private void BeginTrade(object sender, TradeArgs e)
{
bool requestTrade = false;
var customer = Customers.FirstOrDefault(c => c.Nickname == e.CustomerName);
if (customer == null)
{
_loggerService.Log($"Customer {e.CustomerName} not found in my trade list");
return;
}
if (_InTrade)
{
_loggerService.Log($"Currently in trade, queue him");
return;
}
_loggerService.Log("Customer arrived " + customer.Nickname);
if (customer.OrderType == CustomerInfo.OrderTypes.SINGLE)
{
requestTrade = _StashHelper.WithrawItemFromStash(customer);
}
else if (customer.OrderType == CustomerInfo.OrderTypes.MANY)
{
requestTrade = _StashHelper.WithrawTradeItemsFromStash(customer);
}
if (requestTrade)
{
CurrentCustomer = customer;
RequestTrade();
}
else
{
Customers.Remove(customer);
}
}
private void TradeHandler(object sender, TradeArgs e)
{
itemTrade itrade = e.ItemTrade;
// Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
Trade trade = new TradeImpl();
trade.symbol = itrade.msecsym;
itemOrder lorder = socketOrderServer.sitemOrder.FindItem(itrade.morderid);
if (lorder == null)
{
return;
}
trade.side = lorder.IsBuyOrder();
trade.xprice = Convert.ToDecimal(itrade.mprice);
trade.xsize = itrade.mqty;
DateTime mdate = ComFucs.GetDate(itrade.mm_date);
trade.Account = "";
trade.xdate = mdate.Day + mdate.Month * 100 + mdate.Year * 10000;
trade.xtime = mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000;
tl.newFill(trade);
v(trade.symbol + " received fill ack for: " + trade.ToString());
}
public void onTrade(TradeArgs e)
{
////throw new NotImplementedException();
//Console.WriteLine("[" + DateTime.Now.ToLocalTime().ToString() + "]" + "OnRtnTrade:{0}", e.Value.TradeID);
//Log.log(string.Format("OnRtnTrade:{0} OrderID {1}", e.Value.TradeID, e.Value.OrderID), e.Value.InstrumentID);
////成交 需要下委托单
//string direction = e.Value.Direction == DirectionType.Buy ? "买" : "卖";
//InstrumentData instrumentdata;
//if (mTradeData.TryGetValue(e.Value.InstrumentID, out instrumentdata) == false)
//{
// return;
//}
//if (e.Value.Direction == DirectionType.Buy)
//{
// instrumentdata.holder = 1;
// instrumentdata.price = e.Value.Price;
//}
//else
//{
// instrumentdata.holder = -1;
// instrumentdata.price = e.Value.Price;
//}
//string offsetType = "开";
//if (e.Value.Offset == OffsetType.Close)
// offsetType = "平";
//else if (e.Value.Offset == OffsetType.CloseToday)
// offsetType = "平今";
//Log.logTrade(string.Format("{0},{1},{2},{3},{4},{5}", e.Value.InstrumentID, e.Value.TradingDay, e.Value.TradeTime,
// e.Value.Price, e.Value.Volume, direction + offsetType));
}
public void onTrade(TradeArgs tradeArgs)
{
foreach (IStrategy strategy in mStrategyDictionary.Values)
{
strategy.onTrade(tradeArgs);
}
}
public bool operateInstrument(OpType op, string instrumentId, double price, int limitMin)
{
if (op == OpType.BUY_OPEN || op == OpType.SELL_OPEN)
{
int orderId = _orderId++;
OrderField orderField = new OrderField();
orderField.OrderID = orderId;
orderField.InstrumentID = instrumentId;
orderField.LimitPrice = price;
if (op == OpType.BUY_OPEN)
{
orderField.Direction = DirectionType.Buy;
}
else
{
orderField.Direction = DirectionType.Sell;
}
_tradeOrders.Add(orderId, orderField);
if (limitMin > 0)
{
_waitingOrder.Add(instrumentId, new HashSet <string>());
_waitingMin[instrumentId] = limitMin;
}
else
{
_waitingMin[_instrumentId] = 0;
}
StrategyManager.getInstance().onOrder(orderField);
}
else
{
if (_holding != 0)
{
TradeArgs tradeArgs = new TradeArgs();
tradeArgs.Value = new TradeField();
if (_holdingOrder.Direction == DirectionType.Buy)
{
tradeArgs.Value.Direction = DirectionType.Sell;
}
else
{
tradeArgs.Value.Direction = DirectionType.Buy;
}
tradeArgs.Value.InstrumentID = _instrumentId;
tradeArgs.Value.Price = _currentLastPrice;
tradeArgs.Value.TradeTime = _currentTime;
tradeArgs.Value.OrderID = _holdingOrder.OrderID;
tradeArgs.Value.Offset = OffsetType.Close;
StrategyManager.getInstance().onTrade(tradeArgs);
_holding = 0;
_holdingOrder = null;
}
}
return(true);
}
private void TradeAccepted(object sender, TradeArgs e)
{
if (CurrentCustomer != null)
{
_loggerService.Log("Trade accepted " + CurrentCustomer.Nickname);
EndTrade(CurrentCustomer, true);
}
}
//交易回报
private void _OnRtnTrade(object sender, TradeArgs e)
{
while (0 != Interlocked.Exchange(ref BaseStrategy.Locker, 1))
{
}
TradeField trade = e.Value;
LogUtils.EnginLog($"交易回报：{trade.OrderID}\t{trade.InstrumentID}\t{trade.Direction}\t{trade.Offset}\t{trade.Price}\t{trade.Volume}");
Interlocked.Exchange(ref BaseStrategy.Locker, 0);
}
private void OnRtnTrade(object sender, TradeArgs e)//将成交回报分发给各个合约
{
AContract contract = Contracts.Find(
delegate(AContract c) { return(string.Compare(c.Instrument.InstrumentID, e.Value.InstrumentID) == 0); }
);
if (contract != null)
{
contract.OnRtnTrade(sender, e);
}
}
private void TradeCanceled(object sender, TradeArgs e)
{
_loggerService.Log("Trade canceled " + CurrentCustomer.Nickname);
if (CurrentCustomer == null)
{
return;
}
TradinngThread.Abort();
Thread.Sleep(500);
RequestTrade();
}
void trade_OnRtnTrade(object sender, TradeArgs e)
{
_queueTradeFresh.Enqueue(e.Value.TradeID); //刷新时用
if (e.Value.Offset == OffsetType.Open)
{
_queuePositionFresh.Enqueue(e.Value.InstrumentID + "_" + e.Value.Direction); //刷持仓
}
else
{
_queuePositionFresh.Enqueue(e.Value.InstrumentID + "_" + (e.Value.Direction == DirectionType.Buy ? "Sell" : "Buy")); //刷持仓
}
Ring("成交通知");
}
private void CustomerLeft(object sender, TradeArgs e)
{
if (_InTrade)
{
TradinngThread.Abort();
_InTrade = false;
}
_loggerService.Log("Customer left " + e.CustomerName);
var customer = Customers.FirstOrDefault(c => c.Nickname == e.CustomerName);
if (customer != null)
{
EndTrade(customer);
}
}
void _t_OnRtnTrade(object sender, TradeArgs e)
{
var trade = (Trade)sender;
var field = e.Value;
var vap = _straOrdersId.FirstOrDefault(n => n.Value.IndexOf(e.Value.OrderID) >= 0);
if (vap.Key == null)
{
return;
}
var ids = vap.Value;
var o1 = _t.DicOrderField.Values.Where(n => ids.IndexOf(n.OrderID) >= 0 && n.InstrumentID == vap.Key.Instrument1);
vap.Key.VolumeTraded1 = o1.Sum(n => n.Volume - n.VolumeLeft);
var p1 = o1.Sum(n => n.AvgPrice * (n.Volume - n.VolumeLeft)) / vap.Key.VolumeTraded1;
var o2 = _t.DicOrderField.Values.Where(n => ids.IndexOf(n.OrderID) >= 0 && n.InstrumentID == vap.Key.Instrument2);
vap.Key.VolumeTraded2 = o2.Sum(n => n.Volume - n.VolumeLeft);
if (vap.Key.Instrument1 == field.InstrumentID)
{
_queueModifiedStra.Enqueue(new Tuple <Stra, string>(vap.Key, "VolumeTraded1")); //用于刷新
}
else if (vap.Key.Instrument2 == field.InstrumentID)
{
_queueModifiedStra.Enqueue(new Tuple <Stra, string>(vap.Key, "VolumeTraded2")); //用于刷新
}
var p2 = o2.Sum(n => n.AvgPrice * (n.Volume - n.VolumeLeft)) / vap.Key.VolumeTraded2;
double p = p1 - p2;
if (!double.IsNaN(p))
{
vap.Key.PriceTraded = p;
if (vap.Key.VolumeTraded1 == vap.Key.Volume1 && vap.Key.Volume2 == vap.Key.VolumeTraded2)
{
vap.Key.Status = ArbStatus.Filled;
}
else
{
vap.Key.Status = ArbStatus.Partial;
}
_queueModifiedStra.Enqueue(new Tuple <Stra, string>(vap.Key, "Status")); //用于刷新
_queueModifiedStra.Enqueue(new Tuple <Stra, string>(vap.Key, "PriceTraded")); //用于刷新
}
}
private void ProcessMarketDataFullRefresh(Message msg)
{
Debug.Assert(MsgType.Market_Data_Snapshot_Full_Refresh == msg.Type);
MarketDataUpdate update = new MarketDataUpdate();
string symbol = msg.Get(Tags.Symbol);
bool isPriceChanged = false;
Group mdDEntries = msg.GetGroup(Tags.NoMDEntries);
for (int i = 0; i < mdDEntries.NumberOfInstances; ++i)
{
string priceValue = mdDEntries.Get(Tags.MDEntryPx, i);
if (null != priceValue)
{
double price;
if (double.TryParse(priceValue, NumberStyles.Number, CultureInfo.InvariantCulture, out price))
{
double size = 0;
string sizeValue = mdDEntries.Get(Tags.MDEntrySize, i);
if (!string.IsNullOrEmpty(sizeValue))
{
double.TryParse(sizeValue, NumberStyles.Number, CultureInfo.InvariantCulture, out size);
}
string entryType = mdDEntries.Get(Tags.MDEntryType, i);
if (MDEntryType.Bid == entryType)
{
if (update.Bid != price || update.BidSize != size)
{
update.Bid = price;
update.BidSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Offer == entryType)
{
if (update.Ask != price || update.AskSize != size)
{
update.Ask = price;
update.AskSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Trade == entryType)
{
TradeArgs rv = new TradeArgs(symbol, price, size);
if (TradeReceived != null)
{
TradeReceived(this, rv);
}
}
}
}
}
if (isPriceChanged)
{
PriceChangeArgs rv = new PriceChangeArgs(symbol, update.Bid, update.BidSize, update.Ask, update.AskSize);
if (PriceChange != null)
{
PriceChange(this, rv);
}
}
}
private void TradeRequest(object sender, TradeArgs e)
{
Customers.Add(e.customer);
CommandsService.InviteCustomer(e.customer);
_loggerService.Log("Trade registered " + e.customer.Nickname);
}
private void ProcessMarketDataIncrementalRefresh(Message msg)
{
Debug.Assert(MsgType.Market_Data_Incremental_Refresh == msg.Type);
string mdReqID = msg.Get(Tags.MDReqID);
MarketDataUpdate update;
lock (lastMD)
{
if (!lastMD.TryGetValue(mdReqID, out update))
{
update = new MarketDataUpdate();
lastMD.Add(mdReqID, update);
}
}
string symbol = null;
bool isPriceChanged = false;
Group mdDEntries = msg.GetGroup(Tags.NoMDEntries);
for (int i = 0; i < mdDEntries.NumberOfInstances; ++i)
{
if (null == symbol)
{
symbol = mdDEntries.Get(Tags.Symbol, i);
}
else
{
Debug.Assert(mdDEntries.Get(Tags.Symbol, i) == symbol);
}
string priceValue = mdDEntries.Get(Tags.MDEntryPx, i);
if (null != priceValue)
{
double price;
if (double.TryParse(priceValue, NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out price))
{
double size = 0;
string sizeValue = mdDEntries.Get(Tags.MDEntrySize, i);
if (!string.IsNullOrEmpty(sizeValue))
{
double.TryParse(sizeValue, NumberStyles.Number, CultureInfo.InvariantCulture, out size);
}
string entryType = mdDEntries.Get(Tags.MDEntryType, i);
if (MDEntryType.Bid == entryType)
{
if (update.Bid != price)
{
update.Bid = price;
update.BidSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Offer == entryType)
{
if (update.Ask != price)
{
update.Ask = price;
update.AskSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Trade == entryType)
{
TradeArgs rv = new TradeArgs(symbol, price, size);
if (TradeReceived != null)
{
TradeReceived(this, rv);
}
}
}
}
}
if (isPriceChanged)
{
PriceChangeArgs rv = new PriceChangeArgs(symbol, update.Bid, update.BidSize, update.Ask, update.AskSize);
if (PriceChange != null)
{
PriceChange(this, rv);
}
}
}
private void TradeHandler(object sender, TradeArgs e)
{
itemTrade itrade = e.ItemTrade;
// Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
Trade trade = new TradeImpl();
trade.symbol = itrade.msecsym;
itemOrder lorder =socketOrderServer.sitemOrder.FindItem(itrade.morderid);
if (lorder== null) return;
trade.side = lorder.IsBuyOrder();
trade.xprice = Convert.ToDecimal(itrade.mprice);
trade.xsize = itrade.mqty;
DateTime mdate = ComFucs.GetDate(itrade.mm_date);
trade.Account = "";
trade.xdate = mdate.Day + mdate.Month * 100 + mdate.Year * 10000;
trade.xtime = mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000;
tl.newFill(trade);
v(trade.symbol+" received fill ack for: " + trade.ToString());
}
private void _t_OnRtnTrade(object sender, TradeArgs e)
{
Log($"{e.Value.InstrumentID}\t{e.Value.Direction}\t{e.Value.Offset}\t{e.Value.Price}\t{e.Value.Volume}");
}
private void DefOnRtnTrade(object sender, TradeArgs e)
{
}
public void start()
{
FileStream fs = new FileStream(FileUtil.getTestDataFilePath(_instrumentId + "_Tick.csv"), System.IO.FileMode.Open, System.IO.FileAccess.Read);
//StreamReader sr = new StreamReader(fs, Encoding.UTF8);
StreamReader sr = new StreamReader(fs, Encoding.UTF8);
//string fileContent = sr.ReadToEnd();
//encoding = sr.CurrentEncoding;
//记录每次读取的一行记录
string strLine = "";
//记录每行记录中的各字段内容
string[] aryLine = null;
//标示列数
int columnCount = 0;
//标示是否是读取的第一行
bool IsFirst = true;
//逐行读取CSV中的数据
int count = 0;
while ((strLine = sr.ReadLine()) != null)
{
//strLine = Common.ConvertStringUTF8(strLine, encoding);
//strLine = Common.ConvertStringUTF8(strLine);
{
aryLine = strLine.Split(',');
TickEventArgs tick = new TickEventArgs();
tick.Tick = new MarketData();
bool result = double.TryParse(aryLine[8], out tick.Tick.LastPrice);
if (result == false || tick.Tick.LastPrice <= 0)
{
continue;
}
_currentLastPrice = tick.Tick.LastPrice;
tick.Tick.InstrumentID = _instrumentId;
string date = aryLine[0].Substring(0, 4) + "-" + aryLine[0].Substring(4, 2) + "-" + aryLine[0].Substring(6);
string time;
string temparyLine1 = aryLine[1];
string temparyLine2 = aryLine[1];
if (temparyLine1.IndexOf('E') >= 0)
{
Decimal dec = ChangeDataToD(temparyLine1);
temparyLine2 = dec.ToString();
}
temparyLine2 += "00000000";
time = temparyLine2.Substring(2, 2) + ":" + temparyLine2.Substring(4, 2) + ":" + temparyLine2.Substring(6, 2);
tick.Tick.UpdateTime = date + " " + time;
_currentTime = tick.Tick.UpdateTime;
OrderField order = getOpeningOrder(_instrumentId);
if (order != null)
{
if ((order.Direction == DirectionType.Buy &&
order.LimitPrice >= tick.Tick.LastPrice) ||
(order.Direction == DirectionType.Sell &&
order.LimitPrice <= tick.Tick.LastPrice))
{
TradeArgs tradeArgs = new TradeArgs();
tradeArgs.Value = new TradeField();
tradeArgs.Value.Direction = order.Direction;
tradeArgs.Value.InstrumentID = _instrumentId;
tradeArgs.Value.Price = tick.Tick.LastPrice;
tradeArgs.Value.TradeTime = tick.Tick.UpdateTime;
tradeArgs.Value.OrderID = order.OrderID;
tradeArgs.Value.Offset = order.Offset;
StrategyManager.getInstance().onTrade(tradeArgs);
_holding = 1;
_holdingOrder = order;
removeOrder(order.OrderID);
removeWaitingOrder(_instrumentId);
}
}
StrategyManager.getInstance().onTick(tick);
if (hasWaitingOrder(_instrumentId))
{
if (_waitingOrder.ContainsKey(_instrumentId))
{
HashSet <string> tickTime = _waitingOrder[_instrumentId];
tickTime.Add(tick.Tick.UpdateTime);
if (tickTime.Count == 1 && order != null)
{
order.InsertTime = tick.Tick.UpdateTime;
}
if (tickTime.Count > _waitingMin[_instrumentId] * 60)
{
removeOrder(order.OrderID);
removeWaitingOrder(_instrumentId);
order.InsertTime = tick.Tick.UpdateTime;
StrategyManager.getInstance().onOrderCancel(order);
}
}
}
}
}
sr.Close();
fs.Close();
}
public void onTrade(TradeArgs e)
{
//throw new NotImplementedException();
}
