static decimal _crossrate(NinjaTrader.Cbi.Currency A, NinjaTrader.Cbi.Currency B)
{
if (ConversionRate.Count == 0)
{
FillConversionRate();
}
double d = 1.0;
ConversionRate.TryGetValue(CurrencyConversion.ISO(A) + CurrencyConversion.ISO(B), out d);
return((decimal)d);
}
public MoneyString(string input)
{
try
{
if (string.IsNullOrEmpty(input))
{
return;
}
// string is number currency
string scur = "";
string numberpart = "";
foreach (char c in input)
{
if (char.IsSymbol(c))
{
scur += c;
}
else if (char.IsLetter(c))
{
scur += c;
}
else
{
numberpart += c;
}
}
foreach (NinjaTrader.Cbi.Currency cur in Enum.GetValues(typeof(NinjaTrader.Cbi.Currency)))
{
string tmp = CurrencyConversion.ISO(cur);
if (scur.ToUpper().Contains(tmp.ToUpper()))
{
currency = cur;
break;
}
if (scur.Contains(Symbol(cur)))
{
currency = cur;
break;
}
}
amount = Convert.ToDouble(numberpart, CultureInfo.CurrentCulture);
}
catch { }
}
public static bool IsPrefix(NinjaTrader.Cbi.Currency currency)
{
if (currency == NinjaTrader.Cbi.Currency.BritishPound)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.CanadianDollar)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.SwissFranc)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.UsDollar)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.JapaneseYen)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.IsraeliShekel)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.MalaysiaRinggit)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.ChinaYuan)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.SouthAfricanRand)
{
return(true);
}
if (currency == NinjaTrader.Cbi.Currency.HongKongDollar)
{
return(true);
}
return(false);
}
public void SetBaseCurrency(NinjaTrader.Cbi.Currency currency)
{
Zweistein.NinjaTraderLog.Process("SetBaseCurrency:", "old:" + basecurrency.ToString() + " new:" + currency.ToString(), LogLevel.Information, LogCategories.Strategy);
basecurrency = currency;
decimal oldconvfactor0 = convfactor0;
decimal oldconvfactor1 = convfactor1;
convfactor0 = Zweistein.CurrencyConversion.Cube.Convert((decimal)1.0,
Zweistein.CurrencyConversion.ISO(strategybase.Instruments[0].MasterInstrument.Currency),
Zweistein.CurrencyConversion.ISO(basecurrency));
convfactor1 = Zweistein.CurrencyConversion.Cube.Convert((decimal)1.0,
Zweistein.CurrencyConversion.ISO(strategybase.Instruments[1].MasterInstrument.Currency),
Zweistein.CurrencyConversion.ISO(basecurrency));
totalprice0 *= (double)(convfactor0 / oldconvfactor0);
totalprice1 *= (double)(convfactor1 / oldconvfactor1);
}
public void setCurrency(NinjaTrader.Cbi.Currency currency)
{
basecurrency = currency;
currencySymbol = Zweistein.MoneyString.Symbol(basecurrency);
currencyIsPrefix = Zweistein.MoneyString.IsPrefix(basecurrency);
}
public static string Symbol(NinjaTrader.Cbi.Currency currency)
{
string cur = CurrencyConversion.ISO(currency);
if (cur == "EUR")
{
return("€"); // "EUR";
}
if (cur == "USD")
{
return("$"); //prefix
}
// CHF prefix
if (cur == "GBP")
{
return("£"); //prefix
}
if (cur == "JPY")
{
return("¥"); // prefix "YEN";
}
if (cur == "RUB")
{
return("₽");
}
if (cur == "ILS")
{
return("₪"); // prefix
}
if (cur == "CZK")
{
return("Kč");
}
if (cur == "DKK")
{
return("kr.");
}
if (cur == "BRL")
{
return("R$");
}
if (cur == "TWD")
{
return("NT$");
}
if (cur == "ZAR")
{
return("R"); //prefix
}
if (cur == "TRY")
{
return("₺"); //prefix
}
if (cur == "PLN")
{
return("zł");
}
//if (cur == "CNY") return "¥"; //prefix same as JPY
if (cur == "MYR")
{
return("RM"); //prefix
}
if (cur == "NOK")
{
return("kr");
}
if (cur == "INR")
{
return("₹");
}
if (cur == "HUF")
{
return("Ft");
}
return(cur);
}
public Money(decimal amount, Currency currency)
{
this.currency = currency;
this.amount = amount;
}
public void setCurrency(NinjaTrader.Cbi.Currency currency)
{
_currency = currency;
}
public SingleSpread(ref Queue <SingleSpread> transferfrom, NinjaTrader.Cbi.Currency currency)
{
int tmpunits = 0;
Zweistein.FractionString f = null;
SetBaseCurrency(currency);
List <SingleSpread> toremove = new List <SingleSpread>();
foreach (SingleSpread s in transferfrom)
{
if (s.exit[0].Order != null || s.exit[1].Order != null)
{
continue;
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Long)
{
if (s.positionX != s.lots1)
{
continue;
}
if (-1 * s.positionY != s.lots2)
{
continue;
}
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Short)
{
if (-1 * s.positionX != s.lots1)
{
continue;
}
if (s.positionY != s.lots2)
{
continue;
}
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Flat)
{
continue;
}
if (s.MarketPosition == NinjaTrader.Cbi.MarketPosition.Long)
{
tmpunits += s.NUnits;
}
if (s.MarketPosition == NinjaTrader.Cbi.MarketPosition.Short)
{
tmpunits -= s.NUnits;
}
totalprice0 += (double)Zweistein.CurrencyConversion.Cube.Convert((decimal)s.totalprice0, Zweistein.CurrencyConversion.ISO(s.BaseCurrency), Zweistein.CurrencyConversion.ISO(basecurrency));
totalprice1 += (double)Zweistein.CurrencyConversion.Cube.Convert((decimal)s.totalprice1, Zweistein.CurrencyConversion.ISO(s.BaseCurrency), Zweistein.CurrencyConversion.ISO(basecurrency));
positionX += s.positionX;
positionY += s.positionY;
if (s.units > 0)
{
int k1 = s.lots1 / s.units;
int k2 = s.lots2 / s.units;
if (f == null)
{
f = new Zweistein.FractionString(k1.ToString() + ":" + k2.ToString(), ':');
strategybase = s.strategybase;
}
}
toremove.Add(s);
}
if (f == null)
{
throw new ArgumentNullException("SingleSpread(ref Queue<SingleSpread> spreads) , spreads is empty collection");
}
if (tmpunits > 0)
{
this.mleg1 = NinjaTrader.Cbi.MarketPosition.Long;
}
else
{
if (tmpunits < 0)
{
this.mleg1 = NinjaTrader.Cbi.MarketPosition.Short;
}
}
if (tmpunits == 0)
{
throw new ArgumentNullException("SingleSpread(ref Queue<SingleSpread> spreads) , tmpunits == 0");
}
units = Math.Abs(tmpunits);
lots1 = (int)f.Nominator * units;
lots2 = (int)f.Denominator * units;
if (lots1 == 0 || lots2 == 0)
{
throw new ArgumentNullException("SingleSpread , incomplete spread defintion: lots1 or lots2 == 0");
}
foreach (SingleSpread r in toremove)
{
for (int i = 0; i < transferfrom.Count; i++)
{
SingleSpread q = transferfrom.Dequeue();
if (q == r)
{
break;
}
transferfrom.Enqueue(q);
}
}
}
