public static void AddPosition2(
Framework framework,
SmartQuant.Portfolio pf,
DateTime dateTime,
Instrument instrument, byte currencyId,
OrderSide side, SubSide subSide,
double qty, double price,
string text)
{
// 强行改变Portfolio，无法存盘，所以被淘汰
var order = new Order(null, pf, instrument, OrderType.Limit, side, qty, price, 0, TimeInForce.Day, 0, text);
order.SubSide = subSide;
var er = new ExecutionReport(order);
er.DateTime = dateTime;
er.CurrencyId = currencyId;
er.LastQty = qty;
er.LastPx = price;
er.Text = text;
var f = new Fill(er);
pf.Add(f);
}
public static void AddPosition(
Framework framework,
SmartQuant.Portfolio pf,
DateTime dateTime,
Instrument instrument, byte currencyId,
OrderSide side, SubSide subSide,
double qty, double price,
string text)
{
// 创建Order
var order = new Order(null, pf, instrument, OrderType.Limit, side, qty, price, 0, TimeInForce.Day, 0, text);
order.SubSide = subSide;
// 想记录下来就得注册
framework.OrderManager.Register(order);
// 模拟下单
var executionCommand = new ExecutionCommand(ExecutionCommandType.Send, order);
executionCommand.DateTime = dateTime;
executionCommand.IsLoaded = true;
framework.OrderManager.Messages.Add(executionCommand);
order.OnExecutionCommand(executionCommand);
framework.EventServer.OnEvent(executionCommand);
// 直接保存不管用
//if (framework.StrategyManager.Persistence == StrategyPersistence.Save || framework.StrategyManager.Persistence == StrategyPersistence.Full)
//{
// framework.OrderServer.Save(executionCommand);
//}
// 模拟成交
var executionReport = new ExecutionReport(executionCommand);
executionReport.OrdStatus = OrderStatus.Filled;
executionReport.ExecType = ExecType.ExecTrade;
executionReport.DateTime = dateTime;
executionReport.LastPx = price;
executionReport.LastQty = qty;
executionReport.LeavesQty = 0;
executionReport.CumQty = qty;
executionReport.IsLoaded = true;
// 成交不需要额外添加
// framework.OrderManager.Messages.Add(executionReport);
order.OnExecutionReport(executionReport);
framework.EventServer.OnEvent(executionReport);
}
private void SetSubSide(ExecutionCommand cmd, SubSide subSide)
{
ExecutionCommandSerializer.subSide.Setter(cmd, subSide);
}
public static void SetSubSide(this Order order, SubSide side)
{
SubSideField.Setter(order, side);
}
private ExecutionCommand _AddCommand(DateTime datetime,
string portfolio,
string instrument, OrderType type, OrderSide side, SubSide subSide,
double qty, double price = 0, string text = "")
{
var _provider = framework.ExecutionSimulator;
var _portfolio = framework.PortfolioManager.GetByName(portfolio);
var _instrument = framework.InstrumentManager.Instruments[instrument];
var order = new Order(_provider, _portfolio, _instrument, type, side, qty, price);
order.SubSide = subSide;
order.Id = ++last_order_id;
order.DateTime = datetime;
order.Text = text;
var result = new ExecutionCommand(ExecutionCommandType.Send, order);
return(result);
}
/// <summary>
/// 添加定单并全成
/// 主要用于改变仓位
///
/// 可将这个时间的记录改成16点，表示此单是人工修改
/// </summary>
/// <param name="messages"></param>
/// <param name="datetime"></param>
/// <param name="portfolio"></param>
/// <param name="instrument"></param>
/// <param name="type"></param>
/// <param name="side"></param>
/// <param name="subSide"></param>
/// <param name="qty"></param>
/// <param name="price"></param>
/// <param name="text"></param>
/// <returns></returns>
public List <ExecutionMessage> AddOrder(List <ExecutionMessage> messages, DateTime datetime,
string portfolio,
string instrument, OrderType type, OrderSide side, SubSide subSide,
double qty, double price = 0, string text = "Manual"
)
{
// 撤单与OCA单混在一起，会导致出错
// 一起撤单时，正好撤到下一个的OCA单
var cmd = _AddCommand(datetime, portfolio, instrument, type, side, subSide, qty, price, text);
messages.Add(cmd);
var rpt = _AddReport(cmd);
messages.Add(rpt);
return(messages);
}
