public ActionResult AddEntrust(AddEntrust addEntrust)
{
Response _res = new Response();
int id = int.Parse(Session["UserID"].ToString());
if (string.IsNullOrEmpty(payCoin))
{
payCoin = "TTG"; sellCoin = "ETH";
}
addEntrust.EPayCoin = payCoin;
addEntrust.ESellCoin = sellCoin;
double personCoinAmount = _walletManager.GetWallet(id, addEntrust.ESellCoin).Amount;
if (personCoinAmount <= 0 || (addEntrust.EAmount > personCoinAmount))
{
ViewBag.Success = "-1";
return(View("Index"));
}
if (ModelState.IsValid)
{
Entrust entrust = new Entrust();
entrust.CoinName = addEntrust.ESellCoin;
entrust.PayCoinName = addEntrust.EPayCoin;
entrust.IsSuccess = 0;
entrust.FUserID = int.Parse(Session["UserID"].ToString());
entrust.Price = addEntrust.Eprice;
entrust.Amount = addEntrust.EAmount;
entrust.EnstructTime = DateTime.Now;
entrust.SucOrDefTime = DateTime.Now;
_res = _entrustManager.Add(entrust);
//减少币
Wallet _wallet = _walletManager.GetWallet(id, addEntrust.ESellCoin);
_wallet.Amount -= addEntrust.EAmount;
_walletManager.Update(_wallet);
ViewBag.Success = 1;
}
//if (!ModelState.IsValid)
//{
// List<string> sb = new List<string>();
// //获取所有错误的Key
// List<string> Keys = ModelState.Keys.ToList();
// //获取每一个key对应的ModelStateDictionary
// foreach (var key in Keys)
// {
// var errors = ModelState[key].Errors.ToList();
// //将错误描述添加到sb中
// foreach (var error in errors)
// {
// sb.Add(error.ErrorMessage);
// }
// }
// return Json("0");
//}
return(View("Index"));
//return Json(_res);
}
public ActionResult CancelEntrust(int id, double amount, string coinname)
{ //更新撤销后的委托情况
Entrust en = _entrustManager.Find(id);
en.IsSuccess = -1;
_entrustManager.Update(en);
//更新撤销后的钱包
int i = 0;
while (i < coinname.Length)
{
if (coinname[i] != '/')
{
i++;
}
else
{
break;
}
}
coinname = coinname.Substring(0, i);//出售的
Wallet wa = _wallet.GetWallet(int.Parse(Session["UserID"].ToString()), coinname);
wa.Amount += amount;
_wallet.Update(wa);
return(null);
}
public int PostEntrust(Entrust entrust)
{
int dealedCount = 0;
CreateEntrust(entrust);
return(dealedCount);
}
private void Form1_Load(object sender, EventArgs e)
{
Entrust callback = new Entrust(doKeboadrdEvent);
Thread th = new Thread(ThreadChild);
th.IsBackground = true;
th.Start();
label1.Text = "服务运行中";
}
private void btnExit_Click(object sender, EventArgs e)
{
btnExit.Enabled = false;
loadControl.Visible = true;
Entrust callback = new Entrust(CallBack); //委托之后要执行的方法
Thread th = new Thread(new ParameterizedThreadStart(UninstallService)); //线程要执行的方法
th.IsBackground = true;
th.Start(callback);//启动线程 委托给线程
}
public Client(Entrust callb, string ipString = null, int port = -1)
{
//print = new myPrintPrint(print1);
this.callback = callb;
if (ipString != null)
{
this.ipString = ipString;
}
if (port >= 0)
{
this.port = port;
}
}
private void UninstallService(object obj)
{
string serviceFilePath = Environment.CurrentDirectory + "\\AGEService.exe";
string serviceName = "AGEService";
if (AGEService.IsServiceExisted(serviceName))
{
AGEService.UninstallService(serviceFilePath);
}
Entrust callback = obj as Entrust; //强转为委托
callback();
}
//连接服务器
public void ConnetServer()
{
if (client == null)
{
Entrust callback = new Entrust(CallBack); //把方法赋值给委托
client = new Client(callback, "127.0.0.1", "8888");
client.print += new myPrint(ClientPrint);
}
if (!client.connected)
{
client.start();
}
// if (client != null) thi = "客户端 " + client.localIpPort;
}
public Client(Entrust callb, string ipString = null, string port = "-1")
{
// print = new Print(print1);
this.callback = callb;
if (ipString != null)
{
this.ipString = ipString;
}
int port_int = Int32.Parse(port);
if (port_int >= 0)
{
this.port = port_int;
}
}
/// <summary>
/// 根据C的持仓获取P的追买量
/// </summary>
/// <returns></returns>
private Entrust GetBuyPutEntrust()
{
Entrust curEntrust = null;
//判断是否存在C单腿的品种,有则需要追买P
for (int i = 0; i < m_PositionList.Count; i++)
{
Position callPosition = m_PositionList[i];
if (callPosition.PositionContract.Right == ContractRight.Call)
{
//寻找Call持仓对应的Put持仓
for (int k = 0; k < m_PositionList.Count; k++)
{
Position putPosition = m_PositionList[k];
if (putPosition.PositionContract.Strike == callPosition.PositionContract.Strike && putPosition.PositionContract.Expiry == callPosition.PositionContract.Expiry && putPosition.PositionContract.Right == ContractRight.Put)
{
//计算AB差值时
int offsetAB = Math.Abs(putPosition.PositionNum) - callPosition.PositionNum;
if (offsetAB > 0)
{
curEntrust = new Entrust();
curEntrust.EntrustContract = putPosition.PositionContract;
Order order = new Order();
order.Action = "BUY";
order.OrderType = "LMT";
order.TotalQuantity = offsetAB;
order.Account = StrategyPool.Account;
//遍历得到委托价格
for (int j = 0; j < m_ContractList.Length; j++)
{
if (m_ReportList[j][0].AskPrice > 0 && m_ReportList[j][0].MdContract.Strike == putPosition.PositionContract.Strike && m_ReportList[j][0].MdContract.Expiry == callPosition.PositionContract.Expiry && m_ReportList[j][0].MdContract.Right == ContractRight.Put)
{
order.LmtPrice = m_ReportList[j][0].AskPrice;
break;
}
}
curEntrust.EntrustOrder = order;
}
break;
}
}
}
}
return(curEntrust);
}
/// <summary>
/// 根据P的持仓获取C的追卖量
/// </summary>
/// <returns></returns>
private Entrust GetSellCallEntrust()
{
Entrust curEntrust = null;
//判断是否存在P单腿的品种,有则需要追卖C
for (int i = 0; i < m_PositionList.Count; i++)
{
Position putPosition = m_PositionList[i];
if (putPosition.PositionContract.Right == ContractRight.Put)
{
//寻找Put持仓对应的Call持仓
Position callPosition = null;
for (int k = 0; k < m_PositionList.Count; k++)
{
if (m_PositionList[k].PositionContract.Strike == putPosition.PositionContract.Strike && m_PositionList[k].PositionContract.Expiry == putPosition.PositionContract.Expiry && m_PositionList[k].PositionContract.Right == ContractRight.Call)
{
callPosition = m_PositionList[k];
int offsetAB = callPosition.PositionNum - Math.Abs(putPosition.PositionNum);
if (offsetAB > 0)
{
curEntrust = new Entrust();
curEntrust.EntrustContract = callPosition.PositionContract;
Order order = new Order();
order.Action = OrderActionType.Sell;
order.OrderType = "LMT";
order.TotalQuantity = offsetAB;
order.Account = StrategyPool.Account;
curEntrust.EntrustOrder = order;
//遍历得到委托价格
for (int j = 0; j < m_ContractList.Length; j++)
{
if (m_ReportList[j][0].BidPrice > 0 && m_ReportList[j][0].MdContract.Strike == callPosition.PositionContract.Strike && m_ReportList[j][0].MdContract.Expiry == putPosition.PositionContract.Expiry && m_ReportList[j][0].MdContract.Right == ContractRight.Call)
{
order.LmtPrice = m_ReportList[j][0].BidPrice;
break;
}
}
}
break;
}
}
}
}
return(curEntrust);
}
public ActionResult Index(C2CViewModel c2c)
{
string _psd = null;
int id = int.Parse(Session["UserID"].ToString());
string traPsd = _userManager.Find(id).UserIdenty.Password;
ViewBag.Success = 0;
if (c2c.Amount > _wallet.GetWallet(id, "CNYX").Amount)
{
ModelState.AddModelError("Amount", "持有货币量不足"); return(View());
}
try { _psd = Security.SHA256(c2c.C2CPassword); }
catch { ModelState.AddModelError("C2CPassword", "请先输入交易密码"); }
try
{
if (traPsd == null)
{
}
}
catch
{
ModelState.AddModelError("C2CPassword", "请先设置交易密码");
return(View());
}
if (_psd != traPsd)
{
ModelState.AddModelError("C2CPassword", "交易密码错误");
return(View());
}
if (ModelState.IsValid)
{
Entrust en = new Entrust();
en.Amount = c2c.Amount;
en.CoinName = "CNYX";
en.EnstructTime = DateTime.Now;
en.FUserID = id;
en.IsSuccess = 0;
en.PayCoinName = "CNY";
en.Price = 0.99;
en.SucOrDefTime = DateTime.Now;
_entrust.Add(en);
ViewBag.Success = 1;
}
return(View());
}
public void CancelEntrust(Entrust entrust)
{
if (entrust != null)
{
if (entrust.Status == 0)
{
entrust.Status = 9;
}
else if (entrust.Status == 2)
{
entrust.Status = 3;
}
entrust.Cancelled = true;
new EntrustRepository().Update(entrust);
}
}
private void CreateDigitalModelToolStripMenuItem_Click(object sender, EventArgs e)
{
if (zedGraphControl.GraphPane.CurveList.Count != 0)
{
initBMP();
Entrust callback = new Entrust(SaveVToFile);
Thread thread = new Thread(GetVThread)
{
IsBackground = true
};
thread.SetApartmentState(ApartmentState.STA);
thread.Start(callback);
}
else
{
MessageBox.Show("无地层！");
}
}
//یک دسته بندی با عنوان شعر و ادبیات در فهرست دسته بندی ها وجود دارد
//و یک کتاب به نویسندگی فروغ فرخزاد با عنوان دیوان اشعار فروغ و رده سنی بالای 15 سال در فهرست کتاب ها و در دسته شعر و ادبیات وجود دارد
//و یک عضو با نام ونام خانوادگی امید جمالی و سن 31 سال و آدرس بلوار محراب در فهرست اعضا وجود دارد
//و فقط یک امانت کتاب با عنوان دیوان اشعار فروغ به نویسندگی
//فروغ فرخزاد و رده سنی بالای 15 سال برای فردی با نام و نام خانوادگی امید جمالی و سن 31 سال
//و آدرس بلوار محراب و تاریخ برگشت مورد انتظار30/02/1400 در فهرست کتاب های امانت داده شده وجود دارد.
private void Given()
{
var bookCategory = BookCategoryFactory.GenerateBookCategory("شعروادبیات");
_context.Manipulate(_ => _.BookCategories.Add(bookCategory));
var book = new BookBuilder()
.BuildBookWithCategoryId(bookCategory.Id)
.BuildBookWithAgeRange(15)
.BuildBookWithAuthor("فروغ فرخزاد")
.BuildBookWithName("دیوان اشعارفروغ")
.Build();
_context.Manipulate(_ => _.Books.Add(book));
var member = MemberFactory.GenerateMember("بلوارمحراب", 31, "امیدجمالی");
_context.Manipulate(_ => _.Add(member));
_determinateShamsiToMiladiDate = new DateTime(1400, 2, 30, new PersianCalendar());
_entrust = EntrustFactory.GenerateEntrust(book.Id, member.Id, _determinateShamsiToMiladiDate);
_context.Manipulate(_ => _.Entrusts.Add(_entrust));
}
public async Task <int> AddEntrust(AddEntrustDto dto)
{
var book = _entrustRepository.FindBookById(dto.BookId);
var member = _memberRepository.FindMemberById(dto.MemberId);
short bookMinAgeNeeded = (short)book.MinAgeNeed;
if (member.Age < bookMinAgeNeeded)
{
throw new FailedAddEntrustWhenMemberAgeIsNotInValidRanegException();
}
Entrust entrust = new Entrust
{
BookId = dto.BookId,
MemberId = dto.MemberId,
DeterminateReturnDate = dto.BookReturnDate
};
_entrustRepository.Add(entrust);
await _unitOfWork.Complete();
return(entrust.Id);
}
public IActionResult Post([FromBody] Entrust entrust)
{
MsgResponse msgResponse = new MsgResponse();
if (entrust != null)
{
if (entrust.message != "" && entrust.to != "" && entrust.from != "" && entrust.timeToLifeSec > 0)
{
msgResponse.message = "Hello " + entrust.to + " your message will be send";
return(new OkObjectResult(msgResponse));
}
else
{
msgResponse.message = "Datos Incompletos, Request ERROR ";
return(new OkObjectResult(msgResponse));
}
}
else
{
var run = " ERROR ";
return(new OkObjectResult(run));
}
}
public void UpdateEntrust(Entrust entrust)
{
Conn.Update <Entrust>(entrust);
}
public int CreateEntrust(Entrust entrust)
{
return(new EntrustRepository().Create(entrust));
}
/// <summary>
/// 生成买卖订单
/// </summary>
/// <returns>返回买卖信息,先卖后买</returns>
private Entrust[] GetEntrustList()
{
Entrust[] entrustList = null;
Entrust oneEntrust = null;
Entrust twoEntrust = null;
double curDis = m_ReportList[0][0].BidPrice - m_ReportList[1][0].AskPrice;
if (curDis - m_BasePriceDis >= m_WheeledPriceDis)//卖一号合约买二号合约条件满足
{
oneEntrust = new Entrust();
oneEntrust.EntrustContract = m_ReportList[0][0].MdContract;
Order oneOrder = new Order();
oneOrder.Action = OrderActionType.Sell;
oneOrder.OrderType = "LMT";
oneOrder.Account = StrategyPool.Account;
oneOrder.LmtPrice = m_ReportList[0][0].BidPrice;
oneOrder.TotalQuantity = 1;
oneEntrust.EntrustOrder = oneOrder;
twoEntrust = new Entrust();
twoEntrust.EntrustContract = m_ReportList[1][0].MdContract;
Order twoOrder = new Order();
twoOrder.Action = OrderActionType.Buy;
twoOrder.OrderType = "LMT";
twoOrder.Account = StrategyPool.Account;
twoOrder.LmtPrice = m_ReportList[1][0].AskPrice;
twoOrder.TotalQuantity = 1;
twoEntrust.EntrustOrder = twoOrder;
entrustList = new Entrust[2];
entrustList[0] = oneEntrust;
entrustList[1] = twoEntrust;
}
else
{
curDis = m_ReportList[0][0].AskPrice - m_ReportList[1][0].BidPrice;
if (m_BasePriceDis - curDis >= m_WheeledPriceDis)//卖二号合约买一号合约条件满足
{
oneEntrust = new Entrust();
oneEntrust.EntrustContract = m_ReportList[1][0].MdContract;
Order oneOrder = new Order();
oneOrder.Action = OrderActionType.Sell;
oneOrder.OrderType = "LMT";
oneOrder.Account = StrategyPool.Account;
oneOrder.LmtPrice = m_ReportList[1][0].BidPrice;
oneOrder.TotalQuantity = 1;
oneEntrust.EntrustOrder = oneOrder;
twoEntrust = new Entrust();
twoEntrust.EntrustContract = m_ReportList[0][0].MdContract;
Order twoOrder = new Order();
twoOrder.Action = OrderActionType.Buy;
twoOrder.OrderType = "LMT";
twoOrder.Account = StrategyPool.Account;
twoOrder.LmtPrice = m_ReportList[0][0].AskPrice;
twoOrder.TotalQuantity = 1;
twoEntrust.EntrustOrder = twoOrder;
entrustList = new Entrust[2];
entrustList[0] = oneEntrust;
entrustList[1] = twoEntrust;
}
}
return(entrustList);
}
/// <summary>
/// 根据现有的委托信号确定是否取消活动委托单
/// </summary>
/// <param name="sellPutEntrust"></param>
/// <param name="buyPutEntrust"></param>
/// <param name="entrusts"></param>
private void CancelQueueingOrder(Entrust sellPutEntrust, Entrust buyPutEntrust, Entrust sellCallEntrust, Entrust buyCallEntrust, Entrust[] entrusts)
{
if (sellPutEntrust != null || buyPutEntrust != null || sellCallEntrust != null || buyCallEntrust != null)
{
Entrust curEntrust = null;
if (sellPutEntrust != null)
{
curEntrust = sellPutEntrust;
}
else if (buyPutEntrust != null)
{
curEntrust = buyPutEntrust;
}
else if (sellCallEntrust != null)
{
curEntrust = sellCallEntrust;
}
else if (buyCallEntrust != null)
{
curEntrust = buyCallEntrust;
}
for (int i = 0; i < m_OrderReportList.Count; i++)
{
if (IsEqual(m_OrderReportList[i].OrderContract, curEntrust.EntrustContract))
{
if ((m_OrderReportList[i].CurOrder.Action == OrderActionType.Sell && m_OrderReportList[i].CurOrder.LmtPrice > curEntrust.EntrustOrder.LmtPrice) ||
(m_OrderReportList[i].CurOrder.Action == OrderActionType.Buy && m_OrderReportList[i].CurOrder.LmtPrice < curEntrust.EntrustOrder.LmtPrice))
{
CancelOrder(m_OrderReportList[i].OrderId);
}
}
else
{
CancelOrder(m_OrderReportList[i].OrderId);
}
}
}
else if (entrusts != null)
{
for (int i = 0; i < m_OrderReportList.Count; i++)
{
bool isContain = false;
for (int j = 0; j < entrusts.Length; j++)
{
if (IsEqual(m_OrderReportList[i].OrderContract, entrusts[j].EntrustContract))
{
isContain = true;
if ((m_OrderReportList[i].CurOrder.Action == OrderActionType.Sell && m_OrderReportList[i].CurOrder.LmtPrice > entrusts[j].EntrustOrder.LmtPrice) ||
(m_OrderReportList[i].CurOrder.Action == OrderActionType.Buy && m_OrderReportList[i].CurOrder.LmtPrice < entrusts[j].EntrustOrder.LmtPrice))
{
CancelOrder(m_OrderReportList[i].OrderId);
}
}
}
if (!isContain)
{
CancelOrder(m_OrderReportList[i].OrderId);
}
}
}
}
/// <summary>
/// 获取轮动买卖Put的订单,根据对价、排队价、挂单价依次判断
/// </summary>
/// <returns></returns>
private Entrust[] GetPutOrders(double[] optValues, int maxValueIndex)
{
List <Entrust> entrustList = null;
Entrust oneEntrust = null;
Entrust twoEntrust = null;
//遍历得到溢价最高的持仓
Position closePosition = null; //卖出价值最低的持仓
double closeValue1 = double.MaxValue; //对价平仓价值
double closeValue2 = double.MaxValue; //排队价平仓价值
double closeValue3 = double.MaxValue; //委托价平仓价值
int closeIndex = -1; //低卖出价值对应的品种索引
MdReport closeReport = null;
double orderLmtPrice = 0; //记录需要平仓的持仓委托价格
for (int j = 0; j < m_PositionList.Count; j++)
{
Position curPosition = m_PositionList[j];
if (curPosition.PositionContract.Right == ContractRight.Put && Math.Abs(curPosition.PositionNum) > 0)
{
for (int i = 0; i < m_ContractList.Length / 2; i++)
{
if (m_ReportList[i * 2 + 1][0].MdContract.Strike == curPosition.PositionContract.Strike)//m_Reports[i * 2 + 1]是Put
{
double curValue = m_ReportList[i * 2 + 1][0].AskPrice - m_ReportList[i * 2][0].BidPrice - curPosition.PositionContract.Strike;
if (curValue < closeValue1)
{
closePosition = curPosition;
closeValue1 = curValue;
closeValue2 = m_ReportList[i * 2 + 1][0].BidPrice - m_ReportList[i * 2][0].BidPrice - curPosition.PositionContract.Strike;
closeIndex = i;
closeReport = m_ReportList[i * 2 + 1][0];
//如果活动委托中有此持仓，通过委托价算出平仓价值
for (int k = 0; k < m_OrderReportList.Count; k++)
{
if (m_OrderReportList[k].OrderContract.Strike == curPosition.PositionContract.Strike && m_OrderReportList[k].OrderContract.Right == curPosition.PositionContract.Right)
{
closeValue3 = m_OrderReportList[k].CurOrder.LmtPrice - m_ReportList[i * 2][0].BidPrice - curPosition.PositionContract.Strike;
orderLmtPrice = m_OrderReportList[k].CurOrder.LmtPrice;
break;
}
}
}
break;
}
}
}
}
if (optValues[maxValueIndex] - m_WheeledThreshold > closeValue1 || optValues[maxValueIndex] - m_WheeledThreshold > closeValue2 || optValues[maxValueIndex] - m_WheeledThreshold > closeValue3)//可以轮动
{
oneEntrust = new Entrust();
oneEntrust.EntrustContract = closePosition.PositionContract;
Order oneOrder = new Order();
oneOrder.Action = OrderActionType.Buy;
oneOrder.OrderType = "LMT";
oneOrder.TotalQuantity = closePosition.PositionNum;
oneOrder.Account = StrategyPool.Account;
double sellValue = closeValue1;
if (optValues[maxValueIndex] - m_WheeledThreshold > closeValue1)
{
oneOrder.LmtPrice = closeReport.AskPrice;;
}
else if (optValues[maxValueIndex] - m_WheeledThreshold > closeValue2)
{
oneOrder.LmtPrice = closeReport.BidPrice;
sellValue = closeValue2;
}
else if (optValues[maxValueIndex] - m_WheeledThreshold > closeValue3)
{
oneOrder.LmtPrice = orderLmtPrice;
sellValue = closeValue2;
}
oneEntrust.EntrustOrder = oneOrder;
twoEntrust = new Entrust();
twoEntrust.EntrustContract = m_ReportList[maxValueIndex * 2][0].MdContract;
Order twoOrder = new Order();
twoOrder.Action = OrderActionType.Sell;
twoOrder.OrderType = "LMT";
twoOrder.TotalQuantity = closePosition.PositionNum;
twoOrder.Account = StrategyPool.Account;
twoOrder.LmtPrice = m_ReportList[maxValueIndex * 2][0].BidPrice;
twoEntrust.EntrustOrder = twoOrder;
entrustList = new List <Entrust>();
entrustList.Add(oneEntrust);
entrustList.Add(twoEntrust);
Log.WriteLine(DateTime.Now.ToString() + " 卖出持仓行权价 " + closePosition.PositionContract.Strike + " 卖出价格 " + oneOrder.LmtPrice + " 卖出价值 " + sellValue + " 买入行权价 " + m_ReportList[maxValueIndex * 2][0].MdContract.Strike + " 买入价格 " + m_ReportList[maxValueIndex * 2][0].AskPrice + " 买入价值 " + optValues[maxValueIndex]);
}
if (entrustList != null)
{
return(entrustList.ToArray());
}
return(null);
}
protected override void RunStrategy()
{
#region 计算总持仓手数
//持仓总手数
int totalMktQty = 0;
//各个行权价的持仓
int[] mktQty = new int[m_ContractList.Length];
for (int i = 0; i < m_ContractList.Length; i++)
{
for (int j = 0; j < m_PositionList.Count; j++)
{
Position curPosition = m_PositionList[j];
if (curPosition.PositionContract.Expiry == m_ContractList[i].Expiry)
{
int postionNum = Math.Abs(curPosition.PositionNum);
mktQty[i] += postionNum;
totalMktQty += postionNum;
}
}
}
#endregion
#region 持仓异常检测,如有持仓异常，中断程序执行
if (totalMktQty > m_BasePosition)
{
Log.WriteLine("持仓异常,持仓数超过最大持仓值:" + totalMktQty);
Thread.Sleep(60000);
return;
}
#endregion
if (m_ReportList[0].Count > 0 && m_ReportList[0][0].AskPrice != 0 && m_ReportList[0][0].BidPrice != 0 &&
m_ReportList[1].Count > 0 && m_ReportList[1][0].AskPrice != 0 && m_ReportList[1][0].BidPrice != 0)
{
Entrust[] entrustList = GetEntrustList();
if (totalMktQty == m_BasePosition)//满仓状态下只处理平仓信号
{
if (m_OrderReportList.Count > 0)
{
CancelQueueingOrder(entrustList);
}
else
{
DateTime curTime = m_ReportList[0][0].Time;
//在交易的最后1分钟，禁止减仓
if (curTime.Hour != 16 || (curTime.Hour == 16 && curTime.Minute < 29))
{
//只平仓
if (entrustList != null)
{
Entrust curOrder = entrustList[0];
for (int i = 0; i < m_PositionList.Count; i++)
{
if (m_PositionList[i].PositionContract.Expiry == curOrder.EntrustContract.Expiry)
{
ReqOrderInsert(m_StrategyPool.GetValidId(), curOrder.EntrustContract, curOrder.EntrustOrder);
Log.WriteStrategySignal(m_StrategyName, DateTime.Now.ToString() + " 卖出品种 " + entrustList[0].EntrustContract.Expiry
+ " 卖出价格 " + entrustList[0].EntrustOrder.LmtPrice + " 买入价格 " + entrustList[1].EntrustOrder.LmtPrice);
break;
}
}
}
}
}
}
else if (totalMktQty < m_BasePosition)//仓位不够时生成开仓信号
{
if (m_OrderReportList.Count > 0)
{
CancelQueueingOrder(entrustList);
}
else
{
if (entrustList != null)
{
Entrust curOrder = entrustList[1];
ReqOrderInsert(m_StrategyPool.GetValidId(), curOrder.EntrustContract, curOrder.EntrustOrder);
Log.WriteStrategySignal(m_StrategyName, DateTime.Now.ToString() + " 卖出品种 " + entrustList[0].EntrustContract.Expiry
+ " 卖出价格 " + entrustList[0].EntrustOrder.LmtPrice + " 买入价格 " + entrustList[1].EntrustOrder.LmtPrice);
}
}
}
}
}
public void Add(Entrust entrust)
{
_context.Entrusts.Add(entrust);
}
private void GetVThread(object obj)
{
double Nz = zedGraphControl.GraphPane.YAxis.Scale.Max - zedGraphControl.GraphPane.YAxis.Scale.Min;
double Nx = zedGraphControl.GraphPane.XAxis.Scale.Max - zedGraphControl.GraphPane.XAxis.Scale.Min;
float[,] v = new float[(int)Nx, (int)Nz];
Invoke(new EventHandler(() =>
{
DigitalModelProgressBar.Visible = true;
DigitalModelProgressBar.Value = 0;
DigitalModelProgressBar.Minimum = 0;
DigitalModelProgressBar.Maximum = (int)Nx;
progressTip.Visible = true;
progressTip.Text = "正在转化为数字模型...";
toolStrip.Enabled = false;
menuStrip1.Enabled = false;
}));
for (int ix = 0; ix < Nx; ix++)
{
for (int iz = 0; iz < Nz; iz++)
{
if (GetV(ix, iz) == -1)
{
Invoke(new EventHandler(() =>
{
DigitalModelProgressBar.Visible = false;
progressTip.Visible = false;
}));
MessageBox.Show("图形中存在空缺！");
Invoke(new EventHandler(() =>
{
DigitalModelProgressBar.Visible = false;
progressTip.Visible = false;
toolStrip.Enabled = true;
menuStrip1.Enabled = true;
}));
return;
}
else
{
v[ix, iz] = GetV(ix, iz);
}
Invoke(new EventHandler(() =>
{
DigitalModelProgressBar.Value = ix + 1;
}));
}
}
Invoke(new EventHandler(() =>
{
DigitalModelProgressBar.Visible = false;
progressTip.Visible = false;
toolStrip.Enabled = true;
menuStrip1.Enabled = true;
ForwardCalculationToolStripMenuItem.Enabled = true;
}));
Entrust callback = obj as Entrust;//强转为委托
callback(v);
}
public JsonResult AddJson(AddSale addSale)
{
Response _res = new Response();
int id = int.Parse(Session["UserID"].ToString());
double personCoinAmount = 0.00;
try
{
personCoinAmount = _walletManager.GetWallet(id, addSale.PayCoin).Amount;
}
catch
{
}
string _psd = null;
if (Amount < addSale.Amount)
{
_res.Code = 0;
_res.Message = "超过该委托寄售的货币数量";
return(Json(_res));
}
int identyId = _userManager.Find(id).FKIdentyID;
if (string.IsNullOrEmpty(_identy.Find(identyId).Password))
{
_res.Code = 0;
_res.Message = "请先设置交易密码";
return(Json(_res));
}
try { _psd = Security.SHA256(addSale.Password); }
catch { _res.Code = 0; _res.Message = "请先输入交易密码"; return(Json(_res)); }
if (_psd != _userManager.Find(id).UserIdenty.Password)
{
_res.Code = 0;
_res.Message = "交易密码错误";
return(Json(_res));
}
if (personCoinAmount == 0.00 || (addSale.price * Amount) > personCoinAmount)
{
_res.Code = 0;
_res.Message = "钱包余额不足，请前往充值";
return(Json(_res));
}
if (ModelState.IsValid)
{
string cointocoin = addSale.SellCoin + "/" + addSale.PayCoin;
//减少支付货币
Wallet _wallet = _walletManager.GetWallet(id, addSale.PayCoin);
_wallet.Amount -= addSale.Amount * addSale.price;
_walletManager.Update(_wallet);
//委托方增加货币
Wallet _entrustWallet = _walletManager.GetWallet(EntrusterID, addSale.PayCoin);
_entrustWallet.Amount += addSale.Amount * addSale.price;
_walletManager.Update(_entrustWallet);
//更新委托 如果委托数量为零 则标记委托成功 记1，添加成功时间
Entrust _entrust = new Entrust();
_entrust = _entrustManager.Find(ID);
if (Amount - addSale.Amount == 0)
{
_entrust.IsSuccess = 1;
_entrust.SucOrDefTime = DateTime.Now;
_entrustManager.Update(_entrust);
}
//添加委托详情表
EntrustDetails _entrustDetails = new EntrustDetails();
_entrustDetails.Amount = addSale.Amount;
_entrustDetails.BuyerID = id;
_entrustDetails.SellID = _entrustManager.Find(ID).FUserID;
_entrustDetails.EntrustID = EntrustID;
_entrustsDetailsManager.Add(_entrustDetails);
//一笔交易成功 添加一日中每一笔的价格表
PriceInADeal _priceInADeal = new PriceInADeal();
_priceInADeal.DealTime = DateTime.Now;
_priceInADeal.Amount = addSale.Amount;
_priceInADeal.Price = addSale.price;
PriceInDay pd = _priceInDayManager.Find(u => u.CoinToCoin == cointocoin);
_priceInADeal.PriceInDayID = pd.ID;
_priceInADealManager.Add(_priceInADeal);
//一笔交易进来判断是否为第一笔（总表内是否有该天的数据）
try //不为空 不是第一笔 更新该数据,设置priceinday的 up volumeInday等属性
{
DateTime time = _priceInADeal.DealTime;
PriceTable pt = _priceTableManager.IfFirstOrNo(cointocoin, time);
pt.Amount += _priceInADeal.Amount;
if (pt.MaxPrice < _priceInADeal.Price)
{
pt.MaxPrice = _priceInADeal.Price;
}
if (pt.MinPrice > _priceInADeal.Price)
{
pt.MinPrice = _priceInADeal.Price;
}
pt.ClosingPrice = _priceInADeal.Price;
_priceTableManager.Update(pt);
//更新PriceInADay
if (pd.MaxInDay < _priceInADeal.Price)
{
pd.MaxInDay = _priceInADeal.Price;
}
if (pd.MinInDay > _priceInADeal.Price)
{
pd.MinInDay = _priceInADeal.Price;
}
pd.Up = (_priceInADeal.Price - pd.Price) / pd.Price;
pd.Price = _priceInADeal.Price;
pd.VolumeInDay += _priceInADeal.Price * _priceInADeal.Amount;
pd.AmountInDay += _priceInADeal.Amount;
}
catch //为空 总表添加该天的数据
{
PriceTable pt = new PriceTable()
{
KDateTime = DateTime.Now,
CoinToCoin = cointocoin,
OpeningPrice = _priceInADeal.Price,
ClosingPrice = _priceInADeal.Price,
MaxPrice = _priceInADeal.Price,
MinPrice = _priceInADeal.Price,
Amount = _priceInADeal.Amount,
};
_priceTableManager.Add(pt);
//更新priceInADay
pd.MaxInDay = _priceInADeal.Price;
pd.MinInDay = _priceInADeal.Price;
pd.Price = _priceInADeal.Price;
pd.Up = 0;
pd.VolumeInDay = _priceInADeal.Price * _priceInADeal.Amount;
pd.AmountInDay = _priceInADeal.Amount;
}
//更新priceInDay
_priceInDayManager.Update(pd);
//增加购买的货币
Wallet _wallet2 = _walletManager.GetWallet(id, addSale.SellCoin);
_wallet2.Amount += addSale.Amount;
_walletManager.Update(_wallet2);
//委托方减少货币,发布委托时已经减少了
//Wallet _entrustWallet2 = _walletManager.GetWallet(EntrusterID, addSale.SellCoin);
//_entrustWallet2.Amount -= addSale.Amount;
//_walletManager.Update(_entrustWallet2);
}
else
{
_res.Code = 0;
_res.Message = General.GetModelErrorString(ModelState);
return(Json(_res));
}
_res.Code = 1;
_res.Message = "购买成功";
return(Json(_res));
}
public ActionResult PostEntrust(Entrust entrust)
{
return(View());
}
public ActionResult Detail(string id, string submitType)
{
bool buy = false;
DateTime start = DateTime.Parse(DateTime.Today.ToString("yyyy-MM-dd 0:0:0"));
DateTime end = DateTime.Parse(DateTime.Today.ToString("yyyy-MM-dd 23:59:59"));
switch (submitType)
{
case "BUY":
{
buy = true;
int count = int.Parse(Request.Form["BuyCount"]);
int pid = int.Parse(Request.Form["pid"]);
decimal price = decimal.Parse(Request.Form["BuyPrice"]);
var entrust = new Entrust()
{
IsBuy = buy,
Price = price,
Count = count,
DealedCount = 0,
UserId = CurrentUser.Id,
ProductId = pid,
CreateTime = DateTime.Now
};
int eid = mr.CreateEntrust(entrust);
decimal dealedAmount = 0M;
//冻结用户委托金额
CurrentUser.FrozenScore += (count * price);
#region 处理交易
var saleEntrusts = mr.GetEntrusts(new MarketCriteria {
IsBuy = 0, ProductId = pid, Cancelled = 0, StartDate = start, EndDate = end
})
.Where(e => e.Price <= price).OrderBy(e => e.Price).ThenByDescending(e => e.Id);
if (saleEntrusts != null && saleEntrusts.Any())
{
bool dealed = false;
foreach (var e in saleEntrusts)
{
if (dealed)
{
break;
}
decimal amount = 0M;
Guid tid = Guid.NewGuid();
int acutalCount = 0;
// 80, 100 - 30 or 0
if ((e.Count - e.DealedCount) >= (entrust.Count - entrust.DealedCount)) //此笔交易可完成
{
acutalCount = entrust.Count - entrust.DealedCount;
amount = (acutalCount) * e.Price;
e.DealedAmount += (acutalCount) * e.Price;
dealedAmount += e.DealedAmount;
e.DealedCount += (acutalCount);
entrust.DealedAmount += (acutalCount) * e.Price;
entrust.DealedCount = entrust.Count;
entrust.Status = 1;
if (e.DealedCount == e.Count)
{
e.Status = 1;
}
else
{
e.Status = 2;
}
mr.UpdateEntrust(e);
dealed = true;
// break;
}
else //需更多笔交易
{
acutalCount = e.Count - e.DealedCount;
amount = (acutalCount) * e.Price;
entrust.DealedAmount += acutalCount * e.Price;
dealedAmount += acutalCount * e.Price;
entrust.DealedCount += acutalCount;
e.DealedAmount += acutalCount * e.Price;
e.DealedCount = e.Count;
e.Status = 1;
entrust.Status = 2;
mr.UpdateEntrust(e);
}
var user = ur.Get(e.UserId);
if (user != null)
{
user.TotalScore += amount;
ur.Update(user);
var uup = ur.GetProductByUser(e.ProductId, e.UserId);
uup.FrozenCount -= acutalCount;
uup.TotalCount -= acutalCount;
ur.UpdateUserProduct(uup);
var score = new UserScore
{
TypeId = (int)ScoreType.出售,
UserId = user.Id,
ChargeFee = 0,
Score = amount,
CreateTime = DateTime.Now,
Status = 1,
UserPath = user.RefUserPath
};
new UserScoreRepository().Create(score);
}
var tbuy = new Transaction
{
Count = acutalCount,
IsBuy = true,
UserId = entrust.UserId,
CreateTime = DateTime.Now,
Date = DateTime.Today,
Price = e.Price,
ProductId = e.ProductId,
ChargeFee = 0,
TransactionId = tid
};
var tsell = new Transaction
{
Count = acutalCount,
IsBuy = false,
UserId = e.UserId,
CreateTime = DateTime.Now,
Date = DateTime.Today,
Price = e.Price,
ProductId = e.ProductId,
ChargeFee = 0,
TransactionId = tid
};
mr.CreateTransaction(tbuy);
mr.CreateTransaction(tsell);
}
mr.UpdateEntrust(entrust);
}
if (entrust.Status == 1)
{
CurrentUser.FrozenScore -= (count * price);
}
else
{
CurrentUser.FrozenScore -= dealedAmount;
}
var up = ur.GetProductByUser(entrust.ProductId, CurrentUser.Id);
if (up == null)
{
up = new UserProduct
{
ProductId = entrust.ProductId,
FrozenCount = 0,
UserId = CurrentUser.Id,
TotalCount = entrust.DealedCount,
CreateTime = DateTime.Now,
UpdateTime = DateTime.Now
};
ur.CreateUserProduct(up);
}
else
{
up.TotalCount += entrust.DealedCount;
up.UpdateTime = DateTime.Now;
ur.UpdateUserProduct(up);
}
#endregion
CurrentUser.TotalScore -= dealedAmount;
ur.Update(CurrentUser);
RefreshCurrentUser();
if (dealedAmount > 0)
{
var score = new UserScore
{
TypeId = (int)ScoreType.购买,
UserId = CurrentUser.Id,
ChargeFee = 0,
Score = dealedAmount,
CreateTime = DateTime.Now,
Status = 1,
UserPath = CurrentUser.RefUserPath
};
new UserScoreRepository().Create(score);
}
}
break;
case "SALE":
{
int count = int.Parse(Request.Form["SaleCount"]);
int pid = int.Parse(Request.Form["pid"]);
decimal price = decimal.Parse(Request.Form["SalePrice"]);
int dealedCount = 0;
decimal dealedAmount = 0M;
var entrust = new Entrust()
{
IsBuy = buy,
Price = price,
Count = count,
DealedCount = 0,
UserId = CurrentUser.Id,
ProductId = pid,
CreateTime = DateTime.Now
};
//冻结用户委托产品
var up = ur.GetProductsByUser(CurrentUser.Id).First(p => p.Product.ProductCode == id);
up.FrozenCount += count;
int eid = mr.CreateEntrust(entrust);
#region 处理交易
var buyEntrusts = mr.GetEntrusts(new MarketCriteria {
IsBuy = 1, ProductId = pid, Cancelled = 0, StartDate = start, EndDate = end
})
.Where(e => e.Price >= price).OrderByDescending(e => e.Price).ThenByDescending(e => e.Id);
if (buyEntrusts != null && buyEntrusts.Any())
{
bool dealed = false;
foreach (var e in buyEntrusts)
{
if (dealed)
{
break;
}
decimal amount = 0M;
Guid tid = Guid.NewGuid();
int acutalCount = 0;
// 80, 100 - 30 or 0
if ((e.Count - e.DealedCount) >= (entrust.Count - entrust.DealedCount)) //此笔交易可完成
{
acutalCount = entrust.Count - entrust.DealedCount;
amount = (acutalCount) * e.Price;
e.DealedAmount += (acutalCount) * e.Price;
dealedCount += acutalCount;
e.DealedCount += (acutalCount);
entrust.DealedAmount += (acutalCount) * e.Price;
entrust.DealedCount = entrust.Count;
entrust.Status = 1;
if (e.DealedCount == e.Count)
{
e.Status = 1;
}
else
{
e.Status = 2;
}
dealedAmount += amount;
mr.UpdateEntrust(e);
dealed = true;
//break;
}
else //需更多笔交易
{
acutalCount = e.Count - e.DealedCount;
amount = (acutalCount) * e.Price;
entrust.DealedAmount += acutalCount * e.Price;
dealedCount += acutalCount;
entrust.DealedCount += acutalCount;
e.DealedAmount += acutalCount * e.Price;
e.DealedCount = e.Count;
e.Status = 1;
entrust.Status = 2;
mr.UpdateEntrust(e);
dealedAmount += amount;
}
var user = ur.Get(e.UserId);
if (user != null)
{
user.FrozenScore -= amount;
user.TotalScore -= amount;
ur.Update(user);
var uup = ur.GetProductByUser(e.ProductId, e.UserId);
//uup.FrozenCount -= acutalCount;
uup.TotalCount += acutalCount;
ur.UpdateUserProduct(uup);
var score = new UserScore
{
TypeId = (int)ScoreType.购买,
UserId = user.Id,
ChargeFee = 0,
Score = amount,
CreateTime = DateTime.Now,
Status = 1,
UserPath = user.RefUserPath
};
new UserScoreRepository().Create(score);
}
var tbuy = new Transaction
{
Count = acutalCount,
IsBuy = true,
UserId = e.UserId,
CreateTime = DateTime.Now,
Date = DateTime.Today,
Price = e.Price,
ProductId = e.ProductId,
ChargeFee = 0,
TransactionId = tid
};
var tsell = new Transaction
{
Count = acutalCount,
IsBuy = false,
UserId = entrust.UserId,
CreateTime = DateTime.Now,
Date = DateTime.Today,
Price = e.Price,
ProductId = e.ProductId,
ChargeFee = 0,
TransactionId = tid
};
mr.CreateTransaction(tbuy);
mr.CreateTransaction(tsell);
}
mr.UpdateEntrust(entrust);
}
#endregion
if (dealedCount > 0)
{
var score = new UserScore
{
TypeId = (int)ScoreType.出售,
UserId = CurrentUser.Id,
ChargeFee = 0,
Score = dealedAmount,
CreateTime = DateTime.Now,
Status = 1,
UserPath = CurrentUser.RefUserPath
};
new UserScoreRepository().Create(score);
up.FrozenCount -= dealedCount;
up.TotalCount -= dealedCount;
ur.UpdateUserProduct(up);
ur.Update(CurrentUser);
RefreshCurrentUser();
}
}
break;
case "REVOKE":
{
int eid = int.Parse(Request.Form["eid"]);
var e = mr.GetEntrustById(eid);
//解冻用户委托金额
if (e.IsBuy)
{
CurrentUser.FrozenScore -= (e.Count - e.DealedCount) * e.Price;
ur.Update(CurrentUser);
RefreshCurrentUser();
}
//冻结用户委托产品
else
{
var up = ur.GetProductsByUser(CurrentUser.Id).First(p => p.ProductId == e.ProductId);
up.FrozenCount += (e.Count - e.DealedCount);
ur.UpdateUserProduct(up);
}
mr.CancelEntrust(e);
if (Request.IsAjaxRequest())
{
return(Content("1"));
}
}
break;
default: break;
}
return(RedirectToAction("Detail", new { id = id }));
}
protected override void RunStrategy()
{
int strikeCount = m_ContractList.Length / 2;
#region 计算总持仓手数
//持仓总手数
int totalMktQty = 0;
//各个行权价的持仓
int[] optMktQty = new int[strikeCount];
for (int i = 0; i < strikeCount; i++)
{
for (int j = 0; j < m_PositionList.Count; j++)
{
Position curPosition = m_PositionList[j];
if (curPosition.PositionContract.Right == m_BasePostionRight && curPosition.PositionContract.Strike == m_ContractList[i * 2].Strike)
{
int postionNum = Math.Abs(curPosition.PositionNum);
optMktQty[i] += postionNum;
totalMktQty += postionNum;
}
}
}
#endregion
#region 通过买入对手价计算每对期权对应的价值,并找到价值最高的品种
double[] optValues = new double[strikeCount];
int maxValueIndex = -1;
double maxValue = double.MinValue;
for (int i = 0; i < strikeCount; i++)
{
optValues[i] = double.MinValue;
//C、P期权无价格或持仓市值达到上限时，不参与最低价格的计算
if (m_ReportList[i * 2][0].AskPrice != 0 && m_ReportList[i * 2 + 1][0].BidPrice != 0)
{
if (optMktQty[i] < m_BaseMktQty)
{
optValues[i] = m_ReportList[i * 2 + 1][0].BidPrice - m_ReportList[i * 2][0].AskPrice - m_ContractList[i * 2].Strike;
if (optValues[i] > maxValue)
{
maxValue = optValues[i];
maxValueIndex = i;
}
}
}
else
{
return;//如果行情还没有准备好，不用继续跑策略的逻辑
}
}
#endregion
//优先考虑单腿的情况
Entrust sellPutEntrust = null; //卖出看跌期权订单
Entrust buyPutEntrust = null; //买入看涨期权订单
Entrust sellCallEntrust = null;
Entrust buyCallEntrust = null;
#region 根据基准持仓方向获取单腿订单，同时在不需要单腿处理的时候根据买卖价差调整基准买卖方向
if (m_BasePostionRight == ContractRight.Call)
{
sellPutEntrust = GetSellPutEntrust();
if (sellPutEntrust == null)
{
buyPutEntrust = GetBuyPutEntrust();
}
//当不存在单腿且不用开新仓时，通过持仓品种的买卖价差确定基准持仓方向
if (sellPutEntrust == null && buyPutEntrust == null && m_BaseMktQty <= totalMktQty)
{
for (int j = 0; j < m_PositionList.Count; j++)
{
Position callPosition = m_PositionList[j];
if (callPosition.PositionContract.Right == ContractRight.Call && callPosition.PositionNum > 0)
{
//遍历得到Call的买卖价差
double callBidAskOffset = double.MaxValue;
for (int i = 0; i < m_ContractList.Length / 2; i++)
{
if (m_ReportList[i * 2][0].MdContract.Strike == callPosition.PositionContract.Strike)//m_Reports[i * 2]是Call
{
callBidAskOffset = m_ReportList[i * 2][0].AskPrice - m_ReportList[i * 2][0].BidPrice;
break;
}
}
//寻找Call持仓对应的Put持仓并遍历得到Put的买卖价差
Position putPosition = null;
double putBidAskOffset = double.MaxValue;
for (int k = 0; k < m_PositionList.Count; k++)
{
if (m_PositionList[k].PositionContract.Strike == callPosition.PositionContract.Strike && m_PositionList[k].PositionContract.Expiry == callPosition.PositionContract.Expiry && m_PositionList[k].PositionContract.Right == ContractRight.Put)
{
putPosition = m_PositionList[k];
for (int i = 0; i < m_ContractList.Length / 2; i++)
{
if (m_ReportList[i * 2 + 1][0].MdContract.Strike == callPosition.PositionContract.Strike)//m_Reports[i * 2 + 1]是Put
{
putBidAskOffset = m_ReportList[i * 2 + 1][0].AskPrice - m_ReportList[i * 2 + 1][0].BidPrice;
break;
}
}
break;
}
}
if (callBidAskOffset < putBidAskOffset)
{
m_BasePostionRight = ContractRight.Put;
break;
}
}
}
}
}
else
{
sellCallEntrust = GetSellCallEntrust();
if (sellCallEntrust == null)
{
buyCallEntrust = GetBuyCallEntrust();
}
//当不存在单腿且不用开新仓时，通过持仓品种的买卖价差确定基准持仓方向
if (sellCallEntrust == null && buyCallEntrust == null && m_BaseMktQty <= totalMktQty)
{
for (int j = 0; j < m_PositionList.Count; j++)
{
Position putPosition = m_PositionList[j];
if (putPosition.PositionContract.Right == ContractRight.Put && putPosition.PositionNum > 0)
{
//遍历得到Put的买卖价差
double putBidAskOffset = double.MaxValue;
for (int i = 0; i < m_ContractList.Length / 2; i++)
{
if (m_ReportList[i * 2 + 1][0].MdContract.Strike == putPosition.PositionContract.Strike)//m_Reports[i * 2 + 1]是Put
{
putBidAskOffset = m_ReportList[i * 2 + 1][0].AskPrice - m_ReportList[i * 2 + 1][0].BidPrice;
break;
}
}
//寻找Put持仓对应的Call持仓并遍历得到Call的买卖价差
Position callPosition = null;
double callBidAskOffset = double.MaxValue;
for (int k = 0; k < m_PositionList.Count; k++)
{
if (m_PositionList[k].PositionContract.Strike == putPosition.PositionContract.Strike && m_PositionList[k].PositionContract.Expiry == putPosition.PositionContract.Expiry && m_PositionList[k].PositionContract.Right == ContractRight.Call)
{
callPosition = m_PositionList[k];
for (int i = 0; i < m_ContractList.Length / 2; i++)
{
if (m_ReportList[i * 2][0].MdContract.Strike == putPosition.PositionContract.Strike)//m_Reports[i * 2]是Call
{
callBidAskOffset = m_ReportList[i * 2][0].AskPrice - m_ReportList[i * 2][0].BidPrice;
break;
}
}
break;
}
}
if (putBidAskOffset < callBidAskOffset)
{
m_BasePostionRight = ContractRight.Call;
break;
}
}
}
}
}
#endregion
Entrust[] entrusts = null;//轮动的买卖Call订单
if (sellPutEntrust == null && buyPutEntrust == null && sellCallEntrust == null && buyCallEntrust == null)
{
if (m_BasePostionRight == ContractRight.Call)
{
entrusts = GetCallOrders(optValues, maxValueIndex);
}
else
{
entrusts = GetPutOrders(optValues, maxValueIndex);
}
if (m_BaseMktQty > totalMktQty)//需要开仓
{
int offsetPosition = m_BaseMktQty - totalMktQty;
if (entrusts == null)
{
entrusts = new Entrust[1];
entrusts[0] = new Entrust();
Order entrustOrder = new Order();
entrustOrder.OrderType = "LMT";
entrustOrder.TotalQuantity = offsetPosition;
entrustOrder.Account = StrategyPool.Account;
if (m_BasePostionRight == ContractRight.Call)
{
entrustOrder.Action = OrderActionType.Buy;
entrustOrder.LmtPrice = m_ReportList[maxValueIndex * 2][0].AskPrice;
entrusts[0].EntrustContract = m_ReportList[maxValueIndex * 2][0].MdContract;
}
else
{
entrustOrder.Action = OrderActionType.Sell;
entrustOrder.LmtPrice = m_ReportList[maxValueIndex * 2 + 1][0].BidPrice;
entrusts[0].EntrustContract = m_ReportList[maxValueIndex * 2 + 1][0].MdContract;
}
entrusts[0].EntrustOrder = entrustOrder;
}
Log.WriteLine(DateTime.Now.ToString() + " 买入行权价 " + m_ReportList[maxValueIndex * 2][0].MdContract.Strike + " 买入C价格 " + m_ReportList[maxValueIndex * 2][0].AskPrice + " 卖出P价格 " + m_ReportList[maxValueIndex * 2 + 1][0].BidPrice + " 价值 " + maxValue);
}
}
if (sellPutEntrust != null || buyPutEntrust != null || sellCallEntrust != null || buyCallEntrust != null || entrusts != null)
{
if (m_OrderReportList.Count > 0)
{
CancelQueueingOrder(sellPutEntrust, buyPutEntrust, sellCallEntrust, buyCallEntrust, entrusts);
}
else
{
if (sellPutEntrust != null)
{
ReqOrderInsert(m_StrategyPool.GetValidId(), sellPutEntrust.EntrustContract, sellPutEntrust.EntrustOrder);
}
else if (buyPutEntrust != null)
{
ReqOrderInsert(m_StrategyPool.GetValidId(), buyPutEntrust.EntrustContract, buyPutEntrust.EntrustOrder);
}
else if (sellCallEntrust != null)
{
ReqOrderInsert(m_StrategyPool.GetValidId(), sellCallEntrust.EntrustContract, sellCallEntrust.EntrustOrder);
}
else if (buyCallEntrust != null)
{
ReqOrderInsert(m_StrategyPool.GetValidId(), buyCallEntrust.EntrustContract, buyCallEntrust.EntrustOrder);
}
else if (entrusts != null)
{
if (m_BaseMktQty > totalMktQty)//需要开仓
{
for (int i = 0; i < entrusts.Length; i++)
{
if ((m_BasePostionRight == ContractRight.Call && entrusts[i].EntrustOrder.Action == OrderActionType.Buy) ||
(m_BasePostionRight == ContractRight.Put && entrusts[i].EntrustOrder.Action == OrderActionType.Sell))
{
ReqOrderInsert(m_StrategyPool.GetValidId(), entrusts[i].EntrustContract, entrusts[i].EntrustOrder);
break;
}
}
}
else//需要平仓
{
for (int i = 0; i < entrusts.Length; i++)
{
if ((m_BasePostionRight == ContractRight.Call && entrusts[i].EntrustOrder.Action == OrderActionType.Sell) ||
(m_BasePostionRight == ContractRight.Put && entrusts[i].EntrustOrder.Action == OrderActionType.Buy))
{
ReqOrderInsert(m_StrategyPool.GetValidId(), entrusts[i].EntrustContract, entrusts[i].EntrustOrder);
break;
}
}
}
}
}
}
else
{
CancelAllQueueingOrder();
}
//通过卖出对手价计算持仓对应的平价价格，如果可以轮动则轮动
//if (tempPositionIndex != minValueIndex)
//{
// if (m_Reports[tempPositionIndex * 2].BidPrice != 0 && m_Reports[tempPositionIndex * 2 + 1].AskPrice != 0)
// {
// double positionValue = m_Reports[tempPositionIndex * 2 + 1].AskPrice - m_Reports[tempPositionIndex * 2].BidPrice - m_ContractList[tempPositionIndex * 2].Strike;
// if (positionValue > minValue)
// {
// Log.WriteLine(DateTime.Now.ToString() + " 卖出持仓行权价 " + m_ContractList[tempPositionIndex*2].Strike + " 卖出平价价格 " + positionValue + " 买入行权价 " + m_ContractList[minValueIndex * 2].Strike + " 买入平价价格 " + minValue);
// tempPositionIndex = minValueIndex;
// }
// }
//}
}