/// <summary>
/// CTP InstrumentField To USeInstrumentDetail。
/// </summary>
/// <param name="filed"></param>
/// <returns></returns>
private USeInstrumentDetail CtpInstrumentFieldToUSeInstrumentDetail(InstrumentField filed)
{
USeMarket market = CtpProtocol.FtdcExchangeToUSeMarket(filed.ExchangeID);
Debug.Assert(market != USeMarket.Unknown, "CtpInstrumentFieldToUSeInstrumentDetail(),market is unknown.");
USeInstrumentDetail detail = new USeInstrumentDetail();
detail.Instrument = new USeInstrument(filed.InstrumentID,
filed.InstrumentName,
market);
try
{
detail.OpenDate = DateTime.ParseExact(filed.OpenDate, "yyyyMMdd", null);
detail.ExpireDate = DateTime.ParseExact(filed.ExpireDate, "yyyyMMdd", null);
if (string.IsNullOrEmpty(filed.StartDelivDate) == false)
{
detail.StartDelivDate = DateTime.ParseExact(filed.StartDelivDate, "yyyyMMdd", null);
}
else
{
//[yangming] 有的合约查询不到开始交割日，暂时用到期日下一天
detail.StartDelivDate = detail.ExpireDate.AddDays(1);
}
detail.EndDelivDate = DateTime.ParseExact(filed.EndDelivDate, "yyyyMMdd", null);
detail.VolumeMultiple = filed.VolumeMultiple;
detail.IsTrading = filed.IsTrading == IntBoolType.Yes;
detail.Varieties = filed.ProductID;
detail.PriceTick = filed.PriceTick.ToDecimal();
detail.ExchangeLongMarginRatio = filed.LongMarginRatio.ToDecimal();
detail.ExchangeShortMarginRatio = filed.ShortMarginRatio.ToDecimal();
detail.MaxMarketOrderVolume = filed.MaxMarketOrderVolume;
detail.MinMarketOrderVolume = filed.MinMarketOrderVolume;
detail.MaxLimitOrderVolume = filed.MaxLimitOrderVolume;
detail.MinLimitOrderVolume = filed.MinLimitOrderVolume;
}
catch (Exception ex)
{
Debug.Assert(false, "CtpInstrumentFieldToUSeInstrumentDetail() convet failed," + ex.Message);
}
return(detail);
}
/// <summary>
/// 委托下单。
/// </summary>
/// <param name="instrument">委托产品。</param>
/// <param name="qty">委托量。</param>
/// <param name="price">委托价格。</param>
/// <param name="offsetType">开平仓方向。</param>
/// <param name="orderSide">买卖方向。</param>
/// <param name="error">[out]委托失败原因。</param>
/// <returns>委托单号。</returns>
/// <remarks>返回为null代表失败,否则为委托单号。</remarks>
public override USeOrderNum PlaceOrder(USeInstrument instrument, int qty, decimal price, USeOffsetType offsetType, USeOrderSide orderSide, out string error)
{
if (m_ctpUser == null || m_ctpUser.IsLogin == false)
{
error = "OrderServer unable";
return(null);
}
string orderRef = m_orderRefIDCreator.Next().ToString(); // 生成报单引用
int requestID = m_requetSeqIDCreator.Next();
error = string.Empty;
try
{
OffsetFlagType ctpOffsetFlag;
switch (offsetType)
{
case USeOffsetType.Open: ctpOffsetFlag = OffsetFlagType.Open; break;
case USeOffsetType.Close: ctpOffsetFlag = OffsetFlagType.Close; break;
case USeOffsetType.CloseToday: ctpOffsetFlag = OffsetFlagType.CloseToday; break;
case USeOffsetType.CloseHistory: ctpOffsetFlag = OffsetFlagType.CloseYesterday; break;
default:
throw new ArgumentException(string.Format("Invalid offsetType {0}.", offsetType), "offsetType");
}
DirectionType ctpDirection;
switch (orderSide)
{
case USeOrderSide.Buy: ctpDirection = DirectionType.Buy; break;
case USeOrderSide.Sell: ctpDirection = DirectionType.Sell; break;
default:
throw new ArgumentException(string.Format("Invalid orderside {0}.", orderSide), "orderSide");
}
InputOrderField requestField = new InputOrderField();
requestField.BrokerID = m_brokerID;
requestField.InvestorID = m_investorID;
requestField.InstrumentID = instrument.InstrumentCode;
requestField.OrderRef = orderRef;
requestField.UserID = m_investorID;
requestField.OrderPriceType = OrderPriceType.LimitPrice;
requestField.Direction = ctpDirection;
requestField.CombOffsetFlag1 = ctpOffsetFlag;
requestField.CombHedgeFlag1 = HedgeFlagType.Speculation;
requestField.LimitPrice = Convert.ToDouble(price);
requestField.VolumeTotalOriginal = qty;
requestField.TimeCondition = TimeConditionType.GFD;
requestField.VolumeCondition = VolumeConditionType.AV;
requestField.MinVolume = 1;
requestField.ContingentCondition = ContingentConditionType.Immediately;
requestField.ForceCloseReason = ForceCloseReasonType.NotForceClose;
requestField.IsAutoSuspend = IntBoolType.No;
requestField.BusinessUnit = null;
requestField.RequestID = requestID;
requestField.UserForceClose = IntBoolType.No;
//构造一个委托回报,防止报单不合规等问题遭CTP拒绝，但未有委托回报推送
OrderField orderField = new OrderField();
orderField.BrokerID = m_brokerID;
orderField.FrontID = m_frontID;
orderField.SessionID = m_sessionID;
orderField.OrderRef = orderRef;
orderField.OrderSysID = string.Empty;
orderField.InvestorID = m_investorID;
orderField.InstrumentID = instrument.InstrumentCode;
orderField.ExchangeID = CtpProtocol.USeMarketToFtdcExchange(instrument.Market);
orderField.VolumeTotalOriginal = qty;
orderField.LimitPrice = Convert.ToDouble(price);
orderField.VolumeTraded = 0;
orderField.OrderStatus = OrderStatusType.Unknown;
orderField.Direction = orderSide == USeOrderSide.Buy ? DirectionType.Buy : DirectionType.Sell;
switch (offsetType)
{
case USeOffsetType.Open: orderField.CombOffsetFlag1 = OffsetFlagType.Open; break;
case USeOffsetType.Close: orderField.CombOffsetFlag1 = OffsetFlagType.Close; break;
case USeOffsetType.CloseHistory: orderField.CombOffsetFlag1 = OffsetFlagType.CloseYesterday; break;
case USeOffsetType.CloseToday: orderField.CombOffsetFlag1 = OffsetFlagType.CloseToday; break;
}
orderField.InsertDate = DateTime.Now.ToString("yyyyMMdd");
orderField.InsertTime = DateTime.Now.ToString("HH:mm:ss");
m_dataBuffer.UpdateOrderField(orderField);
m_ctpUser.ReqOrderInsert(ref requestField, requestID);
USeOrderNum orderNum = new CtpOrderNum(m_frontID, m_sessionID, orderRef);
m_logger.WriteInformation(string.Format("{0}.PlaceOrder() ok,[RequestID:{1}][Instrument:{2}][FulcOffsetType{3}][Qty:{4}][Price:{5}].",
ToString(), requestID, instrument.InstrumentCode, offsetType, qty, price));
return(orderNum);
}
catch (Exception ex)
{
m_logger.WriteError(string.Format("{0} placeorder[Instrument:{1}][FulcOffsetType:{2}][Qty:{3}][Price:{4}] failed,Error:{5}.",
ToString(), instrument.InstrumentCode, offsetType, qty, price, ex.Message));
error = ex.Message;
return(null);
}
}
/// <summary>
/// CTP OrderField To USeOrderBook。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeOrderBook CtpOrderFieldToUSeOrderBook(OrderField field)
{
USeOrderBook orderbook = new USeOrderBook();
try
{
orderbook.OrderNum = new CtpOrderNum(field.FrontID,
field.SessionID,
field.OrderRef,
field.ExchangeID,
field.OrderSysID);
orderbook.Account = field.InvestorID.ToString().Trim();
orderbook.Instrument = new USeInstrument(field.InstrumentID.Trim(),
field.InstrumentID.Trim(),
CtpProtocol.FtdcExchangeToUSeMarket(field.ExchangeID));
orderbook.OrderQty = field.VolumeTotalOriginal;
orderbook.OrderPrice = Convert.ToDecimal(field.LimitPrice);
orderbook.TradeQty = field.VolumeTraded;
orderbook.TradeAmount = 0m; // 此处转换不处理,最终再计算
switch (field.OrderStatus)
{
case OrderStatusType.AllTraded: orderbook.OrderStatus = USeOrderStatus.AllTraded; break;
case OrderStatusType.PartTradedNotQueueing:
case OrderStatusType.PartTradedQueueing: orderbook.OrderStatus = USeOrderStatus.PartTraded; break;
case OrderStatusType.Canceled: orderbook.OrderStatus = field.VolumeTraded > 0 ? USeOrderStatus.PartCanceled : USeOrderStatus.AllCanceled; break;
case OrderStatusType.NoTradeQueueing:
case OrderStatusType.NoTradeNotQueueing: orderbook.OrderStatus = USeOrderStatus.NoTraded; break;
case OrderStatusType.Unknown: orderbook.OrderStatus = USeOrderStatus.Unknown; break;
default:
{
Debug.Assert(false, string.Format("CtpOrderFieldToUSeOrderBook() unknown OrderStatus [{0}]", field.OrderStatus));
orderbook.OrderStatus = USeOrderStatus.Unknown;
break;
}
}
orderbook.CancelQty = field.OrderStatus == OrderStatusType.Canceled ? field.VolumeTotalOriginal - field.VolumeTraded : 0;
orderbook.OrderSide = field.Direction == DirectionType.Buy ? USeOrderSide.Buy : USeOrderSide.Sell;
switch (field.CombOffsetFlag1)
{
case OffsetFlagType.Close:
case OffsetFlagType.ForceClose: orderbook.OffsetType = USeOffsetType.Close; break;
case OffsetFlagType.CloseToday: orderbook.OffsetType = USeOffsetType.CloseToday; break;
case OffsetFlagType.CloseYesterday: orderbook.OffsetType = USeOffsetType.CloseHistory; break;
case OffsetFlagType.Open:
orderbook.OffsetType = USeOffsetType.Open; break;
default:
Debug.Assert(false, "Invalid comb offset Flag1.");
break;
}
orderbook.Memo = field.StatusMsg;
DateTime orderTime = DateTime.Now;
if (string.IsNullOrEmpty(field.InsertDate) && string.IsNullOrEmpty(field.InsertTime))
{
Debug.Assert(false);
orderTime = DateTime.Now;
}
else if (string.IsNullOrEmpty(field.InsertDate))
{
if (DateTime.TryParseExact(DateTime.Today.ToString("yyyyMMdd") + field.InsertTime, "yyyyMMddHH:mm:ss", null, System.Globalization.DateTimeStyles.None, out orderTime) == false)
{
Debug.Assert(false);
orderTime = DateTime.Now;
}
}
else
{
if (DateTime.TryParseExact(field.InsertDate + field.InsertTime, "yyyyMMddHH:mm:ss", null, System.Globalization.DateTimeStyles.None, out orderTime) == false)
{
Debug.Assert(false);
orderTime = DateTime.Now;
}
}
orderbook.OrderTime = orderTime;
}
catch (Exception ex)
{
Debug.Assert(false, "CtpOrderFieldToUSeOrderBook() convet failed," + ex.Message);
}
return(orderbook);
}
/// <summary>
/// CTP TradeField To USeTradeBook。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeTradeBook CtpTradeFieldToUSeTradeBook(TradeField field)
{
USeTradeBook tradeBook = new USeTradeBook();
try
{
tradeBook.Instrument = new USeInstrument(field.InstrumentID.Trim(),
field.InstrumentID.Trim(),
CtpProtocol.FtdcExchangeToUSeMarket(field.ExchangeID));
tradeBook.TradeNum = field.TradeID.Trim();
USeOrderNum orderNum = new CtpOrderNum(field.ExchangeID, field.OrderSysID);
USeOrderBook orderBook = m_dataBuffer.GetOrderBook(orderNum);
if (orderBook != null)
{
orderNum = orderBook.OrderNum.Clone(); // 去搜索对应委托单，若存在则将委托单号设置为完整委托单号
}
tradeBook.OrderNum = orderNum;
tradeBook.OrderSide = field.Direction == DirectionType.Buy ? USeOrderSide.Buy : USeOrderSide.Sell;
switch (field.OffsetFlag)
{
case OffsetFlagType.Close:
case OffsetFlagType.ForceClose:
tradeBook.OffsetType = USeOffsetType.Close; break;
case OffsetFlagType.CloseToday:
tradeBook.OffsetType = USeOffsetType.CloseToday; break;
case OffsetFlagType.CloseYesterday:
tradeBook.OffsetType = USeOffsetType.CloseHistory; break;
case OffsetFlagType.Open:
tradeBook.OffsetType = USeOffsetType.Open; break;
default:
Debug.Assert(false, string.Format("CtpTradeFieldToUSeTradeBook(),Invalid offsetfalg.", field.OffsetFlag));
break;
}
tradeBook.Price = Convert.ToDecimal(field.Price);
tradeBook.Qty = field.Volume;
tradeBook.Account = field.InvestorID;
DateTime tradeTime = DateTime.Now;
if (string.IsNullOrEmpty(field.TradeDate) && string.IsNullOrEmpty(field.TradeTime))
{
Debug.Assert(false);
tradeTime = DateTime.Now;
}
else if (string.IsNullOrEmpty(field.TradeDate))
{
if (DateTime.TryParseExact(DateTime.Today.ToString("yyyyMMdd") + field.TradeTime, "yyyyMMddHH:mm:ss", null, System.Globalization.DateTimeStyles.None, out tradeTime) == false)
{
Debug.Assert(false);
tradeTime = DateTime.Now;
}
}
else
{
if (DateTime.TryParseExact(field.TradeDate + field.TradeTime, "yyyyMMddHH:mm:ss", null, System.Globalization.DateTimeStyles.None, out tradeTime) == false)
{
Debug.Assert(false);
tradeTime = DateTime.Now;
}
}
tradeBook.TradeTime = tradeTime;
int volumeMultiple = m_dataBuffer.GetVolumeMultiple(tradeBook.Instrument);
tradeBook.Amount = tradeBook.Price * tradeBook.Qty * volumeMultiple;
// 手续费尝试计算
tradeBook.Fee = m_dataBuffer.CalculateFee(tradeBook.Instrument, tradeBook.OffsetType, tradeBook.Qty, tradeBook.Price);
}
catch (Exception ex)
{
Debug.Assert(false, "CtpTradeFieldToUSeTradeBook() convet failed," + ex.Message);
}
return(tradeBook);
}