private void CurrentDirtyOrders(List <Order> dirtyOrders)
{
foreach (var dirtyOrder in dirtyOrders)
{
var order = robotTrade.GetOrders(Symbol, dirtyOrder.order_id);
if (order.result && order.orders.Count != 0)
{
Order o = order.orders.FirstOrDefault();
if (o.status == "filled")
{
robotSession.RemoveSessionOrder(dirtyOrder);
Log4NetUtility.Debug($"CurrentEvent,Remove dirtyOrders {dirtyOrder.type} Price:{dirtyOrder.price.ToString("#0.00")} Id:{Utils.ShortID(dirtyOrder.order_id)} status:{o.status}");
}
}
}
}
public void FilledSessionOrders(List <Order> filledSessionOrders, List <Order> currentOrder)
{
var sessionOrders = new List <Order>(SessionOrders);
Parallel.ForEach(sessionOrders, (sessionOrder, loop) =>
{
try
{
#region 缓存订单在成交订单中
var filledOrder = filledSessionOrders.FirstOrDefault(a => a != null && a.order_id == sessionOrder.order_id);
if (filledOrder != null)
{
string type = filledOrder.type == "buy" ? "+B" : "-S";
Log4NetUtility.Debug($"OrderFilled {type} [{filledOrder.price.ToString("#0.00")}] ID: {Utils.ShortID(filledOrder.order_id)} ");
decimal new_price = 0; //补单Price
string new_type = filledOrder.type == "buy" ? "sell" : "buy";
if (filledOrder.type == "sell") //卖单成交
{
//补单价格为成交价的少一单位价格
new_price = filledOrder.price - info.SpanPrice;
}
else
{
//补单价格为成交价的多一单位价格
new_price = filledOrder.price + info.SpanPrice;
}
Order new_order = new Order()
{
price = new_price, amount = info.TradeQty, type = new_type, create_date = Utils.GetUtcTimeDec()
};
CurrentOrderFilled(filledOrder, new_order);
//list.Add(new_order);
}
#endregion
#region 缓存订单不在成交\当前订单中
else//缓存订单不在成交订单中
{
//缓存订单也不在当前订单中
if (!currentOrder.Exists(a => a.order_id == sessionOrder.order_id))
{
decimal time = Utils.GetUtcTimeDec(-60);
//若订单时间较短可能平台延迟，忽略。否则缓存脏数据
if (sessionOrder.create_date < time)
{
var order = robotTrade.GetOrders(symbol, sessionOrder.order_id);
if (order.result && order.orders.Count != 0)
{
Order o = order.orders.FirstOrDefault();
if (o.status == "filled")
{
if (sessionOrder.flag == "dirty")
{
RemoveSessionOrder(sessionOrder);
Log4NetUtility.Debug($"Remove dirtyOrders {sessionOrder.type} Price:{sessionOrder.price.ToString("#0.00")} Id:{Utils.ShortID(sessionOrder.order_id)} status:{o.status}");
}
else
{
sessionOrder.flag = "dirty";
}
}
}
}
}
}
#endregion
}
catch (Exception e)
{
throw (e);
}
});
}
