public void ProcessNew(ref QuoteField quote, QuoteRecord record)
{
OrderRecord askRecord = new OrderRecord(record.AskOrder);
this.workingOrders[quote.AskID] = askRecord;
this.orderIDs[askRecord.Order.Id] = quote.AskID;
EmitExecutionReport(askRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
OrderRecord bidRecord = new OrderRecord(record.BidOrder);
this.workingOrders[quote.BidID] = bidRecord;
this.orderIDs[bidRecord.Order.Id] = quote.BidID;
EmitExecutionReport(bidRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
}
public void ProcessNew(ref QuoteField quote, QuoteRecord record)
{
OrderRecord askRecord = new OrderRecord(record.AskOrder);
this.workingOrders.Add(quote.AskID, askRecord);
this.orderIDs.Add(askRecord.Order.Id, quote.AskID);
EmitExecutionReport(askRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
OrderRecord bidRecord = new OrderRecord(record.BidOrder);
this.workingOrders.Add(quote.BidID, bidRecord);
this.orderIDs.Add(bidRecord.Order.Id, quote.BidID);
EmitExecutionReport(bidRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
}
public void ProcessNew(ref QuoteField quote, QuoteRecord record)
{
OrderRecord askRecord = new OrderRecord(record.AskOrder);
this.workingOrders.Add(quote.AskID, askRecord);
this.orderIDs.Add(askRecord.Order.Id, quote.AskID);
EmitExecutionReport(askRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
OrderRecord bidRecord = new OrderRecord(record.BidOrder);
this.workingOrders.Add(quote.BidID, bidRecord);
this.orderIDs.Add(bidRecord.Order.Id, quote.BidID);
EmitExecutionReport(bidRecord, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status);
}
public void Process(ref QuoteField quote)
{
// 所有的成交信息都不处理，交给TradeField处理
if (quote.ExecType == XAPI.ExecType.Trade)
{
return;
}
QuoteRecord record = null;
switch (quote.ExecType)
{
case XAPI.ExecType.New:
if (this.pendingOrders.TryRemove(quote.ID, out record))
{
this.workingOrders.Add(quote.ID, record);
this.orderIDs.Add(record.AskOrder.Id, quote.ID);
this.orderIDs.Add(record.BidOrder.Id, quote.ID);
orderMap.ProcessNew(ref quote, record);
// 这个地方可以跳过
//EmitExecutionReport(record, quote.ExecType, quote.Status);
}
break;
case XAPI.ExecType.Rejected:
if (this.pendingOrders.TryRemove(quote.ID, out record))
{
EmitExecutionReport(record, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status, quote.Text());
}
else if (this.workingOrders.TryGetValue(quote.ID, out record))
{
// 比如说出现超出涨跌停时，先会到ProcessNew，所以得再多判断一次
workingOrders.Remove(quote.ID);
orderIDs.Remove(record.AskOrder.Id);
orderIDs.Remove(record.BidOrder.Id);
EmitExecutionReport(record, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status, quote.Text());
}
break;
case XAPI.ExecType.Cancelled:
if (this.workingOrders.TryGetValue(quote.ID, out record))
{
workingOrders.Remove(quote.ID);
orderIDs.Remove(record.AskOrder.Id);
orderIDs.Remove(record.BidOrder.Id);
EmitExecutionReport(record, SQ.ExecType.ExecCancelled, SQ.OrderStatus.Cancelled);
}
break;
case XAPI.ExecType.PendingCancel:
if (this.workingOrders.TryGetValue(quote.ID, out record))
{
EmitExecutionReport(record, SQ.ExecType.ExecPendingCancel, SQ.OrderStatus.PendingCancel);
}
break;
case XAPI.ExecType.CancelReject:
if (this.pendingCancels.TryRemove(quote.ID, out record))
{
EmitExecutionReport(record, SQ.ExecType.ExecCancelReject, (SQ.OrderStatus)quote.Status, quote.Text());
}
break;
}
if (record != null)
{
record.Status = (SQ.OrderStatus)quote.Status;
}
}
public void EmitExecutionReport(QuoteRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus, string text)
{
EmitExecutionReport(new OrderRecord(record.AskOrder), execType, orderStatus, text);
EmitExecutionReport(new OrderRecord(record.BidOrder), execType, orderStatus, text);
}