static void testMM1()
{
string acc = "1104";
string combi = "11040201";
List <ASecurity> underlyinglist = new List <ASecurity>();
//underlyinglist.Add(new ETF("510050", Exchange.SHE));
underlyinglist.Add(new ETF("510180", Exchange.SHE));
underlyinglist.Add(new Stock("601318", Exchange.SHE));
//underlyinglist.Add(new Stock("600104", Exchange.SHE));
AMarket mkt = AMarket.GetInstance(MarketVendor.Exchange);
List <Option> optionlist = mkt.GetOptionSet(underlyinglist);
foreach (Option o in optionlist)
{
QueryPara param = new QueryPara();
param.fundcode = acc;
param.portfolio = combi;
param.securitycode = o.code;
AEntrust et = AEntrust.GetInstance(EntrustVendor.Hundsun);
et.OptionEntrustQuery(param, o.entrustbook);
bool flg = o.makemarketstat.IsValid();
if (o.entrustbook != null && o.entrustbook.Count > 0)
{
foreach (EntrustBook eb in o.entrustbook)
{
eb.DebugPrint();
}
}
//Debug.Print(string.Format("spread, code={2},name={3},价差={0},{1}", o.makemarketstat.currminspreadpct.ToString("P2"), o.makemarketstat.message, o.code,o.name));
}
}
protected virtual void sendorder(Option o, double askpx, double bidpx, QueryPara param)
{
if (askpx == bidpx)
{
MessageManager.GetInstance().Add(MessageType.Warning, string.Format("买价不能和卖价一样：{0},{1}", o.code, bidpx));
return;
}
//查询委托和持仓信息
_entrustengine.OptionEntrustQuery(param, o.entrustbook);
_entrustengine.OptionPositionQuery(param, o.positionbook);
//撤销现有委托
List <int> entrustnolist = new List <int>();
if (o.entrustbook.Count > 0)
{
entrustnolist.Clear();
foreach (EntrustBook eb in o.entrustbook)
{
entrustnolist.Add(eb.entrustno);
}
_entrustengine.OptionWithdraw(entrustnolist);
}
//查询持仓情况
int longposition = 0, shortposition = 0;
if (o.positionbook.Count > 0)
{
foreach (PositionBook pb in o.positionbook)
{
if (pb.positiondirection == PostionDerection.LONG)
{
longposition = pb.volume;
}
else if (pb.positiondirection == PostionDerection.SHORT)
{
shortposition = pb.volume;
}
}
}
//委托参数
List <EntrustPara> paramlist = new List <EntrustPara>();
//卖出
EntrustPara paraAsk = new EntrustPara();
paraAsk.portfolio = param.portfolio;
paraAsk.securitycode = param.securitycode;
paraAsk.exchange = o.exchange;
paraAsk.price = askpx; //Ask
paraAsk.entrustdirection = TradeDirection.SELL; //卖出
paraAsk.volume = c_min_entrust_volume;
if (longposition >= c_min_entrust_volume * 2) //开平
{
paraAsk.futuredirection = FutureDirection.COVER;
paraAsk.volume = c_min_entrust_volume * 2;
}
else if (longposition >= c_min_entrust_volume)
{
paraAsk.futuredirection = FutureDirection.COVER;
}
else
{
paraAsk.futuredirection = FutureDirection.OPEN;
}
//买入
EntrustPara paraBid = new EntrustPara();
paraBid.portfolio = param.portfolio;
paraBid.securitycode = param.securitycode;
paraBid.exchange = o.exchange;
paraBid.price = bidpx; //Bid
paraBid.entrustdirection = TradeDirection.BUY; //买入
paraBid.volume = c_min_entrust_volume;
if (shortposition >= c_min_entrust_volume * 2) //开平
{
paraBid.futuredirection = FutureDirection.COVER;
paraBid.volume = c_min_entrust_volume * 2;
}
else if (shortposition >= c_min_entrust_volume)
{
paraBid.futuredirection = FutureDirection.COVER;
}
else
{
paraBid.futuredirection = FutureDirection.OPEN;
}
//篮子委托
paramlist.Add(paraAsk);
paramlist.Add(paraBid);
_entrustengine.OptionBasketEntrust(paramlist);
}