public void UpdateTrade(CustomTrade trade)
{
var ins = Instruments[trade.InstrumentID] as FutureInstrument;
// 更新仓位
if (trade.OffsetFlag == EnumOffsetFlagType.Open)
{
if (trade.Direction == EnumDirectionType.Sell)
{
ins.SellPosition++;
}
else
{
ins.BuyPosition++;
}
}
else
{
if (trade.Direction == EnumDirectionType.Buy)
{
ins.SellPosition--;
}
else
{
ins.BuyPosition--;
}
}
}
private void UpdateTrade(CustomTrade trade)
{
lock (tradeLocker)
{
foreach (var f in formList)
{
// 推送成交回报
if (!f.IsDisposed)
{
f.OnRtnTrade(trade);
}
}
}
}
public void OnRtnTrade(CustomTrade pTrade)
{
if (!IsMyTrade(pTrade))
{
return;
}
if (pTrade.InstrumentID == inParam.InIF1)
{
if (pTrade.Direction == (int)BS_CODE.Buy) // 跨期自动交易的IF1和IF2不能随意变更，否则对成交汇总的计算会造成错误影响
{
TradeDetail_IF1BO.TradeVol += pTrade.TradeVol;
TradeDetail_IF1BO.TradeAmount += pTrade.TradeVol * pTrade.TradePrice * IF_CONTRACT_FACTOR;
// 更新持仓（按对计算）
TradeSummary.Position += pTrade.TradeVol;
}
else
{
TradeDetail_IF1SC.TradeVol += pTrade.TradeVol;
TradeDetail_IF1SC.TradeAmount += pTrade.TradeVol * pTrade.TradePrice * IF_CONTRACT_FACTOR;
// 更新持仓（按对计算）
TradeSummary.Position -= pTrade.TradeVol;
}
}
else if (pTrade.InstrumentID == inParam.InIF2)
{
if (pTrade.Direction == BS_CODE.Sell)
{
TradeDetail_IF2SO.TradeVol += pTrade.TradeVol;
TradeDetail_IF2SO.TradeAmount += pTrade.TradeVol * pTrade.TradePrice * IF_CONTRACT_FACTOR;
}
else
{
TradeDetail_IF2BC.TradeVol += pTrade.TradeVol;
TradeDetail_IF2BC.TradeAmount += pTrade.TradeVol * pTrade.TradePrice * IF_CONTRACT_FACTOR;
}
}
TradeSummary.TradeCount += pTrade.TradeVol;
TradeSummary.OpenAvgPrice = TradeDetail_IF1BO.TradeAvgPrice - TradeDetail_IF2SO.TradeAvgPrice;
TradeSummary.CloseAvgPrice = TradeDetail_IF1SC.TradeAvgPrice - TradeDetail_IF2BC.TradeAvgPrice;
TradeSummary.RealProfit = (TradeSummary.CloseAvgPrice - TradeSummary.OpenAvgPrice) * Math.Min(TradeDetail_IF1BO.TradeVol, TradeDetail_IF1SC.TradeVol) * 300;
//TradeSummary.FloatProfit = (lastHQInfo.CurrentSpread - TradeSummary.OpenAvgPrice) * TradeSummary.Position * 300;
TradeSummary.Fee = (TradeDetail_IF1BO.TradeAmount + TradeDetail_IF1SC.TradeAmount + TradeDetail_IF2BC.TradeAmount + TradeDetail_IF2SO.TradeAmount) * TRADE_FEE_RETIO;
TradeSummary.TotalProfit = TradeSummary.RealProfit + TradeSummary.FloatProfit - TradeSummary.Fee;
}
///成交通知
private void OnRtnTrade(ThostFtdcTradeField pTrade)
{
__DEBUGPF__();
// 更新成交回报信息
CustomTrade customTrade = new CustomTrade();
customTrade.tradeRef = pTrade.ExchangeID + "_" + pTrade.OrderSysID; // 成交回报的唯一编号
customTrade.InstrumentID = pTrade.InstrumentID;
customTrade.Direction = pTrade.Direction;
customTrade.OffsetFlag = pTrade.OffsetFlag;
customTrade.TradePrice = pTrade.Price;
customTrade.TradeVol = pTrade.Volume;
customTrade.TradeTime = pTrade.TradeTime;
// 处理成交回报
if (HandleRtnTradeDel != null)
{
//HandleRtnTradeDel.BeginInvoke(customTrade, null, null);
HandleRtnTradeDel(customTrade);
}
}
///成交通知
private void OnRtnTrade(ThostFtdcTradeField pTrade)
{
__DEBUGPF__();
// 更新成交回报信息
CustomTrade customTrade = new CustomTrade();
customTrade.tradeRef = pTrade.ExchangeID + "_" + pTrade.OrderSysID; // 成交回报的唯一编号
customTrade.InstrumentID = pTrade.InstrumentID;
customTrade.Direction = (pTrade.Direction == EnumDirectionType.Buy) ? BS_CODE.Buy : BS_CODE.Sell;
customTrade.OffsetFlag = (pTrade.OffsetFlag == EnumOffsetFlagType.Open) ? OC_CODE.Open : OC_CODE.Close;
customTrade.TradePrice = pTrade.Price;
customTrade.TradeVol = pTrade.Volume;
customTrade.TradeTime = pTrade.TradeTime;
// 处理成交回报
if (HandleRtnTradeDel != null)
{
//HandleRtnTradeDel.BeginInvoke(customTrade, null, null);
HandleRtnTradeDel(customTrade);
}
}
bool IsMyTrade(CustomTrade pTrade)
{
return((order0 != null && order0.tradeRef == pTrade.tradeRef) ||
(order1 != null && order1.tradeRef == pTrade.tradeRef) ||
(order2 != null && order2.tradeRef == pTrade.tradeRef));
}
private void OnRtnTradeInternal(CustomTrade trade)
{
spreadTrader.OnRtnTrade(trade);
}
public void OnRtnTrade(CustomTrade trade)
{
var del = new HandleRtnTradeDelegate(OnRtnTradeInternal);
this.BeginInvoke(del, new object[] { trade });
}
