public CThostFtdcInputOrderField InsertOrder(string symbolCode, double price, CTPDirectionType direct, int volume, CTPOffsetFlagType flag,string orderRef = "")
{
CThostFtdcInputOrderField order = new CThostFtdcInputOrderField();
order.BrokerID = this.BrokerID;
order.InvestorID = this.InvestorID;
//合约
order.InstrumentID = symbolCode;
if (string.IsNullOrEmpty(orderRef))
{
order.OrderRef = this.IncrementOrderRef().ToString();
}
else
{
order.OrderRef = orderRef;
}
//限价单
order.OrderPriceType = CTPOrderPriceType.LimitPrice;
//方向
order.Direction = direct;
//开平仓
order.CombOffsetFlag = new byte[] { (byte)flag, 0, 0, 0, 0 };
//投机/套保
order.CombHedgeFlag = new byte[] { (byte)CTPHedgeFlagType.Speculation, 0, 0, 0, 0 };
//套利合约
if (this.instrumentDictionary.ContainsKey(symbolCode))
{
if (this.instrumentDictionary[symbolCode].ProductClass == CTPProductClassType.Combination)
{
//开平仓
order.CombOffsetFlag = new byte[] { (byte)flag, (byte)flag, 0, 0, 0 };
//投机/套保
order.CombHedgeFlag = new byte[] { (byte)CTPHedgeFlagType.Speculation, (byte)CTPHedgeFlagType.Speculation, 0, 0, 0 };
}
}
///价格
order.LimitPrice = price;
///数量: 1
order.VolumeTotalOriginal = volume;
///有效期类型: 当日有效
order.TimeCondition = CTPTimeConditionType.GFD;
///GTD日期
// TThostFtdcDateType GTDDate;
///成交量类型: 任何数量
order.VolumeCondition = CTPVolumeConditionType.AV;
///最小成交量: 1
order.MinVolume = 1;
///触发条件: 立即
order.ContingentCondition = CTPContingentConditionType.Immediately;
///强平原因: 非强平
order.ForceCloseReason = CTPForceCloseReasonType.NotForceClose;
///自动挂起标志: 是
order.IsAutoSuspend = true;
///用户强评标志: 否
order.UserForceClose = false;
SendInsertOrder(order);
return order;
}
public int SendInsertOrder(CThostFtdcInputOrderField order)
{
//Trace.WriteLine(string.Format("{0} [{1}]:{2},{3},{4}", this.wallTimeStopwatch.ElapsedMilliseconds, this.UserKey, "SendInsertOrder", order.OrderRef, order.RequestID));
return InvokeAPI(CTPRequestAction.OrderInsertAction, order);
}
public CThostFtdcInputOrderActionField DeleteOrder(CThostFtdcInputOrderField order)
{
CThostFtdcInputOrderActionField orderAction = new CThostFtdcInputOrderActionField();
orderAction.BrokerID = order.BrokerID;
orderAction.InvestorID = order.InvestorID;
orderAction.FrontID = this.FrontID;
orderAction.SessionID = this.SessionID;
orderAction.OrderRef = order.OrderRef;
orderAction.InstrumentID = order.InstrumentID;
orderAction.ActionFlag = CTPActionFlagType.Delete;
//CTPWrapper.TraderReqOrderAction(this._instance, orderAction, CreateRequestID());
InvokeAPI(CTPRequestAction.OrderActionAction, orderAction);
return orderAction;
}