private void OnQuoteReady(FiveLevelQuote[] quotes, string[] errors)
{
if (quotes == null || quotes.Length == 0)
{
return;
}
lock (_orderLockObj)
{
if (_activeOrders.Count == 0)
{
return;
}
}
for (int i = 0; i < quotes.Length; ++i)
{
var quote = quotes[i];
if (quote == null)
{
continue;
}
float maxBuyPrice = quote.BuyPrices.Max();
float minBuyPrice = quote.BuyPrices.Min(v => v == 0.0f ? float.MaxValue : v);
int totalBuyVolume = ChinaStockHelper.ConvertHandToVolume(quote.BuyVolumesInHand.Sum());
lock (_orderLockObj)
{
List <StoplossOrder> orders;
if (!_activeOrders.TryGetValue(quote.SecurityCode, out orders))
{
continue;
}
// duplicate orders to avoid the "orders" object being updated in
// SendStoploosOrder function.
var duplicatedOrders = orders.ToArray();
foreach (var order in duplicatedOrders)
{
if (ShouldStoploss(quote, maxBuyPrice, minBuyPrice, totalBuyVolume, order))
{
SendStoplossOrder(order);
}
}
}
}
}
private bool ShouldStoploss(FiveLevelQuote quote, float maxBuyPrice, float minBuyPrice, int totalBuyVolume, StoplossOrder order)
{
bool shouldStoploss = false;
if (order.StoplossPrice < minBuyPrice)
{
if (totalBuyVolume > order.ExistingVolume)
{
}
else
{
// no solution yet, need to predicate volume.
// TODO: predicate volume
}
}
else
{
if (order.StoplossPrice >= maxBuyPrice)
{
// need to stop loss immediately.
shouldStoploss = true;
}
else
{
// order stop loss price is between minBuyPrice and maxBuyPrice
// we count the buy volume above stop loss price.
int aboveStoplossBuyVolume =
ChinaStockHelper.ConvertHandToVolume(
Enumerable
.Range(0, quote.BuyPrices.Length)
.Where(index => quote.BuyPrices[index] >= order.StoplossPrice)
.Sum(index => quote.BuyVolumesInHand[index]));
if (aboveStoplossBuyVolume <= order.ExistingVolume * 5)
{
shouldStoploss = true;
}
else
{
// there is enough buy volume now, so don't be rush.
}
}
}
return(shouldStoploss);
}
