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;
}
}
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;
}
}
// 取得未平倉部位資訊
void OnOverseaFutureOpenInterest(string strData)
{
//"OSE,大阪證券交易所,F0200001709003,JNM 201503,mini大阪日經 201503,B,1,18835.00000,18815.0000,18630.00000,2000.00"
// string strtest = "OSE,大阪證券交易所,F0200001709003,JNM 201503,mini大阪日經 201503,B,1,18835.00000,18815.0000,18630.00000,2000.00";
if (JNAutoDayTrade_Strategy.ContainStr(strData, "OSE,"))
{
string[] stspl = strData.Split(',');
bool btradePositive = stspl[5].Equals("B");
int invCnt = int.Parse(stspl[6]);
int lastDealPrice = int.Parse(stspl[8].Split('.')[0]);
dayTradeSt.g_LastDealPrice = lastDealPrice;
dayTradeSt.g_CurDeposit = invCnt;
dayTradeSt.g_b1MinTradePositive = btradePositive;
// 建立倉位價格配對表
for (int k = 0; k < invCnt; k++)
{
TradeInOutPrice inout = new TradeInOutPrice();
inout.In = lastDealPrice;
inout.Out = 0;
dayTradeSt.inOutPriceList.Add(inout);
}
}
}