public void SendOrderCancelRequest(FIXOrderCancelRequest request)
{
if (!this.isConnected)
{
this.EmitError(this.Id, -1, "The TDXTradeProvider is not connected.");
}
string origOuterOrderID = request.OrigClOrdID;
OrderRecord orderRecord = this.orders.GetRecord(origOuterOrderID, 1);
if (orderRecord == null)
{
string errorInfo = "要取消的订单没有记录。";
this.EmitError(this.Id, -1, errorInfo);
OrderCancelReject report = new OrderCancelReject();
report.TransactTime = DateTime.Now;
report.OrigClOrdID = request.OrigClOrdID;
report.ClOrdID = request.ClOrdID;
report.CxlRejReason = CxlRejReason.UnknownOrder;
report.CxlRejResponseTo = CxlRejResponseTo.CancelRequest;
report.Text = errorInfo;
report.OrdStatus = OrdStatus.Rejected;
if (OrderCancelReject != null)
{
OrderCancelReject(this, new OrderCancelRejectEventArgs(report));
}
return;
}
string origInnerOrderID = orderRecord.InnerOrderID;
ReportArgs rargs = this.trader.CancelOrder(origInnerOrderID);
if (rargs.Succeeded)
{
Thread.Sleep(1000);
this.updateOrders();
}
else
{
this.EmitError(this.Id, -1, rargs.ErrorInfo);
OrderCancelReject report = new OrderCancelReject();
report.TransactTime = DateTime.Now;
report.OrigClOrdID = request.OrigClOrdID;
report.ClOrdID = request.ClOrdID;
report.CxlRejReason = CxlRejReason.BrokerOption;
report.CxlRejResponseTo = CxlRejResponseTo.CancelRequest;
report.Text = rargs.ErrorInfo;
report.OrdStatus = OrdStatus.Rejected;
if (OrderCancelReject != null)
{
OrderCancelReject(this, new OrderCancelRejectEventArgs(report));
}
}
}
private void updateOrders()
{
if (!this.isConnected)
{
this.EmitError(this.Id, -1, "The TDXTradeProvider is not connected.");
}
lock (this.updating)
{
ReportArgs rargs = this.trader.QueryOrders();
if (rargs.Succeeded)
{
List <OrderRecord> orderRecords = (List <OrderRecord>)rargs.Result;
foreach (OrderRecord orderRecord in orderRecords)
{
bool needReport = false;
OrderRecord prevOrderRecord = this.orders.GetRecord(orderRecord.InnerOrderID, 0);
if (prevOrderRecord == null)
{
prevOrderRecord = this.orders.SearchRecord(orderRecord);
}
if (prevOrderRecord != null)
{
if (prevOrderRecord.OrderStatus != orderRecord.OrderStatus)
{
needReport = true;
}
else if (orderRecord.OrderStatus == OrderStatus.PartiallyFilled &&
prevOrderRecord.CumQty < orderRecord.CumQty)
{
needReport = true;
}
}
if (needReport)
{
ExecutionReport report = new ExecutionReport();
report.TransactTime = orderRecord.TransactTime;
switch (orderRecord.OrderStatus)
{
case OrderStatus.New:
report.ExecType = ExecType.New;
report.OrdStatus = OrdStatus.New;
break;
case OrderStatus.PartiallyFilled:
report.ExecType = ExecType.PartialFill;
report.OrdStatus = OrdStatus.PartiallyFilled;
break;
case OrderStatus.Filled:
report.ExecType = ExecType.Fill;
report.OrdStatus = OrdStatus.Filled;
break;
case OrderStatus.PendingCancel:
report.ExecType = ExecType.PendingCancel;
report.OrdStatus = OrdStatus.PendingCancel;
break;
case OrderStatus.Cancelled:
report.ExecType = ExecType.Cancelled;
report.OrdStatus = OrdStatus.Cancelled;
break;
case OrderStatus.Rejected:
report.ExecType = ExecType.Rejected;
report.OrdStatus = OrdStatus.Rejected;
break;
default:
report.ExecType = ExecType.Undefined;
report.OrdStatus = OrdStatus.Undefined;
break;
}
report.ClOrdID = prevOrderRecord.OuterOrderID;
if (orderRecord.OrderStatus == OrderStatus.PendingCancel || orderRecord.OrderStatus == OrderStatus.Cancelled)
{
report.OrigClOrdID = prevOrderRecord.OuterOrderID;
}
report.OrderQty = orderRecord.OrderQty;
report.AvgPx = orderRecord.AvgPx;
report.CumQty = orderRecord.CumQty;
report.LeavesQty = orderRecord.OrderQty - orderRecord.CumQty;
switch (orderRecord.OrderSide)
{
case (OrderSide.Buy):
report.Side = Side.Buy;
break;
case (OrderSide.Sell):
report.Side = Side.Sell;
break;
default:
report.Side = Side.Undefined;
break;
}
//计算费率
if (report.CumQty > 0)
{
report.Commission = this.commission * report.CumQty * report.AvgPx;
report.CommType = CommType.Absolute;
if (report.Commission < this.minCommission)
{
report.Commission = this.minCommission;
}
if (report.Side == Side.Sell)
{
report.Commission += this.stampDuty * report.CumQty * report.AvgPx;
}
}
if (ExecutionReport != null)
{
ExecutionReport(this, new ExecutionReportEventArgs(report));
}
prevOrderRecord.OrderStatus = orderRecord.OrderStatus;
prevOrderRecord.AvgPx = orderRecord.AvgPx;
prevOrderRecord.CumQty = orderRecord.CumQty;
}
}
}
else
{
this.EmitError(this.Id, -1, rargs.ErrorInfo);
}
}
}
public void SendOrderStatusRequest(FIXOrderStatusRequest request)
{
if (!this.isConnected)
{
this.EmitError(this.Id, -1, "The TDXTradeProvider is not connected.");
}
string outerOrderID = request.OrderID;
OrderRecord orderRecord = this.orders.GetRecord(outerOrderID, 1);
if (orderRecord == null)
{
orderRecord = new OrderRecord();
SingleOrder order = (SingleOrder)OrderManager.Orders.All[request.OrderID];
if (order != null)
{
orderRecord.TransactTime = order.TransactTime;
orderRecord.OrderQty = (long)order.OrderQty;
orderRecord.OrderPrice = order.Price;
orderRecord.SecurityID = order.SecurityID;
switch (order.OrdStatus)
{
case OrdStatus.New:
orderRecord.OrderStatus = OrderStatus.New;
break;
case OrdStatus.PartiallyFilled:
orderRecord.OrderStatus = OrderStatus.PartiallyFilled;
break;
case OrdStatus.Filled:
orderRecord.OrderStatus = OrderStatus.Filled;
break;
case OrdStatus.PendingCancel:
orderRecord.OrderStatus = OrderStatus.PendingCancel;
break;
case OrdStatus.Cancelled:
orderRecord.OrderStatus = OrderStatus.Cancelled;
break;
case OrdStatus.Rejected:
orderRecord.OrderStatus = OrderStatus.Rejected;
break;
default:
orderRecord.OrderStatus = OrderStatus.New;
break;
}
orderRecord.OuterOrderID = order.ClOrdID;
orderRecord.AvgPx = order.AvgPx;
orderRecord.CumQty = (long)order.CumQty;
switch (order.Side)
{
case (Side.Buy):
orderRecord.OrderSide = OrderSide.Buy;
break;
case (Side.Sell):
orderRecord.OrderSide = OrderSide.Sell;
break;
default:
throw new Exception("不支持的买卖指令。");
}
lock (this.orders)
{
this.orders.AddRecord(orderRecord, null, outerOrderID);
}
}
}
this.updateOrders();
}
public void SendNewOrderSingle(NewOrderSingle order)
{
if (!this.isConnected)
{
this.EmitError(this.Id, -1, "The TDXTradeProvider is not connected.");
}
try
{
Instrument curInstrument = InstrumentManager.Instruments[order.Symbol];
string securityID = curInstrument.SecurityID;
OrderSide orderSide;
switch (order.Side)
{
case Side.Buy:
orderSide = OrderSide.Buy;
break;
case Side.Sell:
orderSide = OrderSide.Sell;
break;
default:
throw new Exception("不支持的买卖指令。");
}
OrderType orderType;
switch (order.OrdType)
{
case OrdType.Market:
orderType = OrderType.CancelAfterFiveQuoteTransaction;
break;
case OrdType.Limit:
orderType = OrderType.Limit;
break;
default:
throw new Exception("不支持的订单类型");
}
ReportArgs rargs = this.trader.SendOrder(orderSide, orderType, securityID, (float)order.Price, (long)order.OrderQty);
if (rargs.Succeeded) //下单成功
{
string orderID = (string)rargs.Result; //委托编号
OrderRecord orderRecord = new OrderRecord();
orderRecord.InnerOrderID = orderID;
orderRecord.OuterOrderID = order.ClOrdID;
orderRecord.SecurityID = order.SecurityID;
orderRecord.OrderStatus = OrderStatus.New;
orderRecord.OrderSide = orderSide;
orderRecord.OrderType = orderType;
orderRecord.OrderPrice = order.Price;
orderRecord.OrderQty = (long)order.OrderQty;
orderRecord.AvgPx = 0.0;
orderRecord.CumQty = 0;
orderRecord.TransactTime = Clock.Now;
lock (this.orders)
{
this.orders.AddRecord(orderRecord, orderID, order.ClOrdID);
}
ExecutionReport report = new ExecutionReport();
report.TransactTime = orderRecord.TransactTime;
report.ExecType = ExecType.New;
report.ClOrdID = order.ClOrdID;
report.OrdStatus = OrdStatus.New;
report.AvgPx = 0.0;
report.CumQty = 0;
report.OrderQty = order.OrderQty;
report.Price = order.Price;
report.LeavesQty = order.OrderQty;
report.Side = order.Side;
if (order.OrdType == OrdType.Limit)
{
report.TimeInForce = TimeInForce.Day;//强制限价单为当日有效
}
if (ExecutionReport != null)
{
ExecutionReport(this, new ExecutionReportEventArgs(report));
}
Thread.Sleep(1000);
this.updateOrders();
}
else//下单失败
{
this.EmitError(this.Id, -1, rargs.ErrorInfo);
ExecutionReport report = new ExecutionReport();
report.TransactTime = DateTime.Now;
report.ExecType = ExecType.Rejected;
report.ClOrdID = order.ClOrdID;
report.OrdStatus = OrdStatus.Rejected;
report.AvgPx = 0.0;
report.CumQty = 0;
report.OrderQty = order.OrderQty;
report.Price = order.Price;
report.LeavesQty = order.OrderQty;
report.Side = order.Side;
report.Text = rargs.ErrorInfo;
if (ExecutionReport != null)
{
ExecutionReport(this, new ExecutionReportEventArgs(report));
}
}
}catch (Exception ex)
{
this.EmitError(this.Id, -1, ex.Message);
}
}
public ReportArgs QueryOrders()
{
ReportArgs reportArgs = new ReportArgs();
if (this.clientID != -1)
{
StringBuilder errInfo = new StringBuilder(256);
StringBuilder result = new StringBuilder(1024 * 1024);
TDXWrapper.QueryData(this.clientID, 2, result, errInfo);
if (errInfo.ToString() != string.Empty)//查询失败
{
reportArgs.Succeeded = false;
reportArgs.ErrorInfo = errInfo.ToString();
}
else//查询成功
{
List <string[]> data = this.pickUp(result);
reportArgs.Succeeded = true;
List <OrderRecord> resultList = new List <OrderRecord>();
string dateString = DateTime.Today.ToString("yyyy-MM-dd");
for (int i = 1; i < data.Count; i++)
{
OrderRecord orderRecord = new OrderRecord();
orderRecord.TransactTime = DateTime.Parse(dateString + " " + data[i][0]);
orderRecord.SecurityID = data[i][1];
orderRecord.OrderSide = (OrderSide)int.Parse(data[i][3]);
switch (data[i][6])
{
case "待报":
orderRecord.OrderStatus = OrderStatus.PendingNew;
break;
case "已报":
orderRecord.OrderStatus = OrderStatus.New;
break;
case "部分成交":
orderRecord.OrderStatus = OrderStatus.PartiallyFilled;
break;
case "已成":
orderRecord.OrderStatus = OrderStatus.Filled;
break;
case "已报待撤":
orderRecord.OrderStatus = OrderStatus.PendingCancel;
break;
case "已撤":
orderRecord.OrderStatus = OrderStatus.Cancelled;
break;
default:
orderRecord.OrderStatus = OrderStatus.Rejected;
break;
}
orderRecord.OrderPrice = double.Parse(data[i][7]);
orderRecord.OrderQty = double.Parse(data[i][8]);
orderRecord.InnerOrderID = data[i][9];
orderRecord.AvgPx = double.Parse(data[i][10]);
orderRecord.CumQty = double.Parse(data[i][11]);
orderRecord.OrderType = (OrderType)int.Parse(data[i][12]);
resultList.Add(orderRecord);
}
reportArgs.Result = resultList;
}
}
else
{
reportArgs.Succeeded = false;
reportArgs.ErrorInfo = "交易账号未登录.";
}
return(reportArgs);
}