private ConcurrentDictionary<string, OrderRecord> pendingCancels; // 撤单拒绝时使用
private OrderRecord GetExternalOrder(ref TradeField field)
{
ExternalOrderRecord record;
if (externalOrders.TryGetValue(field.InstrumentID, out record)) {
if (field.OpenClose == OpenCloseType.Open) {
return field.Side == XAPI.OrderSide.Buy ? record.BuyOpen : record.SellOpen;
}
return field.Side == XAPI.OrderSide.Buy ? record.BuyClose : record.SellClose;
}
return null;
}
static void OnRtnTrade(object sender, ref TradeField trade)
{
Console.WriteLine("CC " + trade.Time + "CC " + trade.ID + "CC " + trade.TradeID);
}
public void Process(ref TradeField trade)
{
OrderRecord record;
if (!workingOrders.TryGetValue(trade.ID, out record)) {
record = GetExternalOrder(ref trade);
}
if (record != null) {
record.AddFill(trade.Price, (int)trade.Qty);
SQ.ExecType execType = SQ.ExecType.ExecTrade;
SQ.OrderStatus orderStatus = (record.LeavesQty > 0) ? SQ.OrderStatus.PartiallyFilled : SQ.OrderStatus.Filled;
ExecutionReport report = CreateReport(record, execType, orderStatus);
report.LastPx = trade.Price;
report.LastQty = trade.Qty;
provider.EmitExecutionReport(report);
}
}
private void OnRtnTrade_callback(object sender, ref TradeField trade)
{
(sender as XApi).Log.Debug("OnRtnTrade:" + trade.ToFormattedString());
try
{
orderMap.Process(ref trade);
}
catch (Exception ex)
{
(sender as XApi).Log.Error(ex);
}
}