tickserver/api/lmaxapi/position.go

package lmaxapi

import "tickserver/api/lmaxapi/response"

type PositionList struct {
	mtf       *Mtf
	orderList *OrderList
	perSymbol map[int64]*response.PositionEvent
}

func NewPositionList(mtf *Mtf, orderList *OrderList) *PositionList {
	p := &PositionList{}
	p.mtf = mtf
	p.orderList = orderList
	p.perSymbol = make(map[int64]*response.PositionEvent)
	return p
}

func (this *PositionList) SetPosition(event *response.PositionEvent) {
	if event.OpenQuantity == 0 {
		this.updatePosition(event)
		this.perSymbol[event.InstrumentId] = event
		this.deleteClosed()
		return
	}
	inst := this.mtf.getInstument(event.InstrumentId)
	if inst != nil {
		event.Currency = inst.Currency
	}
	this.perSymbol[event.InstrumentId] = event
	this.updatePosition(event)
}

func (this *PositionList) GetPosition(id int64) *response.PositionEvent {
	if event, ok := this.perSymbol[id]; ok {
		tmp := *event
		return &tmp
	}
	return nil
}

func (this *PositionList) deleteClosed() (ret []*response.PositionEvent) {
	//delete closed order
	for key, position := range this.perSymbol {
		if position.OpenQuantity == 0 {
			ret = append(ret, position)
			delete(this.perSymbol, key)
		}
	}
	return
}

func (this *PositionList) GetPositions(iscopy bool) []*response.PositionEvent {
	ret := make([]*response.PositionEvent, len(this.perSymbol))
	i := 0
	for _, event := range this.perSymbol {
		if iscopy {
			tmp := *event
			ret[i] = &tmp
		} else {
			ret[i] = event
		}
		i++
	}
	return ret
}

func (this *PositionList) UpdateTick(event *TickEvent) (ret []*response.PositionEvent) {
	for _, position := range this.perSymbol {
		if position.InstrumentId == event.ob2.InstrumentId {
			this.updatePosition(position)
			if event.fetchUpdated {
				copyed := position
				if event.isCopy {
					tmp := *position
					copyed = &tmp
				}
				ret = append(ret, copyed)
			}
		}
	}
	return
}

func (this *PositionList) UpdateRate(event *RateEvent) (ret []*response.PositionEvent) {
	for _, position := range this.perSymbol {
		if position.Currency == event.erate.From {
			this.updatePosition(position)
			if event.fetchUpdated {
				copyed := position
				if event.isCopy {
					tmp := *position
					copyed = &tmp
				}
				ret = append(ret, copyed)
			}
		}
	}
	return
}

//order 更新了以后，更新position的基本信息
func (this *PositionList) updateByOrder(instrumentId int64) *response.PositionEvent {
	orders, ok := this.orderList.perSymbol[instrumentId]
	if !ok || len(orders) == 0 {
		delete(this.perSymbol, instrumentId)
		return nil
	}
	position, ok := this.perSymbol[instrumentId]
	if !ok {
		position = &response.PositionEvent{}
		position.AccountId = orders[0].AccountId
		position.InstrumentId = orders[0].InstrumentId
		position.Valuation = 0
		position.CumulativeCost = 0
		this.perSymbol[instrumentId] = position
	}
	//开始计算4个值
	position.OpenQuantity = 0
	position.OpenCost = 0
	position.LongUnfilledCost = 0
	position.ShortUnfilledCost = 0
	position.LongUnfilledQuantity = 0
	position.ShortUnfilledQuantity = 0
	for i := 0; i < len(orders); i++ {
		position.OpenQuantity += orders[i].OpenQuantity
		position.OpenCost += orders[i].OpenCost
		dt := orders[i].Quantity - orders[i].FilledQuantity - orders[i].CancelledQuantity
		if orders[i].Quantity > 0 {
			position.LongUnfilledQuantity += dt
			position.LongUnfilledCost = dt * orders[i].LimitPrice
		} else {
			position.ShortUnfilledQuantity += dt
			position.ShortUnfilledCost += dt * orders[i].LimitPrice
		}
	}
	this.updatePosition(position)
	return position
}

func (this *PositionList) updatePosition(position *response.PositionEvent) error {
	instrument, exchangeRate, priceEvent, err := this.mtf.getInstrumentInfo(position.InstrumentId)
	if err != nil {
		return err
	}
	position.ExchangeRate = exchangeRate
	position.CurPrice = getPrice(position.OpenQuantity, priceEvent)
	if position.OpenQuantity == 0 {
		position.Margin = 0
		position.Profit = 0
		return nil
	}
	position.OpenPrice = position.OpenCost / (position.OpenQuantity * instrument.ContractSize)
	//margin
	margin := position.CurPrice * instrument.ContractSize * position.OpenQuantity * instrument.MarginRate
	if margin < 0 {
		margin = -margin
	}
	buy, sell := this.orderList.workingOrderMargin(position.InstrumentId)
	if position.OpenQuantity > 0 {
		buy += margin
	} else {
		sell += margin
	}
	if buy > sell {
		position.Margin = buy
	} else {
		position.Margin = sell
	}
	//计算整体的保证金
	//profit
	profit := (position.CurPrice - position.OpenPrice) * instrument.ContractSize * position.OpenQuantity
	position.Profit = profit
	return nil
}