public SweepUnit_OE(
POrder goalOrder,
Account accountFO,
Account accountSpot,
OptionTribe ot,
ISweeper parent,
Boolean bConservativeOptionPolicyOn,
int muteSec)
{
ID = SweepUnitIDManager.NextID++;
_parent = parent;
GoalOrder = goalOrder;
RealOrders = new List<POrder>();
_ot = ot;
_mute = new Timer(muteSec, ""); // 2초
_candidateCodes = ElwOptionUtil.GetSameCandidateCodes(goalOrder.Code);
_accountSpot = accountSpot;
_accountFO = accountFO;
_bConservativeOptionPolicyOn = bConservativeOptionPolicyOn;
if (!RequestInitOrder())
{
GoalOrder.Free();
}
_State = State._1_MuteFewSecs;
ShowState();
}
ElwArbSweepUnit EnterPosition_Raw(
ElwInfo elwInfo,
String elwCode,
TradingDirection elwLS,
long elwEnterCount,
double elwPrice,
RawMarketData rmdElw,
TradingDirection optionLS,
long optionEnterCount,
double optionPrice,
RawMarketData rmdOption)
{
POrder optionOrder = null;
POrder elwOrder = null;
try
{
{
// ELW Long
// 우선 ELW Long을 진행하도록 한다.
Detail.ProductType pt = ProductUtil.Ins().GetProductType(elwCode);
if (pt != Detail.ProductType.ELW)
{
logger.Error(
"CRITICAL ERROR!!! 엄청 무서운 일이 벌어졌다. ELW가 아닌 {0} 종목이 {1} 가격에 {2} 개 사려고 했다.",
elwCode,
elwPrice,
elwEnterCount);
Util.KillWithNotice("error");
_bFinish = true;
return null;
}
else
{
// ELW 롱
elwOrder = new POrder(elwLS, elwCode, elwEnterCount, elwPrice, _elwAccount, rmdElw);
elwOrder.AddComment("EAE.EnterPosition_Raw.elwOrder");
elwOrder.Free();
if (!POrderLegalManager.Ins().IsLegalOrder(elwOrder, false))
{
return null;
}
}
}
{
// 옵션 숏
// 그럴리 없겠지만 무서우니까 최종적으로 확인을 한번 더 해보자.
Detail.ProductType pt = ProductUtil.Ins().GetProductType(_KospiOptionInfo.Code);
if (pt != Detail.ProductType.CallOption && pt != Detail.ProductType.PutOption)
{
logger.Error(
"CRITICAL ERROR!!! 엄청 무서운 일이 벌어졌다. 옵션도 아닌 {0} 종목이 {1} 가격에 {2} 개 사려고 했다.",
_KospiOptionInfo.Code,
optionPrice,
optionEnterCount);
Util.KillWithNotice("CRITICAL ERROR!!!");
_bFinish = true;
return null;
}
else
{
optionOrder = new POrder(optionLS, _KospiOptionInfo.Code, optionEnterCount, optionPrice, _optionAccount, rmdOption);
optionOrder.AddComment("EAE.EnterPosition_Raw.optionOrder");
optionOrder.Free();
if (!POrderLegalManager.Ins().IsLegalOrder(optionOrder, false))
{
return null;
}
}
}
if (optionOrder != null && elwOrder != null)
{
ElwArbSweepUnit eos = new ElwArbSweepUnit(
_KospiOptionInfo,
elwInfo,
_optionAccount,
optionOrder,
_elwAccount,
elwOrder,
_parent,
MonitoringEndDate);
return eos;
}
else
{
logger.Error("Unexpected");
Util.KillWithNotice("Unexpected");
}
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return null;
}
public ElwArbSweepUnit(
KospiOptionInfo koi,
ElwInfo elwInfo,
Account optionAccount,
POrder optionOrder,
Account elwAccount,
POrder elwOrder,
STR_ElwArb parent,
DateTime dtEnd)
{
try
{
KOI = koi;
CurID = ++ID_GENERATOR;
OptionAccount = optionAccount;
OptionOrderGoal = optionOrder;
OptionOrderGoal.AddComment("EOS Constructor");
ElwAccount = elwAccount;
ElwOrderGoal = elwOrder;
ElwOrderGoal.AddComment("EOS Constructor");
_elwInfo = elwInfo;
OptionOrdersReal = new List<POrder>();
ElwOrdersReal = new List<POrder>();
_state = State._1_MuteFewSecs;
Key = String.Format("{0};{1}", OptionOrderGoal.Code, ElwOrderGoal.Code);
ShowState();
_mute = new Timer(ENTER_POSITION_MUTE, "");
RequestInitOrder(ElwOrderGoal, ElwOrdersReal);
_parent = parent;
_parent.IncreaseEnteredArbCount(KOI.Code, OptionOrderGoal.ReqCount);
_dtEnd = dtEnd;
IsBodySweepQuickly = false;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
finally
{
ElwAccount.DiffFastExactPossibleShortCount(ElwOrderGoal.Code, "ElwOptionSweeper 생성자");
OptionOrderGoal.Free();
optionOrder.Free();
ElwOrderGoal.Free();
elwOrder.Free();
}
}
public void SyncWithMaxCompletePercent(double maxCompletePercent)
{
if (_State != State._1_MuteFewSecsForInitOrders)
{
return;
}
Trace.Assert(maxCompletePercent >= 0 && maxCompletePercent <= 100);
double diffPercent = maxCompletePercent - GetPercent_AttemptOfTarget();
if (diffPercent <= 0)
{
// 이미 max complete percent보다 많이 시도한 상태이다.
return;
}
long attempCount = POrderUtil.GetSignedMaxPossibleExposureCount(this.RealOrders);
Trace.Assert(attempCount * this.CurSignedTargetCount >= 0);
long newEnterAttemptCount = (long)((maxCompletePercent * this.CurSignedTargetCount) / 100) - attempCount;
if (newEnterAttemptCount == 0)
{
return;
}
Trace.Assert(newEnterAttemptCount * this.CurSignedTargetCount >= 0);
// newEnterAttempCount만큼 매매를 한다.
if (this.RealOrders.Count >= 4)
{
// 4개 이상 내는 것은 이상하다.
logger.Warn(String.Format("RealOrders.Count >= 4"));
return;
}
LongShortCount lsc = new LongShortCount(newEnterAttemptCount);
RawMarketData rmdClone = RmdManager.Ins().GetDataClone(this.Code);
POrder o = new POrder(lsc.LongShort, this.Code, (long)lsc.Count, this.InitEnterPrice, this.AccountFO, rmdClone);
o.AddComment("SweepUnit_FO.SyncWithMaxCompletePErcent");
if (o.ReqCount > 0)
{
RequestOrder_Raw(o, RealOrders);
}
else
{
o.Free();
}
}
Boolean MakeOrder_Raw(RawMarketData rmd, long remainCount100k, Dictionary<String, long> blocksLB, ref List<POrder> newOrders, ref String log)
{
if (remainCount100k == 0)
{
log += "remainCount100k == 0";
return true;
}
long signedRealCount = ElwOptionUtil.Convert100KToRealCount(rmd.Code, remainCount100k);
if (signedRealCount == 0 || remainCount100k - ElwOptionUtil.ConvertRealToCount100k(rmd.Code, signedRealCount) != 0)
{
log += String.Format("signRealCount({0}) remainCount100k({1}) code({2})|", signedRealCount, remainCount100k, rmd.Code);
return false;
}
long reqCount = Math.Abs(signedRealCount);
TradingDirection ls = TradingDirection.Long;
if (signedRealCount < 0)
{
ls = TradingDirection.Short;
if (!blocksLB.ContainsKey(rmd.Code))
{
log += String.Format("[22], {0}|", rmd.Code);
return false;
}
if (blocksLB[rmd.Code] < Math.Abs(signedRealCount))
{
log += String.Format("[23] BlockLB[{2}]({0}) < signedRealCount({1})", blocksLB[rmd.Code], signedRealCount, rmd.Code);
return false;
}
reqCount = Math.Abs(signedRealCount);
long tmp = ProductUtil.Ins().RoundProductCount(Math.Abs(reqCount), rmd.DPT);
if (tmp != reqCount)
{
logger.Error("tmp({0}) != reqCount({1}) in MakeOrder_Raw", tmp, reqCount);
Util.KillWithNotice("tmp != reqCount in MakeOrder_Raw");
}
}
Account account = _accountFO;
if (rmd.DPT == Detail.ProductType.ELW || rmd.DPT == Detail.ProductType.Stock)
{
account = _accountSpot;
}
double price = ProductUtil.Ins().GetMidPrice(rmd);
price = AdjustPrice(ls, rmd, price);
POrder o = new POrder(ls, rmd.Code, reqCount, price, account, rmd);
o.AddComment("SweepUnit_OE.MakeOrder_Raw");
log += String.Format("[23], {0}|", o.ToString());
if (o.ReqCount > 0)
{
// 여기서 Reserve하고 법적 문제가 있는지 확인한다.
o.SetAsLegalPrice();
o.ConvertOverPriceToInRMDPriceIfNotZero();
log += String.Format("[24], {0}|", o.ToString());
newOrders.Add(o);
}
else
{
o.Free();
log += String.Format("[24], ReqCount <= 0");
return false;
}
long ret = remainCount100k - ElwOptionUtil.ConvertRealToCount100k(rmd.Code, signedRealCount);
if (ret != 0)
{
logger.Error(
"CRITICAL ERROR!!! in MakeOrder_Raw ret != 0 ret({0}), remainCount100k({1}), signedRealCount({2}), Code({3})",
ret,
remainCount100k,
signedRealCount,
rmd.Code);
Util.KillWithNotice("CRITICAL ERROR!!! in MakeOrder_Raw");
return false;
}
return true;
}
public void SyncWithTargetOptionExposure(long targetOptionExposure)
{
try
{
if (_State != State._1_MuteFewSecs)
{
return;
}
double multipliedTargetOptionExposure = Math.Abs(targetOptionExposure) * _multiplier;
double exposure = GetPossibleOptionExposure();
double remainTargetOption = multipliedTargetOptionExposure - exposure;
long remainTargetOptionCount = (long)remainTargetOption;
logger.Info(
"[key({3}) SyncWithTOE] {0:n} + {1:n} = {2:n}",
multipliedTargetOptionExposure,
exposure,
remainTargetOption,
ID);
if ((remainTargetOption > 0 && GoalOrder.LongShort == TradingDirection.Long) ||
(remainTargetOption < 0 && GoalOrder.LongShort == TradingDirection.Short))
{
long reqCount = ElwOptionUtil.ConvertFOCountToReal(GoalOrder.Code, Math.Abs(remainTargetOptionCount));
if (reqCount > GoalOrder.ReqCount)
{
logger.Error("ReqCount({0:n}) > GoalCount({1:n})", reqCount, GoalOrder.ReqCount);
Util.KillWithNotice("ReqCount > GoalCount");
return;
}
if (RealOrders.Count >= 4)
{
// 4개 이상 내는 것은 이상하다.
logger.Warn(String.Format("RealOrders.Count >= 4"));
return;
}
POrder o = new POrder(
GoalOrder.LongShort,
GoalOrder.Code,
reqCount,
GoalOrder.ReqPrice,
GoalOrder.TargetAccount,
GoalOrder.RMDClone);
o.AddComment("SweepUnit_OE.SyncWithTargetOptionExposure");
if (o.ReqCount > 0)
{
RequestOrder_Raw(o, RealOrders);
}
else
{
o.Free();
}
}
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
}
