private int close(string pInstrument, DirectionType pPosiDire, int pCloseLots, MarketData pTick, bool pForce, double pPrice, int pCustom)
{
PositionField pf;
if (!DicPositionField.TryGetValue($"{pInstrument}_{pPosiDire}", out pf))
{
return(pCloseLots);
}
var dire = pPosiDire == DirectionType.Buy ? DirectionType.Sell : DirectionType.Buy;
var price = !double.IsNaN(pPrice) ? pPrice : (dire == DirectionType.Buy ? (pForce ? pTick.UpperLimitPrice : pTick.AskPrice) : (pForce ? pTick.LowerLimitPrice : pTick.BidPrice)); //板价发单
var volClose = Math.Min(pCloseLots, pf.Position); //可平量
var rtn = pCloseLots - volClose;
if (DicInstrumentField[pInstrument].ExchangeID == Exchange.SHFE && pf.TdPosition > 0)
{
var tdClose = Math.Min(pf.TdPosition, volClose);
ReqOrderInsert(pInstrument, dire, OffsetType.CloseToday, price, tdClose, pCustom: pCustom);
volClose -= tdClose;
}
if (volClose > 0)
{
ReqOrderInsert(pInstrument, dire, OffsetType.Close, price, volClose, pCustom: pCustom);
}
return(rtn);
}
private void CTPOnRtnTrade(ref CThostFtdcTradeField pTrade)
{
if (!IsLogin)
{
_rtnOrderTime = DateTime.Now;
}
string id;
OrderField of = null;
if (!(_dicSysidSfrId.TryGetValue(pTrade.OrderSysID, out id) && DicOrderField.TryGetValue(id, out of)))
{
CThostFtdcTradeField fReTrade = pTrade;
var list = _sysidTrade.GetOrAdd(pTrade.OrderSysID, new List <CThostFtdcTradeField>());
list.Add(fReTrade);
return;
}
TradeField f = new TradeField
{
Hedge = pTrade.HedgeFlag == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation ? HedgeType.Speculation
: pTrade.HedgeFlag == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage ? HedgeType.Arbitrage : HedgeType.Hedge,
Direction = pTrade.Direction == TThostFtdcDirectionType.THOST_FTDC_D_Buy ? DirectionType.Buy : DirectionType.Sell,
//ExchangeID = pTrade.ExchangeID,
InstrumentID = pTrade.InstrumentID,
Offset = pTrade.OffsetFlag == TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open ? OffsetType.Open
: pTrade.OffsetFlag == TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday ? OffsetType.CloseToday : OffsetType.Close,
Price = pTrade.Price,
TradeID = pTrade.TradeID + (char)pTrade.Direction,
TradeTime = pTrade.TradeTime,
TradingDay = pTrade.TradingDay,
Volume = pTrade.Volume,
SysID = pTrade.OrderSysID,
};
Exchange exc;
if (Enum.TryParse(pTrade.ExchangeID, out exc))
{
f.ExchangeID = exc;
}
if (DicTradeField.TryAdd(f.TradeID, f)) // string.Format("{0}_{1}", f.TradeID, f.Direction), f))
{
f.OrderID = id; //更新成交对应的委托ID
of.TradeTime = pTrade.TradeTime;
of.AvgPrice = (of.AvgPrice * (of.Volume - of.VolumeLeft) + pTrade.Price * pTrade.Volume) / (of.Volume - of.VolumeLeft + pTrade.Volume);
of.TradeVolume = pTrade.Volume;
of.VolumeLeft -= of.TradeVolume;
if (of.VolumeLeft == 0)
{
of.Status = OrderStatus.Filled;
of.StatusMsg = "全部成交";
}
else
{
of.Status = OrderStatus.Partial;
of.StatusMsg = "部分成交";
}
if (IsLogin)
{
#region 更新持仓
PositionField pf;
//处理持仓
if (f.Offset == OffsetType.Open)
{
pf = DicPositionField.GetOrAdd(f.InstrumentID + "_" + f.Direction, new PositionField());
pf.InstrumentID = f.InstrumentID;
pf.Direction = f.Direction;
pf.Hedge = f.Hedge;
pf.Price = (pf.Price * pf.Position + f.Price * f.Volume) / (pf.Position + f.Volume);
pf.TdPosition += f.Volume;
pf.Position += f.Volume;
}
else
{
pf = this.DicPositionField.GetOrAdd(f.InstrumentID + "_" + (f.Direction == DirectionType.Buy ? "Sell" : "Buy"), new PositionField());
if (f.Offset == OffsetType.CloseToday)
{
pf.TdPosition -= f.Volume;
}
else
{
int tdClose = Math.Min(pf.TdPosition, f.Volume);
if (pf.TdPosition > 0)
{
pf.TdPosition -= tdClose;
}
pf.YdPosition -= Math.Max(0, f.Volume - tdClose);
}
pf.Position -= f.Volume;
}
#endregion
//委托响应
_OnRtnOrder?.Invoke(this, new OrderArgs {
Value = of
});
//成交响应
_OnRtnTrade?.Invoke(this, new TradeArgs {
Value = f
});
}
}
}
private void CTPOnRspQryInvestorPosition(ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (!string.IsNullOrEmpty(pInvestorPosition.InstrumentID))
{
var f = pInvestorPosition;
_listPosi.Add(f);
}
if (bIsLast)
{
foreach (var g in _listPosi.GroupBy(p => p.InstrumentID + "_" + p.PosiDirection))
{
var id = g.First();
//整理持仓数据
HedgeType hedge = HedgeType.Speculation;
switch (id.HedgeFlag)
{
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation:
hedge = HedgeType.Speculation;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage:
hedge = HedgeType.Arbitrage;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Hedge:
hedge = HedgeType.Hedge;
break;
}
DirectionType dire = DirectionType.Buy;
if (g.First().PosiDirection == TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short)
{
dire = DirectionType.Sell;
}
var key = id.InstrumentID + "_" + dire;
var pf = DicPositionField.GetOrAdd(key, new PositionField
{
InstrumentID = id.InstrumentID,
Direction = dire,
Hedge = hedge,
});
//if (pInvestorPosition.PositionDate == TThostFtdcPositionDateType.THOST_FTDC_PSD_Today)
//{
// pf.TdPosition = pInvestorPosition.Position;
// pf.TdCost = pf.TdPosition == 0 ? 0 : (pInvestorPosition.PositionCost /*pInvestorPosition.TodayPosition * pf.TdPosition*/);
//}
//if (pInvestorPosition.PositionDate == TThostFtdcPositionDateType.THOST_FTDC_PSD_History)
//{
// pf.YdPosition = pInvestorPosition.Position;
// pf.YdCost = pInvestorPosition.PreSettlementPrice * pf.YdPosition * DicInstrumentField[pf.InstrumentID].VolumeMultiple;
// //pf.YdCost = pInvestorPosition.PositionCost / pInvestorPosition.YdPosition * pf.YdPosition;
//}
pf.Position = g.Sum(n => n.Position); // pf.TdPosition + pf.YdPosition;
pf.TdPosition = g.Sum(n => n.TodayPosition);
pf.YdPosition = pf.Position - pf.TdPosition; // g.Sum(n => n.YdPosition);
pf.Price = pf.Position <= 0 ? 0 : (g.Sum(n => n.PositionCost) / DicInstrumentField[pf.InstrumentID].VolumeMultiple / pf.Position);
pf.CloseProfit = g.Sum(n => n.CloseProfit);
pf.PositionProfit = g.Sum(n => n.PositionProfit);
pf.Commission = g.Sum(n => n.Commission);
pf.Margin = g.Sum(n => n.UseMargin);
}
TradingAccount.CloseProfit = _listPosi.Sum(n => n.CloseProfit);
TradingAccount.PositionProfit = _listPosi.Sum(n => n.PositionProfit);
TradingAccount.Commission = _listPosi.Sum(n => n.Commission);
TradingAccount.Fund = TradingAccount.PreBalance + TradingAccount.CloseProfit + TradingAccount.PositionProfit - TradingAccount.Commission;
TradingAccount.FrozenCash = _listPosi.Sum(n => n.FrozenCash);
//由查帐户资金函数处理,原因:保证金有单边收的情况无法用持仓统计
//TradingAccount.CurrMargin = _listPosi.Sum(n => n.UseMargin);
//TradingAccount.Available = TradingAccount.Fund - TradingAccount.CurrMargin - TradingAccount.FrozenCash;
//TradingAccount.Risk = TradingAccount.CurrMargin / TradingAccount.Fund;
_listPosi.Clear();//清除,以便得到结果是重新添加
}
}
