/// <summary>
/// 检查平仓
/// </summary>
/// <param name="data">最新持仓数据</param>
/// <param name="ceil">止盈位</param>
/// <param name="floor">止损位</param>
public static void checkClose(List <InvestorPosition> data, double ceil, double floor)
{
//取小数部分，止盈为正，止损位负
int dataSize = data.Count;
Dictionary <String, String> codes = new Dictionary <string, string>();
//循环遍历数据
for (int i = 0; i < dataSize; i++)
{
InvestorPosition investorPosition = data[i];
String key = investorPosition.m_code + investorPosition.m_posiDirection;
//判断该持仓是新增的还是减少的
lock (m_investorPositions) {
if (m_investorPositions.ContainsKey(key))
{
if (m_investorPositions[key].m_position != investorPosition.m_position)
{
codes[investorPosition.m_code] = "";
}
}
else
{
codes[investorPosition.m_code] = "";
}
//更新内存
m_investorPositions[key] = investorPosition;
}
//获取行情数据
SecurityLatestData latestData = null;
lock (m_latestDatas) {
if (m_latestDatas.ContainsKey(investorPosition.m_code))
{
latestData = m_latestDatas[investorPosition.m_code];
}
}
//openPrice字段是0
if (latestData != null && investorPosition.m_position > 0)
{
double openPrice = investorPosition.m_openCost / investorPosition.m_position;
//获取当前价格与开仓价的差额
if (openPrice != 0)
{
//获取代码
String code = investorPosition.m_code;
//获取方向
String direction = investorPosition.m_posiDirection;
//处理买开仓
if (investorPosition.m_posiDirection == "买")
{
//获取盈亏比例
double ratio = latestData.m_close / openPrice;
String strClose = String.Format("现价/开仓价:{0},止盈位:{1},止损位:{2}", ratio, ceil, floor);
//判断止盈
if (ratio >= ceil) //如果是止盈，右边应该1.03
{
askOrBidClose(investorPosition, code, direction, latestData.m_close, openPrice, 1);
}
//判断止损
else if (ratio <= floor) //如果是止损，右边应该是0.99
{
askOrBidClose(investorPosition, code, direction, latestData.m_close, openPrice, 2);
}
}
//处理卖开仓
else if (investorPosition.m_posiDirection == "卖")
{
//获取当前价格与开仓价的差额，但是方向相反
double ratio = latestData.m_close / openPrice;
double subCeil = ceil - 1; //也就是0.03
double subFloor = 1 - floor; //也就是0.01
String strClose = String.Format("现价/开仓价:{0},止盈位:{1},止损位:{2}", ratio, 1 - subCeil, 1 + subFloor);
//判断止盈
if (ratio <= 1 - subCeil) //如果止盈是0.03，右边应该是0.97
{
askOrBidClose(investorPosition, code, direction, latestData.m_close, openPrice, 1);
}
//判断止损
else if (ratio >= 1 + subFloor) //如果止损是0.01，右边应该是1.01
{
askOrBidClose(investorPosition, code, direction, latestData.m_close, openPrice, 2);
}
}
}
}
}
}
/// <summary>
/// 平仓
/// </summary>
/// <param name="investorPosition">持仓</param>
/// <param name="code">代码</param>
/// <param name="direction">方向</param>
/// <param name="close">最新价</param>
/// <param name="openPrice">开仓价</param>
/// <param name="state">state=0为手动平仓，其余为自动</param>
public static void askOrBidClose(InvestorPosition investorPosition, String code, String direction, double close, double openPrice, int state)
{
//如果持仓为0，则不检查
if (investorPosition.m_position == 0)
{
return;
}
//获取对应的行情数据
SecurityLatestData latestData = null;
lock (m_latestDatas) {
if (m_latestDatas.ContainsKey(code))
{
latestData = m_latestDatas[code];
}
}
if (latestData != null)
{
//获取的码表
Security security = null;
lock (m_securities) {
if (m_securities.ContainsKey(investorPosition.m_code))
{
security = m_securities[investorPosition.m_code];
}
}
if (security != null)
{
bool canTrade = true;
//检查冷却时间，一次平仓10秒后才能再次平仓
if (state != 0)
{
lock (m_cd2) {
if (m_cd2.ContainsKey(investorPosition.m_code))
{
if (m_cd2[investorPosition.m_code] > 0)
{
canTrade = false;
}
}
}
}
//获取昨仓
int ydPosition = investorPosition.m_ydPosition;
//获取今仓
int todayPosition = investorPosition.m_position - ydPosition;
if (canTrade)
{
bool isSh = security.m_exchangeID == "SHFE";
//买开仓情况下
if (direction == "买")
{
//上期所处理方法
if (isSh)
{
//平昨
if (ydPosition > 0)
{
CTPDLL.askClose(m_ctpID, CTPDLL.generateReqID(m_ctpID), investorPosition.m_code, security.m_exchangeID, 0, ydPosition, '3', "");
}
//平今
if (todayPosition > 0)
{
CTPDLL.askCloseToday(m_ctpID, CTPDLL.generateReqID(m_ctpID), investorPosition.m_code, security.m_exchangeID, 0, todayPosition, '3', "");
}
}
//其他交易所处理方法
else
{
CTPDLL.askClose(m_ctpID, CTPDLL.generateReqID(m_ctpID), investorPosition.m_code, security.m_exchangeID, 0, investorPosition.m_position, '3', "");
}
//打印日志
if (state == 1)
{
FCStrEx.writeLog(String.Format("自动止盈,开仓价{0},当前价{1},买平仓,代码{2},价格{3},数量{4}\r\n",
openPrice, close, investorPosition.m_code, latestData.m_bidPrice1, investorPosition.m_position));
}
else if (state == 2)
{
FCStrEx.writeLog(String.Format("自动止损,开仓价{0},当前价{1},买平仓,代码{2},价格{3},数量{4}\r\n",
openPrice, close, investorPosition.m_code, latestData.m_bidPrice1, investorPosition.m_position));
}
//开仓冷却时间+10
lock (m_cd1) {
if (m_cd1.ContainsKey(investorPosition.m_code))
{
m_cd1[investorPosition.m_code] += 10;
}
else
{
m_cd1[investorPosition.m_code] = 10;
}
}
//平仓冷却时间重置
lock (m_cd2) {
m_cd2[investorPosition.m_code] = 10;
}
}
//卖开仓情况下
else if (direction == "卖")
{
//上期所处理方法
if (isSh)
{
//平昨
if (ydPosition > 0)
{
CTPDLL.bidClose(m_ctpID, CTPDLL.generateReqID(m_ctpID), investorPosition.m_code, security.m_exchangeID, 0, ydPosition, '3', "");
}
//平今
if (todayPosition > 0)
{
CTPDLL.bidCloseToday(m_ctpID, CTPDLL.generateReqID(m_ctpID), investorPosition.m_code, security.m_exchangeID, 0, todayPosition, '3', "");
}
}
//其他交易所处理方法
else
{
CTPDLL.bidClose(m_ctpID, CTPDLL.generateReqID(m_ctpID), investorPosition.m_code, security.m_exchangeID, 0, investorPosition.m_position, '3', "");
}
//打印日志
if (state == 1)
{
FCStrEx.writeLog(String.Format("自动止盈,开仓价{0},当前价{1},卖平仓,代码{2},价格{3},数量{4}\r\n",
openPrice, close, investorPosition.m_code, latestData.m_bidPrice1, investorPosition.m_position));
}
else if (state == 2)
{
FCStrEx.writeLog(String.Format("自动止损,开仓价{0},当前价{1},卖平仓,代码{2},价格{3},数量{4}\r\n",
openPrice, close, investorPosition.m_code, latestData.m_bidPrice1, investorPosition.m_position));
}
//开仓冷却时间+10
lock (m_cd1) {
if (m_cd1.ContainsKey(investorPosition.m_code))
{
m_cd1[investorPosition.m_code] += 10;
}
else
{
m_cd1[investorPosition.m_code] = 10;
}
}
//平仓冷却时间重置
lock (m_cd2) {
m_cd2[investorPosition.m_code] = 10;
}
}
}
}
}
}
public override void OnRspQryInvestorPosition(ThostFtdcInvestorPositionField pInvestorPosition, ThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (pRspInfo != null && pRspInfo.ErrorID != 0)
{
LogCenter.Error("请求查询投资者持仓错误：" + pRspInfo.ErrorMsg);
return;
}
if (pInvestorPosition == null)
{
return;
}
var position = new InvestorPosition
{
InstrumentID = pInvestorPosition.InstrumentID,
BrokerID = pInvestorPosition.BrokerID,
InvestorID = pInvestorPosition.InvestorID,
PosiDirection = (PosiDirection)pInvestorPosition.PosiDirection,
HedgeFlag = (HedgeFlag)pInvestorPosition.HedgeFlag,
PositionDate = (PositionDateType)pInvestorPosition.PositionDate,
YdPosition = pInvestorPosition.YdPosition,
Position = pInvestorPosition.Position,
LongFrozen = pInvestorPosition.LongFrozen,
ShortFrozen = pInvestorPosition.ShortFrozen,
LongFrozenAmount = pInvestorPosition.LongFrozenAmount,
ShortFrozenAmount = pInvestorPosition.ShortFrozenAmount,
OpenVolume = pInvestorPosition.OpenVolume,
CloseVolume = pInvestorPosition.CloseVolume,
OpenAmount = pInvestorPosition.OpenAmount,
CloseAmount = pInvestorPosition.CloseAmount,
PositionCost = pInvestorPosition.PositionCost,
PreMargin = pInvestorPosition.PreMargin,
UseMargin = pInvestorPosition.UseMargin,
FrozenMargin = pInvestorPosition.FrozenMargin,
FrozenCash = pInvestorPosition.FrozenCash,
FrozenCommission = pInvestorPosition.FrozenCommission,
CashIn = pInvestorPosition.CashIn,
Commission = pInvestorPosition.Commission,
CloseProfit = pInvestorPosition.CloseProfit,
PositionProfit = pInvestorPosition.PositionProfit,
PreSettlementPrice = pInvestorPosition.PreSettlementPrice,
SettlementPrice = pInvestorPosition.SettlementPrice,
TradingDay = pInvestorPosition.TradingDay,
SettlementID = pInvestorPosition.SettlementID,
OpenCost = pInvestorPosition.OpenCost,
ExchangeMargin = pInvestorPosition.ExchangeMargin,
CombPosition = pInvestorPosition.CombPosition,
CombLongFrozen = pInvestorPosition.CombLongFrozen,
CombShortFrozen = pInvestorPosition.CombShortFrozen,
CloseProfitByDate = pInvestorPosition.CloseProfitByDate,
CloseProfitByTrade = pInvestorPosition.CloseProfitByTrade,
TodayPosition = pInvestorPosition.TodayPosition,
MarginRateByMoney = pInvestorPosition.MarginRateByMoney,
MarginRateByVolume = pInvestorPosition.MarginRateByVolume,
StrikeFrozen = pInvestorPosition.StrikeFrozen,
StrikeFrozenAmount = pInvestorPosition.StrikeFrozenAmount,
AbandonFrozen = pInvestorPosition.AbandonFrozen,
};
this.positions.Add(position);
if (bIsLast)
{
PositionViewModel.Instance.Update(this.positions);
}
}