///报单通知
private void OnRtnOrder(ThostFtdcOrderField pOrder)
{
//__DEBUGPF__();
System.Diagnostics.Debug.WriteLine(string.Format("{2} OnRtnOrder: {0}, {1}, {3}",
pOrder.OrderRef, pOrder.InstrumentID, DateTime.Now.ToString("HH:mm:ss"), pOrder.OrderStatus));
if (IsMyOrder(pOrder))
{
var customOrder = new CustomOrder();
// 原始报单信息
customOrder.OrderNo = int.Parse(pOrder.OrderRef);
customOrder.InstrumentID = pOrder.InstrumentID;
customOrder.Direction = (pOrder.Direction == EnumDirectionType.Buy) ? BS_CODE.Buy : BS_CODE.Sell;
customOrder.OffsetFlag = (pOrder.CombOffsetFlag_0 == EnumOffsetFlagType.Open) ? OC_CODE.Open : OC_CODE.Close;
customOrder.Price = pOrder.LimitPrice;
customOrder.Volume = pOrder.VolumeTotalOriginal;
// 更新委托回报信息
customOrder.tradeRef = pOrder.ExchangeID + "_" + pOrder.OrderSysID; // 查找对应成交回报的依据
customOrder.TradedVol = pOrder.VolumeTotalOriginal - pOrder.VolumeTotal; // 已成交数量
customOrder.OrderStatus = ConvertStatus(pOrder.OrderStatus);
// 处理委托回报
if (HandleRtnOrderDel != null)
{
HandleRtnOrderDel(customOrder);
//HandleRtnOrderDel.BeginInvoke(customOrder, null, null);
}
}
}
/// <summary>
/// """报单回报"""
/// </summary>
/// <param name="pOrder"></param>
public void HandleOnRtnOrder(ThostFtdcOrderField pOrder)
{
var order = new OrderData();
///报单推送
this.Gateway.MainController.MainEvent._OnOrder.Invoke(order);
}
void _trade_OnRtnOrder(ThostFtdcOrderField pOrder)
{
this.QueryAccount();
var orderId = (pOrder.OrderSysID ?? "").Trim();
var old = this.Account.PendingOrders.FirstOrDefault(_ => _.OrderID == orderId);
if (old != null)
{
this.Account.PendingOrders.Remove(old);
}
if (orderId.Length > 0 && pOrder.GetOrderStatus() == OrderStatus.Pending)
{
this.Account.PendingOrders.Add(pOrder.ToOptionOrder());
}
var oldNative = this._orders.ToList().FirstOrDefault(_ => _.OrderSysID == orderId);
if (oldNative != null)
{
this._orders.Remove(oldNative);
}
if (orderId.Length > 0)
{
this._orders.Add(pOrder);
}
}
/// <summary>
/// 清空报单信息
/// </summary>
public void clearOrderInfo()
{
ShortOptionOrder = null;
LongOptionOrder = null;
CloseLongOptionOrder = null;
CloseShortOptionOrder = null;
PlaceShortOptionOrderRef = null;
PlaceLongOptionOrderRef = null;
CloseLongOptionOrderRef = null;
CloseShortOptionOrderRef = null;
}
public static string ToString2(this ThostFtdcOrderField field)
{
return(string.Format("OrderRef:{0},{1},{2} {3}, {4} {5} {6} {7} {8}",
field.OrderRef,
field.UserID,
field.OrderStatus,
field.StatusMsg,
field.CombOffsetFlag_0,
field.Direction,
field.VolumeTotalOriginal,
field.InstrumentID,
field.LimitPrice
));
}
///报单通知
void OnRtnOrder(ThostFtdcOrderField pOrder)
{
DebugPrintFunc(new StackTrace());
if (IsMyOrder(pOrder))
{
if (IsTradingOrder(pOrder))
{
ReqOrderAction(pOrder);
}
else if (pOrder.OrderStatus == EnumOrderStatusType.Canceled)
{
Console.WriteLine("--->>> 撤单成功");
}
}
}
private void CtpTrader_OnRtnOrder(ThostFtdcOrderField pOrder)
{
orderOnWay = pOrder;
if (pOrder.OrderStatus == EnumOrderStatusType.AllTraded)
{
isSuccess = true;
autoResetEventOrderCompleted.Set();
}
else if (pOrder.OrderStatus == EnumOrderStatusType.Canceled)
{
isSuccess = false;
autoResetEventOrderCompleted.Set();
}
}
public static OpenClose GetOpenClose(this ThostFtdcOrderField self)
{
switch (self.CombOffsetFlag_0)
{
case EnumOffsetFlagType.Close:
case EnumOffsetFlagType.CloseToday:
case EnumOffsetFlagType.CloseYesterday:
case EnumOffsetFlagType.ForceClose:
case EnumOffsetFlagType.LocalForceClose:
return(OpenClose.Close);
default:
return(OpenClose.Open);
}
}
///报单通知
void OnRtnOrder(ThostFtdcOrderField pOrder)
{
__DEBUGPF__();
if (IsMyOrder(pOrder))
{
if (IsTradingOrder(pOrder))
{
ReqOrderAction(pOrder);
}
else if (pOrder.OrderStatus == EnumOrderStatusType.Canceled)
{
Console.WriteLine("--->>> 撤单成功");
}
}
}
void _trade_OnRspQryOrder(ThostFtdcOrderField pOrder, ThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (pOrder != null)
{
var exists = this._orders.FirstOrDefault(_ => _.OrderSysID == pOrder.OrderSysID);
if (exists == null)
{
this._orders.Add(pOrder);
}
}
if (bIsLast)
{
this.Account.PendingOrders = this._orders.Where(_ => (_.OrderSysID ?? "").Trim().Length > 0 && _.GetOrderStatus() == OrderStatus.Pending).Select(_ => _.ToOptionOrder()).ToList();
}
}
public static OptionOrder ToOptionOrder(this ThostFtdcOrderField self)
{
return(new OptionOrder
{
InstrumentID = self.InstrumentID,
FilledQty = self.VolumeTraded,
LeavesQty = self.VolumeTotal,
OrderID = self.OrderSysID,
OpenClose = self.GetOpenClose(),
Price = self.LimitPrice,
Qty = self.VolumeTotalOriginal,
Side = self.Direction == EnumDirectionType.Buy ? OrderSide.Buy : OrderSide.Sell,
OrderTime = DateTime.ParseExact(self.InsertDate + " " + self.InsertTime, "yyyyMMdd HH:mm:ss", DateTimeFormatInfo.InvariantInfo),
Status = self.GetOrderStatus()
});
}
void ReqOrderAction(ThostFtdcOrderField pOrder)
{
if (ORDER_ACTION_SENT)
{
return;
}
ThostFtdcInputOrderActionField req = new ThostFtdcInputOrderActionField();
///经纪公司代码
req.BrokerID = pOrder.BrokerID;
///投资者代码
req.InvestorID = pOrder.InvestorID;
///报单操作引用
// TThostFtdcOrderActionRefType OrderActionRef;
///报单引用
req.OrderRef = pOrder.OrderRef;
///请求编号
// TThostFtdcRequestIDType RequestID;
///前置编号
req.FrontID = FRONT_ID;
///会话编号
req.SessionID = SESSION_ID;
///交易所代码
// TThostFtdcExchangeIDType ExchangeID;
///报单编号
// TThostFtdcOrderSysIDType OrderSysID;
///操作标志
req.ActionFlag = CTP.EnumActionFlagType.Delete;
///价格
// TThostFtdcPriceType LimitPrice;
///数量变化
// TThostFtdcVolumeType VolumeChange;
///用户代码
// TThostFtdcUserIDType UserID;
///合约代码
req.InstrumentID = pOrder.InstrumentID;
int iResult = api.ReqOrderAction(req);
Console.WriteLine("--->>> 报单操作请求: " + ((iResult == 0) ? "成功" : "失败"));
ORDER_ACTION_SENT = true;
}
public override void OnRtnOrder(ThostFtdcOrderField pOrder)
{
var order = new Order
{
InstrumentID = pOrder.InstrumentID,
UserID = pOrder.UserID,
Direction = (DirectionType)pOrder.Direction,
CombOffsetFlag = (OffsetFlag)pOrder.CombOffsetFlag_0,
LimitPrice = pOrder.LimitPrice,
VolumeTotalOriginal = pOrder.VolumeTotalOriginal,
OrderSubmitStatus = (OrderSubmitStatus)pOrder.OrderSubmitStatus,
OrderStatus = (OrderStatus)pOrder.OrderStatus,
VolumeTraded = pOrder.VolumeTraded,
VolumeTotal = pOrder.VolumeTotal,
InsertTime = DateTimeHelper.GenerateTime(pOrder.InsertDate, pOrder.InsertTime),
StatusMsg = pOrder.StatusMsg,
};
OrderRecordViewModel.Instance.AddOrder(order);
}
public static OrderStatus GetOrderStatus(this ThostFtdcOrderField self)
{
switch (self.OrderStatus)
{
case EnumOrderStatusType.AllTraded:
return(OrderStatus.Filled);
case EnumOrderStatusType.Canceled:
return(OrderStatus.Canceled);
case EnumOrderStatusType.NoTradeNotQueueing:
case EnumOrderStatusType.NoTradeQueueing:
return(OrderStatus.Pending);
case EnumOrderStatusType.PartTradedNotQueueing:
case EnumOrderStatusType.PartTradedQueueing:
return(OrderStatus.Pending);
default:
return(OrderStatus.Unknown);
}
}
private bool IsMyOrder(ThostFtdcOrderField pOrder)
{
return(pOrder.FrontID == FRONT_ID &&
pOrder.SessionID == SESSION_ID);
}
/// <summary>
/// 构造一个新实例
/// </summary>
/// <param name="MarketData">报单信息</param>
public RtnOrderEventArgs(ThostFtdcOrderField orderField)
{
this.orderField = orderField;
}
private void TraderAdapter_OnRtnOrder(ThostFtdcOrderField pOrder)
{
}
private void TD_OnCanceled(ThostFtdcOrderField pOrder)
{
}
public override void OnRtnOrder(ThostFtdcOrderField pOrder)
{
throw new NotImplementedException();
}
/// <summary>
/// 判断是否是我的报单
/// </summary>
/// <param name="pOrder"></param>
/// <returns></returns>
private bool IsMyOrder(ThostFtdcOrderField pOrder)
{
//return true;
return ((pOrder.FrontID == trader.FrontID) && (pOrder.SessionID == trader.SessionID));
}
bool IsTradingOrder(ThostFtdcOrderField pOrder)
{
return((pOrder.OrderStatus != EnumOrderStatusType.PartTradedNotQueueing) &&
(pOrder.OrderStatus != EnumOrderStatusType.Canceled) &&
(pOrder.OrderStatus != EnumOrderStatusType.AllTraded));
}
/// <summary>
/// 报单操作请求
/// </summary>
/// <param name="pOrder"></param>
void ReqOrderAction(ThostFtdcOrderField pOrder)
{
if (ORDER_ACTION_SENT)
return;
ThostFtdcInputOrderActionField req = new ThostFtdcInputOrderActionField();
//经纪公司代码
req.BrokerID = pOrder.BrokerID;
//投资者代码
req.InvestorID = pOrder.InvestorID;
//报单引用
req.OrderRef = pOrder.OrderRef;
//请求编号
req.RequestID = 5;
//前置编号
req.FrontID = FRONT_ID;
//会话编号
req.SessionID = SESSION_ID;
//交易所代码
req.ExchangeID = INVESTOR_ID;
//报单编号
// TThostFtdcOrderSysIDType OrderSysID;
//操作标志
req.ActionFlag = KSFT.EnumActionFlagType.Delete;
//用户代码
req.UserID = INVESTOR_ID;
//合约代码
req.InstrumentID = pOrder.InstrumentID;
int iResult = api.ReqOrderAction(req, ++iRequestID);
Console.WriteLine("--->>> 报单操作请求: " + ((iResult == 0) ? "成功" : "失败"));
ORDER_ACTION_SENT = true;
}
/// <summary>
/// 判断自己的订单
/// </summary>
/// <param name="pOrder"></param>
/// <returns></returns>
bool IsMyOrder(ThostFtdcOrderField pOrder)
{
return ((pOrder.FrontID == FRONT_ID) &&
(pOrder.SessionID == SESSION_ID) &&
(pOrder.OrderRef == ORDER_REF));
}
void TD_OnTraded(ThostFtdcOrderField pOrder)
{
}
/// <summary>
/// 撤单成功的处理
/// </summary>
/// <param name="pOrder"></param>
void TD_OnCanceled(ThostFtdcOrderField pOrder)
{
if(pOrder.InstrumentID == this.option.InstrumentID)
{
if (this.option.PlaceLongOptionOrderRef == pOrder.OrderRef)
{
this.option.PlaceLongOptionOrderRef = null;
}
else if (this.option.PlaceShortOptionOrderRef == pOrder.OrderRef)
{
this.option.PlaceShortOptionOrderRef = null;
}
else if (this.option.CloseLongOptionOrderRef == pOrder.OrderRef)
{
this.option.CloseLongOptionOrderRef = null;
}
else if (this.option.CloseShortOptionOrderRef == pOrder.OrderRef)
{
this.option.CloseShortOptionOrderRef = null;
}
}
}
/// <summary>
/// 构造一个新实例
/// </summary>
/// <param name="MarketData">报单信息</param>
/// <param name="Tag">关联数据</param>
public RtnOrderEventArgs(ThostFtdcOrderField orderField, object Tag)
{
this.orderField = orderField;
this.tag = Tag;
}
/// <summary>
/// 报单回报
/// </summary>
/// <param name="pOrder"></param>
public void OnRtnOrder(ThostFtdcOrderField pOrder)
{
DateTime logtime = DateTime.Now;
if (IsTradingOrder(pOrder))
{
if (IsMyOrder(pOrder))
{
if (pOrder.ExchangeID != null && pOrder.ExchangeID != "" && pOrder.OrderSysID != null && pOrder.OrderSysID != "")
{
if (pOrder.OrderStatus != EnumOrderStatusType.Unknown)
{
}
}
}
}
else if (pOrder.OrderStatus == EnumOrderStatusType.Canceled)
{
if (IsMyOrder(pOrder))
{
}
}
else if (pOrder.OrderStatus == EnumOrderStatusType.AllTraded)
{
if (IsMyOrder(pOrder))
{
}
}
else if (pOrder.OrderStatus == EnumOrderStatusType.PartTradedNotQueueing)
{
if (IsMyOrder(pOrder))
{
}
}
else if (pOrder.OrderStatus == EnumOrderStatusType.NoTradeNotQueueing)
{
if (IsMyOrder(pOrder))
{
}
}
}
/// <summary>
/// 判断是否是错误报单
/// </summary>
/// <param name="pOrder"></param>
/// <returns></returns>
private bool IsErrorOrder(ThostFtdcOrderField pOrder)
{
return ((pOrder.OrderStatus == EnumOrderStatusType.Unknown) || pOrder.OrderSysID == "");
}
/// <summary>
/// 取消报单
/// </summary>
/// <param name="order"></param>
/// <returns>-1--无效报单，0--下撤单指令成功，1--下撤单指令失败</returns>
public int CancelOrder(ThostFtdcOrderField pOrder)
{
lock (ReqLock)
{
ThostFtdcInputOrderActionField req = new ThostFtdcInputOrderActionField();
///操作标志
req.ActionFlag = EnumActionFlagType.Delete;
///经纪公司代码
req.BrokerID = pOrder.BrokerID;
///交易所代码
req.ExchangeID = pOrder.ExchangeID;
///前置编号
req.FrontID = pOrder.FrontID;
///投资者代码
req.InvestorID = pOrder.InvestorID;
///合约代码
req.InstrumentID = pOrder.InstrumentID;
///报单引用
req.OrderRef = pOrder.OrderRef;
///报单编号
req.OrderSysID = pOrder.OrderSysID;
//请求编号
//req.RequestID = pOrder.RequestID;
///会话编号
req.SessionID = pOrder.SessionID;
///用户代码
req.UserID = pOrder.UserID;
int iResult = trader.ReqOrderAction(req, ++RequestID);
if (OrderRef2ArbitrageStategyMap.ContainsKey(pOrder.OrderRef))
{
OrderRef2ArbitrageStategyMap.Remove(pOrder.OrderRef);
}
return iResult;
}
}
///请求查询报单响应
public void OnRspQryOrder(ThostFtdcOrderField pOrder, ThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (!IsErrorRspInfo(pRspInfo))
{
}
}
/// <summary>
/// 对报单回报的处理
/// </summary>
/// <param name="pOrder"></param>
private void TD_OnTrading(ThostFtdcOrderField pOrder)
{
if (pOrder.InstrumentID == "IF1407" || pOrder.InstrumentID == "IF1408" || pOrder.InstrumentID == "IF1409" || pOrder.InstrumentID == "IF1412")
{
if (pOrder.VolumeTraded != 0)
{
if (!this.tradingOrderDictionary.ContainsKey(pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID))
{
if (pOrder.Direction == EnumDirectionType.Buy && pOrder.CombOffsetFlag_0 == EnumOffsetFlagType.Open)
{
if (this.longPosition.Position + pOrder.VolumeTraded == 0)
{
this.longPosition.PositionCost = 0;
}
else
{
this.longPosition.PositionCost = (this.longPosition.PositionCost * this.longPosition.Position +
pOrder.LimitPrice * pOrder.VolumeTraded) / (this.longPosition.Position + pOrder.VolumeTraded);
}
this.longPosition.Position += pOrder.VolumeTraded;
}
else if (pOrder.Direction == EnumDirectionType.Buy && pOrder.CombOffsetFlag_0 != EnumOffsetFlagType.Open)
{
if (this.shortPosition.Position + pOrder.VolumeTraded == 0)
{
this.shortPosition.PositionCost = 0;
}
else
{
this.shortPosition.PositionCost = (this.shortPosition.PositionCost * this.shortPosition.Position +
pOrder.LimitPrice * pOrder.VolumeTraded) / (this.shortPosition.Position + pOrder.VolumeTraded);
}
this.shortPosition.Position -= pOrder.VolumeTraded;
}
else if (pOrder.Direction == EnumDirectionType.Sell && pOrder.CombOffsetFlag_0 == EnumOffsetFlagType.Open)
{
if (this.shortPosition.Position + pOrder.VolumeTraded == 0)
{
this.shortPosition.PositionCost = 0;
}
else
{
this.shortPosition.PositionCost = (this.shortPosition.PositionCost * this.shortPosition.Position +
pOrder.LimitPrice * pOrder.VolumeTraded) / (this.shortPosition.Position + pOrder.VolumeTraded);
}
this.shortPosition.Position += pOrder.VolumeTraded;
}
else if (pOrder.Direction == EnumDirectionType.Sell && pOrder.CombOffsetFlag_0 != EnumOffsetFlagType.Open)
{
if (this.longPosition.Position + pOrder.VolumeTraded == 0)
{
this.longPosition.PositionCost = 0;
}
else
{
this.longPosition.PositionCost = (this.longPosition.PositionCost * this.longPosition.Position +
pOrder.LimitPrice * pOrder.VolumeTraded) / (this.longPosition.Position + pOrder.VolumeTraded);
}
this.longPosition.Position -= pOrder.VolumeTraded;
}
if (pOrder.VolumeTotal != 0)
{
this.tradingOrderDictionary.Add(pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID, pOrder);
}
}
else
{
if (pOrder.Direction == EnumDirectionType.Buy && pOrder.CombOffsetFlag_0 == EnumOffsetFlagType.Open)
{
if (this.longPosition.Position - (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded) == 0)
{
this.longPosition.PositionCost = 0;
}
else
{
this.longPosition.PositionCost = (this.longPosition.PositionCost * this.longPosition.Position -
pOrder.LimitPrice * (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded)) / (this.longPosition.Position -
(pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded));
}
this.longPosition.Position += pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded;
}
else if (pOrder.Direction == EnumDirectionType.Buy && pOrder.CombOffsetFlag_0 != EnumOffsetFlagType.Open)
{
if (this.shortPosition.Position - (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded) == 0)
{
this.shortPosition.PositionCost = 0;
}
else
{
this.shortPosition.PositionCost = (this.shortPosition.PositionCost * this.shortPosition.Position -
pOrder.LimitPrice * (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded)) / (this.shortPosition.Position -
(pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded));
}
this.shortPosition.Position -= pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded;
}
else if (pOrder.Direction == EnumDirectionType.Sell && pOrder.CombOffsetFlag_0 == EnumOffsetFlagType.Open)
{
if (this.shortPosition.Position - (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded) == 0)
{
this.shortPosition.PositionCost = 0;
}
else
{
this.shortPosition.PositionCost = (this.shortPosition.PositionCost * this.shortPosition.Position -
pOrder.LimitPrice * (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded)) / (this.shortPosition.Position -
(pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded));
}
this.shortPosition.Position += pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded;
}
else if (pOrder.Direction == EnumDirectionType.Sell && pOrder.CombOffsetFlag_0 != EnumOffsetFlagType.Open)
{
if (this.longPosition.Position - (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded) == 0)
{
this.longPosition.PositionCost = 0;
}
else
{
this.longPosition.PositionCost = (this.longPosition.PositionCost * this.longPosition.Position -
pOrder.LimitPrice * (pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded)) / (this.longPosition.Position -
(pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded));
}
this.longPosition.Position -= pOrder.VolumeTraded - this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID].VolumeTraded;
}
if (pOrder.VolumeTotal == 0)
{
this.tradingOrderDictionary.Remove(pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID);
}
else
{
this.tradingOrderDictionary[pOrder.OrderRef + "-" + pOrder.FrontID + "-" + pOrder.SessionID] = pOrder;
}
}
}
else
{
if (this.PlaceLongOptionOrderRef == pOrder.OrderRef)
{
this.LongOptionOrder = pOrder;
}
else if (this.PlaceShortOptionOrderRef == pOrder.OrderRef)
{
this.ShortOptionOrder = pOrder;
}
else if (this.CloseLongOptionOrderRef == pOrder.OrderRef)
{
this.CloseLongOptionOrder = pOrder;
}
else if (this.CloseShortOptionOrderRef == pOrder.OrderRef)
{
this.CloseShortOptionOrder = pOrder;
}
}
}
}
///报单通知
public void OnRtnOrder(ThostFtdcOrderField pOrder)
{
cMainForm.SetTDOnRtnOrder((object)pOrder);
}
/// <summary>
/// 根据委托撤单信息构成键,ExchangeID + OrderSysID
/// </summary>
/// <param name="pOrder"></param>
/// <returns></returns>
private string GetOrderKey(ThostFtdcOrderField pOrder)
{
return(string.Format("{0}:{1}", pOrder.ExchangeID, pOrder.OrderSysID));
}
/// <summary>
/// 判断成交单是否是我的报单
/// </summary>
/// <param name="pOrder"></param>
/// <param name="pTrade"></param>
/// <returns></returns>
private bool IsMyTrade(ThostFtdcOrderField pOrder, ThostFtdcTradeField pTrade)
{
return (pTrade != null && pOrder != null && (pTrade.OrderRef == pOrder.OrderRef) &&
(pTrade.BrokerID == pOrder.BrokerID) && (pTrade.BrokerOrderSeq == pOrder.BrokerOrderSeq) &&
(pTrade.ExchangeID == pOrder.ExchangeID) && (pTrade.TraderID == pOrder.TraderID) &&
(pTrade.OrderLocalID == pOrder.OrderLocalID) && (pTrade.OrderSysID == pOrder.OrderSysID));
}
bool IsMyOrder(ThostFtdcOrderField pOrder)
{
return((pOrder.FrontID == FRONT_ID) &&
(pOrder.SessionID == SESSION_ID) &&
(pOrder.OrderRef == ORDER_REF));
}
void TraderAdapter_OnRspQryOrder(ThostFtdcOrderField pOrder, ThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
}
/// <summary>
/// 判断交易订单
/// </summary>
/// <param name="pOrder"></param>
/// <returns></returns>
bool IsTradingOrder(ThostFtdcOrderField pOrder)
{
return ((pOrder.OrderStatus != EnumOrderStatusType.PartTradedNotQueueing) &&
(pOrder.OrderStatus != EnumOrderStatusType.Canceled) &&
(pOrder.OrderStatus != EnumOrderStatusType.AllTraded));
}
private void TD_OnTrading(ThostFtdcOrderField pOrder)
{
}
public override void OnRtnOrder(ThostFtdcOrderField pOrder)
{
var order = new Order
{
InstrumentID = pOrder.InstrumentID,
UserID = pOrder.UserID,
Direction = (DirectionType)pOrder.Direction,
CombOffsetFlag = (OffsetFlag)pOrder.CombOffsetFlag_0,
LimitPrice = pOrder.LimitPrice,
VolumeTotalOriginal = pOrder.VolumeTotalOriginal,
OrderSubmitStatus = (OrderSubmitStatus)pOrder.OrderSubmitStatus,
OrderStatus = (OrderStatus)pOrder.OrderStatus,
VolumeTraded = pOrder.VolumeTraded,
VolumeTotal = pOrder.VolumeTotal,
InsertTime = DateTimeHelper.GenerateTime(pOrder.InsertDate, pOrder.InsertTime),
StatusMsg = pOrder.StatusMsg,
};
OrderRecordViewModel.Instance.AddOrder(order);
}
/// <summary>
/// 报单查询应答
/// </summary>
/// <param name="pOrder"></param>
/// <param name="pRspInfo"></param>
/// <param name="nRequestID"></param>
/// <param name="bIsLast"></param>
void OnRspQryOrder(ThostFtdcOrderField pOrder, ThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
DebugPrintFunc(new StackTrace());
if (bIsLast && !IsErrorRspInfo(pRspInfo))
{
//交易查询请求
ReqQryTrade();
}
}
/// <summary>
/// 报单通知
/// </summary>
/// <param name="pOrder"></param>
void OnRtnOrder(ThostFtdcOrderField pOrder)
{
DebugPrintFunc(new StackTrace());
if (IsMyOrder(pOrder))
{
if (IsTradingOrder(pOrder))
ReqOrderAction(pOrder);
else if (pOrder.OrderStatus == EnumOrderStatusType.Canceled)
Console.WriteLine("--->>> 撤单成功");
}
}
public override void OnRtnOrder(ThostFtdcOrderField pOrder)
{
throw new NotImplementedException();
}
