/// <summary>
/// 修改-下单参数
/// </summary>
/// <param name="argument"></param>
public ArbitrageOrderCreateForm(ArbitrageArgument argument, USeProduct product)
{
InitializeComponent();
m_product = product;
m_arbitrageArgument = argument;
}
/// <summary>
/// 更新套利单信息。
/// </summary>
private void ShowArbitrageOrderView()
{
if (m_arbitrageOrder == null)
{
ClearView();
return;
}
ArbitrageArgument argument = m_arbitrageOrder.Argument;
if (argument != null && argument.OpenArg != null)
{
this.lblOpenPriceSpread.Text = argument.OpenArg.OpenCondition.ToString();
}
else
{
this.lblOpenPriceSpread.Text = "----";
}
if (argument != null && argument.CloseArg != null)
{
this.lblClosePriceSpread.Text = argument.CloseArg.CloseCondition.ToString();
}
else
{
this.lblClosePriceSpread.Text = "----";
}
if (argument != null && argument.StopLossArg != null)
{
this.lblStopLossPriceSpread.Text = argument.StopLossArg.StopLossCondition.ToString();
}
else
{
this.lblStopLossPriceSpread.Text = "----";
}
switch (m_arbitrageOrder.State)
{
case ArbitrageOrderState.None:
case ArbitrageOrderState.Opening:
case ArbitrageOrderState.Opened:
ShowOpenInfo(m_arbitrageOrder);
break;
case ArbitrageOrderState.Closeing:
case ArbitrageOrderState.Closed:
case ArbitrageOrderState.Finish:
ShowCloseInfo(m_arbitrageOrder);
break;
default:
Debug.Assert(false);
break;
}
this.lblArbitrageOrderState.Text = m_arbitrageOrder.State.ToDescription();
}
private void SetArbitrageArgument()
{
ArbitrageArgument argument = m_autoTrader.GetArgument();
Debug.Assert(argument != null);
USeProduct product = USeManager.Instance.OrderDriver.QueryProduct(argument.ProductID);
Debug.Assert(product != null);
ArbitrageOrderCreateForm form = new ArbitrageOrderCreateForm(argument, product);
form.ShowDialog();
}
/// <summary>
/// 设置前套利参数用于修改
/// </summary>
private void SetArbitrageArgument(ArbitrageArgument arg)
{
this.arbitrageOperationSideControl.OperationSide = arg.OperationSide;
//开仓参数参数
if (arg.OpenArg != null)
{
ArbitrageOpenArgument openArg = arg.OpenArg;
this.preferentialSideControl_OpenArg.PreferentialSide = openArg.PreferentialSide;
this.orderPriceTypeControl_OpenNearArg.OrderPriceType = openArg.NearOrderPriceType;
this.orderPriceTypeControl_OpenFarArg.OrderPriceType = openArg.FarOrderPriceType;
this.priceSpreadSideControl_OpenSpreadArg.PriceSpreadSide = openArg.OpenCondition.PriceSpreadSide;
this.nudPriceSpreadThreshold_OpenArg.Value = openArg.OpenCondition.PriceSpreadThreshold;
this.nudDifferentialUnit_OpenArg.Value = openArg.DifferentialUnit;
this.nudOrderQtyUint_OpenArg.Value = openArg.OrderQtyUint;
this.nudTotalOrderQty_OpenArg.Value = openArg.TotalOrderQty;
}
//平仓参数
if (arg.CloseArg != null)
{
ArbitrageCloseArgument closeArg = arg.CloseArg;
this.orderPriceTypeControl_CloseNearArg.OrderPriceType = closeArg.NearOrderPriceType;
this.orderPriceTypeControl_CloseFarArg.OrderPriceType = closeArg.FarOrderPriceType;
this.preferentialSideControl_CloseArg.PreferentialSide = closeArg.PreferentialSide;
this.priceSpreadSideControl_CloseSpreadArg.PriceSpreadSide = closeArg.CloseCondition.PriceSpreadSide;
this.nudPriceSpreadThreshold_CloseArg.Value = closeArg.CloseCondition.PriceSpreadThreshold;
this.nudDifferentialUnit_CloseArg.Value = closeArg.DifferentialUnit;
this.nudOrderQtyUint_CloseArg.Value = closeArg.OrderQtyUint;
}
//止损参数
if (arg.StopLossArg != null)
{
this.priceSpreadSideControl_StopLossArg.PriceSpreadSide = arg.StopLossArg.StopLossCondition.PriceSpreadSide;
this.nudPriceSpreadThreshold_StopLossArg.Value = arg.StopLossArg.StopLossCondition.PriceSpreadThreshold;
}
//预警参数
if (arg.AlarmArgs != null)
{
foreach (ArbitrageAlarmArgument alarmArg in arg.AlarmArgs)
{
m_dataSourceAlarm.Add(ArbitrageAlarmArgumentViewModel.CreatViewModel(alarmArg));
}
}
}
/// <summary>
/// 创建新的套利订单。
/// </summary>
/// <param name="argument">套利单参数。</param>
/// <param name="currentInvestor">当前投资者帐号。</param>
public AutoTrader CreateNewAutoTrader(ArbitrageArgument argument, InvestorAccount currentInvestor)
{
Guid traderIdentify = CreateNewAutoTraderIdentify();
int aliasNum = CreateNewAutoTraderAliasNum();
USeArbitrageOrder arbitrageOrder = new USeArbitrageOrder();
arbitrageOrder.TraderIdentify = traderIdentify;
arbitrageOrder.AliasNum = aliasNum;
arbitrageOrder.State = ArbitrageOrderState.None;
arbitrageOrder.BrokerId = currentInvestor.BrokerId;
arbitrageOrder.Account = currentInvestor.Account;
arbitrageOrder.Argument = argument.Clone();
arbitrageOrder.CreateTime = DateTime.Now;
TaskOrderSetting taskOrderSetting = m_systemConfigManager.GetTaskOrderSetting();
//任务组待开仓或者平仓时在创建
AutoTrader trader = new AutoTrader();
trader.SetRecordLogger(USeManager.Instance.CommandLogger);
trader.SetTryOrderCondition(taskOrderSetting.TaskMaxTryCount, taskOrderSetting.TryOrderMinInterval);
trader.Initialize(arbitrageOrder, m_orderDriver, m_quoteDriver, m_alarmManager);
trader.OnNotify += AutoTrader_OnNotify;
trader.OnAlarm += AutoTrader_OnAlarm;
trader.OnArbitrageOrderChanged += AutoTrader_OnArbitrageOrderChanged;
trader.OnStateChanged += AutoTrader_OnStateChanged;
lock (m_syncObj)
{
m_autoTraderDic.Add(traderIdentify, trader);
}
SafeFireAddAutoTrader(traderIdentify);
string text = "创建套利单成功";
AutoTraderNotice notice = new AutoTraderNotice(trader.TraderIdentify, trader.Alias, AutoTraderNoticeType.Infomation, text);
SafeFireAutoTraderNotice(notice);
trader.WriteTraderNoticeLog(notice);
return(trader);
}
/// <summary>
/// 设定平仓参数。
/// </summary>
/// <param name="closeArg">平仓参数。</param>
public void ModifyArbitrageArgument(ArbitrageArgument argument)
{
CheckBackgroundWorker("修改套利单参数");
lock (m_syncObj)
{
if (m_arbitrageOrder.State >= ArbitrageOrderState.Closeing)
{
throw new Exception(string.Format("{0}为{1}状态,不能修改套利单参数", this, this.ArbitrageOrderState.ToDescription()));
}
string errorMessage = string.Empty;
if (VerfiyArbitrageArgument(argument, out errorMessage) == false)
{
string text = string.Format("{0}修改套利单参数失败,{1}", this, errorMessage);
throw new ArgumentException(text);
}
//[yangming]更新能修改的参数
m_arbitrageOrder.Argument = argument.Clone();
//m_arbitrageOrder.CloseArgument = closeArg.Clone();
}
}
/// <summary>
/// 校验平仓运行参数。
/// </summary>
/// <param name="errorMessage">错误信息。</param>
/// <returns></returns>
private bool VerfiyArbitrageArgument(ArbitrageArgument argument, out string errorMessage)
{
//[yangming]待补充
Debug.Assert(argument != null);
errorMessage = string.Empty;
//if (argument.BuyInstrument == null)
//{
// errorMessage = "买入合约不能为空";
// return false;
//}
//if (argument.SellInstrument == null)
//{
// errorMessage = "卖出合约不能为空";
// return false;
//}
//if (argument.OrderQtyUint <= 0)
//{
// errorMessage = "下单单位不能为空";
// return false;
//}
return(true);
}
/// <summary>
/// 创建平仓任务组。
/// </summary>
/// <param name="openTaskGroup">开仓任务组。</param>
/// <param name="closeArg">平仓参数。</param>
/// <returns></returns>
private ArbitrageTaskGroup CreateCloseTaskGroup(ArbitrageTaskGroup openTaskGroup, ArbitrageArgument argument)
{
ArbitrageCloseArgument closeArg = argument.CloseArg;
Debug.Assert(openTaskGroup.BuyInstrument == closeArg.SellInstrument);
Debug.Assert(openTaskGroup.SellInstrument == closeArg.BuyInstrument);
int buyPosition = openTaskGroup.SellSubTaskTradeQty; // 平仓买入量 = 开仓卖出量
int sellPosition = openTaskGroup.BuySubTaskTradeQty; // 平仓卖出量 = 开仓买入量
USeInstrument firstInstrument = null;
USeInstrument secondInstrument = null;
USeOrderSide firstOrderSide = USeOrderSide.Buy;
USeOrderSide secondOrderSide = USeOrderSide.Sell;
ArbitrageOrderPriceType firstOrderPriceType = ArbitrageOrderPriceType.Unknown;
ArbitrageOrderPriceType secondOrderPriceType = ArbitrageOrderPriceType.Unknown;
int firstPosition = 0;
int secondPosition = 0;
if (closeArg.PreferentialSide == USeOrderSide.Buy)
{
//优先买入
firstInstrument = closeArg.BuyInstrument;
firstOrderSide = USeOrderSide.Buy;
firstOrderPriceType = closeArg.BuyInstrumentOrderPriceType;
secondInstrument = closeArg.SellInstrument;
secondOrderSide = USeOrderSide.Sell;
secondOrderPriceType = closeArg.SellInstrumentOrderPriceType;
firstPosition = buyPosition;
secondPosition = sellPosition;
}
else if (closeArg.PreferentialSide == USeOrderSide.Sell)
{
//优先卖出
firstInstrument = closeArg.SellInstrument;
firstOrderSide = USeOrderSide.Sell;
firstOrderPriceType = closeArg.SellInstrumentOrderPriceType;
secondInstrument = closeArg.BuyInstrument;
secondOrderSide = USeOrderSide.Buy;
secondOrderPriceType = closeArg.BuyInstrumentOrderPriceType;
firstPosition = sellPosition;
secondPosition = buyPosition;
}
else
{
Debug.Assert(false);
}
Debug.Assert(closeArg.OrderQtyUint > 0);
int maxPositon = Math.Max(buyPosition, sellPosition);
int taskCount = maxPositon / closeArg.OrderQtyUint;
if ((maxPositon % closeArg.OrderQtyUint) > 0)
{
taskCount += 1;
}
#region 构造任务组
ArbitrageTaskGroup taskGroup = new ArbitrageTaskGroup();
taskGroup.OpenCloseType = OpenCloseType.Close;
taskGroup.BuyInstrument = closeArg.BuyInstrument;
taskGroup.SellInstrument = closeArg.SellInstrument;
taskGroup.BuyInstrumentOrderPriceType = closeArg.BuyInstrumentOrderPriceType;
taskGroup.SellInstrumentOrderPriceType = closeArg.SellInstrumentOrderPriceType;
taskGroup.OperationSide = argument.OperationSide.GetOppositeSide();
taskGroup.PreferentialSide = closeArg.PreferentialSide;
List <ArbitrageTask> taskList = new List <ArbitrageTask>();
int remainFirstPlanQty = firstPosition;
int remainSecondPlanQty = secondPosition;
for (int i = 1; i <= taskCount; i++)
{
int firstPlanOrderQty = Math.Min(closeArg.OrderQtyUint, remainFirstPlanQty);
remainFirstPlanQty -= firstPlanOrderQty;
int secondPlanOrderQty = Math.Min(closeArg.OrderQtyUint, remainSecondPlanQty);
remainSecondPlanQty -= secondPlanOrderQty;
ArbitrageTask task = new ArbitrageTask();
task.TaskId = i;
task.TaskState = ArbitrageTaskState.None;
ArbitrageSubTask firstSubTask = new ArbitrageSubTask()
{
Instrument = firstInstrument,
OrderPriceType = firstOrderPriceType,
OrderSide = firstOrderSide,
PlanOrderQty = firstPlanOrderQty,
OffsetType = USeOffsetType.Close,
};
ArbitrageSubTask secondSubTask = new ArbitrageSubTask()
{
Instrument = secondInstrument,
OrderPriceType = secondOrderPriceType,
OrderSide = secondOrderSide,
PlanOrderQty = secondPlanOrderQty,
OffsetType = USeOffsetType.Close
};
task.FirstSubTask = firstSubTask;
task.SecondSubTask = secondSubTask;
taskList.Add(task);
}
Debug.Assert(remainFirstPlanQty == 0);
Debug.Assert(remainSecondPlanQty == 0);
taskGroup.TaskList = taskList;
#endregion
return(taskGroup);
}
/// <summary>
/// 创建开仓任务组。
/// </summary>
/// <param name="openArg">开仓参数。</param>
/// <returns></returns>
private static ArbitrageTaskGroup CreateOpenTaskGroup(ArbitrageArgument argument)
{
ArbitrageOpenArgument openArg = argument.OpenArg;
USeInstrument firstInstrument = null;
USeInstrument secondInstrument = null;
USeOrderSide firstOrderSide = USeOrderSide.Buy;
USeOrderSide secondOrderSide = USeOrderSide.Sell;
ArbitrageOrderPriceType firstOrderPriceType = ArbitrageOrderPriceType.Unknown;
ArbitrageOrderPriceType secondOrderPriceType = ArbitrageOrderPriceType.Unknown;
if (openArg.PreferentialSide == USeOrderSide.Buy)
{
//优先买入
firstInstrument = openArg.BuyInstrument;
firstOrderSide = USeOrderSide.Buy;
firstOrderPriceType = openArg.BuyInstrumentOrderPriceType;
secondInstrument = openArg.SellInstrument;
secondOrderSide = USeOrderSide.Sell;
secondOrderPriceType = openArg.SellInstrumentOrderPriceType;
}
else if (openArg.PreferentialSide == USeOrderSide.Sell)
{
//优先卖出
firstInstrument = openArg.SellInstrument;
firstOrderSide = USeOrderSide.Sell;
firstOrderPriceType = openArg.SellInstrumentOrderPriceType;
secondInstrument = openArg.BuyInstrument;
secondOrderSide = USeOrderSide.Buy;
secondOrderPriceType = openArg.BuyInstrumentOrderPriceType;
}
else
{
Debug.Assert(false);
}
Debug.Assert(openArg.OrderQtyUint > 0);
int taskCount = openArg.TotalOrderQty / openArg.OrderQtyUint;
if ((openArg.TotalOrderQty % openArg.OrderQtyUint) > 0)
{
taskCount += 1;
}
#region 构造任务组
ArbitrageTaskGroup taskGroup = new ArbitrageTaskGroup();
taskGroup.OpenCloseType = OpenCloseType.Open;
taskGroup.BuyInstrument = openArg.BuyInstrument;
taskGroup.SellInstrument = openArg.SellInstrument;
taskGroup.BuyInstrumentOrderPriceType = openArg.BuyInstrumentOrderPriceType;
taskGroup.SellInstrumentOrderPriceType = openArg.SellInstrumentOrderPriceType;
taskGroup.OperationSide = argument.OperationSide;
taskGroup.PreferentialSide = openArg.PreferentialSide;
List <ArbitrageTask> taskList = new List <ArbitrageTask>();
int remainPlanQty = openArg.TotalOrderQty;
for (int i = 1; i <= taskCount; i++)
{
int planOrderQty = Math.Min(openArg.OrderQtyUint, remainPlanQty);
Debug.Assert(planOrderQty > 0 && planOrderQty <= openArg.OrderQtyUint);
remainPlanQty -= planOrderQty;
ArbitrageTask task = new ArbitrageTask();
task.TaskId = i;
task.TaskState = ArbitrageTaskState.None;
ArbitrageSubTask firstSubTask = new ArbitrageSubTask()
{
Instrument = firstInstrument,
OrderPriceType = firstOrderPriceType,
OrderSide = firstOrderSide,
PlanOrderQty = planOrderQty,
OffsetType = USeOffsetType.Open,
};
ArbitrageSubTask secondSubTask = new ArbitrageSubTask()
{
Instrument = secondInstrument,
OrderPriceType = secondOrderPriceType,
OrderSide = secondOrderSide,
PlanOrderQty = planOrderQty,
OffsetType = USeOffsetType.Open
};
task.FirstSubTask = firstSubTask;
task.SecondSubTask = secondSubTask;
taskList.Add(task);
}
Debug.Assert(remainPlanQty == 0);
taskGroup.TaskList = taskList;
#endregion
return(taskGroup);
}
/// <summary>
/// 检查是否满足任务组监控价差条件。
/// </summary>
/// <param name="taskGroup">任务组。</param>
/// <returns></returns>
private PriceSpreadCheckResult CheckPriceSpread(OpenCloseType openCloseType, ArbitrageArgument argument)
{
USeMarketData nearMarketData = m_quoteDriver.Query(argument.NearInstrument);
USeMarketData farMarketData = m_quoteDriver.Query(argument.FarInstrument);
decimal nearPrice = 0m;
decimal farPrice = 0m;
if (openCloseType == OpenCloseType.Open)
{
nearPrice = GetMarketPrice(nearMarketData, argument.OpenArg.NearOrderPriceType);
farPrice = GetMarketPrice(farMarketData, argument.OpenArg.FarOrderPriceType);
}
else if (openCloseType == OpenCloseType.Close)
{
nearPrice = GetMarketPrice(nearMarketData, argument.CloseArg.NearOrderPriceType);
farPrice = GetMarketPrice(farMarketData, argument.CloseArg.FarOrderPriceType);
}
else
{
Debug.Assert(false);
return(PriceSpreadCheckResult.CreateNoOrderResult());
}
if (nearPrice <= 0 || farPrice <= 0)
{
return(PriceSpreadCheckResult.CreateNoOrderResult());
}
decimal priceSpread = nearPrice - farPrice;
if (openCloseType == OpenCloseType.Open)
{
Debug.Assert(argument.OpenArg != null && argument.OpenArg.OpenCondition != null);
if (IsInPriceSpread(argument.OpenArg.OpenCondition, priceSpread))
{
PriceSpreadCheckResult result = new PriceSpreadCheckResult();
result.OrderReason = TaskOrderReason.Open;
result.PriceSpreadThreshold = argument.OpenArg.OpenCondition.PriceSpreadThreshold;
return(result);
}
}
else if (openCloseType == OpenCloseType.Close)
{
Debug.Assert(argument.CloseArg != null && argument.CloseArg.CloseCondition != null);
if (argument.CloseArg != null && argument.CloseArg.CloseCondition != null)
{
if (IsInPriceSpread(argument.CloseArg.CloseCondition, priceSpread))
{
PriceSpreadCheckResult result = new PriceSpreadCheckResult();
result.OrderReason = TaskOrderReason.Close;
result.PriceSpreadThreshold = argument.CloseArg.CloseCondition.PriceSpreadThreshold;
return(result);
}
}
if (argument.StopLossArg != null && argument.StopLossArg.StopLossCondition != null)
{
if (IsInPriceSpread(argument.StopLossArg.StopLossCondition, priceSpread))
{
PriceSpreadCheckResult result = new PriceSpreadCheckResult();
result.OrderReason = TaskOrderReason.StopLoss;
result.PriceSpreadThreshold = argument.StopLossArg.StopLossCondition.PriceSpreadThreshold;
return(result);
}
}
}
return(PriceSpreadCheckResult.CreateNoOrderResult());
}
/// <summary>
/// 创建组合套利单下单参数
/// </summary>
private bool CreateNewArbitrageOrder()
{
USeInstrument nearInstrument = this.cbxNearInstrument.SelectedItem as USeInstrument;
USeInstrument farInstrument = this.cbxFarInstrument.SelectedItem as USeInstrument;
ArbitrageOperationSide operationSide = this.arbitrageOperationSideControl.OperationSide;
ArbitrageOpenArgument openArg = new ArbitrageOpenArgument();
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
openArg.BuyInstrument = nearInstrument;
openArg.SellInstrument = farInstrument;
openArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
openArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
openArg.BuyInstrument = farInstrument;
openArg.SellInstrument = nearInstrument;
openArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
openArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
}
else
{
Debug.Assert(false);
}
openArg.NearOrderPriceType = this.orderPriceTypeControl_OpenNearArg.OrderPriceType;
openArg.FarOrderPriceType = this.orderPriceTypeControl_OpenFarArg.OrderPriceType;
openArg.PreferentialSide = this.preferentialSideControl_OpenArg.PreferentialSide;
openArg.OpenCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_OpenSpreadArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_OpenArg.Value
};
openArg.TotalOrderQty = (int)this.nudTotalOrderQty_OpenArg.Value;
openArg.OrderQtyUint = (int)this.nudOrderQtyUint_OpenArg.Value;
openArg.DifferentialUnit = (int)this.nudDifferentialUnit_OpenArg.Value;
ArbitrageCloseArgument closeArg = new ArbitrageCloseArgument();
if (operationSide == ArbitrageOperationSide.BuyNearSellFar)
{
closeArg.BuyInstrument = farInstrument;
closeArg.SellInstrument = nearInstrument;
closeArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
closeArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
}
else if (operationSide == ArbitrageOperationSide.SellNearBuyFar)
{
closeArg.BuyInstrument = nearInstrument;
closeArg.SellInstrument = farInstrument;
closeArg.BuyInstrumentOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
closeArg.SellInstrumentOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
}
closeArg.NearOrderPriceType = this.orderPriceTypeControl_CloseNearArg.OrderPriceType;
closeArg.FarOrderPriceType = this.orderPriceTypeControl_CloseFarArg.OrderPriceType;
closeArg.PreferentialSide = this.preferentialSideControl_CloseArg.PreferentialSide;
closeArg.CloseCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_CloseSpreadArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_CloseArg.Value
};
closeArg.OrderQtyUint = (int)this.nudOrderQtyUint_CloseArg.Value;
closeArg.DifferentialUnit = (int)this.nudDifferentialUnit_CloseArg.Value;
ArbitrageStopLossArgument stopLossArg = null;
if (this.cbxStopLossFlag.Checked)
{
stopLossArg = new ArbitrageStopLossArgument();
stopLossArg.StopLossCondition = new PriceSpreadCondition()
{
PriceSpreadSide = this.priceSpreadSideControl_StopLossArg.PriceSpreadSide,
PriceSpreadThreshold = this.nudPriceSpreadThreshold_StopLossArg.Value
};
}
List <ArbitrageAlarmArgument> alarmArgList = new List <ArbitrageAlarmArgument>();
if (m_dataSourceAlarm != null && m_dataSourceAlarm.Count > 0)
{
foreach (ArbitrageAlarmArgumentViewModel alarmView in m_dataSourceAlarm)
{
alarmArgList.Add(ArbitrageAlarmArgumentViewModel.CreatAlarmData(alarmView));
}
}
ArbitrageArgument argument = new ArbitrageArgument();
argument.ProductID = m_product.ProductCode;
argument.NearInstrument = nearInstrument;
argument.FarInstrument = farInstrument;
argument.OperationSide = operationSide;
argument.OpenArg = openArg;
argument.CloseArg = closeArg;
argument.StopLossArg = stopLossArg;
argument.AlarmArgs = alarmArgList;
string errorMessage = string.Empty;
if (VerifyMargin(argument.OpenArg, out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, errorMessage);
return(false);
}
decimal evaluateMargin = EvaluateMargin(argument.OpenArg);
string text = string.Format("套利单预计占用保证金 {0},确定跟单么?", evaluateMargin.ToString("#,0"));
if (DialogResult.Yes != USeFuturesSpiritUtility.ShowYesNoMessageBox(this, text))
{
return(false);
}
try
{
AutoTraderManager traderManager = USeManager.Instance.AutoTraderManager;
Debug.Assert(traderManager != null);
AutoTrader trader = traderManager.CreateNewAutoTrader(argument, USeManager.Instance.LoginUser);
trader.BeginOpen();
//[yangming]创建后应该启动跟单
trader.StartOpenOrCloseMonitor();
USeManager.Instance.DataSaver.AddSaveTask(trader.GetArbitrageOrder());
//同时保存所有的ArbitrageArgument便于下次修改
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, ex.Message);
return(false);
}
return(true);
}
