void trade_OnRtnTrade(object sender, TradeArgs e)
{
_queueTradeFresh.Enqueue(e.Value.TradeID); //刷新时用
if (e.Value.Offset == OffsetType.Open)
_queuePositionFresh.Enqueue(e.Value.InstrumentID + "_" + e.Value.Direction); //刷持仓
else
_queuePositionFresh.Enqueue(e.Value.InstrumentID + "_" + (e.Value.Direction == DirectionType.Buy ? "Sell" : "Buy")); //刷持仓
Ring("成交通知");
}
void _t_OnRtnTrade(object sender, TradeArgs e)
{
var trade = (Trade)sender;
var field = e.Value;
var vap = _straOrdersId.FirstOrDefault(n => n.Value.IndexOf(e.Value.OrderID) >= 0);
if (vap.Key == null)
return;
var ids = vap.Value;
var o1 = _t.DicOrderField.Values.Where(n => ids.IndexOf(n.OrderID) >= 0 && n.InstrumentID == vap.Key.Instrument1);
vap.Key.VolumeTraded1 = o1.Sum(n => n.Volume - n.VolumeLeft);
var p1 = o1.Sum(n => n.AvgPrice * (n.Volume - n.VolumeLeft)) / vap.Key.VolumeTraded1;
var o2 = _t.DicOrderField.Values.Where(n => ids.IndexOf(n.OrderID) >= 0 && n.InstrumentID == vap.Key.Instrument2);
vap.Key.VolumeTraded2 = o2.Sum(n => n.Volume - n.VolumeLeft);
if (vap.Key.Instrument1 == field.InstrumentID)
_queueModifiedStra.Enqueue(new Tuple<Stra, string>(vap.Key, "VolumeTraded1")); //用于刷新
else if (vap.Key.Instrument2 == field.InstrumentID)
_queueModifiedStra.Enqueue(new Tuple<Stra, string>(vap.Key, "VolumeTraded2")); //用于刷新
var p2 = o2.Sum(n => n.AvgPrice * (n.Volume - n.VolumeLeft)) / vap.Key.VolumeTraded2;
double p = p1 - p2;
if (!double.IsNaN(p))
{
vap.Key.PriceTraded = p;
if (vap.Key.VolumeTraded1 == vap.Key.Volume1 && vap.Key.Volume2 == vap.Key.VolumeTraded2)
vap.Key.Status = ArbStatus.Filled;
else
vap.Key.Status = ArbStatus.Partial;
_queueModifiedStra.Enqueue(new Tuple<Stra, string>(vap.Key, "Status")); //用于刷新
_queueModifiedStra.Enqueue(new Tuple<Stra, string>(vap.Key, "PriceTraded")); //用于刷新
}
}
