private static Tuple <Price, Price> ParseBuyAnSellPrice(this Protocal.TransactionBookData tranData)
{
Price buy = null;
Price sell = null;
foreach (var eachOrder in tranData.Orders)
{
if (eachOrder.IsBuy)
{
if (buy == null)
{
buy = eachOrder.ExecutePrice.CreatePrice(tranData.InstrumentId, null);
}
}
else
{
if (sell == null)
{
sell = eachOrder.ExecutePrice.CreatePrice(tranData.InstrumentId, null);
}
}
}
if (buy == null)
{
buy = sell;
}
if (sell == null)
{
sell = buy;
}
return(Tuple.Create(buy, sell));
}
private static bool ExecuteBookTran(this Account account, Transaction tran, Protocal.TransactionBookData tranData)
{
var orderPriceInfos = tranData.CreateOrderPriceInfo(tran);
ExecuteContext context = new ExecuteContext(account.Id, tran.Id, null, true, tranData.CheckMargin, ExecuteStatus.Filled, orderPriceInfos)
{
BookInfo = new BookInfo(tranData.ExecuteTime, tranData.TradeDay, tranData.CheckMargin)
};
return(TransactionExecutor.Default.Execute(context));
}
private static List <OrderPriceInfo> CreateOrderPriceInfo(this Protocal.TransactionBookData tranData, Transaction tran)
{
var buySellPrice = tranData.ParseBuyAnSellPrice();
Price buyPrice = buySellPrice.Item1;
Price sellPrice = buySellPrice.Item2;
List <OrderPriceInfo> result = new List <OrderPriceInfo>();
foreach (var eachOrder in tran.Orders)
{
result.Add(new OrderPriceInfo(eachOrder.Id, buyPrice, sellPrice));
}
return(result);
}
internal static bool Book(this Account account, Token token, Protocal.TransactionBookData tranData)
{
bool useCurrentSetting;
Settings.Instrument instrument = Settings.Setting.Default.GetInstrument(tranData.InstrumentId);
TransactionError error = account.BookForPhysicalTran(tranData, out useCurrentSetting);
if (error != TransactionError.OK)
{
throw new TransactionServerException(error);
}
if (!useCurrentSetting)
{
ResetManager.Default.LoadHistorySetting(tranData.TradeDay, "Book");
}
var settingAccount = Settings.Setting.Default.GetAccount(account.Id, tranData.TradeDay);
if (settingAccount == null || tranData.ExecuteTime < settingAccount.BeginTime)
{
throw new TransactionServerException(TransactionError.AccountIsNotTrading);
}
if (token.AppType == AppType.PhysicalTerminal && instrument.Category == InstrumentCategory.Physical)
{
if (!tranData.TryFillExecutePrice(instrument, account))
{
Logger.Error("TransactionServer.Book Can't get live price to book \r\n");
throw new TransactionServerException(TransactionError.InvalidPrice);
}
}
Transaction tran = Periphery.TransactionBLL.TransactionFacade.CreateBookTran(instrument.Category, account, tranData);
TransactionPlacer.Default.Verify(account, tran, false, tranData.AppType, PlaceContext.Empty);
if (tranData.CheckMargin && !account.HasEnoughMoneyToPlace(tran))
{
throw new TransactionServerException(TransactionError.MarginIsNotEnough);
}
if (account.ExecuteBookTran(tran, tranData))
{
if (tran.IsPhysical)
{
UpdatePhysicalRequestStatus(tran);
}
return(true);
}
return(false);
}
private static bool MayCoexistBuySellOrders(this Account account, Protocal.TransactionBookData tranData, out bool isDeposit)
{
Protocal.Physical.PhysicalOrderBookData orderData = (Protocal.Physical.PhysicalOrderBookData)tranData.Orders[0];
decimal lot = orderData.Lot;
bool isBuy = orderData.IsBuy;
bool isOpen = orderData.IsOpen;
DateTime executeTime = tranData.ExecuteTime;
isDeposit = orderData.PhysicalTradeSide == PhysicalTradeSide.Deposit;
if (isOpen)
{
return(false);
}
decimal oppositeSumLotBeforeExecuteTime = 0, oppositeSumLotAfterExecuteTime = 0;
foreach (Transaction eachTran in account.Transactions)
{
if (eachTran.InstrumentId != tranData.InstrumentId)
{
continue;
}
foreach (Order eachOrder in eachTran.Orders)
{
if (eachOrder.Phase == OrderPhase.Executed && eachOrder.LotBalance > 0 && eachOrder.IsBuy != isBuy)
{
if (eachTran.ExecuteTime < executeTime)
{
oppositeSumLotBeforeExecuteTime += eachOrder.LotBalance;
}
else
{
oppositeSumLotAfterExecuteTime += eachOrder.LotBalance;
}
}
}
}
Logger.InfoFormat("lot = {0}, oppositeSumLotBeforeExecuteTime = {1}, oppositeSumLotAfterExecuteTime = {2}, executeTime = {3}, instrumentId = {4}, accountId = {5}, isBuy = {6}", lot, oppositeSumLotBeforeExecuteTime, oppositeSumLotAfterExecuteTime, executeTime, tranData.InstrumentId, account.Id, isBuy);
return(lot > oppositeSumLotBeforeExecuteTime && oppositeSumLotAfterExecuteTime > 0);
}
private static TransactionError BookForPhysicalTran(this Account account, Protocal.TransactionBookData tranData, out bool useCurrentSetting)
{
useCurrentSetting = false;
var instrument = account.GetOrCreateInstrument(tranData.InstrumentId);
if (instrument.IsPhysical)
{
bool isDeposit;
if (account.MayCoexistBuySellOrders(tranData, out isDeposit))
{
if (isDeposit)
{
tranData.ExecuteTime = DateTime.Now;
useCurrentSetting = true;
}
else
{
return(TransactionError.BuySellCoExistNotAllow);
}
}
}
return(TransactionError.OK);
}
private static bool TryFillExecutePrice(this Protocal.TransactionBookData bookData, Settings.Instrument instrument, Account account)
{
foreach (OrderBookData eachOrderBookData in bookData.Orders)
{
PhysicalOrderBookData eachPhysicalOrderBookData = (PhysicalOrderBookData)eachOrderBookData;
if (eachPhysicalOrderBookData.PhysicalTradeSide == PhysicalTradeSide.Deposit || eachPhysicalOrderBookData.PhysicalTradeSide == PhysicalTradeSide.Delivery)
{
if (eachOrderBookData.ExecutePrice != null)
{
continue;
}
string executePrice = null;
if (eachPhysicalOrderBookData.PhysicalTradeSide == PhysicalTradeSide.Deposit)
{
executePrice = instrument.DepositPrice;
}
else if (eachPhysicalOrderBookData.PhysicalTradeSide == PhysicalTradeSide.Delivery)
{
Guid physicalRequestId = eachPhysicalOrderBookData.PhysicalRequestId.Value;
DeliveryRequest deliveryRequest = null;
if (DeliveryRequestManager.Default.TryGet(physicalRequestId, out deliveryRequest))
{
executePrice = deliveryRequest.Ask;
}
}
if (string.IsNullOrEmpty(executePrice))
{
return(false);
}
eachPhysicalOrderBookData.ExecutePrice = executePrice;
}
}
return(true);
}