public List <USeTradeBook> GetTradeBookList()
{
//查找orderlist里面状态为全部成交的Order返回
List <USeTradeBook> trade_book_list = new List <USeTradeBook>();
foreach (USeOrderBook order_book in m_order_list)
{
USeOrderStatus order_status = order_book.OrderStatus;
if (order_status == USeOrderStatus.AllTraded)
{
USeTradeBook tradeBook = new USeTradeBook();
tradeBook.TradeNum = order_book.OrderNum.ToString();
tradeBook.Instrument = order_book.Instrument;
tradeBook.OrderNum = order_book.OrderNum;
tradeBook.OrderSide = order_book.OrderSide;
tradeBook.OffsetType = order_book.OffsetType;
tradeBook.Price = order_book.OrderPrice;
tradeBook.Qty = order_book.OrderQty;
tradeBook.Amount = 0;
tradeBook.Fee = 0;
tradeBook.TradeTime = DateTime.Now;
tradeBook.Account = order_book.Account;
trade_book_list.Add(tradeBook);
}
}
return(trade_book_list);
}
//查询队列有任务发布事件
public void execEventList()
{
while (m_runFlag)
{
Thread.Sleep(500);
if (m_pushTradeBookList.Count > 0)
{
USeTradeBook tradeBook = m_pushTradeBookList.Dequeue();
if (tradeBook != null)
{
try
{
base.FireTradeBookChanged(tradeBook, true);
}
catch (Exception ex)
{
System.Diagnostics.Debug.Assert(false);
}
}
}
if (m_pushOrderBookList.Count > 0)
{
USeOrderBook order_book = m_pushOrderBookList.Dequeue();
if (order_book != null)
{
try
{
base.FireOrderBookChanged(order_book);
}
catch (Exception ex)
{
System.Diagnostics.Debug.Assert(false);
}
}
}
if (m_pushPositionList.Count > 0)
{
USePosition position_book = m_pushPositionList.Dequeue();
if (position_book != null)
{
try
{
base.FirePositionChanged(position_book);
}
catch (Exception ex)
{
System.Diagnostics.Debug.Assert(false);
}
}
}
}
}
public void Update(USeTradeBook entity)
{
this.TradeNum = entity.TradeNum;
this.Instrument = entity.Instrument;
this.OrderNum = entity.OrderNum;
this.OrderSide = entity.OrderSide;
this.OffsetType = entity.OffsetType;
this.Price = entity.Price;
this.Qty = entity.Qty;
this.Amount = entity.Amount;
this.Fee = entity.Fee;
this.TradeTime = entity.TradeTime;
this.Account = entity.Account;
}
public void AllTrade(USeOrderNum orderNum, int slipPoint)
{
USeOrderBook orderBook = (from p in m_dataBuffer.OrderBookList
where p.OrderNum.Equals(orderNum)
select p).FirstOrDefault();
if (orderBook == null)
{
return;
}
USeInstrumentDetail instrumentDetail = QueryInstrumentDetail(orderBook.Instrument);
int tradeQty = (orderBook.OrderQty - orderBook.TradeQty);
decimal tradePrice = 0;
if (orderBook.OrderSide == USeOrderSide.Buy)
{
tradePrice = orderBook.OrderPrice - instrumentDetail.PriceTick * slipPoint;
}
else if (orderBook.OrderSide == USeOrderSide.Sell)
{
tradePrice = orderBook.OrderPrice + instrumentDetail.PriceTick * slipPoint;
}
int volumeMultiple = instrumentDetail.VolumeMultiple;
int orderBookTradeQty = orderBook.TradeQty + tradeQty;
orderBook.TradeQty = orderBookTradeQty;
orderBook.TradeAmount = tradePrice * orderBookTradeQty * volumeMultiple;
orderBook.TradePrice = tradePrice;
orderBook.TradeFee = 5 * orderBookTradeQty;
orderBook.CancelQty = 0;
orderBook.Memo = orderBook.Memo;
orderBook.OrderTime = DateTime.Now;
orderBook.OrderStatus = USeOrderStatus.AllTraded;
USeTradeBook tradeBook = CreateTradeBook(orderBook, tradeQty, tradePrice, tradeQty * tradePrice * volumeMultiple, 5 * tradeQty);
USePosition positionBook = CreatePositionBook(tradeBook);
m_pushTradeBookList.Enqueue(tradeBook);
m_pushOrderBookList.Enqueue(orderBook.Clone());
//推送持仓信息
m_pushPositionList.Enqueue(positionBook.Clone());
}
private USeTradeBook CreateTradeBook(USeOrderBook orderBook, int tradeQty, decimal tradePrice, decimal amount, decimal fee)
{
USeTradeBook tradeBook = new USeTradeBook();
tradeBook.TradeNum = m_tradeNumCreateor.Next().ToString();
tradeBook.Instrument = orderBook.Instrument.Clone();
tradeBook.OrderNum = orderBook.OrderNum;
tradeBook.OrderSide = orderBook.OrderSide;
tradeBook.OffsetType = orderBook.OffsetType;
tradeBook.Price = tradePrice;
tradeBook.Qty = tradeQty;
tradeBook.Amount = amount;
tradeBook.Fee = fee;
tradeBook.TradeTime = DateTime.Now;
tradeBook.Account = this.Account;
return(tradeBook);
}
public static TradeBookViewＭodel Creat(USeTradeBook trade_book)
{
TradeBookViewＭodel data_model = new TradeBookViewＭodel();
data_model.TradeNum = trade_book.TradeNum;
data_model.Instrument = trade_book.Instrument;
data_model.OrderNum = trade_book.OrderNum;
data_model.OrderSide = trade_book.OrderSide;
data_model.OffsetType = trade_book.OffsetType;
data_model.Price = trade_book.Price;
data_model.Qty = trade_book.Qty;
data_model.Amount = trade_book.Amount;
data_model.Fee = trade_book.Fee;
data_model.TradeTime = trade_book.TradeTime;
data_model.m_account = trade_book.Account;
return(data_model);
}
private USePosition CreatePositionBook(USeTradeBook traderBook)
{
System.Diagnostics.Debug.Assert(traderBook != null);
USeDirection direction;
if (traderBook.OffsetType == USeOffsetType.Open)
{
direction = traderBook.OrderSide == USeOrderSide.Buy? USeDirection.Long:USeDirection.Short;
}
else
{
direction = traderBook.OrderSide == USeOrderSide.Buy? USeDirection.Short:USeDirection.Long;
}
USePosition position = null;
//维护持仓列表-从持仓列表中要移除总持仓为0的Item
for (int i = 0; i < m_dataBuffer.PositionDataList.Count; i++)
{
if (m_dataBuffer.PositionDataList[i].TotalPosition == 0)
{
m_dataBuffer.PositionDataList.RemoveAt(i);
}
}
position = (from p in m_dataBuffer.PositionDataList
where (p.Instrument == traderBook.Instrument && p.Direction == direction)
select p).FirstOrDefault();
if (position == null)
{
Debug.Assert(traderBook.OffsetType == USeOffsetType.Open);
position = new USePosition()
{
Instrument = traderBook.Instrument,
Direction = direction,
NewPosition = traderBook.Qty,
Amount = traderBook.Amount,
AvgPirce = traderBook.Price
};
m_dataBuffer.PositionDataList.Add(position);
}
else
{
switch (traderBook.OffsetType)
{
case USeOffsetType.Open:
position.NewPosition = position.NewPosition + traderBook.Qty;
break;
case USeOffsetType.CloseToday:
position.NewPosition = position.NewPosition - traderBook.Qty;
break;
case USeOffsetType.CloseHistory:
position.OldPosition = position.OldPosition - traderBook.Qty;
break;
case USeOffsetType.Close:
int oldCloseQty = Math.Min(traderBook.Qty, position.OldPosition);
position.OldPosition = position.OldPosition - oldCloseQty;
int newCloseQty = traderBook.Qty - oldCloseQty;
position.NewPosition = position.NewPosition - newCloseQty;
break;
default:
Debug.Assert(false);
break;
}
}
return(position);
}
/// <summary>
/// CTP TradeField To USeTradeBook。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeTradeBook CtpTradeFieldToUSeTradeBook(TradeField field)
{
USeTradeBook tradeBook = new USeTradeBook();
try
{
tradeBook.Instrument = new USeInstrument(field.InstrumentID.Trim(),
field.InstrumentID.Trim(),
CtpProtocol.FtdcExchangeToUSeMarket(field.ExchangeID));
tradeBook.TradeNum = field.TradeID.Trim();
USeOrderNum orderNum = new CtpOrderNum(field.ExchangeID, field.OrderSysID);
USeOrderBook orderBook = m_dataBuffer.GetOrderBook(orderNum);
if (orderBook != null)
{
orderNum = orderBook.OrderNum.Clone(); // 去搜索对应委托单，若存在则将委托单号设置为完整委托单号
}
tradeBook.OrderNum = orderNum;
tradeBook.OrderSide = field.Direction == DirectionType.Buy ? USeOrderSide.Buy : USeOrderSide.Sell;
switch (field.OffsetFlag)
{
case OffsetFlagType.Close:
case OffsetFlagType.ForceClose:
tradeBook.OffsetType = USeOffsetType.Close; break;
case OffsetFlagType.CloseToday:
tradeBook.OffsetType = USeOffsetType.CloseToday; break;
case OffsetFlagType.CloseYesterday:
tradeBook.OffsetType = USeOffsetType.CloseHistory; break;
case OffsetFlagType.Open:
tradeBook.OffsetType = USeOffsetType.Open; break;
default:
Debug.Assert(false, string.Format("CtpTradeFieldToUSeTradeBook(),Invalid offsetfalg.", field.OffsetFlag));
break;
}
tradeBook.Price = Convert.ToDecimal(field.Price);
tradeBook.Qty = field.Volume;
tradeBook.Account = field.InvestorID;
DateTime tradeTime = DateTime.Now;
if (string.IsNullOrEmpty(field.TradeDate) && string.IsNullOrEmpty(field.TradeTime))
{
Debug.Assert(false);
tradeTime = DateTime.Now;
}
else if (string.IsNullOrEmpty(field.TradeDate))
{
if (DateTime.TryParseExact(DateTime.Today.ToString("yyyyMMdd") + field.TradeTime, "yyyyMMddHH:mm:ss", null, System.Globalization.DateTimeStyles.None, out tradeTime) == false)
{
Debug.Assert(false);
tradeTime = DateTime.Now;
}
}
else
{
if (DateTime.TryParseExact(field.TradeDate + field.TradeTime, "yyyyMMddHH:mm:ss", null, System.Globalization.DateTimeStyles.None, out tradeTime) == false)
{
Debug.Assert(false);
tradeTime = DateTime.Now;
}
}
tradeBook.TradeTime = tradeTime;
int volumeMultiple = m_dataBuffer.GetVolumeMultiple(tradeBook.Instrument);
tradeBook.Amount = tradeBook.Price * tradeBook.Qty * volumeMultiple;
// 手续费尝试计算
tradeBook.Fee = m_dataBuffer.CalculateFee(tradeBook.Instrument, tradeBook.OffsetType, tradeBook.Qty, tradeBook.Price);
}
catch (Exception ex)
{
Debug.Assert(false, "CtpTradeFieldToUSeTradeBook() convet failed," + ex.Message);
}
return(tradeBook);
}
private void UpdateTradeBook(USeTradeBook tradeBook)
{
TradeBookViewＭodel trade_data_model = TradeBookViewＭodel.Creat(tradeBook);
m_trade_data_source.Insert(0, trade_data_model);
}
