public int SendQuote(
int QuoteRef,
string szInstrument,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return(0);
}
return(TraderApi.TD_SendQuote(
IntPtrKey,
QuoteRef,
szInstrument,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag));
}
public static extern int TD_SendQuote(
IntPtr pTraderApi,
int QuoteRef,
string szInstrument,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag);
private void Send(QuoteOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder AskOrder = item.Sell.Order;
SingleOrder BidOrder = item.Buy.Order;
string symbol = item.Buy.Order.Symbol;
double AskPrice = AskOrder.Price;
double BidPrice = BidOrder.Price;
int AskVolume = (int)AskOrder.OrderQty;
int BidVolume = (int)BidOrder.OrderQty;
TThostFtdcOffsetFlagType AskOffsetFlag = CTPAPI.ToCTP(item.Sell.OpenClose);
TThostFtdcOffsetFlagType BidOffsetFlag = CTPAPI.ToCTP(item.Buy.OpenClose);
TThostFtdcHedgeFlagType AskHedgeFlag = HedgeFlagType;
TThostFtdcHedgeFlagType BidHedgeFlag = HedgeFlagType;
int nRet = 0;
#if CTP
nRet = TraderApi.TD_SendQuote(m_pTdApi,
-1,
symbol,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
/// <summary>
/// TThostFtdcOffsetFlagType枚举型转为Offset枚举型
/// </summary>
/// <param name="tfoft">TThostFtdcOffsetFlagType枚举型</param>
/// <returns></returns>
public static Offset TThostFtdcOffsetFlagType_To_Offset(TThostFtdcOffsetFlagType tfoft)
{
Offset offset = Offset.Open;
switch (tfoft)
{
case TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open:
break;
case TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close:
offset = Offset.Close;
break;
case TThostFtdcOffsetFlagType.THOST_FTDC_OF_ForceClose:
offset = Offset.ForceClose;
break;
case TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday:
offset = Offset.CloseToday;
break;
case TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseYesterday:
offset = Offset.CloseYesterday;
break;
case TThostFtdcOffsetFlagType.THOST_FTDC_OF_ForceOff:
offset = Offset.ForceOff;
break;
case TThostFtdcOffsetFlagType.THOST_FTDC_OF_LocalForceClose:
offset = Offset.LocalForceClose;
break;
default:
break;
}
return(offset);
}
/// <summary>
/// 预埋单录入请求
/// </summary>
/// <param name="InstrumentID"></param>
/// <param name="OffsetFlag"></param>
/// <param name="Direction"></param>
/// <param name="Price"></param>
/// <param name="Volume"></param>
public int ParkedOrderInsert(string InstrumentID, TThostFtdcOffsetFlagType OffsetFlag, TThostFtdcDirectionType Direction, double Price, int Volume)
{
CThostFtdcParkedOrderField tmp = new CThostFtdcParkedOrderField();
tmp.BrokerID = this.BrokerID;
tmp.BusinessUnit = null;
tmp.ContingentCondition = TThostFtdcContingentConditionType.ParkedOrder;
tmp.ForceCloseReason = TThostFtdcForceCloseReasonType.NotForceClose;
tmp.InvestorID = this.InvestorID;
tmp.IsAutoSuspend = (int)TThostFtdcBoolType.No;
tmp.MinVolume = 1;
tmp.OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
tmp.OrderRef = (++this.MaxOrderRef).ToString();
tmp.TimeCondition = TThostFtdcTimeConditionType.GFD;
tmp.UserForceClose = (int)TThostFtdcBoolType.No;
tmp.UserID = this.InvestorID;
tmp.VolumeCondition = TThostFtdcVolumeConditionType.AV;
tmp.CombHedgeFlag_0 = TThostFtdcHedgeFlagType.Speculation;
tmp.InstrumentID = InstrumentID;
tmp.CombOffsetFlag_0 = OffsetFlag;
tmp.Direction = Direction;
tmp.LimitPrice = Price;
tmp.VolumeTotalOriginal = Volume;
return reqParkedOrderInsert(ref tmp);
}
public static extern int TD_SendQuote(
IntPtr pTraderApi,
int QuoteRef,
string szInstrument,
string szExchange,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag);
public int SendQuote(
int QuoteRef,
string szInstrument,
string szExchange,
double AskPrice,
double BidPrice,
int AskVolume,
int BidVolume,
TThostFtdcOffsetFlagType AskOffsetFlag,
TThostFtdcOffsetFlagType BidOffsetFlag,
TThostFtdcHedgeFlagType AskHedgeFlag,
TThostFtdcHedgeFlagType BidHedgeFlag)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return 0;
}
return TraderApi.TD_SendQuote(
IntPtrKey,
QuoteRef,
szInstrument,
szExchange,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag);
}
public int SendOrder(
int OrderRef,
string szInstrument,
TThostFtdcDirectionType Direction,
TThostFtdcOffsetFlagType OffsetFlag,
TThostFtdcHedgeFlagType HedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice,
TThostFtdcVolumeConditionType VolumeCondition)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return 0;
}
char szOffsetFlag = (char) OffsetFlag;
char hedgeFlag = (char) HedgeFlag;
return TraderApi.TD_SendOrder(
IntPtrKey,
OrderRef,
szInstrument,
Direction,
szOffsetFlag.ToString(),
hedgeFlag.ToString(),
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice,
VolumeCondition);
}
//构造平仓单：对手价限价单（OrderOffsetFlag 平今平昨）
public OrderField ClosePositionOrder(string InstrumentID, int VolumeToClose,
TThostFtdcPosiDirectionType OrderDirection, TThostFtdcOffsetFlagType OrderOffsetFlag,
TThostFtdcOrderPriceTypeType OrderPriceType)
{
DepthMarketData dmd;
this._dicStrategyDmds.TryGetValue(InstrumentID, out dmd);
OrderField of = new OrderField();
of.InstrumentID = InstrumentID;
of.OrderPriceType = OrderPriceType;
of.CombOffsetFlag = new String((char)OrderOffsetFlag, 1);
if (OrderDirection == TThostFtdcPosiDirectionType.THOST_FTDC_PD_Long)
{
of.LimitPrice = dmd.BidPrice1;
of.Direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell;
}
else
{
of.LimitPrice = dmd.AskPrice1;
of.Direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy;
}
of.VolumeTotalOriginal = VolumeToClose;//确保是正数
return(of);
}
/// <summary>
/// 开平仓:市价单
/// </summary>
/// <param name="InstrumentID">合约代码</param>
/// <param name="OffsetFlag">平仓:仅上期所平今时使用CloseToday/其它情况均使用Close</param>
/// <param name="Direction">买卖</param>
/// <param name="Price">价格</param>
/// <param name="Volume">手数</param>
public int OrderInsert(string InstrumentID, TThostFtdcOffsetFlagType OffsetFlag, TThostFtdcDirectionType Direction, int Volume)
{
return m_Api.SendOrder(
++this.MaxOrderRef,
InstrumentID,
Direction,
OffsetFlag,
TThostFtdcHedgeFlagType.Speculation,
Volume,
0,
TThostFtdcOrderPriceTypeType.AnyPrice,
TThostFtdcTimeConditionType.IOC,
TThostFtdcContingentConditionType.Immediately,
0,
TThostFtdcVolumeConditionType.AV);
}
/// <summary>
/// 开平仓:限价单
/// </summary>
/// <param name="InstrumentID">合约代码</param>
/// <param name="OffsetFlag">平仓:仅上期所平今时使用CloseToday/其它情况均使用Close</param>
/// <param name="Direction">买卖</param>
/// <param name="Price">价格</param>
/// <param name="Volume">手数</param>
public int OrderInsert(string InstrumentID, TThostFtdcOffsetFlagType OffsetFlag, TThostFtdcDirectionType Direction, double Price, int Volume)
{
var priceType = TThostFtdcOrderPriceTypeType.LimitPrice;
var conditionType = TThostFtdcTimeConditionType.GFD;
if (Price < 0.01)
{
priceType = TThostFtdcOrderPriceTypeType.AnyPrice;
conditionType = TThostFtdcTimeConditionType.IOC;
}
return m_Api.SendOrder(
++this.MaxOrderRef,
InstrumentID,
Direction,
OffsetFlag,
TThostFtdcHedgeFlagType.Speculation,
Volume,
Price,
priceType,
conditionType,
TThostFtdcContingentConditionType.Immediately,
0,
TThostFtdcVolumeConditionType.AV);
}
