private void OrderDeal(TradeOrder trust, double dealPrice = 0) {
EOrderAction cAction = trust.Action;
if (cAction == EOrderAction.Sell || cAction == EOrderAction.BuyToCover) {
int iLots = __cCurrentPosition.OpenLots - __iUsedClosedTempLots; //檢查平倉數量是否足夠
if (trust.Contracts > iLots) { //平倉數量不足(不下單)
this.SendCancel(trust); //取消此張平倉單
return;
} else {
Interlocked.Add(ref __iUsedClosedTempLots, trust.Contracts); //將此平倉量累加至暫存平倉量變數
}
}
if (!trust.IsDealed) {
trust.IsDealed = true;
TradeOrder cDeal = trust.Clone();
cDeal.Price = Math.Round((dealPrice == 0) ? Bars.Close.Value : dealPrice, __iDecimalPoint);
cDeal.Time = Bars.Time.Value;
SetTax(cDeal);
double[] dValues = CalculateCommissions(cDeal); //計算交易佣金與手續費用(由策略使用者自行決定的佣金與手續費設定所計算出來的價格)
cDeal.OtherFees = dValues[0];
cDeal.Fee = dValues[1];
lock (__cDeals) {
__cDeals.Enqueue(cDeal);
}
trust.Contracts = 0;
OnResponse(trust, trust.SymbolId, ResponseType.Trust);
}
}
private void PipeStream_onMessage(object sender, MessageEvent e) {
if (e.Buffer[0] == 0x7b) { //檢查是否為 JSON 開頭符號
JToken cToken = JsonConvert.DeserializeObject<JToken>(e.Message);
int iDataType = cToken["Type"].Value<int>();
switch (iDataType) {
case 0: //接收 REPOTR 完畢的回報類型(如果沒收到此命令會無窮盡等待)
__cResetEvent.Set();
if (logger.IsInfoEnabled) logger.InfoFormat("[Report] #{0} Order data response completed...", this.Bars.Request.Symbol);
break;
case 1: //委託回報
OrderTrust[] cTrusts = cToken["Report"].ToObject<OrderTrust[]>();
foreach (OrderTrust cTrust in cTrusts) {
string sTrustId = cTrust.委託書號;
int iTrustCount = cTrust.未成交數量;
TradeOrder cTrustOrder = __cEntrusts.GetTrade(sTrustId); //取得委託單
if (cTrustOrder == null && iTrustCount > 0) { //委託未成交數量大於0才處理
string sSymbolId = cTrust.商品代號;
cTrustOrder = GetWaiting(sSymbolId, cTrust.委託價格); //取得等待委託回報的委託單(這些委託單都要等待委託單號)
if (cTrustOrder == null) {
if (__iMaxTrustIndex == __iTrustIndex) { //相等表示沒有下出任何的委託單, 可能是留在下單機內的委託單
string sOrderSymbolId = GetOrderSymbol();
if (sSymbolId.Equals(sOrderSymbolId)) { //比對兩個商品代號是否相同, 相同才會被加入委託倉內
cTrustOrder = new TradeOrder();
cTrustOrder.IsSended = true;
cTrustOrder.IsTrusted = true;
cTrustOrder.Name = sTrustId;
cTrustOrder.Ticket = sTrustId;
cTrustOrder.SymbolId = sSymbolId;
cTrustOrder.Contracts = iTrustCount;
cTrustOrder.Time = cTrust.委託時間;
cTrustOrder.Price = Math.Round(cTrust.委託價格, __iDecimalPoint);
cTrustOrder.Category = (cTrustOrder.Price == 0) ? OrderCategory.Market : OrderCategory.Limit;
if (cTrust.倉別.Equals(__sClosedString)) {
cTrustOrder.Action = (cTrust.買賣別) ? EOrderAction.BuyToCover : EOrderAction.Sell;
} else {
cTrustOrder.Action = (cTrust.買賣別) ? EOrderAction.Buy : EOrderAction.SellShort;
}
__cEntrusts.Add(cTrustOrder); //儲存至委託陣列內
}
} else {
continue;
}
} else {
cTrustOrder.IsTrusted = true; //true=委託成功
cTrustOrder.Ticket = sTrustId; //填入回報來的委託單號
cTrustOrder.Time = cTrust.委託時間;
if (cTrust.備註.Equals(__sErrorString)) { //如果下單機回報備註為 *ERROR* (表示下單出現例外, 可能是無融券或是餘額不足也可能是其他狀況)
cTrustOrder.Contracts = -1;
}
__cEntrusts.Add(cTrustOrder); //儲存至委託陣列內
}
}
if (cTrustOrder != null) {
bool bDelete = cTrust.是否刪單;
if (bDelete) {
__cEntrusts.Remove(sTrustId); //從委託陣列內移除委託
}
OnResponse(cTrustOrder, cTrustOrder.SymbolId, (bDelete) ? ResponseType.Cancel : ResponseType.Trust);
if (logger.IsInfoEnabled) logger.InfoFormat("[Trust] #{0} {1} {2} {3} at {4} {5} @{6}", cTrustOrder.Ticket, cTrustOrder.SymbolId, cTrustOrder.Action, (bDelete) ? cTrustOrder.Contracts : iTrustCount, cTrustOrder.Price, (bDelete) ? cTrust.備註 : (iTrustCount == 0) ? __sFullDeal : cTrustOrder.Name, cTrustOrder.Time.ToString("yyyy-MM-dd HH:mm:ss"));
}
}
break;
case 2: //成交回報
OrderDeal cDeal = cToken["Report"].ToObject<OrderDeal>();
string sDealId = cDeal.成交書號; //成交書號 == 委託書號
int iDealLots = cDeal.成交數量;
TradeOrder cTempTrust = __cEntrusts.GetTrade(sDealId);
if (cTempTrust != null && cTempTrust.Contracts >= iDealLots) { //檢查委託陣列內是否有相同的成交書號(委託書號)
cTempTrust.Contracts -= iDealLots;
bool bDealed = cTempTrust.Contracts == 0;
if (bDealed) {
OnResponse(cTempTrust, cTempTrust.SymbolId, ResponseType.Trust);
if (logger.IsInfoEnabled) logger.InfoFormat("[Trust] #{0} {1} {2} {3} at {4} {5} @{6}", cTempTrust.Ticket, cTempTrust.SymbolId, cTempTrust.Action, 0, cTempTrust.Price, __sFullDeal, cTempTrust.Time.ToString("yyyy-MM-dd HH:mm:ss"));
}
TradeOrder cDealOrder = cTempTrust.Clone();
cDealOrder.IsCancel = false;
cDealOrder.IsDealed = bDealed;
cDealOrder.Time = cDeal.成交時間;
cDealOrder.Fee = cDeal.手續費;
cDealOrder.Tax = cDeal.交易稅;
cDealOrder.Contracts = iDealLots;
cDealOrder.Price = Math.Round(cDeal.成交價格, __iDecimalPoint);
double[] dValues = CalculateCommissions(cDealOrder); //計算其他佣金與手續費(通常真實交易會回報交易稅與眷商手續費, 這裡還可以計算其他的附加費用或是附加的手續費)
cDealOrder.OtherFees = dValues[0];
cDealOrder.Fee += dValues[1];
if (logger.IsInfoEnabled) logger.InfoFormat("[Deal] #{0} {1} {2} {3} at {4} {5} @{6}", cDealOrder.Ticket, cDealOrder.SymbolId, cDealOrder.Action, cDealOrder.Contracts, cDealOrder.Price, cDealOrder.Name, cDealOrder.Time.ToString("yyyy-MM-dd HH:mm:ss"));
lock (__cDeals) {
__cDeals.Enqueue(cDealOrder);
}
cTempTrust.IsDealed = true;
}
break;
}
}
}