public static TrdCommon.TrdHeader MakeTrdHeader(TrdCommon.TrdEnv trdEnv,
ulong accID,
TrdCommon.TrdMarket trdMarket)
{
TrdCommon.TrdHeader header = TrdCommon.TrdHeader.CreateBuilder()
.SetTrdEnv((int)trdEnv)
.SetAccID(accID)
.SetTrdMarket((int)trdMarket)
.Build();
return(header);
}
void Buy(QotCommon.Security sec, ulong trdAcc, TrdCommon.TrdMarket trdMarket,
TrdCommon.TrdEnv trdEnv)
{
TrdCommon.TrdSecMarket secMarket = TrdCommon.TrdSecMarket.TrdSecMarket_Unknown;
if (sec.Market == (int)QotCommon.QotMarket.QotMarket_HK_Security)
{
secMarket = TrdCommon.TrdSecMarket.TrdSecMarket_HK;
}
else
{
secMarket = TrdCommon.TrdSecMarket.TrdSecMarket_US;
}
TrdGetFunds.Response getFundsRsp = GetFundsSync(trdAcc, trdMarket, trdEnv, false, TrdCommon.Currency.Currency_Unknown);
if (getFundsRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("getFundsSync err; retType={0} msg={1}\n", getFundsRsp.RetType, getFundsRsp.RetMsg);
return;
}
QotGetSecuritySnapshot.Response snapshotRsp = GetSecuritySnapshotSync(new List <QotCommon.Security>()
{
sec
});
if (snapshotRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("getSecuritySnapshotSync err; retType={0} msg={1}\n", snapshotRsp.RetType, snapshotRsp.RetMsg);
return;
}
int lotSize = snapshotRsp.S2C.SnapshotListList[0].Basic.LotSize;
double curPrice = snapshotRsp.S2C.SnapshotListList[0].Basic.CurPrice;
double cash = getFundsRsp.S2C.Funds.Cash;
int qty = (int)Math.Floor(cash / curPrice);
qty = qty / lotSize * lotSize;
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, trdAcc, trdMarket);
TrdPlaceOrder.C2S c2s = TrdPlaceOrder.C2S.CreateBuilder()
.SetPacketID(trd.NextPacketID())
.SetHeader(trdHeader)
.SetTrdSide((int)TrdCommon.TrdSide.TrdSide_Buy)
.SetOrderType((int)TrdCommon.OrderType.OrderType_Normal)
.SetCode(sec.Code)
.SetQty(qty)
.SetPrice(curPrice)
.SetAdjustPrice(true)
.SetSecMarket((int)secMarket)
.Build();
TrdPlaceOrder.Response placeOrderRsp = PlaceOrderSync(c2s);
Console.WriteLine(placeOrderRsp);
}
void Sell(QotCommon.Security sec, TrdCommon.Position pstn, ulong trdAcc, TrdCommon.TrdMarket trdMarket,
TrdCommon.TrdEnv trdEnv)
{
QotGetSecuritySnapshot.Response snapshotRsp = GetSecuritySnapshotSync(new List <QotCommon.Security>()
{
sec
});
if (snapshotRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("getSecuritySnapshotSync err; retType={0} msg={1}\n", snapshotRsp.RetType, snapshotRsp.RetMsg);
return;
}
double price = snapshotRsp.S2C.SnapshotListList[0].Basic.CurPrice;
TrdCommon.TrdSecMarket secMarket = TrdCommon.TrdSecMarket.TrdSecMarket_Unknown;
if (sec.Market == (int)QotCommon.QotMarket.QotMarket_HK_Security)
{
secMarket = TrdCommon.TrdSecMarket.TrdSecMarket_HK;
}
else
{
secMarket = TrdCommon.TrdSecMarket.TrdSecMarket_US;
}
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, trdAcc, trdMarket);
TrdPlaceOrder.C2S c2s = TrdPlaceOrder.C2S.CreateBuilder()
.SetPacketID(trd.NextPacketID())
.SetHeader(trdHeader)
.SetTrdSide((int)TrdCommon.TrdSide.TrdSide_Sell)
.SetOrderType((int)TrdCommon.OrderType.OrderType_Normal)
.SetCode(sec.Code)
.SetQty(pstn.CanSellQty)
.SetPrice(price)
.SetAdjustPrice(true)
.SetSecMarket((int)secMarket)
.Build();
TrdPlaceOrder.Response placeOrderRsp = PlaceOrderSync(c2s);
Console.WriteLine(placeOrderRsp);
}
void Run(ulong trdAcc, String unlockTrdPwdMD5, TrdCommon.TrdMarket trdMarket,
TrdCommon.TrdEnv trdEnv,
QotCommon.Security sec)
{
if (sec.Market != (int)QotCommon.QotMarket.QotMarket_HK_Security &&
sec.Market != (int)QotCommon.QotMarket.QotMarket_US_Security)
{
Console.Error.WriteLine("unsupported stock market");
return;
}
bool ret = InitConnectTrdSync(Config.OpendIP, Config.OpendPort);
if (!ret)
{
Console.Error.WriteLine("fail to connect trd");
return;
}
ret = InitConnectQotSync(Config.OpendIP, Config.OpendPort);
if (!ret)
{
Console.Error.WriteLine("fail to connect qot");
return;
}
TrdUnlockTrade.Response unlockTrdRsp = UnlockTradeSync(unlockTrdPwdMD5, true);
if (unlockTrdRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("fail to unlock trade; retType={0} msg={1}\n", unlockTrdRsp.RetType, unlockTrdRsp.RetMsg);
return;
}
DateTime now = DateTime.Now;
DateTime startDate = now.Subtract(new TimeSpan(100, 0, 0, 0));
QotRequestHistoryKL.Response historyKLRsp = RequestHistoryKLSync(sec, QotCommon.KLType.KLType_Day,
QotCommon.RehabType.RehabType_Forward,
startDate.ToString("yyyy-MM-dd"),
now.ToString("yyyy-MM-dd"),
1000,
null,
new byte[] {},
false);
List <double> klCloseList = new List <double>();
List <double> difList = new List <double>();
List <double> deaList = new List <double>();
List <double> macdList = new List <double>();
foreach (QotCommon.KLine kl in historyKLRsp.S2C.KlListList)
{
klCloseList.Add(kl.ClosePrice);
}
MACDUtil.CalcMACD(klCloseList, 12, 26, 9, difList, deaList, macdList);
int difCount = difList.Count;
int deaCount = deaList.Count;
if (difCount > 0 && deaCount > 0)
{
if (difList[difCount - 1] < deaList[deaCount - 1] &&
difList[difCount - 2] > deaList[deaCount - 2])
{
TrdCommon.TrdFilterConditions filterConditions = TrdCommon.TrdFilterConditions.CreateBuilder()
.AddCodeList(sec.Code)
.Build();
TrdGetPositionList.Response getPositionListRsp = GetPositionListSync(trdAcc, trdMarket,
trdEnv, filterConditions, null, null, false);
if (getPositionListRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("getPositionListSync err; retType={0} msg={1}\n", getPositionListRsp.RetType,
getPositionListRsp.RetMsg);
return;
}
foreach (TrdCommon.Position pstn in getPositionListRsp.S2C.PositionListList)
{
if (pstn.CanSellQty > 0)
{
Sell(sec, pstn, trdAcc, trdMarket, trdEnv);
}
}
}
else if (difList[difCount - 1] > deaList[deaCount - 1] &&
difList[difCount - 2] < deaList[deaCount - 2])
{
Buy(sec, trdAcc, trdMarket, trdEnv);
}
}
}
public TrdGetPositionList.Response GetPositionListSync(ulong accID, TrdCommon.TrdMarket trdMarket, TrdCommon.TrdEnv trdEnv,
TrdCommon.TrdFilterConditions filterConditions,
double?filterPLRatioMin,
double?filterPLRatioMax,
bool isRefreshCache)
{
ReqInfo reqInfo = null;
Object syncEvent = new Object();
lock (syncEvent)
{
lock (trdLock)
{
if (trdConnStatus != ConnStatus.READY)
{
return(null);
}
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, accID, trdMarket);
TrdGetPositionList.C2S.Builder c2s = TrdGetPositionList.C2S.CreateBuilder()
.SetHeader(trdHeader);
if (filterConditions != null)
{
c2s.SetFilterConditions(filterConditions);
}
if (filterPLRatioMin.HasValue)
{
c2s.SetFilterPLRatioMin(filterPLRatioMin.Value);
}
if (filterPLRatioMax.HasValue)
{
c2s.SetFilterPLRatioMax(filterPLRatioMax.Value);
}
c2s.SetRefreshCache(isRefreshCache);
TrdGetPositionList.Request req = TrdGetPositionList.Request.CreateBuilder().SetC2S(c2s).Build();
uint sn = trd.GetPositionList(req);
if (sn == 0)
{
return(null);
}
reqInfo = new ReqInfo(ProtoID.TrdGetPositionList, syncEvent);
trdReqInfoMap.Add(sn, reqInfo);
}
Monitor.Wait(syncEvent);
return((TrdGetPositionList.Response)reqInfo.Rsp);
}
}
public TrdGetHistoryOrderFillList.Response GetHistoryOrderFillListSync(ulong accID, TrdCommon.TrdMarket trdMarket, TrdCommon.TrdEnv trdEnv,
TrdCommon.TrdFilterConditions filterConditions)
{
ReqInfo reqInfo = null;
Object syncEvent = new Object();
lock (syncEvent)
{
lock (trdLock)
{
if (trdConnStatus != ConnStatus.READY)
{
return(null);
}
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, accID, trdMarket);
TrdGetHistoryOrderFillList.C2S.Builder c2s = TrdGetHistoryOrderFillList.C2S.CreateBuilder()
.SetHeader(trdHeader);
if (filterConditions != null)
{
c2s.SetFilterConditions(filterConditions);
}
TrdGetHistoryOrderFillList.Request req = TrdGetHistoryOrderFillList.Request.CreateBuilder().SetC2S(c2s).Build();
uint sn = trd.GetHistoryOrderFillList(req);
if (sn == 0)
{
return(null);
}
reqInfo = new ReqInfo(ProtoID.TrdGetHistoryOrderFillList, syncEvent);
trdReqInfoMap.Add(sn, reqInfo);
}
Monitor.Wait(syncEvent);
return((TrdGetHistoryOrderFillList.Response)reqInfo.Rsp);
}
}
public TrdGetOrderList.Response GetOrderListSync(ulong accID, TrdCommon.TrdMarket trdMarket, TrdCommon.TrdEnv trdEnv,
bool isRefreshCache,
TrdCommon.TrdFilterConditions filterConditions,
List <TrdCommon.OrderStatus> filterStatusList)
{
ReqInfo reqInfo = null;
Object syncEvent = new Object();
lock (syncEvent)
{
lock (trdLock)
{
if (trdConnStatus != ConnStatus.READY)
{
return(null);
}
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, accID, trdMarket);
TrdGetOrderList.C2S.Builder c2s = TrdGetOrderList.C2S.CreateBuilder()
.SetHeader(trdHeader)
.SetRefreshCache(isRefreshCache);
if (filterConditions != null)
{
c2s.SetFilterConditions(filterConditions);
}
if (filterStatusList.Count > 0)
{
foreach (TrdCommon.OrderStatus status in filterStatusList)
{
c2s.AddFilterStatusList((int)status);
}
}
TrdGetOrderList.Request req = TrdGetOrderList.Request.CreateBuilder().SetC2S(c2s).Build();
uint sn = trd.GetOrderList(req);
if (sn == 0)
{
return(null);
}
reqInfo = new ReqInfo(ProtoID.TrdGetOrderList, syncEvent);
trdReqInfoMap.Add(sn, reqInfo);
}
Monitor.Wait(syncEvent);
return((TrdGetOrderList.Response)reqInfo.Rsp);
}
}
public TrdGetFunds.Response GetFundsSync(ulong accID, TrdCommon.TrdMarket trdMarket, TrdCommon.TrdEnv trdEnv,
bool isRefreshCache,
TrdCommon.Currency currency)
{
ReqInfo reqInfo = null;
Object syncEvent = new Object();
lock (syncEvent)
{
lock (trdLock)
{
if (trdConnStatus != ConnStatus.READY)
{
return(null);
}
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, accID, trdMarket);
TrdGetFunds.C2S c2s = TrdGetFunds.C2S.CreateBuilder()
.SetHeader(trdHeader)
.SetCurrency((int)currency)
.SetRefreshCache(isRefreshCache)
.Build();
TrdGetFunds.Request req = TrdGetFunds.Request.CreateBuilder().SetC2S(c2s).Build();
uint sn = trd.GetFunds(req);
if (sn == 0)
{
return(null);
}
reqInfo = new ReqInfo(ProtoID.TrdGetFunds, syncEvent);
trdReqInfoMap.Add(sn, reqInfo);
}
Monitor.Wait(syncEvent);
return((TrdGetFunds.Response)reqInfo.Rsp);
}
}
void smartSell(String code, QotCommon.QotMarket qotMarket, TrdCommon.TrdSecMarket secMarket,
int volume, TrdCommon.OrderType orderType,
TrdCommon.TrdEnv trdEnv,
ulong accID,
TrdCommon.TrdMarket trdMarket,
String trdPwdMD5)
{
int lotSize = 0;
QotCommon.Security sec = MakeSec(qotMarket, code);
while (true)
{
Thread.Sleep(1000);
if (lotSize == 0)
{
List <QotCommon.Security> secList = new List <QotCommon.Security>();
secList.Add(sec);
QotGetSecuritySnapshot.Response rsp = GetSecuritySnapshotSync(secList);
if (rsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("getSecuritySnapshotSync err; retType={} msg={1}\n", rsp.RetType,
rsp.RetMsg);
return;
}
lotSize = rsp.S2C.SnapshotListList[0].Basic.LotSize;
if (lotSize <= 0)
{
Console.Error.Write("invalid lot size; code={0} lotSize={1}\n", code, lotSize);
return;
}
}
int qty = (volume / lotSize) * lotSize; // 将数量调整为整手的股数
QotSub.Response subRsp = SubSync(new List <QotCommon.Security>()
{
sec
},
new List <QotCommon.SubType>()
{
QotCommon.SubType.SubType_OrderBook
},
true,
false);
if (subRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("subSync er; retType={0}; msg={1}\n", subRsp.RetType, subRsp.RetMsg);
return;
}
QotGetOrderBook.Response getOrderBookRsp = GetOrderBookSync(MakeSec(qotMarket, code), 1);
if (getOrderBookRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("getOrderBookSync er; retType={0}; msg={1}\n", subRsp.RetType, subRsp.RetMsg);
return;
}
double bid1Price = getOrderBookRsp.S2C.OrderBookBidListList[0].Price;
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, accID, trdMarket);
TrdPlaceOrder.C2S c2s = TrdPlaceOrder.C2S.CreateBuilder()
.SetHeader(trdHeader)
.SetPacketID(trd.NextPacketID())
.SetTrdSide((int)TrdCommon.TrdSide.TrdSide_Sell)
.SetOrderType((int)orderType)
.SetCode(code)
.SetQty(qty)
.SetPrice(bid1Price)
.SetAdjustPrice(true)
.SetSecMarket((int)secMarket)
.Build();
TrdPlaceOrder.Response placeOrderRsp = PlaceOrderSync(c2s);
if (placeOrderRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("placeOrderSync err; retType={0} msg={1}\n", placeOrderRsp.RetType, placeOrderRsp.RetMsg);
return;
}
else
{
Console.Write("下单成功: {0}\n", placeOrderRsp.S2C);
}
}
}
void simpleSell(String code, QotCommon.QotMarket qotMarket, TrdCommon.TrdSecMarket secMarket,
double price, int volume, TrdCommon.OrderType orderType,
TrdCommon.TrdEnv trdEnv,
ulong accID,
TrdCommon.TrdMarket trdMarket,
String trdPwdMD5)
{
bool ret = InitConnectQotSync(Config.OpendIP, Config.OpendPort);
if (!ret)
{
Console.Error.WriteLine("Fail to connect opend");
return;
}
ret = InitConnectTrdSync(Config.OpendIP, Config.OpendPort);
if (!ret)
{
Console.Error.WriteLine("Fail to connect opend");
return;
}
int lotSize = 0;
QotCommon.Security sec = MakeSec(qotMarket, code);
while (true)
{
Thread.Sleep(1000);
if (lotSize == 0)
{
List <QotCommon.Security> secList = new List <QotCommon.Security>();
secList.Add(sec);
QotGetSecuritySnapshot.Response rsp = GetSecuritySnapshotSync(secList);
if (rsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("getSecuritySnapshotSync err; retType={0} msg={1}\n", rsp.RetType,
rsp.RetMsg);
return;
}
lotSize = rsp.S2C.SnapshotListList[0].Basic.LotSize;
if (lotSize <= 0)
{
Console.Error.Write("invalid lot size; code={0} lotSize={1}\n", code, lotSize);
return;
}
}
int qty = (volume / lotSize) * lotSize; // 将数量调整为整手的股数
TrdCommon.TrdHeader trdHeader = MakeTrdHeader(trdEnv, accID, trdMarket);
TrdPlaceOrder.C2S c2s = TrdPlaceOrder.C2S.CreateBuilder()
.SetHeader(trdHeader)
.SetPacketID(trd.NextPacketID())
.SetTrdSide((int)TrdCommon.TrdSide.TrdSide_Sell)
.SetOrderType((int)orderType)
.SetCode(code)
.SetQty(qty)
.SetPrice(price)
.SetAdjustPrice(true)
.SetSecMarket((int)secMarket)
.Build();
TrdPlaceOrder.Response placeOrderRsp = PlaceOrderSync(c2s);
if (placeOrderRsp.RetType != (int)Common.RetType.RetType_Succeed)
{
Console.Error.Write("placeOrderSync err; retType={0} msg={1}\n", placeOrderRsp.RetType, placeOrderRsp.RetMsg);
return;
}
else
{
Console.Write("下单成功: {0}\n", placeOrderRsp.S2C);
}
}
}
