private void Send(SPOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder order = item.Leg[0].Order;
SingleOrder order2 = item.Leg[1].Order;
string symbol = item.GetSymbol();
double price = order.Price - order2.Price;
int qty = (int)order.OrderQty;
// 是否要做价格调整？
byte[] bytes = { (byte)CTPAPI.ToCTP(item.Leg[0].OpenClose), (byte)CTPAPI.ToCTP(item.Leg[1].OpenClose) };
string szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
byte[] bytes2 = { (byte)HedgeFlagType, (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
int nRet = 0;
#if CTP
nRet = TraderApi.TD_SendOrder(m_pTdApi,
-1,
symbol,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
0,
VolumeCondition);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
private void Send(QuoteOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder AskOrder = item.Sell.Order;
SingleOrder BidOrder = item.Buy.Order;
string symbol = item.Buy.Order.Symbol;
double AskPrice = AskOrder.Price;
double BidPrice = BidOrder.Price;
int AskVolume = (int)AskOrder.OrderQty;
int BidVolume = (int)BidOrder.OrderQty;
TThostFtdcOffsetFlagType AskOffsetFlag = CTPAPI.ToCTP(item.Sell.OpenClose);
TThostFtdcOffsetFlagType BidOffsetFlag = CTPAPI.ToCTP(item.Buy.OpenClose);
TThostFtdcHedgeFlagType AskHedgeFlag = HedgeFlagType;
TThostFtdcHedgeFlagType BidHedgeFlag = HedgeFlagType;
int nRet = 0;
#if CTP
nRet = TraderApi.TD_SendQuote(m_pTdApi,
-1,
symbol,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
private void Send(CommonOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder order = item.Leg.Order;
string apiSymbol;
string apiExchange;
double apiTickSize;
string altSymbol;
#if CTP
GetInstrumentInfoForCTP(order.Instrument, out apiSymbol, out apiExchange, out apiTickSize);
altSymbol = apiSymbol;
#elif CTPZQ
GetInstrumentInfoForCTPZQ(order.Instrument, out apiSymbol, out apiExchange, out apiTickSize, out altSymbol);
#endif
double price = order.Price;
int qty = (int)order.OrderQty;
//市价修正，如果不连接行情，此修正不执行，得策略层处理
CThostFtdcDepthMarketDataField DepthMarket;
//如果取出来了，并且为有效的，涨跌停价将不为0
_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket);
//市价单模拟
if (OrdType.Market == order.OrdType)
{
//按买卖调整价格
if (order.Side == Side.Buy)
{
price = DepthMarket.LastPrice + LastPricePlusNTicks * apiTickSize;
}
else
{
price = DepthMarket.LastPrice - LastPricePlusNTicks * apiTickSize;
}
}
price = FixPrice(price, order.Side, apiTickSize, DepthMarket.LowerLimitPrice, DepthMarket.UpperLimitPrice);
// 是否要做价格调整？
byte[] bytes = { (byte)CTPAPI.ToCTP(item.Leg.OpenClose) };
string szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
byte[] bytes2 = { (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
#if CTP
bool bSupportMarketOrder = SupportMarketOrder.Contains(apiExchange);
#elif CTPZQ
bool bSupportMarketOrder = true;
#endif
switch (order.TimeInForce)
{
case TimeInForce.IOC:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.AV;
break;
case TimeInForce.FOK:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.CV;
break;
default:
break;
}
int nRet = 0;
switch (order.OrdType)
{
case OrdType.Limit:
break;
case OrdType.Market:
if (SwitchMakertOrderToLimitOrder || !bSupportMarketOrder)
{
}
else
{
price = 0;
OrderPriceType = TThostFtdcOrderPriceTypeType.AnyPrice;
TimeCondition = TThostFtdcTimeConditionType.IOC;
}
break;
default:
tdlog.Warn("没有实现{0}", order.OrdType);
return;
}
#if CTP
nRet = TraderApi.TD_SendOrder(m_pTdApi,
apiSymbol,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
#elif CTPZQ
nRet = TraderApi.TD_SendOrder(m_pTdApi,
apiSymbol,
apiExchange,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
string.Format("{0}", price),
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
