private void OnOrderFilled(SmartQuant.Order order)
{
int index = order.Reports.Count - 1;
double LastQty = order.Reports[index].LastQty;
double LastPrice = order.Reports[index].LastPx;
bool IsDone = order.IsDone;
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
switch (OpenClose)
{
case OpenCloseType.Open:
record.FilledOpen(LastQty, LastPrice);
break;
case OpenCloseType.Close:
record.FilledClose(LastQty, LastPrice);
break;
case OpenCloseType.CloseToday:
record.FilledCloseToday(LastQty, LastPrice);
break;
default:
MessageBox.Show("Filled");
break;
}
}
private void OnPendingNewOrder(Order order)
{
double Qty = order.Qty;
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
switch (OpenClose)
{
case OpenCloseType.Open:
record.NewOrderOpen(Qty);
break;
case OpenCloseType.Close:
record.NewOrderClose(Qty);
break;
case OpenCloseType.CloseToday:
record.NewOrderCloseToday(Qty);
break;
default:
MessageBox.Show("PendingNewOrder");
break;
}
}
private OpenCloseType OnOrderRejected(Order order)
{
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
double LeavesQty = order.LeavesQty;
switch (OpenClose)
{
case OpenCloseType.Open:
record.OrderRejectedOpen(LeavesQty);
break;
case OpenCloseType.Close:
record.OrderRejectedClose(LeavesQty);
break;
case OpenCloseType.CloseToday:
record.OrderRejectedCloseToday(LeavesQty);
break;
default:
MessageBox.Show("OrderRejected");
break;
}
return(OpenClose);
}
private OpenCloseType OnOrderCancelled(Order order)
{
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
++record.CumCancelCnt;
OnOrderRejected(order);
return(OpenClose);
}
public DualPositionRecord()
{
Long = new MonoPositionRecord();
Short = new MonoPositionRecord();
}
public Order RebuildOrder(DualPositionRecord dualRecord, Order order)
{
if (order == null)
{
return(null);
}
List <Order> orders = new List <Order>();
MonoPositionRecord record = dualRecord.GetPositionRecord(order.Side, OpenCloseType.Close);
// 先分析是否有仓要平
double QtyToday = 0;
double QtyYesterday = 0;
record.GetCanCloseQty(out QtyToday, out QtyYesterday);
// 非上海要处理
if (order.Instrument.Exchange != "SHFE")
{
// 如果是上海就不动，非上海有两方案，全转今仓或全转昨仓
if (DefaultClose == DefaultClose.CloseToday)
{
// 全转今仓
QtyToday += QtyYesterday;
QtyYesterday = 0;
}
else
{
// 全转昨仓
QtyYesterday += QtyToday;
QtyToday = 0;
}
}
// 1.拆单
// 3.全开
double leave = order.Qty;
if (SeparateOrder == SeparateOrder.SeparateCloseOpen)
{
// 拆单，先平今，再平昨，最后开仓
if (QtyToday > 0 && leave > 0)
{
double Qty = Math.Min(QtyToday, leave);
leave -= Qty;
Order _order = strategy.Order(order.Instrument, order.Type, order.Side, order.Qty, order.StopPx, order.Price, order.Text);
order.Fields.CopyTo(_order.Fields);
AddOpenClose(_order, Qty, OpenCloseType.CloseToday);
orders.Add(_order);
}
if (QtyYesterday > 0 && leave > 0)
{
double Qty = Math.Min(QtyYesterday, leave);
leave -= Qty;
Order _order = strategy.Order(order.Instrument, order.Type, order.Side, order.Qty, order.StopPx, order.Price, order.Text);
order.Fields.CopyTo(_order.Fields);
AddOpenClose(_order, Qty, OpenCloseType.Close);
orders.Add(_order);
}
if (leave > 0)
{
double Qty = leave;
leave -= Qty;
AddOpenClose(order, Qty, OpenCloseType.Open);
orders.Add(order);
}
}
else
{
// 发现可平数不够，直接开仓
if (leave <= QtyToday && leave > 0)
{
double Qty = leave;
leave -= Qty;
AddOpenClose(order, Qty, OpenCloseType.CloseToday);
orders.Add(order);
}
else if (leave <= QtyYesterday && leave > 0)
{
double Qty = leave;
leave -= Qty;
AddOpenClose(order, Qty, OpenCloseType.Close);
orders.Add(order);
}
else if (leave > 0)
{
double Qty = leave;
leave -= Qty;
AddOpenClose(order, Qty, OpenCloseType.Open);
orders.Add(order);
}
}
// 让每个Order串起来，这样可以自己查找到下一个Order
for (int i = orders.Count - 1; i > 0; --i)
{
orders[i - 1].SetNextTimeOrder(orders[i]);
}
if (orders.Count > 0)
{
return(orders[0]);
}
return(null);
}