private void OnRtnTrade_callback(IntPtr pTraderApi, ref CZQThostFtdcTradeField pTrade)
{
if (null != OnRtnTrade)
{
OnRtnTrade(this, new OnRtnTradeArgs(pTraderApi, ref pTrade));
}
}
/// <summary>
/// 返回交易模块编号
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
public static string GetModelID(object field)
{
//委托单
if (field is CZQThostFtdcInputOrderField)
{
CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpOrder = (CZQThostFtdcTradeField)field;
return(GetModelIDByOrderRef(ctpOrder.OrderRef));
}
throw new Exception("unknow field:" + field.ToString(), null);
}
private void OnRspQryTrade_callback(IntPtr pTraderApi, ref CZQThostFtdcTradeField pTrade, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryTrade)
{
OnRspQryTrade(this, new OnRspQryTradeArgs(pTraderApi, ref pTrade, ref pRspInfo, nRequestID, bIsLast));
}
}
public OnRspQryTradeArgs(IntPtr pTraderApi, ref CZQThostFtdcTradeField pTrade, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public bool UpdateByTrade(CZQThostFtdcTradeField pTrade)
{
lock (this)
{
TZQThostFtdcPosiDirectionType PosiDirection = TZQThostFtdcPosiDirectionType.Net;
TZQThostFtdcPositionDateType PositionDate = TZQThostFtdcPositionDateType.Today;
TZQThostFtdcHedgeFlagType HedgeFlag = TZQThostFtdcHedgeFlagType.Speculation;
return(InsertOrReplaceForTrade(
pTrade.InstrumentID,
PosiDirection,
pTrade.Direction,
HedgeFlag,
PositionDate,
pTrade.Volume));
}
}
public bool OnTrade(ref SingleOrder order, ref CZQThostFtdcTradeField pTrade, ref double Price, ref int Volume)
{
//先保存到两个队例，排序是为了配对
//if (TZQThostFtdcDirectionType.Buy == pTrade.Direction)
//{
// qBuy.Add(pTrade);
// qBuy.Sort(SortCZQThostFtdcTradeField);
//}
//else
//{
// qSell.Add(pTrade);
// qSell.Sort(SortCZQThostFtdcTradeField);
//}
////取已经配对好的
//if (qBuy.Count > 0 && qSell.Count > 0)
//{
// 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);
}
public static string GetOrderUniqueKey(object field)
{
//委托单
//if (field is CZQThostFtdcInputOrderField)
//{
// CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
// return string.Format("{0}_{1}_{2}_{3}", ctpOrder.BrokerID, ctpOrder.InvestorID, ctpOrder.InstrumentID, ctpOrder.OrderRef);
//}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(string.Format("{0:X}_{1:X}_{2}", ctpOrder.FrontID, ctpOrder.SessionID, ctpOrder.OrderRef.Trim()));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(string.Format("{0:X}_{1:X}_{2}", ctpOrder.FrontID, ctpOrder.SessionID, ctpOrder.OrderRef.Trim()));
}
//预埋单
if (field is CZQThostFtdcParkedOrderField)
{
CZQThostFtdcParkedOrderField ctpOrder = (CZQThostFtdcParkedOrderField)field;
return(string.Format("{0}_{1}_{2}", ctpOrder.BrokerID, ctpOrder.InvestorID, ctpOrder.ParkedOrderID));
}
//删除预埋单
if (field is CZQThostFtdcRemoveParkedOrderField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(string.Format("{0}_{1}_{2}", ctpOrder.BrokerID, ctpOrder.InvestorID, ctpOrder.ParkedOrderID));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpData = (CZQThostFtdcTradeField)field;
return(string.Format("{0}_{1}_{2}_{3}", ctpData.BrokerID, ctpData.InvestorID, ctpData.TradingDay, ctpData.TradeID));
}
//持仓
if (field is CZQThostFtdcInvestorPositionField)
{
CZQThostFtdcInvestorPositionField ctpData = (CZQThostFtdcInvestorPositionField)field;
return(string.Format("{0}_{1}_{2}_{3}_{4}", ctpData.BrokerID, ctpData.InvestorID, ctpData.TradingDay, ctpData.InstrumentID, ctpData.PosiDirection));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionDetailField)
{
//注意！！成交单ID可能重复
CZQThostFtdcInvestorPositionDetailField ctpData = (CZQThostFtdcInvestorPositionDetailField)field;
return(string.Format("{0}_{1}_{2}_{3}", ctpData.BrokerID, ctpData.InvestorID, ctpData.TradingDay, ctpData.TradeID));
}
throw new Exception("Unknow type : " + field.GetType().ToString());
}
public static string GetUserKey(object field)
{
//委托单
if (field is CZQThostFtdcInputOrderField)
{
CZQThostFtdcInputOrderField ctpOrder = (CZQThostFtdcInputOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//撤单
if (field is CZQThostFtdcOrderActionField)
{
CZQThostFtdcOrderActionField ctpOrder = (CZQThostFtdcOrderActionField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//预埋单
if (field is CZQThostFtdcParkedOrderField)
{
CZQThostFtdcParkedOrderField ctpOrder = (CZQThostFtdcParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//删除预埋单
if (field is CZQThostFtdcRemoveParkedOrderField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//预埋撤单
if (field is CZQThostFtdcParkedOrderActionField)
{
CZQThostFtdcRemoveParkedOrderField ctpOrder = (CZQThostFtdcRemoveParkedOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//删除预埋撤单
if (field is CZQThostFtdcRemoveParkedOrderActionField)
{
CZQThostFtdcRemoveParkedOrderActionField ctpOrder = (CZQThostFtdcRemoveParkedOrderActionField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//订单
if (field is CZQThostFtdcOrderField)
{
CZQThostFtdcOrderField ctpOrder = (CZQThostFtdcOrderField)field;
return(GetUserKey(ctpOrder.InvestorID, ctpOrder.BrokerID));
}
//成交单
if (field is CZQThostFtdcTradeField)
{
CZQThostFtdcTradeField ctpData = (CZQThostFtdcTradeField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓
if (field is CZQThostFtdcInvestorPositionField)
{
CZQThostFtdcInvestorPositionField ctpData = (CZQThostFtdcInvestorPositionField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionDetailField)
{
CZQThostFtdcInvestorPositionDetailField ctpData = (CZQThostFtdcInvestorPositionDetailField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//持仓明细
if (field is CZQThostFtdcInvestorPositionCombineDetailField)
{
CZQThostFtdcInvestorPositionCombineDetailField ctpData = (CZQThostFtdcInvestorPositionCombineDetailField)field;
return(GetUserKey(ctpData.InvestorID, ctpData.BrokerID));
}
//资金账户
if (field is CZQThostFtdcTradingAccountField)
{
CZQThostFtdcTradingAccountField ctpData = (CZQThostFtdcTradingAccountField)field;
return(GetUserKey(ctpData.AccountID, ctpData.BrokerID));
}
throw new Exception("unknow type : " + field.GetType().FullName);
}
//用于计算组合成交
//private Dictionary<SingleOrder, DbInMemTrade> _Orders4Combination = new Dictionary<SingleOrder, DbInMemTrade>();
private void OnRtnTrade(IntPtr pTraderApi, ref CZQThostFtdcTradeField 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);
//由于证券比较复杂，此处的持仓计算目前不准
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;
}
//找到自己发送的订单，标记成交
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
double Price = 0;
int Volume = 0;
//if (TZQThostFtdcTradeTypeType.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
Price = Convert.ToDouble(pTrade.Price);
Volume = pTrade.Volume;
}
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume, CommType.Absolute, 0);
//成交完全，清理
if (LeavesQty <= 0)
{
_OrderRef2Order.Remove(strKey);
_OrderSysID2OrderRef.Remove(strSysID);
_Orders4Cancel.Remove(order);
}
}
}
private static int SortCZQThostFtdcTradeField(CZQThostFtdcTradeField a1, CZQThostFtdcTradeField a2)
{
return(a1.TradeID.CompareTo(a2.TradeID));
}
public OnRtnTradeArgs(IntPtr pTraderApi, ref CZQThostFtdcTradeField pTrade)
{
this.pTraderApi = pTraderApi;
this.pTrade = pTrade;
}
