コード例 #1
0
ファイル: ReorderItem.cs プロジェクト: 810912015/option
 public ReorderItem(Order up, ContractFuse cf, bool isHandelMax, PositionSummary pos, IMatch matcher)
 {
     this.matcher = matcher;
     Blaster.Log.Info(string.Format("平仓委托重新报价加入队列:{0}-大{1}-边{2},{3}-单{4}", up.Trader.Name, isHandelMax, cf.MaxPrice, cf.MinPrice, up.ToShortString()));
     this.order  = up; this.cf = cf; this.Pos = pos;
     HisOrderIds = new List <int> {
         up.Id
     };
     this.isHandleMax = isHandelMax;
     //引发熔断--
     cf.ShouldAccept(up);
     if (isHandelMax)
     {
         cf.OnMaxChanged += cf_OnMaxChanged;
     }
     else
     {
         cf.OnMinChanged += cf_OnMinChanged;
     }
     cf.Excutor.OnFuseOver += Excutor_OnFuseOver;
     CreateTime             = DateTime.Now;
     checkTimer             = new Timer();
     checkTimer.Interval    = ContractFuse.FuseSpanInMin / 2 * 60 * 1000;
     checkTimer.Elapsed    += checkTimer_Elapsed;
     checkTimer.Start();
 }
コード例 #2
0
ファイル: ReorderItem.cs プロジェクト: 810912015/option
        void CreateAndReorder(Contract arg1, decimal?arg2, bool isUpChanged)
        {
            if (!IsAlive())
            {
                Clear(isUpChanged, "原单已成交");
                return;
            }
            var ratio = order.Trader.GetMaintainRatio();

            if (ratio >= 1)
            {
                Clear(isUpChanged, "保证率>=1");
                return;
            }
            var pos = order.Trader.GetPositionSummary(arg1.Code, PositionType.权利仓);

            if (pos == null)
            {
                Clear(isUpChanged, "已无持仓");
                return;
            }
            var closable = order.Trader.GetClosableCount(pos);

            if (closable <= 0)
            {
                Clear(isUpChanged, "可平<=0"); return;
            }

            if (pos.PositionType == "义务仓")
            {
                if (order.Direction == TradeDirectType.卖)
                {
                    Clear(isUpChanged, "是义务仓但单是卖单");
                    return;
                }
            }
            else
            {
                if (order.Direction == TradeDirectType.买)
                {
                    Clear(isUpChanged, "是权利仓但单是买单");
                    return;
                }
            }
            var neworder = new Order
            {
                Id          = IdService <Order> .Instance.NewId(),
                OrderPolicy = OrderPolicy.限价申报,
                Price       = isUpChanged? (decimal)cf.MaxPrice:(decimal)cf.MinPrice,
                Count       = closable,
                ReportCount = closable,
                Contract    = order.Contract,
                Direction   = pos.PositionType == "义务仓" ? TradeDirectType.买 : TradeDirectType.卖,
                OrderType   = order.OrderType,
                OrderTime   = DateTime.Now,
                Trader      = order.Trader,
                State       = OrderState.等待中,
                IsBySystem  = true
            };


            var os = order.ToShortString();
            var ps = order.Price.ToString();
            var ro = ReOrder(neworder);

            if (ro != 2)
            {
                Blaster.Log.Info(string.Format("{0}限变化重新报价:{1}-原{2}-现{3}-旧{4}-新{5}", isUpChanged ? "上" : "下", order.Trader.Name,
                                               ps, neworder.Price, os, neworder.ToShortString()));
            }
            if (ro == 1)
            {
                //引发下一次熔断事件
                cf.ShouldAccept(neworder);
            }
        }