Id, p.CCode));
}
public async Task <IEnumerable <PositionSummary> > Get()
{
var positions = await positionRepository.GetAsync();
return(positions.Select(domain => PositionSummary.FromDomain(domain)));
}
/// <summary> /// 平仓操作的交易对象 /// </summary> /// <param name="up"></param> /// <returns></returns> protected abstract IEnumerable <Order> GetPossibleMatch(PositionSummary up);
public static void SetSell(this Trader t, PositionSummary p, bool isSelling)
{
var k = MakeKey(t, p);
sellDic.Set(k, isSelling);
}
