internal Quotation GetQuotation(IQuotePolicyProvider provider)
{
Quotation quotation;
_bulk.TryGetQuotation(_instrument.Id, provider ?? _account, out quotation);
return(quotation);
}
public QuotePolicyDetail GetQuotePolicyDetail(IQuotePolicyProvider quotePolicyProvider, Guid instrumentId, DateTime?tradeDay = null)
{
QuotePolicyDetail result = quotePolicyProvider.Get <QuotePolicyDetail>(delegate(Guid id, out QuotePolicyDetail qpd)
{
return(_settingInfo.QuotePolicyDetails.TryGetValue(new QuotePolicyInstrumentIdPair(id, instrumentId), out qpd));
});
return(this.GetData(quotePolicyProvider, tradeDay, null, (setting, key) => setting.GetQuotePolicyDetail(key, instrumentId), result));
}
internal Quotation GetQuotation(IQuotePolicyProvider provider)
{
if (_bulk == null)
{
return(null);
}
Quotation result;
_bulk.TryGetQuotation(this.Id, provider, out result);
return(result);
}
internal Quotation GetQuotation(Guid instrumentId, IQuotePolicyProvider provider)
{
lock (_mutex)
{
Instrument instrument;
if (!_instruments.TryGetValue(instrumentId, out instrument))
{
return(null);
}
return(instrument.GetQuotation(provider));
}
}
internal bool TryGetQuotation(Guid instrumentId, IQuotePolicyProvider quotePolicyProvider, out Quotation quotation)
{
quotation = null;
QuotePolicy2QuotationDict quotations = null;
if (this.TryGetValue(instrumentId, out quotations))
{
quotation = quotePolicyProvider.Get <Quotation>(delegate(Guid id, out Quotation q)
{
return(quotations.TryGetValue(id, out q));
});
}
return(quotation != null);
}
private void PrintErrorInfo(AccountClass.Instrument instrument, DateTime tradeDay, List <TradingDailyQuotation> closeQuotations)
{
StringBuilder sb = new StringBuilder(500);
sb.AppendLine(string.Format("DoResetByClosePrice instrumentId = {0}, tradeDay = {1}", instrument.Id, tradeDay));
IQuotePolicyProvider provider = this._account;
sb.AppendLine(string.Format("account privateQuotePolicyId = {0}, publicQuotePolicyId = {1} ", provider.PrivateQuotePolicyId, provider.PublicQuotePolicyId));
sb.Append("Close quotations:");
foreach (var quotation in closeQuotations)
{
sb.AppendLine(quotation.ToString());
}
Logger.Warn(sb.ToString());
}
internal bool HasTradingQuotation(IQuotePolicyProvider provider)
{
if (_bulk == null)
{
return(false);
}
Quotation quotation;
if (_bulk.TryGetQuotation(_instrument.Id, provider, out quotation))
{
if (quotation.Timestamp >= _instrument.Setting.DayOpenTime)
{
return(true);
}
}
return(false);
}
public static T Get <T>(this IQuotePolicyProvider provider, QuotePolicyHandle <T> handler)
{
T result;
if (provider.PrivateQuotePolicyId == null)
{
handler(provider.PublicQuotePolicyId, out result);
}
else
{
if (!handler(provider.PrivateQuotePolicyId.Value, out result))
{
handler(provider.PublicQuotePolicyId, out result);
}
}
return(result);
}
public void CheckRisk(DateTime baseTime, CalculateType calculateType, IQuotePolicyProvider quotePolicyProvider = null)
{
try
{
if (this.IsFreeOfRiskCheck)
{
return;
}
this.CalculateRiskData(baseTime, calculateType, quotePolicyProvider ?? _account);
_account.AcceptChanges();
this.ExecutePendingConfirmLimitOrders(baseTime);
this.CheckAlertLevelAndCut(baseTime);
RiskChecker.Default.Add(_account.Id, baseTime);
_account.SaveAndBroadcastChanges();
}
catch (Exception ex)
{
Logger.Error(ex);
}
}
private void VerifyPrice(Order order, AppType appType)
{
Transaction tran = order.Owner;
if (!this.ShouldVerifyPrice(tran, appType))
{
return;
}
Price buy, sell, comparePrice;
DateTime priceTimestamp;
IQuotePolicyProvider quotePolicyProvider = order.Owner.SubmitorQuotePolicyProvider;
Logger.InfoFormat("quotePolicyId = {0}, accountId = {1}, submitorId = {2}, accountQuotePolicyId = {3}, customerQuotePolicyId = {4}", quotePolicyProvider.PrivateQuotePolicyId, order.AccountId, order.Owner.SubmitorId, order.Account.Setting().QuotePolicyID, order.Account.Customer.PrivateQuotePolicyId);
var quotation = tran.AccountInstrument.GetQuotation(quotePolicyProvider);
buy = quotation.BuyPrice;
sell = quotation.SellPrice;
priceTimestamp = quotation.Timestamp;
comparePrice = order.IsBuy ? sell : buy;
this.InnerVerifyPrice(order, buy, sell, comparePrice, priceTimestamp, appType);
}
internal void CalculateRiskData(DateTime baseTime, CalculateType calculateType, IQuotePolicyProvider quotePolicyProvider)
{
this.InitializeSubFunds();
this.CalculateSubFunds(baseTime, calculateType, quotePolicyProvider);
this.CalculateSumFund();
foreach (var eachFund in _funds.Values)
{
FundDataPool.Default.Add(eachFund);
}
_funds.Clear();
}
public bool IsPriceInRangeOfAutoFill(bool isBuy, Price price, Quotation quotation, IQuotePolicyProvider quotePolicyProvider)
{
var quotePolicyDetail = Settings.Setting.Default.GetQuotePolicyDetail(quotePolicyProvider, this.Id);
if (this.Setting.IsNormal ^ isBuy)
{
if (quotePolicyDetail.IsOriginHiLo)
{
return(price <= quotation.High && price >= (quotation.Low - (quotePolicyDetail.SpreadPoints - this.Setting.MaxMinAdjust)));
}
else
{
return(price <= (quotation.High - (quotePolicyDetail.SpreadPoints + this.Setting.MaxMinAdjust)) && price >= quotation.Low);
}
}
else
{
if (quotePolicyDetail.IsOriginHiLo)
{
return(price <= (quotation.High + (quotePolicyDetail.SpreadPoints - this.Setting.MaxMinAdjust)) && price >= quotation.Low);
}
else
{
return(price <= quotation.High && price >= (quotation.Low + (quotePolicyDetail.SpreadPoints + this.Setting.MaxMinAdjust)));
}
}
}
internal bool HasTradePrice(IQuotePolicyProvider provider)
{
return(this.HasTradingQuotation(provider));
}
internal bool HasTradingQuotation(IQuotePolicyProvider provider)
{
return(_quotationManager.HasTradingQuotation(provider));
}
internal Quotation GetQuotation(IQuotePolicyProvider provider = null)
{
return(_quotationManager.GetQuotation(provider));
}
internal void CalculateRiskData(DateTime baseTime, CalculateType calculateType, IQuotePolicyProvider quotePolicyProvider)
{
try
{
_riskDataCalculator.CalculateRiskData(baseTime, calculateType, quotePolicyProvider);
}
catch (TradePolicyDetailNotFountException tradePolicyDetailNotFountException)
{
Logger.ErrorFormat("instrumentId={0}, tradePolicyId={1}, accountId={2},error={3}", tradePolicyDetailNotFountException.InstrumentId, tradePolicyDetailNotFountException.TradePolicyId, _account.Id, tradePolicyDetailNotFountException);
}
catch (Exception ex)
{
Logger.Error(ex);
}
}
private void CalculateSubFunds(DateTime baseTime, CalculateType calculateType, IQuotePolicyProvider quotePolicyProvider)
{
if (_instrumentManager.Count > 0)
{
foreach (var instrument in _instrumentManager.Instruments)
{
if (instrument.GetTransactions().Count == 0)
{
continue;
}
instrument.Calculate(baseTime, calculateType, instrument.GetQuotation(quotePolicyProvider));
FundData fund = this.GetOrCreateFund(instrument.CurrencyId);
fund.Add(instrument.RiskRawData, null);
}
}
}
internal static Quotation GetLatestQuotationAndQuotePolicyId(Guid instrumentId, IQuotePolicyProvider quotePolicyProvider, out Guid?quotePolicyId)
{
return(Market.MarketManager.Default[instrumentId].GetQuotationAndQuotePolicyId(quotePolicyProvider, out quotePolicyId));
}
internal static bool HasTrdingQuotation(Guid instrumentId, IQuotePolicyProvider quotePolicyProvider)
{
return(Market.MarketManager.Default[instrumentId].HasTrdingQuotation(quotePolicyProvider));
}
