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111 lines
3.4 KiB
C++
111 lines
3.4 KiB
C++
/*
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* FundsRecord.h
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*
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* Created on: 2013-5-2
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* Author: fasiondog
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*/
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#pragma once
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#ifndef FUNDSRECORD_H_
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#define FUNDSRECORD_H_
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#include "../DataType.h"
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#include "../config.h"
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namespace hku {
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/**
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* 当前资产情况记录，由TradeManager::getFunds返回
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* @ingroup TradeManagerClass
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*/
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class HKU_API FundsRecord {
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public:
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FundsRecord();
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FundsRecord(price_t cash, price_t market_value, price_t short_market_value, price_t base_cash,
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price_t base_asset, price_t borrow_cash, price_t borrow_asset);
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price_t cash; /**< 当前现金 */
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price_t market_value; /**< 当前多头市值 */
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price_t short_market_value; /**< 当前空头仓位市值 */
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price_t base_cash; /**< 当前投入本金principal */
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price_t base_asset; /**< 当前投入的资产价值 */
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price_t borrow_cash; /**< 当前借入的资金，即负债 */
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price_t borrow_asset; /**< 当前借入证券资产价值 */
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// 当前总资产 = 现金 + 多头市值 + 空头数量×（借入价格 - 当前价格)
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// = cash + market_value + borrow_asset - short_market_value
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// 当前负债 = 借入的资金 + 借入的资产价值
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// = borrow_cash + borrow_asset
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// 当前净资产 = 总资产 - 负债
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// = cash + market_value - short_market_value - borrow_cash
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// 当前投入本值资产 = 投入本金 + 投入资产价值
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// = base_cash + base_asset
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// 当前收益 = 当前净资产 - 当前投入本值资产
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// = cash + market_value - short_market_value - borrow_cash - base_cash - base_asset
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// 当前总资产
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price_t total_assets() const {
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return cash + market_value + borrow_asset - short_market_value;
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}
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// 当前净资产
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price_t net_assets() const {
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return cash + market_value - short_market_value - borrow_cash;
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}
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// 总负债
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price_t total_borrow() const {
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return borrow_cash + borrow_asset;
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}
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// 当前投入本值资产
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price_t total_base() const {
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return base_cash + base_asset;
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}
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// 当前收益
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price_t profit() const {
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return cash + market_value - short_market_value - borrow_cash - base_cash - base_asset;
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}
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FundsRecord operator+(const FundsRecord& other) const;
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FundsRecord& operator+=(const FundsRecord& other);
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// 序列化支持
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#if HKU_SUPPORT_SERIALIZATION
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private:
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friend class boost::serialization::access;
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template <class Archive>
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void serialize(Archive& ar, const unsigned int version) {
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ar& BOOST_SERIALIZATION_NVP(cash);
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ar& BOOST_SERIALIZATION_NVP(market_value);
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ar& BOOST_SERIALIZATION_NVP(short_market_value);
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ar& BOOST_SERIALIZATION_NVP(base_cash);
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ar& BOOST_SERIALIZATION_NVP(base_asset);
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ar& BOOST_SERIALIZATION_NVP(borrow_cash);
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ar& BOOST_SERIALIZATION_NVP(borrow_asset);
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}
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#endif
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};
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typedef vector<FundsRecord> FundsList;
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typedef vector<FundsRecord> FundsRecordList;
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/**
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* 输出TradeRecord信息
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* @ingroup TradeManagerClass
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*/
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HKU_API std::ostream& operator<<(std::ostream&, const FundsRecord&);
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bool HKU_API operator==(const FundsRecord& d1, const FundsRecord& d2);
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} /* namespace hku */
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#if FMT_VERSION >= 90000
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template <>
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struct fmt::formatter<hku::FundsRecord> : ostream_formatter {};
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#endif
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#endif /* FUNDSRECORD_H_ */
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