private void OnRtnOrder_callback(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder)
{
if (null != OnRtnOrder)
{
OnRtnOrder(this, new OnRtnOrderArgs(pTraderApi, ref pOrder));
}
}
/// <summary>
/// 返回交易模块编号
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
public static string GetModelID(object field)
{
//委托单
if (field is CZQThostFtdcInputOrderField)
{
CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpOrder = (CZQThostFtdcTradeField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
throw new Exception("unknow field:" + field.ToString(), null);
}
private void OnRspQryOrder_callback(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryOrder)
{
OnRspQryOrder(this, new OnRspQryOrderArgs(pTraderApi, ref pOrder, ref pRspInfo, nRequestID, bIsLast));
}
}
public OnRspQryOrderArgs(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pOrder = pOrder;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public void CancelOrder(ref CZQThostFtdcOrderField pOrder)
{
if (null == m_pTdApi || IntPtr.Zero == m_pTdApi)
{
return;
}
TraderApi.TD_CancelOrder(m_pTdApi, ref pOrder);
}
public CZQThostFtdcInputOrderActionField DeleteOrder(CZQThostFtdcOrderField order)
{
CZQThostFtdcInputOrderActionField orderAction = new CZQThostFtdcInputOrderActionField();
orderAction.BrokerID = order.BrokerID;
orderAction.InvestorID = order.InvestorID;
orderAction.TraderID = order.TraderID;
orderAction.FrontID = order.FrontID;
orderAction.SessionID = order.SessionID;
orderAction.RequestID = order.RequestID;
orderAction.OrderRef = order.OrderRef;
orderAction.OrderLocalID = order.OrderLocalID;
orderAction.ExchangeID = order.ExchangeID;
orderAction.InstrumentID = order.InstrumentID;
orderAction.ActionFlag = CTPStockActionFlagType.Delete;
InvokeAPI(CTPStockRequestAction.OrderActionAction, orderAction);
return(orderAction);
}
public static string GetOrderUniqueKey(object field)
{
//委托单
//if (field is CZQThostFtdcInputOrderField)
//{
// CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
// return string.Format("{0}_{1}_{2}_{3}", ctpOrder.BrokerID, ctpOrder.InvestorID, ctpOrder.InstrumentID, ctpOrder.OrderRef);
//}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(string.Format("{0:X}_{1:X}_{2}", ctpOrder.FrontID, ctpOrder.SessionID, ctpOrder.OrderRef.Trim()));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(string.Format("{0:X}_{1:X}_{2}", ctpOrder.FrontID, ctpOrder.SessionID, ctpOrder.OrderRef.Trim()));
}
//预埋单
if (field is CZQThostFtdcParkedOrderField)
{
CZQThostFtdcParkedOrderField ctpOrder = (CZQThostFtdcParkedOrderField)field;
return(string.Format("{0}_{1}_{2}", ctpOrder.BrokerID, ctpOrder.InvestorID, ctpOrder.ParkedOrderID));
}
//删除预埋单
if (field is CZQThostFtdcRemoveParkedOrderField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(string.Format("{0}_{1}_{2}", ctpOrder.BrokerID, ctpOrder.InvestorID, ctpOrder.ParkedOrderID));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpData = (CZQThostFtdcTradeField)field;
return(string.Format("{0}_{1}_{2}_{3}", ctpData.BrokerID, ctpData.InvestorID, ctpData.TradingDay, ctpData.TradeID));
}
//持仓
if (field is CZQThostFtdcInvestorPositionField)
{
CZQThostFtdcInvestorPositionField ctpData = (CZQThostFtdcInvestorPositionField)field;
return(string.Format("{0}_{1}_{2}_{3}_{4}", ctpData.BrokerID, ctpData.InvestorID, ctpData.TradingDay, ctpData.InstrumentID, ctpData.PosiDirection));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionDetailField)
{
//注意！！成交单ID可能重复
CZQThostFtdcInvestorPositionDetailField ctpData = (CZQThostFtdcInvestorPositionDetailField)field;
return(string.Format("{0}_{1}_{2}_{3}", ctpData.BrokerID, ctpData.InvestorID, ctpData.TradingDay, ctpData.TradeID));
}
throw new Exception("Unknow type : " + field.GetType().ToString());
}
public static string GetUserKey(object field)
{
//委托单
if (field is CZQThostFtdcInputOrderField)
{
CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//预埋单
if (field is CZQThostFtdcParkedOrderField)
{
CZQThostFtdcParkedOrderField ctpOrder = (CZQThostFtdcParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//删除预埋单
if (field is CZQThostFtdcRemoveParkedOrderField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//预埋撤单
if (field is CZQThostFtdcParkedOrderActionField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//删除预埋撤单
if (field is CZQThostFtdcRemoveParkedOrderActionField)
{
CZQThostFtdcRemoveParkedOrderActionField ctpOrder = (CZQThostFtdcRemoveParkedOrderActionField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpData = (CZQThostFtdcTradeField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓
if (field is CZQThostFtdcInvestorPositionField)
{
CZQThostFtdcInvestorPositionField ctpData = (CZQThostFtdcInvestorPositionField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionDetailField)
{
CZQThostFtdcInvestorPositionDetailField ctpData = (CZQThostFtdcInvestorPositionDetailField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionCombineDetailField)
{
CZQThostFtdcInvestorPositionCombineDetailField ctpData = (CZQThostFtdcInvestorPositionCombineDetailField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//资金账户
if (field is CZQThostFtdcTradingAccountField)
{
CZQThostFtdcTradingAccountField ctpData = (CZQThostFtdcTradingAccountField)field;
return(GetUserKey(ctpData.AccountID, ctpData.BrokerID));
}
throw new Exception("unknow type : " + field.GetType().FullName);
}
public static extern void TD_CancelOrder(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder);
private void OnRtnOrder(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder)
{
tdlog.Info("{0},{1},{2},开平{3},价{4},原量{5},成交{6},提交{7},状态{8},前置{9},会话{10},引用{11},报单编号{12},{13}",
pOrder.InsertTime, pOrder.InstrumentID, pOrder.Direction, pOrder.CombOffsetFlag, pOrder.LimitPrice,
pOrder.VolumeTotalOriginal, pOrder.VolumeTraded, pOrder.OrderSubmitStatus, pOrder.OrderStatus,
pOrder.FrontID, pOrder.SessionID, pOrder.OrderRef, pOrder.OrderSysID, pOrder.StatusMsg);
// 加上这句只是为了在一个账号多会话高频交易时提前过滤
if (pOrder.SessionID != _RspUserLogin.SessionID || pOrder.FrontID != _RspUserLogin.FrontID)
{
return;
}
SingleOrder order;
string strKey = string.Format("{0}:{1}:{2}", pOrder.FrontID, pOrder.SessionID, pOrder.OrderRef);
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
order.Text = string.Format("{0}|{1}", order.Text.Substring(0, Math.Min(order.Text.Length, 64)), pOrder.StatusMsg);
order.OrderID = pOrder.OrderSysID;
//找到对应的报单回应
Dictionary <string, CZQThostFtdcOrderField> _Ref2Action;
if (!_Orders4Cancel.TryGetValue(order, out _Ref2Action))
{
//没找到，自己填一个
_Ref2Action = new Dictionary <string, CZQThostFtdcOrderField>();
_Orders4Cancel[order] = _Ref2Action;
}
// 有对它进行过撤单操作，这地方是为了加正在撤单状态
OrdStatus status;
if (_PendingCancelFlags.TryGetValue(order, out status))
{
// 记下当时的状态
_PendingCancelFlags[order] = order.OrdStatus;
EmitPendingCancel(order);
}
lock (_Ref2Action)
{
string strSysID = string.Format("{0}:{1}", pOrder.ExchangeID, pOrder.OrderSysID);
switch (pOrder.OrderStatus)
{
case TZQThostFtdcOrderStatusType.AllTraded:
//已经是最后状态，不能用于撤单了
_PendingCancelFlags.Remove(order);
_Ref2Action.Remove(strKey);
break;
case TZQThostFtdcOrderStatusType.PartTradedQueueing:
//只是部分成交，还可以撤单，所以要记录下来
_Ref2Action[strKey] = pOrder;
break;
case TZQThostFtdcOrderStatusType.PartTradedNotQueueing:
//已经是最后状态，不能用于撤单了
_PendingCancelFlags.Remove(order);
_Ref2Action.Remove(strKey);
break;
case TZQThostFtdcOrderStatusType.NoTradeQueueing:
// 用于收到成交回报时定位
_OrderSysID2OrderRef[strSysID] = strKey;
if (0 == _Ref2Action.Count())
{
_Ref2Action[strKey] = pOrder;
EmitAccepted(order);
}
else
{
_Ref2Action[strKey] = pOrder;
}
break;
case TZQThostFtdcOrderStatusType.NoTradeNotQueueing:
//已经是最后状态，不能用于撤单了
_PendingCancelFlags.Remove(order);
_Ref2Action.Remove(strKey);
break;
case TZQThostFtdcOrderStatusType.Canceled:
//已经是最后状态，不能用于撤单了
_PendingCancelFlags.Remove(order);
_Ref2Action.Remove(strKey);
//分析此报单是否结束，如果结束分析整个Order是否结束
switch (pOrder.OrderSubmitStatus)
{
case TZQThostFtdcOrderSubmitStatusType.InsertRejected:
//如果是最后一个的状态，同意发出消息
if (0 == _Ref2Action.Count())
{
EmitRejected(order, pOrder.StatusMsg);
}
else
{
Cancel(order);
}
break;
default:
//如果是最后一个的状态，同意发出消息
if (0 == _Ref2Action.Count())
{
EmitCancelled(order);
}
else
{
Cancel(order);
}
break;
}
break;
case TZQThostFtdcOrderStatusType.Unknown:
switch (pOrder.OrderSubmitStatus)
{
case TZQThostFtdcOrderSubmitStatusType.InsertSubmitted:
// 有可能头两个报单就这状态，就是报单编号由空变为了有。为空时，也记，没有关系
_OrderSysID2OrderRef[strSysID] = strKey;
//新单，新加入记录以便撤单
if (0 == _Ref2Action.Count())
{
_Ref2Action[strKey] = pOrder;
EmitAccepted(order);
}
else
{
_Ref2Action[strKey] = pOrder;
}
break;
}
break;
case TZQThostFtdcOrderStatusType.NotTouched:
//没有处理
break;
case TZQThostFtdcOrderStatusType.Touched:
//没有处理
break;
}
//已经是最后状态了，可以去除了
if (0 == _Ref2Action.Count())
{
_Orders4Cancel.Remove(order);
}
}
}
else
{
//由第三方软件发出或上次登录时的剩余的单子在这次成交了，先不处理，当不存在
}
}
public OnRtnOrderArgs(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder)
{
this.pTraderApi = pTraderApi;
this.pOrder = pOrder;
}
