public void OnReply(DataItem _data)
{
String typ = _data.strAgent;
bool bDeal = (typ == "D");
bool bCanceled = (typ == "C");
if (bDeal)
{
tBuySell dealBuySell = (_data.strBuySell[0] == 'B') ? tBuySell.Buy : tBuySell.Sell;
//成交價
int dealPrice = 0;
try
{
long _dp = (long.Parse(_data.strPrice));
if (_dp < 999999)
{
dealPrice = (int)_dp;
}
}
catch { }
//成交數量
int __nqty = 0;
try { __nqty = int.Parse(_data.strQty); }
catch { }
if (__nqty > 0)
{
nQty = __nqty;
}
// 剛剛送出委託
if (g_bWaitingDeal != waitDealMode.notWaiting)
{
String _t = _data.strTime;
int hour = int.Parse(_t.Substring(0, 2));
int minute = int.Parse(_t.Substring(2, 2));
int second = int.Parse(_t.Substring(4, 2));
DateTime dealtime = new DateTime(todate.Year, todate.Month, todate.Day, hour, minute, second);
if (DateTime.Compare(dealtime, g_lastOrderSentTime) >= 0)
{
// Write Log
String strRes = "";
if (g_bWaitingDeal == waitDealMode.waitToBuildInventory)
{
string strInventoryTyp = "建倉";
if (g_CurDeposit > 0) // 加碼倉
{
strInventoryTyp = "加碼";
}
strRes = strInventoryTyp + "賣出成交 , ";
if (dealBuySell == tBuySell.Buy)
{
strRes = strInventoryTyp + "買進成交 , ";
}
if (g_CurDeposit > 0) // 加碼倉
{
strRes += "時間：" + g_CurTime.ToString() + " 價格：" + dealPrice.ToString();
}
else
{
strRes += "時間：" + g_CurTime.ToString() + " 價格：" + dealPrice.ToString();
}
g_LastDealPrice = dealPrice;
g_CurDeposit += nQty;
// 建立倉位價格配對表
for (int k = 0; k < nQty; k++)
{
TradeInOutPrice inout = new TradeInOutPrice();
inout.In = dealPrice;
inout.Out = 0;
inOutPriceList.Add(inout);
}
g_bWaitingDeal = waitDealMode.notWaiting;
Console.WriteLine(strRes);
}
#region 平倉
else if (g_bWaitingDeal == waitDealMode.waitToCleanInventory)
{
g_CurDeposit -= nQty;
int _cnt = 0;
for (int j = 0; j < inOutPriceList.Count; j++)
{
if (inOutPriceList[j].Out == 0)
{
inOutPriceList[j].Out = dealPrice;
_cnt++;
if (_cnt >= nQty)
{
break;
}
}
}
#region 全部平倉完畢
// 全部平倉完畢才統計贏的點數
if (g_CurDeposit == 0)
{
g_bWaitingDeal = waitDealMode.notWaiting;
if (dealBuySell == tBuySell.Sell) // 平倉賣出
{
//g_todayWinPoint += (dealPrice - g_LastDealPrice) * numContractPerTrade;
//if (g_CurDeposit > numContractPerTrade) // 有加碼倉
// g_todayWinPoint += (dealPrice - g_LastAddOnDealPrice) * (g_CurDeposit - numContractPerTrade);
for (int j = 0; j < inOutPriceList.Count; j++)
{
if ((inOutPriceList[j].Out != 0) && (inOutPriceList[j].In != 0))
{
g_todayWinPoint += inOutPriceList[j].Out - inOutPriceList[j].In;
}
}
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉賣出成交 時間：" + dealtime.ToString() + " 價格：" + dealPrice.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉賣出成交 時間：" + dealtime.ToString() + " 價格：" + dealPrice.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
}
else // 平倉買進
{
for (int j = 0; j < inOutPriceList.Count; j++)
{
if ((inOutPriceList[j].Out != 0) && (inOutPriceList[j].In != 0))
{
g_todayWinPoint += inOutPriceList[j].In - inOutPriceList[j].Out;
}
}
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉買進成交 時間：" + dealtime.ToString() + " 價格：" + dealPrice.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉買進成交 時間：" + dealtime.ToString() + " 價格：" + dealPrice.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
}
// 配對清單清空
inOutPriceList.Clear();
Console.WriteLine(strRes);
// 停損
if (g_todayWinPoint < -100)
{
bDoTrading = false;
Console.WriteLine("停損，今日停單");
}
}
#endregion
}
#endregion
// 成交成功，代表送出委託結束
bOrderSent = false;
}
}
else // 不是我送出的單，可能遭到強制平倉
{
bool bReluctClean = false;
//買進遭到平倉賣出 or 賣出遭到平倉買進
if (
((dealBuySell == tBuySell.Sell) && (g_b1MinTradePositive)) ||
((dealBuySell == tBuySell.Buy) && (!g_b1MinTradePositive))
)
{
bReluctClean = true;
}
if (!bReluctClean)
{
return;
}
#region 平倉
g_CurDeposit -= nQty;
int _cnt = 0;
for (int j = 0; j < inOutPriceList.Count; j++)
{
if (inOutPriceList[j].Out == 0)
{
inOutPriceList[j].Out = dealPrice;
_cnt++;
if (_cnt >= nQty)
{
break;
}
}
}
if (g_CurDeposit == 0)
{
string strRes = "";
g_bWaitingDeal = waitDealMode.notWaiting;
String _t = _data.strTime;
int hour = int.Parse(_t.Substring(0, 2));
int minute = int.Parse(_t.Substring(2, 2));
int second = int.Parse(_t.Substring(4, 2));
DateTime dealtime = new DateTime(todate.Year, todate.Month, todate.Day, hour, minute, second);
if (dealBuySell == tBuySell.Sell) // 平倉賣出
{
for (int j = 0; j < inOutPriceList.Count; j++)
{
if ((inOutPriceList[j].Out != 0) && (inOutPriceList[j].In != 0))
{
g_todayWinPoint += inOutPriceList[j].Out - inOutPriceList[j].In;
}
}
strRes = "遭到強制平倉賣出成交 時間：" + dealtime.ToString() + " 價格：" + dealPrice.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
}
else // 平倉買進
{
for (int j = 0; j < inOutPriceList.Count; j++)
{
if ((inOutPriceList[j].Out != 0) && (inOutPriceList[j].In != 0))
{
g_todayWinPoint += inOutPriceList[j].In - inOutPriceList[j].Out;
}
}
strRes = "遭到強制平倉買進成交 時間：" + dealtime.ToString() + " 價格：" + dealPrice.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
}
// 配對清單清空
inOutPriceList.Clear();
Console.WriteLine(strRes);
// 停損
if (g_todayWinPoint < -100)
{
bDoTrading = false;
Console.WriteLine("停損，今日停單");
}
}
#endregion
}
}
// 被取消單，嘗試繼續送單
if ((bCanceled) && (g_bWaitingDeal != waitDealMode.notWaiting))
{
bOrderSent = false;
}
}
//int nTradeType = 2,int nDayTrade = 0
// 送出委託 nBuySell 0:買進 1:賣出 nTradeType = 0:ROD 1:IOC 2:FOK
// nDayTrade 0:否 1:是
private void SendOrder(KLine newestKL, tBuySell nBuySell, bool doStopLoss, KLine prevKL = null, int nTradeType = 4, int nDayTrade = 1)
{
todayTradeTimes++;
if (todayTradeTimes > maxOneDayTradeTimes)
{
//Console.WriteLine("一日交易次數不超出" + maxOneDayTradeTimes.ToString() + "次");
return;
}
#region 盤中真單
if ((ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketAM) || (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM))
{
int nCode = -1;
int nNewClose = 2;//自動
string _price;
string _stoplossPrice;
string strStockNo = "JNM";
//if(ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM)
// strStockNo = "JNMPM";
int nSpecialTradeType = 0;//限價
int iBuySell = nBuySell == tBuySell.Buy ? 0 : 1;
string strProdYM = "20" + ServMain.OSEJNI_ID_CAP.Substring(ServMain.OSEJNI_ID_CAP.IndexOf("JNM") + 3, 4);
if (nBuySell == tBuySell.Sell)//要賣，看Bid(買入價)
{
if (doStopLoss)
{
nNewClose = 0;
if (g_CurDeposit > 0) // 加碼倉
nQty = (m_best5.m_nBidQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nBidQty1;
else
nQty = (m_best5.m_nBidQty1 >= numAddOnPerTime) ? numAddOnPerTime : m_best5.m_nBidQty1;
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nBidQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nBidQty1;
}
_price = (m_best5.m_nBid1 ).ToString();
_stoplossPrice = ((newestKL.open + g_MaxStopLoss) ).ToString();
}
else //要買，看Ask(買出價)
{
if (doStopLoss)
{
nNewClose = 0;
nQty = (m_best5.m_nAskQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nAskQty1;
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nAskQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nAskQty1;
}
_price = (m_best5.m_nAsk1 ).ToString();
_stoplossPrice = ((newestKL.open - g_MaxStopLoss) ).ToString();
}
if (nQty > 0)
{
if (doStopLoss)
{
if((g_CurDeposit == 0)&&(todayTradeTimes>1)) // 新倉，設置停損點
g_LastPrice = 0;//newestKL.open;
StringBuilder strMessage = new StringBuilder();
strMessage.Length = 1024;
Int32 nSiz = 1024;
nCode = OrderReply.Functions.SendOverseaFutureOrderAsync(futureAccount, "OSE", strStockNo, strProdYM , iBuySell, nNewClose, nDayTrade, nTradeType, nSpecialTradeType, nQty, _price, "0", "0", "0");
if (nCode != 0)
{
//開啟等待成交回報，帶有停損單的委託一定是建立倉位的委託單
g_bWaitingDeal = waitDealMode.waitToBuildInventory;
g_lastOrderSentTime = g_CurTime;
}
}
bOrderSent = true;
}
}
#endregion
#region 盤後模擬單
//送出模擬單，沒有Best5，直接用買賣盤
else if (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_Neutural)
{
String strRes = "";
if (doStopLoss) //新倉
{
if ((g_CurDeposit == 0) && (todayTradeTimes > 1)) // 新倉，設置停損點
g_LastPrice = 0;//newestKL.open;
if (nBuySell == tBuySell.Sell)//要賣，看Bid(買入價)
{
g_LastDealPrice = m_tick.m_nClose;
}
else
{
g_LastDealPrice = m_tick.m_nClose;
}
string strInventoryTyp = "INV 建倉";
if (g_CurDeposit > 0) // 加碼倉
strInventoryTyp = "加碼";
strRes = strInventoryTyp + "賣出 , ";
if (nBuySell == tBuySell.Buy)
strRes = strInventoryTyp + "買進 , ";
strRes += "時間：" + g_CurTime.ToString() + " 價格：" + g_LastDealPrice.ToString();
g_CurDeposit += numContractPerTrade;
Console.WriteLine(strRes);
}
else //平倉
{
if (nBuySell == tBuySell.Sell)
{
g_todayWinPoint += (m_tick.m_nClose - g_LastDealPrice) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
else if (nBuySell == tBuySell.Buy)
{
g_todayWinPoint += (g_LastDealPrice - m_tick.m_nClose) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
// 停損
if (g_todayWinPoint < -100)
{
bDoTrading = false;
Console.WriteLine("停損，今日停單");
}
}
}
#endregion
}
// 送出委託 nBuySell 0:買進 1:賣出 nTradeType = 0:ROD 1:IOC 2:FOK
// nDayTrade 0:否 1:是
private void SendOrder(KLine newestKL, tBuySell nBuySell, bool doStopLoss, KLine prevKL = null, int nTradeType = 4, int nDayTrade = 1) //int nTradeType = 2,int nDayTrade = 0
{
todayTradeTimes++;
if (todayTradeTimes > maxOneDayTradeTimes)
{
//Console.WriteLine("一日交易次數不超出" + maxOneDayTradeTimes.ToString() + "次");
return;
}
#region 盤中真單
if ((ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketAM) || (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM))
{
int nCode = -1;
int nNewClose = 2;//自動
string _price;
string _stoplossPrice;
string strStockNo = "JNM";
//if(ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM)
// strStockNo = "JNMPM";
int nSpecialTradeType = 0;//限價
int iBuySell = nBuySell == tBuySell.Buy ? 0 : 1;
string strProdYM = "20" + ServMain.OSEJNI_ID_CAP.Substring(ServMain.OSEJNI_ID_CAP.IndexOf("JNM") + 3, 4);
if (nBuySell == tBuySell.Sell)//要賣，看Bid(買入價)
{
if (doStopLoss)
{
nNewClose = 0;
if (g_CurDeposit > 0) // 加碼倉
{
nQty = (m_best5.m_nBidQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nBidQty1;
}
else
{
nQty = (m_best5.m_nBidQty1 >= numAddOnPerTime) ? numAddOnPerTime : m_best5.m_nBidQty1;
}
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nBidQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nBidQty1;
}
_price = (m_best5.m_nBid1).ToString();
_stoplossPrice = ((newestKL.open + g_MaxStopLoss)).ToString();
}
else //要買，看Ask(買出價)
{
if (doStopLoss)
{
nNewClose = 0;
nQty = (m_best5.m_nAskQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nAskQty1;
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nAskQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nAskQty1;
}
_price = (m_best5.m_nAsk1).ToString();
_stoplossPrice = ((newestKL.open - g_MaxStopLoss)).ToString();
}
if (nQty > 0)
{
if (doStopLoss)
{
if ((g_CurDeposit == 0) && (todayTradeTimes > 1)) // 新倉，設置停損點
{
g_LastPrice = 0; //newestKL.open;
}
StringBuilder strMessage = new StringBuilder();
strMessage.Length = 1024;
Int32 nSiz = 1024;
nCode = OrderReply.Functions.SendOverseaFutureOrderAsync(futureAccount, "OSE", strStockNo, strProdYM, iBuySell, nNewClose, nDayTrade, nTradeType, nSpecialTradeType, nQty, _price, "0", "0", "0");
if (nCode != 0)
{
//開啟等待成交回報，帶有停損單的委託一定是建立倉位的委託單
g_bWaitingDeal = waitDealMode.waitToBuildInventory;
g_lastOrderSentTime = g_CurTime;
}
}
bOrderSent = true;
}
}
#endregion
#region 盤後模擬單
//送出模擬單，沒有Best5，直接用買賣盤
else if (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_Neutural)
{
String strRes = "";
if (doStopLoss) //新倉
{
if ((g_CurDeposit == 0) && (todayTradeTimes > 1)) // 新倉，設置停損點
{
g_LastPrice = 0; //newestKL.open;
}
if (nBuySell == tBuySell.Sell) //要賣，看Bid(買入價)
{
g_LastDealPrice = m_tick.m_nClose;
}
else
{
g_LastDealPrice = m_tick.m_nClose;
}
string strInventoryTyp = "INV 建倉";
if (g_CurDeposit > 0) // 加碼倉
{
strInventoryTyp = "加碼";
}
strRes = strInventoryTyp + "賣出 , ";
if (nBuySell == tBuySell.Buy)
{
strRes = strInventoryTyp + "買進 , ";
}
strRes += "時間：" + g_CurTime.ToString() + " 價格：" + g_LastDealPrice.ToString();
g_CurDeposit += numContractPerTrade;
Console.WriteLine(strRes);
}
else //平倉
{
if (nBuySell == tBuySell.Sell)
{
g_todayWinPoint += (m_tick.m_nClose - g_LastDealPrice) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
else if (nBuySell == tBuySell.Buy)
{
g_todayWinPoint += (g_LastDealPrice - m_tick.m_nClose) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
// 停損
if (g_todayWinPoint < -100)
{
bDoTrading = false;
Console.WriteLine("停損，今日停單");
}
}
}
#endregion
}