/// <summary>
/// 委托回报变更。
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void OrderDriver_OnOrderBookChanged(object sender, USeOrderBookChangedEventArgs e)
{
try
{
OrderBookUpdateResult result = null;
lock (m_syncObj)
{
result = m_arbitrageOrder.UpdateOrderBook(e.OrderBook);
if (result != null)
{
result.Task.UpdateTaskState();
m_arbitrageOrder.UpdataArbitrageOrderState();
m_operatorEvent.Set();
}
}
if (result != null)
{
//委托更新触发流程监控运行
m_operatorEvent.Set();
SafeFireArbitrageOrderChanged();
AutoTraderNotice tradeNotice = result.CreateNotice(this.TraderIdentify, this.Alias);
if (tradeNotice != null)
{
SafeFireAutoTraderNotice(tradeNotice);
}
}
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
}
}
/// <summary>
/// 更新委托回报。
/// </summary>
/// <param name="orderBook">委托回报。</param>
/// <returns>更新委托回报条数。</returns>
public OrderBookUpdateResult UpdateOrderBook(USeOrderBook orderBook)
{
OrderBookUpdateResult result = m_firstSubTask.UpdateOrderBook(orderBook);
if (result != null)
{
return(result);
}
result = m_secondSubTask.UpdateOrderBook(orderBook);
return(result);
}
private OrderBookUpdateResult GetOrderBookUpdateResult(USeOrderBook oldOrderBook, USeOrderBook newOrderBook)
{
OrderBookUpdateResult result = new OrderBookUpdateResult()
{
TradeQty = newOrderBook.TradeQty - oldOrderBook.TradeQty,
CancelQty = newOrderBook.CancelQty - oldOrderBook.CancelQty,
BlankQty = newOrderBook.BlankQty - oldOrderBook.BlankQty
};
return(result);
}
/// <summary>
/// 更新委托回报。
/// </summary>
/// <param name="orderBook">委托回报。</param>
/// <returns>更新委托回报条数。</returns>
public OrderBookUpdateResult UpdateOrderBook(USeOrderBook orderBook)
{
for (int i = 0; i < m_orderBookList.Count; i++)
{
USeOrderBook orderBookItem = m_orderBookList[i];
if (orderBookItem.OrderNum.Equals(orderBook.OrderNum))
{
OrderBookUpdateResult result = GetOrderBookUpdateResult(m_orderBookList[i], orderBook);
m_orderBookList[i] = orderBook.Clone();
return(result);
}
}
return(null);
}
/// <summary>
/// 更新委托回报。
/// </summary>
/// <param name="orderBook">委托回报。</param>
/// <returns>影响的任务。</returns>
public OrderBookUpdateResult UpdateOrderBook(USeOrderBook orderBook)
{
OrderBookUpdateResult result = m_openTaskGroup.UpdateOrderBook(orderBook);
if (result != null)
{
return(result);
}
result = m_closeTaskGroup.UpdateOrderBook(orderBook);
if (result != null)
{
return(result);
}
return(null);
}
/// <summary>
/// 更新委托回报。
/// </summary>
/// <param name="orderBook">委托回报。</param>
public OrderBookUpdateResult UpdateOrderBook(USeOrderBook orderBook)
{
foreach (ArbitrageTask task in m_taskList)
{
if (task.ContainsOrderBook(orderBook.OrderNum))
{
OrderBookUpdateResult result = task.UpdateOrderBook(orderBook);
Debug.Assert(result != null);
if (result != null)
{
result.Task = task;
return(result);
}
}
}
return(null);
}
/// <summary>
/// 检查套利单是否有异常委托。
/// </summary>
/// <remarks>
/// 1.非今日的历史委托回报未结束，无法更新，列入异常套利单
/// </remarks>
private ErrorArbitrageOrder CheckErrorArbitrageOrder(USeArbitrageOrder arbitrageOrder)
{
ErrorArbitrageOrder errorArbitrageOrder = new ErrorArbitrageOrder();
errorArbitrageOrder.ArbitrageOrder = arbitrageOrder;
List <ErrorUSeOrderBook> errorBookList = new List <ErrorUSeOrderBook>();
if (arbitrageOrder.HasUnFinishOrderBook == false)
{
return(errorArbitrageOrder);
}
List <USeOrderBook> unFinishOrderBookList = arbitrageOrder.GetAllUnfinishOrderBooks();
Debug.Assert(unFinishOrderBookList != null && unFinishOrderBookList.Count > 0);
foreach (USeOrderBook orderBook in unFinishOrderBookList)
{
USeOrderBook newOrderBook = m_orderDriver.QueryOrderBook(orderBook.OrderNum);
if (newOrderBook != null)
{
OrderBookUpdateResult updateResult = arbitrageOrder.UpdateOrderBook(newOrderBook);
updateResult.Task.UpdateTaskState();
arbitrageOrder.UpdataArbitrageOrderState();
errorArbitrageOrder.HasChanged = true;
}
else
{
ErrorUSeOrderBook errorOrderBook = new ErrorUSeOrderBook()
{
TradeIdentify = arbitrageOrder.TraderIdentify,
Alias = arbitrageOrder.Alias,
OrderBook = orderBook.Clone()
};
errorBookList.Add(errorOrderBook);
}
}
errorArbitrageOrder.ErrorOrderBooks = errorBookList;
return(errorArbitrageOrder);
}
/// <summary>
/// 处理异常委托单。
/// </summary>
/// <returns></returns>
private bool PorcessErrorOrderBook()
{
//m_checkErrorOrderBook = true;
//return true;
string text = string.Empty;
try
{
//1.读取所有未完成套利单信息
List <USeArbitrageOrder> arbitrageOrderList = m_dataAccessor.GetUnfinishArbitrageOrders(m_loginUser.BrokerId, m_loginUser.Account);
text = string.Format("读取[{0}]所有未完成套利单信息成功,共计{1}个套利单", m_loginUser, arbitrageOrderList.Count);
m_eventLogger.WriteInformation(text);
//2.检查是否有异常套利单
Dictionary <Guid, ErrorArbitrageOrder> errorArbitrageOrderDic = new Dictionary <Guid, ErrorArbitrageOrder>();
List <ErrorUSeOrderBook> errorOrderBookList = new List <ErrorUSeOrderBook>();
foreach (USeArbitrageOrder arbitrageOrder in arbitrageOrderList)
{
ErrorArbitrageOrder errorArbitrageOrder = CheckErrorArbitrageOrder(arbitrageOrder);
if (errorArbitrageOrder.HasError)
{
errorArbitrageOrderDic.Add(arbitrageOrder.TraderIdentify, errorArbitrageOrder);
errorOrderBookList.AddRange(errorArbitrageOrder.ErrorOrderBooks);
}
if (errorArbitrageOrder.HasChanged)
{
//有变更先记录到文件
m_dataAccessor.SaveUSeArbitrageOrder(errorArbitrageOrder.ArbitrageOrder);
}
}
text = string.Format("[{0}]有{1}个异常套利单共计{2}条委托回报需人工介入",
m_loginUser, errorArbitrageOrderDic.Count, errorOrderBookList.Count);
m_eventLogger.WriteError(text);
//3.人工处理异常套利单
if (errorOrderBookList.Count > 0)
{
ErrorOrderBookProcessForm errorOrderBookForm = new ErrorOrderBookProcessForm(errorOrderBookList);
if (DialogResult.Yes != errorOrderBookForm.ShowDialog())
{
return(false);
}
List <ErrorUSeOrderBook> checkBookList = errorOrderBookForm.Result;
Debug.Assert(checkBookList.Count == errorOrderBookList.Count);
foreach (ErrorUSeOrderBook checkOrderBook in checkBookList)
{
Debug.Assert(checkOrderBook.OrderBook.IsFinish);
ErrorArbitrageOrder errorArbitrageOrder = null;
if (errorArbitrageOrderDic.TryGetValue(checkOrderBook.TradeIdentify, out errorArbitrageOrder) == false)
{
Debug.Assert(false);
continue;
}
OrderBookUpdateResult updateResult = errorArbitrageOrder.ArbitrageOrder.UpdateOrderBook(checkOrderBook.OrderBook);
Debug.Assert(updateResult != null);
if (updateResult != null)
{
updateResult.Task.UpdateTaskState();
errorArbitrageOrder.ArbitrageOrder.UpdataArbitrageOrderState();
}
}
foreach (ErrorArbitrageOrder errorArbitageOrder in errorArbitrageOrderDic.Values)
{
m_dataAccessor.SaveUSeArbitrageOrder(errorArbitageOrder.ArbitrageOrder);
}
}
m_checkErrorOrderBook = true;
return(true);
}
catch (Exception ex)
{
text = "异常单处理失败," + ex.Message;
m_eventLogger.WriteError(text);
throw new ApplicationException(text);
}
}
