public override void OnStrategyStart()
{
TimeHelper = new TimeHelper(Instrument.Symbol);
PriceHelper = new PriceHelper(Instrument.TickSize);
TextParameter = new TextCommon()
{
OpenClose = EnumOpenClose.OPEN
};
CloseTodayHelper = new CloseTodayHelper(EnumExchangeID.SHFE);
DualPosition = new DualPosition();
DualPosition.Sell.PriceHelper = PriceHelper;
DualPosition.Buy.PriceHelper = PriceHelper;
DualPosition.CloseTodayHelper = CloseTodayHelper;
// 测试代码
//TargetPosition = 3;
DualPosition.Long.Qty = 0;
DualPosition.Short.Qty = 0;
}
// 这里假设已经挂的单子已经是按最优数量进行处理过，目标是直接挂单
// 目前对前两层做智能开平，后面的全用开仓单
// 因为后面的使用平仓单，还要处理复杂的大量开挂单的问题。
// 实际上不能太深，因为深了占用资金
public int 单边全面补单(OrderBook_OneSide_Order buy1, OrderBook_OneSide_Size buy2)
{
int cnt = 0;
List <CopyOrder> list = new List <CopyOrder>();
// 方向不对，不可能补单
if (buy1.Side != buy2.Side)
{
return(cnt);
}
TextCommon tp = buy1.Side == OrderSide.Buy ? TextParameterBid : TextParameterAsk;
PositionRecord LongShort = buy1.Side == OrderSide.Buy ? base.DualPosition.Short : base.DualPosition.Long;
lock (this)
{
int l = 0;
// 由于在别的地方做了撤单，在这buy2中的数量是大于等于buy1的
foreach (var b2 in buy2.GridList)
{
++l;
int level = b2.Key;
double size = b2.Value;
// 要补单的数量
double leave = size - buy1.SizeByLevel(level);
if (leave <= 0)
{
continue;
}
double price = PriceHelper.GetPriceByLevel(level);
cnt += (int)leave;
// 超过两层的全用开仓
if (l > AlwaysOpenIfDepthGreatThan)
{
tp.OpenClose = EnumOpenClose.OPEN;
tp.Text = string.Format("{0}层，开仓补单", l);
}
else
{
// 计算开平
double q = CloseTodayHelper.GetCloseAndQty(LongShort, out tp.OpenClose);
if (q < leave)
{
tp.OpenClose = EnumOpenClose.OPEN;
tp.Text = string.Format("开仓:可平量{0}<{1}", q, leave);
}
else
{
tp.Text = string.Format("平仓:可平量{0}>={1}", q, leave);
}
}
// 入场下单
// 在模拟下，这个地方有可能导致成交回报lock
//SendLimitOrder(buy2.Side, leave, price, tp.ToString());
list.Add(new CopyOrder()
{
Side = buy2.Side,
Qty = leave,
Price = price,
Text = tp.ToString(),
});
}
}
foreach (var o in list)
{
SendLimitOrder(o.Side, o.Qty, o.Price, o.Text);
}
return(cnt);
}