public OnRspQryTradeArgs(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public void AddTraderResult(CThostFtdcTradeField pTrade)
{
try
{
sqlConnection.Open();
}
finally
{
sqlConnection.Close();
}
}
private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
if (OutputLog)
{
Console.WriteLine("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag, pTrade.Price, pTrade.Volume, pTrade.OrderRef);
}
SingleOrder order;
//找到自己发送的订单，标记成交
if (_OrderRef2Order.TryGetValue(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, pTrade.OrderRef), out order))
{
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
double Price = 0;
int Volume = 0;
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
EmitFilled(order, Price, Volume);
//完成使命了，删除
if (_trade.isEmpty())
{
_Orders4Combination.Remove(order);
}
}
}
else
{
//普通订单，直接通知即可
EmitFilled(order, pTrade.Price, pTrade.Volume);
}
}
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
}
private void OnRspQryTrade_callback(object sender, ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryTrade)
{
try
{
OnRspQryTrade(this, new OnRspQryTradeArgs(ref pTrade, ref pRspInfo, nRequestID, bIsLast));
}
catch (Exception ex)
{
MessageBox.Show("TraderApiWrapper::OnRspQryTrade_callback:" + ex.ToString());
}
}
}
/// <summary>
/// 成交回报
/// </summary>
private void CTradeApi_OnRtnTrade(ref CThostFtdcTradeField pTrade)
{
Trade t = new Trade(pTrade);
var key = new Tuple <string, Direction>(t.TradeID, t.Direction);
var value = this._DictTrade.AddOrUpdate(key, t, (k, v) => { v = t; return(v); });
//对于第一次登陆，由于先返回的是trade，所以不能调用UpdatePositionFromRtnTrade；只有当Position查询过后，才可以调用！
if (this._isFirstTimeLogin)
{
this._OnTrade?.Invoke(value);
}
else
{
UpdatePositionFromRtnTrade(new Trade(pTrade));
this._OnTrade?.Invoke(value);
}
}
private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
tdlog.Info("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6},成交编号{7}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag,
pTrade.Price, pTrade.Volume, pTrade.OrderRef, pTrade.TradeID);
//找到自己发送的订单，标记成交
string strSysID = string.Format("{0}:{1}", pTrade.ExchangeID, pTrade.OrderSysID);
string strKey;
if (!orderMap.TryGetValue(strSysID, out strKey))
{
tdlog.Warn("找不到对应OrderSysID: {0},{1},{2}",
strSysID,
pTrade.BrokerOrderSeq,
pTrade.OrderLocalID);
return;
}
GenericOrderItem item;
if (orderMap.TryGetValue(strKey, out item))
{
MultiOrderLeg leg = item.GetLeg(CTPAPI.FromCTP(pTrade.Direction), pTrade.InstrumentID);
SingleOrder order = leg.Order;
#if CTP
double Price = pTrade.Price;
#elif CTPZQ
double Price = Convert.ToDouble(pTrade.Price);
#endif
int Volume = pTrade.Volume;
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume, CommType.Absolute, 0);
// 成交完成，清理数据
OnRtnTradeLastStatus(item, pTrade, strSysID, strKey);
}
else
{
tdlog.Warn("找不到对应Key: {0}",
strKey);
}
}
public bool OnTrade(ref SingleOrder order, ref CThostFtdcTradeField pTrade, ref double Price, ref int Volume)
{
//先保存到两个队例，排序是为了配对
if (TThostFtdcDirectionType.Buy == pTrade.Direction)
{
qBuy.Add(pTrade);
qBuy.Sort(SortCThostFtdcTradeField);
}
else
{
qSell.Add(pTrade);
qSell.Sort(SortCThostFtdcTradeField);
}
//取已经配对好的
if (qBuy.Count > 0 && qSell.Count > 0)
{
// 有网友说可能成交时不成对，这地方是否改动一下
if (qBuy[0].Volume == qSell[0].Volume)//如果不等就有问题了
{
Volume = qBuy[0].Volume;
if (order.Side == Side.Buy)
{
Price = qBuy[0].Price - qSell[0].Price;
}
else
{
Price = qSell[0].Price - qBuy[0].Price;
}
//用完就清除
qBuy.RemoveAt(0);
qSell.RemoveAt(0);
return(true);
}
}
return(false);
}
private void OnRtnTrade_3(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
OnRtnTrade_1(this, pTraderApi, ref pTrade);
}
private void OnRspQryTrade_3(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
OnRspQryTrade_1(this, pTraderApi, ref pTrade, ref pRspInfo, nRequestID, bIsLast);
}
private static int SortCThostFtdcTradeField(CThostFtdcTradeField a1, CThostFtdcTradeField a2)
{
return(a1.TradeID.CompareTo(a2.TradeID));
}
private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
tdlog.Info("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6},成交编号{7}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag,
pTrade.Price, pTrade.Volume, pTrade.OrderRef, pTrade.TradeID);
//将仓位计算提前，防止在OnPositionOpened中下平仓时与“C|”配合出错
if (_dbInMemInvestorPosition.UpdateByTrade(pTrade))
{
}
else
{
//本地计算更新失败，重查一次
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, pTrade.InstrumentID);
}
SingleOrder order;
//找到自己发送的订单，标记成交
string strSysID = string.Format("{0}:{1}", pTrade.ExchangeID, pTrade.OrderSysID);
string strKey;
if (!_OrderSysID2OrderRef.TryGetValue(strSysID, out strKey))
{
return;
}
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
double Price = 0;
int Volume = 0;
if (TThostFtdcTradeTypeType.CombinationDerived == pTrade.TradeType)
{
//组合，得特别处理
DbInMemTrade _trade;//用此对象维护组合对
if (!_Orders4Combination.TryGetValue(order, out _trade))
{
_trade = new DbInMemTrade();
_Orders4Combination[order] = _trade;
}
//找到成对交易的，得出价差
if (_trade.OnTrade(ref order, ref pTrade, ref Price, ref Volume))
{
//完成使命了，删除
//if (_trade.isEmpty())
//{
// _Orders4Combination.Remove(order);
//}
}
}
else
{
//普通订单，直接通知即可
Price = pTrade.Price;
Volume = pTrade.Volume;
}
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume);
//成交完全，清理
if (LeavesQty <= 0)
{
_OrderRef2Order.Remove(strKey);
_OrderSysID2OrderRef.Remove(strSysID);
_Orders4Combination.Remove(order);
_Orders4Cancel.Remove(order);
}
}
}
public OnRtnTradeArgs(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
}
private void OnRtnTradeLastStatus(GenericOrderItem item, CThostFtdcTradeField pTrade, string OrderSysID, string Key)
{
OnLastStatus(item, OrderSysID, Key);
}
private void OnRspQryTrade_3(ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
OnRspQryTrade_1(this, ref pTrade, ref pRspInfo, nRequestID, bIsLast);
}
public OnRtnTradeArgs(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
}
private void OnRspQryTrade_callback(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryTrade)
{
OnRspQryTrade(this, new OnRspQryTradeArgs(pTraderApi, ref pTrade, ref pRspInfo, nRequestID, bIsLast));
}
}
public OnRtnTradeArgs(ref CThostFtdcTradeField pTrade)
{
this.pTrade = pTrade;
}
public override void OnRtnTrade(CThostFtdcTradeField pTrade)
{
_callbackApi.OnRtnTrade(pTrade);
}
public override void OnRspQryTrade(CThostFtdcTradeField pTrade, CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
_callbackApi.OnRspQryTrade(pTrade, pRspInfo, nRequestID, bIsLast);
}
///成交通知
public void OnRtnTrade(CThostFtdcTradeField pTrade)
{
Console.WriteLine("OnRtnTrade");
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CThostFtdcTradeField obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
///请求查询成交响应
public void OnRspQryTrade(CThostFtdcTradeField pTrade, CThostFtdcRspInfoField pRspInfo, int nRequestID,
bool bIsLast)
{
Console.WriteLine("OnRspQryTrade");
}
private void OnRtnTrade_3(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
OnRtnTrade_1(this, pTraderApi, ref pTrade);
}
public void AddTrader(string investorID, string instrumentID, string tradeTime, string orderRef, string tradeID, double price, int volume, EnumOffsetFlagType offsetFlag, EnumDirectionType direction, CThostFtdcTradeField pTrade)
{
try
{
sqlConnection.Open();
string sql = "insert into trader(investorID, instrumentID, tradeTime, orderRef, tradeID, price, volume" +
",offsetFlag,direction) values ('" +
investorID + "','" + instrumentID + "','" + tradeTime + "', '" + orderRef + "','" + tradeID + "'," + price + "," +
volume + "," + (offsetFlag == EnumOffsetFlagType.Open ? 0 : 1) + "," + (direction == EnumDirectionType.Buy ? 0 : 1) + ")";
//Console.WriteLine(sql);
MySqlCommand command = new MySqlCommand(sql, sqlConnection);
command.ExecuteNonQuery();
}
finally {
sqlConnection.Close();
}
}
private void OnRtnTrade_3(ref CThostFtdcTradeField pTrade)
{
OnRtnTrade_1(this, ref pTrade);
}
public bool UpdateByTrade(CThostFtdcTradeField pTrade)
{
/*
* Q:向非上海市场发送平今指今，系统能自动处理成平今，接到的回报是平今还是平仓?
* A:上海市场的昨仓用Close和CloseYesterday都能平，报单回报不会改变，而成交回报会修改成CloseYesterday
*
* Q:是否不同市场收到的成交回报都分为了今天与历史。非上海市场不时用Close时，返回数据能区分CloseToday和CloseYesterday吗？还是只回Close
*
* Q:上海强平今仓与昨仓会收到什么结果？
*
* Q:非上海市场，一手今，一手昨，同时平，收到的回报会如何？
*
*/
//如果是开仓，查找唯一的那条记录，不存在就插入
//如果是平今，只查找今天的记录，直接修改
//如果是平昨，只处理昨天
//如果是平仓，从历史开始处理
lock (this)
{
TThostFtdcPosiDirectionType PosiDirection = TThostFtdcPosiDirectionType.Short;
TThostFtdcPositionDateType PositionDate = TThostFtdcPositionDateType.Today;
if (TThostFtdcOffsetFlagType.Open == pTrade.OffsetFlag)
{
if (TThostFtdcDirectionType.Buy == pTrade.Direction)
{
PosiDirection = TThostFtdcPosiDirectionType.Long;
}
return(InsertOrReplaceForOpen(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume));
}
else
{
if (TThostFtdcDirectionType.Sell == pTrade.Direction)
{
PosiDirection = TThostFtdcPosiDirectionType.Long;
}
if (TThostFtdcOffsetFlagType.CloseToday == pTrade.OffsetFlag)
{
return(ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume) == 0);
}
else if (TThostFtdcOffsetFlagType.CloseYesterday == pTrade.OffsetFlag)
{
PositionDate = TThostFtdcPositionDateType.History;
return(ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume) == 0);
}
else if (TThostFtdcOffsetFlagType.Close == pTrade.OffsetFlag)
{
return(ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
pTrade.Volume) == 0);
}
else
{
//无法计算的开平类型，要求直接发送查询请求
return(false);
}
}
}
}
private void OnRtnTrade_callback(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
if (null != OnRtnTrade)
{
OnRtnTrade(this, new OnRtnTradeArgs(pTraderApi, ref pTrade));
}
}
public OnRspQryTradeArgs(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
private void CTPOnRtnTrade(ref CThostFtdcTradeField pTrade)
{
if (!IsLogin)
{
_rtnOrderTime = DateTime.Now;
}
string id;
OrderField of = null;
if (!(_dicSysidSfrId.TryGetValue(pTrade.OrderSysID, out id) && DicOrderField.TryGetValue(id, out of)))
{
CThostFtdcTradeField fReTrade = pTrade;
var list = _sysidTrade.GetOrAdd(pTrade.OrderSysID, new List <CThostFtdcTradeField>());
list.Add(fReTrade);
return;
}
TradeField f = new TradeField
{
Hedge = pTrade.HedgeFlag == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation ? HedgeType.Speculation
: pTrade.HedgeFlag == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage ? HedgeType.Arbitrage : HedgeType.Hedge,
Direction = pTrade.Direction == TThostFtdcDirectionType.THOST_FTDC_D_Buy ? DirectionType.Buy : DirectionType.Sell,
//ExchangeID = pTrade.ExchangeID,
InstrumentID = pTrade.InstrumentID,
Offset = pTrade.OffsetFlag == TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open ? OffsetType.Open
: pTrade.OffsetFlag == TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday ? OffsetType.CloseToday : OffsetType.Close,
Price = pTrade.Price,
TradeID = pTrade.TradeID + (char)pTrade.Direction,
TradeTime = pTrade.TradeTime,
TradingDay = pTrade.TradingDay,
Volume = pTrade.Volume,
SysID = pTrade.OrderSysID,
};
Exchange exc;
if (Enum.TryParse(pTrade.ExchangeID, out exc))
{
f.ExchangeID = exc;
}
if (DicTradeField.TryAdd(f.TradeID, f)) // string.Format("{0}_{1}", f.TradeID, f.Direction), f))
{
f.OrderID = id; //更新成交对应的委托ID
of.TradeTime = pTrade.TradeTime;
of.AvgPrice = (of.AvgPrice * (of.Volume - of.VolumeLeft) + pTrade.Price * pTrade.Volume) / (of.Volume - of.VolumeLeft + pTrade.Volume);
of.TradeVolume = pTrade.Volume;
of.VolumeLeft -= of.TradeVolume;
if (of.VolumeLeft == 0)
{
of.Status = OrderStatus.Filled;
of.StatusMsg = "全部成交";
}
else
{
of.Status = OrderStatus.Partial;
of.StatusMsg = "部分成交";
}
if (IsLogin)
{
#region 更新持仓
PositionField pf;
//处理持仓
if (f.Offset == OffsetType.Open)
{
pf = DicPositionField.GetOrAdd(f.InstrumentID + "_" + f.Direction, new PositionField());
pf.InstrumentID = f.InstrumentID;
pf.Direction = f.Direction;
pf.Hedge = f.Hedge;
pf.Price = (pf.Price * pf.Position + f.Price * f.Volume) / (pf.Position + f.Volume);
pf.TdPosition += f.Volume;
pf.Position += f.Volume;
}
else
{
pf = this.DicPositionField.GetOrAdd(f.InstrumentID + "_" + (f.Direction == DirectionType.Buy ? "Sell" : "Buy"), new PositionField());
if (f.Offset == OffsetType.CloseToday)
{
pf.TdPosition -= f.Volume;
}
else
{
int tdClose = Math.Min(pf.TdPosition, f.Volume);
if (pf.TdPosition > 0)
{
pf.TdPosition -= tdClose;
}
pf.YdPosition -= Math.Max(0, f.Volume - tdClose);
}
pf.Position -= f.Volume;
}
#endregion
//委托响应
_OnRtnOrder?.Invoke(this, new OrderArgs {
Value = of
});
//成交响应
_OnRtnTrade?.Invoke(this, new TradeArgs {
Value = f
});
}
}
}
/// <summary>
/// 构造函数
/// </summary>
public Trade(CThostFtdcTradeField tf)
{
this._tf = tf;
}
