public static extern int TD_SendOrder(
IntPtr pTraderApi,
int localOrderID,
string szInstrument,
DFITCBuySellTypeType sBuySellType,
DFITCOpenCloseTypeType sOpenCloseType,
DFITCSpeculatorType sSpeculator,
int lAmount,
double dbPrice,
DFITCOrderTypeType orderType,
DFITCOrderPropertyType orderProperty,
DFITCInstrumentTypeType nInstrumentType,
DFITCInsertType insertType);
private void Send(NewOrderSingle order)
{
if (order == null)
{
return;
}
if (!_bTdConnected)
{
EmitError(-1, -1, "交易服务器没有连接，无法报单");
tdlog.Error("交易服务器没有连接，无法报单");
return;
}
Instrument inst = InstrumentManager.Instruments[order.Symbol];
string altSymbol = inst.GetSymbol(Name);
string altExchange = inst.GetSecurityExchange(Name);
double tickSize = inst.TickSize;
string type = inst.SecurityType;
// CThostFtdcInstrumentField _Instrument;
// if (_dictInstruments.TryGetValue(altSymbol, out _Instrument))
// {
// //从合约列表中取交易所名与tickSize，不再依赖用户手工设置的参数了
// tickSize = _Instrument.PriceTick;
// altExchange = _Instrument.ExchangeID;
// }
//最小变动价格修正
double price = order.Price;
//市价修正，如果不连接行情，此修正不执行，得策略层处理
DFITCDepthMarketDataField DepthMarket;
//如果取出来了，并且为有效的，涨跌停价将不为0
_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket);
// 市价单模拟
if (OrdType.Market == order.OrdType)
{
//按买卖调整价格
if (order.Side == Side.Buy)
{
price = DepthMarket.LastPrice + LastPricePlusNTicks * tickSize;
}
else
{
price = DepthMarket.LastPrice - LastPricePlusNTicks * tickSize;
}
}
//没有设置就直接用
if (tickSize > 0)
{
decimal remainder = ((decimal)price % (decimal)tickSize);
if (remainder != 0)
{
if (order.Side == Side.Buy)
{
price = Math.Ceiling(price / tickSize) * tickSize;
}
else
{
price = Math.Floor(price / tickSize) * tickSize;
}
}
else
{
//正好能整除，不操作
}
}
if (0 == DepthMarket.UpperLimitPrice &&
0 == DepthMarket.LowerLimitPrice)
{
//涨跌停无效
}
else
{
//防止价格超过涨跌停
if (price >= DepthMarket.UpperLimitPrice)
{
price = DepthMarket.UpperLimitPrice;
}
else if (price <= DepthMarket.LowerLimitPrice)
{
price = DepthMarket.LowerLimitPrice;
}
}
DFITCOpenCloseTypeType szCombOffsetFlag;
//根据 梦翔 与 马不停蹄 的提示，新加在Text域中指定开平标志的功能
if (order.Text.StartsWith(OpenPrefix))
{
szCombOffsetFlag = DFITCOpenCloseTypeType.OPEN;
}
else if (order.Text.StartsWith(ClosePrefix))
{
szCombOffsetFlag = DFITCOpenCloseTypeType.CLOSE;
}
else if (order.Text.StartsWith(CloseTodayPrefix))
{
szCombOffsetFlag = DFITCOpenCloseTypeType.CLOSETODAY;
}
else if (order.Text.StartsWith(CloseYesterdayPrefix))
{
szCombOffsetFlag = DFITCOpenCloseTypeType.CLOSE;
}
else if (order.Text.StartsWith(ExecutePrefix))
{
szCombOffsetFlag = DFITCOpenCloseTypeType.EXECUTE;
}
else
{
szCombOffsetFlag = DFITCOpenCloseTypeType.OPEN;
}
DFITCInsertType insertType = DFITCInsertType.BASIC_ORDER;
if (order.Text.Length >= 3)
{
if (order.Text[2] == '*')
{
insertType = DFITCInsertType.AUTO_ORDER;
}
}
int leave = (int)order.OrderQty;
DFITCSpeculatorType szCombHedgeFlag = SpeculatorType;
bool bSupportMarketOrder = SupportMarketOrder.Contains(altExchange);
tdlog.Info("Side:{0},Price:{1},LastPrice:{2},Qty:{3},Text:{4}",
order.Side, order.Price, DepthMarket.LastPrice, order.OrderQty, order.Text);
DFITCBuySellTypeType sBuySellType = order.Side == Side.Buy ? DFITCBuySellTypeType.BUY : DFITCBuySellTypeType.SELL;
DFITCOrderTypeType orderType = DFITCOrderTypeType.LIMITORDER;
DFITCOrderPropertyType orderProperty = DFITCOrderPropertyType.NON;
DFITCInstrumentTypeType nInstrumentType = (FIXSecurityType.FutureOption == type) ? DFITCInstrumentTypeType.OPT_TYPE : DFITCInstrumentTypeType.COMM_TYPE;
switch (order.TimeInForce)
{
case TimeInForce.IOC:
orderProperty = DFITCOrderPropertyType.FAK;
break;
case TimeInForce.FOK:
orderProperty = DFITCOrderPropertyType.FOK;
break;
default:
break;
}
int nRet = 0;
switch (order.OrdType)
{
case OrdType.Limit:
break;
case OrdType.Market:
if (SwitchMakertOrderToLimitOrder || !bSupportMarketOrder)
{
}
else
{
//price = 0;
orderType = DFITCOrderTypeType.MKORDER;
}
break;
default:
tdlog.Warn("没有实现{0}", order.OrdType);
return;
}
nRet = TraderApi.TD_SendOrder(m_pTdApi, -1,
altSymbol,
sBuySellType,
szCombOffsetFlag,
szCombHedgeFlag,
leave,
price,
orderType,
orderProperty,
nInstrumentType,
insertType);
if (nRet > 0)
{
_OrderRef2Order[string.Format("{0}:{1}", _RspUserLogin.sessionID, nRet)] = order as SingleOrder;
}
}
