private decimal InternalCalculateFee(USeInstrument instrument, USeOffsetType offsetType, int qty, decimal price)
{
USeFee fee = InternalGetFee(instrument);
if (fee == null)
{
return(0m);
}
int volumeMultiple = InternalGetVolumeMultiple(instrument);
switch (offsetType)
{
case USeOffsetType.Open: return(fee.OpenRatioByMoney * qty * price * volumeMultiple + fee.OpenRatioByVolume * qty);
case USeOffsetType.CloseHistory:
case USeOffsetType.Close: return(fee.CloseRatioByMoney * qty * price * volumeMultiple + fee.CloseRatioByVolume * qty);
case USeOffsetType.CloseToday: return(fee.CloseTodayRatioByMoney * qty * price * volumeMultiple + fee.CloseTodayRatioByVolume * qty);
default:
Debug.Assert(false);
return(0m);
}
}
/// <summary>
/// 开平仓方向描述。
/// </summary>
/// <param name="offsetType">开平仓方向。</param>
/// <returns>描述字符串。</returns>
public static string ToDescription(this USeOffsetType offsetType)
{
switch (offsetType)
{
case USeOffsetType.Open: return("开仓");
case USeOffsetType.CloseHistory: return("平昨仓");
case USeOffsetType.CloseToday: return("平今仓");
case USeOffsetType.Close: return("平仓");
default: return("未知");
}
}
private USeOffsetType GetChoiceOffsetType()
{
USeOffsetType order_offset_type = USeOffsetType.Open;
if (this.radioButton_Open.Checked)
{
order_offset_type = USeOffsetType.Open;
}
else if (this.radioButton_CloseToday.Checked)
{
order_offset_type = USeOffsetType.CloseToday;
}
else if (this.radioButton_CloseYD.Checked)
{
order_offset_type = USeOffsetType.CloseHistory;
}
else
{
Debug.Assert(false);
}
return(order_offset_type);
}
/// <summary>
/// 创建空的委托回报。
/// </summary>
/// <param name="orderNum">委托单号。</param>
/// <param name="instrument">合约。</param>
/// <param name="orderQty">委托量。</param>
/// <param name="orderPrice">委托价格。</param>
/// <param name="offsetType">开平方向。</param>
/// <param name="orderSide">买卖方向。</param>
/// <returns></returns>
private USeOrderBook CreateOrignalUSeOrderBook(USeOrderNum orderNum, USeInstrument instrument, int orderQty, decimal orderPrice, USeOffsetType offsetType, USeOrderSide orderSide)
{
USeOrderBook orderBook = new USeOrderBook();
orderBook.OrderNum = orderNum;
orderBook.Account = string.Empty;
orderBook.Instrument = instrument;
orderBook.OrderQty = orderQty;
orderBook.OrderPrice = orderPrice;
orderBook.TradeQty = 0;
orderBook.TradeAmount = 0m;
orderBook.TradePrice = 0m;
orderBook.TradeFee = 0m;
orderBook.OrderStatus = USeOrderStatus.Unknown;
orderBook.CancelQty = 0;
orderBook.OrderSide = orderSide;
orderBook.OffsetType = offsetType;
orderBook.Memo = string.Empty;
orderBook.OrderTime = DateTime.Now;
return(orderBook);
}
/// <summary>
/// 创建委托命令集合。
/// </summary>
/// <param name="taskId">任务ID。</param>
/// <param name="instrument">合约。</param>
/// <param name="orderSide">买卖方向。</param>
/// <param name="offsetType">开平方向。</param>
/// <param name="orderQty">委托量。</param>
/// <param name="orderPrice">委托价格。</param>
/// <param name="orderReason">委托原因。</param>
/// <returns></returns>
private List <OrderCommand> CreateOrderCommands(int taskId, USeInstrument instrument, USeOrderSide orderSide, USeOffsetType offsetType, int orderQty, decimal orderPrice, string orderReason)
{
List <OrderCommand> commandList = new List <OrderCommand>();
//构造指令
if (offsetType == USeOffsetType.Open)
{
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.Open,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
commandList.Add(command);
}
else
{
Debug.Assert(offsetType == USeOffsetType.Close);
if (instrument.Market == USeMarket.SHFE)
{
#region 交所平仓
USeDirection direction = orderSide == USeOrderSide.Buy ? USeDirection.Short : USeDirection.Long;
//上海交易所平仓需区分平今还是平昨
USePosition position = m_orderDriver.QueryPositions(instrument, direction);
//[yangming]
string tmpTestText = string.Format(@"[hanyuClose]Ins:{0} OrderSide:{1} OffsetFlag:{2} OrderQty：{3},NewAvaliablePosition:{4} ,NewFrozonPosition:{5}，NewPosition{6}," +
"OldAvaliablePosition:{7}，OldFrozonPosition:{8},OldPosition:{9}", instrument.InstrumentCode, orderSide, offsetType, orderQty, position.NewAvaliablePosition,
position.NewFrozonPosition, position.NewPosition, position.OldAvaliablePosition, position.OldFrozonPosition, position.OldPosition);
USeManager.Instance.EventLogger.WriteAudit(tmpTestText);
//
if (position == null || position.AvaliablePosition < orderQty)
{
//查询不到仓位,或者仓位不足，直接构造平今指令
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseToday,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
commandList.Add(command);
}
else
{
//平今
int remainQty = orderQty;
if (position.NewAvaliablePosition > 0)
{
int closeQty = Math.Min(position.NewAvaliablePosition, remainQty);
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseToday,
OrderQty = closeQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
remainQty -= closeQty;
commandList.Add(command);
}
//平昨
if (remainQty > 0)
{
Debug.Assert(remainQty <= position.OldAvaliablePosition);
int closeQty = remainQty;
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseHistory,
OrderQty = closeQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
remainQty -= closeQty;
commandList.Add(command);
}
Debug.Assert(remainQty == 0);
}
#endregion
}
else
{
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.Close,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
}
}
return(commandList);
}
/// <summary>
/// 套利单任务 -- 优先合约下单。
/// </summary>
/// <param name="taskGroup">开仓/平仓 任务组。</param>
/// <param name="differentialUnit">最大仓差。</param>
/// <returns></returns>
private bool ProcessFirstSubTask(ArbitrageTaskGroup taskGroup, int differentialUnit)
{
#region 校验
PriceSpreadCheckResult priceSpeadResult = CheckPriceSpread(taskGroup.OpenCloseType, m_arbitrageOrder.Argument);
if (priceSpeadResult.OrderReason == TaskOrderReason.None)
{
WriteTraderDebugInfo("优先合约检查,不满足价差条件");
return(false);
}
int firstUnExeTaskIndex = taskGroup.GetFirstTaskUnExecutIndex();
if (firstUnExeTaskIndex < 0)
{
// 优先合约全部完成下单
return(false);
}
bool secondTaskIsPlaceOrder = taskGroup.CheckSecondTaskIsPlaceOrder(firstUnExeTaskIndex);
if (secondTaskIsPlaceOrder == false)
{
WriteTraderDebugInfo("反手合约还未下单,不许下单");
return(false);
}
//反手仓位未成交任务数
int secondUnTradeTaskCount = taskGroup.GetUnTradeSecondTaskCount(firstUnExeTaskIndex);
if (secondUnTradeTaskCount >= differentialUnit)
{
WriteTraderDebugInfo("优先合约反手合约任务仓差大于等于允许最大仓差，不许下单");
return(false);
}
ArbitrageTask task = taskGroup.TaskList[firstUnExeTaskIndex];
Debug.Assert(task != null && task.TaskState == ArbitrageTaskState.None);
ArbitrageSubTask firstSubTask = task.FirstSubTask;
if (firstSubTask.TryOrderCount >= m_tryOrderCondition.MaxTryOrderCount)
{
m_backgroundRunFlag = false;
string text = string.Format("流程暂停，{2}下单任务[{0}]超出最大尝试下单次数{1}次",
task.TaskId, m_tryOrderCondition.MaxTryOrderCount, firstSubTask.Instrument.InstrumentCode);
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
AlarmNotice alarm = new AlarmNotice(AlarmType.AutoTraderWarning, text);
SafeFireAutoTraderAlarm(alarm);
WriteTraderNoticeLog(notice);
return(false);
}
if (firstSubTask.CanPlaceNextOrder(m_tryOrderCondition.NextOrderInterval) == false)
{
WriteTraderDebugInfo("优先合约检查，距离上次下单时间过近，暂时不下单");
return(false);
}
#endregion
#region 单
Debug.Assert(priceSpeadResult.OrderReason == TaskOrderReason.Open ||
priceSpeadResult.OrderReason == TaskOrderReason.Close ||
priceSpeadResult.OrderReason == TaskOrderReason.StopLoss);
task.OrderReason = priceSpeadResult.OrderReason;
task.PriceSpread = priceSpeadResult.PriceSpreadThreshold;
//获取优先合约下单价格
decimal orderPrice = GetFirstInstrumentOrderPrice(firstSubTask.Instrument, firstSubTask.OrderPriceType, firstSubTask.OrderSide);
Debug.Assert(orderPrice > 0);
int orderQty = firstSubTask.UnOrderQty;
Debug.Assert(orderQty > 0);
USeInstrument instrument = firstSubTask.Instrument;
USeOffsetType offsetType = firstSubTask.OffsetType;
USeOrderSide orderSide = firstSubTask.OrderSide;
List <OrderCommand> commandList = null;
lock (ms_orderSyncObj)
{
commandList = CreateOrderCommands(task.TaskId, instrument, orderSide, offsetType, orderQty, orderPrice, "优先合约");
Debug.Assert(commandList != null && commandList.Count > 0);
foreach (OrderCommand command in commandList)
{
bool orderResult = PlaceOrderForOrderCommand(command);
if (orderResult)
{
firstSubTask.AddPositiveOrderBook(command.CreateOrignalOrderBook());
task.UpdateTaskState();
//task.TaskState = ArbitrageTaskState.FirstPlaceOrder;
}
}
}
firstSubTask.AddTryOrderCount(); // 下单累加1次
#endregion
#region 通知
foreach (OrderCommand command in commandList)
{
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, command.ToDescription());
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
#endregion
return(true);
}
/// <summary>
/// 套利单任务--反手合约下单(优先合约已成交)
/// </summary>
/// <param name="taskGroup">开仓/平仓 任务组。</param>
private bool ProcessSecondSubTask(ArbitrageTaskGroup taskGroup)
{
for (int i = 0; i < taskGroup.TaskList.Count; i++)
{
#region 校验
ArbitrageTask task = taskGroup.TaskList[i];
if (task.TaskState != ArbitrageTaskState.FirstTradeFinish)
{
//优先合约未成交，无需做反手合约检查
continue;
}
ArbitrageSubTask secondSubTask = task.SecondSubTask;
if (secondSubTask.TryOrderCount >= m_tryOrderCondition.MaxTryOrderCount)
{
m_backgroundRunFlag = false;
string text = string.Format("流程暂停，{2}下单任务[{0}]超出最大尝试下单次数{1}次",
task.TaskId, m_tryOrderCondition.MaxTryOrderCount, secondSubTask.Instrument.InstrumentCode);
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
AlarmNotice alarm = new AlarmNotice(AlarmType.AutoTraderWarning, text);
SafeFireAutoTraderAlarm(alarm);
WriteTraderNoticeLog(notice);
return(false);
}
if (secondSubTask.CanPlaceNextOrder(m_tryOrderCondition.NextOrderInterval) == false)
{
WriteTraderDebugInfo("反手合约检查，距离上次下单时间过近，暂时不下单");
continue;
}
#endregion
#region 单
//获取反手合约下单价格
decimal orderPrice = GetSecondTaskOrderPrice(taskGroup.OperationSide, taskGroup.PreferentialSide, task.FirstSubTaskAvgTradePrice, task.PriceSpread);
orderPrice = TrimOrderPrice(secondSubTask.Instrument, orderPrice, secondSubTask.OrderSide);
int orderQty = secondSubTask.UnOrderQty;
Debug.Assert(orderQty > 0);
USeInstrument instrument = secondSubTask.Instrument;
USeOffsetType offsetType = secondSubTask.OffsetType;
USeOrderSide orderSide = secondSubTask.OrderSide;
List <OrderCommand> commandList = null;
lock (ms_orderSyncObj)
{
commandList = CreateOrderCommands(task.TaskId, instrument, orderSide, offsetType, orderQty, orderPrice, "反手合约");
Debug.Assert(commandList != null && commandList.Count > 0);
foreach (OrderCommand command in commandList)
{
bool orderResult = PlaceOrderForOrderCommand(command);
if (orderResult)
{
secondSubTask.AddPositiveOrderBook(command.CreateOrignalOrderBook());
task.UpdateTaskState();
//task.TaskState = ArbitrageTaskState.FirstPlaceOrder;
}
}
}
secondSubTask.AddTryOrderCount(); // 下单累加1次
#endregion
#region 通知
foreach (OrderCommand command in commandList)
{
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, command.ToDescription());
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
#endregion
}
return(false);
}
/// <summary> /// 委托下单。 /// </summary> /// <param name="product">委托产品。</param> /// <param name="qty">委托量。</param> /// <param name="price">委托价格。</param> /// <param name="offsetType">开平仓方向。</param> /// <param name="orderSide">买卖方向。</param> /// <param name="error">[out]委托失败原因。</param> /// <returns>委托单号。</returns> /// <remarks>返回为null代表失败,否则为委托单号。</remarks> public abstract USeOrderNum PlaceOrder(USeInstrument product, int qty, decimal price, USeOffsetType offsetType, USeOrderSide orderSide, out string error);
/// <summary>
/// 委托下单。
/// </summary>
/// <param name="instrument">委托产品。</param>
/// <param name="qty">委托量。</param>
/// <param name="price">委托价格。</param>
/// <param name="offsetType">开平仓方向。</param>
/// <param name="orderSide">买卖方向。</param>
/// <param name="error">[out]委托失败原因。</param>
/// <returns>委托单号。</returns>
/// <remarks>返回为null代表失败,否则为委托单号。</remarks>
public override USeOrderNum PlaceOrder(USeInstrument instrument, int qty, decimal price, USeOffsetType offsetType, USeOrderSide orderSide, out string error)
{
error = "";
System.Diagnostics.Debug.Assert(instrument != null);
int orderNumValue = m_orderNumCreateor.Next();
USeOrderBook orderBook = new USeOrderBook();
orderBook.OrderNum = new TestOrderNum(orderNumValue);
orderBook.Account = m_investorID;
orderBook.Instrument = instrument;
orderBook.OrderQty = qty;
orderBook.OrderPrice = price;
orderBook.TradeQty = 0;
orderBook.TradeAmount = 0;
orderBook.TradePrice = 0;
orderBook.TradeFee = 0;
orderBook.OrderStatus = USeOrderStatus.Unknown;
orderBook.CancelQty = 0;
orderBook.OrderSide = orderSide;
orderBook.OffsetType = offsetType;
orderBook.Memo = "";
orderBook.OrderTime = DateTime.Now;
string error_orderInfo = string.Empty;
VerfiyPlaceOrderToReturn(orderBook, out error_orderInfo);
if (error_orderInfo == "开仓")
{
m_dataBuffer.OrderBookList.Add(orderBook);
m_pushOrderBookList.Enqueue(orderBook);
error = "Place Order Ok";
return(orderBook.OrderNum);
}
else if (error_orderInfo == "CloseSuccessed")
{
//开仓
orderBook.Memo = "平仓委托成功";
m_dataBuffer.OrderBookList.Add(orderBook);
m_pushOrderBookList.Enqueue(orderBook);
error = "Place Order Ok";
return(orderBook.OrderNum);
}
else
{
//平仓委托失败
orderBook.Memo = error_orderInfo;
orderBook.OrderStatus = USeOrderStatus.BlankOrder;
m_pushOrderBookList.Enqueue(orderBook);
error = "Place Order Failed";
return(orderBook.OrderNum);
}
}
/// <summary>
/// 平仓追单。
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void WorkerDoWorkForCloseChaseOrder(object sender, DoWorkEventArgs e)
{
{
AutoTraderNotice notice = CreateTraderNotice("平仓追单对齐操作");
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
//开仓追单
//1.撤销掉当前所有未成交委托单
//2.检查不对齐欠缺仓位，对欠缺仓位进行开仓追单
//3.开仓以市价委托，尽量保证成交
Debug.Assert(m_arbitrageOrder.State == ArbitrageOrderState.Closeing);
if (m_arbitrageOrder.HasUnFinishOrderBook)
{
string text = "平仓追单有未完成委托单正在撤单";
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
List <USeOrderBook> unFinishOrderBook = m_arbitrageOrder.GetAllUnfinishOrderBooks();
foreach (USeOrderBook orderBook in unFinishOrderBook)
{
string errorMessage = string.Empty;
bool cancelResult = m_orderDriver.CancelOrder(orderBook.OrderNum, orderBook.Instrument, out errorMessage);
if (cancelResult == false)
{
text = string.Format("平仓追单{0} 撤单失败", orderBook.OrderNum);
notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
return; // 退出流程，触发预警
}
}
text = "平仓追单操作完成，等待撤单成功";
notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
while (true)
{
//等待撤单完成
m_operatorEvent.WaitOne(EVENT_WAIT_Time);
if (m_backgroundRunFlag == false)
{
text = string.Format("平仓追单流程退出");
notice = CreateTraderNotice(AutoTraderNoticeType.Infomation, text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
return;
}
if (m_arbitrageOrder.HasUnFinishOrderBook == false)
{
text = string.Format("平仓追单已完成撤单");
notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
break;
}
}
}
List <OrderCommand> commandList = new List <OrderCommand>();
// 对欠缺仓位进行补单
foreach (ArbitrageTask task in m_arbitrageOrder.CloseTaskGroup.TaskList)
{
if (task.FirstSubTask.TradeQty == task.SecondSubTask.TradeQty)
{
continue;
}
Debug.Assert(task.FirstSubTask.TradeQty > task.SecondSubTask.TradeQty);
//追单
USeInstrument instrument = task.SecondSubTask.Instrument;
USeOrderSide orderSide = task.SecondSubTask.OrderSide;
int orderQty = task.FirstSubTask.TradeQty - task.SecondSubTask.TradeQty;
Debug.Assert(orderQty > 0);
decimal orderPrice = GetFirstInstrumentOrderPrice(instrument, ArbitrageOrderPriceType.OpponentPrice, orderSide);
Debug.Assert(orderPrice > 0);
USeOffsetType offsetType = USeOffsetType.Close;
List <OrderCommand> subCommandList = CreateOrderCommands(task.TaskId, instrument, orderSide, offsetType, orderQty, orderPrice, "平仓追单");
foreach (OrderCommand command in subCommandList)
{
bool orderResult = PlaceOrderForOrderCommand(command);
if (orderResult)
{
task.SecondSubTask.AddPositiveOrderBook(command.CreateOrignalOrderBook());
task.UpdateTaskState();
//task.TaskState = ArbitrageTaskState.FirstPlaceOrder;
}
}
commandList.AddRange(subCommandList);
}
#region 通知
foreach (OrderCommand command in commandList)
{
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, command.ToDescription());
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
#endregion
{
string text = "平仓追单已完成追单，等待成交";
AutoTraderNotice notice = CreateTraderNotice(AutoTraderNoticeType.Order, text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
}
/// <summary>
/// 委托下单。
/// </summary>
/// <param name="instrument">委托产品。</param>
/// <param name="qty">委托量。</param>
/// <param name="price">委托价格。</param>
/// <param name="offsetType">开平仓方向。</param>
/// <param name="orderSide">买卖方向。</param>
/// <param name="error">[out]委托失败原因。</param>
/// <returns>委托单号。</returns>
/// <remarks>返回为null代表失败,否则为委托单号。</remarks>
public override USeOrderNum PlaceOrder(USeInstrument instrument, int qty, decimal price, USeOffsetType offsetType, USeOrderSide orderSide, out string error)
{
if (m_ctpUser == null || m_ctpUser.IsLogin == false)
{
error = "OrderServer unable";
return(null);
}
string orderRef = m_orderRefIDCreator.Next().ToString(); // 生成报单引用
int requestID = m_requetSeqIDCreator.Next();
error = string.Empty;
try
{
OffsetFlagType ctpOffsetFlag;
switch (offsetType)
{
case USeOffsetType.Open: ctpOffsetFlag = OffsetFlagType.Open; break;
case USeOffsetType.Close: ctpOffsetFlag = OffsetFlagType.Close; break;
case USeOffsetType.CloseToday: ctpOffsetFlag = OffsetFlagType.CloseToday; break;
case USeOffsetType.CloseHistory: ctpOffsetFlag = OffsetFlagType.CloseYesterday; break;
default:
throw new ArgumentException(string.Format("Invalid offsetType {0}.", offsetType), "offsetType");
}
DirectionType ctpDirection;
switch (orderSide)
{
case USeOrderSide.Buy: ctpDirection = DirectionType.Buy; break;
case USeOrderSide.Sell: ctpDirection = DirectionType.Sell; break;
default:
throw new ArgumentException(string.Format("Invalid orderside {0}.", orderSide), "orderSide");
}
InputOrderField requestField = new InputOrderField();
requestField.BrokerID = m_brokerID;
requestField.InvestorID = m_investorID;
requestField.InstrumentID = instrument.InstrumentCode;
requestField.OrderRef = orderRef;
requestField.UserID = m_investorID;
requestField.OrderPriceType = OrderPriceType.LimitPrice;
requestField.Direction = ctpDirection;
requestField.CombOffsetFlag1 = ctpOffsetFlag;
requestField.CombHedgeFlag1 = HedgeFlagType.Speculation;
requestField.LimitPrice = Convert.ToDouble(price);
requestField.VolumeTotalOriginal = qty;
requestField.TimeCondition = TimeConditionType.GFD;
requestField.VolumeCondition = VolumeConditionType.AV;
requestField.MinVolume = 1;
requestField.ContingentCondition = ContingentConditionType.Immediately;
requestField.ForceCloseReason = ForceCloseReasonType.NotForceClose;
requestField.IsAutoSuspend = IntBoolType.No;
requestField.BusinessUnit = null;
requestField.RequestID = requestID;
requestField.UserForceClose = IntBoolType.No;
//构造一个委托回报,防止报单不合规等问题遭CTP拒绝，但未有委托回报推送
OrderField orderField = new OrderField();
orderField.BrokerID = m_brokerID;
orderField.FrontID = m_frontID;
orderField.SessionID = m_sessionID;
orderField.OrderRef = orderRef;
orderField.OrderSysID = string.Empty;
orderField.InvestorID = m_investorID;
orderField.InstrumentID = instrument.InstrumentCode;
orderField.ExchangeID = CtpProtocol.USeMarketToFtdcExchange(instrument.Market);
orderField.VolumeTotalOriginal = qty;
orderField.LimitPrice = Convert.ToDouble(price);
orderField.VolumeTraded = 0;
orderField.OrderStatus = OrderStatusType.Unknown;
orderField.Direction = orderSide == USeOrderSide.Buy ? DirectionType.Buy : DirectionType.Sell;
switch (offsetType)
{
case USeOffsetType.Open: orderField.CombOffsetFlag1 = OffsetFlagType.Open; break;
case USeOffsetType.Close: orderField.CombOffsetFlag1 = OffsetFlagType.Close; break;
case USeOffsetType.CloseHistory: orderField.CombOffsetFlag1 = OffsetFlagType.CloseYesterday; break;
case USeOffsetType.CloseToday: orderField.CombOffsetFlag1 = OffsetFlagType.CloseToday; break;
}
orderField.InsertDate = DateTime.Now.ToString("yyyyMMdd");
orderField.InsertTime = DateTime.Now.ToString("HH:mm:ss");
m_dataBuffer.UpdateOrderField(orderField);
m_ctpUser.ReqOrderInsert(ref requestField, requestID);
USeOrderNum orderNum = new CtpOrderNum(m_frontID, m_sessionID, orderRef);
m_logger.WriteInformation(string.Format("{0}.PlaceOrder() ok,[RequestID:{1}][Instrument:{2}][FulcOffsetType{3}][Qty:{4}][Price:{5}].",
ToString(), requestID, instrument.InstrumentCode, offsetType, qty, price));
return(orderNum);
}
catch (Exception ex)
{
m_logger.WriteError(string.Format("{0} placeorder[Instrument:{1}][FulcOffsetType:{2}][Qty:{3}][Price:{4}] failed,Error:{5}.",
ToString(), instrument.InstrumentCode, offsetType, qty, price, ex.Message));
error = ex.Message;
return(null);
}
}
