private double CalculateOrderDuration(Order order)
{
double Dt = (TickNow - ConvertToDateTime(order.InsertDate, order.InsertTime)).TotalSeconds;
if (TickNow.ToString("HH:mm:ss").CompareTo(RestT1.ToString("HH:mm:ss")) >= 0 && order.InsertTime.Substring(0, 8).CompareTo(RestT0.ToString("HH:mm:ss")) <= 0)
{
Dt = Dt - (RestT2 - RestT0).TotalSeconds; // 除去早盘休息时间
}
else if (TickNow.ToString("HH:mm:ss").CompareTo(RestT3.ToString("HH:mm:ss")) >= 0 && order.InsertTime.Substring(0, 8).CompareTo(RestT2.ToString("HH:mm:ss")) <= 0)
{
Dt = Dt - (RestT3 - RestT2).TotalSeconds; // 除去中午休息时间
}
return(Dt);
}
public override void OnTick(TickData td)
{
if (!InitOk)
{
return;
}
LastPrice = Math.Round((ASKPRICE(1).LASTDATA + BIDPRICE(1).LASTDATA) / 2, 2);
// 委托不成交，立刻撤单重发
List <Order> ordLst = GetUnAllTradedOrderList(SYMBOL);
if (ordLst != null && ordLst.Count > 0)
{
//说明有可撤单
//注意看止损
foreach (Order order in ordLst)
{
if (ORDER_KEY_LIST.Contains(order.Key))//说明是本策略下的订单
{
double Dt = (TickNow - ConvertToDateTime(order.InsertDate, order.InsertTime)).TotalSeconds;
if (TickNow.ToString("HH:mm:ss").CompareTo(RestT1.ToString("HH:mm:ss")) > 0 && order.InsertTime.Substring(0, 8).CompareTo(RestT0.ToString("HH:mm:ss")) < 0) //时间已到下午，但是order又是在上午下的单
{
Dt = Dt - (RestT1 - RestT0).TotalSeconds; //除去中午休息时间
}
if (order.OrderStatus == EnumOrderStatusType.NoTradeQueueing || order.OrderStatus == EnumOrderStatusType.PartTradedQueueing)
{
if (Dt > KCBC)//超时未成交
{
CancelOrder(order);
if (!IfFKC)
{
KN -= (order.VolumeTotalOriginal - order.VolumeTraded);//更新总开仓的剩余数量
if (PN >= KN_Trd)
{
Clear();
}
else
{
PrintLine("开仓超时，但是PN=" + PN + ",KN_Trd=" + KN_Trd + ",已开的仓还没有全平。");
}
}
}
}
}
}
}
if (TickNow.ToString("HH:mm:ss").CompareTo(tFinish.ToString("HH:mm:ss")) < 0)
{
// 首先确认是否经过高点或者地点
if (!IfSeeHigh)
{
if (LastPrice >= SSetup)
{
IfSeeHigh = true;
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "最新价" + LastPrice + ">SSetup=" + SSetup + "，设定进入观察卖空");
}
}
if (!IfSeeLow)
{
if (LastPrice <= BSetup)
{
IfSeeLow = true;
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "最新价" + LastPrice + "<BSetup=" + BSetup + "，设定进入观察卖空");
}
}
if (Flag == 0)//没有开仓
{
// 突破开仓
if (LastPrice >= BBreak)
{
Flag = 1;
止损位 = SSetup;
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "向上突破" + LastPrice + ">" + BBreak + ",开仓做多,设置止损位=" + 止损位);
KN = Qty;
PN = 0;
KN_Trd = 0;
T0 = SERVERTIME;
SendOrder(KCJP, Qty, EnumDirectionType.Buy, EnumOffsetFlagType.Open, PriceTick);
}
else if (LastPrice <= SBreak)
{
Flag = -1;
止损位 = BSetup;
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "向下突破" + LastPrice + "<" + SBreak + ",开仓做空，设置止损位=" + 止损位);
KN = Qty;
PN = 0;
KN_Trd = 0;
T0 = SERVERTIME;
SendOrder(KCJP, Qty, EnumDirectionType.Sell, EnumOffsetFlagType.Open, PriceTick);
}
// 观察买入 卖出
if (IfSeeHigh && LastPrice <= SEnter)
{
IfSeeHigh = false;
Flag = -1;
止损位 = SSetup;
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "观察后向下" + LastPrice + "<" + SEnter + ",开仓做空，设置止损位=" + 止损位);
KN = Qty;
PN = 0;
KN_Trd = 0;
T0 = SERVERTIME;
SendOrder(KCJP, Qty, EnumDirectionType.Sell, EnumOffsetFlagType.Open, PriceTick);
}
else if (IfSeeLow && LastPrice >= BEnter)
{
IfSeeHigh = false;
Flag = 1;
止损位 = BSetup;
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "观察后向上" + LastPrice + ">" + BEnter + ",开仓做多,设置止损位=" + 止损位);
KN = Qty;
PN = 0;
KN_Trd = 0;
T0 = SERVERTIME;
SendOrder(KCJP, Qty, EnumDirectionType.Buy, EnumOffsetFlagType.Open, PriceTick);
}
}
else
{
// 如果有Flag，需要检查止损
if (Flag > 0)//已经买入开仓
{
//用买1
//卖1 - 跳
if (BIDPRICE(1).LASTDATA < 止损位)
{
//如果发现价格仍然高于突破买入(换句话说，平仓后还要买入)---调整止损位
if (LastPrice >= BBreak)
{
//多单超过了最高的一条线BBreak,将止损线从BSetup上移到SSetup
止损位 = SSetup;
}
else
{
SendOrder(PCJP, KN_Trd,
EnumDirectionType.Sell, EnumOffsetFlagType.Close, PriceTick);
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "多头持仓触发止损,BidPrice1="
+ BIDPRICE(1).LASTDATA + ",止损位=" + 止损位 + ",T0=" + T0);
Clear();
}
}
}
else if (Flag < 0)//已经卖出开仓
{
if (ASKPRICE(1).LASTDATA > 止损位)
{
if (LastPrice <= SBreak)
{
//空单跌破了最低的一条线SBreak,将止损线从SSetup下移到BSetup
止损位 = BSetup;
}
else
{
SendOrder(PCJP,
KN_Trd,
EnumDirectionType.Buy,
EnumOffsetFlagType.Close, PriceTick);
PrintLine(TickNow.ToString("HH:mm:ss.fff") + "->" + "空头持仓触发止损,AskPrice1=" + ASKPRICE(1).LASTDATA
+ ",止损位=" + 止损位
+ ",T0=" + T0);
Clear();
}
}
}
}
}
else
{
//中间有5分钟的缓冲
if (!IfFinish)
{
RealeaseAccount();
}
}
}
