public bool OnTrade(ref SingleOrder order, ref CThostFtdcTradeField pTrade, ref double Price, ref int Volume)
{
#if CTP
//先保存到两个队例，排序是为了配对
if (TThostFtdcDirectionType.Buy == pTrade.Direction)
{
qBuy.Add(pTrade);
qBuy.Sort(SortCThostFtdcTradeField);
}
else
{
qSell.Add(pTrade);
qSell.Sort(SortCThostFtdcTradeField);
}
//取已经配对好的
if (qBuy.Count > 0 && qSell.Count > 0)
{
// 有网友说可能成交时不成对，这地方是否改动一下
if (qBuy[0].Volume == qSell[0].Volume)//如果不等就有问题了
{
Volume = qBuy[0].Volume;
if (order.Side == Side.Buy)
{
Price = qBuy[0].Price - qSell[0].Price;
}
else
{
Price = qSell[0].Price - qBuy[0].Price;
}
//用完就清除
qBuy.RemoveAt(0);
qSell.RemoveAt(0);
return true;
}
}
#endif
return false;
}
private void OnRtnTrade_callback(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
if (null != OnRtnTrade)
{
OnRtnTrade(this, new OnRtnTradeArgs(pTraderApi, ref pTrade));
}
}
private void OnRspQryTrade_callback(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryTrade)
{
OnRspQryTrade(this, new OnRspQryTradeArgs(pTraderApi, ref pTrade, ref pRspInfo, nRequestID, bIsLast));
}
}
public bool UpdateByTrade(CThostFtdcTradeField pTrade)
{
/*
* Q:向非上海市场发送平今指今，系统能自动处理成平今，接到的回报是平今还是平仓?
* A:上海市场的昨仓用Close和CloseYesterday都能平，报单回报不会改变，而成交回报会修改成CloseYesterday
*
* Q:是否不同市场收到的成交回报都分为了今天与历史。非上海市场不时用Close时，返回数据能区分CloseToday和CloseYesterday吗？还是只回Close
*
* Q:上海强平今仓与昨仓会收到什么结果？
*
* Q:非上海市场，一手今，一手昨，同时平，收到的回报会如何？
*
*/
//如果是开仓，查找唯一的那条记录，不存在就插入
//如果是平今，只查找今天的记录，直接修改
//如果是平昨，只处理昨天
//如果是平仓，从历史开始处理
lock(this)
{
TThostFtdcPosiDirectionType PosiDirection = TThostFtdcPosiDirectionType.Short;
TThostFtdcPositionDateType PositionDate = TThostFtdcPositionDateType.Today;
if (TThostFtdcOffsetFlagType.Open == pTrade.OffsetFlag)
{
if (TThostFtdcDirectionType.Buy == pTrade.Direction)
{
PosiDirection = TThostFtdcPosiDirectionType.Long;
}
return InsertOrReplaceForOpen(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume);
}
else
{
if (TThostFtdcDirectionType.Sell == pTrade.Direction)
{
PosiDirection = TThostFtdcPosiDirectionType.Long;
}
if (TThostFtdcOffsetFlagType.CloseToday == pTrade.OffsetFlag)
{
return ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume) == 0;
}
else if (TThostFtdcOffsetFlagType.CloseYesterday == pTrade.OffsetFlag)
{
PositionDate = TThostFtdcPositionDateType.History;
return ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume) == 0;
}
else if (TThostFtdcOffsetFlagType.Close == pTrade.OffsetFlag)
{
return ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
pTrade.Volume) == 0;
}
else
{
//无法计算的开平类型，要求直接发送查询请求
return false;
}
}
}
}
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);
}
}
private void OnRtnTradeLastStatus(GenericOrderItem item, CThostFtdcTradeField pTrade, string OrderSysID, string Key)
{
OnLastStatus(item,OrderSysID,Key);
}
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);
//将仓位计算提前，防止在OnPositionOpened中下平仓时与“C|”配合出错
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
SingleOrder order;
//找到自己发送的订单，标记成交
if (_OrderRef2Order.TryGetValue(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, pTrade.OrderRef), out order))
{
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
double Price = 0;
int Volume = 0;
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
EmitFilled(order, Price, Volume);
//完成使命了，删除
if (_trade.isEmpty())
{
_Orders4Combination.Remove(order);
}
}
}
else
{
//普通订单，直接通知即可
EmitFilled(order, pTrade.Price, pTrade.Volume);
}
}
}
private static int SortCThostFtdcTradeField(CThostFtdcTradeField a1, CThostFtdcTradeField a2)
{
return a1.TradeID.CompareTo(a2.TradeID);
}
public OnRtnTradeArgs(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
}
public OnRspQryTradeArgs(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
private void InsertToMock(Order order)
{
if (order.CloseOrders.Count == 0)
{
OnRspQryOrder(this, new OrderEventArgs(() => Add(order)));
order.RemainVolume = order.Volume;
order.OrderRef = tradeApi.MaxOrderRef++.ToString();
order.FrontID = tradeApi.FrontID;
order.SessionID = tradeApi.SessionID;
order.TradePrice = order.Price;
order.TradeDate = tradeApi.TradingDay;
order.TradeTime = DateTime.Now.ToString("HH:mm:ss");
order.StatusType = EnumOrderStatus.已开仓;
}
else
{
foreach (var closeOrder in order.GetClosingOrders())
{
closeOrder.OrderRef = tradeApi.MaxOrderRef++.ToString();
closeOrder.FrontID = tradeApi.FrontID;
closeOrder.SessionID = tradeApi.SessionID;
closeOrder.StatusType = EnumOrderStatus.平仓中;
closeOrder.OrderSysID = tradeApi.MaxOrderRef++.ToString();
var tradeField = new CThostFtdcTradeField();
tradeField.TradeID = tradeApi.MaxOrderRef++.ToString();
tradeField.OrderSysID = closeOrder.OrderSysID;
tradeField.Price = closeOrder.Price;
tradeField.TradeDate = tradeApi.TradingDay;
tradeField.TradeTime = DateTime.Now.ToString("HH:mm:ss");
var o = UpdateTradeID(tradeField);
if (o == null || o.StatusType != EnumOrderStatus.已平仓) continue;
OnRspQryOrder(this, new OrderEventArgs(() => HandleOrderClose(o)));
if (!HasMoney) HasMoney = true;
}
}
}
public Order UpdateTradeID(CThostFtdcTradeField pTrade)
{
string orderSysID = pTrade.OrderSysID.Trim();
sw.EnterWriteLock();
Order order = orders.FirstOrDefault(
o => o.OrderSysID == orderSysID && o.TradeID == null);
if (order != null)
{
order.TradeID = pTrade.TradeID;
order.TradePrice = pTrade.Price;
order.TradeDate = pTrade.TradeDate;
order.TradeTime = pTrade.TradeTime;
order.StatusType = EnumOrderStatus.已开仓;
OrderRepository.Update(order);
}
else
{
foreach (var o in orders)
{
var closeorder = o.CloseOrders.FirstOrDefault(c => c.OrderSysID == orderSysID && c.TradeID == null);
if (closeorder == null) continue;
closeorder.TradeID = pTrade.TradeID;
closeorder.TradePrice = pTrade.Price;
closeorder.TradeDate = pTrade.TradeDate;
closeorder.TradeTime = pTrade.TradeTime;
closeorder.StatusType = EnumOrderStatus.已平仓;
o.RemainVolume -= closeorder.Volume;
o.StatusType = o.IsClosed() ? EnumOrderStatus.已平仓 : EnumOrderStatus.已开仓;
var profit = (o.Direction == TThostFtdcDirectionType.Buy)
? closeorder.TradePrice - o.TradePrice
: o.TradePrice - closeorder.TradePrice;
closeorder.CloseProfit = profit * closeorder.Volume * o.Unit;
o.CloseProfit += closeorder.CloseProfit;
//o.PositionProfit -= closeorder.CloseProfit;
OrderRepository.Update(o);
order = o;
break;
}
}
sw.ExitWriteLock();
return order;
}
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);
//将仓位计算提前，防止在OnPositionOpened中下平仓时与“C|”配合出错
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
SingleOrder order;
//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 (!_OrderSysID2OrderRef.TryGetValue(strSysID,out strKey))
{
return;
}
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
double Price = 0;
int Volume = 0;
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
//完成使命了，删除
//if (_trade.isEmpty())
//{
// _Orders4Combination.Remove(order);
//}
}
}
else
{
//普通订单，直接通知即可
Price = pTrade.Price;
Volume = pTrade.Volume;
}
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume);
//成交完全，清理
if (LeavesQty <= 0)
{
_OrderRef2Order.Remove(strKey);
_OrderSysID2OrderRef.Remove(strSysID);
_Orders4Combination.Remove(order);
_Orders4Cancel.Remove(order);
}
}
}