private int SendInsertOrder(CZQThostFtdcInputOrderField order)
{
//return CTPWrapper.TraderReqOrderInsert(this._instance, order, CreateRequestID());
Trace.WriteLine(string.Format("{0} [{1}]:{2},{3},{4}", this.wallTimeStopwatch.ElapsedMilliseconds, this.UserKey, "SendInsertOrder", order.OrderRef, order.RequestID));
return InvokeAPI(CTPStockRequestAction.OrderInsertAction, order);
}
public CZQThostFtdcInputOrderActionField DeleteOrder(CZQThostFtdcInputOrderField order)
{
//撤单时，会引发报单时间小于登录时间的报单回报，
//因此需要关闭过滤 FLag
this.filterRestart = false;
CZQThostFtdcInputOrderActionField orderAction = new CZQThostFtdcInputOrderActionField();
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 = CTPStockActionFlagType.Delete;
//CTPWrapper.TraderReqOrderAction(this._instance, orderAction, CreateRequestID());
InvokeAPI(CTPStockRequestAction.OrderActionAction, orderAction);
return orderAction;
}
private CZQThostFtdcInputOrderField CreateInputOrder(string exchangeID,string symbolCode, CTPStockDirectionType direct, CTPStockOffsetFlagType flag,double price,int volume, string orderRef = "")
{
CZQThostFtdcInputOrderField order = new CZQThostFtdcInputOrderField();
order.BrokerID = this.BrokerID;
order.InvestorID = this.InvestorID;
//合约
order.ExchangeID = exchangeID;
order.InstrumentID = symbolCode;
if (string.IsNullOrEmpty(orderRef))
{
order.OrderRef = System.Threading.Interlocked.Increment(ref this.currentOrderRef).ToString();
}
else
{
order.OrderRef = orderRef;
}
//限价单
order.OrderPriceType = CTPStockOrderPriceType.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)CTPStockHedgeFlagType.Speculation, 0, 0, 0, 0 };
///价格
order.LimitPrice = price.ToString();
///数量: 1
order.VolumeTotalOriginal = volume;
///有效期类型: 当日有效
order.TimeCondition = CTPStockTimeConditionType.GFD;
///GTD日期
// TThostFtdcDateType GTDDate;
///成交量类型: 任何数量
order.VolumeCondition = CTPStockVolumeConditionType.AV;
///最小成交量: 1
order.MinVolume = 1;
///触发条件: 立即
order.ContingentCondition = CTPStockContingentConditionType.Immediately;
///强平原因: 非强平
order.ForceCloseReason = CTPStockForceCloseReasonType.NotForceClose;
///自动挂起标志: 是
order.IsAutoSuspend = true;
///用户强评标志: 否
order.UserForceClose = false;
//条件单处理内容
//if (parameter.OrderType == OrderType.ConditionOrder)
//{
// //条件触发价
// order.StopPrice = (double)parameter.ConditionPrice;
// //报价方式
// if (order.OrderPriceType != CTPStockOrderPriceType.LimitPrice)
// {
// order.LimitPrice = "0";
// }
//}
return order;
}