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);
}
}
