/// <summary>
/// 计算平昨仓和平
/// </summary>
/// <param name="pos"></param>
/// <param name="OpenClose"></param>
/// <returns></returns>
public double GetCloseAndQty(PositionRecord pos,out EnumOpenClose OpenClose)
{
double qty = 0;//可平仓量
OpenClose = EnumOpenClose.CLOSE;//开平标志，默认设置为平昨仓
if (IsSHFE)//是否上交所
{
// 上海，先检查今仓可平量，今仓可平量=实际今仓量-挂平今量
qty = pos.QtyToday - pos.FrozenCloseToday;
if (qty > 0)//今仓可平量>0时
{
OpenClose = EnumOpenClose.CLOSE_TODAY;//设置平今标志
}
else//今仓可平量==0时
{
// 计算出昨可平仓量，再查挂的昨平仓有多少，昨仓=（实际持仓-实际今仓）-（挂平仓量 - 挂平今量）
qty = (pos.Qty - pos.QtyToday) - (pos.FrozenClose - pos.FrozenCloseToday);
}
}
else
{
// 非上海，直接返回
qty = pos.Qty - pos.FrozenClose;
}
return qty;
}
public EnumOpenClose GetOpenClose(Order order)
{
EnumOpenClose OpenClose = EnumOpenClose.OPEN;
Order_OpenClose.TryGetValue(order, out OpenClose);
return(OpenClose);
}
/// <summary>
/// 进行下单，最小手续费处理原则
/// </summary>
public virtual void Process()
{
// 非交易时段，不处理
if (!TimeHelper.IsTradingTime())
{
return;
}
// 计算仓差
double dif = TargetPosition - DualPosition.NetQty;
double qty = 0;
OrderSide Side = OrderSide.Buy;
TextParameter.OpenClose = EnumOpenClose.OPEN;
if (dif == 0)// 持仓量相等
{
// 把所有的挂单全撤了
DualPosition.Cancel();
return;
}
else if (dif > 0 && !DualPosition.IsPending)// 表示要增加净持仓
{
// 是否有在途增仓订单,超数了
// 是否有在途减仓订单,全取消息
qty = dif;
Side = OrderSide.Buy;
EnumOpenClose oc = EnumOpenClose.CLOSE;
double q = CloseTodayHelper.GetCloseAndQty(DualPosition.Short, out oc);
if (q > 0)
{
// 按最小数量进行平仓
qty = Math.Min(qty, q);
TextParameter.OpenClose = oc;
}
}
else if (!DualPosition.IsPending) // 减少净持仓
{
qty = -dif;
Side = OrderSide.Sell;
EnumOpenClose oc = EnumOpenClose.CLOSE;
double q = CloseTodayHelper.GetCloseAndQty(DualPosition.Long, out oc);
if (q > 0)
{
// 按最小数量进行平仓
qty = Math.Min(qty, q);
TextParameter.OpenClose = oc;
}
}
if (qty > 0)
{
qty = Math.Min(qty, MaxQtyPerLot);
// 下单
SendOrder(Side, qty);
}
}
public override void OnOrderRejected(Order order)
{
double LeavesQty = order.LeavesQty;
double flag = order.Side == OrderSide.Buy ? 1 : -1;
EnumOpenClose OpenClose = DualPosition.OrderRejected(order);
lock (this)
{
if (EnumOpenClose.OPEN == OpenClose)
{
// 开仓被拒绝，不再新开仓
// 有可能是钱不够
// 有可能是超出持仓限制
// 有可能是非交易时间
TargetPosition -= flag * LeavesQty;
return;
}
EnumError error = TextResponse.FromText(order.Text);
// 无法平仓，不重发单
// 能出现这个问题是持仓计算错误，这已经是策略持仓计算错误了
if (error == EnumError.OVER_CLOSETODAY_POSITION ||
error == EnumError.OVER_CLOSEYESTERDAY_POSITION ||
error == EnumError.OVER_CLOSE_POSITION)
{
TargetPosition -= flag * LeavesQty;
return;
}
// 当前状态禁止此项操作,时间不对，应当等下次操作
}
}
private void InitSettings()
{
accountsFile = string.Format(@"{0}\{1}.Accounts.xml", Framework.Installation.IniDir, this.Name);
serversFile = string.Format(@"{0}\{1}.Servers.xml", Framework.Installation.IniDir, this.Name);
brokersFile = string.Format(@"{0}\{1}.Brokers.xml", Framework.Installation.IniDir, this.Name);
ApiTempPath = Framework.Installation.TempDir.FullName;
ResumeType = THOST_TE_RESUME_TYPE.THOST_TERT_QUICK;
HedgeFlagType = TThostFtdcHedgeFlagType.Speculation;
_DefaultOpenClose = EnumOpenClose.OPEN;
SwitchMakertOrderToLimitOrder = false;
_bWantMdConnect = true;
_bWantTdConnect = true;
#if CTP
_SupportMarketOrder = String.Format("{0};{1};{2};", ExchangID.DCE, ExchangID.CZCE, ExchangID.CFFEX);
_SupportCloseToday = ExchangID.SHFE + ";";
#elif CTPZQ
#endif
LastPricePlusNTicks = 10;
LoadAccounts();
LoadServers();
serversList.ListChanged += ServersList_ListChanged;
accountsList.ListChanged += AccountsList_ListChanged;
}
public double GetCloseAndQty(PositionRecord pos,out EnumOpenClose OpenClose)
{
double qty = 0;
OpenClose = EnumOpenClose.CLOSE;
if (IsSHFE)
{
// 上海，先检查今仓
qty = pos.QtyToday - pos.FrozenCloseToday;
if (qty > 0)
{
OpenClose = EnumOpenClose.CLOSE_TODAY;
}
else
{
// 先算出昨仓，再查挂的昨平仓有多少
qty = (pos.Qty - pos.QtyToday) - (pos.FrozenClose - pos.FrozenCloseToday);
}
}
else
{
// 非上海，直接返回
qty = pos.Qty - pos.FrozenClose;
}
return qty;
}
public static EnumOpenClose CheckOpenClose(Order order)
{
string text = order.Text;
EnumOpenClose OpenClose = EnumOpenClose.OPEN;
if (text.StartsWith("{") && text.EndsWith("}"))
{
TextParameter parameter = JsonConvert.DeserializeObject <TextParameter>(text);
switch (parameter.Type)
{
case EnumGroupType.COMMON:
{
TextCommon t = JsonConvert.DeserializeObject <TextCommon>(text);
OpenClose = t.OpenClose;
}
break;
case EnumGroupType.QUOTE:
{
TextQuote t = JsonConvert.DeserializeObject <TextQuote>(text);
OpenClose = t.OpenClose;
}
break;
}
}
return(OpenClose);
}
public double GetCloseAndQty(PositionRecord pos, out EnumOpenClose OpenClose)
{
double qty = 0;
OpenClose = EnumOpenClose.CLOSE;
if (IsSHFE)
{
// 上海，先检查今仓
qty = pos.QtyToday - pos.FrozenCloseToday;
if (qty > 0)
{
OpenClose = EnumOpenClose.CLOSE_TODAY;
}
else
{
// 先算出昨仓，再查挂的昨平仓有多少
qty = (pos.Qty - pos.QtyToday) - (pos.FrozenClose - pos.FrozenCloseToday);
}
}
else
{
// 非上海，直接返回
qty = pos.Qty - pos.FrozenClose;
}
return(qty);
}
/// <summary>
/// 平今仓转换成平昨仓标志
/// </summary>
/// <param name="OpenClose"></param>
/// <returns></returns>
public EnumOpenClose Transform(EnumOpenClose OpenClose)
{
if (!IsSHFE)
{
if (OpenClose == EnumOpenClose.CLOSE_TODAY)
return EnumOpenClose.CLOSE;
}
return OpenClose;
}
public EnumOpenClose Transform(EnumOpenClose OpenClose)
{
if (!IsSHFE)
{
if (OpenClose == EnumOpenClose.CLOSE_TODAY)
{
return(EnumOpenClose.CLOSE);
}
}
return(OpenClose);
}
// 最小手续费处理原则
public void Process()
{
// 非交易时段，无法处理
if (!TimeHelper.IsTradingTime())
{
return;
}
// 计算仓差
double dif = TargetPosition - DualPosition.NetQty;
double qty = 0;
OrderSide Side = OrderSide.Buy;
EnumOpenClose oc = EnumOpenClose.OPEN;
if (dif == 0)// 持仓量相等
{
// 把所有的挂单先撤了
}
else if (dif > 0 && !DualPosition.IsPending)// 表示要增加净持仓
{
// 是否有在途增仓订单,超数了
// 是否有在途减仓订单,全取消息
qty = dif;
Side = OrderSide.Buy;
if (DualPosition.Short.Qty > 0)
{
// 按最小数量进行平仓
qty = Math.Min(qty, DualPosition.Short.Qty);
oc = EnumOpenClose.CLOSE;
}
}
else if (!DualPosition.IsPending) // 减少净持仓
{
qty = -dif;
Side = OrderSide.Sell;
if (DualPosition.Long.Qty > 0)
{
// 按最小数量进行平仓
qty = Math.Min(qty, DualPosition.Long.Qty);
oc = EnumOpenClose.CLOSE;
}
}
if (qty > 0)
{
qty = Math.Min(qty, MaxQtyPerLot);
// 下单
SendOrder(Side, oc, qty);
}
}
public static string GetOpenCloseString(EnumOpenClose oc)
{
switch (oc)
{
case EnumOpenClose.OPEN:
return OPEN_PREFIX;
case EnumOpenClose.CLOSE:
return CLOSE_TODAY_PREFIX;
default:
return OPEN_PREFIX;
}
}
public static EnumOpenClose CheckOpenClose(Order order)
{
string text = order.Text;
EnumOpenClose OpenClose = EnumOpenClose.OPEN;
if (text.StartsWith("{") && text.EndsWith("}"))
{
TextCommon parameter = JsonConvert.DeserializeObject <TextCommon>(text);
OpenClose = parameter.OpenClose;
}
return(OpenClose);
}
public static string GetOpenCloseString(EnumOpenClose oc)
{
switch (oc)
{
case EnumOpenClose.OPEN:
return TextCommon.Open;
case EnumOpenClose.CLOSE:
return TextCommon.Close;
case EnumOpenClose.CLOSE_TODAY:
return TextCommon.CloseToday;
default:
return TextCommon.Open;
}
}
public EnumOpenClose OrderRejected(Order order)
{
lock (this)
{
EnumOpenClose OpenClose = EnumOpenClose.OPEN;
Order_OpenClose.TryGetValue(order, out OpenClose);
if (EnumOpenClose.OPEN == OpenClose)
{
if (order.Side == OrderSide.Buy)
{
Long.FrozenOpen -= order.LeavesQty;
}
else
{
Short.FrozenOpen -= order.LeavesQty;
}
}
else
{
if (order.Side == OrderSide.Buy)
{
Short.FrozenClose -= order.LeavesQty;
}
else
{
Long.FrozenClose -= order.LeavesQty;
}
}
if (order.IsDone)
{
if (order.Side == OrderSide.Buy)
{
Buy.Remove(order);
}
else
{
Sell.Remove(order);
}
}
Order_OpenClose.Remove(order);
return(OpenClose);
}
}
public static string GetOpenCloseString(EnumOpenClose oc)
{
switch (oc)
{
case EnumOpenClose.OPEN:
return(TextCommon.Open);
case EnumOpenClose.CLOSE:
return(TextCommon.Close);
case EnumOpenClose.CLOSE_TODAY:
return(TextCommon.CloseToday);
default:
return(TextCommon.Open);
}
}
public static TThostFtdcOffsetFlagType ToCTP(EnumOpenClose offset)
{
switch (offset)
{
case EnumOpenClose.OPEN:
return(TThostFtdcOffsetFlagType.Open);
case EnumOpenClose.CLOSE:
return(TThostFtdcOffsetFlagType.Close);
case EnumOpenClose.CLOSE_TODAY:
return(TThostFtdcOffsetFlagType.CloseToday);
default:
return(TThostFtdcOffsetFlagType.Open);
}
}
public void NewOrder(Order order)
{
lock (this)
{
if (!order.IsPendingNew)
{
return;
}
EnumOpenClose OpenClose = OpenCloseHelper.CheckOpenClose(order);
if (EnumOpenClose.OPEN == OpenClose)
{
if (order.Side == OrderSide.Buy)
{
Long.FrozenOpen += order.Qty;
}
else
{
Short.FrozenOpen += order.Qty;
}
}
else
{
if (order.Side == OrderSide.Buy)
{
Short.FrozenClose += order.Qty;
}
else
{
Long.FrozenClose += order.Qty;
}
}
if (order.Side == OrderSide.Buy)
{
Buy.Add(order);
}
else
{
Sell.Add(order);
}
Order_OpenClose[order] = OpenClose;
}
}
/// <summary>
/// 单子被撤
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public EnumOpenClose OrderCancelled(Order order)
{
lock (this)
{
EnumOpenClose OpenClose = GetOpenClose(order);
if (PositionSide.Long == OpenCloseHelper.CheckLongShort(order, OpenClose))
{
++Long.CumCancelCnt;
}
else
{
++Short.CumCancelCnt;
}
OrderRejected(order);
return(OpenClose);
}
}
public static PositionSide CheckLongShort(Order order,EnumOpenClose OpenClose)
{
if (EnumOpenClose.OPEN == OpenClose)
{
if (order.Side == OrderSide.Buy)
{
return PositionSide.Long;
}
}
else
{
if (order.Side == OrderSide.Buy)
{
}
else
{
return PositionSide.Long;
}
}
return PositionSide.Short;
}
public static PositionSide CheckLongShort(Order order, EnumOpenClose OpenClose)
{
if (EnumOpenClose.OPEN == OpenClose)
{
if (order.Side == OrderSide.Buy)
{
return(PositionSide.Long);
}
}
else
{
if (order.Side == OrderSide.Buy)
{
}
else
{
return(PositionSide.Long);
}
}
return(PositionSide.Short);
}
// 下单操作
private void SendOrder(OrderSide side, EnumOpenClose oc, double qty)
{
if (!TimeHelper.IsTradingTime())
{
return;
}
if (qty <= 0)
{
return;
}
// 为减少滑点，对数量少的单子直接市价单
bool bMarketOrder = false;
if (EnumOpenClose.OPEN == oc)
{
if (qty <= MarketOpenPriceThreshold)
{
bMarketOrder = true;
}
}
else
{
if (qty <= MarketClosePriceThreshold)
{
bMarketOrder = true;
}
}
if (bMarketOrder)
{
SendMarketOrder(side, qty, OpenCloseHelper.GetOpenCloseString(oc));
}
else
{
SendLimitOrder(side, qty, PriceHelper.GetMatchPrice(this, side, 2), OpenCloseHelper.GetOpenCloseString(oc));
}
}
// 下单操作
private void SendOrder(OrderSide side, EnumOpenClose oc, double qty)
{
if (qty <= 0)
{
return;
}
// 为减少滑点，对数量少的单子直接市价单
bool bMarketOrder = false;
if (EnumOpenClose.OPEN == oc)
{
if (qty <= MarketOpenPriceThreshold)
bMarketOrder = true;
}
else
{
if (qty <= MarketClosePriceThreshold)
bMarketOrder = true;
}
if (bMarketOrder)
{
SendMarketOrder(side, qty, OpenCloseHelper.GetOpenCloseString(oc));
}
else
{
SendLimitOrder(side, qty, GetPrice(side, 2), OpenCloseHelper.GetOpenCloseString(oc));
}
}
public static PositionSide CheckLongShort(Order order)
{
EnumOpenClose OpenClose = CheckOpenClose(order);
return(CheckLongShort(order, OpenClose));
}
public void Filled(Order order)
{
lock (this)
{
EnumOpenClose OpenClose = EnumOpenClose.OPEN;
Order_OpenClose.TryGetValue(order, out OpenClose);
if (EnumOpenClose.OPEN == OpenClose)
{
if (order.Side == OrderSide.Buy)
{
Long.Qty += order.LastQty;
Long.FrozenOpen -= order.LastQty;
Long.CumOpenQty += order.LastQty;
Long.HoldingCost += order.LastPrice * order.LastQty;
}
else
{
Short.Qty += order.LastQty;
Short.FrozenOpen -= order.LastQty;
Short.CumOpenQty += order.LastQty;
Short.HoldingCost += order.LastPrice * order.LastQty;
}
}
else
{
if (order.Side == OrderSide.Buy)
{
Short.Qty -= order.LastQty;
Short.FrozenClose -= order.LastQty;
if (Short.Qty == 0)
{
Short.HoldingCost = 0;
}
else
{
Short.HoldingCost -= order.LastPrice * order.LastQty;
}
}
else
{
Long.Qty -= order.LastQty;
Long.FrozenClose -= order.LastQty;
if (Long.Qty == 0)
{
Long.HoldingCost = 0;
}
else
{
Long.HoldingCost -= order.LastPrice * order.LastQty;
}
}
}
if (order.IsDone)
{
if (order.Side == OrderSide.Buy)
{
Buy.Remove(order);
}
else
{
Sell.Remove(order);
}
}
Order_OpenClose.Remove(order);
}
}
private void InitSettings()
{
accountsFile = string.Format(@"{0}\{1}.Accounts.xml", Framework.Installation.IniDir,this.Name);
serversFile = string.Format(@"{0}\{1}.Servers.xml", Framework.Installation.IniDir, this.Name);
brokersFile = string.Format(@"{0}\{1}.Brokers.xml", Framework.Installation.IniDir, this.Name);
ApiTempPath = Framework.Installation.TempDir.FullName;
ResumeType = THOST_TE_RESUME_TYPE.THOST_TERT_QUICK;
HedgeFlagType = TThostFtdcHedgeFlagType.Speculation;
_DefaultOpenClose = EnumOpenClose.OPEN;
SwitchMakertOrderToLimitOrder = false;
_bWantMdConnect = true;
_bWantTdConnect = true;
#if CTP
_SupportMarketOrder = String.Format("{0};{1};{2};", ExchangID.DCE, ExchangID.CZCE, ExchangID.CFFEX);
_SupportCloseToday = ExchangID.SHFE + ";";
#elif CTPZQ
#endif
LastPricePlusNTicks = 10;
LoadAccounts();
LoadServers();
serversList.ListChanged += ServersList_ListChanged;
accountsList.ListChanged += AccountsList_ListChanged;
}
public EnumOpenClose OrderRejected(Order order)
{
lock (this)
{
EnumOpenClose OpenClose = EnumOpenClose.OPEN;
Order_OpenClose.TryGetValue(order, out OpenClose);
switch (OpenClose)
{
case EnumOpenClose.OPEN:
if (order.Side == OrderSide.Buy)
{
Long.FrozenOpen -= order.LeavesQty;
}
else
{
Short.FrozenOpen -= order.LeavesQty;
}
break;
case EnumOpenClose.CLOSE:
if (order.Side == OrderSide.Buy)
{
Short.FrozenClose -= order.LeavesQty;
}
else
{
Long.FrozenClose -= order.LeavesQty;
}
break;
case EnumOpenClose.CLOSE_TODAY:
if (order.Side == OrderSide.Buy)
{
Short.FrozenCloseToday -= order.LeavesQty;
Short.FrozenClose -= order.LeavesQty;
}
else
{
Long.FrozenCloseToday -= order.LeavesQty;
Long.FrozenClose -= order.LeavesQty;
}
break;
default:
break;
}
if (order.IsDone)
{
if (order.Side == OrderSide.Buy)
{
Buy.Remove(order);
}
else
{
Sell.Remove(order);
}
}
Order_OpenClose.Remove(order);
return(OpenClose);
}
}
/// <summary>
/// 有订单成交
/// </summary>
/// <param name="order"></param>
public void Filled(Order order)
{
lock (this)
{
EnumOpenClose OpenClose = EnumOpenClose.OPEN;
Order_OpenClose.TryGetValue(order, out OpenClose);
switch (OpenClose)
{
case EnumOpenClose.OPEN:
if (order.Side == OrderSide.Buy)
{
Long.Qty += order.LastQty;
Long.QtyToday += order.LastQty;
Long.FrozenOpen -= order.LastQty;
Long.CumOpenQty += order.LastQty;
Long.HoldingCost += order.LastPrice * order.LastQty;
}
else
{
Short.Qty += order.LastQty;
Short.QtyToday += order.LastQty;
Short.FrozenOpen -= order.LastQty;
Short.CumOpenQty += order.LastQty;
Short.HoldingCost += order.LastPrice * order.LastQty;
}
break;
case EnumOpenClose.CLOSE:
if (order.Side == OrderSide.Buy)
{
Short.Qty -= order.LastQty;
Short.FrozenClose -= order.LastQty;
if (Short.Qty == 0)
{
Short.HoldingCost = 0;
}
else
{
Short.HoldingCost -= order.LastPrice * order.LastQty;
}
}
else
{
Long.Qty -= order.LastQty;
Long.FrozenClose -= order.LastQty;
if (Long.Qty == 0)
{
Long.HoldingCost = 0;
}
else
{
Long.HoldingCost -= order.LastPrice * order.LastQty;
}
}
break;
case EnumOpenClose.CLOSE_TODAY:
if (order.Side == OrderSide.Buy)
{
Short.Qty -= order.LastQty;
Short.QtyToday -= order.LastQty;
Short.FrozenClose -= order.LastQty;
Short.FrozenCloseToday -= order.LastQty;
if (Short.Qty == 0)
{
Short.HoldingCost = 0;
}
else
{
Short.HoldingCost -= order.LastPrice * order.LastQty;
}
}
else
{
Long.Qty -= order.LastQty;
Long.QtyToday -= order.LastQty;
Long.FrozenClose -= order.LastQty;
Long.FrozenCloseToday -= order.LastQty;
if (Long.Qty == 0)
{
Long.HoldingCost = 0;
}
else
{
Long.HoldingCost -= order.LastPrice * order.LastQty;
}
}
break;
default:
break;
}
if (order.IsDone)
{
if (order.Side == OrderSide.Buy)
{
Buy.Remove(order);
}
else
{
Sell.Remove(order);
}
}
Order_OpenClose.Remove(order);
}
}
private Order SendOrderEx(Future future, double priceLimite, int volume, EnumBuySell buySell, EnumOpenClose openClose)
{
return(SendOrder(DefaultAccount, future.ID, future.Market, future.ExchangeID, priceLimite,
volume, buySell, openClose,
EnumOrderPriceType.市价, EnumOrderTimeForce.当日有效, EnumHedgeFlag.投机));
}
/// <summary>
/// 报单函数
/// </summary>
/// <param name="_buysell">（*下单必填）买卖方向(1 - 买入，2 - 卖出)</param>
/// <param name="_openclose">（*下单必填）开平仓标记:1、开仓（新订）；2、平今；3、平昨；4、平仓（先订先转）；
/// 5、平仓（转今优先）；6、指定仓平仓；</param>
/// <param name="_price">委托价格</param>
/// <param name="_volume">委托数量</param>
/// <param name="_tradeno">交易流水</param>
/// <returns></returns>
public bool ForLimitOrder(EnumBuySell _buysell, EnumOpenClose _openclose, int _price, int _volume, string _contractId, string _tradeno)
{
Orderf orf = new Orderf();
orf.contract_no = contractID;
orf.contract_id = _contractId;
orf.is_deposit = "1";
orf.trade_type = "1";
//买卖方向
if (_buysell == EnumBuySell.买入)
{
orf.buyorsell = "1";
}
else
{
orf.buyorsell = "2";
}
//开平标志
if (_openclose == EnumOpenClose.开仓_新订)
{
orf.offset_flag = "1";
}
else if (_openclose == EnumOpenClose.平今)
{
orf.offset_flag = "2";
}
else if (_openclose == EnumOpenClose.平昨)
{
orf.offset_flag = "3";
}
else if (_openclose == EnumOpenClose.平仓_先订先转)
{
orf.offset_flag = "4";
}
else if (_openclose == EnumOpenClose.平仓_转今优先)
{
orf.offset_flag = "5";
}
else
{
orf.offset_flag = "6";
}
orf.order_price = _price + "";
orf.order_qtt = _volume + "";
try
{
if (manageTrade != null)
{
return(manageTrade.ForJHTradeOrderfRequest(orf, _tradeno));
}
else
{
return(false);
}
}
catch
{
return(false);
}
}
public static TThostFtdcOffsetFlagType ToCTP(EnumOpenClose offset)
{
switch (offset)
{
case EnumOpenClose.OPEN:
return TThostFtdcOffsetFlagType.Open;
case EnumOpenClose.CLOSE:
return TThostFtdcOffsetFlagType.Close;
case EnumOpenClose.CLOSE_TODAY:
return TThostFtdcOffsetFlagType.CloseToday;
default:
return TThostFtdcOffsetFlagType.Open;
}
}
/// <summary>
/// 产生了新订单
/// </summary>
/// <param name="order"></param>
public void NewOrder(Order order)
{
lock (this)
{
if (!order.IsPendingNew)
{
return;
}
// 非上海的，平今要转成平仓
EnumOpenClose OpenClose = CloseTodayHelper.Transform(OpenCloseHelper.CheckOpenClose(order));
switch (OpenClose)
{
case EnumOpenClose.OPEN:
if (order.Side == OrderSide.Buy)
{
Long.FrozenOpen += order.Qty;
}
else
{
Short.FrozenOpen += order.Qty;
}
break;
case EnumOpenClose.CLOSE:
if (order.Side == OrderSide.Buy)
{
Short.FrozenClose += order.Qty;
}
else
{
Long.FrozenClose += order.Qty;
}
break;
case EnumOpenClose.CLOSE_TODAY:
if (order.Side == OrderSide.Buy)
{
Short.FrozenCloseToday += order.Qty;
Short.FrozenClose += order.Qty;
}
else
{
Long.FrozenCloseToday += order.Qty;
Long.FrozenClose += order.Qty;
}
break;
default:
break;
}
if (order.Side == OrderSide.Buy)
{
Buy.Add(order);
}
else
{
Sell.Add(order);
}
Order_OpenClose[order] = OpenClose;
}
}
/// <summary>
/// 产生了新订单
/// </summary>
/// <param name="order"></param>
public void NewOrder(Order order)
{
lock (this)
{
if (!order.IsPendingNew)
{
return;
}
double Qty = order.Qty;
// 非上海的，平今要转成平仓
EnumOpenClose OpenClose = CloseTodayHelper.Transform(OpenCloseHelper.CheckOpenClose(order));
Order_OpenClose[order] = OpenClose;
switch (OpenClose)
{
case EnumOpenClose.OPEN:
if (order.Side == OrderSide.Buy)
{
//Long.FrozenOpen += Qty;
Long.NewOrderOpen(Qty);
}
else
{
//Short.FrozenOpen += Qty;
Short.NewOrderOpen(Qty);
}
break;
case EnumOpenClose.CLOSE:
if (order.Side == OrderSide.Buy)
{
//Short.FrozenClose += Qty;
Short.NewOrderClose(Qty);
}
else
{
//Long.FrozenClose += Qty;
Long.NewOrderClose(Qty);
}
break;
case EnumOpenClose.CLOSE_TODAY:
if (order.Side == OrderSide.Buy)
{
//Short.FrozenCloseToday += Qty;
//Short.FrozenClose += Qty;
Short.NewOrderCloseToday(Qty);
}
else
{
//Long.FrozenCloseToday += Qty;
//Long.FrozenClose += Qty;
Long.NewOrderCloseToday(Qty);
}
break;
default:
MessageBox.Show("NewOrder");
break;
}
if (order.Side == OrderSide.Buy)
{
Buy.Add(order);
}
else
{
Sell.Add(order);
}
}
}
/// <summary>
/// 有订单成交
/// </summary>
/// <param name="order"></param>
public void Filled(Order order)
{
lock (this)
{
double LastQty = order.LastQty;
double LastPrice = order.LastPrice;
bool IsDone = order.IsDone;
EnumOpenClose OpenClose = GetOpenClose(order);
switch (OpenClose)
{
case EnumOpenClose.OPEN:
if (order.Side == OrderSide.Buy)
{
//Long.Qty += LastQty;
//Long.QtyToday += LastQty;
//Long.FrozenOpen -= LastQty;
//Long.CumOpenQty += LastQty;
//Long.HoldingCost += LastPrice * LastQty;
Long.FilledOpen(LastQty, LastPrice);
}
else
{
//Short.Qty += LastQty;
//Short.QtyToday += LastQty;
//Short.FrozenOpen -= LastQty;
//Short.CumOpenQty += LastQty;
//Short.HoldingCost += LastPrice * LastQty;
Short.FilledOpen(LastQty, LastPrice);
}
break;
case EnumOpenClose.CLOSE:
if (order.Side == OrderSide.Buy)
{
//Short.Qty -= LastQty;
//Short.FrozenClose -= LastQty;
//if (Short.Qty == 0)
//{
// Short.HoldingCost = 0;
//}
//else
//{
// Short.HoldingCost -= LastPrice * LastQty;
//}
Short.FilledClose(LastQty, LastPrice);
}
else
{
//Long.Qty -= LastQty;
//Long.FrozenClose -= LastQty;
//if (Long.Qty == 0)
//{
// Long.HoldingCost = 0;
//}
//else
//{
// Long.HoldingCost -= LastPrice * LastQty;
//}
Long.FilledClose(LastQty, LastPrice);
}
break;
case EnumOpenClose.CLOSE_TODAY:
if (order.Side == OrderSide.Buy)
{
//Short.Qty -= LastQty;
//Short.QtyToday -= LastQty;
//Short.FrozenClose -= LastQty;
//Short.FrozenCloseToday -= LastQty;
//if (Short.Qty == 0)
//{
// Short.HoldingCost = 0;
//}
//else
//{
// Short.HoldingCost -= LastPrice * LastQty;
//}
Short.FilledCloseToday(LastQty, LastPrice);
}
else
{
//Long.Qty -= LastQty;
//Long.QtyToday -= LastQty;
//Long.FrozenClose -= LastQty;
//Long.FrozenCloseToday -= LastQty;
//if (Long.Qty == 0)
//{
// Long.HoldingCost = 0;
//}
//else
//{
// Long.HoldingCost -= LastPrice * LastQty;
//}
Long.FilledCloseToday(LastQty, LastPrice);
}
break;
default:
MessageBox.Show("Filled");
break;
}
if (IsDone)
{
if (order.Side == OrderSide.Buy)
{
Buy.Remove(order);
}
else
{
Sell.Remove(order);
}
Order_OpenClose.Remove(order);
}
}
}
public EnumOpenClose OrderRejected(Order order)
{
lock (this)
{
double LeavesQty = order.LeavesQty;
EnumOpenClose OpenClose = GetOpenClose(order);
switch (OpenClose)
{
case EnumOpenClose.OPEN:
if (order.Side == OrderSide.Buy)
{
//Long.FrozenOpen -= LeavesQty;
Long.OrderRejectedOpen(LeavesQty);
}
else
{
//Short.FrozenOpen -= LeavesQty;
Short.OrderRejectedOpen(LeavesQty);
}
break;
case EnumOpenClose.CLOSE:
if (order.Side == OrderSide.Buy)
{
//Short.FrozenClose -= LeavesQty;
Short.OrderRejectedClose(LeavesQty);
}
else
{
//Long.FrozenClose -= LeavesQty;
Long.OrderRejectedClose(LeavesQty);
}
break;
case EnumOpenClose.CLOSE_TODAY:
if (order.Side == OrderSide.Buy)
{
//Short.FrozenCloseToday -= LeavesQty;
//Short.FrozenClose -= LeavesQty;
Short.OrderRejectedCloseToday(LeavesQty);
}
else
{
//Long.FrozenCloseToday -= LeavesQty;
//Long.FrozenClose -= LeavesQty;
Long.OrderRejectedCloseToday(LeavesQty);
}
break;
default:
MessageBox.Show("OrderRejected");
break;
}
//if (IsDone)
{
if (order.Side == OrderSide.Buy)
{
Buy.Remove(order);
}
else
{
Sell.Remove(order);
}
Order_OpenClose.Remove(order);
}
return(OpenClose);
}
}
