/// <summary>
/// 装载所有的交易费用数据
/// </summary>
/// <returns></returns>
public List <AccountFeeInfo> LoadAllAccountFee()
{
List <AccountFeeInfo> feeInfos = new List <AccountFeeInfo>();
string[] contents = File.ReadAllLines(path);
for (int i = 0; i < contents.Length; i++)
{
AccountFeeInfo feeinfo = LoadAccountFeeInfo(contents[i]);
feeInfos.Add(feeinfo);
}
return(feeInfos);
}
private AccountFeeInfo LoadAccountFeeInfo(string content)
{
string[] arr = content.Split(',');
AccountFeeInfo feeInfo = new AccountFeeInfo();
feeInfo.Code = arr[0];
feeInfo.VolumeMultiple = int.Parse(arr[1]);
feeInfo.MarginRatio = double.Parse(arr[2]);
feeInfo.CommissionCharge = double.Parse(arr[3]);
feeInfo.FeeCalcType = (CommissionChargeCalcType)Enum.Parse(typeof(CommissionChargeCalcType), arr[4]);
return(feeInfo);
}
public static double CalcMoney_Close(OrderInfo order, AccountFeeInfo accountFee, int mount)
{
if (accountFee.FeeCalcType == CommissionChargeCalcType.Fix)
{
return((order.Price - accountFee.CommissionCharge) * accountFee.VolumeMultiple / accountFee.MarginRatio * mount);
}
else if (accountFee.FeeCalcType == CommissionChargeCalcType.Percent)
{
return((order.Price * accountFee.VolumeMultiple / accountFee.MarginRatio) * mount * (1 - accountFee.CommissionCharge));
}
return(0);
}
public AccountFee(List <AccountFeeInfo> fees)
{
for (int i = 0; i < fees.Count; i++)
{
AccountFeeInfo fee = fees[i];
if (StringUtils.IsEmpty(fee.Code))
{
continue;
}
if (dic_Code_Fee.ContainsKey(fee.Code))
{
continue;
}
dic_Code_Fee.Add(fee.Code, fee);
}
}
// [TestMethod]
public void PrintAccountFee()
{
AccountFeeInfo feeInfo1 = new AccountFeeInfo("m1705", 1, 1, 0, CommissionChargeCalcType.Fix);
AccountFeeInfo feeInfo2 = new AccountFeeInfo("m1709", 5, 5, 3, CommissionChargeCalcType.Fix);
AccountFeeInfo feeInfo3 = new AccountFeeInfo("m1701", 5, 5, 3, CommissionChargeCalcType.Fix);
AccountFeeInfo feeInfo4 = new AccountFeeInfo("m1707", 10, 5, 0.0001, CommissionChargeCalcType.Percent);
AccountFeeInfo feeInfo5 = new AccountFeeInfo("m1703", 10, 10, 0.0001, CommissionChargeCalcType.Percent);
List <AccountFeeInfo> feeInfos = new List <AccountFeeInfo>();
feeInfos.Add(feeInfo1);
feeInfos.Add(feeInfo2);
feeInfos.Add(feeInfo3);
feeInfos.Add(feeInfo4);
feeInfos.Add(feeInfo5);
AssertUtils.PrintLineList(feeInfos);
}
private void ClosePosition(OrderInfo order, int mount)
{
string code = order.Instrumentid;
if (order.Direction == OrderSide.Buy)
{
if (position_Code_Long.ContainsKey(code))
{
PositionInfo currentPosition = position_Code_Long[code];
int totalPosition = currentPosition.Position - mount;
if (totalPosition == 0)
{
RemovePosition(currentPosition);
}
else
{
double avgPrice = (currentPosition.Position * currentPosition.PositionCost - order.Price * mount) / totalPosition;
currentPosition.Position = totalPosition;
currentPosition.PositionCost = avgPrice;
}
}
}
else
{
if (position_Code_Short.ContainsKey(code))
{
PositionInfo currentPosition = position_Code_Short[code];
int totalPosition = currentPosition.Position - mount;
if (totalPosition == 0)
{
RemovePosition(currentPosition);
}
else
{
double avgPrice = (currentPosition.Position * currentPosition.PositionCost - order.Price * mount) / totalPosition;
currentPosition.Position = totalPosition;
currentPosition.PositionCost = avgPrice;
}
}
}
AccountFeeInfo feeInfo = accountFee.GetAccountFee(code);
this.money += AccountFee.CalcMoney_Close(order, feeInfo, mount);
}
private void OpenPosition(OrderInfo order, int mount)
{
string code = order.Instrumentid;
if (order.Direction == OrderSide.Buy)
{
if (position_Code_Long.ContainsKey(code))
{
PositionInfo currentPosition = position_Code_Long[code];
int totalPosition = currentPosition.Position + mount;
double avgPrice = (currentPosition.Position * currentPosition.PositionCost + order.Price * mount) / totalPosition;
currentPosition.Position = totalPosition;
currentPosition.PositionCost = avgPrice;
}
else
{
PositionInfo position = new PositionInfo(code, PositionSide.Long, mount, order.Price);
AddPosition(position);
}
}
else
{
if (position_Code_Short.ContainsKey(code))
{
PositionInfo currentPosition = position_Code_Short[code];
int totalPosition = currentPosition.Position + mount;
double avgPrice = (currentPosition.Position * currentPosition.PositionCost + order.Price * mount) / totalPosition;
currentPosition.Position = totalPosition;
currentPosition.PositionCost = avgPrice;
}
else
{
PositionInfo position = new PositionInfo(code, PositionSide.Short, mount, order.Price);
AddPosition(position);
}
}
AccountFeeInfo feeInfo = accountFee.GetAccountFee(code);
this.money -= AccountFee.CalcMoney_Open(order, feeInfo, mount);
}
