/// <summary>
/// TThostFtdcHedgeFlagType枚举型转为HedgeFlag枚举型
/// </summary>
/// <param name="tfhft">TThostFtdcHedgeFlagType枚举型</param>
/// <returns></returns>
public static HedgeFlag TThostFtdcHedgeFlagType_To_HedgeFlag(TThostFtdcHedgeFlagType tfhft)
{
HedgeFlag hf = HedgeFlag.Speculation;
switch (tfhft)
{
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation:
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage:
hf = HedgeFlag.Arbitrage;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Hedge:
hf = HedgeFlag.Hedge;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_MarketMaker:
hf = HedgeFlag.MarketMaker;
break;
default:
break;
}
return(hf);
}
//开仓时调用
public bool InsertOrReplaceForOpen(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock (this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
if (rows.Count() == 1)
{
rows[0][Position] = volume + (int)rows[0][Position];
}
else
{
try
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
volume);
}
catch
{
return(false);
}
}
return(true);
}
}
public void GetPositions(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
out int YdPosition,
out int TodayPosition)
{
YdPosition = 0;
TodayPosition = 0;
DataView view = dtInvestorPosition.DefaultView;
view.RowFilter = string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag);
foreach (DataRowView dr in view)
{
int vol = (int)dr[Position];
TThostFtdcPositionDateType PositionDate1 = (TThostFtdcPositionDateType)dr[PositionDate];
if (TThostFtdcPositionDateType.Today == PositionDate1)
{
TodayPosition += vol;
}
else
{
YdPosition += vol;
}
}
}
public void GetPositions(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
out int YdPosition,
out int TodayPosition)
{
YdPosition = 0;
TodayPosition = 0;
DataView view = dtInvestorPosition.DefaultView;
view.RowFilter = string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag);
foreach (DataRowView dr in view)
{
int vol = (int)dr[Position];
TThostFtdcPositionDateType PositionDate1 = (TThostFtdcPositionDateType)dr[PositionDate];
if (TThostFtdcPositionDateType.Today == PositionDate1)
{
TodayPosition += vol;
}
else
{
YdPosition += vol;
}
}
}
//只有在平今或平昨时才会调用
public int ReplaceForClose(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock (this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
int restVol = volume;
foreach (DataRow dr in rows)
{
if (restVol > 0)
{
int vol = (int)dr[Position];
if (restVol - vol >= 0)
{
//不够，得多设置几条
dr[Position] = 0;
restVol -= vol;
}
else
{
//足够了，只设置当前即可
dr[Position] = vol - restVol;
restVol = 0;
}
}
}
return(restVol);
}
}
public int SendQuote(
int QuoteRef,
string szInstrument,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return(0);
}
return(TraderApi.TD_SendQuote(
IntPtrKey,
QuoteRef,
szInstrument,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag));
}
private string GetPositionKey(string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate)
{
return(string.Format("{0}:{1}:{2}:{3}", InstrumentID, PosiDirection, HedgeFlag, PositionDate));
}
public void ReqQryInstrumentMarginRate(string szInstrument, TThostFtdcHedgeFlagType HedgeFlag)
{
if (null == m_pTdApi || IntPtr.Zero == m_pTdApi)
{
return;
}
TraderApi.TD_ReqQryInstrumentMarginRate(m_pTdApi, szInstrument, HedgeFlag);
}
public static extern int TD_SendQuote(
IntPtr pTraderApi,
int QuoteRef,
string szInstrument,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag);
public void ReqQryInstrumentMarginRate(string instrument, TThostFtdcHedgeFlagType HedgeFlag)
{
if (null != MarginRates)
{
CThostFtdcInstrumentMarginRateField value;
if (MarginRates.TryGetValue(instrument, out value))
{
FireOnRspQryInstrumentMarginRate(value);
return;
}
}
if (!string.IsNullOrEmpty(instrument) &&
null != m_pTdApi &&
IntPtr.Zero != m_pTdApi)
{
TraderApi.TD_ReqQryInstrumentMarginRate(m_pTdApi, instrument, HedgeFlag);
}
}
public void ReqQryInstrumentMarginRate(string instrument, TThostFtdcHedgeFlagType HedgeFlag)
{
if (null != MarginRates)
{
CThostFtdcInstrumentMarginRateField value;
if (MarginRates.TryGetValue(instrument, out value))
{
FireOnRspQryInstrumentMarginRate(value);
return;
}
}
if (!string.IsNullOrEmpty(instrument)
&& null != m_pTdApi
&& IntPtr.Zero != m_pTdApi)
{
TraderApi.TD_ReqQryInstrumentMarginRate(m_pTdApi, instrument, HedgeFlag);
}
}
private void Send(QuoteOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder AskOrder = item.Sell.Order;
SingleOrder BidOrder = item.Buy.Order;
string symbol = item.Buy.Order.Symbol;
double AskPrice = AskOrder.Price;
double BidPrice = BidOrder.Price;
int AskVolume = (int)AskOrder.OrderQty;
int BidVolume = (int)BidOrder.OrderQty;
TThostFtdcOffsetFlagType AskOffsetFlag = CTPAPI.ToCTP(item.Sell.OpenClose);
TThostFtdcOffsetFlagType BidOffsetFlag = CTPAPI.ToCTP(item.Buy.OpenClose);
TThostFtdcHedgeFlagType AskHedgeFlag = HedgeFlagType;
TThostFtdcHedgeFlagType BidHedgeFlag = HedgeFlagType;
int nRet = 0;
#if CTP
nRet = TraderApi.TD_SendQuote(m_pTdApi,
-1,
symbol,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
//只有在TThostFtdcOffsetFlagType.Close时才调用这一函数
public int ReplaceForClose(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
int volume)
{
lock (this)
{
DataView view = dtInvestorPosition.DefaultView;
view.RowFilter = string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag);
view.Sort = string.Format("PositionDate DESC");//将历史的排前面
int restVol = volume;
foreach (DataRowView dr in view)
{
if (restVol > 0)
{
int vol = (int)dr[Position];
if (restVol - vol >= 0)
{
//不够，得多设置几条
dr[Position] = 0;
restVol -= vol;
}
else
{
//足够了，只设置当前即可
dr[Position] = vol - restVol;
restVol = 0;
}
}
}
return(restVol);
}
}
//private int x = 0;
//查询持仓后调用此函数
public bool InsertOrReplace(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock(this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate);
if (rows.Count() == 1)
{
rows[0][Position] = volume;
}
else
{
try
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
volume);
}
catch
{
return false;
}
}
return true;
}
}
/// <summary>
/// 请求查询合约保证金率:能为null;每次只能查一个合约
/// </summary>
/// <param name="hedgeFlag">投机/套保</param>
/// <param name="instrumentID">合约代码:不填-查所有</param>
public int QryInstrumentMarginRate(string instrumentID,TThostFtdcHedgeFlagType hedgeFlag = TThostFtdcHedgeFlagType.Speculation)
{
return reqQryInstrumentMarginRate(this.BrokerID, this.InvestorID, instrumentID, hedgeFlag);
}
private string GetPositionKey(string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate)
{
return string.Format("{0}:{1}:{2}:{3}", InstrumentID, PosiDirection, HedgeFlag, PositionDate);
}
public DataRow[] Select(string InstrumentID, TThostFtdcPosiDirectionType PosiDirection, TThostFtdcHedgeFlagType HedgeFlag, TThostFtdcPositionDateType PositionDate)
{
return(dtInvestorPosition.Select(
string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2} and PositionDate={3}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag,
(int)PositionDate)));
}
public DataRow[] Select(string InstrumentID, TThostFtdcPosiDirectionType PosiDirection, TThostFtdcHedgeFlagType HedgeFlag, TThostFtdcPositionDateType PositionDate)
{
return dtInvestorPosition.Select(
string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2} and PositionDate={3}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag,
(int)PositionDate));
}
public void ReqQryInstrumentMarginRate(string szInstrument, TThostFtdcHedgeFlagType HedgeFlag)
{
m_Api.ReqQryInstrumentMarginRate(szInstrument, HedgeFlag);
}
public void ReqQryInstrumentMarginRate(string szInstrument, TThostFtdcHedgeFlagType HedgeFlag)
{
m_Api.ReqQryInstrumentMarginRate(szInstrument, HedgeFlag);
}
public static extern int TD_SendQuote(
IntPtr pTraderApi,
int QuoteRef,
string szInstrument,
string szExchange,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag);
public void ReqQryInstrumentMarginRate(string szInstrument, TThostFtdcHedgeFlagType HedgeFlag)
{
if (null == m_pTdApi || IntPtr.Zero == m_pTdApi)
{
return;
}
TraderApi.TD_ReqQryInstrumentMarginRate(m_pTdApi, szInstrument, HedgeFlag);
}
//只收到成交信息时调用
public bool InsertOrReplaceForTrade(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcDirectionType Direction,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock (this)
{
// 今天的买入要先冻结
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
if (rows.Count() == 1)
{
int vol = (int)rows[0][Position];
rows[0][Position] = vol - volume;
}
else
{
//假设是新添数据
try
{
if (Direction == TThostFtdcDirectionType.Buy)
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
0,
volume,
0);
}
else
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
0,
0,
volume);
}
}
catch
{
return false;
}
}
return true;
}
}
public int SendQuote(
int QuoteRef,
string szInstrument,
string szExchange,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return 0;
}
return TraderApi.TD_SendQuote(
IntPtrKey,
QuoteRef,
szInstrument,
szExchange,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag);
}
public int SendOrder(
int OrderRef,
string szInstrument,
TThostFtdcDirectionType Direction,
TThostFtdcOffsetFlagType OffsetFlag,
TThostFtdcHedgeFlagType HedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice,
TThostFtdcVolumeConditionType VolumeCondition)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return 0;
}
char szOffsetFlag = (char) OffsetFlag;
char hedgeFlag = (char) HedgeFlag;
return TraderApi.TD_SendOrder(
IntPtrKey,
OrderRef,
szInstrument,
Direction,
szOffsetFlag.ToString(),
hedgeFlag.ToString(),
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice,
VolumeCondition);
}
static extern int reqQryInstrumentMarginRate(string BROKER_ID, string INVESTOR_ID, string INSTRUMENT_ID, TThostFtdcHedgeFlagType HEDGE_FLAG);
public static extern void TD_ReqQryInstrumentMarginRate(IntPtr pTraderApi, string szInstrument, TThostFtdcHedgeFlagType HedgeFlag);
//只有在平今或平昨时才会调用
public int ReplaceForClose(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock(this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
int restVol = volume;
foreach (DataRow dr in rows)
{
if (restVol > 0)
{
int vol = (int)dr[Position];
if (restVol - vol >= 0)
{
//不够，得多设置几条
dr[Position] = 0;
restVol -= vol;
}
else
{
//足够了，只设置当前即可
dr[Position] = vol - restVol;
restVol = 0;
}
}
}
return restVol;
}
}
public static extern void TD_ReqQryInstrumentMarginRate(IntPtr pTraderApi, string szInstrument, TThostFtdcHedgeFlagType HedgeFlag);
//只有在TThostFtdcOffsetFlagType.Close时才调用这一函数
public int ReplaceForClose(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
int volume)
{
lock(this)
{
DataView view = dtInvestorPosition.DefaultView;
view.RowFilter = string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag);
view.Sort = "PositionDate DESC";//将历史的排前面
int restVol = volume;
foreach (DataRowView dr in view)
{
if (restVol > 0)
{
int vol = (int)dr[Position];
if (restVol - vol >= 0)
{
//不够，得多设置几条
dr[Position] = 0;
restVol -= vol;
}
else
{
//足够了，只设置当前即可
dr[Position] = vol - restVol;
restVol = 0;
}
}
}
return restVol;
}
}