private static ArbitrageTask CreateTask()
{
ArbitrageTask task = new ArbitrageTask();
task.TaskId = 100;
//task.TaskState = ArbitrageOrderTaskState.Finish;
//task.Instrument = new USeInstrument("CF1701", "CF1701", USeMarket.CFFE);
//task.OrderPriceType = ArbitrageOrderPriceType.LastPrice;
//task.OrderSide = USeOrderSide.Buy;
//task.OffsetType = USeOffsetType.Close;
//task.PlanOrderQty = 3;
//List<USeOrderBook> use_order_booklist = new List<USeOrderBook>();
//use_order_booklist.Add(CreateUseOrderBook());
//task.OrderBooks = use_order_booklist;
task.UnFinishOrderBooks.Add(CreateUseOrderBook());
List <USeOrderBook> orderBookList = new List <USeOrderBook>();
orderBookList.Add(CreateUseOrderBook());
return(task);
}
public ArbitrageTask Clone()
{
ArbitrageTask task = new ArbitrageTask();
task.TaskId = this.TaskId;
task.TaskState = this.TaskState;
task.OrderReason = this.OrderReason;
task.PriceSpread = this.PriceSpread;
task.FirstSubTask = m_firstSubTask == null ? null : m_firstSubTask.Clone();
task.SecondSubTask = m_secondSubTask == null ? null : m_secondSubTask.Clone();
return(task);
}
/// <summary>
/// 检查前置任务是否完成反手合约委托。
/// </summary>
/// <param name="taskIndex">任务索引。</param>
/// <returns></returns>
public bool CheckSecondTaskIsPlaceOrder(int taskIndex)
{
if (taskIndex < 0)
{
return(true);
}
for (int i = 0; i < m_taskList.Count && i < taskIndex; i++)
{
ArbitrageTask task = m_taskList[i];
if (task.TaskState < ArbitrageTaskState.SecondPlaceOrderFinish)
{
return(false);
}
}
return(true);
}
/// <summary>
/// 获取指定任务前的前置任务 反手合约未完全成交的任务数。
/// <param name="taskIndex">任务索引。</param>
/// <returns></returns>
public int GetUnTradeSecondTaskCount(int taskIndex)
{
if (taskIndex < 0)
{
return(0);
}
Debug.Assert(taskIndex < m_taskList.Count);
int count = 0;
for (int i = 0; i < m_taskList.Count && i < taskIndex; i++)
{
ArbitrageTask task = m_taskList[i];
if (task.TaskState < ArbitrageTaskState.SecondTradeFinish)
{
count++;
}
}
return(count);
}
/// <summary>
/// 创建平仓任务组。
/// </summary>
/// <param name="openTaskGroup">开仓任务组。</param>
/// <param name="closeArg">平仓参数。</param>
/// <returns></returns>
private ArbitrageTaskGroup CreateCloseTaskGroup(ArbitrageTaskGroup openTaskGroup, ArbitrageArgument argument)
{
ArbitrageCloseArgument closeArg = argument.CloseArg;
Debug.Assert(openTaskGroup.BuyInstrument == closeArg.SellInstrument);
Debug.Assert(openTaskGroup.SellInstrument == closeArg.BuyInstrument);
int buyPosition = openTaskGroup.SellSubTaskTradeQty; // 平仓买入量 = 开仓卖出量
int sellPosition = openTaskGroup.BuySubTaskTradeQty; // 平仓卖出量 = 开仓买入量
USeInstrument firstInstrument = null;
USeInstrument secondInstrument = null;
USeOrderSide firstOrderSide = USeOrderSide.Buy;
USeOrderSide secondOrderSide = USeOrderSide.Sell;
ArbitrageOrderPriceType firstOrderPriceType = ArbitrageOrderPriceType.Unknown;
ArbitrageOrderPriceType secondOrderPriceType = ArbitrageOrderPriceType.Unknown;
int firstPosition = 0;
int secondPosition = 0;
if (closeArg.PreferentialSide == USeOrderSide.Buy)
{
//优先买入
firstInstrument = closeArg.BuyInstrument;
firstOrderSide = USeOrderSide.Buy;
firstOrderPriceType = closeArg.BuyInstrumentOrderPriceType;
secondInstrument = closeArg.SellInstrument;
secondOrderSide = USeOrderSide.Sell;
secondOrderPriceType = closeArg.SellInstrumentOrderPriceType;
firstPosition = buyPosition;
secondPosition = sellPosition;
}
else if (closeArg.PreferentialSide == USeOrderSide.Sell)
{
//优先卖出
firstInstrument = closeArg.SellInstrument;
firstOrderSide = USeOrderSide.Sell;
firstOrderPriceType = closeArg.SellInstrumentOrderPriceType;
secondInstrument = closeArg.BuyInstrument;
secondOrderSide = USeOrderSide.Buy;
secondOrderPriceType = closeArg.BuyInstrumentOrderPriceType;
firstPosition = sellPosition;
secondPosition = buyPosition;
}
else
{
Debug.Assert(false);
}
Debug.Assert(closeArg.OrderQtyUint > 0);
int maxPositon = Math.Max(buyPosition, sellPosition);
int taskCount = maxPositon / closeArg.OrderQtyUint;
if ((maxPositon % closeArg.OrderQtyUint) > 0)
{
taskCount += 1;
}
#region 构造任务组
ArbitrageTaskGroup taskGroup = new ArbitrageTaskGroup();
taskGroup.OpenCloseType = OpenCloseType.Close;
taskGroup.BuyInstrument = closeArg.BuyInstrument;
taskGroup.SellInstrument = closeArg.SellInstrument;
taskGroup.BuyInstrumentOrderPriceType = closeArg.BuyInstrumentOrderPriceType;
taskGroup.SellInstrumentOrderPriceType = closeArg.SellInstrumentOrderPriceType;
taskGroup.OperationSide = argument.OperationSide.GetOppositeSide();
taskGroup.PreferentialSide = closeArg.PreferentialSide;
List <ArbitrageTask> taskList = new List <ArbitrageTask>();
int remainFirstPlanQty = firstPosition;
int remainSecondPlanQty = secondPosition;
for (int i = 1; i <= taskCount; i++)
{
int firstPlanOrderQty = Math.Min(closeArg.OrderQtyUint, remainFirstPlanQty);
remainFirstPlanQty -= firstPlanOrderQty;
int secondPlanOrderQty = Math.Min(closeArg.OrderQtyUint, remainSecondPlanQty);
remainSecondPlanQty -= secondPlanOrderQty;
ArbitrageTask task = new ArbitrageTask();
task.TaskId = i;
task.TaskState = ArbitrageTaskState.None;
ArbitrageSubTask firstSubTask = new ArbitrageSubTask()
{
Instrument = firstInstrument,
OrderPriceType = firstOrderPriceType,
OrderSide = firstOrderSide,
PlanOrderQty = firstPlanOrderQty,
OffsetType = USeOffsetType.Close,
};
ArbitrageSubTask secondSubTask = new ArbitrageSubTask()
{
Instrument = secondInstrument,
OrderPriceType = secondOrderPriceType,
OrderSide = secondOrderSide,
PlanOrderQty = secondPlanOrderQty,
OffsetType = USeOffsetType.Close
};
task.FirstSubTask = firstSubTask;
task.SecondSubTask = secondSubTask;
taskList.Add(task);
}
Debug.Assert(remainFirstPlanQty == 0);
Debug.Assert(remainSecondPlanQty == 0);
taskGroup.TaskList = taskList;
#endregion
return(taskGroup);
}
/// <summary>
/// 创建开仓任务组。
/// </summary>
/// <param name="openArg">开仓参数。</param>
/// <returns></returns>
private static ArbitrageTaskGroup CreateOpenTaskGroup(ArbitrageArgument argument)
{
ArbitrageOpenArgument openArg = argument.OpenArg;
USeInstrument firstInstrument = null;
USeInstrument secondInstrument = null;
USeOrderSide firstOrderSide = USeOrderSide.Buy;
USeOrderSide secondOrderSide = USeOrderSide.Sell;
ArbitrageOrderPriceType firstOrderPriceType = ArbitrageOrderPriceType.Unknown;
ArbitrageOrderPriceType secondOrderPriceType = ArbitrageOrderPriceType.Unknown;
if (openArg.PreferentialSide == USeOrderSide.Buy)
{
//优先买入
firstInstrument = openArg.BuyInstrument;
firstOrderSide = USeOrderSide.Buy;
firstOrderPriceType = openArg.BuyInstrumentOrderPriceType;
secondInstrument = openArg.SellInstrument;
secondOrderSide = USeOrderSide.Sell;
secondOrderPriceType = openArg.SellInstrumentOrderPriceType;
}
else if (openArg.PreferentialSide == USeOrderSide.Sell)
{
//优先卖出
firstInstrument = openArg.SellInstrument;
firstOrderSide = USeOrderSide.Sell;
firstOrderPriceType = openArg.SellInstrumentOrderPriceType;
secondInstrument = openArg.BuyInstrument;
secondOrderSide = USeOrderSide.Buy;
secondOrderPriceType = openArg.BuyInstrumentOrderPriceType;
}
else
{
Debug.Assert(false);
}
Debug.Assert(openArg.OrderQtyUint > 0);
int taskCount = openArg.TotalOrderQty / openArg.OrderQtyUint;
if ((openArg.TotalOrderQty % openArg.OrderQtyUint) > 0)
{
taskCount += 1;
}
#region 构造任务组
ArbitrageTaskGroup taskGroup = new ArbitrageTaskGroup();
taskGroup.OpenCloseType = OpenCloseType.Open;
taskGroup.BuyInstrument = openArg.BuyInstrument;
taskGroup.SellInstrument = openArg.SellInstrument;
taskGroup.BuyInstrumentOrderPriceType = openArg.BuyInstrumentOrderPriceType;
taskGroup.SellInstrumentOrderPriceType = openArg.SellInstrumentOrderPriceType;
taskGroup.OperationSide = argument.OperationSide;
taskGroup.PreferentialSide = openArg.PreferentialSide;
List <ArbitrageTask> taskList = new List <ArbitrageTask>();
int remainPlanQty = openArg.TotalOrderQty;
for (int i = 1; i <= taskCount; i++)
{
int planOrderQty = Math.Min(openArg.OrderQtyUint, remainPlanQty);
Debug.Assert(planOrderQty > 0 && planOrderQty <= openArg.OrderQtyUint);
remainPlanQty -= planOrderQty;
ArbitrageTask task = new ArbitrageTask();
task.TaskId = i;
task.TaskState = ArbitrageTaskState.None;
ArbitrageSubTask firstSubTask = new ArbitrageSubTask()
{
Instrument = firstInstrument,
OrderPriceType = firstOrderPriceType,
OrderSide = firstOrderSide,
PlanOrderQty = planOrderQty,
OffsetType = USeOffsetType.Open,
};
ArbitrageSubTask secondSubTask = new ArbitrageSubTask()
{
Instrument = secondInstrument,
OrderPriceType = secondOrderPriceType,
OrderSide = secondOrderSide,
PlanOrderQty = planOrderQty,
OffsetType = USeOffsetType.Open
};
task.FirstSubTask = firstSubTask;
task.SecondSubTask = secondSubTask;
taskList.Add(task);
}
Debug.Assert(remainPlanQty == 0);
taskGroup.TaskList = taskList;
#endregion
return(taskGroup);
}
/// <summary>
/// 套利单任务 -- 优先合约下单。
/// </summary>
/// <param name="taskGroup">开仓/平仓 任务组。</param>
/// <param name="differentialUnit">最大仓差。</param>
/// <returns></returns>
private bool ProcessFirstSubTask(ArbitrageTaskGroup taskGroup, int differentialUnit)
{
#region 校验
PriceSpreadCheckResult priceSpeadResult = CheckPriceSpread(taskGroup.OpenCloseType, m_arbitrageOrder.Argument);
if (priceSpeadResult.OrderReason == TaskOrderReason.None)
{
WriteTraderDebugInfo("优先合约检查,不满足价差条件");
return(false);
}
int firstUnExeTaskIndex = taskGroup.GetFirstTaskUnExecutIndex();
if (firstUnExeTaskIndex < 0)
{
// 优先合约全部完成下单
return(false);
}
bool secondTaskIsPlaceOrder = taskGroup.CheckSecondTaskIsPlaceOrder(firstUnExeTaskIndex);
if (secondTaskIsPlaceOrder == false)
{
WriteTraderDebugInfo("反手合约还未下单,不许下单");
return(false);
}
//反手仓位未成交任务数
int secondUnTradeTaskCount = taskGroup.GetUnTradeSecondTaskCount(firstUnExeTaskIndex);
if (secondUnTradeTaskCount >= differentialUnit)
{
WriteTraderDebugInfo("优先合约反手合约任务仓差大于等于允许最大仓差，不许下单");
return(false);
}
ArbitrageTask task = taskGroup.TaskList[firstUnExeTaskIndex];
Debug.Assert(task != null && task.TaskState == ArbitrageTaskState.None);
ArbitrageSubTask firstSubTask = task.FirstSubTask;
if (firstSubTask.TryOrderCount >= m_tryOrderCondition.MaxTryOrderCount)
{
m_backgroundRunFlag = false;
string text = string.Format("流程暂停，{2}下单任务[{0}]超出最大尝试下单次数{1}次",
task.TaskId, m_tryOrderCondition.MaxTryOrderCount, firstSubTask.Instrument.InstrumentCode);
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
AlarmNotice alarm = new AlarmNotice(AlarmType.AutoTraderWarning, text);
SafeFireAutoTraderAlarm(alarm);
WriteTraderNoticeLog(notice);
return(false);
}
if (firstSubTask.CanPlaceNextOrder(m_tryOrderCondition.NextOrderInterval) == false)
{
WriteTraderDebugInfo("优先合约检查，距离上次下单时间过近，暂时不下单");
return(false);
}
#endregion
#region 单
Debug.Assert(priceSpeadResult.OrderReason == TaskOrderReason.Open ||
priceSpeadResult.OrderReason == TaskOrderReason.Close ||
priceSpeadResult.OrderReason == TaskOrderReason.StopLoss);
task.OrderReason = priceSpeadResult.OrderReason;
task.PriceSpread = priceSpeadResult.PriceSpreadThreshold;
//获取优先合约下单价格
decimal orderPrice = GetFirstInstrumentOrderPrice(firstSubTask.Instrument, firstSubTask.OrderPriceType, firstSubTask.OrderSide);
Debug.Assert(orderPrice > 0);
int orderQty = firstSubTask.UnOrderQty;
Debug.Assert(orderQty > 0);
USeInstrument instrument = firstSubTask.Instrument;
USeOffsetType offsetType = firstSubTask.OffsetType;
USeOrderSide orderSide = firstSubTask.OrderSide;
List <OrderCommand> commandList = null;
lock (ms_orderSyncObj)
{
commandList = CreateOrderCommands(task.TaskId, instrument, orderSide, offsetType, orderQty, orderPrice, "优先合约");
Debug.Assert(commandList != null && commandList.Count > 0);
foreach (OrderCommand command in commandList)
{
bool orderResult = PlaceOrderForOrderCommand(command);
if (orderResult)
{
firstSubTask.AddPositiveOrderBook(command.CreateOrignalOrderBook());
task.UpdateTaskState();
//task.TaskState = ArbitrageTaskState.FirstPlaceOrder;
}
}
}
firstSubTask.AddTryOrderCount(); // 下单累加1次
#endregion
#region 通知
foreach (OrderCommand command in commandList)
{
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, command.ToDescription());
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
#endregion
return(true);
}
/// <summary>
/// 套利单任务--反手合约下单(优先合约已成交)
/// </summary>
/// <param name="taskGroup">开仓/平仓 任务组。</param>
private bool ProcessSecondSubTask(ArbitrageTaskGroup taskGroup)
{
for (int i = 0; i < taskGroup.TaskList.Count; i++)
{
#region 校验
ArbitrageTask task = taskGroup.TaskList[i];
if (task.TaskState != ArbitrageTaskState.FirstTradeFinish)
{
//优先合约未成交，无需做反手合约检查
continue;
}
ArbitrageSubTask secondSubTask = task.SecondSubTask;
if (secondSubTask.TryOrderCount >= m_tryOrderCondition.MaxTryOrderCount)
{
m_backgroundRunFlag = false;
string text = string.Format("流程暂停，{2}下单任务[{0}]超出最大尝试下单次数{1}次",
task.TaskId, m_tryOrderCondition.MaxTryOrderCount, secondSubTask.Instrument.InstrumentCode);
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
AlarmNotice alarm = new AlarmNotice(AlarmType.AutoTraderWarning, text);
SafeFireAutoTraderAlarm(alarm);
WriteTraderNoticeLog(notice);
return(false);
}
if (secondSubTask.CanPlaceNextOrder(m_tryOrderCondition.NextOrderInterval) == false)
{
WriteTraderDebugInfo("反手合约检查，距离上次下单时间过近，暂时不下单");
continue;
}
#endregion
#region 单
//获取反手合约下单价格
decimal orderPrice = GetSecondTaskOrderPrice(taskGroup.OperationSide, taskGroup.PreferentialSide, task.FirstSubTaskAvgTradePrice, task.PriceSpread);
orderPrice = TrimOrderPrice(secondSubTask.Instrument, orderPrice, secondSubTask.OrderSide);
int orderQty = secondSubTask.UnOrderQty;
Debug.Assert(orderQty > 0);
USeInstrument instrument = secondSubTask.Instrument;
USeOffsetType offsetType = secondSubTask.OffsetType;
USeOrderSide orderSide = secondSubTask.OrderSide;
List <OrderCommand> commandList = null;
lock (ms_orderSyncObj)
{
commandList = CreateOrderCommands(task.TaskId, instrument, orderSide, offsetType, orderQty, orderPrice, "反手合约");
Debug.Assert(commandList != null && commandList.Count > 0);
foreach (OrderCommand command in commandList)
{
bool orderResult = PlaceOrderForOrderCommand(command);
if (orderResult)
{
secondSubTask.AddPositiveOrderBook(command.CreateOrignalOrderBook());
task.UpdateTaskState();
//task.TaskState = ArbitrageTaskState.FirstPlaceOrder;
}
}
}
secondSubTask.AddTryOrderCount(); // 下单累加1次
#endregion
#region 通知
foreach (OrderCommand command in commandList)
{
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, command.ToDescription());
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
#endregion
}
return(false);
}
///// <summary>
///// 绘制任务。
///// </summary>
///// <param name="g"></param>
//private void DrawTaskList_2(Graphics g)
//{
// ArbitrageTaskGroup taskGroup = m_taskGroup;
// float xBegin = 35.0f;
// float yBegin = 10.0f;
// List<ArbitrageTask> taskList = taskGroup.TaskList;
// if (taskList != null && taskList.Count > 0)
// {
// for (int i = 0; i < taskList.Count; i++)
// {
// ArbitrageTask task = taskList[i];
// float x = xBegin + (i * m_itemInterval);
// float y = yBegin;
// ArbitrageSubTask firstSubTask = task.FirstSubTask;
// ArbitrageSubTask secondSubTask = task.SecondSubTask;
// //优先任务
// Brush firstTaskBrush = m_taskNoExceuctBrush;
// if (firstSubTask.TradeQty == firstSubTask.PlanOrderQty)
// {
// firstTaskBrush = m_taskFinishBrush;
// }
// else if (firstSubTask.OrderQty > 0)
// {
// firstTaskBrush = m_taskInExecuteBrush;
// }
// else
// {
// firstTaskBrush = m_taskNoExceuctBrush;
// }
// g.FillEllipse(firstTaskBrush, x, y, m_taskDotWidth, m_taskDotHeight);
// g.DrawString(string.Format("{0}/{1}", firstSubTask.TradeQty, firstSubTask.PlanOrderQty),
// m_font, firstTaskBrush, new RectangleF(x + m_taskDotWidth / 2 - 15, y + 13, 30, 10), m_centerStringFormat);
// //反手任务
// Brush secondTaskBrush = m_taskNoExceuctBrush;
// if (secondSubTask.TradeQty == secondSubTask.PlanOrderQty)
// {
// secondTaskBrush = m_taskFinishBrush;
// }
// else if (secondSubTask.OrderQty > 0)
// {
// secondTaskBrush = m_taskInExecuteBrush;
// }
// else
// {
// secondTaskBrush = m_taskNoExceuctBrush;
// }
// //反手任务
// g.FillEllipse(secondTaskBrush, x, y + 30, m_taskDotWidth, m_taskDotHeight);
// g.DrawString(string.Format("{0}/{1}", secondSubTask.TradeQty, secondSubTask.PlanOrderQty),
// m_font, secondTaskBrush, new RectangleF(x + m_taskDotWidth / 2 - 15, y + 30 + 13, 30, 10), m_centerStringFormat);
// }
// }
//}
private void DrawTaskList(Graphics g)
{
float xBegin = 45.0f; // 起始x坐标
float yBegin = 10.0f; // 起始y坐标
float y_f_NegativeQtyOffset = 0; // 优先任务反手量偏移位置
float y_f_taskOffset = 13f; // 优先任务主图标偏移位置
float y_f_QtyOffset = 26f; // 优先任务正手量偏移位置
float y_s_taskOffset = 45f; // 反手任务主图标偏移位置
float y_s_QtyOffset = 58f; // 反手任务正手量偏移位置
ArbitrageTaskGroup taskGroup = m_taskGroup;
List <ArbitrageTask> taskList = taskGroup.TaskList;
if (taskList == null || taskList.Count <= 0)
{
return;
}
for (int i = 0; i < taskList.Count; i++)
{
ArbitrageTask task = taskList[i];
float x = xBegin + (i * m_itemInterval);
float y = yBegin;
ArbitrageSubTask firstSubTask = task.FirstSubTask;
ArbitrageSubTask secondSubTask = task.SecondSubTask;
Brush firstTaskBrush = GetSubTaskBrush(firstSubTask);
Brush secondTaskBrush = GetSubTaskBrush(secondSubTask);
Pen tmpPen = new Pen(Color.Red);
//优先合约反向委托量
if (firstSubTask.NegativeOrderQty > 0)
//if (i == 2)
{
float rectWidth = 30f;
float rectHeight = 10f;
RectangleF rect = new RectangleF(x - (rectWidth / 2), y + y_f_NegativeQtyOffset, rectWidth, rectHeight);
string text = string.Format("{0}/{1}", firstSubTask.NegativeTradeQty, firstSubTask.NegativeOrderQty);
g.DrawString(text, m_negativeFont, m_negativeTaskBrush, rect, m_centerStringFormat);
}
//优先任务点
g.FillEllipse(firstTaskBrush, x - m_taskDotDiameter / 2, y + y_f_taskOffset, m_taskDotDiameter, m_taskDotDiameter);
//g.DrawRectangle(tmpPen, x, y + f_y_taskOffset, m_taskDotWidth, m_taskDotHeight);
{
float rectWidth = 30f;
float rectHeight = 10f;
RectangleF rect = new RectangleF(x - rectWidth / 2, y + y_f_QtyOffset, rectWidth, rectHeight);
string text = string.Format("{0}/{1}", firstSubTask.TradeQty, firstSubTask.PlanOrderQty);
g.DrawString(text, m_font, firstTaskBrush, rect, m_centerStringFormat);
}
//反手任务点
g.FillEllipse(secondTaskBrush, x - m_taskDotDiameter / 2, y + y_s_taskOffset, m_taskDotDiameter, m_taskDotDiameter);
//g.DrawRectangle(tmpPen, x, y + s_y_taskOffset, m_taskDotWidth, m_taskDotHeight);
{
float rectWidth = 30f;
float rectHeight = 10f;
RectangleF rect = new RectangleF(x - rectWidth / 2, y + y_s_QtyOffset, rectWidth, rectHeight);
string text = string.Format("{0}/{1}", secondSubTask.TradeQty, secondSubTask.PlanOrderQty);
g.DrawString(text, m_font, secondTaskBrush, rect, m_centerStringFormat);
}
}
}
