/// <summary>
/// TThostFtdcHedgeFlagType枚举型转为HedgeFlag枚举型
/// </summary>
/// <param name="tfhft">TThostFtdcHedgeFlagType枚举型</param>
/// <returns></returns>
public static HedgeFlag TThostFtdcHedgeFlagType_To_HedgeFlag(TThostFtdcHedgeFlagType tfhft)
{
HedgeFlag hf = HedgeFlag.Speculation;
switch (tfhft)
{
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation:
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage:
hf = HedgeFlag.Arbitrage;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Hedge:
hf = HedgeFlag.Hedge;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_MarketMaker:
hf = HedgeFlag.MarketMaker;
break;
default:
break;
}
return(hf);
}
public override int GetHashCode()
{
int hash = 1;
if (InstrumentId.Length != 0)
{
hash ^= InstrumentId.GetHashCode();
}
if (BrokerId.Length != 0)
{
hash ^= BrokerId.GetHashCode();
}
if (InvestorId.Length != 0)
{
hash ^= InvestorId.GetHashCode();
}
if (HedgeFlag != 0)
{
hash ^= HedgeFlag.GetHashCode();
}
if (LongMarginRatioByMoney != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(LongMarginRatioByMoney);
}
if (LongMarginRatioByVolume != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(LongMarginRatioByVolume);
}
if (ShortMarginRatioByMoney != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(ShortMarginRatioByMoney);
}
if (ShortMarginRatioByVolume != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(ShortMarginRatioByVolume);
}
if (ExchangeId.Length != 0)
{
hash ^= ExchangeId.GetHashCode();
}
if (_unknownFields != null)
{
hash ^= _unknownFields.GetHashCode();
}
return(hash);
}
/// <summary>
/// 根据成交报单来构造持仓
/// </summary>
private Position CreatePositionFromRtnTrade(Trade tf)
{
Direction direction = tf.Direction;
HedgeFlag hedge = tf.HedgeFlag == 0 ? HedgeFlag.Speculation : tf.HedgeFlag;
Position pos = new Position(tf.InstrumentID, direction, hedge);
pos.AvgOpenPrice = tf.Price;
pos.PositionDateType = PositionDateType.Today;
pos.TdPosition = tf.Volume;
pos.InvestorID = tf.InvestorID;
InstrumentField instrument;
if (this._DictInstrumentField.TryGetValue(tf.InstrumentID, out instrument))
{
pos.OpenCost = tf.Price * tf.Volume * instrument.VolumeMultiple;
pos.PositionCost = pos.OpenCost;
}
pos.Notify("");
return(pos);
}
/// <summary>
/// 构造函数
/// </summary>
public Position(string InstrumentID, Direction Direction, HedgeFlag Hedge)
{
this.InstrumentID = InstrumentID;
this.PosiDirection = Direction;
this.HedgeFlag = Hedge;
}
public override int GetHashCode()
{
int hash = 1;
if (BrokerId.Length != 0)
{
hash ^= BrokerId.GetHashCode();
}
if (InvestorId.Length != 0)
{
hash ^= InvestorId.GetHashCode();
}
if (InstrumentId.Length != 0)
{
hash ^= InstrumentId.GetHashCode();
}
if (OrderRef.Length != 0)
{
hash ^= OrderRef.GetHashCode();
}
if (UserId.Length != 0)
{
hash ^= UserId.GetHashCode();
}
if (TradeId.Length != 0)
{
hash ^= TradeId.GetHashCode();
}
if (Direction != 0)
{
hash ^= Direction.GetHashCode();
}
if (OffsetFlag != 0)
{
hash ^= OffsetFlag.GetHashCode();
}
if (HedgeFlag != 0)
{
hash ^= HedgeFlag.GetHashCode();
}
if (Price != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(Price);
}
if (Volume != 0)
{
hash ^= Volume.GetHashCode();
}
if (TradeDate.Length != 0)
{
hash ^= TradeDate.GetHashCode();
}
if (TradeTime.Length != 0)
{
hash ^= TradeTime.GetHashCode();
}
if (OrderLocalId.Length != 0)
{
hash ^= OrderLocalId.GetHashCode();
}
if (TradingDay.Length != 0)
{
hash ^= TradingDay.GetHashCode();
}
if (BrokerOrderSeq != 0)
{
hash ^= BrokerOrderSeq.GetHashCode();
}
if (_unknownFields != null)
{
hash ^= _unknownFields.GetHashCode();
}
return(hash);
}
/// <summary>
/// 每当有报单成交时，则要更新持仓
/// </summary>
private void UpdatePositionFromRtnTrade(Trade tf)
{
lock (this._DictInvestorPosition) //Tuple<string, TThostFtdcPosiDirectionType, TThostFtdcHedgeFlagType>
{
//更新_dicPosition
InstrumentField instrument;
if (!this._DictInstrumentField.TryGetValue(tf.InstrumentID, out instrument))
{
return;
}
Direction direction = tf.Direction;
HedgeFlag hedge = tf.HedgeFlag;
switch (tf.OffsetFlag)
{
case Offset.Open: //开仓成交
foreach (var kvp in this._DictInvestorPosition)
{ //根据合约ID、方向、投保，找出是否有相同的键在字典内，如果有则更新
if (kvp.Key.Item1 == tf.InstrumentID && kvp.Key.Item2 == direction && kvp.Key.Item3 == hedge)
{
kvp.Value.TdPosition += tf.Volume;
kvp.Value.PositionCost += tf.Price * tf.Volume * instrument.VolumeMultiple;
kvp.Value.OpenCost += tf.Price * tf.Volume * instrument.VolumeMultiple;
kvp.Value.AvgOpenPrice = kvp.Value.OpenCost / kvp.Value.TotalPosition / instrument.VolumeMultiple;
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
return;
}
}
//没有持仓，则新建
Position pos = CreatePositionFromRtnTrade(tf);
this._DictInvestorPosition.TryAdd(new Tuple <string, Direction, HedgeFlag>(tf.InstrumentID, direction, hedge), pos);
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
break;
case Offset.CloseToday: //平今
foreach (var kvp in this._DictInvestorPosition)
{ //根据合约ID、方向、投保，找出是否有相同的键在字典内，如果有则更新
if (kvp.Key.Item1 == tf.InstrumentID && kvp.Key.Item3 == hedge &&
((kvp.Key.Item2 == Direction.Buy && direction == Direction.Sell) ||
(kvp.Key.Item2 == Direction.Sell && direction == Direction.Buy))
)
{
kvp.Value.TdPosition -= tf.Volume;
kvp.Value.PositionCost -= tf.Price * tf.Volume * instrument.VolumeMultiple;
if (kvp.Value.TotalPosition == 0)
{
Position tmp;
if (this._DictInvestorPosition.TryRemove(kvp.Key, out tmp))
{
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
return;
}
}
kvp.Value.OpenCost = kvp.Value.OpenCost * kvp.Value.TotalPosition / (kvp.Value.TotalPosition + tf.Volume);
kvp.Value.AvgOpenPrice = kvp.Value.OpenCost / kvp.Value.TotalPosition / instrument.VolumeMultiple;
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
return;
}
}
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
break;
//平昨
case Offset.Close:
case Offset.CloseYesterday:
foreach (var kvp in this._DictInvestorPosition)
{ //根据合约ID、方向、投保，找出是否有相同的键在字典内，如果有则更新
if (
kvp.Key.Item1 == tf.InstrumentID && kvp.Key.Item3 == hedge &&
((kvp.Key.Item2 == Direction.Buy && direction == Direction.Sell) ||
(kvp.Key.Item2 == Direction.Sell && direction == Direction.Buy))
)
{
kvp.Value.YdPosition -= tf.Volume;
kvp.Value.PositionCost -= tf.Price * tf.Volume * instrument.VolumeMultiple;
if (kvp.Value.TotalPosition == 0)
{
Position tmp;
if (this._DictInvestorPosition.TryRemove(kvp.Key, out tmp))
{
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
return;
}
}
kvp.Value.OpenCost = kvp.Value.OpenCost * kvp.Value.TotalPosition / (kvp.Value.TotalPosition + tf.Volume);
kvp.Value.AvgOpenPrice = kvp.Value.OpenCost / kvp.Value.TotalPosition / instrument.VolumeMultiple;
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
return;
}
}
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
break;
case Offset.ForceOff:
break;
case Offset.LocalForceClose:
break;
case Offset.ForceClose:
break;
default:
break;
}
}
}
