public StrategyHelper(Framework framework, SmartQuant.Strategy strategy)
{
this.framework = framework;
this.strategy = strategy;
this.DualPositionContainer = new DualPositionContainer(framework);
this.OpenCloseHelper = new OpenCloseHelper(framework, strategy);
this.PositionHelper = new PositionHelper(framework);
this.Strategies = new Dictionary <int, InstrumentStrategyHelper>();
{
// 创建多空两套持仓,只是显示用，实际上不以此为依据
Long = new Portfolio(framework, strategy.Name + "_Long");
framework.PortfolioManager.Add(Long);
Long.Parent = strategy.Portfolio;
Short = new Portfolio(framework, strategy.Name + "_Short");
framework.PortfolioManager.Add(Short);
Short.Parent = strategy.Portfolio;
}
{
// 在实际下单时需要使用指定所操作的Portfolio
OpenCloseHelper.Long = Long;
OpenCloseHelper.Short = Short;
}
}
// 这里假设已经挂的单子已经是按最优数量进行处理过，目标是直接挂单
// 目前对前两层做智能开平，后面的全用开仓单
// 因为后面的使用平仓单，还要处理复杂的大量开挂单的问题。
// 实际上不能太深，因为深了占用资金
public int 补单(OrderBook_OneSide_Order buy1, OrderBook_OneSide_Size buy2)
{
int cnt = 0;
// 方向不对，不可能补单
if (buy1.Side != buy2.Side)
{
return(cnt);
}
int l = 0;
// 由于在别的地方做了撤单，在这buy2中的数量是大于buy1的
foreach (var b2 in buy2.Grid)
{
++l;
int level = b2.Key;
double size = b2.Value;
// 要补单的数量
double leave = size - buy1.SizeByLevel(level);
if (leave <= 0)
{
continue;
}
double price = PriceHelper.GetPriceByLevel(level);
cnt += (int)leave;
// 超过两层的全用开仓
if (l > 2)
{
SendLimitOrder(buy2.Side, leave, price,
OpenCloseHelper.GetOpenCloseString(EnumOpenClose.OPEN));
continue;
}
// 应当对容易平仓的位置进行平仓
// 这个地方要测试一个，我只有10持仓，先挂10手平，第二个价格再挂自动生成的单是平还是开？检查数据计算是否正确
// 补单是一次性的，还是分两笔，还是分两笔吧
//double canqty = DualPosition.CanCloseQty(buy2.Side);
//// 检查平仓，如果补单限为一次，那就把此行注释
//if (canqty > 0)
//{
// double min = Math.Min(leave, canqty);
// leave -= min;
// SendLimitOrder(buy2.Side, min, price,
// OpenCloseHelper.GetOpenCloseString(EnumOpenClose.CLOSE_TODAY));
//}
if (leave > 0)
{
//SendLimitOrder(buy2.Side, leave, price,
// OpenCloseHelper.GetOpenCloseString(DualPosition.CanClose(buy2.Side, leave)));
}
}
return(cnt);
}
// 下单操作
private void SendOrder(OrderSide side, EnumOpenClose oc, double qty)
{
if (!TimeHelper.IsTradingTime())
{
return;
}
if (qty <= 0)
{
return;
}
// 为减少滑点，对数量少的单子直接市价单
bool bMarketOrder = false;
if (EnumOpenClose.OPEN == oc)
{
if (qty <= MarketOpenPriceThreshold)
{
bMarketOrder = true;
}
}
else
{
if (qty <= MarketClosePriceThreshold)
{
bMarketOrder = true;
}
}
if (bMarketOrder)
{
SendMarketOrder(side, qty, OpenCloseHelper.GetOpenCloseString(oc));
}
else
{
SendLimitOrder(side, qty, PriceHelper.GetMatchPrice(this, side, 2), OpenCloseHelper.GetOpenCloseString(oc));
}
}
protected override void OnStrategyStart()
{
OpenCloseHelper = new OpenCloseHelper(framework, this);
OpenCloseHelper.SeparateOrder = SeparateOrder.SeparateCloseOpen;
OpenCloseHelper.SendStyle = SendStyle.OneByOne;
}
// 重新发单
private void ResendOrder(Order order)
{
SendOrder(order.Side, OpenCloseHelper.CheckOpenClose(order), order.LeavesQty);
}
