public TradingEvent(ExecType type, OrderField order)
{
Type = type;
OrderReturn = order;
Trade = null;
Order = null;
}
public void EmitExecutionReport(OrderRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus, string text)
{
ExecutionReport report = CreateReport(record, execType, orderStatus);
report.Text = text;
provider.EmitExecutionReport(report);
}
public TradingEvent(ExecType type, TradeField trade)
{
Type = type;
Trade = trade;
Order = null;
OrderReturn = null;
}
public TradingEvent(ExecType type)
{
Type = type;
Order = null;
Trade = null;
OrderReturn = 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);
}
}
}
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 static ExecutionReport CreateReport(OrderRecord record, OrderStatus ordStatus, ExecType execType, string text = "")
{
var report = new ExecutionReport(record.Order);
report.DateTime = DateTime.Now;
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.OrdStatus = ordStatus;
report.ExecType = execType;
report.Text = text == "" ? record.Order.Text : text;
return(report);
}
public void EmitExecutionReport(OrderRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus)
{
ExecutionReport report = CreateReport(record, execType, orderStatus);
provider.EmitExecutionReport(report);
}
public void EmitExecutionReport(QuoteRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus, string text)
{
EmitExecutionReport(new OrderRecord(record.AskOrder), execType, orderStatus, text);
EmitExecutionReport(new OrderRecord(record.BidOrder), execType, orderStatus, text);
}
