public OnRspQryInvestorPositionArgs(ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pInvestorPosition = pInvestorPosition;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
private void OnRspQryInvestorPosition_callback(object sender, ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryInvestorPosition)
{
OnRspQryInvestorPosition(this, new OnRspQryInvestorPositionArgs(ref pInvestorPosition, ref pRspInfo, nRequestID, bIsLast));
}
}
public void FireOnRspReqQryInvestorPosition(CThostFtdcInvestorPositionField pInvestorPosition)
{
if (null != OnRspReqQryInvestorPosition)
{
OnRspReqQryInvestorPosition(pInvestorPosition);
}
}
private void OnRspQryInvestorPosition(IntPtr pTraderApi, ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
string key = GetPositionKey(pInvestorPosition);
_dictPositions[key] = pInvestorPosition;
CTPAPI.GetInstance().FireOnRspReqQryInvestorPosition(pInvestorPosition);
timerPonstion.Enabled = false;
timerPonstion.Enabled = true;
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryInvestorPosition:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryInvestorPosition:" + pRspInfo.ErrorMsg);
}
}
private void OnRspQryInvestorPosition(IntPtr pTraderApi, ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
_dbInMemInvestorPosition.InsertOrReplace(
pInvestorPosition.InstrumentID,
pInvestorPosition.PosiDirection,
pInvestorPosition.HedgeFlag,
pInvestorPosition.PositionDate,
pInvestorPosition.Position);
timerPonstion.Enabled = false;
timerPonstion.Enabled = true;
}
else
{
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryInvestorPosition:" + pRspInfo.ErrorMsg);
}
}
private void CTPOnRspQryInvestorPosition(ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (!string.IsNullOrEmpty(pInvestorPosition.InstrumentID))
{
var f = pInvestorPosition;
_listPosi.Add(f);
}
if (bIsLast)
{
foreach (var g in _listPosi.GroupBy(p => p.InstrumentID + "_" + p.PosiDirection))
{
var id = g.First();
//整理持仓数据
HedgeType hedge = HedgeType.Speculation;
switch (id.HedgeFlag)
{
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation:
hedge = HedgeType.Speculation;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage:
hedge = HedgeType.Arbitrage;
break;
case TThostFtdcHedgeFlagType.THOST_FTDC_HF_Hedge:
hedge = HedgeType.Hedge;
break;
}
DirectionType dire = DirectionType.Buy;
if (g.First().PosiDirection == TThostFtdcPosiDirectionType.THOST_FTDC_PD_Short)
{
dire = DirectionType.Sell;
}
var key = id.InstrumentID + "_" + dire;
var pf = DicPositionField.GetOrAdd(key, new PositionField
{
InstrumentID = id.InstrumentID,
Direction = dire,
Hedge = hedge,
});
//if (pInvestorPosition.PositionDate == TThostFtdcPositionDateType.THOST_FTDC_PSD_Today)
//{
// pf.TdPosition = pInvestorPosition.Position;
// pf.TdCost = pf.TdPosition == 0 ? 0 : (pInvestorPosition.PositionCost /*pInvestorPosition.TodayPosition * pf.TdPosition*/);
//}
//if (pInvestorPosition.PositionDate == TThostFtdcPositionDateType.THOST_FTDC_PSD_History)
//{
// pf.YdPosition = pInvestorPosition.Position;
// pf.YdCost = pInvestorPosition.PreSettlementPrice * pf.YdPosition * DicInstrumentField[pf.InstrumentID].VolumeMultiple;
// //pf.YdCost = pInvestorPosition.PositionCost / pInvestorPosition.YdPosition * pf.YdPosition;
//}
pf.Position = g.Sum(n => n.Position); // pf.TdPosition + pf.YdPosition;
pf.TdPosition = g.Sum(n => n.TodayPosition);
pf.YdPosition = pf.Position - pf.TdPosition; // g.Sum(n => n.YdPosition);
pf.Price = pf.Position <= 0 ? 0 : (g.Sum(n => n.PositionCost) / DicInstrumentField[pf.InstrumentID].VolumeMultiple / pf.Position);
pf.CloseProfit = g.Sum(n => n.CloseProfit);
pf.PositionProfit = g.Sum(n => n.PositionProfit);
pf.Commission = g.Sum(n => n.Commission);
pf.Margin = g.Sum(n => n.UseMargin);
}
TradingAccount.CloseProfit = _listPosi.Sum(n => n.CloseProfit);
TradingAccount.PositionProfit = _listPosi.Sum(n => n.PositionProfit);
TradingAccount.Commission = _listPosi.Sum(n => n.Commission);
TradingAccount.Fund = TradingAccount.PreBalance + TradingAccount.CloseProfit + TradingAccount.PositionProfit - TradingAccount.Commission;
TradingAccount.FrozenCash = _listPosi.Sum(n => n.FrozenCash);
//由查帐户资金函数处理,原因:保证金有单边收的情况无法用持仓统计
//TradingAccount.CurrMargin = _listPosi.Sum(n => n.UseMargin);
//TradingAccount.Available = TradingAccount.Fund - TradingAccount.CurrMargin - TradingAccount.FrozenCash;
//TradingAccount.Risk = TradingAccount.CurrMargin / TradingAccount.Fund;
_listPosi.Clear();//清除,以便得到结果是重新添加
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CThostFtdcInvestorPositionField obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
private void OnRspQryInvestorPosition_3(ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
OnRspQryInvestorPosition_1(this, ref pInvestorPosition, ref pRspInfo, nRequestID, bIsLast);
}
private void OnRspQryInvestorPosition_3(IntPtr pTraderApi, ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
OnRspQryInvestorPosition_1(this, pTraderApi, ref pInvestorPosition, ref pRspInfo, nRequestID, bIsLast);
}
private void OnRspQryInvestorPosition_callback(IntPtr pTraderApi, ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryInvestorPosition)
{
OnRspQryInvestorPosition(this, new OnRspQryInvestorPositionArgs(pTraderApi, ref pInvestorPosition, ref pRspInfo, nRequestID, bIsLast));
}
}
public override void OnRspQryInvestorPosition(CThostFtdcInvestorPositionField pInvestorPosition, CThostFtdcRspInfoField pRspInfo,
int nRequestID, bool bIsLast)
{
_callbackApi.OnRspQryInvestorPosition(pInvestorPosition, pRspInfo, nRequestID, bIsLast);
}
public OnRspQryInvestorPositionArgs(IntPtr pTraderApi, ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pInvestorPosition = pInvestorPosition;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
///请求查询投资者持仓响应
public void OnRspQryInvestorPosition(CThostFtdcInvestorPositionField pInvestorPosition,
CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
Console.WriteLine("OnRspQryInvestorPosition");
}
private string GetPositionKey(CThostFtdcInvestorPositionField p)
{
return(GetPositionKey(p.InstrumentID, p.PosiDirection, p.HedgeFlag, p.PositionDate));
}
void OnRspReqQryInvestorPosition(CThostFtdcInvestorPositionField pInvestorPosition)
{
Console.WriteLine("==持仓");
Console.WriteLine(pInvestorPosition.InstrumentID);
}
/// <summary>
/// 查询持仓回报
/// </summary>
private void CTradeApi_OnRspQryInvestorPosition(ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (!string.IsNullOrEmpty(pInvestorPosition.InstrumentID))
{
var f = pInvestorPosition;
if (f.Position > 0) //Position字段即总仓位
{
this._ListPositionField.Add(f);
}
}
if (bIsLast)
{
this._isFirstTimeLogin = false;
foreach (var g in _ListPositionField.GroupBy(p => p.InstrumentID + "_" + p.PosiDirection + "_" + p.HedgeFlag))
{
var id = g.First();
var instrumentID = id.InstrumentID;
var direction = ConvertFunctions.TThostFtdcPosiDirectionType_To_Direction(id.PosiDirection);
var hedge = ConvertFunctions.TThostFtdcHedgeFlagType_To_HedgeFlag(id.HedgeFlag);
var key = new Tuple <string, Direction, HedgeFlag>(instrumentID, direction, hedge);
var pos = this._DictInvestorPosition.GetOrAdd(key, new Position(instrumentID, direction, hedge));
#region 持仓赋值
pos.TdPosition = g.Sum(n => n.TodayPosition);
pos.YdPosition = g.Sum(n => n.YdPosition);
if (pos.TotalPosition == 0)
{
this._DictInvestorPosition.TryRemove(key, out pos);
continue;
}
pos.BrokerID = id.BrokerID;
pos.InvestorID = id.InvestorID;
pos.PositionDateType = g.Max(n => ConvertFunctions.TThostFtdcPositionDateType_To_PositionDateType(n.PositionDate));//枚举类型值：今 = 1；昨 = 2；
pos.LongFrozen = g.Sum(n => n.LongFrozen);
pos.ShortFrozen = g.Sum(n => n.ShortFrozen);
pos.LongFrozenAmount = g.Sum(n => n.LongFrozenAmount);
pos.ShortFrozenAmount = g.Sum(n => n.ShortFrozenAmount);
pos.OpenVolume = g.Sum(n => n.OpenVolume);
pos.CloseVolume = g.Sum(n => n.CloseVolume);
pos.OpenAmount = g.Sum(n => n.OpenAmount);
pos.CloseAmount = g.Sum(n => n.CloseAmount);
pos.PositionCost = g.Sum(n => n.PositionCost);
pos.PreMargin = g.Sum(n => n.PreMargin);
pos.UseMargin = g.Sum(n => n.UseMargin);
pos.FrozenMargin = g.Sum(n => n.FrozenMargin);
pos.FrozenCash = g.Sum(n => n.FrozenCash);
pos.FrozenCommission = g.Sum(n => n.FrozenCommission);
pos.CashIn = g.Sum(n => n.CashIn);
pos.Commission = g.Sum(n => n.Commission);
pos.CloseProfit = g.Sum(n => n.CloseProfit);
pos.PositionProfit = g.Sum(n => n.PositionProfit);
pos.PreSettlementPrice = g.Sum(n => n.PreSettlementPrice);
pos.SettlementPrice = g.Sum(n => n.SettlementPrice);
pos.TradingDay = g.Max(n => n.TradingDay);
pos.OpenCost = g.Sum(n => n.OpenCost);
pos.ExchangeMargin = g.Sum(n => n.ExchangeMargin);
pos.CombPosition = g.Sum(n => n.CombPosition);
pos.CombLongFrozen = g.Sum(n => n.CombLongFrozen);
pos.CombShortFrozen = g.Sum(n => n.CombShortFrozen);
pos.CloseProfitByDate = g.Sum(n => n.CloseProfitByDate);
pos.CloseProfitByTrade = g.Sum(n => n.CloseProfitByTrade);
pos.MarginRateByMoney = id.MarginRateByMoney;
pos.MarginRateByVolume = id.MarginRateByVolume;
pos.StrikeFrozen = g.Sum(n => n.StrikeFrozen);
pos.StrikeFrozenAmount = g.Sum(n => n.StrikeFrozenAmount);
pos.AbandonFrozen = g.Sum(n => n.AbandonFrozen);
InstrumentField instrument;
this._DictInstrumentField.TryGetValue(pos.InstrumentID, out instrument);
if (instrument != null)
{//OpenProfit是自设字段，表示开仓后到现在的总盈亏
pos.AvgOpenPrice = pos.OpenCost / pos.TotalPosition / instrument.VolumeMultiple;
if (pos.PosiDirection == Direction.Buy)
{
pos.OpenProfit = (pos.LastPrice - pos.AvgOpenPrice) * pos.TotalPosition * instrument.VolumeMultiple;
}
else if (pos.PosiDirection == Direction.Sell)
{
pos.OpenProfit = -(pos.LastPrice - pos.AvgOpenPrice) * pos.TotalPosition * instrument.VolumeMultiple;
}
}
#endregion
pos.Notify("");
//外部函数引发调用
this._OnPosition?.Invoke(pos);
}
this._OnPositionChanged?.Invoke(this._DictInvestorPosition);
#region TradingAccount
//TradingAccount.CloseProfit = _listPosi.Sum(n => n.CloseProfit);
//TradingAccount.PositionProfit = _listPosi.Sum(n => n.PositionProfit);
//TradingAccount.Commission = _listPosi.Sum(n => n.Commission);
//TradingAccount.Fund = TradingAccount.PreBalance + TradingAccount.CloseProfit + TradingAccount.PositionProfit - TradingAccount.Commission;
//TradingAccount.FrozenCash = _listPosi.Sum(n => n.FrozenCash);
////由查帐户资金函数处理,原因:保证金有单边收的情况无法用持仓统计
////TradingAccount.CurrMargin = _listPosi.Sum(n => n.UseMargin);
////TradingAccount.Available = TradingAccount.Fund - TradingAccount.CurrMargin - TradingAccount.FrozenCash;
////TradingAccount.Risk = TradingAccount.CurrMargin / TradingAccount.Fund;
#endregion
_ListPositionField.Clear();//清除,以便得到结果是重新添加
}
_isQryPositionCompleted = bIsLast;
}
