public void InsertTest()
{
var trade = new TradeBook();
trade.BuyOrderId = "235245213353431";
trade.BuyPrice = 13;
trade.BuyVolume = 1;
trade.BuyTradeVolume = 0;
trade.BuyTradePrice = 0;
trade.BuyTradeAmount = 0;
trade.SellOrderId = "";
trade.SellPrice = 3;
trade.SellVolume = 0;
trade.SellTradeVolume = 0;
trade.SellTradePrice = 0;
trade.SellTradeAmount = 0;
trade.Profit = 1;
trade.Status = TradeStatus.买单中.ToString();
trade.UpdateDate = DateTime.Now.ToString();
trade.CreateDate = DateTime.Now.ToString();
var result = TradeBookRepository.CrateOrder(trade);
//var result = TradeBookRepository.CreateTradeBook2(trade);
Assert.IsTrue(result == 1);
}
/// <summary>
/// 创建交易订单
/// </summary>
/// <param name="currency">交易货币类型</param>
/// <param name="price">价格</param>
/// <param name="volume">交易量</param>
/// <param name="profitPrice">利润单价</param>
/// <returns></returns>
public static bool CreateTrade(CurrencyType currency, decimal price, decimal volume, decimal profitPrice)
{
if (volume * price > 10)
{
throw new Exception("主人很穷，测试下单就不要搞那么大数据了吧！");
}
var tradeId = 0;
var result = new ResponseModel()
{
Code = "1000"
}; //TradeServices.Order(price, volume, TradeType.buy, currency);
if (result.Code == "1000")
{
var tradeBook = new TradeBook();
tradeBook.BuyOrderId = result.Id;
tradeBook.BuyPrice = price;
tradeBook.BuyVolume = volume;
tradeBook.BuyTradeAmount = volume * price;
tradeBook.BuyTradePrice = 0;
tradeBook.BuyTradeVolume = 0;
tradeBook.SellOrderId = "";
tradeBook.SellPrice = 0;
tradeBook.SellVolume = 0;
tradeBook.SellTradeAmount = 0;
tradeBook.SellTradeVolume = 0;
tradeBook.SellTradePrice = 0;
tradeBook.Profit = profitPrice;
tradeBook.Status = TradeStatus.买单中.ToString();
tradeBook.UpdateDate = DateTime.Now.ToString();
tradeBook.CreateDate = DateTime.Now.ToString();
tradeId = TradeBookRepository.CrateOrder(tradeBook);
}
return(result.Code == "1000" && tradeId > 0);
}
/// <summary>
/// 创建TradeBook
/// </summary>
/// <param name="model"></param>
/// <returns></returns>
public static int CrateOrder(TradeBook model)
{
var sql = $@"INSERT INTO TradeBook(TradeId,BuyOrderId,BuyPrice,BuyVolume,BuyTradeVolume,BuyTradePrice,BuyTradeAmount,SellOrderId,SellPrice,SellVolume,SellTradeVolume,SellTradePrice,SellTradeAmount,Profit,Status,UpdateDate,CreateDate)
VALUES(NULL,'{model.BuyOrderId}',{model.BuyPrice},{model.BuyVolume},{model.BuyTradeVolume},{model.BuyTradePrice},{model.BuyTradeAmount},'{model.SellOrderId}',{model.SellPrice},{model.SellVolume},{model.SellTradeVolume},{model.SellTradePrice},{model.SellTradeAmount},{model.Profit},'{model.Status}','{model.UpdateDate}','{model.CreateDate}')";
return(DataProvider.GetConnection().Execute(sql));
}
private void printTradingLog(TradeBook trade, List <OrderBook> orderBook, StockTickTransaction tickData)
{
//foreach (var order in orderBook)
//{
// if (trade.orderId==order.orderId)
// {
// Console.WriteLine("成交时间:{0},挂单时间:{1},成交量:{2},成交价:{3},ask1:{4},bid1:{5},lp：{6}", trade.time, order.time, trade.volume, trade.price, tickData.Ask1, tickData.Bid1, tickData.LastPrice);
// }
//}
}
static void Main(string[] args)
{
TextBook t1 = new TextBook(10, "Man", 23.3);
Console.WriteLine(t1.takeprice());
t1.Show();
TradeBook t2 = new TradeBook(20, "Month", 23.3);
Console.WriteLine(t2.takeprice());
t2.Show();
}
//按盘口价格模拟成交
private void transactionSimulation(ref List <OrderBook> orderBook, ref List <TradeBook> tradeBook, StockTickTransaction tickData)
{
//如果orderbook上的挂单时间早于tickData数据的时间，认为orderbook的挂单完全成交。
for (int i = 0; i < orderBook.Count(); i++)
{
var order = orderBook[i];
if (order.time < tickData.TransactionDateTime)
{
if (order.price <= tickData.Bid1 && order.volume > 0) //若order的卖价小于等于bid1的价格，认为其在该时刻已经成交了。
{
//记录成交信息
TradeBook trade = new TradeBook();
trade.tradeId = tradeId;
tradeId += 1;
trade.time = tickData.TransactionDateTime;
trade.price = order.price;
trade.volume = order.volume;
trade.orderId = order.orderId;
//刷新orderbook情况
UpdateOrderBookWaitingVolume(order.price, orderBook[i].waitingVolume + orderBook[i].volume, i + 1, ref orderBook);
order.waitingVolume = 0;
order.volume = 0;
tradeBook.Add(trade);
printTradingLog(trade, orderBook, tickData);
}
}
}
//如果orderbook上的挂单时间等于或者晚于tickData数据的时间，按照盘口成交，并减少盘口的量。
var summary = getOrderBookSummary(orderBook);//先汇总挂单价格
//按挂单价格遍历
foreach (var price in summary.Keys)
{
for (int i = 0; i < orderBook.Count(); i++)//按order挂单的先后顺序成交
{
int tradableVolume = getTradableVolumeFromMarket(tickData, price);
int tradedVolume = 0;
if (tradableVolume <= 0)
{
break;
}
var order = orderBook[i];
if (orderBook[i].volume == 0 || orderBook[i].price != price)
{
continue;
}
//先成交他人的订单
if (tradableVolume <= orderBook[i].waitingVolume)
{
//无法成交
UpdateOrderBookWaitingVolume(price, tradableVolume, i, ref orderBook);
tradedVolume = tradableVolume;
tradableVolume = 0;
UpdateTickData(ref tickData, tradedVolume);
break;
}
//再成交策略的挂单
else if (tradableVolume <= orderBook[i].waitingVolume + orderBook[i].volume)
{
//部分成交
UpdateOrderBookWaitingVolume(price, tradableVolume, i + 1, ref orderBook);
TradeBook trade = new TradeBook();
trade.tradeId = tradeId;
tradeId += 1;
trade.time = tickData.TransactionDateTime;
trade.price = price;
trade.volume = tradableVolume - orderBook[i].waitingVolume;
trade.orderId = orderBook[i].orderId;
UpdateOrderBookWaitingVolume(price, tradableVolume, i + 1, ref orderBook);
orderBook[i].volume -= tradableVolume - orderBook[i].waitingVolume;
orderBook[i].waitingVolume = 0;
tradedVolume = tradableVolume;
UpdateTickData(ref tickData, tradedVolume);
tradableVolume = 0;
tradeBook.Add(trade);
printTradingLog(trade, orderBook, tickData);
break;
}
else
{
//完全成交
UpdateOrderBookWaitingVolume(price, orderBook[i].waitingVolume + orderBook[i].volume, i + 1, ref orderBook);
TradeBook trade = new TradeBook();
trade.code = code;
trade.tradeId = tradeId;
tradeId += 1;
trade.time = tickData.TransactionDateTime;
trade.price = price;
trade.volume = orderBook[i].volume;
trade.orderId = orderBook[i].orderId;
UpdateOrderBookWaitingVolume(price, tradableVolume, i + 1, ref orderBook);
tradedVolume = orderBook[i].waitingVolume + orderBook[i].volume;
orderBook[i].volume = 0;
orderBook[i].waitingVolume = 0;
UpdateTickData(ref tickData, tradedVolume);
tradableVolume -= tradedVolume;
tradeBook.Add(trade);
printTradingLog(trade, orderBook, tickData);
}
}
}
}
public TradeBook getTradeBook()
{
TradeBook ret = new TradeBook(ContextModulePINVOKE.Portfolio_getTradeBook(swigCPtr), false);
return ret;
}
internal static HandleRef getCPtr(TradeBook obj)
{
return (obj == null) ? new HandleRef(null, IntPtr.Zero) : obj.swigCPtr;
}
public TradeBook getTradeBook()
{
TradeBook ret = new TradeBook(ContextModulePINVOKE.Portfolio_getTradeBook(swigCPtr), false);
return(ret);
}
/// <summary>
/// 自动卖单
/// </summary>
/// <param name="model"></param>
/// <returns></returns>
public static int UpdateOrder(TradeBook model)
{
var sql = $@"UPDATE TradeBook SET BuyTradeVolume={model.BuyTradeVolume},BuyTradePrice={model.BuyTradePrice}, BuyTradeAmount={model.BuyTradeAmount},SellOrderId='{model.SellOrderId}',SellPrice={model.SellPrice},SellVolume={model.SellVolume},SellTradeVolume={model.SellTradeVolume},SellTradePrice={model.SellTradePrice},SellTradeAmount={model.SellTradeAmount},Status='{model.Status}',UpdateDate='{DateTime.Now}' WHERE TradeId={model.TradeId}";
return(DataProvider.GetConnection().Execute(sql));
}
internal static HandleRef getCPtr(TradeBook obj)
{
return((obj == null) ? new HandleRef(null, IntPtr.Zero) : obj.swigCPtr);
}
