void quote_OnRtnTick(object sender, TickEventArgs e)
{
}
// 行情触发
void _q_OnRtnTick(object sender, TickEventArgs e)
{
if (_time == new TimeSpan(0, 0, 0))
{
_time = TimeSpan.Parse(e.Tick.UpdateTime);
_watch.Restart();
}
if (!_timer.Enabled)
{
_q.OnRtnTick -= _q_OnRtnTick;
return;
}
TimeSpan now = _time.Add(_watch.Elapsed);
//时间过滤
if (_noTouch1 && now >= _noTouchT1 && now <= _noTouchT1_2)
return;
if (_noTouch2 && now >= _noTouchT2 && now <= _noTouchT2_2)
return;
foreach (Stra stra in _dicStra.Values)
{
if (stra.Instrument1 != e.Tick.InstrumentID && stra.Instrument2 != e.Tick.InstrumentID)
continue;
if (stra.Status != ArbStatus.NotTouch)
continue;
InstrumentField instField1, instField2;
if (!_t.DicInstrumentField.TryGetValue(stra.Instrument1, out instField1))
continue;
if (!_t.DicInstrumentField.TryGetValue(stra.Instrument2, out instField2))
continue;
//交易时段过滤
ExchangeStatusType excStatus;
if (!_t.DicExcStatus.TryGetValue(instField1.ProductID, out excStatus) || excStatus != ExchangeStatusType.Trading)
continue;
if (!_t.DicExcStatus.TryGetValue(instField2.ProductID, out excStatus) || excStatus != ExchangeStatusType.Trading)
continue;
MarketData t1, t2;
if (!_q.DicTick.TryGetValue(stra.Instrument1, out t1))
continue;
if (!_q.DicTick.TryGetValue(stra.Instrument2, out t2))
continue;
double ask = t1.AskPrice * stra.Rate1 - t2.BidPrice * stra.Rate2;
double bid = t1.BidPrice * stra.Rate1 - t2.AskPrice * stra.Rate2;
if (stra.Status != ArbStatus.NotTouch)
continue; //防止重复发单(两个合约数据同时到达)
//是否启动过滤
if (_listStarted.IndexOf(stra.StraID) < 0)
continue;
if (stra.Direction == DirectionType.Buy)
{
//if (bid <= stra.Price)
if ((stra.IsMarket ? ask : bid) <= stra.Price)
{
stra.Status = ArbStatus.Normal;
_queueModifiedStra.Enqueue(new Tuple<Stra, string>(stra, "Status")); //用于刷新
if (stra.IsMarket)// && ask <= stra.Price)
{
if (instField1.ExchangeID == "SHFE")
_t.ReqOrderInsert(stra.Instrument1, DirectionType.Buy, stra.Offset, t1.UpperLimitPrice, stra.Volume1, pCustom: stra.StraID);
else
_t.ReqOrderInsert(stra.Instrument1, DirectionType.Buy, stra.Offset, t1.AskPrice, stra.Volume1, pType: OrderType.Market, pCustom: stra.StraID);
if (instField2.ExchangeID == "SHFE")
_t.ReqOrderInsert(stra.Instrument2, DirectionType.Sell, stra.Offset, t2.LowerLimitPrice, stra.Volume2, pCustom: stra.StraID);
else
_t.ReqOrderInsert(stra.Instrument2, DirectionType.Sell, stra.Offset, t2.BidPrice, stra.Volume2, pType: OrderType.Market, pCustom: stra.StraID);
}
else //挂价
{
_t.ReqOrderInsert(stra.Instrument1, DirectionType.Buy, stra.Offset, t1.BidPrice, stra.Volume1, pCustom: stra.StraID);
_t.ReqOrderInsert(stra.Instrument2, DirectionType.Sell, stra.Offset, t2.AskPrice, stra.Volume2, pCustom: stra.StraID);
}
}
}
else if (stra.Direction == DirectionType.Sell)
{
//if (ask >= stra.Price)
if ((stra.IsMarket ? bid : ask) >= stra.Price)
{
stra.Status = ArbStatus.Normal;
_queueModifiedStra.Enqueue(new Tuple<Stra, string>(stra, "Status")); //用于刷新
if (stra.IsMarket)// && bid >= stra.Price)
{
if (instField1.ExchangeID == "SHFE")
_t.ReqOrderInsert(stra.Instrument1, DirectionType.Sell, stra.Offset, t1.LowerLimitPrice, stra.Volume1, pCustom: stra.StraID);
else
_t.ReqOrderInsert(stra.Instrument1, DirectionType.Sell, stra.Offset, t1.BidPrice, stra.Volume1, pType: OrderType.Market, pCustom: stra.StraID);
if (instField2.ExchangeID == "SHFE")
_t.ReqOrderInsert(stra.Instrument2, DirectionType.Buy, stra.Offset, t2.UpperLimitPrice, stra.Volume2, pCustom: stra.StraID);
else
_t.ReqOrderInsert(stra.Instrument2, DirectionType.Buy, stra.Offset, t2.AskPrice, stra.Volume2, pType: OrderType.Market, pCustom: stra.StraID);
}
else
{
_t.ReqOrderInsert(stra.Instrument1, DirectionType.Sell, stra.Offset, t1.AskPrice, stra.Volume1, pCustom: stra.StraID);
_t.ReqOrderInsert(stra.Instrument2, DirectionType.Buy, stra.Offset, t2.BidPrice, stra.Volume2, pCustom: stra.StraID);
}
}
}
}
}
