private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast)
{
if (null != OnRspQryTrade)
{
OnRspQryTrade(this, new OnRspQryTradeEventArgs(ref trade, size1, bIsLast));
}
}
private void OnRtnTrade_callback(object sender, ref TradeField trade)
{
if (null != OnRtnTrade)
{
OnRtnTrade(this, new OnRtnTradeEventArgs(ref trade));
}
}
private void ProcessTrade(TradeField trade)
{
_map.TryPeek(trade.ID, out var record);
if (record != null)
{
record.AddFill(trade.Price, trade.Qty);
var status = (record.LeavesQty > 0) ? OrderStatus.PartiallyFilled : OrderStatus.Filled;
var report = CreateReport(record, status, ExecType.ExecTrade);
report.DateTime = trade.UpdateTime();
report.LastPx = trade.Price;
report.LastQty = trade.Qty;
if (Math.Abs(trade.Commission) < double.Epsilon)
{
report.Commission = _provider.GetCommission(report);
}
else
{
report.Commission = trade.Commission;
}
_provider.OnMessage(report);
if (status == OrderStatus.Filled)
{
_map.RemoveFilled(trade.ID);
}
}
}
public TradingEvent(ExecType type, OrderField order)
{
Type = type;
OrderReturn = order;
Trade = null;
Order = null;
}
public TradingEvent(ExecType type)
{
Type = type;
Order = null;
Trade = null;
OrderReturn = null;
}
private string TradeFieldToLogString(TradeField field)
{
StringBuilder sb = new StringBuilder();
try
{
sb.Append(string.Format("[BrokerID:{0}]", field.BrokerID));
sb.Append(string.Format("[Direction:{0}]", field.Direction));
sb.Append(string.Format("[ExchangeID:{0}]", field.ExchangeID));
sb.Append(string.Format("[InstrumentID:{0}]", field.InstrumentID));
sb.Append(string.Format("[OffsetFlag:{0}]", field.OffsetFlag));
sb.Append(string.Format("[OrderRef:{0}]", field.OrderRef));
sb.Append(string.Format("[OrderSysID:{0}]", field.OrderSysID));
sb.Append(string.Format("[Price:{0}]", field.Price));
sb.Append(string.Format("[TradeDate:{0}]", field.TradeDate));
sb.Append(string.Format("[TradeID:{0}]", field.TradeID));
sb.Append(string.Format("[TradeTime:{0}]", field.TradeTime));
sb.Append(string.Format("[UserID:{0}]", field.UserID));
sb.Append(string.Format("[Volume:{0}]", field.Volume));
}
catch (Exception ex)
{
sb.Append("TradeFieldToLogString() failed,Error:" + ex.Message);
}
return(sb.ToString());
}
public TradingEvent(ExecType type, TradeField trade)
{
Type = type;
Trade = trade;
Order = null;
OrderReturn = null;
}
private void XApi_OnRtnTrade(object sender, ref TradeField trade)
{
if (onReturnTrade != null)
{
TradeInfo tradeInfo = StructTransfer.TransferTradeInfo(trade);
onReturnTrade(this, ref tradeInfo);
}
}
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast)
{
if (null == OnRspQryTrade)
{
return;
}
TradeClass cls = null;
if (size1 > 0)
{
TradeField field = trade;
cls = new TradeClass();
cls.InstrumentName = field.InstrumentName();
cls.Symbol = field.Symbol;
cls.InstrumentID = field.InstrumentID;
cls.ExchangeID = field.ExchangeID;
cls.ClientID = field.ClientID;
cls.AccountID = field.AccountID;
cls.Side = (int)field.Side;
cls.Side_String = Enum <XAPI.OrderSide> .ToString(field.Side);
cls.Qty = field.Qty;
cls.Price = field.Price;
cls.OpenClose = (int)field.OpenClose;
cls.OpenClose_String = Enum <XAPI.OpenCloseType> .ToString(field.OpenClose);
cls.HedgeFlag = (int)field.HedgeFlag;
cls.HedgeFlag_String = Enum <XAPI.HedgeFlagType> .ToString(field.HedgeFlag);
cls.Date = field.Date;
cls.Time = field.Time;
cls.ID = field.ID;
cls.TradeID = field.TradeID;
cls.ReserveInt32 = field.ReserveInt32;
cls.ReserveChar64 = field.ReserveChar64;
}
if (null == OnRspQryTrade)
{
QueueData qd = new QueueData();
qd.Type = (int)ResponeType.OnRspQryTrade;
qd.Type_String = Enum <XAPI.ResponeType> .ToString(ResponeType.OnRspQryTrade);
qd.Sender = this;
qd.Data1 = cls;
qd.Data2 = size1;
qd.Data3 = bIsLast;
MessageQueue.Enqueue(qd);
}
else
{
OnRspQryTrade(this, ref cls, size1, bIsLast);
}
}
private void OnRtnTrade_callback(object sender, [In] ref TradeField trade)
{
if (null == OnRtnTrade)
{
return;
}
TradeField field = trade;
TradeClass cls = new TradeClass();
cls.InstrumentName = field.InstrumentName();
cls.Symbol = field.Symbol;
cls.InstrumentID = field.InstrumentID;
cls.ExchangeID = field.ExchangeID;
cls.ClientID = field.ClientID;
cls.AccountID = field.AccountID;
cls.Side = (int)field.Side;
cls.Side_String = Enum <XAPI.OrderSide> .ToString(field.Side);
cls.Qty = field.Qty;
cls.Price = field.Price;
cls.OpenClose = (int)field.OpenClose;
cls.OpenClose_String = Enum <XAPI.OpenCloseType> .ToString(field.OpenClose);
cls.HedgeFlag = (int)field.HedgeFlag;
cls.HedgeFlag_String = Enum <XAPI.HedgeFlagType> .ToString(field.HedgeFlag);
cls.Date = field.Date;
cls.Time = field.Time;
cls.ID = field.ID;
cls.TradeID = field.TradeID;
cls.ReserveInt32 = field.ReserveInt32;
cls.ReserveChar64 = field.ReserveChar64;
cls.PortfolioID1 = field.PortfolioID1;
cls.PortfolioID2 = field.PortfolioID2;
cls.PortfolioID3 = field.PortfolioID3;
cls.Business = (int)field.Business;
cls.Business_String = Enum <XAPI.BusinessType> .ToString(field.Business);
if (null == OnRtnTrade)
{
QueueData qd = new QueueData();
qd.Type = (int)ResponseType.OnRtnTrade;
qd.Type_String = Enum <XAPI.ResponseType> .ToString(ResponseType.OnRtnTrade);
qd.Sender = this;
qd.Data1 = cls;
MessageQueue.Enqueue(qd);
}
else
{
OnRtnTrade(this, cls);
}
}
internal void OnMessage(TradeField field)
{
_processor.PostTrade(field);
if (QueryTradingDataAfterTrade)
{
Trader.QueryAccount();
Trader.QueryPositions();
}
}
//交易回报
private void _OnRtnTrade(object sender, TradeArgs e)
{
while (0 != Interlocked.Exchange(ref BaseStrategy.Locker, 1))
{
}
TradeField trade = e.Value;
LogUtils.EnginLog($"交易回报：{trade.OrderID}\t{trade.InstrumentID}\t{trade.Direction}\t{trade.Offset}\t{trade.Price}\t{trade.Volume}");
Interlocked.Exchange(ref BaseStrategy.Locker, 0);
}
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast)
{
if (size1 <= 0)
{
(sender as XApi).GetLog().Info("OnRspQryTrade");
return;
}
(sender as XApi).GetLog().Info("OnRspQryTrade:" + trade.ToFormattedString());
}
private void _OnRtnTrade(IntPtr ptr1, int size1)
{
// 求快，不加
//if (OnRtnTrade_ == null)
// return;
//TradeField obj = PInvokeUtility.GetObjectFromIntPtr<TradeField>(ptr1);
TradeField obj = (TradeField)Marshal.PtrToStructure(ptr1, typeof(TradeField));
OnRtnTrade_(this, ref obj);
}
private void _OnRspQryTrade(IntPtr ptr1, int size1, double double1)
{
if (OnRspQryTrade_ == null)
{
return;
}
TradeField obj = PInvokeUtility.GetObjectFromIntPtr <TradeField>(ptr1);
OnRspQryTrade_(this, ref obj, size1, double1 != 0);
}
private void _OnRtnTrade(IntPtr ptr1, int size1)
{
if (OnRtnTrade == null)
{
return;
}
TradeField obj = PInvokeUtility.GetObjectFromIntPtr <TradeField>(ptr1);
OnRtnTrade(this, ref obj);
}
private void OnRtnTrade_callback(object sender, ref TradeField trade)
{
(sender as XApi).GetLog().Debug("OnRtnTrade:" + trade.ToFormattedString());
try
{
orderMap.Process(ref trade);
}
catch (Exception ex)
{
(sender as XApi).GetLog().Error(ex);
}
}
private void _OnRtnTrade(IntPtr ptr1, int size1)
{
// 求快，不加
if (OnRtnTrade_ == null)
{
return;
}
TradeField obj = (TradeField)Marshal.PtrToStructure(ptr1, typeof(TradeField));
OnRtnTrade_(this, ref obj);
}
private ConcurrentDictionary <string, TradeField> tradesDict; // 防止重复收到成交回报
private OrderRecord GetExternalOrder(ref TradeField field)
{
ExternalOrderRecord record;
if (externalOrders.TryGetValue(field.InstrumentID, out record))
{
if (field.OpenClose == OpenCloseType.Open)
{
return(field.Side == XAPI.OrderSide.Buy ? record.BuyOpen : record.SellOpen);
}
return(field.Side == XAPI.OrderSide.Buy ? record.BuyClose : record.SellClose);
}
return(null);
}
public void Process(ref TradeField trade, NLog.Logger log)
{
lock (this)
{
OrderRecord record;
if (!workingOrders.TryGetValue(trade.ID, out record))
{
record = GetExternalOrder(ref trade);
}
if (record != null)
{
// CTP出现过重复发送委托与成交的情况，需要过滤。并提示
// 同一交易ID同一方向不会同时出现，出现表示系统重复提示
// 不向方向表示自成交了
TradeField field = null;
if (tradesDict.TryGetValue(trade.TradeID, out field))
{
// 有取出，可能是自成交，也可能是重复发单
if (trade.Side == field.Side)
{
log.Error("重复收到成交回报！");
// 后面不再处理
return;
}
else
{
log.Warn("出现自成交！");
// 自成交也得处理
}
}
else
{
tradesDict[trade.TradeID] = trade;
}
record.AddFill(trade.Price, (int)trade.Qty);
SQ.ExecType execType = SQ.ExecType.ExecTrade;
SQ.OrderStatus orderStatus = (record.LeavesQty > 0) ? SQ.OrderStatus.PartiallyFilled : SQ.OrderStatus.Filled;
ExecutionReport report = CreateReport(record, execType, orderStatus);
report.LastPx = trade.Price;
report.LastQty = trade.Qty;
provider.EmitExecutionReport(report);
}
else
{
// log.Warn("Trade,找不到订单，workingOrders.Count={0}", workingOrders.Count);
}
}
}
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast)
{
if (size1 <= 0)
{
(sender as XApi).GetLog().Info("OnRspQryTrade");
}
else
{
(sender as XApi).GetLog().Info("OnRspQryTrade:" + trade.ToFormattedString());
}
if (OnRspQryTrade != null)
{
OnRspQryTrade(this, ref trade, size1, bIsLast);
}
}
//交易回报
public static void Body_OnRtnTrade(TradeField tf)
{
lock (OcAllTradeField)
{
int index = OcAllTradeField.IndexOf(tf);
if (index == -1)
{
OcAllTradeField.Insert(0, tf);
}
else
{
OcAllTradeField[index].CThostFtdcTradeFieldInstance = tf.CThostFtdcTradeFieldInstance;
}
}
}
private void _onRtnTrade(object sender, ref TradeField field)
{
Instrument inst = InstrumentManager.GetInstrument(field.InstrumentID);
if (inst == null)
{
return;
}
//
BrokerTrade trade = new BrokerTrade(inst
, ConvertUtil.ConvertExchange(field.ExchangeID)
, ConvertUtil.ConvertDirectionType(field.Side)
, (long)field.Qty
, field.Price
, ConvertUtil.ConvertOpenCloseType(field.OpenClose)
, DateTime.Now);
mOnTrade?.Invoke(trade);
}
public void Process(ref TradeField trade)
{
OrderRecord record;
if (!workingOrders.TryGetValue(trade.ID, out record))
{
record = GetExternalOrder(ref trade);
}
if (record != null)
{
record.AddFill(trade.Price, (int)trade.Qty);
SQ.ExecType execType = SQ.ExecType.ExecTrade;
SQ.OrderStatus orderStatus = (record.LeavesQty > 0) ? SQ.OrderStatus.PartiallyFilled : SQ.OrderStatus.Filled;
ExecutionReport report = CreateReport(record, execType, orderStatus);
report.LastPx = trade.Price;
report.LastQty = trade.Qty;
provider.EmitExecutionReport(report);
}
}
private void ProcessTrade(TradeField trade)
{
_map.TryGetOrder(trade.ID, out var record);
if (record != null)
{
record.AddFill(trade.Price, trade.Qty);
var status = record.LeavesQty > 0 ? OrderStatus.PartiallyFilled : OrderStatus.Filled;
var report = CreateReport(record, status, ExecType.ExecTrade);
report.ExecId = trade.TradeID;
report.DateTime = trade.UpdateTime();
if (report.DateTime.Date != _provider.trader.TradingDay)
{
report.TransactTime = _provider.trader.TradingDay.Add(report.DateTime.TimeOfDay);
}
else
{
report.TransactTime = report.DateTime;
}
report.LastPx = trade.Price;
report.LastQty = trade.Qty;
if (Math.Abs(trade.Commission) < double.Epsilon)
{
report.Commission = _provider.GetCommission(report);
}
else
{
report.Commission = trade.Commission;
}
_provider.OnMessage(report);
if (status == OrderStatus.Filled)
{
_map.RemoveDone(trade.ID);
}
}
}
private void OnRtnTrade_callback(object sender, ref TradeField trade)
{
lock (this)
{
var log = (sender as XApi).GetLog();
log.Debug("OnRtnTrade:" + trade.ToFormattedString());
// 由策略来收回报
if (OnRtnTrade != null)
{
OnRtnTrade(sender, ref trade);
}
try
{
orderMap.Process(ref trade, log);
}
catch (Exception ex)
{
log.Error(ex);
}
}
}
public OnRspQryTradeEventArgs(ref TradeField trade, int size1, bool bIsLast)
{
this.trade = trade;
this.size1 = size1;
this.bIsLast = bIsLast;
}
protected virtual void OnRtnTrade(object sender, TradeField trade)
{
Provider.OnMessage(trade);
}
public OnRtnTradeEventArgs(ref TradeField trade)
{
this.trade = trade;
}
public OnRtnTradeEventArgs(ref TradeField trade)
{
this.trade = trade;
}
internal void OnMessage(TradeField field)
{
_processor.PostTrade(field);
}
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast)
{
if (null != OnRspQryTrade)
{
OnRspQryTrade(this, new OnRspQryTradeEventArgs(ref trade, size1, bIsLast));
}
}
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast)
{
if (null == OnRspQryTrade)
return;
TradeClass cls = null;
if (size1 > 0)
{
TradeField field = trade;
cls = new TradeClass();
cls.InstrumentName = field.InstrumentName();
cls.Symbol = field.Symbol;
cls.InstrumentID = field.InstrumentID;
cls.ExchangeID = field.ExchangeID;
cls.ClientID = field.ClientID;
cls.AccountID = field.AccountID;
cls.Side = (int)field.Side;
cls.Side_String = Enum<XAPI.OrderSide>.ToString(field.Side);
cls.Qty = field.Qty;
cls.Price = field.Price;
cls.OpenClose = (int)field.OpenClose;
cls.OpenClose_String = Enum<XAPI.OpenCloseType>.ToString(field.OpenClose);
cls.HedgeFlag = (int)field.HedgeFlag;
cls.HedgeFlag_String = Enum<XAPI.HedgeFlagType>.ToString(field.HedgeFlag);
cls.Date = field.Date;
cls.Time = field.Time;
cls.ID = field.ID;
cls.TradeID = field.TradeID;
cls.ReserveInt32 = field.ReserveInt32;
cls.ReserveChar64 = field.ReserveChar64;
}
if (null == OnRspQryTrade)
{
QueueData qd = new QueueData();
qd.Type = (int)ResponeType.OnRspQryTrade;
qd.Type_String = Enum<XAPI.ResponeType>.ToString(ResponeType.OnRspQryTrade);
qd.Sender = this;
qd.Data1 = cls;
qd.Data2 = size1;
qd.Data3 = bIsLast;
MessageQueue.Enqueue(qd);
}
else
{
OnRspQryTrade(this, ref cls, size1, bIsLast);
}
}
public void PostTrade(TradeField trade)
{
_orderBlock.Post(new TradingEvent(ExecType.ExecTrade, trade));
}
private void OnRtnTrade_callback(object sender, ref TradeField trade)
{
if (null != OnRtnTrade)
{
OnRtnTrade(this, new OnRtnTradeEventArgs(ref trade));
}
}