instrument.hpp

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#pragma once
 
#include <string>
#include <cstdint>
#include <cmath>
 
namespace fix40 {
 
// ============================================================================
// 合约信息结构
// ============================================================================
 
struct Instrument {
    // -------------------------------------------------------------------------
    // 标识符
    // -------------------------------------------------------------------------
    std::string instrumentId;   
    std::string exchangeId;     
    std::string productId;      
 
    // -------------------------------------------------------------------------
    // 交易参数
    // -------------------------------------------------------------------------
    double priceTick;           
    int volumeMultiple;         
    double marginRate;          
 
    // -------------------------------------------------------------------------
    // 价格限制（从行情更新）
    // -------------------------------------------------------------------------
    double upperLimitPrice;     
    double lowerLimitPrice;     
    double preSettlementPrice;  
 
    // -------------------------------------------------------------------------
    // 构造函数
    // -------------------------------------------------------------------------
 
    Instrument()
        : priceTick(0.0)
        , volumeMultiple(0)
        , marginRate(0.0)
        , upperLimitPrice(0.0)
        , lowerLimitPrice(0.0)
        , preSettlementPrice(0.0)
    {}
 
    Instrument(const std::string& instId, const std::string& exchId,
               const std::string& prodId, double tick, int multiple, double margin)
        : instrumentId(instId)
        , exchangeId(exchId)
        , productId(prodId)
        , priceTick(tick)
        , volumeMultiple(multiple)
        , marginRate(margin)
        , upperLimitPrice(0.0)
        , lowerLimitPrice(0.0)
        , preSettlementPrice(0.0)
    {}
 
    // -------------------------------------------------------------------------
    // 计算方法
    // -------------------------------------------------------------------------
 
    double calculateMargin(double price, int64_t volume) const {
        return price * volume * volumeMultiple * marginRate;
    }
 
    bool isPriceValid(double price) const {
        // 如果涨跌停价格未设置，认为价格有效
        if (lowerLimitPrice <= 0 && upperLimitPrice <= 0) {
            return true;
        }
        return price >= lowerLimitPrice && price <= upperLimitPrice;
    }
 
    bool isPriceTickValid(double price) const {
        if (priceTick <= 0) {
            return true;
        }
        double remainder = std::fmod(price, priceTick);
        // 使用容差比较
        return remainder < 1e-9 || (priceTick - remainder) < 1e-9;
    }
 
    void updateLimitPrices(double upper, double lower) {
        upperLimitPrice = upper;
        lowerLimitPrice = lower;
    }
 
    // -------------------------------------------------------------------------
    // 比较操作符（用于测试）
    // -------------------------------------------------------------------------
 
    bool operator==(const Instrument& other) const {
        return instrumentId == other.instrumentId &&
               exchangeId == other.exchangeId &&
               productId == other.productId &&
               priceTick == other.priceTick &&
               volumeMultiple == other.volumeMultiple &&
               marginRate == other.marginRate &&
               upperLimitPrice == other.upperLimitPrice &&
               lowerLimitPrice == other.lowerLimitPrice &&
               preSettlementPrice == other.preSettlementPrice;
    }
 
    bool operator!=(const Instrument& other) const {
        return !(*this == other);
    }
};
 
} // namespace fix40