private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
if (OutputLog)
{
Console.WriteLine("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag, pTrade.Price, pTrade.Volume, pTrade.OrderRef);
}
SingleOrder order;
//找到自己发送的订单，标记成交
if (_OrderRef2Order.TryGetValue(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, pTrade.OrderRef), out order))
{
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
double Price = 0;
int Volume = 0;
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
EmitFilled(order, Price, Volume);
//完成使命了，删除
if (_trade.isEmpty())
{
_Orders4Combination.Remove(order);
}
}
}
else
{
//普通订单，直接通知即可
EmitFilled(order, pTrade.Price, pTrade.Volume);
}
}
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
}
private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
if (OutputLog)
{
Console.WriteLine("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag, pTrade.Price, pTrade.Volume, pTrade.OrderRef);
}
//将仓位计算提前，防止在OnPositionOpened中下平仓时与“C|”配合出错
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
SingleOrder order;
//找到自己发送的订单，标记成交
if (_OrderRef2Order.TryGetValue(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, pTrade.OrderRef), out order))
{
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
double Price = 0;
int Volume = 0;
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
EmitFilled(order, Price, Volume);
//完成使命了，删除
if (_trade.isEmpty())
{
_Orders4Combination.Remove(order);
}
}
}
else
{
//普通订单，直接通知即可
EmitFilled(order, pTrade.Price, pTrade.Volume);
}
}
}
private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
tdlog.Info("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6},成交编号{7}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag,
pTrade.Price, pTrade.Volume, pTrade.OrderRef, pTrade.TradeID);
//将仓位计算提前，防止在OnPositionOpened中下平仓时与“C|”配合出错
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
SingleOrder order;
//找到自己发送的订单，标记成交
string strSysID = string.Format("{0}:{1}", pTrade.ExchangeID, pTrade.OrderSysID);
string strKey;
if (!_OrderSysID2OrderRef.TryGetValue(strSysID, out strKey))
{
return;
}
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
double Price = 0;
int Volume = 0;
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
//完成使命了，删除
//if (_trade.isEmpty())
//{
// _Orders4Combination.Remove(order);
//}
}
}
else
{
//普通订单，直接通知即可
Price = pTrade.Price;
Volume = pTrade.Volume;
}
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume);
//成交完全，清理
if (LeavesQty <= 0)
{
_OrderRef2Order.Remove(strKey);
_OrderSysID2OrderRef.Remove(strSysID);
_Orders4Combination.Remove(order);
_Orders4Cancel.Remove(order);
}
}
}
private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
tdlog.Info("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6},成交编号{7}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag,
pTrade.Price, pTrade.Volume, pTrade.OrderRef, pTrade.TradeID);
//将仓位计算提前，防止在OnPositionOpened中下平仓时与“C|”配合出错
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
SingleOrder order;
//找到自己发送的订单，标记成交
string strSysID = string.Format("{0}:{1}", pTrade.ExchangeID, pTrade.OrderSysID);
string strKey;
if (!_OrderSysID2OrderRef.TryGetValue(strSysID,out strKey))
{
return;
}
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
double Price = 0;
int Volume = 0;
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
//完成使命了，删除
//if (_trade.isEmpty())
//{
// _Orders4Combination.Remove(order);
//}
}
}
else
{
//普通订单，直接通知即可
Price = pTrade.Price;
Volume = pTrade.Volume;
}
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume);
//成交完全，清理
if (LeavesQty <= 0)
{
_OrderRef2Order.Remove(strKey);
_OrderSysID2OrderRef.Remove(strSysID);
_Orders4Combination.Remove(order);
_Orders4Cancel.Remove(order);
}
}
}