public bool HasEnoughMoneyToPlace(Transaction tran)
{
if (tran.IsFreeOfPlaceMarginCheck())
{
return(true);
}
Account account = tran.Owner;
AccountClass.Instrument instrument = account.GetOrCreateInstrument(tran.InstrumentId);
decimal placeCheckNecessary = account.CalculatePreCheckNecessary(tran);
decimal placeCheckBalance = account.CalculatePreCheckBalance();
decimal credit = account.CalculateCredit(instrument);
decimal unclearBalance = account.CaculateUnclearBalance();
TradePolicy tradePolicy = account.Setting.TradePolicy;
MarginCheckOption marginCheckOption = tradePolicy.OpenNecessaryPolicy.MarginCheckOption;
bool isMarginEnough = true;
if (marginCheckOption == MarginCheckOption.Balance || marginCheckOption == MarginCheckOption.All)
{
decimal necessary = account.SumFund.Balance - unclearBalance - placeCheckBalance + account.Setting.ShortMargin + credit +
account.SumFund.InterestNotValued + account.SumFund.StorageNotValued + account.SumFund.TradePLNotValued;
isMarginEnough &= placeCheckNecessary <= necessary;
}
if (marginCheckOption == MarginCheckOption.Equity || marginCheckOption == MarginCheckOption.All)
{
decimal equity = account.SumFund.Equity - unclearBalance - placeCheckBalance + account.Setting.ShortMargin + credit;
isMarginEnough &= placeCheckNecessary <= equity;
}
return(isMarginEnough);
}
private MarginCheckOption GetMarginCheckOption(bool existCloseOrder, TradePolicy tradePolicy)
{
if (existCloseOrder)
{
return(tradePolicy.CloseNecessaryPolicy.MarginCheckOption);
}
else
{
return(tradePolicy.OpenNecessaryPolicy.MarginCheckOption);
}
}
internal bool HasEnoughMoneyToFill(AccountClass.Instrument instrument, bool existsCloseOrder, decimal fee, bool isNecessaryFreeOrder, decimal lastEquity, bool isForPayoff, out string errorInfo)
{
decimal riskCredit = this.CalculateCredit(instrument.Id);
decimal unclearBalance = _owner.UnclearDepositManager.Sum();
TradePolicy tradePolicy = _owner.Setting().TradePolicy(null);
MarginCheckOption marginCheckOption = this.GetMarginCheckOption(existsCloseOrder, tradePolicy);
decimal fillCheckNecessary = existsCloseOrder ? _fund.RiskRawData.NecessaryFillingCloseOrder : _fund.RiskRawData.NecessaryFillingOpenOrder;
errorInfo = string.Empty;
bool isBalanceEnough = this.CheckBalanceIsEnough(instrument.IsPhysical, marginCheckOption, unclearBalance, fillCheckNecessary, out errorInfo);
bool isEquityEnough = this.CheckEquityIsEnough(instrument.IsPhysical, marginCheckOption, unclearBalance, fillCheckNecessary, fee, isForPayoff, riskCredit, isNecessaryFreeOrder, lastEquity, out errorInfo);
Logger.Warn(this.BuildLoggerInfo(existsCloseOrder, riskCredit, unclearBalance, marginCheckOption, instrument.Id, instrument.Owner, lastEquity));
return(isBalanceEnough && isEquityEnough);
}
private static void Initialize(TradePolicy tradePolicy, DataRow dataRow)
{
tradePolicy.Id = (Guid)dataRow["ID"];
if (dataRow.Table.Columns.Contains("AlertLevel1"))
{
tradePolicy.AlertLevel1 = dataRow.GetItemValue <decimal>("AlertLevel1", 0);
}
if (dataRow.Table.Columns.Contains("AlertLevel2"))
{
tradePolicy.AlertLevel2 = dataRow.GetItemValue <decimal>("AlertLevel2", 0);
}
if (dataRow.Table.Columns.Contains("AlertLevel3"))
{
tradePolicy.AlertLevel3 = dataRow.GetItemValue <decimal>("AlertLevel3", 0);
}
}
private void CalculateNecessary(ref NecessaryAndQuantity necessaryAndQuantity, DateTime baseTime)
{
decimal netNecessary = 0, hedgeNecessary = 0;
this.CalculateNetAndHedgeNecessary(necessaryAndQuantity.buyNecessarySum, necessaryAndQuantity.sellNecessarySum, necessaryAndQuantity.buyQuantitySum, necessaryAndQuantity.sellQuantitySum,
ref necessaryAndQuantity.partialPhysicalNecessarySum, out netNecessary, out hedgeNecessary);
_riskData.NetNecessary = netNecessary;
_riskData.HedgeNecessary = hedgeNecessary;
TradePolicy tradePolicy = _owner.Owner.Setting().TradePolicy();
int decimals = Math.Min(_owner.Currency(null).Decimals, this.GetTradePolicyDetail().NecessaryRound);
_riskData.Necessary = Math.Round(netNecessary + hedgeNecessary, decimals, MidpointRounding.AwayFromZero);
this.CalculateMinEquitities(netNecessary, hedgeNecessary, baseTime, decimals);
_riskData.NecessaryFillingOpenOrder = Math.Round(tradePolicy.OpenNecessaryPolicy.Calculate(netNecessary, hedgeNecessary), decimals, MidpointRounding.AwayFromZero);
_riskData.NecessaryFillingCloseOrder = Math.Round(tradePolicy.CloseNecessaryPolicy.Calculate(netNecessary, hedgeNecessary), decimals, MidpointRounding.AwayFromZero);
_riskData.PartialPaymentPhysicalNecessary = necessaryAndQuantity.partialPhysicalNecessarySum;
}
internal bool IsFreeOfFillMarginCheck(BuySellLot oldLots, bool existsCloseOrder)
{
TradePolicy tradePolicy = this.Owner.Setting().TradePolicy();
BuySellLot newLots = this.GetBuySellLotBalance();
if (Math.Abs(newLots.NetPosition) <= Math.Abs(oldLots.NetPosition))
{
if (tradePolicy.IsFreeOverHedge)
{
return(true);
}
if ((newLots.NetPosition * oldLots.NetPosition >= 0) && (existsCloseOrder || tradePolicy.IsFreeHedge))
{
return(true);
}
}
Logger.InfoFormat("IsFreeOfFillMarginCheck, netLots = {0}, oldLots = {1}, accountId = {2}", newLots.ToString(), oldLots.ToString(), _owner.Id);
return(false);
}
internal static bool HasEnoughMoneyToPlace(this Account account, Transaction tran)
{
if (tran.IsFreeOfPlaceMarginCheck())
{
return(true);
}
AccountClass.Instrument instrument = account.GetOrCreateInstrument(tran.InstrumentId);
decimal preCheckNecessaryForBalanceCheckOption = 0;
decimal placeCheckNecessary = account.CalculatePreCheckNecessary(tran, out preCheckNecessaryForBalanceCheckOption);
decimal placeCheckBalance = account.CalculatePreCheckBalance();
decimal credit = account.CalculateCredit(instrument);
decimal unclearBalance = account.CaculateUnclearBalance();
TradePolicy tradePolicy = account.Setting().TradePolicy(null);
MarginCheckOption marginCheckOption = tradePolicy.OpenNecessaryPolicy.MarginCheckOption;
bool isMarginEnough = true;
decimal balanceRemainAmount = account.Balance - unclearBalance - placeCheckBalance + account.Setting().ShortMargin + credit;
Logger.InfoFormat("precheck placeCheckNecessary = {0}, placeCheckBalance = {1}, credit = {2}, unclearBalance = {3}, balanceRemainAmount = {4}, ShortMargin = {5} , accountId = {6}, marginCheckOption = {7}, tranId = {8}, isPhysical = {9}, equity = {10}", placeCheckNecessary,
placeCheckBalance, credit, unclearBalance, balanceRemainAmount, account.Setting().ShortMargin, account.Id, marginCheckOption, tran.Id, tran.IsPhysical, account.Equity);
if (marginCheckOption == MarginCheckOption.Balance || marginCheckOption == MarginCheckOption.All)
{
if (tran.IsPhysical)
{
isMarginEnough &= balanceRemainAmount >= 0;
}
else
{
isMarginEnough &= preCheckNecessaryForBalanceCheckOption <= balanceRemainAmount;
}
}
if (marginCheckOption == MarginCheckOption.Equity || marginCheckOption == MarginCheckOption.All)
{
decimal equity = account.Equity - unclearBalance - placeCheckBalance + account.Setting().ShortMargin + credit;
isMarginEnough &= placeCheckNecessary <= equity;
}
return(isMarginEnough);
}