public string SendQuote(QuoteField quote)
{
int QuoteField_size = Marshal.SizeOf(typeof(QuoteField));
int OrderIDType_size = Marshal.SizeOf(typeof(OrderIDType));
IntPtr QuoteField_Ptr = Marshal.AllocHGlobal(QuoteField_size);
IntPtr OrderIDType_Ptr = Marshal.AllocHGlobal(OrderIDType_size * 3);
// 将结构体写成内存块
for (int i = 0; i < 1; ++i)
{
Marshal.StructureToPtr(quote, new IntPtr(QuoteField_Ptr.ToInt64() + i * QuoteField_size), false);
}
IntPtr ptr = proxy.XRequest((byte)RequestType.ReqQuoteInsert, Handle, IntPtr.Zero,
0, 0,
QuoteField_Ptr, 1, OrderIDType_Ptr, 0, IntPtr.Zero, 0);
string ret = Marshal.PtrToStringAnsi(ptr);
Marshal.FreeHGlobal(QuoteField_Ptr);
Marshal.FreeHGlobal(OrderIDType_Ptr);
return(ret);
}
private QuoteField ToQuoteStruct(ExecutionCommand command, string apiSymbol, string apiExchange, out Order askOrder, out Order bidOrder)
{
bidOrder = command.Order;
askOrder = (Order)bidOrder.GetSameTimeOrder();
QuoteField field = new QuoteField();
field.InstrumentID = apiSymbol;
field.ExchangeID = apiExchange;
field.AskQty = askOrder.Qty;
field.AskPrice = askOrder.Price;
field.AskOpenClose = GetOpenClose(askOrder);
field.AskHedgeFlag = GetHedgeFlag(askOrder);
field.BidQty = bidOrder.Qty;
field.BidPrice = bidOrder.Price;
field.BidOpenClose = GetOpenClose(bidOrder);
field.BidHedgeFlag = GetHedgeFlag(bidOrder);
field.QuoteReqID = bidOrder.GetQuoteReqID();
//field.Account = command.Order.Account;
return(field);
}
public void SendQuote(ref QuoteField quote, out string AskRef, out string BidRef)
{
int QuoteField_size = Marshal.SizeOf(typeof(QuoteField));
int OrderIDType_size = Marshal.SizeOf(typeof(OrderIDType));
IntPtr QuoteField_Ptr = Marshal.AllocHGlobal(QuoteField_size);
IntPtr AskRef_Ptr = Marshal.AllocHGlobal(OrderIDType_size);
IntPtr BidRef_Ptr = Marshal.AllocHGlobal(OrderIDType_size);
// 将结构体写成内存块
for (int i = 0; i < 1; ++i)
{
Marshal.StructureToPtr(quote, QuoteField_Ptr + i * QuoteField_size, false);
}
IntPtr ptr = proxy.XRequest((byte)RequestType.ReqQuoteInsert, Handle, IntPtr.Zero,
0, 0,
QuoteField_Ptr, 1, AskRef_Ptr, 0, BidRef_Ptr, 0);
AskRef = string.Empty;
BidRef = string.Empty;
for (int i = 0; i < 1; ++i)
{
// 这里定义一个ID占64字节
OrderIDType output = (OrderIDType)Marshal.PtrToStructure(AskRef_Ptr + i * OrderIDType_size, typeof(OrderIDType));
AskRef = output.ID;
output = (OrderIDType)Marshal.PtrToStructure(BidRef_Ptr + i * OrderIDType_size, typeof(OrderIDType));
BidRef = output.ID;
}
Marshal.FreeHGlobal(QuoteField_Ptr);
Marshal.FreeHGlobal(AskRef_Ptr);
Marshal.FreeHGlobal(BidRef_Ptr);
}
private void OnRspQryQuote_callback(object sender, ref QuoteField quote, int size1, bool bIsLast)
{
if (null != OnRspQryQuote)
{
OnRspQryQuote(this, new OnRspQryQuoteEventArgs(ref quote, size1, bIsLast));
}
}
private void OnRtnQuote_callback(object sender, ref QuoteField quote)
{
if (null != OnRtnQuote)
{
OnRtnQuote(this, new OnRtnQuoteEventArgs(ref quote));
}
}
private void _OnRtnQuote(IntPtr ptr1, int size1)
{
//if (OnRtnQuote_ == null)
// return;
//QuoteField obj = PInvokeUtility.GetObjectFromIntPtr<QuoteField>(ptr1);
QuoteField obj = (QuoteField)Marshal.PtrToStructure(ptr1, typeof(QuoteField));
OnRtnQuote_(this, ref obj);
}
private void OnRspQryQuote_callback(object sender, ref QuoteField quote, int size1, bool bIsLast)
{
if (size1 <= 0)
{
(sender as XApi).GetLog().Info("OnRspQryQuote");
return;
}
(sender as XApi).GetLog().Info("OnRspQryQuote:" + quote.ToFormattedString());
}
private void OnRtnQuote_callback(object sender, ref QuoteField quote)
{
(sender as XApi).GetLog().Debug("OnRtnQuote:" + quote.ToFormattedString());
try {
quoteMap.Process(ref quote);
}
catch (Exception ex) {
(sender as XApi).GetLog().Error(ex);
}
}
private void _OnRtnQuote(IntPtr ptr1, int size1)
{
if (OnRtnQuote == null)
{
return;
}
QuoteField obj = PInvokeUtility.GetObjectFromIntPtr <QuoteField>(ptr1);
OnRtnQuote(this, ref obj);
}
private void _OnRspQryQuote(IntPtr ptr1, int size1, double double1)
{
if (OnRspQryQuote_ == null)
{
return;
}
QuoteField obj = PInvokeUtility.GetObjectFromIntPtr <QuoteField>(ptr1);
OnRspQryQuote_(this, ref obj, size1, double1 != 0);
}
private void _OnRtnQuote(IntPtr ptr1, int size1)
{
if (OnRtnQuote_ == null)
{
return;
}
QuoteField obj = (QuoteField)Marshal.PtrToStructure(ptr1, typeof(QuoteField));
OnRtnQuote_(this, ref obj);
}
public void ProcessNew(ref QuoteField quote, QuoteRecord record)
{
OrderRecord askRecord = new OrderRecord(record.AskOrder);
this.workingOrders[quote.AskID] = askRecord;
this.orderIDs[askRecord.Order.Id] = quote.AskID;
EmitExecutionReport(askRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
OrderRecord bidRecord = new OrderRecord(record.BidOrder);
this.workingOrders[quote.BidID] = bidRecord;
this.orderIDs[bidRecord.Order.Id] = quote.BidID;
EmitExecutionReport(bidRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
}
public void ProcessNew(ref QuoteField quote, QuoteRecord record)
{
OrderRecord askRecord = new OrderRecord(record.AskOrder);
this.workingOrders.Add(quote.AskID, askRecord);
this.orderIDs.Add(askRecord.Order.Id, quote.AskID);
EmitExecutionReport(askRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
OrderRecord bidRecord = new OrderRecord(record.BidOrder);
this.workingOrders.Add(quote.BidID, bidRecord);
this.orderIDs.Add(bidRecord.Order.Id, quote.BidID);
EmitExecutionReport(bidRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
}
public void DoQuoteSend(QuoteField quote, ExecutionCommand command, Order askOrder, Order bidOrder)
{
//string askRef;
//string bidRef;
//provider._TdApi.SendQuote(ref quote,out askRef,out bidRef);
//if (askRef == null)
//{
// // 直接将单子拒绝
// EmitExecutionReport(new QuoteRecord(askOrder, bidOrder), SQ.ExecType.ExecRejected, SQ.OrderStatus.Rejected, "ErrorCode:");
//}
//else
//{
// this.pendingOrders.TryAdd(askRef, new QuoteRecord(askOrder, bidOrder));
//}
}
private void CmdNewQuote(ExecutionCommand command)
{
string altSymbol;
string altExchange;
string apiSymbol;
string apiExchange;
double apiTickSize;
GetApi_Symbol_Exchange_TickSize(command.Instrument, this.id,
out altSymbol, out altExchange,
out apiSymbol, out apiExchange,
out apiTickSize);
Order bidOrder;
Order askOrder;
QuoteField field = ToQuoteStruct(command, apiSymbol, apiExchange, out askOrder, out bidOrder);
quoteMap.DoQuoteSend(field, command, askOrder, bidOrder);
}
public string SendQuote(int QuoteRef, ref QuoteField quote)
{
int size = Marshal.SizeOf(typeof(QuoteField));
IntPtr quotePtr = Marshal.AllocHGlobal(size);
Marshal.StructureToPtr(quote, quotePtr, false);
IntPtr ptr = proxy.XRequest((byte)RequestType.ReqQuoteInsert, Handle, IntPtr.Zero,
QuoteRef, 0,
quotePtr, size, IntPtr.Zero, 0, IntPtr.Zero, 0);
Marshal.FreeHGlobal(quotePtr);
if (ptr.ToInt64() == 0)
{
return(null);
}
return(Marshal.PtrToStringAnsi(ptr));
}
private void OnRtnQuote_callback(object sender, ref QuoteField quote)
{
if (null != OnRtnQuote)
{
OnRtnQuote(this, new OnRtnQuoteEventArgs(ref quote));
}
}
public OnRtnQuoteEventArgs(ref QuoteField quote)
{
this.quote = quote;
}
public OnRtnQuoteEventArgs(ref QuoteField quote)
{
this.quote = quote;
}
public void SendQuote(ref QuoteField quote,out string AskRef,out string BidRef)
{
int QuoteField_size = Marshal.SizeOf(typeof(QuoteField));
int OrderIDType_size = Marshal.SizeOf(typeof(OrderIDType));
IntPtr QuoteField_Ptr = Marshal.AllocHGlobal(QuoteField_size);
IntPtr AskRef_Ptr = Marshal.AllocHGlobal(OrderIDType_size);
IntPtr BidRef_Ptr = Marshal.AllocHGlobal(OrderIDType_size);
// 将结构体写成内存块
for (int i = 0; i < 1; ++i)
{
Marshal.StructureToPtr(quote, new IntPtr(QuoteField_Ptr.ToInt64() + i * QuoteField_size), false);
}
IntPtr ptr = proxy.XRequest((byte)RequestType.ReqQuoteInsert, Handle, IntPtr.Zero,
0, 0,
QuoteField_Ptr, 1, AskRef_Ptr, 0, BidRef_Ptr, 0);
AskRef = string.Empty;
BidRef = string.Empty;
for (int i = 0; i < 1; ++i)
{
// 这里定义一个ID占64字节
OrderIDType output = (OrderIDType)Marshal.PtrToStructure(new IntPtr(AskRef_Ptr.ToInt64() + i * OrderIDType_size), typeof(OrderIDType));
AskRef = output.ID;
output = (OrderIDType)Marshal.PtrToStructure(new IntPtr(BidRef_Ptr.ToInt64() + i * OrderIDType_size), typeof(OrderIDType));
BidRef = output.ID;
}
Marshal.FreeHGlobal(QuoteField_Ptr);
Marshal.FreeHGlobal(AskRef_Ptr);
Marshal.FreeHGlobal(BidRef_Ptr);
}
public OnRspQryQuoteEventArgs(ref QuoteField quote, int size1, bool bIsLast)
{
this.quote = quote;
this.size1 = size1;
this.bIsLast = bIsLast;
}
public string SendQuote(int QuoteRef, ref QuoteField quote)
{
int size = Marshal.SizeOf(typeof(QuoteField));
IntPtr quotePtr = Marshal.AllocHGlobal(size);
Marshal.StructureToPtr(quote, quotePtr, false);
IntPtr ptr = proxy.XRequest((byte)RequestType.ReqQuoteInsert, Handle, IntPtr.Zero,
QuoteRef, 0,
quotePtr, size, IntPtr.Zero, 0, IntPtr.Zero, 0);
Marshal.FreeHGlobal(quotePtr);
if (ptr.ToInt64() == 0)
return null;
return Marshal.PtrToStringAnsi(ptr);
}
public void Process(ref QuoteField quote)
{
// 所有的成交信息都不处理，交给TradeField处理
if (quote.ExecType == XAPI.ExecType.Trade)
{
return;
}
QuoteRecord record = null;
switch (quote.ExecType)
{
case XAPI.ExecType.New:
if (this.pendingOrders.TryRemove(quote.ID, out record))
{
this.workingOrders.Add(quote.ID, record);
this.orderIDs.Add(record.AskOrder.Id, quote.ID);
this.orderIDs.Add(record.BidOrder.Id, quote.ID);
orderMap.ProcessNew(ref quote, record);
// 这个地方可以跳过
//EmitExecutionReport(record, quote.ExecType, quote.Status);
}
break;
case XAPI.ExecType.Rejected:
if (this.pendingOrders.TryRemove(quote.ID, out record))
{
EmitExecutionReport(record, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status, quote.Text());
}
else if (this.workingOrders.TryGetValue(quote.ID, out record))
{
// 比如说出现超出涨跌停时，先会到ProcessNew，所以得再多判断一次
workingOrders.Remove(quote.ID);
orderIDs.Remove(record.AskOrder.Id);
orderIDs.Remove(record.BidOrder.Id);
EmitExecutionReport(record, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status, quote.Text());
}
break;
case XAPI.ExecType.Cancelled:
if (this.workingOrders.TryGetValue(quote.ID, out record))
{
workingOrders.Remove(quote.ID);
orderIDs.Remove(record.AskOrder.Id);
orderIDs.Remove(record.BidOrder.Id);
EmitExecutionReport(record, SQ.ExecType.ExecCancelled, SQ.OrderStatus.Cancelled);
}
break;
case XAPI.ExecType.PendingCancel:
if (this.workingOrders.TryGetValue(quote.ID, out record))
{
EmitExecutionReport(record, SQ.ExecType.ExecPendingCancel, SQ.OrderStatus.PendingCancel);
}
break;
case XAPI.ExecType.CancelReject:
if (this.pendingCancels.TryRemove(quote.ID, out record))
{
EmitExecutionReport(record, SQ.ExecType.ExecCancelReject, (SQ.OrderStatus)quote.Status, quote.Text());
}
break;
}
if (record != null)
{
record.Status = (SQ.OrderStatus)quote.Status;
}
}
public string SendQuote(ref QuoteField quote)
{
int QuoteField_size = Marshal.SizeOf(typeof(QuoteField));
int OrderIDType_size = Marshal.SizeOf(typeof(OrderIDType));
IntPtr QuoteField_Ptr = Marshal.AllocHGlobal(QuoteField_size);
IntPtr OrderIDType_Ptr = Marshal.AllocHGlobal(OrderIDType_size * 3);
// 将结构体写成内存块
for (int i = 0; i < 1; ++i)
{
Marshal.StructureToPtr(quote, new IntPtr(QuoteField_Ptr.ToInt64() + i * QuoteField_size), false);
}
IntPtr ptr = proxy.XRequest((byte)RequestType.ReqQuoteInsert, Handle, IntPtr.Zero,
0, 0,
QuoteField_Ptr, 1, OrderIDType_Ptr, 0, IntPtr.Zero, 0);
string ret = Marshal.PtrToStringAnsi(ptr);
Marshal.FreeHGlobal(QuoteField_Ptr);
Marshal.FreeHGlobal(OrderIDType_Ptr);
return ret;
}
public OnRspQryQuoteEventArgs(ref QuoteField quote, int size1, bool bIsLast)
{
this.quote = quote;
this.size1 = size1;
this.bIsLast = bIsLast;
}
private void OnRspQryQuote_callback(object sender, ref QuoteField quote, int size1, bool bIsLast)
{
if (null != OnRspQryQuote)
{
OnRspQryQuote(this, new OnRspQryQuoteEventArgs(ref quote, size1, bIsLast));
}
}
