private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
tdlog.Info("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6},成交编号{7}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag,
pTrade.Price, pTrade.Volume, pTrade.OrderRef, pTrade.TradeID);
//找到自己发送的订单，标记成交
string strSysID = string.Format("{0}:{1}", pTrade.ExchangeID, pTrade.OrderSysID);
string strKey;
if (!orderMap.TryGetValue(strSysID, out strKey))
{
return;
}
GenericOrderItem item;
if (orderMap.TryGetValue(strKey, out item))
{
MultiOrderLeg leg = item.GetLeg(CTPAPI.FromCTP(pTrade.Direction), pTrade.InstrumentID);
SingleOrder order = leg.Order;
#if CTP
double Price = pTrade.Price;
#elif CTPZQ
double Price = Convert.ToDouble(pTrade.Price);
#endif
int Volume = pTrade.Volume;
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume, CommType.Absolute, 0);
// 成交完成，清理数据
OnRtnTradeLastStatus(item, pTrade, strSysID, strKey);
}
}
public override void Add(SingleOrder order, TextCommon t)
{
if (Index >= GetLegNum())
{
return;
}
Leg[Index] = new MultiOrderLeg {
Order = order, OpenClose = t.OpenClose
};
++Index;
}
public override void Add(SingleOrder order, TextCommon t)
{
if (order.Side == Side.Buy)
{
Buy = new MultiOrderLeg()
{
Order = order, OpenClose = t.OpenClose
};
}
else
{
Sell = new MultiOrderLeg()
{
Order = order, OpenClose = t.OpenClose
};
}
}
public override void Add(SingleOrder order, TextCommon t)
{
Leg = new MultiOrderLeg {
Order = order, OpenClose = t.OpenClose
};
}
public override void Init(TextCommon t)
{
base.Init(t);
Leg = null;
}