public void Process(DualPosition dualPosition,OrderBook_BothSide_Size bothSideOrderBook)
{
// 防自成交
if (bothSideOrderBook.Buy.Count > 0)
{
int level = bothSideOrderBook.Buy.grid.Keys[0];
foreach (var a in dualPosition.Sell.grid)
{
if (level >= a.Key)
{
dualPosition.Sell.Cancel(a.Value);
}
}
}
// 上一步有计数，如果没有运行，进行下一步，看挂单数是否对上
if (bothSideOrderBook.Buy.Count > 0)
{
foreach(var b in bothSideOrderBook.Buy.grid)
{
int level = b.Key;
double size = b.Value;
HashSet<Order> set = dualPosition.Sell.grid[level];
}
}
}
/// <summary>
/// 转换
/// </summary>
/// <param name="brokerAccount"></param>
/// <param name="dualPosition"></param>
public static void Transform(BrokerAccount brokerAccount,DualPosition dualPosition)
{
if (brokerAccount == null||dualPosition == null)
return;
int LongQtyToday = 0;
int LongQtyYd = 0;
int ShortQtyToday = 0;
int ShortQtyYd = 0;
Tarnsform(brokerAccount, dualPosition.Symbol,
out LongQtyToday, out LongQtyYd,
out ShortQtyToday,out ShortQtyYd);
dualPosition.Long.QtyToday = LongQtyToday;
dualPosition.Long.Qty = LongQtyToday + LongQtyYd;
dualPosition.Short.QtyToday = ShortQtyToday;
dualPosition.Short.Qty = ShortQtyToday + ShortQtyYd;
}
public static void Transform(BrokerAccount brokerAccount, DualPosition dualPosition)
{
if (brokerAccount == null || dualPosition == null)
{
return;
}
int LongQtyToday = 0;
int LongQtyYd = 0;
int ShortQtyToday = 0;
int ShortQtyYd = 0;
Tarnsform(brokerAccount, dualPosition.Symbol,
out LongQtyToday, out LongQtyYd,
out ShortQtyToday, out ShortQtyYd);
dualPosition.Long.QtyToday = LongQtyToday;
dualPosition.Long.Qty = LongQtyToday + LongQtyYd;
dualPosition.Short.QtyToday = ShortQtyToday;
dualPosition.Short.Qty = ShortQtyToday + ShortQtyYd;
}
public override void OnStrategyStart()
{
WorkingTime = WorkingTime_Commodity;
dualPosition = new DualPosition();
// 测试代码
TargetPosition = 3;
dualPosition.Long.Qty = 0;
dualPosition.Short.Qty = 0;
}
public override void OnStrategyStart()
{
TimeHelper = new TimeHelper(EnumTradingTime.COMMODITY);
PriceHelper = new PriceHelper(Instrument.TickSize);
DualPosition = new DualPosition();
DualPosition.Sell.PriceHelper = PriceHelper;
DualPosition.Buy.PriceHelper = PriceHelper;
// 测试代码
//TargetPosition = 3;
DualPosition.Long.Qty = 0;
DualPosition.Short.Qty = 0;
}
public override void OnStrategyStart()
{
timeHelper = new TimeHelper(EnumTradingTime.COMMODITY);
priceHelper = new PriceHelper(Instrument.TickSize);
dualPosition = new DualPosition();
// 测试代码
TargetPosition = 3;
dualPosition.Long.Qty = 0;
dualPosition.Short.Qty = 0;
}
public override void OnStrategyStart()
{
TimeHelper = new TimeHelper(Instrument.Symbol);
PriceHelper = new PriceHelper(Instrument.TickSize);
TextParameter = new TextCommon() { OpenClose = EnumOpenClose.OPEN };
CloseTodayHelper = new CloseTodayHelper(EnumExchangeID.SHFE);
DualPosition = new DualPosition(Instrument.Symbol);
DualPosition.Sell.PriceHelper = PriceHelper;
DualPosition.Buy.PriceHelper = PriceHelper;
DualPosition.CloseTodayHelper = CloseTodayHelper;
TargetPosition = 0;
DualPosition.Long.Qty = 0;
DualPosition.Long.QtyToday = 0;
DualPosition.Short.Qty = 0;
DualPosition.Short.QtyToday = 0;
}
