private void UpdatePriceLable()
{
decimal nearPrice = 0m;
decimal farPrice = 0m;
ArbitrageOperationSide operationSide = this.arbitrageOperationSideControl.OperationSide;
ArbitrageOrderPriceType nearOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
ArbitrageOrderPriceType farOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
nearPrice = GetOrderPrice(m_nearMarketData, nearOrderPriceType, USeOrderSide.Buy);
farPrice = GetOrderPrice(m_farMarketData, farOrderPriceType, USeOrderSide.Sell);
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
nearPrice = GetOrderPrice(m_nearMarketData, nearOrderPriceType, USeOrderSide.Sell);
farPrice = GetOrderPrice(m_farMarketData, farOrderPriceType, USeOrderSide.Buy);
}
this.lblNearInstrumentPrice.Text = nearPrice > 0m ? nearPrice.ToString() : "---";
this.lblFarInstrumentPrice.Text = farPrice > 0m ? farPrice.ToString() : "---";
if (nearPrice > 0m && farPrice >= 0m)
{
decimal diffPrice = (nearPrice - farPrice);
this.lblPriceSpread.Text = diffPrice.ToString();
this.lblPriceSpread.ForeColor = diffPrice >= 0m ? Color.Red : Color.Green;
}
else
{
this.lblPriceSpread.Text = "---";
}
}
public static ArbitrageOperationSide GetOppositeSide(this ArbitrageOperationSide operationSide)
{
switch (operationSide)
{
case ArbitrageOperationSide.SellNearBuyFar: return(ArbitrageOperationSide.BuyNearSellFar);
case ArbitrageOperationSide.BuyNearSellFar: return(ArbitrageOperationSide.SellNearBuyFar);
default: return(ArbitrageOperationSide.Unknown);
}
}
public static string ToDescription(this ArbitrageOperationSide operationSide)
{
switch (operationSide)
{
case ArbitrageOperationSide.SellNearBuyFar: return("卖近买远");
case ArbitrageOperationSide.BuyNearSellFar: return("买近卖远");
default: return("未知");
}
}
private void SafeFireArbitrageOperationSideChanged(ArbitrageOperationSide operationSide)
{
ArbitrageOperationChangedEventHandle handle = this.OnArbitrageOperationSideChanged;
if (handle != null)
{
try
{
handle(operationSide);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
}
}
}
private decimal GetSecondTaskOrderPrice(ArbitrageOperationSide operationSide, USeOrderSide preferentialSide, decimal firstSubTaskAvgTradePrice, decimal priceSpread)
{
Debug.Assert(firstSubTaskAvgTradePrice > 0);
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
if (preferentialSide == USeOrderSide.Buy)
{
return(firstSubTaskAvgTradePrice - priceSpread);
}
else if (preferentialSide == USeOrderSide.Sell)
{
return(firstSubTaskAvgTradePrice + priceSpread);
}
else
{
Debug.Assert(false);
}
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
if (preferentialSide == USeOrderSide.Buy)
{
return(firstSubTaskAvgTradePrice + priceSpread);
}
else if (preferentialSide == USeOrderSide.Sell)
{
return(firstSubTaskAvgTradePrice - priceSpread);
}
else
{
Debug.Assert(false);
}
}
throw new Exception("无法计算反手子任务下单价格");
}
private void arbitrageOperationSideControl1_OnArbitrageOperationSideChanged(ArbitrageOperationSide operationSide)
{
switch (operationSide)
{
case ArbitrageOperationSide.SellNearBuyFar:
{
this.priceSpreadSideControl_OpenSpreadArg.PriceSpreadSide = PriceSpreadSide.GreaterOrEqual;
this.priceSpreadSideControl_CloseSpreadArg.PriceSpreadSide = PriceSpreadSide.LessOrEqual;
this.priceSpreadSideControl_StopLossArg.PriceSpreadSide = PriceSpreadSide.GreaterOrEqual;
break;
}
case ArbitrageOperationSide.BuyNearSellFar:
{
this.priceSpreadSideControl_OpenSpreadArg.PriceSpreadSide = PriceSpreadSide.LessOrEqual;
this.priceSpreadSideControl_CloseSpreadArg.PriceSpreadSide = PriceSpreadSide.GreaterOrEqual;
this.priceSpreadSideControl_StopLossArg.PriceSpreadSide = PriceSpreadSide.LessOrEqual;
break;
}
default:
break;
}
}
/// <summary>
/// 创建组合套利单下单参数
/// </summary>
private bool CreateNewArbitrageOrder()
{
USeInstrument nearInstrument = this.cbxNearInstrument.SelectedItem as USeInstrument;
USeInstrument farInstrument = this.cbxFarInstrument.SelectedItem as USeInstrument;
ArbitrageOperationSide operationSide = this.arbitrageOperationSideControl.OperationSide;
ArbitrageOpenArgument openArg = new ArbitrageOpenArgument();
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
openArg.BuyInstrument = nearInstrument;
openArg.SellInstrument = farInstrument;
openArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
openArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
openArg.BuyInstrument = farInstrument;
openArg.SellInstrument = nearInstrument;
openArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
openArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
}
else
{
Debug.Assert(false);
}
openArg.NearOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
openArg.FarOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
openArg.PreferentialSide = this.preferentialSideControl_OpenArg.PreferentialSide;
openArg.OpenCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_OpenSpreadArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_OpenArg.Value
};
openArg.TotalOrderQty = (int)this.nudTotalOrderQty_OpenArg.Value;
openArg.OrderQtyUint = (int)this.nudOrderQtyUint_OpenArg.Value;
openArg.DifferentialUnit = (int)this.nudDifferentialUnit_OpenArg.Value;
ArbitrageCloseArgument closeArg = new ArbitrageCloseArgument();
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
closeArg.BuyInstrument = farInstrument;
closeArg.SellInstrument = nearInstrument;
closeArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
closeArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
closeArg.BuyInstrument = nearInstrument;
closeArg.SellInstrument = farInstrument;
closeArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
closeArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
}
closeArg.NearOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
closeArg.FarOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
closeArg.PreferentialSide = this.preferentialSideControl_CloseArg.PreferentialSide;
closeArg.CloseCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_CloseSpreadArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_CloseArg.Value
};
closeArg.OrderQtyUint = (int)this.nudOrderQtyUint_CloseArg.Value;
closeArg.DifferentialUnit = (int)this.nudDifferentialUnit_CloseArg.Value;
ArbitrageStopLossArgument stopLossArg = null;
if (this.cbxStopLossFlag.Checked)
{
stopLossArg = new ArbitrageStopLossArgument();
stopLossArg.StopLossCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_StopLossArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_StopLossArg.Value
};
}
List <ArbitrageAlarmArgument> alarmArgList = new List <ArbitrageAlarmArgument>();
if (m_dataSourceAlarm != null && m_dataSourceAlarm.Count > 0)
{
foreach (ArbitrageAlarmArgumentViewModel alarmView in m_dataSourceAlarm)
{
alarmArgList.Add(ArbitrageAlarmArgumentViewModel.CreatAlarmData(alarmView));
}
}
ArbitrageArgument argument = new ArbitrageArgument();
argument.ProductID = m_product.ProductCode;
argument.NearInstrument = nearInstrument;
argument.FarInstrument = farInstrument;
argument.OperationSide = operationSide;
argument.OpenArg = openArg;
argument.CloseArg = closeArg;
argument.StopLossArg = stopLossArg;
argument.AlarmArgs = alarmArgList;
string errorMessage = string.Empty;
if (VerifyMargin(argument.OpenArg, out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, errorMessage);
return(false);
}
decimal evaluateMargin = EvaluateMargin(argument.OpenArg);
string text = string.Format("套利单预计占用保证金 {0},确定跟单么?", evaluateMargin.ToString("#,0"));
if (DialogResult.Yes != USeFuturesSpiritUtility.ShowYesNoMessageBox(this, text))
{
return(false);
}
try
{
AutoTraderManager traderManager = USeManager.Instance.AutoTraderManager;
Debug.Assert(traderManager != null);
AutoTrader trader = traderManager.CreateNewAutoTrader(argument, USeManager.Instance.LoginUser);
trader.BeginOpen();
//[yangming]创建后应该启动跟单
trader.StartOpenOrCloseMonitor();
USeManager.Instance.DataSaver.AddSaveTask(trader.GetArbitrageOrder());
//同时保存所有的ArbitrageArgument便于下次修改
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, ex.Message);
return(false);
}
return(true);
}
private void btnBuyNearSellFar_Click(object sender, EventArgs e)
{
this.OperationSide = ArbitrageOperationSide.BuyNearSellFar;
}