//撤销订单
private void cancelOrder(SubOrder subOrder)
{
//
if (subOrder.OrderID.Equals(string.Empty))
{
LogUtils.EnginLog($"撤单错误|未找到订单编号：{subOrder.InstrumentID}|{subOrder.Direction}|{subOrder.Offset}|{subOrder.LimitPrice}|{subOrder.Volume}|{subOrder.CustomID}");
return;
}
//
if (subOrder.Status == OrderStatus.Canceled ||
subOrder.Status == OrderStatus.Error ||
subOrder.Status == OrderStatus.Filled)
{
return;
}
//
int rtn;
rtn = mTrader.ReqOrderAction(subOrder.OrderID);
//这种情况多是盘后未撤订单，按撤单处理
if (rtn == -1)
{
subOrder.Status = OrderStatus.Canceled;
subOrder.VolumeLeft = 0;
activeOrders.Remove(subOrder);
subOrder.Refresh();
}
LogUtils.EnginLog($"撤单：{rtn}|{subOrder.InstrumentID}|{subOrder.Direction}|{subOrder.Offset}|{subOrder.LimitPrice}|{subOrder.Volume}|{subOrder.CustomID}|{subOrder.OrderID}");
}
//同步订单
private void syncOrder(OrderField o, SubOrder s)
{
//更新编号
s.OrderID = o.OrderID;
//只有正常和部成，才响应订单事件
if (s.Status == OrderStatus.Normal || s.Status == OrderStatus.Partial)
{
switch (o.Status)
{
case HaiFeng.OrderStatus.Canceled:
s.VolumeLeft = 0;
s.Status = OrderStatus.Canceled;
activeOrders.Remove(s);
break;
case HaiFeng.OrderStatus.Filled:
s.VolumeLeft = 0;
s.Status = OrderStatus.Filled;
s.VolumeTraded = s.Volume;
activeOrders.Remove(s);
break;
case HaiFeng.OrderStatus.Error:
s.VolumeLeft = 0;
s.Status = OrderStatus.Error;
activeOrders.Remove(s);
break;
case HaiFeng.OrderStatus.Partial:
s.VolumeLeft = o.VolumeLeft;
s.VolumeTraded = s.Volume - s.VolumeLeft;
s.Status = OrderStatus.Partial;
break;
}
}
s.Refresh();
}
//发送订单
private void SendOrder(SubOrder subOrder)
{
//自增编码
subOrder.CustomID = customID++;
orderMap.Add(subOrder.CustomID, subOrder);
activeOrders.Add(subOrder);
//转换
HaiFeng.DirectionType direction = subOrder.Direction == DirectionType.Buy ? HaiFeng.DirectionType.Buy : HaiFeng.DirectionType.Sell;
HaiFeng.OffsetType offset = HaiFeng.OffsetType.Open;
switch (subOrder.Offset)
{
case OffsetType.Open:
offset = HaiFeng.OffsetType.Open;
break;
case OffsetType.Close:
offset = HaiFeng.OffsetType.Close;
break;
case OffsetType.CloseToday:
offset = HaiFeng.OffsetType.CloseToday;
break;
}
//报单
int rtn = mTrader.ReqOrderInsert(pInstrument: subOrder.InstrumentID,
pDirection: direction,
pOffset: offset,
pPrice: subOrder.LimitPrice,
pVolume: subOrder.Volume,
pCustom: subOrder.CustomID,
pType: OrderType.Limit,
pHedge: HedgeType.Speculation);
LogUtils.EnginLog($"发单：{rtn}\t{subOrder.CustomID}\t{subOrder.InstrumentID}\t{subOrder.Direction}\t{subOrder.Offset}\t{subOrder.LimitPrice}\t{subOrder.Volume}");
}
//生成子订单
private void createSubOrder(Order order)
{
PositionField position;
if (mTrader.DicPositionField.TryGetValue(order.InstrumentID + "_" + (order.Direction == DirectionType.Buy ? "Sell" : "Buy"), out position))
{
//计算冻结数量
int frozenTd = 0;
int frozenYd = 0;
foreach (SubOrder subOrder in activeOrders)
{
if (order.Direction == subOrder.Direction)
{
frozenTd += subOrder.Offset == OffsetType.CloseToday ? subOrder.VolumeLeft : 0;
frozenYd += subOrder.Offset == OffsetType.Close ? subOrder.VolumeLeft : 0;
}
}
//剩余数量
int volLeft = order.Volume;
//先平今
if (volLeft <= 0)
{
return;
}
int posLeft = position.TdPosition > frozenTd ? position.TdPosition - frozenTd : 0;
int vol = posLeft > volLeft ? volLeft : posLeft;
volLeft -= vol;
if (vol > 0)
{
SubOrder subOrder = new SubOrder(pOrder: order,
instrumentID: order.InstrumentID,
direction: order.Direction,
offset: OffsetType.CloseToday,
limitPrice: order.Price,
insertTime: DateTime.Now,
volume: vol,
volumeLeft: vol,
status: OrderStatus.Normal);
order.AddSubOrder(subOrder);
}
//后平仓
if (volLeft <= 0)
{
return;
}
posLeft = position.YdPosition > frozenYd ? position.YdPosition - frozenYd : 0;
vol = posLeft > volLeft ? volLeft : posLeft;
volLeft -= vol;
if (vol > 0)
{
SubOrder subOrder = new SubOrder(pOrder: order,
instrumentID: order.InstrumentID,
direction: order.Direction,
offset: OffsetType.Close,
limitPrice: order.Price,
insertTime: DateTime.Now,
volume: vol,
volumeLeft: vol,
status: OrderStatus.Normal);
order.AddSubOrder(subOrder);
}
//再开仓
if (volLeft <= 0)
{
return;
}
vol = volLeft;
if (vol > 0)
{
SubOrder subOrder = new SubOrder(pOrder: order,
instrumentID: order.InstrumentID,
direction: order.Direction,
offset: OffsetType.Open,
limitPrice: order.Price,
insertTime: DateTime.Now,
volume: vol,
volumeLeft: vol,
status: OrderStatus.Normal);
order.AddSubOrder(subOrder);
}
}
else
{
SubOrder subOrder = new SubOrder(pOrder: order,
instrumentID: order.InstrumentID,
direction: order.Direction,
offset: OffsetType.Open,
limitPrice: order.Price,
insertTime: DateTime.Now,
volume: order.Volume,
volumeLeft: order.Volume,
status: OrderStatus.Normal);
order.AddSubOrder(subOrder);
}
}
//
internal void AddSubOrder(SubOrder o)
{
mSubOrders.Add(o);
}
