private void transferToTarget(long targetFromPosition, long targetToPosition,
OkexFutureContractType fromContract, OkexFutureContractType toContract)
{
long curFromPosition = getAvailablePositionByContract(m_instrument, fromContract, m_tradeDirection);// - getOrderedPositionByContract(m_spotContract, true);
//long curTargetForwardPosition = getPositionByContract(m_instrument, toContract, m_tradeDirection)
// + getOrderedPositionByContract(m_instrument, toContract, m_tradeDirection, true);
if (curFromPosition > targetFromPosition)
{
long targetVol = curFromPosition - targetFromPosition;
OkexFutureDepthData fromDD = OkexFutureTrader.Instance.getMarketDepthData(m_instrument, fromContract);
OkexFutureDepthData toDD = OkexFutureTrader.Instance.getMarketDepthData(m_instrument, toContract);
if (m_tradeDirection == OkexFutureTradeDirectionType.FTD_Sell)
{
long bidVol = fromDD.bids[0].volume;
long askVol = toDD.asks[0].volume;
long vol = Math.Min(bidVol, askVol);
vol = Math.Min(vol, targetVol);
trade(m_instrument, fromContract, fromDD.bids[0].price, vol, OkexContractTradeType.TT_CloseBuy);
trade(m_instrument, toContract, toDD.asks[0].price, vol, OkexContractTradeType.TT_OpenSell);
}
else
{
long askVol = fromDD.asks[0].volume;
long bidVol = toDD.asks[0].volume;
long vol = Math.Min(askVol, bidVol);
vol = Math.Min(vol, targetVol);
trade(m_instrument, fromContract, fromDD.asks[0].price, vol, OkexContractTradeType.TT_CloseSell);
trade(m_instrument, toContract, toDD.bids[0].price, vol, OkexContractTradeType.TT_OpenBuy);
}
}
}
private void queryDepthData()
{
OkexFutureDepthData dd = OkexFutureTrader.Instance.getMarketDepthData(m_instrument, m_contract);
if (dd != null)
{
dd.receiveTimestamp = DateUtil.getCurTimestamp();//System.Environment.TickCount;
MarketDataMgr.Instance.saveDepthData(m_instrument, m_contract, dd);
}
}
private void queryDepthData(OkexFutureInstrumentType instrument, OkexFutureContractType contract)
{
OkexFutureDepthData dd = OkexFutureTrader.Instance.getMarketDepthData(instrument, contract);
if (dd != null)
{
//saveDepthData(instrument, contract, ref dd);
m_depthData[instrument][contract] = dd;
}
}
public void saveDepthData(OkexFutureInstrumentType instrument, OkexFutureContractType contract, OkexFutureDepthData depthData)
{
if (!m_depthData.ContainsKey(instrument))
{
ConcurrentDictionary <OkexFutureContractType, OkexFutureDepthData> ddMap = new ConcurrentDictionary <OkexFutureContractType, OkexFutureDepthData>();
m_depthData.TryAdd(instrument, ddMap);
}
m_depthData[instrument][contract] = depthData;
}
public OkexFutureDepthData getDepthDataWithTimeLimit(OkexFutureInstrumentType instrument, OkexFutureContractType contract, long limitMillisec)
{
OkexFutureDepthData dd = getDepthData(instrument, contract);
if (dd == null)
{
return(null);
}
long curTimestamp = DateUtil.getCurTimestamp();
if (curTimestamp - dd.receiveTimestamp - GlobalSetting.marketDataBias > limitMillisec)
{
return(null);
}
return(dd);
}
