private void btnOK_Click(object sender, EventArgs e)
{
MessageBox.Show("开仓参数不允许修改");
return;
string errorMessage = string.Empty;
ArbitrageOpenArgument openArg = this.arbitrageOrderOpenArgumentViewControl1.GetOpenArgument(out errorMessage);
if (openArg == null)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, errorMessage);
return;
}
try
{
m_autoTrader.SetOpenArgument(openArg);
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
this.DialogResult = DialogResult.Yes;
this.Close();
}
/// <summary>
/// 校验开仓运行参数。
/// </summary>
/// <param name="errorMessage">错误信息。</param>
/// <returns></returns>
private bool VerfiyOpenArgument(ArbitrageOpenArgument argument, out string errorMessage)
{
Debug.Assert(argument != null);
errorMessage = string.Empty;
if (argument.BuyInstrument == null)
{
errorMessage = "买入合约不能为空";
return(false);
}
if (argument.SellInstrument == null)
{
errorMessage = "卖出合约不能为空";
return(false);
}
if (argument.TotalOrderQty <= 0)
{
errorMessage = "下单口数不能为空";
return(false);
}
if (argument.OrderQtyUint <= 0)
{
errorMessage = "下单单位不能为空";
return(false);
}
return(true);
}
/// <summary>
/// 评估创建套利单需要保证金。
/// </summary>
/// <param name="openArg"></param>
/// <returns></returns>
public decimal EvaluateMargin(ArbitrageOpenArgument openArg)
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
USeInstrumentDetail buyInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.SellInstrument);
USeMarketData buyMarketData = quoteDriver.Query(openArg.BuyInstrument);
USeMarketData sellMarketData = quoteDriver.Query(openArg.SellInstrument);
USeMargin buyMarginRate = orderDriver.QueryInstrumentMargin(openArg.BuyInstrument);
USeMargin sellMarginRate = orderDriver.QueryInstrumentMargin(openArg.SellInstrument);
decimal buyMargin = (openArg.TotalOrderQty * buyMarginRate.BrokerLongMarginRatioByVolume) +
(buyMarketData.LastPrice * openArg.TotalOrderQty * buyInstrumentDetail.VolumeMultiple * buyMarginRate.BrokerLongMarginRatioByMoney);
decimal sellMargin = (openArg.TotalOrderQty * sellMarginRate.BrokerShortMarginRatioByVolume) +
(sellMarketData.LastPrice * openArg.TotalOrderQty * sellInstrumentDetail.VolumeMultiple * sellMarginRate.BrokerShortMarginRatioByMoney);
if (openArg.BuyInstrument.Market == USeMarket.SHFE && openArg.SellInstrument.Market == USeMarket.SHFE)
{
return(Math.Max(buyMargin, sellMargin));
}
else
{
return(buyMargin + sellMargin);
}
}
public void SetOpenArgument(ArbitrageOpenArgument openArg)
{
if (openArg == null)
{
ClearView();
return;
}
this.lblBuyInstrument.Text = openArg.BuyInstrument.InstrumentCode;
this.lblSellInstrument.Text = openArg.SellInstrument.InstrumentCode;
this.lblBuyOrderPriceType.Text = openArg.BuyInstrumentOrderPriceType.ToDescription();
this.lblSellOrderPriceType.Text = openArg.SellInstrumentOrderPriceType.ToDescription();
switch (openArg.PreferentialSide)
{
case USeOrderSide.Buy:
this.lblPreferentialSide_Buy.Text = "优先买入";
this.lblPreferentialSide_Buy.Font = new System.Drawing.Font("Microsoft Sans Serif", 7.8F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point, ((byte)(134)));
this.lblPreferentialSide_Buy.ForeColor = Color.Red;
this.lblPreferentialSide_Sell.Text = "卖出";
this.lblPreferentialSide_Sell.Font = new System.Drawing.Font("Microsoft Sans Serif", 7.8F, System.Drawing.FontStyle.Regular, System.Drawing.GraphicsUnit.Point, ((byte)(134)));
this.lblPreferentialSide_Sell.ForeColor = SystemColors.ControlText;
break;
case USeOrderSide.Sell:
this.lblPreferentialSide_Buy.Text = "买入";
this.lblPreferentialSide_Buy.Font = new System.Drawing.Font("Microsoft Sans Serif", 7.8F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point, ((byte)(134)));
this.lblPreferentialSide_Buy.ForeColor = Color.Red;
this.lblPreferentialSide_Sell.Text = "优先卖出";
this.lblPreferentialSide_Sell.Font = this.lblPreferentialSide_Sell.Font = new System.Drawing.Font("Microsoft Sans Serif", 7.8F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point, ((byte)(134)));
this.lblPreferentialSide_Sell.ForeColor = SystemColors.ControlText;
break;
}
switch (openArg.OpenCondition.PriceSpreadSide)
{
case PriceSpreadSide.GreaterOrEqual:
this.lblPriceSpreadSide.Text = "大于等于";
this.lblPriceSpreadSide.ForeColor = Color.Red;
break;
case PriceSpreadSide.LessOrEqual:
this.lblPriceSpreadSide.Text = "小于等于";
this.lblPriceSpreadSide.ForeColor = Color.Blue;
break;
}
this.lblPriceSpreadThreshold.Text = openArg.OpenCondition.PriceSpreadThreshold.ToString();
this.lblTotalOrderQty.Text = openArg.TotalOrderQty.ToString();
this.lblOrderQtyUint.Text = openArg.OrderQtyUint.ToString();
this.lblDifferentialUnit.Text = openArg.DifferentialUnit.ToString();
}
/// <summary>
/// 设置前套利参数用于修改
/// </summary>
private void SetArbitrageArgument(ArbitrageArgument arg)
{
this.arbitrageOperationSideControl.OperationSide = arg.OperationSide;
//开仓参数参数
if (arg.OpenArg != null)
{
ArbitrageOpenArgument openArg = arg.OpenArg;
this.preferentialSideControl_OpenArg.PreferentialSide = openArg.PreferentialSide;
this.orderPriceTypeControl_OpenNearArg.OrderPriceType = openArg.NearOrderPriceType;
this.orderPriceTypeControl_OpenFarArg.OrderPriceType = openArg.FarOrderPriceType;
this.priceSpreadSideControl_OpenSpreadArg.PriceSpreadSide = openArg.OpenCondition.PriceSpreadSide;
this.nudPriceSpreadThreshold_OpenArg.Value = openArg.OpenCondition.PriceSpreadThreshold;
this.nudDifferentialUnit_OpenArg.Value = openArg.DifferentialUnit;
this.nudOrderQtyUint_OpenArg.Value = openArg.OrderQtyUint;
this.nudTotalOrderQty_OpenArg.Value = openArg.TotalOrderQty;
}
//平仓参数
if (arg.CloseArg != null)
{
ArbitrageCloseArgument closeArg = arg.CloseArg;
this.orderPriceTypeControl_CloseNearArg.OrderPriceType = closeArg.NearOrderPriceType;
this.orderPriceTypeControl_CloseFarArg.OrderPriceType = closeArg.FarOrderPriceType;
this.preferentialSideControl_CloseArg.PreferentialSide = closeArg.PreferentialSide;
this.priceSpreadSideControl_CloseSpreadArg.PriceSpreadSide = closeArg.CloseCondition.PriceSpreadSide;
this.nudPriceSpreadThreshold_CloseArg.Value = closeArg.CloseCondition.PriceSpreadThreshold;
this.nudDifferentialUnit_CloseArg.Value = closeArg.DifferentialUnit;
this.nudOrderQtyUint_CloseArg.Value = closeArg.OrderQtyUint;
}
//止损参数
if (arg.StopLossArg != null)
{
this.priceSpreadSideControl_StopLossArg.PriceSpreadSide = arg.StopLossArg.StopLossCondition.PriceSpreadSide;
this.nudPriceSpreadThreshold_StopLossArg.Value = arg.StopLossArg.StopLossCondition.PriceSpreadThreshold;
}
//预警参数
if (arg.AlarmArgs != null)
{
foreach (ArbitrageAlarmArgument alarmArg in arg.AlarmArgs)
{
m_dataSourceAlarm.Add(ArbitrageAlarmArgumentViewModel.CreatViewModel(alarmArg));
}
}
}
private static ArbitrageOpenArgument CreateOpenArg()
{
//ArbiOrder开仓仓参数
ArbitrageOpenArgument arg = new ArbitrageOpenArgument();
arg.BuyInstrument = new USeInstrument("CF1701", "CF1701", USeMarket.CFFEX);
arg.SellInstrument = new USeInstrument("CF1701", "CF1701", USeMarket.CFFEX);
arg.BuyInstrumentOrderPriceType = ArbitrageOrderPriceType.OpponentPrice;
arg.SellInstrumentOrderPriceType = ArbitrageOrderPriceType.LastPrice;
arg.PreferentialSide = USeOrderSide.Buy;
arg.OpenCondition = new PriceSpreadCondition()
{
PriceSpreadSide = PriceSpreadSide.LessOrEqual,
PriceSpreadThreshold = 200
};
arg.TotalOrderQty = 100;
arg.OrderQtyUint = 10;
arg.DifferentialUnit = 3;
return(arg);
}
/// <summary>
/// 校验保证金。
/// </summary>
/// <param name="errorMessage"></param>
/// <returns></returns>
private bool VerifyMargin(ArbitrageOpenArgument openArg, out string errorMessage)
{
errorMessage = string.Empty;
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
try
{
OrderMarginSetting marginSetting = USeManager.Instance.SystemConfigManager.GetOrderMarginSetting();
USeFundDetail fundDetail = orderDriver.QueryFundDetailInfo();
if (fundDetail == null)
{
errorMessage = "查询资金信息失败";
return(false);
}
decimal evaluateMargin = EvaluateMargin(openArg); // 评估当前开仓参数可能占用保证金
decimal investorMaxUse = fundDetail.DynamicBenefit * marginSetting.MaxUseRate; // 账户最大占用保证金
decimal usedMargin = USeManager.Instance.AutoTraderManager.CalculatUseMargin(); // 当前套利单占用保证金
if (investorMaxUse < usedMargin + evaluateMargin)
{
errorMessage = string.Format("套利单预计占用{0}保证金,当前账户占用保证金超出设定预警阀值", evaluateMargin.ToString("#,0"));
return(false);
}
if (fundDetail.Available < evaluateMargin)
{
errorMessage = string.Format("套利单预计占用{0}保证金，当前账户可用余额不足", evaluateMargin.ToString("#,0"));
return(false);
}
return(true);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
errorMessage = "校验保证金失败";
return(false);
}
}
/// <summary>
/// 计算当前套利单占用的保证金。
/// </summary>
/// <returns></returns>
public decimal CalculatUseMargin()
{
ArbitrageOpenArgument openArg = null;
lock (m_syncObj)
{
if (m_arbitrageOrder.State == ArbitrageOrderState.Finish ||
m_arbitrageOrder.State == ArbitrageOrderState.Closed)
{
//平仓完成套利单不占用保证金
return(0m);
}
openArg = m_arbitrageOrder.OpenArgument.Clone();
}
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
USeInstrumentDetail buyInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.BuyInstrument);
USeInstrumentDetail sellInstrumentDetail = orderDriver.QueryInstrumentDetail(openArg.SellInstrument);
USeMarketData buyMarketData = quoteDriver.Query(openArg.BuyInstrument);
USeMarketData sellMarketData = quoteDriver.Query(openArg.SellInstrument);
USeMargin buyMarginRate = orderDriver.QueryInstrumentMargin(openArg.BuyInstrument);
USeMargin sellMarginRate = orderDriver.QueryInstrumentMargin(openArg.SellInstrument);
decimal buyMargin = (openArg.TotalOrderQty * buyMarginRate.BrokerLongMarginRatioByVolume) +
(buyMarketData.LastPrice * openArg.TotalOrderQty * buyInstrumentDetail.VolumeMultiple * buyMarginRate.BrokerLongMarginRatioByMoney);
decimal sellMargin = (openArg.TotalOrderQty * sellMarginRate.BrokerShortMarginRatioByVolume) +
(sellMarketData.LastPrice * openArg.TotalOrderQty * sellInstrumentDetail.VolumeMultiple * sellMarginRate.BrokerShortMarginRatioByMoney);
if (openArg.BuyInstrument.Market == USeMarket.SHFE && openArg.SellInstrument.Market == USeMarket.SHFE)
{
return(Math.Max(buyMargin, sellMargin));
}
else
{
return(buyMargin + sellMargin);
}
}
public void SetOpenArgument(ArbitrageOpenArgument openArg)
{
InitializeInstument(string.Empty);
if (openArg == null)
{
return;
}
for (int i = 0; i < this.cbxBuyInstrument.Items.Count; i++)
{
if ((this.cbxBuyInstrument.Items[i] as USeInstrument).InstrumentCode == openArg.BuyInstrument.InstrumentCode)
{
this.cbxBuyInstrument.SelectedIndex = i;
break;
}
}
for (int i = 0; i < this.cbxSellInstrument.Items.Count; i++)
{
if ((this.cbxSellInstrument.Items[i] as USeInstrument).InstrumentCode == openArg.SellInstrument.InstrumentCode)
{
this.cbxSellInstrument.SelectedIndex = i;
break;
}
}
switch (openArg.BuyInstrumentOrderPriceType)
{
case ArbitrageOrderPriceType.LastPrice:
this.rbnBuyOrderPriceType_LastPrice.Checked = true;
break;
case ArbitrageOrderPriceType.OpponentPrice:
this.rbnBuyOrderPriceType_OpponentPrice.Checked = true;
break;
case ArbitrageOrderPriceType.QueuePrice:
this.rbnBuyOrderPriceType_QueuePrice.Checked = true;
break;
}
switch (openArg.SellInstrumentOrderPriceType)
{
case ArbitrageOrderPriceType.LastPrice:
this.rbnSellOrderPriceType_LastPrice.Checked = true;
break;
case ArbitrageOrderPriceType.OpponentPrice:
this.rbnSellOrderPriceType_OpponentPrice.Checked = true;
break;
case ArbitrageOrderPriceType.QueuePrice:
this.rbnSellOrderPriceType_QueuePrice.Checked = true;
break;
}
switch (openArg.PreferentialSide)
{
case USeOrderSide.Buy:
this.rbnPreferentialSide_Buy.Checked = true;
break;
case USeOrderSide.Sell:
this.rbnPreferentialSide_Sell.Checked = true;
break;
}
switch (openArg.OpenCondition.PriceSpreadSide)
{
case PriceSpreadSide.GreaterOrEqual:
this.rbnPriceSpreadSide_Greater.Checked = true;
break;
case PriceSpreadSide.LessOrEqual:
this.rbnPriceSpreadSide_Less.Checked = true;
break;
}
this.nudPriceSpreadThreshold.Value = openArg.OpenCondition.PriceSpreadThreshold;
this.nudTotalOrderQty.Value = openArg.TotalOrderQty;
this.nudOrderQtyUint.Value = openArg.OrderQtyUint;
this.nudDifferentialUnit.Value = openArg.DifferentialUnit;
}
public ArbitrageOpenArgument GetOpenArgument(out string errorMessage)
{
if (VerifyOpenArgument(out errorMessage) == false)
{
return(null);
}
USeInstrument buyInstrument = this.cbxBuyInstrument.SelectedItem as USeInstrument;
USeInstrument sellInstrument = this.cbxSellInstrument.SelectedItem as USeInstrument;
ArbitrageOrderPriceType buyOrderPriceType = ArbitrageOrderPriceType.Unknown;
if (this.rbnBuyOrderPriceType_LastPrice.Checked)
{
buyOrderPriceType = ArbitrageOrderPriceType.LastPrice;
}
else if (this.rbnBuyOrderPriceType_OpponentPrice.Checked)
{
buyOrderPriceType = ArbitrageOrderPriceType.OpponentPrice;
}
else if (this.rbnBuyOrderPriceType_QueuePrice.Checked)
{
buyOrderPriceType = ArbitrageOrderPriceType.QueuePrice;
}
else
{
Debug.Assert(false);
}
ArbitrageOrderPriceType sellOrderPriceType = ArbitrageOrderPriceType.Unknown;
if (this.rbnSellOrderPriceType_LastPrice.Checked)
{
sellOrderPriceType = ArbitrageOrderPriceType.LastPrice;
}
else if (this.rbnSellOrderPriceType_OpponentPrice.Checked)
{
sellOrderPriceType = ArbitrageOrderPriceType.OpponentPrice;
}
else if (this.rbnSellOrderPriceType_QueuePrice.Checked)
{
sellOrderPriceType = ArbitrageOrderPriceType.QueuePrice;
}
else
{
Debug.Assert(false);
}
USeOrderSide preferentialSide = USeOrderSide.Buy;
if (this.rbnPreferentialSide_Buy.Checked)
{
preferentialSide = USeOrderSide.Buy;
}
else if (this.rbnPreferentialSide_Sell.Checked)
{
preferentialSide = USeOrderSide.Sell;
}
else
{
Debug.Assert(false);
}
PriceSpreadSide priceSpreadSide = PriceSpreadSide.Unknown;
if (this.rbnPriceSpreadSide_Greater.Checked)
{
priceSpreadSide = PriceSpreadSide.GreaterOrEqual;
}
else if (this.rbnPriceSpreadSide_Less.Checked)
{
priceSpreadSide = PriceSpreadSide.LessOrEqual;
}
else
{
Debug.Assert(false);
}
ArbitrageOpenArgument openArg = new ArbitrageOpenArgument();
openArg.BuyInstrument = buyInstrument;
openArg.BuyInstrumentOrderPriceType = buyOrderPriceType;
openArg.SellInstrument = sellInstrument;
openArg.SellInstrumentOrderPriceType = sellOrderPriceType;
openArg.PreferentialSide = preferentialSide;
openArg.OpenCondition = new PriceSpreadCondition()
{
PriceSpreadSide = priceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold.Value
};
openArg.TotalOrderQty = (int)this.nudTotalOrderQty.Value;
openArg.OrderQtyUint = (int)this.nudOrderQtyUint.Value;
openArg.DifferentialUnit = (int)this.nudDifferentialUnit.Value;
return(openArg);
}
/// <summary>
/// 创建开仓任务组。
/// </summary>
/// <param name="openArg">开仓参数。</param>
/// <returns></returns>
private static ArbitrageTaskGroup CreateOpenTaskGroup(ArbitrageArgument argument)
{
ArbitrageOpenArgument openArg = argument.OpenArg;
USeInstrument firstInstrument = null;
USeInstrument secondInstrument = null;
USeOrderSide firstOrderSide = USeOrderSide.Buy;
USeOrderSide secondOrderSide = USeOrderSide.Sell;
ArbitrageOrderPriceType firstOrderPriceType = ArbitrageOrderPriceType.Unknown;
ArbitrageOrderPriceType secondOrderPriceType = ArbitrageOrderPriceType.Unknown;
if (openArg.PreferentialSide == USeOrderSide.Buy)
{
//优先买入
firstInstrument = openArg.BuyInstrument;
firstOrderSide = USeOrderSide.Buy;
firstOrderPriceType = openArg.BuyInstrumentOrderPriceType;
secondInstrument = openArg.SellInstrument;
secondOrderSide = USeOrderSide.Sell;
secondOrderPriceType = openArg.SellInstrumentOrderPriceType;
}
else if (openArg.PreferentialSide == USeOrderSide.Sell)
{
//优先卖出
firstInstrument = openArg.SellInstrument;
firstOrderSide = USeOrderSide.Sell;
firstOrderPriceType = openArg.SellInstrumentOrderPriceType;
secondInstrument = openArg.BuyInstrument;
secondOrderSide = USeOrderSide.Buy;
secondOrderPriceType = openArg.BuyInstrumentOrderPriceType;
}
else
{
Debug.Assert(false);
}
Debug.Assert(openArg.OrderQtyUint > 0);
int taskCount = openArg.TotalOrderQty / openArg.OrderQtyUint;
if ((openArg.TotalOrderQty % openArg.OrderQtyUint) > 0)
{
taskCount += 1;
}
#region 构造任务组
ArbitrageTaskGroup taskGroup = new ArbitrageTaskGroup();
taskGroup.OpenCloseType = OpenCloseType.Open;
taskGroup.BuyInstrument = openArg.BuyInstrument;
taskGroup.SellInstrument = openArg.SellInstrument;
taskGroup.BuyInstrumentOrderPriceType = openArg.BuyInstrumentOrderPriceType;
taskGroup.SellInstrumentOrderPriceType = openArg.SellInstrumentOrderPriceType;
taskGroup.OperationSide = argument.OperationSide;
taskGroup.PreferentialSide = openArg.PreferentialSide;
List <ArbitrageTask> taskList = new List <ArbitrageTask>();
int remainPlanQty = openArg.TotalOrderQty;
for (int i = 1; i <= taskCount; i++)
{
int planOrderQty = Math.Min(openArg.OrderQtyUint, remainPlanQty);
Debug.Assert(planOrderQty > 0 && planOrderQty <= openArg.OrderQtyUint);
remainPlanQty -= planOrderQty;
ArbitrageTask task = new ArbitrageTask();
task.TaskId = i;
task.TaskState = ArbitrageTaskState.None;
ArbitrageSubTask firstSubTask = new ArbitrageSubTask()
{
Instrument = firstInstrument,
OrderPriceType = firstOrderPriceType,
OrderSide = firstOrderSide,
PlanOrderQty = planOrderQty,
OffsetType = USeOffsetType.Open,
};
ArbitrageSubTask secondSubTask = new ArbitrageSubTask()
{
Instrument = secondInstrument,
OrderPriceType = secondOrderPriceType,
OrderSide = secondOrderSide,
PlanOrderQty = planOrderQty,
OffsetType = USeOffsetType.Open
};
task.FirstSubTask = firstSubTask;
task.SecondSubTask = secondSubTask;
taskList.Add(task);
}
Debug.Assert(remainPlanQty == 0);
taskGroup.TaskList = taskList;
#endregion
return(taskGroup);
}
/// <summary>
/// 创建组合套利单下单参数
/// </summary>
private bool CreateNewArbitrageOrder()
{
USeInstrument nearInstrument = this.cbxNearInstrument.SelectedItem as USeInstrument;
USeInstrument farInstrument = this.cbxFarInstrument.SelectedItem as USeInstrument;
ArbitrageOperationSide operationSide = this.arbitrageOperationSideControl.OperationSide;
ArbitrageOpenArgument openArg = new ArbitrageOpenArgument();
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
openArg.BuyInstrument = nearInstrument;
openArg.SellInstrument = farInstrument;
openArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
openArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
openArg.BuyInstrument = farInstrument;
openArg.SellInstrument = nearInstrument;
openArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
openArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
}
else
{
Debug.Assert(false);
}
openArg.NearOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
openArg.FarOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
openArg.PreferentialSide = this.preferentialSideControl_OpenArg.PreferentialSide;
openArg.OpenCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_OpenSpreadArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_OpenArg.Value
};
openArg.TotalOrderQty = (int)this.nudTotalOrderQty_OpenArg.Value;
openArg.OrderQtyUint = (int)this.nudOrderQtyUint_OpenArg.Value;
openArg.DifferentialUnit = (int)this.nudDifferentialUnit_OpenArg.Value;
ArbitrageCloseArgument closeArg = new ArbitrageCloseArgument();
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
closeArg.BuyInstrument = farInstrument;
closeArg.SellInstrument = nearInstrument;
closeArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
closeArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
closeArg.BuyInstrument = nearInstrument;
closeArg.SellInstrument = farInstrument;
closeArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
closeArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
}
closeArg.NearOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
closeArg.FarOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
closeArg.PreferentialSide = this.preferentialSideControl_CloseArg.PreferentialSide;
closeArg.CloseCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_CloseSpreadArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_CloseArg.Value
};
closeArg.OrderQtyUint = (int)this.nudOrderQtyUint_CloseArg.Value;
closeArg.DifferentialUnit = (int)this.nudDifferentialUnit_CloseArg.Value;
ArbitrageStopLossArgument stopLossArg = null;
if (this.cbxStopLossFlag.Checked)
{
stopLossArg = new ArbitrageStopLossArgument();
stopLossArg.StopLossCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_StopLossArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_StopLossArg.Value
};
}
List <ArbitrageAlarmArgument> alarmArgList = new List <ArbitrageAlarmArgument>();
if (m_dataSourceAlarm != null && m_dataSourceAlarm.Count > 0)
{
foreach (ArbitrageAlarmArgumentViewModel alarmView in m_dataSourceAlarm)
{
alarmArgList.Add(ArbitrageAlarmArgumentViewModel.CreatAlarmData(alarmView));
}
}
ArbitrageArgument argument = new ArbitrageArgument();
argument.ProductID = m_product.ProductCode;
argument.NearInstrument = nearInstrument;
argument.FarInstrument = farInstrument;
argument.OperationSide = operationSide;
argument.OpenArg = openArg;
argument.CloseArg = closeArg;
argument.StopLossArg = stopLossArg;
argument.AlarmArgs = alarmArgList;
string errorMessage = string.Empty;
if (VerifyMargin(argument.OpenArg, out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, errorMessage);
return(false);
}
decimal evaluateMargin = EvaluateMargin(argument.OpenArg);
string text = string.Format("套利单预计占用保证金 {0},确定跟单么?", evaluateMargin.ToString("#,0"));
if (DialogResult.Yes != USeFuturesSpiritUtility.ShowYesNoMessageBox(this, text))
{
return(false);
}
try
{
AutoTraderManager traderManager = USeManager.Instance.AutoTraderManager;
Debug.Assert(traderManager != null);
AutoTrader trader = traderManager.CreateNewAutoTrader(argument, USeManager.Instance.LoginUser);
trader.BeginOpen();
//[yangming]创建后应该启动跟单
trader.StartOpenOrCloseMonitor();
USeManager.Instance.DataSaver.AddSaveTask(trader.GetArbitrageOrder());
//同时保存所有的ArbitrageArgument便于下次修改
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, ex.Message);
return(false);
}
return(true);
}
/// <summary>
/// 设定开仓参数。
/// </summary>
/// <param name="openArg">开仓参数。</param>
public void SetOpenArgument(ArbitrageOpenArgument openArg)
{
throw new NotSupportedException("不支持开仓参数设定");
}
private void btnOpenArbitrageOrder_Click(object sender, EventArgs e)
{
string errorMessage = string.Empty;
if (VerifyOpenArgument(out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, errorMessage);
return;
}
USeInstrument buyInstrument = this.cbxBuyInstrument.SelectedItem as USeInstrument;
USeInstrument sellInstrument = this.cbxSellInstrument.SelectedItem as USeInstrument;
ArbitrageOrderPriceType buyOrderPriceType = GetBuyOrderPriceTypeFromUI();
ArbitrageOrderPriceType sellOrderPriceType = GetSellOrderPriceTypeFromUI();
USeOrderSide preferentialSide = GetPreferentialSideFromUI();
PriceSpreadSide priceSpreadSide = GetPriceSpreadSideFromUI();
ArbitrageOpenArgument openArg = new ArbitrageOpenArgument();
openArg.BuyInstrument = buyInstrument;
openArg.BuyInstrumentOrderPriceType = buyOrderPriceType;
openArg.SellInstrument = sellInstrument;
openArg.SellInstrumentOrderPriceType = sellOrderPriceType;
openArg.PreferentialSide = preferentialSide;
openArg.OpenCondition = new PriceSpreadCondition()
{
PriceSpreadSide = priceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold.Value
};
openArg.TotalOrderQty = (int)this.nudTotalOrderQty.Value;
openArg.OrderQtyUint = (int)this.nudOrderQtyUint.Value;
openArg.DifferentialUnit = (int)this.nudDifferentialUnit.Value;
if (VerifyMargin(openArg, out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, errorMessage);
return;
}
decimal evaluateMargin = EvaluateMargin(openArg);
string text = string.Format("套利单预计占用保证金 {0},确定跟单么?", evaluateMargin.ToString("#,0"));
if (DialogResult.Yes != USeFuturesSpiritUtility.ShowYesNoMessageBox(this, text))
{
return;
}
//try
//{
// AutoTraderManager traderManager = USeManager.Instance.AutoTraderManager;
// Debug.Assert(traderManager != null);
// AutoTrader trader = traderManager.CreateNewAutoTrader(openArg, USeManager.Instance.LoginUser);
// trader.BeginOpen();
// //[yangming]创建后应该启动跟单
// trader.StartOpenOrCloseMonitor();
// USeManager.Instance.DataSaver.AddSaveTask(trader.GetArbitrageOrder());
//}
//catch (Exception ex)
//{
// USeFuturesSpiritUtility.ShowWarningMessageBox(this, ex.Message);
// return;
//}
}
