public void SendOrder(int jump, int Qty, EnumDirectionType direction, EnumOffsetFlagType oc, double PriceTick)
{
double ordPrice = C.LASTDATA;
if (direction == EnumDirectionType.Buy)
{
ordPrice = BIDPRICE(1).LASTDATA + jump * PriceTick;
if (oc == EnumOffsetFlagType.Open)
{
OpenBuy(ordPrice, Qty);
}
else
{
CloseBuy(ordPrice, Qty);
}
}
else
{
ordPrice = ASKPRICE(1).LASTDATA - jump * PriceTick;
if (oc == EnumOffsetFlagType.Open)
{
OpenSell(ordPrice, Qty);
}
else
{
CloseSell(ordPrice, Qty);
}
}
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "下单" + Qty + "手" + oc.ToString() + direction.ToString() + SYMBOL
+ "@" + ordPrice.ToString() + ",t=" + SERVERTIME.ToString());
}
public void AddTrader(string investorID, string instrumentID, string tradeTime, string orderRef, string tradeID, double price, int volume, EnumOffsetFlagType offsetFlag, EnumDirectionType direction, CThostFtdcTradeField pTrade)
{
try
{
sqlConnection.Open();
string sql = "insert into trader(investorID, instrumentID, tradeTime, orderRef, tradeID, price, volume" +
",offsetFlag,direction) values ('" +
investorID + "','" + instrumentID + "','" + tradeTime + "', '" + orderRef + "','" + tradeID + "'," + price + "," +
volume + "," + (offsetFlag == EnumOffsetFlagType.Open ? 0 : 1) + "," + (direction == EnumDirectionType.Buy ? 0 : 1) + ")";
//Console.WriteLine(sql);
MySqlCommand command = new MySqlCommand(sql, sqlConnection);
command.ExecuteNonQuery();
}
finally {
sqlConnection.Close();
}
}
/// <summary>
/// 下单
/// </summary>
/// <param name="sender">单子来源 Quote/Arbitrage</param>
/// <param name="instrumentID">合约ID</param>
/// <param name="directionType">买卖方向 Buy/Sell</param>
/// <param name="offsetFlagType">开平标记 Open/CloseToday</param>
/// <param name="lots">数量</param>
/// <param name="price">价格</param>
/// <returns>报单引用OrderRef</returns>
public string PlaceOrder(object sender, string instrumentID, EnumDirectionType directionType, EnumOffsetFlagType offsetFlagType, int lots, double price)
{
ThostFtdcInputOrderField req = new ThostFtdcInputOrderField();
///经纪公司代码
req.BrokerID = trader.BrokerID;
///投资者代码
req.InvestorID = trader.InvestorID;
///合约代码
req.InstrumentID = instrumentID;
///报单价格条件: 限价
req.OrderPriceType = CTP.EnumOrderPriceTypeType.LimitPrice;
///买卖方向:
req.Direction = directionType;
///组合开平标志: 开仓
req.CombOffsetFlag_0 = offsetFlagType;
///组合投机套保标志
req.CombHedgeFlag_0 = CTP.EnumHedgeFlagType.Speculation;
///价格
req.LimitPrice = price;
///数量: 1
req.VolumeTotalOriginal = lots;
///有效期类型: 当日有效
req.TimeCondition = CTP.EnumTimeConditionType.GFD;
///成交量类型: 任何数量
req.VolumeCondition = CTP.EnumVolumeConditionType.AV;
///最小成交量: 1
req.MinVolume = 1;
///触发条件: 立即
req.ContingentCondition = CTP.EnumContingentConditionType.Immediately;
///强平原因: 非强平
req.ForceCloseReason = CTP.EnumForceCloseReasonType.NotForceClose;
///自动挂起标志: 否
req.IsAutoSuspend = 0;
///用户强评标志: 否
req.UserForceClose = 0;
OrderRef++;
req.OrderRef = OrderRef.ToString();
int iResult = trader.ReqOrderInsert(req, ++RequestID);
//OrderRef2ArbitrageStategyMap.Add(req.OrderRef, (Arbitrage)sender);
return req.OrderRef;
}
/// <summary>
/// 报价录入请求
/// </summary>
public string PlaceQuote(object sender, string instrumentID, EnumOffsetFlagType AskOffset, int Asklots, double Askprice,
EnumOffsetFlagType BidOffset, int Bidlots, double Bidprice)
{
ThostFtdcInputQuoteField req = new ThostFtdcInputQuoteField();
req.BrokerID = trader.BrokerID;
req.InvestorID = trader.InvestorID;
req.InstrumentID = instrumentID;
req.AskHedgeFlag = EnumHedgeFlagType.Speculation;
req.AskOffsetFlag = AskOffset;
req.AskPrice = Askprice;
req.AskVolume = Asklots;
req.BidHedgeFlag = EnumHedgeFlagType.Speculation;
req.BidOffsetFlag = BidOffset;
req.BidPrice = Bidprice;
req.BidVolume = Bidlots;
QuoteRef++;
req.QuoteRef = QuoteRef.ToString();
int iRet = trader.ReqQuoteInsert(req, ++RequestID);
//QuoteRef2QuoteStategyMap.Add(req.QuoteRef, (Quote)sender);
return req.QuoteRef;
}
public int ReqOrderInsert(string instrumentId, EnumDirectionType direction, double price, int nVolume,
EnumOffsetFlagType openOrClose, EnumTimeConditionType timeCondition,
EnumVolumeConditionType volumeCondition, string reason)
{
return(0);
}