private void SetExternalOrder(Order order, ref OrderField field)
{
var orderRecord = new OrderRecord(order);
ExternalOrderRecord record = new ExternalOrderRecord();
record = externalOrders.GetOrAdd(order.Instrument.Symbol, record);
if (field.OpenClose == OpenCloseType.Open)
{
if (field.Side == XAPI.OrderSide.Buy)
{
record.BuyOpen = orderRecord;
}
else
{
record.SellOpen = orderRecord;
}
}
else
{
if (field.Side == XAPI.OrderSide.Buy)
{
record.BuyClose = orderRecord;
}
else
{
record.SellClose = orderRecord;
}
}
}
public void ProcessNew(ref QuoteField quote, QuoteRecord record)
{
OrderRecord askRecord = new OrderRecord(record.AskOrder);
this.workingOrders[quote.AskID] = askRecord;
this.orderIDs[askRecord.Order.Id] = quote.AskID;
EmitExecutionReport(askRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
OrderRecord bidRecord = new OrderRecord(record.BidOrder);
this.workingOrders[quote.BidID] = bidRecord;
this.orderIDs[bidRecord.Order.Id] = quote.BidID;
EmitExecutionReport(bidRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
}
public void ProcessNew(ref QuoteField quote, QuoteRecord record)
{
OrderRecord askRecord = new OrderRecord(record.AskOrder);
this.workingOrders.Add(quote.AskID, askRecord);
this.orderIDs.Add(askRecord.Order.Id, quote.AskID);
EmitExecutionReport(askRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
OrderRecord bidRecord = new OrderRecord(record.BidOrder);
this.workingOrders.Add(quote.BidID, bidRecord);
this.orderIDs.Add(bidRecord.Order.Id, quote.BidID);
EmitExecutionReport(bidRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
}
public void DoOrderCancel(List <Order> ordersList)
{
lock (this)
{
OrderRecord[] recordList = new OrderRecord[ordersList.Count];
string[] OrderIds = new string[ordersList.Count];
for (int i = 0; i < ordersList.Count; ++i)
{
// 如果需要下单的过程中撤单，这里有可能返回LocalID或ID
if (orderIDs.TryGetValue(ordersList[i].Id, out OrderIds[i]))
{
if (this.workingOrders.TryGetValue(OrderIds[i], out recordList[i]))
{
// 订单已经下到柜台上了
pendingCancels[OrderIds[i]] = recordList[i];
}
else if (this.pendingOrders.TryGetValue(OrderIds[i], out recordList[i]))
{
// 订单还没有下到柜台，需要撤单
pendingCancels[OrderIds[i]] = recordList[i];
}
}
else if (ordersList[i].Fields[9] != null)
{
OrderIds[i] = (string)ordersList[i].Fields[9];
recordList[i] = new OrderRecord(ordersList[i]);
}
}
string outstr = provider._TdApi.CancelOrder(OrderIds);
string[] errs = outstr.Split(';');
{
int i = 0;
foreach (var e in errs)
{
if (!string.IsNullOrEmpty(e) && e != "0")
{
if (recordList[i] != null)
{
EmitExecutionReport(recordList[i], SQ.ExecType.ExecCancelReject, recordList[i].Order.Status, "Provider ErrorCode:" + e);
}
}
++i;
}
}
}
}
public ExecutionReport CreateReport(
OrderRecord record,
SQ.ExecType?execType,
SQ.OrderStatus?orderStatus)
{
ExecutionReport report = new ExecutionReport();
report.DateTime = framework.Clock.DateTime;
report.Order = record.Order;
report.Instrument = record.Order.Instrument;
report.Side = record.Order.Side;
report.OrdType = record.Order.Type;
report.TimeInForce = record.Order.TimeInForce;
report.OrdQty = record.Order.Qty;
report.Price = record.Order.Price;
report.StopPx = record.Order.StopPx;
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
if (execType != null)
{
report.ExecType = execType.Value;
}
if (orderStatus != null)
{
report.OrdStatus = orderStatus.Value;
}
return(report);
}
public void EmitExecutionReport(OrderRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus)
{
ExecutionReport report = CreateReport(record, execType, orderStatus);
provider.EmitExecutionReport(report);
}