/// <summary>
/// 计算冻结手续费。
/// </summary>
/// <param name="orderBook"></param>
/// <returns></returns>
private decimal CalcOrderFronzonFee(OrderBookCalcItem orderBook)
{
if (orderBook.IsFinish)
{
return(0m);
}
;
if (orderBook.OffsetType != USeOffsetType.Open)
{
return(0m);
}
int volumeMultiple = orderBook.InstrumentDetail.VolumeMultiple;
USeFee productFee = orderBook.FeeRate;
decimal frozonFee = 0m;
if (orderBook.OrderSide == USeOrderSide.Buy)
{
frozonFee += ((orderBook.OrderQty - orderBook.TradeQty) * productFee.OpenRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productFee.OpenRatioByMoney);
}
else if (orderBook.OrderSide == USeOrderSide.Sell)
{
frozonFee += ((orderBook.OrderQty - orderBook.TradeQty) * productFee.OpenRatioByVolume) +
(orderBook.OrderPrice * (orderBook.OrderQty - orderBook.TradeQty) * volumeMultiple * productFee.OpenRatioByMoney);
}
else
{
Debug.Assert(false);
}
return(frozonFee);
}
private decimal InternalCalculateFee(USeInstrument instrument, USeOffsetType offsetType, int qty, decimal price)
{
USeFee fee = InternalGetFee(instrument);
if (fee == null)
{
return(0m);
}
int volumeMultiple = InternalGetVolumeMultiple(instrument);
switch (offsetType)
{
case USeOffsetType.Open: return(fee.OpenRatioByMoney * qty * price * volumeMultiple + fee.OpenRatioByVolume * qty);
case USeOffsetType.CloseHistory:
case USeOffsetType.Close: return(fee.CloseRatioByMoney * qty * price * volumeMultiple + fee.CloseRatioByVolume * qty);
case USeOffsetType.CloseToday: return(fee.CloseTodayRatioByMoney * qty * price * volumeMultiple + fee.CloseTodayRatioByVolume * qty);
default:
Debug.Assert(false);
return(0m);
}
}
/// <summary>
/// 克隆USeFee对象。
/// </summary>
/// <returns></returns>
public USeFee Clone()
{
USeFee fee = new USeFee();
fee.Instrument = this.Instrument == null? null: this.Instrument.Clone();
fee.OpenRatioByMoney = this.OpenRatioByMoney;
fee.OpenRatioByVolume = this.OpenRatioByVolume;
fee.CloseRatioByMoney = this.CloseRatioByMoney;
fee.CloseRatioByVolume = this.CloseRatioByVolume;
fee.CloseTodayRatioByMoney = this.CloseTodayRatioByMoney;
fee.CloseTodayRatioByVolume = this.CloseTodayRatioByVolume;
fee.StrikeRatioByMoney = this.StrikeRatioByMoney;
fee.StrikeRatioByVolume = this.StrikeRatioByVolume;
return(fee);
}
/// <summary>
/// 查询合约手续费。
/// </summary>
/// <param name="instrument">合约。</param>
/// <returns></returns>
public override USeFee QueryInstrumentFee(USeInstrument instrument)
{
USeFee fee = new USeFee()
{
Instrument = instrument.Clone(),
OpenRatioByMoney = 0.00005m,
OpenRatioByVolume = 0m,
CloseRatioByMoney = 0.00005m,
CloseRatioByVolume = 0m,
CloseTodayRatioByMoney = 0.00005m,
CloseTodayRatioByVolume = 0m,
StrikeRatioByMoney = 0.00005m,
StrikeRatioByVolume = 0m
};
return(fee);
}
/// <summary>
/// 查询委托回报。
/// </summary>
/// <returns></returns>
private List <OrderBookCalcItem> QueryOrderBooks()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
List <USeOrderBook> orderBookList = orderDriver.QueryOrderBooks();
List <OrderBookCalcItem> list = new List <OrderBookCalcItem>();
if (orderBookList == null)
{
return(list);
}
foreach (USeOrderBook orderBookItem in orderBookList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(orderBookItem.Instrument);
USeMargin productMargin = orderDriver.QueryInstrumentMargin(orderBookItem.Instrument);
USeFee productFee = orderDriver.QueryInstrumentFee(orderBookItem.Instrument);
OrderBookCalcItem calcItem = new OrderBookCalcItem()
{
InstrumentDetail = detail,
MarginRate = productMargin,
FeeRate = productFee,
OrderNum = orderBookItem.OrderNum,
Account = orderBookItem.Account,
Instrument = orderBookItem.Instrument,
OrderQty = orderBookItem.OrderQty,
OrderPrice = orderBookItem.OrderPrice,
TradeQty = orderBookItem.TradeQty,
TradeAmount = orderBookItem.TradeAmount,
TradePrice = orderBookItem.TradePrice,
TradeFee = orderBookItem.TradeFee,
OrderStatus = orderBookItem.OrderStatus,
CancelQty = orderBookItem.CancelQty,
OrderSide = orderBookItem.OrderSide,
OffsetType = orderBookItem.OffsetType,
Memo = orderBookItem.Memo,
OrderTime = orderBookItem.OrderTime
};
list.Add(calcItem);
}
return(list);
}
/// <summary>
/// CTP InstrumentCommissionRateField To USeFee。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeFee CtpInstrumentCommissionRateFieldToUSeFeeInfo(InstrumentCommissionRateField filed)
{
USeFee fee = new USeFee();
try
{
fee.OpenRatioByMoney = filed.OpenRatioByMoney == double.MaxValue ? 0m : Convert.ToDecimal(filed.OpenRatioByMoney);
fee.CloseRatioByMoney = filed.CloseRatioByMoney == double.MaxValue ? 0m : Convert.ToDecimal(filed.CloseRatioByMoney);
fee.CloseTodayRatioByMoney = filed.CloseTodayRatioByMoney == double.MaxValue ? 0m : Convert.ToDecimal(filed.CloseTodayRatioByMoney);
fee.OpenRatioByVolume = filed.OpenRatioByVolume == double.MaxValue ? 0m : Convert.ToDecimal(filed.OpenRatioByVolume);
fee.CloseRatioByVolume = filed.CloseRatioByVolume == double.MaxValue ? 0m : Convert.ToDecimal(filed.CloseRatioByVolume);
fee.CloseTodayRatioByVolume = filed.CloseTodayRatioByVolume == double.MaxValue ? 0m : Convert.ToDecimal(filed.CloseTodayRatioByVolume);
}
catch (Exception ex)
{
Debug.Assert(false, "CtpInstrumentCommissionRateFieldToUSeFeeInfo() convet failed," + ex.Message);
}
return(fee);
}
/// <summary>
/// 查询合约手续费。
/// </summary>
/// <param name="instrument">合约。</param>
/// <returns></returns>
public override USeFee QueryInstrumentFee(USeInstrument instrument)
{
if (m_dataBuffer.ExistInstrument(instrument.InstrumentCode) == false)
{
throw new Exception(string.Format("Unsupport instrument[{0}]", instrument));
}
USeFee fee = m_dataBuffer.GetFee(instrument);
if (fee != null)
{
return(fee);
}
else
{
m_queryTimer.Change(Timeout.Infinite, Timeout.Infinite); // 先暂停自动查询
try
{
int index = 3;
while (index > 0)
{
index--;
try
{
InstrumentCommissionRateField field = QueryCommissionRateFieldFromCtp(instrument.InstrumentCode);
m_dataBuffer.UpdateInstrumentFee(field, instrument.InstrumentCode);
List <USeTradeBook> tradeBookList = m_dataBuffer.GetTradeBook(instrument);
List <USeOrderBook> orderBookList = m_dataBuffer.GetCheckedOrderBook(instrument);
if (tradeBookList != null && tradeBookList.Count > 0)
{
foreach (USeTradeBook tradeBook in tradeBookList)
{
FireTradeBookChanged(tradeBook, false);
}
}
if (orderBookList != null && orderBookList.Count > 0)
{
foreach (USeOrderBook orderBook in orderBookList)
{
FireOrderBookChanged(orderBook);
}
}
fee = m_dataBuffer.GetFee(instrument);
Debug.Assert(fee != null, "QueryInstrumentFee(),fee is null");
return(fee);
}
catch (Exception ex)
{
m_logger.WriteError(string.Format("{0}.QueryInstrumentFee() failed,Error:{1}.", ToString(), ex.Message));
}
Thread.Sleep(1000);
}
Debug.Assert(false, "QueryInstrumentFee(),fee is null");
// 如果还查不到则抛出异常
throw new Exception(string.Format("Query instrument[{0}] fee failed", instrument));
}
catch (Exception ex)
{
throw ex;
}
finally
{
m_queryTimer.Change(1000, Timeout.Infinite); // 启动自动查询
}
}
}
