public int SendOrder(
string szInstrument,
TThostFtdcDirectionType Direction,
string szCombOffsetFlag,
string szCombHedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice,
TThostFtdcVolumeConditionType VolumeCondition)
{
if (null == m_pTdApi || IntPtr.Zero == m_pTdApi)
{
return(0);
}
return(TraderApi.TD_SendOrder(
m_pTdApi,
szInstrument,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice,
VolumeCondition));
}
public int SendOrder(
int OrderRef,
string szInstrument,
TThostFtdcDirectionType Direction,
string szCombOffsetFlag,
string szCombHedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice,
TThostFtdcVolumeConditionType VolumeCondition)
{
return(m_Api.SendOrder(
OrderRef,
szInstrument,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice,
VolumeCondition));
}
protected double GetAnyPrice(double price, TThostFtdcDirectionType direction)
{
if (direction == TThostFtdcDirectionType.Buy)
{
return price + InstrumentStrategy.PriceTick * 2;
}
else
{
return price - InstrumentStrategy.PriceTick * 2;
}
}
public static extern int TD_SendOrder(IntPtr pTraderApi,
string szInstrument,
TThostFtdcDirectionType Direction,
string szCombOffsetFlag,
string szCombHedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice);
public static extern int TD_SendOrder(IntPtr pTraderApi,
string szInstrument,
TThostFtdcDirectionType Direction,
string szCombOffsetFlag,
string szCombHedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice);
protected double GetAnyPrice(MarketData marketData, TThostFtdcDirectionType direction)
{
if (direction == TThostFtdcDirectionType.Buy)
{
return marketData.LastPrice + InstrumentStrategy.PriceTick * 3;
}
else
{
return marketData.LastPrice - InstrumentStrategy.PriceTick * 3;
}
}
//构造开仓单：限价单
public OrderField OpenPositionOrder(string InstrumentID, double OpenPrice, int VolumeToOpen,
TThostFtdcDirectionType OrderDirection, TThostFtdcOrderPriceTypeType OrderPriceType)
{
OrderField orderField = new OrderField();
orderField.InstrumentID = InstrumentID;
orderField.OrderPriceType = OrderPriceType;
orderField.CombOffsetFlag = new String((char)TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open, 1);;
orderField.Direction = OrderDirection;
orderField.LimitPrice = OpenPrice;
orderField.VolumeTotalOriginal = VolumeToOpen;
return(orderField);
}
public static Side FromCTP(TThostFtdcDirectionType Direction)
{
switch (Direction)
{
case TThostFtdcDirectionType.Buy:
return(Side.Buy);
case TThostFtdcDirectionType.Sell:
return(Side.Sell);
default:
return(Side.Undefined);
}
}
private void Send(SPOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder order = item.Leg[0].Order;
SingleOrder order2 = item.Leg[1].Order;
string symbol = item.GetSymbol();
double price = order.Price - order2.Price;
int qty = (int)order.OrderQty;
// 是否要做价格调整？
byte[] bytes = { (byte)CTPAPI.ToCTP(item.Leg[0].OpenClose), (byte)CTPAPI.ToCTP(item.Leg[1].OpenClose) };
string szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
byte[] bytes2 = { (byte)HedgeFlagType, (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
int nRet = 0;
#if CTP
nRet = TraderApi.TD_SendOrder(m_pTdApi,
-1,
symbol,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
0,
VolumeCondition);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
/// <summary>
/// 将TThostFtdcDirectionType枚举型转为Direction枚举型
/// </summary>
/// <param name="tfdt">TThostFtdcDirectionType枚举型实例</param>
/// <returns></returns>
public static Direction TThostFtdcDirectionType_To_Direction(TThostFtdcDirectionType tfdt)
{
Direction dir = Direction.Buy;
switch (tfdt)
{
case TThostFtdcDirectionType.THOST_FTDC_D_Buy:
break;
case TThostFtdcDirectionType.THOST_FTDC_D_Sell:
dir = Direction.Sell;
break;
default:
break;
}
return(dir);
}
/// <summary>
/// Direction枚举型转为TThostFtdcDirectionType枚举型
/// </summary>
/// <param name="dir"></param>
/// <returns></returns>
public static TThostFtdcDirectionType Direction_To_TThostFtdcDirectionType(Direction dir)
{
TThostFtdcDirectionType tfdt = TThostFtdcDirectionType.THOST_FTDC_D_Buy;
switch (dir)
{
case Direction.Buy:
break;
case Direction.Sell:
tfdt = TThostFtdcDirectionType.THOST_FTDC_D_Sell;
break;
default:
break;
}
return(tfdt);
}
/// <summary>
/// 下预埋单
/// </summary>
public void SendParkedOrder(OrderField of)
{
//OrderRef如果没有填（null），则为""
string _orderRef = (of.OrderRef != null ? of.OrderRef : string.Empty);
//当日有效(默认)
TThostFtdcTimeConditionType _timeCondition = (of.OrderFieldInstance.TimeCondition == 0 ? TThostFtdcTimeConditionType.THOST_FTDC_TC_GFD : of.OrderFieldInstance.TimeCondition);
//立即执行
TThostFtdcContingentConditionType _contingentCondition = (of.OrderFieldInstance.ContingentCondition == 0 ? TThostFtdcContingentConditionType.THOST_FTDC_CC_Immediately : of.OrderFieldInstance.ContingentCondition);
//是否强平
TThostFtdcForceCloseReasonType _forceCloseReason = (of.OrderFieldInstance.ForceCloseReason == 0 ? TThostFtdcForceCloseReasonType.THOST_FTDC_FCC_NotForceClose : of.OrderFieldInstance.ForceCloseReason);
//报单价格类型：默认是限价单
TThostFtdcOrderPriceTypeType _orderPriceTypeType = (of.OrderFieldInstance.OrderPriceType == 0 ? TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice : of.OrderFieldInstance.OrderPriceType);
//任何数量
TThostFtdcVolumeConditionType _volumeCondition = (of.OrderFieldInstance.VolumeCondition == 0 ? TThostFtdcVolumeConditionType.THOST_FTDC_VC_AV : of.OrderFieldInstance.VolumeCondition);
//方向
TThostFtdcDirectionType _directionType = (of.Direction == 0 ? TThostFtdcDirectionType.THOST_FTDC_D_Buy : of.OrderFieldInstance.Direction);
//默认是投机单：1
string _combHedgeFlag = (of.CombHedgeFlag == 0 ? "1" : ((int)of.CombHedgeFlag).ToString());
base.ReqParkedOrderInsert(
BrokerID: this._broker,
InvestorID: this._investor,
InstrumentID: of.InstrumentID,
OrderRef: _orderRef,
CombHedgeFlag: _combHedgeFlag,
CombOffsetFlag: ((int)of.CombOffsetFlag).ToString(),
Direction: _directionType,
VolumeTotalOriginal: of.VolumeTotalOriginal,
ForceCloseReason: _forceCloseReason,
ContingentCondition: _contingentCondition,
VolumeCondition: _volumeCondition,
LimitPrice: of.LimitPrice,
IsSwapOrder: 0,
MinVolume: 1,
UserForceClose: of.UserForceClose,
TimeCondition: _timeCondition,
OrderPriceType: _orderPriceTypeType
);
}
public void CancelOrder(string Instrument, TThostFtdcDirectionType Direction, string OffsetFlag)
{
m_Api.CancelOrder(Instrument, Direction, OffsetFlag);
}
public void OpenOrder(string instrumentId, TThostFtdcDirectionType direction)
{
var order = new Order();
order.OffsetFlag = TThostFtdcOffsetFlagType.Open;
order.Direction = direction;
order.InstrumentId = instrumentId;
order.Price = 0;
order.Volume = 1;
order.StrategyType = "Open Order By User";
OrderInsert(order);
}
/// <summary>
/// 开平仓:市价单
/// </summary>
/// <param name="InstrumentID">合约代码</param>
/// <param name="OffsetFlag">平仓:仅上期所平今时使用CloseToday/其它情况均使用Close</param>
/// <param name="Direction">买卖</param>
/// <param name="Price">价格</param>
/// <param name="Volume">手数</param>
public int OrderInsert(string InstrumentID, TThostFtdcOffsetFlagType OffsetFlag, TThostFtdcDirectionType Direction, int Volume)
{
return m_Api.SendOrder(
++this.MaxOrderRef,
InstrumentID,
Direction,
OffsetFlag,
TThostFtdcHedgeFlagType.Speculation,
Volume,
0,
TThostFtdcOrderPriceTypeType.AnyPrice,
TThostFtdcTimeConditionType.IOC,
TThostFtdcContingentConditionType.Immediately,
0,
TThostFtdcVolumeConditionType.AV);
}
private void Send(CommonOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder order = item.Leg.Order;
string apiSymbol;
string apiExchange;
double apiTickSize;
string altSymbol;
#if CTP
GetInstrumentInfoForCTP(order.Instrument, out apiSymbol, out apiExchange, out apiTickSize);
altSymbol = apiSymbol;
#elif CTPZQ
GetInstrumentInfoForCTPZQ(order.Instrument, out apiSymbol, out apiExchange, out apiTickSize, out altSymbol);
#endif
double price = order.Price;
int qty = (int)order.OrderQty;
//市价修正，如果不连接行情，此修正不执行，得策略层处理
CThostFtdcDepthMarketDataField DepthMarket;
//如果取出来了，并且为有效的，涨跌停价将不为0
_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket);
//市价单模拟
if (OrdType.Market == order.OrdType)
{
//按买卖调整价格
if (order.Side == Side.Buy)
{
price = DepthMarket.LastPrice + LastPricePlusNTicks * apiTickSize;
}
else
{
price = DepthMarket.LastPrice - LastPricePlusNTicks * apiTickSize;
}
}
price = FixPrice(price, order.Side, apiTickSize, DepthMarket.LowerLimitPrice, DepthMarket.UpperLimitPrice);
// 是否要做价格调整？
byte[] bytes = { (byte)CTPAPI.ToCTP(item.Leg.OpenClose) };
string szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
byte[] bytes2 = { (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
#if CTP
bool bSupportMarketOrder = SupportMarketOrder.Contains(apiExchange);
#elif CTPZQ
bool bSupportMarketOrder = true;
#endif
switch (order.TimeInForce)
{
case TimeInForce.IOC:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.AV;
break;
case TimeInForce.FOK:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.CV;
break;
default:
break;
}
int nRet = 0;
switch (order.OrdType)
{
case OrdType.Limit:
break;
case OrdType.Market:
if (SwitchMakertOrderToLimitOrder || !bSupportMarketOrder)
{
}
else
{
price = 0;
OrderPriceType = TThostFtdcOrderPriceTypeType.AnyPrice;
TimeCondition = TThostFtdcTimeConditionType.IOC;
}
break;
default:
tdlog.Warn("没有实现{0}", order.OrdType);
return;
}
#if CTP
nRet = TraderApi.TD_SendOrder(m_pTdApi,
apiSymbol,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
#elif CTPZQ
nRet = TraderApi.TD_SendOrder(m_pTdApi,
apiSymbol,
apiExchange,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
string.Format("{0}", price),
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
/// <summary>
/// 预埋单录入请求
/// </summary>
/// <param name="InstrumentID"></param>
/// <param name="OffsetFlag"></param>
/// <param name="Direction"></param>
/// <param name="Price"></param>
/// <param name="Volume"></param>
public int ParkedOrderInsert(string InstrumentID, TThostFtdcOffsetFlagType OffsetFlag, TThostFtdcDirectionType Direction, double Price, int Volume)
{
CThostFtdcParkedOrderField tmp = new CThostFtdcParkedOrderField();
tmp.BrokerID = this.BrokerID;
tmp.BusinessUnit = null;
tmp.ContingentCondition = TThostFtdcContingentConditionType.ParkedOrder;
tmp.ForceCloseReason = TThostFtdcForceCloseReasonType.NotForceClose;
tmp.InvestorID = this.InvestorID;
tmp.IsAutoSuspend = (int)TThostFtdcBoolType.No;
tmp.MinVolume = 1;
tmp.OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
tmp.OrderRef = (++this.MaxOrderRef).ToString();
tmp.TimeCondition = TThostFtdcTimeConditionType.GFD;
tmp.UserForceClose = (int)TThostFtdcBoolType.No;
tmp.UserID = this.InvestorID;
tmp.VolumeCondition = TThostFtdcVolumeConditionType.AV;
tmp.CombHedgeFlag_0 = TThostFtdcHedgeFlagType.Speculation;
tmp.InstrumentID = InstrumentID;
tmp.CombOffsetFlag_0 = OffsetFlag;
tmp.Direction = Direction;
tmp.LimitPrice = Price;
tmp.VolumeTotalOriginal = Volume;
return reqParkedOrderInsert(ref tmp);
}
//根据持仓和预期手数生成Orders【核心】
public OrderField[] CreateOrders(Position[] currentPositions, Position[] expectedPositions)
{
List <OrderField> resultOrders = new List <OrderField>();
//1、当前组合中持有的，但是期望中不持有：全部平掉！
Position[] curPositionsToClose = currentPositions.Except(expectedPositions, new Position()).ToArray();
for (int i = 0; i < curPositionsToClose.Length; i++)
{
Position pos = curPositionsToClose[i];
//平昨
if (pos.YdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(pos.InstrumentID, pos.YdPosition,
pos.PosiDirection, TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
//平今
if (pos.TdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(pos.InstrumentID, pos.TdPosition,
pos.PosiDirection, TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
}
//2、当前组合中不持有，但是期望中要持有：全部开仓！
Position[] expPositionToOpen = expectedPositions.Except(currentPositions, new Position()).ToArray();
for (int i = 0; i < expPositionToOpen.Length; i++)
{
Position pos = expPositionToOpen[i];
TThostFtdcDirectionType orderDirection = default(TThostFtdcDirectionType);
if (pos.PosiDirection == TThostFtdcPosiDirectionType.THOST_FTDC_PD_Long)
{
orderDirection = TThostFtdcDirectionType.THOST_FTDC_D_Buy;
}
else if (pos.PosiDirection == TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short)
{
orderDirection = TThostFtdcDirectionType.THOST_FTDC_D_Sell;
}
resultOrders.Add(OpenPositionOrder(pos.InstrumentID, pos.AvgOpenPrice,
pos.TdPosition, orderDirection, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
//3、当前组合与期望组合重合部分（instrumentID和positionSide相同）
Position[] ol_curPosition = currentPositions.Intersect(expectedPositions, new Position()).OrderBy(p => p.InstrumentID).ThenBy(p => p.PosiDirection).ToArray();
Position[] ol_expPosition = expectedPositions.Intersect(currentPositions, new Position()).OrderBy(p => p.InstrumentID).ThenBy(p => p.PosiDirection).ToArray();
if (ol_curPosition.Length != ol_expPosition.Length)
{
throw new Exception("长度不匹配！");
}
for (int i = 0; i < ol_curPosition.Length; i++)
{
Position curPos = ol_curPosition[i];
Position expPos = ol_expPosition[i];
string instID = curPos.InstrumentID;
int x = curPos.TotalPosition;
int y = expPos.TotalPosition;
if (x < 0)
{//当前组合中该合约为“空头”
#region
if (x > y)
{//继续开空x-y手
resultOrders.Add(OpenPositionOrder(instID, expPos.AvgOpenPrice, x - y, TThostFtdcDirectionType.THOST_FTDC_D_Sell, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
else if (x < y)
{
if (y - x <= -x)//只要平掉y-x手空头
{
if (curPos.YdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(instID, (int)Math.Min(curPos.YdPosition, y - x),
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short, TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
if (curPos.TdPosition > 0 && (y - x) - (int)Math.Min(curPos.YdPosition, y - x) > 0)
{
resultOrders.Add(ClosePositionOrder(instID, (y - x) - (int)Math.Min(curPos.YdPosition, y - x),
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short, TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
}
else//(y-x>-x)先平掉-x手空头（即所有空头），再开y手多头
{
//先平掉所有空头
if (curPos.YdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(instID, curPos.YdPosition,
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short, TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
if (curPos.TdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(instID, curPos.TdPosition,
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short, TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
//再开y手多头
resultOrders.Add(OpenPositionOrder(instID, expPos.AvgOpenPrice, y, TThostFtdcDirectionType.THOST_FTDC_D_Buy, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
}
#endregion
}
else if (x > 0)
{//当前组合中该合约为“多头”
#region
if (x < y)
{//继续开多y-x手
resultOrders.Add(OpenPositionOrder(instID, expPos.AvgOpenPrice, y - x, TThostFtdcDirectionType.THOST_FTDC_D_Buy, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
else if (x > y)
{
if (x - y <= x)//只要平掉x-y手空头
{
if (curPos.YdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(instID, (int)Math.Min(curPos.YdPosition, x - y),
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Long, TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
if (curPos.TdPosition > 0 && (x - y) - (int)Math.Min(curPos.YdPosition, x - y) > 0)
{
resultOrders.Add(ClosePositionOrder(instID, (x - y) - (int)Math.Min(curPos.YdPosition, x - y),
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Long, TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
}
else//(x - y > x )先平掉x手多头（即所有多头），再开-y手空头
{
//先平掉所有多头
if (curPos.YdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(instID, curPos.YdPosition,
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Long, TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
if (curPos.TdPosition > 0)
{
resultOrders.Add(ClosePositionOrder(instID, curPos.TdPosition,
TThostFtdcPosiDirectionType.THOST_FTDC_PD_Long, TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
//再开-y手空头
resultOrders.Add(OpenPositionOrder(instID, expPos.AvgOpenPrice, -y, TThostFtdcDirectionType.THOST_FTDC_D_Sell, TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_LimitPrice));
}
}
#endregion
}
}
return(resultOrders.ToArray());
}
public int SendOrder(
string szInstrument,
TThostFtdcDirectionType Direction,
string szCombOffsetFlag,
string szCombHedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice)
{
if (null == m_pTdApi || IntPtr.Zero == m_pTdApi)
{
return 0;
}
return TraderApi.TD_SendOrder(
m_pTdApi,
szInstrument,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice);
}
public int SendOrder(
int OrderRef,
string szInstrument,
TThostFtdcDirectionType Direction,
TThostFtdcOffsetFlagType OffsetFlag,
TThostFtdcHedgeFlagType HedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice,
TThostFtdcVolumeConditionType VolumeCondition)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return 0;
}
char szOffsetFlag = (char) OffsetFlag;
char hedgeFlag = (char) HedgeFlag;
return TraderApi.TD_SendOrder(
IntPtrKey,
OrderRef,
szInstrument,
Direction,
szOffsetFlag.ToString(),
hedgeFlag.ToString(),
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice,
VolumeCondition);
}
public static Side FromCTP(TThostFtdcDirectionType Direction)
{
switch (Direction)
{
case TThostFtdcDirectionType.Buy:
return Side.Buy;
case TThostFtdcDirectionType.Sell:
return Side.Sell;
default:
return Side.Undefined;
}
}
public int SendOrder(
int OrderRef,
string szInstrument,
TThostFtdcDirectionType Direction,
string szCombOffsetFlag,
string szCombHedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice,
TThostFtdcVolumeConditionType VolumeCondition)
{
return m_Api.SendOrder(
OrderRef,
szInstrument,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice,
VolumeCondition);
}
private void Send(NewOrderSingle order)
{
if (!_bTdConnected)
{
EmitError(-1, -1, "交易服务器没有连接，无法报单");
tdlog.Error("交易服务器没有连接，无法报单");
return;
}
Instrument inst = InstrumentManager.Instruments[order.Symbol];
string altSymbol = inst.GetSymbol(Name);
string altExchange = inst.GetSecurityExchange(Name);
double tickSize = inst.TickSize;
CThostFtdcInstrumentField _Instrument;
if (_dictInstruments.TryGetValue(altSymbol, out _Instrument))
{
//从合约列表中取交易所名与tickSize，不再依赖用户手工设置的参数了
tickSize = _Instrument.PriceTick;
altExchange = _Instrument.ExchangeID;
}
//最小变动价格修正
double price = order.Price;
//市价修正，如果不连接行情，此修正不执行，得策略层处理
CThostFtdcDepthMarketDataField DepthMarket;
//如果取出来了，并且为有效的，涨跌停价将不为0
_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket);
//市价单模拟
if (OrdType.Market == order.OrdType)
{
//按买卖调整价格
if (order.Side == Side.Buy)
{
price = DepthMarket.LastPrice + LastPricePlusNTicks * tickSize;
}
else
{
price = DepthMarket.LastPrice - LastPricePlusNTicks * tickSize;
}
}
//没有设置就直接用
if (tickSize > 0)
{
decimal remainder = ((decimal)price % (decimal)tickSize);
if (remainder != 0)
{
if (order.Side == Side.Buy)
{
price = Math.Ceiling(price / tickSize) * tickSize;
}
else
{
price = Math.Floor(price / tickSize) * tickSize;
}
}
else
{
//正好能整除，不操作
}
}
if (0 == DepthMarket.UpperLimitPrice &&
0 == DepthMarket.LowerLimitPrice)
{
//涨跌停无效
}
else
{
//防止价格超过涨跌停
if (price >= DepthMarket.UpperLimitPrice)
{
price = DepthMarket.UpperLimitPrice;
}
else if (price <= DepthMarket.LowerLimitPrice)
{
price = DepthMarket.LowerLimitPrice;
}
}
int YdPosition = 0;
int TodayPosition = 0;
string szCombOffsetFlag;
if (order.Side == Side.Buy)
{
//买，先看有没有空单，有就平空单,没有空单，直接买开多单
_dbInMemInvestorPosition.GetPositions(altSymbol,
TThostFtdcPosiDirectionType.Short, HedgeFlagType, out YdPosition, out TodayPosition);//TThostFtdcHedgeFlagType.Speculation
}
else//是否要区分Side.Sell与Side.SellShort呢？
{
//卖，先看有没有多单，有就平多单,没有多单，直接买开空单
_dbInMemInvestorPosition.GetPositions(altSymbol,
TThostFtdcPosiDirectionType.Long, HedgeFlagType, out YdPosition, out TodayPosition);
}
List <SOrderSplitItem> OrderSplitList = new List <SOrderSplitItem>();
SOrderSplitItem orderSplitItem;
//根据 梦翔 与 马不停蹄 的提示，新加在Text域中指定开平标志的功能
int nOpenCloseFlag = 0;
if (order.Text.StartsWith(OpenPrefix))
{
nOpenCloseFlag = 1;
}
else if (order.Text.StartsWith(ClosePrefix))
{
nOpenCloseFlag = -1;
}
else if (order.Text.StartsWith(CloseTodayPrefix))
{
nOpenCloseFlag = -2;
}
else if (order.Text.StartsWith(CloseYesterdayPrefix))
{
nOpenCloseFlag = -3;
}
int leave = (int)order.OrderQty;
//是否上海？上海先平今，然后平昨，最后开仓
//使用do主要是想利用break功能
//平仓部分
do
{
//指定开仓，直接跳过
if (nOpenCloseFlag > 0)
{
break;
}
//表示指定平今与平昨
if (nOpenCloseFlag < -1)
{
if (-2 == nOpenCloseFlag)
{
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseToday, (byte)TThostFtdcOffsetFlagType.CloseToday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
}
else
{
//肯定是-3了
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseYesterday, (byte)TThostFtdcOffsetFlagType.CloseYesterday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
}
orderSplitItem.qty = leave;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
leave = 0;
break;
}
if (SupportCloseToday.Contains(altExchange))
{
//先看平今
if (leave > 0 && TodayPosition > 0)
{
int min = Math.Min(TodayPosition, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseToday, (byte)TThostFtdcOffsetFlagType.CloseToday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
if (leave > 0 && YdPosition > 0)
{
int min = Math.Min(YdPosition, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseYesterday, (byte)TThostFtdcOffsetFlagType.CloseYesterday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
}
else
{
//平仓
int position = TodayPosition + YdPosition;
if (leave > 0 && position > 0)
{
int min = Math.Min(position, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.Close, (byte)TThostFtdcOffsetFlagType.Close };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
}
} while (false);
do
{
//指定平仓，直接跳过
if (nOpenCloseFlag < 0)
{
break;
}
if (leave > 0)
{
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.Open, (byte)TThostFtdcOffsetFlagType.Open };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = leave;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
leave = 0;
}
} while (false);
if (leave > 0)
{
tdlog.Info("CTP:还剩余{0}手,你应当是强制指定平仓了，但持仓数小于要平手数", leave);
}
//将第二腿也设置成一样，这样在使用组合时这地方不用再调整
byte[] bytes2 = { (byte)HedgeFlagType, (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
bool bSupportMarketOrder = SupportMarketOrder.Contains(altExchange);
tdlog.Info("Side:{0},Price:{1},LastPrice:{2},Qty:{3},Text:{4},YdPosition:{5},TodayPosition:{6}",
order.Side, order.Price, DepthMarket.LastPrice, order.OrderQty, order.Text, YdPosition, TodayPosition);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
switch (order.TimeInForce)
{
case TimeInForce.IOC:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.AV;
break;
case TimeInForce.FOK:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.CV;
break;
default:
break;
}
foreach (SOrderSplitItem it in OrderSplitList)
{
int nRet = 0;
switch (order.OrdType)
{
case OrdType.Limit:
break;
case OrdType.Market:
if (SwitchMakertOrderToLimitOrder || !bSupportMarketOrder)
{
}
else
{
price = 0;
OrderPriceType = TThostFtdcOrderPriceTypeType.AnyPrice;
//TimeCondition = TThostFtdcTimeConditionType.IOC;
}
break;
default:
tdlog.Warn("没有实现{0}", order.OrdType);
return;
}
nRet = TraderApi.TD_SendOrder(m_pTdApi,
altSymbol,
Direction,
it.szCombOffsetFlag,
szCombHedgeFlag,
it.qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
if (nRet > 0)
{
_OrderRef2Order.Add(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), order as SingleOrder);
}
}
}
public int SendOrder(
int OrderRef,
string szInstrument,
string szExchange,
TThostFtdcDirectionType Direction,
string szCombOffsetFlag,
string szCombHedgeFlag,
int VolumeTotalOriginal,
double LimitPrice,
TThostFtdcOrderPriceTypeType OrderPriceType,
TThostFtdcTimeConditionType TimeCondition,
TThostFtdcContingentConditionType ContingentCondition,
double StopPrice,
TThostFtdcVolumeConditionType VolumeCondition)
{
if (null == IntPtrKey || IntPtr.Zero == IntPtrKey)
{
return 0;
}
return TraderApi.TD_SendOrder(
IntPtrKey,
OrderRef,
szInstrument,
szExchange,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
VolumeTotalOriginal,
LimitPrice,
OrderPriceType,
TimeCondition,
ContingentCondition,
StopPrice,
VolumeCondition);
}
//只收到成交信息时调用
public bool InsertOrReplaceForTrade(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcDirectionType Direction,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock (this)
{
// 今天的买入要先冻结
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
if (rows.Count() == 1)
{
int vol = (int)rows[0][Position];
rows[0][Position] = vol - volume;
}
else
{
//假设是新添数据
try
{
if (Direction == TThostFtdcDirectionType.Buy)
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
0,
volume,
0);
}
else
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
0,
0,
volume);
}
}
catch
{
return false;
}
}
return true;
}
}
/// <summary>
/// 开平仓:限价单
/// </summary>
/// <param name="InstrumentID">合约代码</param>
/// <param name="OffsetFlag">平仓:仅上期所平今时使用CloseToday/其它情况均使用Close</param>
/// <param name="Direction">买卖</param>
/// <param name="Price">价格</param>
/// <param name="Volume">手数</param>
public int OrderInsert(string InstrumentID, TThostFtdcOffsetFlagType OffsetFlag, TThostFtdcDirectionType Direction, double Price, int Volume)
{
var priceType = TThostFtdcOrderPriceTypeType.LimitPrice;
var conditionType = TThostFtdcTimeConditionType.GFD;
if (Price < 0.01)
{
priceType = TThostFtdcOrderPriceTypeType.AnyPrice;
conditionType = TThostFtdcTimeConditionType.IOC;
}
return m_Api.SendOrder(
++this.MaxOrderRef,
InstrumentID,
Direction,
OffsetFlag,
TThostFtdcHedgeFlagType.Speculation,
Volume,
Price,
priceType,
conditionType,
TThostFtdcContingentConditionType.Immediately,
0,
TThostFtdcVolumeConditionType.AV);
}
public static extern void TD_CancelOrder(string Instrument, TThostFtdcDirectionType Direction, string OffsetFlag);
private void OpenOrder()
{
if (MaxLossStop && lossThreshold >= MaxLossThreshold) return;
TThostFtdcDirectionType result = Cross(preMarketData, currMarketData);
if (result == TThostFtdcDirectionType.Buy)
{
openCount = true;
openDirection = result;
openThreshold = 1;
GetLog(result.ToString(), preMarketData, currMarketData, openThreshold);
}
else if (result == TThostFtdcDirectionType.Sell)
{
openDirection = result;
openCount = true;
openThreshold = 1;
GetLog(result.ToString(), preMarketData, currMarketData, openThreshold);
}
if (result == TThostFtdcDirectionType.Nothing && openCount)
{
if (openThreshold >= MaxOpenThreshold)
{
var neworder = new Order
{
OffsetFlag = TThostFtdcOffsetFlagType.Open,
Direction = openDirection,
InstrumentId = currMarketData.InstrumentId,
LastPrice = currMarketData.LastPrice,
Price = GetAnyPrice(GetAvgPrice(), openDirection),
StopProfit = -300 * InstrumentStrategy.Volume,
Volume = InstrumentStrategy.Volume,
StrategyType = GetType().ToString()
};
neworder.StrategyLogs.AddRange(dayAverageLogs);
newOrders.Add(neworder);
log.Info(String.Format("{0}:{1}:{2}:{3}:{4}", ToString(), currMarketData.InstrumentId,
currMarketData.LastPrice, currMarketData.AveragePrice,
result));
openThreshold = 0;
openCount = false;
dayAverageLogs.Clear();
}
else
{
openThreshold++;
GetLog(result.ToString(), preMarketData, currMarketData, openThreshold);
}
}
}
