private ArbitrageOrderSettlement CalculateSettlementResult()
{
USeArbitrageOrder arbitrageOrder = null;
lock (m_syncObj)
{
arbitrageOrder = m_arbitrageOrder.Clone();
}
List <USeOrderBook> orderBookList = arbitrageOrder.GetAllOrderBooks();
USeInstrument buyInstrument = arbitrageOrder.OpenArgument.BuyInstrument;
USeInstrument sellInstrument = arbitrageOrder.OpenArgument.SellInstrument;
USeMarketData buyMarketData = USeManager.Instance.QuoteDriver.Query(buyInstrument);
USeMarketData sellMarketData = USeManager.Instance.QuoteDriver.Query(sellInstrument);
USeInstrumentDetail buyInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(buyInstrument);
USeInstrumentDetail sellInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(sellInstrument);
decimal buyProfit = CalculateProfit(orderBookList, buyInstrumentDetail, buyMarketData);
decimal sellProfit = CalculateProfit(orderBookList, sellInstrumentDetail, sellMarketData);
decimal totalProfit = buyProfit + sellProfit;
ArbitrageOrderSettlement settlemt = new ArbitrageOrderSettlement()
{
BuyInstrumentProfit = buyProfit,
SellInstrumentProfit = sellProfit,
Profit = totalProfit
};
return(settlemt);
}
/// <summary>
/// 订阅行情
/// </summary>
/// <param name="products">订阅产品</param>
public override void Subscribe(USeInstrument instrument)
{
lock (m_object)
{
m_instrumentDic[instrument.InstrumentCode] = instrument.Clone();
}
}
/// <summary>
/// 获取合约指定交易日日K线。
/// </summary>
public USeKLine GetMin1KLine(USeInstrument instrument, DateTime time)
{
string strSel = string.Format(@"select * from {0}.{1}
where contract = '{1}' and date_time = '{3:yyyy-MM-dd HH:mm:00}';",
m_alphaDBName, GetMin1KLineTableName(instrument.Market),
instrument.InstrumentCode, time);
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
if (table != null && table.Rows.Count > 0)
{
DataRow row = table.Rows[0];
USeKLine kline = new USeKLine()
{
InstrumentCode = row["contract"].ToString(),
Market = USeTraderProtocol.ToUseMarket(row["exchange"].ToString()),
Cycle = USeCycleType.Day,
DateTime = Convert.ToDateTime(row["date_time"]),
Open = row["price_open"].ToDecimal(),
High = row["price_high"].ToDecimal(),
Low = row["price_low"].ToDecimal(),
Close = row["price_close"].ToDecimal(),
Volumn = row["volumn"].ToInt(),
Turnover = row["turnover"].ToDecimal(),
OpenInterest = row["openinterest"].ToDecimal()
};
return(kline);
}
return(null);
}
/// <summary>
/// 获取K线生成器。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
private List <KLineFactory> GetIndexKLineFactory(USeInstrument instrument)
{
Debug.Assert(instrument.Market != USeMarket.Unknown);
string varieties = USeTraderProtocol.GetVarieties(instrument.InstrumentCode);
List <KLineFactory> factoryList = null;
if (m_indexkLineFactoryDic.TryGetValue(varieties, out factoryList) == false)
{
USeProduct product = m_productManager.GetPruduct(varieties);
factoryList = new List <KLineFactory>();
DayTradeRange tradeRange = m_tradeRangeManager.CreateTradeRange(varieties);
DateTime tradeDay = tradeRange.GetTradeDay(DateTime.Now);
USeInstrument indexInstrument = USeTraderProtocol.GetVarietiesIndexCode(product);
USeKLine dayKLine = GetDayKLine(tradeDay, indexInstrument);
List <USeInstrument> instrumentList = m_instrumentManager.GetAllInstruments(varieties, product.Market);
IndexDayKLineFactory dayFactory = new IndexDayKLineFactory(product, instrumentList, dayKLine, m_dayKLinePublishInterval, m_kLinePublisher, tradeRange, m_eventLogger, m_instrumentManager);
factoryList.Add(dayFactory);
IndexMinKLineFactory min1Factory = new IndexMinKLineFactory(product, instrumentList, USeCycleType.Min1, m_kLinePublisher, tradeRange, m_eventLogger, m_instrumentManager);
factoryList.Add(min1Factory);
m_indexkLineFactoryDic.Add(varieties, factoryList);
}
Debug.Assert(factoryList != null && factoryList.Count == 2);
return(factoryList);
}
/// <summary>
/// 更换品种。
/// </summary>
/// <param name="product"></param>
private void ChangegProduct(USeProduct product)
{
if (string.IsNullOrEmpty(product.ProductCode))
{
return;
}
try
{
m_instrumentDetailList.Clear();
m_instrumentList.Clear();
List <USeInstrumentDetail> instrumentDetailList = USeManager.Instance.OrderDriver.QueryInstrumentDetail(product.ProductCode);
if (instrumentDetailList == null)
{
return;
}
foreach (USeInstrumentDetail instrumentDetail in instrumentDetailList)
{
m_instrumentDetailList.Add(instrumentDetail);
USeInstrument instrument = instrumentDetail.Instrument;
m_instrumentList.Add(instrument);
}
m_product = product;
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
}
}
/// <summary>
/// 获取K线生成器。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
private List <KLineFactory> GetKLineFactory(USeInstrument instrument)
{
Debug.Assert(instrument.Market != USeMarket.Unknown);
List <KLineFactory> factoryList = null;
if (m_kLineFactoryDic.TryGetValue(instrument.InstrumentCode, out factoryList) == false)
{
factoryList = new List <KLineFactory>();
DayTradeRange tradeRange = m_tradeRangeManager.CreateTradeRange(instrument);
bool isMainConract = m_mainContractManager.IsMainContract(instrument.InstrumentCode);
DateTime tradeDay = tradeRange.GetTradeDay(DateTime.Now);
USeKLine dayKLine = GetDayKLine(tradeDay, instrument);
DayKLineFactory dayFactory = new DayKLineFactory(instrument, dayKLine, m_kLinePublisher, tradeRange, m_eventLogger, m_dayKLinePublishInterval, isMainConract, m_instrumentManager);
factoryList.Add(dayFactory);
MinKLineFactory min1Factory = new MinKLineFactory(instrument, m_kLinePublisher, tradeRange, m_eventLogger, USeCycleType.Min1, isMainConract);
factoryList.Add(min1Factory);
m_kLineFactoryDic.Add(instrument.InstrumentCode, factoryList);
}
Debug.Assert(factoryList != null && factoryList.Count == 2);
return(new List <KLineFactory>(factoryList));
}
/// <summary>
/// 构造方法。
/// </summary>
/// <param name="instrument">处理合约。</param>
/// <param name="publisher">发布者。</param>
/// <param name="tradeRange">交易时段。</param>
public KLineFactory(USeInstrument instrument, IKLinePublisher publisher, DayTradeRange tradeRange, IAppLogger eventLogger)
{
m_instrument = instrument;
m_publisher = publisher;
m_tradeRange = tradeRange;
m_eventLogger = eventLogger;
}
private decimal InternalCalculateFee(USeInstrument instrument, USeOffsetType offsetType, int qty, decimal price)
{
USeFee fee = InternalGetFee(instrument);
if (fee == null)
{
return(0m);
}
int volumeMultiple = InternalGetVolumeMultiple(instrument);
switch (offsetType)
{
case USeOffsetType.Open: return(fee.OpenRatioByMoney * qty * price * volumeMultiple + fee.OpenRatioByVolume * qty);
case USeOffsetType.CloseHistory:
case USeOffsetType.Close: return(fee.CloseRatioByMoney * qty * price * volumeMultiple + fee.CloseRatioByVolume * qty);
case USeOffsetType.CloseToday: return(fee.CloseTodayRatioByMoney * qty * price * volumeMultiple + fee.CloseTodayRatioByVolume * qty);
default:
Debug.Assert(false);
return(0m);
}
}
/// <summary>
/// 获取主力合约。
/// </summary>
/// <param name="varieties"></param>
/// <returns></returns>
public USeInstrument GetMainContract(string varieties)
{
USeInstrument instrument = null;
m_mainContractDic.TryGetValue(varieties, out instrument);
return(instrument);
}
/// <summary>
/// 构造方法。
/// </summary>
/// <param name="instrument">合约。</param>
/// <param name="publisher">发布者。</param>
/// <param name="tradeRange">交易时段。</param>
/// <param name="publishInterval">发布间隔(单位:秒)。</param>
public DayKLineFactory(USeInstrument instrument, USeKLine initKLine, IKLinePublisher publisher, DayTradeRange tradeRange, IAppLogger eventLogger, TimeSpan publishInterval, bool isMainContract, USeTradingInstrumentManager instrumentManager)
: base(instrument, publisher, tradeRange, eventLogger)
{
m_publishInterval = publishInterval;
m_nextPublishTime = DateTime.Now.AddTicks(publishInterval.Ticks);
m_isMainContract = isMainContract;
if (initKLine != null)
{
Debug.Assert(initKLine.InstrumentCode == instrument.InstrumentCode);
m_kLine = initKLine;
}
if (isMainContract)
{
string varieties = USeTraderProtocol.GetVarieties(instrument.InstrumentCode);
m_mainContractCode = USeTraderProtocol.GetMainContractCode(varieties, instrument.Market);
}
//获取该数据库下的合约详细信息
try
{
Debug.Assert(instrumentManager != null);
m_insDetailList = instrumentManager.GetAllInstrumentDetails();
}
catch (Exception ex)
{
throw new Exception("IndexDayKLineFactory 获取全部合约详细信息异常:" + ex.Message);
}
}
/// <summary>
/// 查询产品行情
/// </summary>
/// <param name="product">被查询产品</param>
/// <returns>被查询产品行情信息</returns>
public override USeMarketData QuickQuery(USeInstrument product)
{
try
{
USeMarketData marketData = null;
lock (m_object)
{
m_marketDataDic.TryGetValue(product.InstrumentCode, out marketData);
}
if (marketData != null)
{
return(marketData.Clone());
}
else
{
USeMarketData nullMarketData = new USeMarketData();
nullMarketData.Instrument = product.Clone();
return(nullMarketData);
}
}
catch (Exception ex)
{
m_logger.WriteError(string.Format("{0} QuickQuery failed,Error: {1}.", ToString(), ex.Message));
USeMarketData nullMarketData = new USeMarketData();
nullMarketData.Instrument = product.Clone();
return(nullMarketData);
}
}
private void cbxSellInstrument_SelectedIndexChanged(object sender, EventArgs e)
{
if (this.cbxSellInstrument.SelectedIndex < 0)
{
//Debug.Assert(false);
return;
}
USeInstrument sellInstrument = GetSellInstrumentFromUI();
if (sellInstrument == null || m_sellInstrument == sellInstrument)
{
return;
}
m_sellInstrument = sellInstrument;
m_sellMarketData = null;
try
{
USeManager.Instance.QuoteDriver.Subscribe(sellInstrument);
USeMarketData marketData = USeManager.Instance.QuoteDriver.QuickQuery(sellInstrument);
UpdateMarketData(marketData);
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "订阅行情失败," + ex.Message);
}
SetPriceControlValue();
}
/// <summary>
/// 从数据库中获得合约表。
/// </summary>
/// <param name="monitorMarketes"></param>
/// <returns></returns>
private List <USeInstrument> GetSubscribeInstruments(List <USeMarket> monitorMarketes)
{
List <USeInstrument> instrumentList = new List <USeInstrument>();
string strSel = string.Format(@"select contract,contract_name,exchange, open_date,expire_date,is_trading from {0}.contracts
where product_class ='Futures' and UNIX_TIMESTAMP(CURDATE()) >= UNIX_TIMESTAMP(open_date) and UNIX_TIMESTAMP(CURDATE()) <= UNIX_TIMESTAMP(expire_date);", m_dbName);
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(strSel, connection);
adapter.Fill(table);
}
foreach (DataRow row in table.Rows)
{
USeMarket market = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
USeInstrument instrument = new USeInstrument(row["contract"].ToString(),
row["contract_name"].ToString(),
market);
instrumentList.Add(instrument);
}
return(instrumentList);
}
/// <summary>
/// 委托下单。
/// </summary>
/// <param name="instrument">委托产品。</param>
/// <param name="qty">委托量。</param>
/// <param name="price">委托价格。</param>
/// <param name="offsetType">开平仓方向。</param>
/// <param name="orderSide">买卖方向。</param>
/// <param name="error">[out]委托失败原因。</param>
/// <returns>委托单号。</returns>
/// <remarks>返回为null代表失败,否则为委托单号。</remarks>
public override USeOrderNum PlaceOrder(USeInstrument instrument, int qty, decimal price, USeOffsetType offsetType, USeOrderSide orderSide, out string error)
{
error = "";
System.Diagnostics.Debug.Assert(instrument != null);
int orderNumValue = m_orderNumCreateor.Next();
USeOrderBook orderBook = new USeOrderBook();
orderBook.OrderNum = new TestOrderNum(orderNumValue);
orderBook.Account = m_investorID;
orderBook.Instrument = instrument;
orderBook.OrderQty = qty;
orderBook.OrderPrice = price;
orderBook.TradeQty = 0;
orderBook.TradeAmount = 0;
orderBook.TradePrice = 0;
orderBook.TradeFee = 0;
orderBook.OrderStatus = USeOrderStatus.Unknown;
orderBook.CancelQty = 0;
orderBook.OrderSide = orderSide;
orderBook.OffsetType = offsetType;
orderBook.Memo = "";
orderBook.OrderTime = DateTime.Now;
string error_orderInfo = string.Empty;
VerfiyPlaceOrderToReturn(orderBook, out error_orderInfo);
if (error_orderInfo == "开仓")
{
m_dataBuffer.OrderBookList.Add(orderBook);
m_pushOrderBookList.Enqueue(orderBook);
error = "Place Order Ok";
return(orderBook.OrderNum);
}
else if (error_orderInfo == "CloseSuccessed")
{
//开仓
orderBook.Memo = "平仓委托成功";
m_dataBuffer.OrderBookList.Add(orderBook);
m_pushOrderBookList.Enqueue(orderBook);
error = "Place Order Ok";
return(orderBook.OrderNum);
}
else
{
//平仓委托失败
orderBook.Memo = error_orderInfo;
orderBook.OrderStatus = USeOrderStatus.BlankOrder;
m_pushOrderBookList.Enqueue(orderBook);
error = "Place Order Failed";
return(orderBook.OrderNum);
}
}
/// <summary>
/// 添加
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button_Add_Click(object sender, EventArgs e)
{
Debug.Assert(this.listBox_InsOne.Items.Count != 0);
Debug.Assert(this.listBox_InsTwo.Items.Count != 0);
USeInstrument firstIns = (USeInstrument)this.listBox_InsOne.SelectedItem;
USeInstrument SecIns = (USeInstrument)this.listBox_InsTwo.SelectedItem;
if (firstIns == null)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "请选择近月合约");
return;
}
if (SecIns == null)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "请选择远月合约");
return;
}
if (firstIns.InstrumentCode == SecIns.InstrumentCode)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "不能选择相同的合约");
return;
}
if (firstIns.InstrumentCode.CompareTo(SecIns.InstrumentCode) > 0)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "请选择较近月的远月合约");
return;
}
else
{
ArbitrageCombineInstrument arbitrageCombineInstrument = new ArbitrageCombineInstrument();
arbitrageCombineInstrument.FirstInstrument = firstIns;
arbitrageCombineInstrument.SecondInstrument = SecIns;
arbitrageCombineInstrument.ProductID = m_product.ProductCode;
foreach (object o in this.listBox_ArbitrageIns.Items)
{
ArbitrageCombineInstrument combineInstrument = o as ArbitrageCombineInstrument;
if (combineInstrument.FirstInstrument.Equals(arbitrageCombineInstrument.FirstInstrument) &&
combineInstrument.SecondInstrument.Equals(arbitrageCombineInstrument.SecondInstrument))
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "已经存在该套利组合合约，不能重复添加");
return;
}
}
//添加到界面
this.listBox_ArbitrageIns.Items.Add(arbitrageCombineInstrument);
//添加到内存
m_arbitrageInstrumentList.Add(arbitrageCombineInstrument);
//发布添加事件通知
SafeFireOnArbitrageCombineInsAddChanged(arbitrageCombineInstrument);
}
}
/// <summary>
/// 更改产品。
/// </summary>
/// <param name="product">产品名称。</param>
public void ChangeProduct(string product)
{
if (string.IsNullOrEmpty(product) || m_productId == product)
{
return;
}
this.cbxBuyInstrument.Items.Clear();
this.cbxSellInstrument.Items.Clear();
m_buyInstrument = null;
m_sellInstrument = null;
m_buyMarketData = null;
m_sellMarketData = null;
m_productId = product;
SetNoticeInfo();
try
{
List <USeInstrumentDetail> instrumentDetailList = USeManager.Instance.OrderDriver.QueryInstrumentDetail(product);
if (instrumentDetailList == null)
{
return;
}
List <USeInstrument> instrumentList = (from e in instrumentDetailList
orderby e.Instrument.InstrumentCode
select e.Instrument).ToList();
USeInstrument emptyInstrument = new USeInstrument("", "选择合约", USeMarket.Unknown);
this.cbxBuyInstrument.Items.Add(emptyInstrument);
this.cbxSellInstrument.Items.Add(emptyInstrument);
foreach (USeInstrument instrument in instrumentList)
{
this.cbxBuyInstrument.Items.Add(instrument);
this.cbxSellInstrument.Items.Add(instrument);
}
this.cbxBuyInstrument.SelectedIndex = 0;
this.cbxSellInstrument.SelectedIndex = 0;
#if DEBUG
if (this.cbxBuyInstrument.Items.Count > 2)
{
this.cbxBuyInstrument.SelectedIndex = 1;
}
if (this.cbxSellInstrument.Items.Count > 3)
{
this.cbxSellInstrument.SelectedIndex = 2;
}
#endif
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
}
}
/// <summary>
/// 获取指定品种指定日期成交量最大的合约。[hanyu]2017//11/03修正为持仓量最大
/// </summary>
/// <param name="varieties"></param>
/// <param name="settlementDate"></param>
/// <returns></returns>
private string GetMaxVolumeInstrument(USeProduct varieties, DateTime settlementDate)
{
string cmdText = string.Format(@"select dk.contract,dk.date_time,dk.openinterest from {0}.day_kline dk
where dk.date_time = '{1:yyyy-MM-dd}' and dk.contract like '{2}%' and dk.exchange = '{3}'
order by dk.openinterest desc,dk.contract asc;",
m_alpahDBName, settlementDate, varieties.ProductCode, varieties.Market.ToString());
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
adapter.Dispose();
}
if (table != null && table.Rows.Count > 0)
{
USeInstrument mainContractCode = USeTraderProtocol.GetMainContractCode(varieties.ProductCode, varieties.Market);
USeInstrument indexCode = USeTraderProtocol.GetVarietiesIndexCode(varieties.ProductCode, varieties.Market);
int maxOpeninterest = 0;
string mainContract = string.Empty;
foreach (DataRow row in table.Rows)
{
string contract = row["contract"].ToString();
string constractVarieties = USeTraderProtocol.GetVarieties(contract);
if (constractVarieties == varieties.ProductCode)
{
if (contract == mainContractCode.InstrumentCode || contract == indexCode.InstrumentCode)
{
//过滤掉指数编码和主力合约编码
string text = string.Format("{0}@{1:yyyy-MM-dd}计算主力合约被过滤的指数编码和主力合约,{2}", varieties.ProductCode, settlementDate, contract);
Debug.WriteLine(text);
m_logger.WriteInformation(text);
continue;
}
else
{
if (Convert.ToInt32(row["openinterest"]) > maxOpeninterest)
{
maxOpeninterest = Convert.ToInt32(row["openinterest"]);
mainContract = row["contract"].ToString();
}
}
}
}
return(mainContract);
}
else
{
return(string.Empty);
}
}
public bool ContainsInstrument(USeInstrument instument)
{
if (this.m_arbitrageCombineInstrument.FirstInstrument.Equals(instument) ||
this.m_arbitrageCombineInstrument.SecondInstrument.Equals(instument))
{
return(true);
}
return(false);
}
private void QuoteListControl1_OnSelectInstrumentChanged(USeInstrument instrument)
{
try
{
//this.simpleOrderPanelControl1.ChangeInstrument(instrument);
}
catch (Exception ex)
{
}
}
/// <summary>
/// 获取卖出合约。
/// </summary>
/// <returns></returns>
private USeInstrument GetSellInstrumentFromUI()
{
USeInstrument instrument = this.cbxSellInstrument.SelectedItem as USeInstrument;
if (instrument != null && string.IsNullOrEmpty(instrument.InstrumentCode))
{
instrument = null;
}
return(instrument);
}
private USeKLine GetDayKLine(DateTime day, USeInstrument instrument)
{
try
{
USeKLine kline = m_alphaDBVistor.GetDayKLine(instrument, day);
return(kline);
}
catch (Exception ex)
{
m_eventLogger.WriteError(string.Format("获取{0}@{1:yyyy-MM-dd}日K线数据失败,{2}", instrument, day, ex.Message));
return(null);
}
}
/// <summary>
/// 查询合约的合约乘数。
/// </summary>
/// <param name="instrument">合约。</param>
/// <returns>合约乘数。</returns>
public override int QueryInstrumentVolumeMultiple(USeInstrument instrument)
{
USeInstrumentDetail detail = QueryInstrumentDetail(instrument);
if (detail != null)
{
return(detail.VolumeMultiple);
}
else
{
return(0);
}
//return m_dataBuffer.GetVolumeMultiple(instrument);
}
/// <summary>
/// 是否关心合约。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
private bool IsMyCareInstrument(USeInstrument instrument)
{
if (m_buyInstrument != null && m_buyInstrument == instrument)
{
return(true);
}
if (m_sellInstrument != null && m_sellInstrument == instrument)
{
return(true);
}
return(false);
}
/// <summary>
/// 退订行情
/// </summary>
/// <param name="instrument">退订产品</param>
public override void Unsubscribe(USeInstrument instrument)
{
//try
//{
// string[] instruments = new string[] { instrument.InstrumentCode };
// Debug.WriteLine(string.Format("Unsubscribe [{0}].", instrument.InstrumentCode));
// m_ctpFeed.UnsubscribeMarketData(instruments);
//}
//catch (Exception ex)
//{
// m_logger.WriteError(string.Format("{0} unsubscribeMarketData failed,Error: {1}.", ToString(), ex.Message));
// throw ex;
//}
}
/// <summary>
/// 获取优先合约下单价格。
/// </summary>
/// <param name="instrument">优先合约。</param>
/// <param name="orderPriceType">下单价格类型。</param>
/// <param name="orderSide">买卖方向。</param>
/// <returns></returns>
private decimal GetFirstInstrumentOrderPrice(USeInstrument instrument, ArbitrageOrderPriceType orderPriceType, USeOrderSide orderSide)
{
USeMarketData marketData = m_quoteDriver.Query(instrument);
Debug.Assert(marketData != null);
switch (orderPriceType)
{
case ArbitrageOrderPriceType.LastPrice: return(marketData.LastPrice);
case ArbitrageOrderPriceType.OpponentPrice:
{
if (orderSide == USeOrderSide.Buy)
{
return(marketData.AskPrice);
}
else if (orderSide == USeOrderSide.Sell)
{
return(marketData.BidPrice);
}
else
{
Debug.Assert(false);
return(0m);
}
}
case ArbitrageOrderPriceType.QueuePrice:
{
if (orderSide == USeOrderSide.Buy)
{
return(marketData.BidPrice);
}
else if (orderSide == USeOrderSide.Sell)
{
return(marketData.AskPrice);
}
else
{
Debug.Assert(false);
return(0m);
}
}
default:
Debug.Assert(false);
return(0m);
}
}
/// <summary>
/// 初始化合约。
/// </summary>
private void InitializeInstrument()
{
this.cbxNearInstrument.Items.Clear();
this.cbxFarInstrument.Items.Clear();
this.cbxNearInstrument.DisplayMember = "InstrumentCode";
this.cbxNearInstrument.DisplayMember = "InstrumentCode";
if (m_product != null)
{
List <USeInstrumentDetail> instrumentList = USeManager.Instance.OrderDriver.QueryInstrumentDetail(m_product.ProductCode);
foreach (USeInstrumentDetail item in instrumentList)
{
this.cbxNearInstrument.Items.Add(item.Instrument);
this.cbxFarInstrument.Items.Add(item.Instrument);
}
}
USeInstrument nearInstrument = null;
USeInstrument farInstrument = null;
if (m_arbitrageArgument != null)
{
nearInstrument = m_arbitrageArgument.NearInstrument;
farInstrument = m_arbitrageArgument.FarInstrument;
}
else if (m_combineInstrument != null)
{
nearInstrument = m_combineInstrument.FirstInstrument;
farInstrument = m_combineInstrument.SecondInstrument;
}
if (nearInstrument != null)
{
this.cbxNearInstrument.SelectedItem = nearInstrument;
}
else if (this.cbxNearInstrument.Items.Count > 0)
{
this.cbxNearInstrument.SelectedIndex = 0;
}
if (farInstrument != null)
{
this.cbxFarInstrument.SelectedItem = farInstrument;
}
else if (this.cbxFarInstrument.Items.Count > 1)
{
this.cbxFarInstrument.SelectedIndex = 1;
}
}
/// <summary>
/// 查询合约保证金。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
public override USeMargin QueryInstrumentMargin(USeInstrument instrument)
{
USeMargin margin = new USeMargin()
{
Instrument = instrument.Clone(),
ExchangeLongMarginRatio = 0.09m,
ExchangeShortMarginRatio = 0.09m,
BrokerLongMarginRatioByMoney = 0.09m,
BrokerLongMarginRatioByVolume = 0,
BrokerShortMarginRatioByMoney = 0.09m,
BrokerShortMarginRatioByVolume = 0
};
return(margin);
}
public void ChangeInstrument(USeInstrument instrument)
{
if (instrument == null)
{
return;
}
lock (m_syncObj)
{
m_selectedInstrument = instrument;
this.comboBoxInstrument.SelectedItem = instrument;
}
//信息清空
this.numericUpDownPrice.Value = 0;
this.numericUpDownVolume.Value = 0;
}
/// <summary>
/// 校验近远月合约选项
/// </summary>
/// <param name="errorMessage"></param>
/// <returns></returns>
private bool VerifyCombineInstrumentArgument(out string errorMessage)
{
errorMessage = "";
USeInstrument nearInstrument = this.cbxNearInstrument.SelectedItem as USeInstrument;
USeInstrument farInstrument = this.cbxFarInstrument.SelectedItem as USeInstrument;
if (nearInstrument.InstrumentCode.CompareTo(farInstrument.InstrumentCode) >= 0)
{
errorMessage = "请选择正确的近月合约和远月合约";
return(false);
}
return(true);
}
/// <summary>
/// 远月合约组合框选择更改
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void Cbx_FarInstrumentSelectChanged(object sender, EventArgs e)
{
USeInstrument instrument = this.cbxFarInstrument.SelectedItem as USeInstrument;
Debug.Assert(instrument != null);
try
{
USeManager.Instance.QuoteDriver.Subscribe(instrument);
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "行情订阅异常:" + ex.Message);
return;
}
}
