public void DoOrderSend(ref OrderField[] ordersArray, Order order)
{
if (Convert.ToInt32(order.Qty) == int.MaxValue) {
SetExternalOrder(order, ref ordersArray[0]);
}
else {
DoOrderSend(ref ordersArray, new List<Order>() { order });
}
}
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;
}
}
}
static void OnRtnOrder(object sender, ref OrderField order)
{
Console.WriteLine("AA " + order.Status + order.ExecType + order.Text() + "AA " + order.ID + "AA " + order.OrderID);
}
static void OnRtnOrder(object sender, ref OrderField order)
{
Console.WriteLine("AA " + order.Status + order.ExecType + order.Text() + "AA " + order.ID + "AA " + order.OrderID);
}
public static string Text([In] this OrderField field)
{
return(PInvokeUtility.GetUnicodeString(field.Text));
}
public static string InstrumentName([In] this OrderField field)
{
return(PInvokeUtility.GetUnicodeString(field.InstrumentName));
}
public void DoOrderSend(ref OrderField[] ordersArray, List<Order> ordersList)
{
// 这里其实返回的是LocalID
string outstr = provider._TdApi.SendOrder(ref ordersArray);
string[] OrderIds = outstr.Split(';');
int i = 0;
foreach (var orderId in OrderIds)
{
if (string.IsNullOrEmpty(orderId))
{
// 直接将单子拒绝
EmitExecutionReport(new OrderRecord(ordersList[i]), SQ.ExecType.ExecRejected, SQ.OrderStatus.Rejected, "ErrorCode:" + orderId);
}
else
{
this.pendingOrders.TryAdd(orderId, new OrderRecord(ordersList[i]));
// 记下了本地ID,用于立即撤单时供API来定位
this.orderIDs.Add(ordersList[i].Id, orderId);
}
++i;
}
}
public void Process(ref OrderField order)
{
// 所有的成交信息都不处理，交给TradeField处理
if (order.ExecType == XAPI.ExecType.Trade)
return;
OrderRecord record;
switch (order.ExecType) {
case XAPI.ExecType.New:
if (this.pendingOrders.TryRemove(order.LocalID, out record)) {
this.workingOrders.Add(order.ID, record);
// 将LocalID更新为ID
this.orderIDs[record.Order.Id] = order.ID;
EmitExecutionReport(record, (SQ.ExecType)order.ExecType, (SQ.OrderStatus)order.Status);
}
break;
case XAPI.ExecType.Rejected:
if (this.pendingOrders.TryRemove(order.LocalID, out record))
{
orderIDs.Remove(record.Order.Id);
EmitExecutionReport(record, (SQ.ExecType)order.ExecType, (SQ.OrderStatus)order.Status, order.Text());
}
else if (this.workingOrders.TryGetValue(order.ID, out record)) {
// 比如说出现超出涨跌停时，先会到ProcessNew，所以得再多判断一次
workingOrders.Remove(order.ID);
orderIDs.Remove(record.Order.Id);
EmitExecutionReport(record, (SQ.ExecType)order.ExecType, (SQ.OrderStatus)order.Status, order.Text());
}
break;
case XAPI.ExecType.Cancelled:
if (this.workingOrders.TryGetValue(order.ID, out record)) {
workingOrders.Remove(order.ID);
orderIDs.Remove(record.Order.Id);
EmitExecutionReport(record, SQ.ExecType.ExecCancelled, SQ.OrderStatus.Cancelled);
}
else if (this.pendingOrders.TryRemove(order.LocalID, out record))
{
orderIDs.Remove(record.Order.Id);
EmitExecutionReport(record, (SQ.ExecType)order.ExecType, (SQ.OrderStatus)order.Status, order.Text());
}
break;
case XAPI.ExecType.PendingCancel:
if (this.workingOrders.TryGetValue(order.ID, out record)) {
EmitExecutionReport(record, SQ.ExecType.ExecPendingCancel, SQ.OrderStatus.PendingCancel);
}
break;
case XAPI.ExecType.CancelReject:
if (this.pendingCancels.TryRemove(order.ID, out record)) {
EmitExecutionReport(record, SQ.ExecType.ExecCancelReject, (SQ.OrderStatus)order.Status, order.Text());
}
break;
}
}
private void OnRtnOrder_callback(object sender, ref OrderField order)
{
(sender as XApi).Log.Debug("OnRtnOrder:" + order.ToFormattedString());
try
{
orderMap.Process(ref order);
}
catch (Exception ex)
{
(sender as XApi).Log.Error(ex);
}
}
private void ToOrderStruct(ref OrderField field, Order order, string apiSymbol, string apiExchange)
{
field.InstrumentID = apiSymbol;
field.ExchangeID = apiExchange;
field.Price = order.Price;
field.Qty = order.Qty;
field.OpenClose = GetOpenClose(order);
field.HedgeFlag = GetHedgeFlag(order);
field.Side = GetSide(order);
field.Type = (XAPI.OrderType)order.Type;
field.StopPx = order.StopPx;
field.TimeInForce = (XAPI.TimeInForce)order.TimeInForce;
field.ClientID = order.ClientID;
field.AccountID = order.Account;
field.PortfolioID1 = GetPortfolioID1(order);
field.PortfolioID2 = GetPortfolioID2(order);
field.PortfolioID3 = GetPortfolioID3(order);
field.Business = GetBusiness(order);
}
private void CmdNewOrderList(ExecutionCommand command)
{
// 先查出所有的单子
List<Order> orders = command.Order.GetSameTimeOrderList();
OrderField[] fields = new OrderField[orders.Count];
for (int i = 0; i < orders.Count; ++i)
{
string altSymbol;
string altExchange;
string apiSymbol;
string apiExchange;
double apiTickSize;
GetApi_Symbol_Exchange_TickSize(orders[i].Instrument,
out altSymbol, out altExchange,
out apiSymbol, out apiExchange,
out apiTickSize);
ToOrderStruct(ref fields[i], orders[i], apiSymbol, apiExchange);
}
orderMap.DoOrderSend(ref fields, orders);
}
private void CmdNewOrderSingle(ExecutionCommand command)
{
string altSymbol;
string altExchange;
string apiSymbol;
string apiExchange;
double apiTickSize;
GetApi_Symbol_Exchange_TickSize(command.Instrument,
out altSymbol, out altExchange,
out apiSymbol, out apiExchange,
out apiTickSize);
OrderField[] fields = new OrderField[1];
ToOrderStruct(ref fields[0], command.Order, apiSymbol, apiExchange);
double price = fields[0].Price;
//市价修正，如果不连接行情，此修正不执行，得策略层处理
MarketDataRecord record;
if (marketDataRecords.TryGetValue(command.Instrument.Symbol, out record))
{
switch(command.OrdType)
{
case SQ.OrderType.Market:
case SQ.OrderType.MarketOnClose:
case SQ.OrderType.Stop:
case SQ.OrderType.TrailingStop:
{
if (command.Side == SQ.OrderSide.Buy)
{
price = record.DepthMarket.LastPrice + LastPricePlusNTicks * apiTickSize;
}
else
{
price = record.DepthMarket.LastPrice - LastPricePlusNTicks * apiTickSize;
}
// 市价单使用限价单模拟
if(SwitchMakertOrderToLimitOrder)
{
fields[0].Type = XAPI.OrderType.Limit;
}
}
break;
}
if (HasPriceLimit)
{
//price = FixPrice(price, command.Side, apiTickSize, record.DepthMarket.LowerLimitPrice, record.DepthMarket.UpperLimitPrice);
price = FixPrice(record,price, command.Side, apiTickSize);
}
fields[0].Price = price;
}
orderMap.DoOrderSend(ref fields, command.Order);
}