private void CTPOnRspQryInstrument(ref CThostFtdcInstrumentField pInstrument, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
var field = new InstrumentField
{
//ExchangeID = pInstrument.ExchangeID,
InstrumentID = pInstrument.InstrumentID,
PriceTick = pInstrument.PriceTick,
ProductClass = pInstrument.ProductClass == TThostFtdcProductClassType.THOST_FTDC_PC_Futures ? ProductClassType.Futures :
pInstrument.ProductClass == TThostFtdcProductClassType.THOST_FTDC_PC_Options ? ProductClassType.Options :
pInstrument.ProductClass == TThostFtdcProductClassType.THOST_FTDC_PC_Combination ? ProductClassType.Combination :
pInstrument.ProductClass == TThostFtdcProductClassType.THOST_FTDC_PC_SpotOption ? ProductClassType.SpotOption : ProductClassType.Futures,
ProductID = pInstrument.ProductID,
VolumeMultiple = pInstrument.VolumeMultiple,
MaxOrderVolume = pInstrument.MaxLimitOrderVolume,
};
Exchange exc;
if (Enum.TryParse(pInstrument.ExchangeID, out exc))
{
field.ExchangeID = exc;
}
DicInstrumentField.TryAdd(pInstrument.InstrumentID, field);
if (bIsLast)
{
//查询流控
_tIsLogin = new Thread(qryPosiAccount);
_tIsLogin.Start();
//Thread.Sleep(1100);
//_t.ReqQryTradingAccount(_broker, _investor);
}
}
public int ReqOrderInsert(string pInstrument, DirectionType pDirection, OffsetType pOffset, double pPrice, int pVolume, OrderType pType = OrderType.Limit, int pCustom = 0, HedgeType pHedge = HedgeType.Speculation)
{
InstrumentField dif;
ExchangeStatusType es;
//小节收盘:等待重新开盘
if (DicInstrumentField.TryGetValue(pInstrument, out dif))
{
if (_initFlow)
{
pPrice += _floConfig.FirstAddTicks * (pDirection == DirectionType.Buy ? 1 : -1) * dif.PriceTick;
}
//限定在涨跌板范围内
MarketData f;
if (_q == null)
{
ShowInfo("行情接口异常");
return(-1);
}
if (!_q.DicTick.TryGetValue(pInstrument, out f))
{
_q.ReqSubscribeMarketData(pInstrument);
Thread.Sleep(200);
}
if (_q.DicTick.TryGetValue(pInstrument, out f))
{
ShowInfo($"合约{pInstrument}无行情");
}
else
{
pPrice = Math.Max(f.LowerLimitPrice, Math.Min(f.UpperLimitPrice, pPrice));
}
//下单前修正价格为最小变动的倍数
pPrice = (int)(pPrice / dif.PriceTick) * dif.PriceTick;
if (DicExcStatus.TryGetValue(dif.ProductID, out es) || DicExcStatus.TryGetValue(dif.InstrumentID, out es) || DicExcStatus.TryGetValue(dif.ExchangeID.ToString(), out es))
{
if (es == ExchangeStatusType.NoTrading) //小节收盘中:待处理
{
ShowInfo($"小节收盘,待重新开盘后再发委托:{pInstrument},{pDirection},{ pOffset},{ pPrice},{ pVolume},{pCustom}");
_listWaitTrading.Add(new object[] { pInstrument, pDirection, pOffset, pPrice, pVolume, pType, pCustom, pHedge });
return(0);
}
}
}
return(base.ReqOrderInsert(pInstrument, pDirection, pOffset, pPrice, pVolume, pCustom, pType, pHedge));
}
private void TradeExt_OnRtnCancel(object sender, OrderArgs e)
{
if (!e.Value.IsLocal)
{
return;
}
if (_q == null)
{
ShowInfo("请先赋值行情接口");
return;
}
MarketData tick;
if (!_q.DicTick.TryGetValue(e.Value.InstrumentID, out tick))
{
return;
}
var id = e.Value.Custom + 1;
var times = e.Value.Custom % 100;
if (times >= _floConfig.FollowTimes) //达到最大追单次数
{
var price = e.Value.Direction == DirectionType.Buy ? tick.UpperLimitPrice : tick.LowerLimitPrice;
ShowInfo($"[{e.Value.Custom}]达到最大追单次数({_floConfig.FollowTimes},板价追单[custom:{id}][{e.Value.InstrumentID},{e.Value.Direction},{ e.Value.Offset},{ e.Value.Direction},{price},{ e.Value.VolumeLeft}])");
ReqOrderInsert(e.Value.InstrumentID, e.Value.Direction, e.Value.Offset, price, e.Value.VolumeLeft, OrderType.Limit, id);
}
else
{
InstrumentField instField;
if (!DicInstrumentField.TryGetValue(e.Value.InstrumentID, out instField))
{
return;
}
var price = e.Value.Direction == DirectionType.Buy ? (tick.AskPrice + _floConfig.NotFirstAddticks * instField.PriceTick) : (tick.BidPrice - _floConfig.NotFirstAddticks * instField.PriceTick);
ShowInfo($"[{e.Value.Custom}]第{times - 1}次追单[id:{id}][{e.Value.InstrumentID},{e.Value.Direction},{ e.Value.Offset},{ e.Value.Direction},{price},{ e.Value.VolumeLeft}]");
ReqOrderInsert(e.Value.InstrumentID, e.Value.Direction, e.Value.Offset, price, e.Value.VolumeLeft, OrderType.Limit, id);
}
}
private void CTPOnRspQryInvestorPosition(ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (!string.IsNullOrEmpty(pInvestorPosition.InstrumentID))
{
var f = pInvestorPosition;
_listPosi.Add(f);
}
if (bIsLast)
{
foreach (var g in _listPosi.GroupBy(p => p.InstrumentID + "_" + p.PosiDirection))
{
var id = g.First();
//整理持仓数据
HedgeType hedge = HedgeType.Speculation;
switch (id.HedgeFlag)
{
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation:
hedge = HedgeType.Speculation;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage:
hedge = HedgeType.Arbitrage;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Hedge:
hedge = HedgeType.Hedge;
break;
}
DirectionType dire = DirectionType.Buy;
if (g.First().PosiDirection == TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short)
{
dire = DirectionType.Sell;
}
var key = id.InstrumentID + "_" + dire;
var pf = DicPositionField.GetOrAdd(key, new PositionField
{
InstrumentID = id.InstrumentID,
Direction = dire,
Hedge = hedge,
});
//if (pInvestorPosition.PositionDate == TThostFtdcPositionDateType.THOST_FTDC_PSD_Today)
//{
// pf.TdPosition = pInvestorPosition.Position;
// pf.TdCost = pf.TdPosition == 0 ? 0 : (pInvestorPosition.PositionCost /*pInvestorPosition.TodayPosition * pf.TdPosition*/);
//}
//if (pInvestorPosition.PositionDate == TThostFtdcPositionDateType.THOST_FTDC_PSD_History)
//{
// pf.YdPosition = pInvestorPosition.Position;
// pf.YdCost = pInvestorPosition.PreSettlementPrice * pf.YdPosition * DicInstrumentField[pf.InstrumentID].VolumeMultiple;
// //pf.YdCost = pInvestorPosition.PositionCost / pInvestorPosition.YdPosition * pf.YdPosition;
//}
pf.Position = g.Sum(n => n.Position); // pf.TdPosition + pf.YdPosition;
pf.TdPosition = g.Sum(n => n.TodayPosition);
pf.YdPosition = pf.Position - pf.TdPosition; // g.Sum(n => n.YdPosition);
// 交易合约可能不存在(如交易所合约的SP合约)
if (DicInstrumentField.ContainsKey(pf.InstrumentID))
{
pf.Price = pf.Position <= 0 ? 0 : (g.Sum(n => n.PositionCost) / DicInstrumentField[pf.InstrumentID].VolumeMultiple / pf.Position);
}
else
{
pf.Price = pf.Position <= 0 ? 0 : (g.Sum(n => n.PositionCost) / DicInstrumentField[pf.InstrumentID.Split('&')[1]].VolumeMultiple / pf.Position);
}
pf.CloseProfit = g.Sum(n => n.CloseProfit);
pf.PositionProfit = g.Sum(n => n.PositionProfit);
pf.Commission = g.Sum(n => n.Commission);
pf.Margin = g.Sum(n => n.UseMargin);
}
TradingAccount.CloseProfit = _listPosi.Sum(n => n.CloseProfit);
TradingAccount.PositionProfit = _listPosi.Sum(n => n.PositionProfit);
TradingAccount.Commission = _listPosi.Sum(n => n.Commission);
TradingAccount.Fund = TradingAccount.PreBalance + TradingAccount.CloseProfit + TradingAccount.PositionProfit - TradingAccount.Commission;
TradingAccount.FrozenCash = _listPosi.Sum(n => n.FrozenCash);
//由查帐户资金函数处理,原因:保证金有单边收的情况无法用持仓统计
//TradingAccount.CurrMargin = _listPosi.Sum(n => n.UseMargin);
//TradingAccount.Available = TradingAccount.Fund - TradingAccount.CurrMargin - TradingAccount.FrozenCash;
//TradingAccount.Risk = TradingAccount.CurrMargin / TradingAccount.Fund;
_listPosi.Clear();//清除,以便得到结果是重新添加
}
}
