/// <summary>
/// 返回交易模块编号
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
public static string GetModelID(object field)
{
//委托单
if (field is CZQThostFtdcInputOrderField)
{
CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpOrder = (CZQThostFtdcTradeField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
throw new Exception("unknow field:" + field.ToString(), null);
}
public CZQThostFtdcInputOrderActionField DeleteOrder(CZQThostFtdcInputOrderField order)
{
//撤单时，会引发报单时间小于登录时间的报单回报，
//因此需要关闭过滤 FLag
this.filterRestart = false;
CZQThostFtdcInputOrderActionField orderAction = new CZQThostFtdcInputOrderActionField();
orderAction.BrokerID = order.BrokerID;
orderAction.InvestorID = order.InvestorID;
orderAction.FrontID = this.FrontID;
orderAction.SessionID = this.SessionID;
orderAction.OrderRef = order.OrderRef;
orderAction.InstrumentID = order.InstrumentID;
orderAction.ActionFlag = CTPStockActionFlagType.Delete;
//CTPWrapper.TraderReqOrderAction(this._instance, orderAction, CreateRequestID());
InvokeAPI(CTPStockRequestAction.OrderActionAction, orderAction);
return(orderAction);
}
private void OnErrRtnOrderInsert(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo)
{
SingleOrder order;
string strKey = string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, pInputOrder.OrderRef);
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
tdlog.Error("交易所回应：{0},{1},开平{2},价{3},原量{4},引用{5},{6}#{7}",
pInputOrder.InstrumentID, pInputOrder.Direction, pInputOrder.CombOffsetFlag, pInputOrder.LimitPrice,
pInputOrder.VolumeTotalOriginal,
pInputOrder.OrderRef, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
order.Text = string.Format("{0}|{1}#{2}", order.Text.Substring(0, Math.Min(order.Text.Length, 64)), pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitRejected(order, order.Text);
//没得办法，这样全撤了状态就唯一了
Dictionary <string, CZQThostFtdcOrderField> _Ref2Action;
if (_Orders4Cancel.TryGetValue(order, out _Ref2Action))
{
lock (_Ref2Action)
{
_Ref2Action.Remove(strKey);
if (0 == _Ref2Action.Count())
{
_Orders4Cancel.Remove(order);
return;
}
Cancel(order);
}
}
}
}
private void OnRspOrderInsert_callback(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspOrderInsert)
{
OnRspOrderInsert(this, new OnRspOrderInsertArgs(pTraderApi, ref pInputOrder, ref pRspInfo, nRequestID, bIsLast));
}
}
private void OnErrRtnOrderInsert_callback(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo)
{
if (null != OnErrRtnOrderInsert)
{
OnErrRtnOrderInsert(this, new OnErrRtnOrderInsertArgs(pTraderApi, ref pInputOrder, ref pRspInfo));
}
}
public OnRspOrderInsertArgs(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pInputOrder = pInputOrder;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public static string GetOrderUniqueKey(CTPStockTrader trader, object field)
{
//委托单
if (field is CZQThostFtdcInputOrderField)
{
CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
return(string.Format("{0:X}_{1:X}_{2}", trader.FrontID, trader.SessionID, ctpOrder.OrderRef.Trim()));
}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(string.Format("{0:X}_{1:X}_{2}", ctpOrder.FrontID, ctpOrder.SessionID, ctpOrder.OrderRef.Trim()));
}
throw new Exception("Unknow type : " + field.GetType().ToString());
}
public CZQThostFtdcInputOrderField InsertOrder(string exchangeID, string symbolCode, CTPStockDirectionType direct, double price, int volume)
{
CTPStockOffsetFlagType flag = CTPStockOffsetFlagType.Open;
switch (direct)
{
case CTPStockDirectionType.Buy:
case CTPStockDirectionType.ETFPur:
case CTPStockDirectionType.MarginTrade:
case CTPStockDirectionType.RepayMargin:
case CTPStockDirectionType.DirectRepayMargin:
flag = CTPStockOffsetFlagType.Open;
break;
case CTPStockDirectionType.Sell:
case CTPStockDirectionType.ETFRed:
case CTPStockDirectionType.ShortSell:
case CTPStockDirectionType.RepayStock:
case CTPStockDirectionType.DirectRepayStock:
flag = CTPStockOffsetFlagType.Close;
break;
case CTPStockDirectionType.TransferSecurities:
flag = CTPStockOffsetFlagType.Open;
break;
default:
break;
}
CZQThostFtdcInputOrderField order = CreateInputOrder(exchangeID, symbolCode, direct, flag, price, volume);
SendInsertOrder(order);
return(order);
}
public static string GetUserKey(object field)
{
//委托单
if (field is CZQThostFtdcInputOrderField)
{
CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//预埋单
if (field is CZQThostFtdcParkedOrderField)
{
CZQThostFtdcParkedOrderField ctpOrder = (CZQThostFtdcParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//删除预埋单
if (field is CZQThostFtdcRemoveParkedOrderField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//预埋撤单
if (field is CZQThostFtdcParkedOrderActionField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//删除预埋撤单
if (field is CZQThostFtdcRemoveParkedOrderActionField)
{
CZQThostFtdcRemoveParkedOrderActionField ctpOrder = (CZQThostFtdcRemoveParkedOrderActionField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpData = (CZQThostFtdcTradeField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓
if (field is CZQThostFtdcInvestorPositionField)
{
CZQThostFtdcInvestorPositionField ctpData = (CZQThostFtdcInvestorPositionField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionDetailField)
{
CZQThostFtdcInvestorPositionDetailField ctpData = (CZQThostFtdcInvestorPositionDetailField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionCombineDetailField)
{
CZQThostFtdcInvestorPositionCombineDetailField ctpData = (CZQThostFtdcInvestorPositionCombineDetailField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//资金账户
if (field is CZQThostFtdcTradingAccountField)
{
CZQThostFtdcTradingAccountField ctpData = (CZQThostFtdcTradingAccountField)field;
return(GetUserKey(ctpData.AccountID, ctpData.BrokerID));
}
throw new Exception("unknow type : " + field.GetType().FullName);
}
private CZQThostFtdcInputOrderField CreateInputOrder(string exchangeID, string symbolCode, CTPStockDirectionType direct, CTPStockOffsetFlagType flag, double price, int volume, string orderRef = "")
{
CZQThostFtdcInputOrderField order = new CZQThostFtdcInputOrderField();
order.BrokerID = this.BrokerID;
order.InvestorID = this.InvestorID;
//合约
order.ExchangeID = exchangeID;
order.InstrumentID = symbolCode;
if (string.IsNullOrEmpty(orderRef))
{
order.OrderRef = System.Threading.Interlocked.Increment(ref this.currentOrderRef).ToString();
}
else
{
order.OrderRef = orderRef;
}
//限价单
order.OrderPriceType = CTPStockOrderPriceType.LimitPrice;
//方向
order.Direction = direct;
//开平仓
order.CombOffsetFlag = new byte[] { (byte)flag, 0, 0, 0, 0 };
//投机/套保
order.CombHedgeFlag = new byte[] { (byte)CTPStockHedgeFlagType.Speculation, 0, 0, 0, 0 };
///价格
order.LimitPrice = price.ToString();
///数量: 1
order.VolumeTotalOriginal = volume;
///有效期类型: 当日有效
order.TimeCondition = CTPStockTimeConditionType.GFD;
///GTD日期
// TThostFtdcDateType GTDDate;
///成交量类型: 任何数量
order.VolumeCondition = CTPStockVolumeConditionType.AV;
///最小成交量: 1
order.MinVolume = 1;
///触发条件: 立即
order.ContingentCondition = CTPStockContingentConditionType.Immediately;
///强平原因: 非强平
order.ForceCloseReason = CTPStockForceCloseReasonType.NotForceClose;
///自动挂起标志: 是
order.IsAutoSuspend = true;
///用户强评标志: 否
order.UserForceClose = false;
//条件单处理内容
//if (parameter.OrderType == OrderType.ConditionOrder)
//{
// //条件触发价
// order.StopPrice = (double)parameter.ConditionPrice;
// //报价方式
// if (order.OrderPriceType != CTPStockOrderPriceType.LimitPrice)
// {
// order.LimitPrice = "0";
// }
//}
return(order);
}
private int SendInsertOrder(CZQThostFtdcInputOrderField order)
{
//return CTPWrapper.TraderReqOrderInsert(this._instance, order, CreateRequestID());
Trace.WriteLine(string.Format("{0} [{1}]:{2},{3},{4}", this.wallTimeStopwatch.ElapsedMilliseconds, this.UserKey, "SendInsertOrder", order.OrderRef, order.RequestID));
return(InvokeAPI(CTPStockRequestAction.OrderInsertAction, order));
}
public OnErrRtnOrderInsertArgs(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo)
{
this.pTraderApi = pTraderApi;
this.pInputOrder = pInputOrder;
this.pRspInfo = pRspInfo;
}
