public void Process(DualPosition dualPosition,OrderBook_BothSide_Size bothSideOrderBook)
{
// 防自成交
if (bothSideOrderBook.Buy.Count > 0)
{
int level = bothSideOrderBook.Buy.grid.Keys[0];
foreach (var a in dualPosition.Sell.grid)
{
if (level >= a.Key)
{
dualPosition.Sell.Cancel(a.Value);
}
}
}
// 上一步有计数，如果没有运行，进行下一步，看挂单数是否对上
if (bothSideOrderBook.Buy.Count > 0)
{
foreach(var b in bothSideOrderBook.Buy.grid)
{
int level = b.Key;
double size = b.Value;
HashSet<Order> set = dualPosition.Sell.grid[level];
}
}
}
public override void OnStrategyStart()
{
base.OnStrategyStart();
TargetOrderBook = new OrderBook_BothSide_Size();
TargetOrderBook.Sell.PriceHelper = base.PriceHelper;
TargetOrderBook.Buy.PriceHelper = base.PriceHelper;
TextParameterAsk = new TextCommon() { OpenClose = EnumOpenClose.OPEN };
TextParameterBid = new TextCommon() { OpenClose = EnumOpenClose.OPEN };
}
public override void OnStrategyStart()
{
TimeHelper = new TimeHelper(EnumTradingTime.COMMODITY);
PriceHelper = new PriceHelper(Instrument.TickSize);
TargetOrderBook = new OrderBook_BothSide_Size();
DualPosition = new DualPosition();
DualPosition.Sell.PriceHelper = PriceHelper;
DualPosition.Buy.PriceHelper = PriceHelper;
// 测试代码
//TargetPosition = 3;
DualPosition.Long.Qty = 0;
DualPosition.Short.Qty = 0;
}
public override void OnStrategyStart()
{
TargetOrderBook = new OrderBook_BothSide_Size();
}