private void Send(NewOrderSingle order)
{
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;
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
CThostFtdcDepthMarketDataField 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;
}
}
int YdPosition = 0;
int TodayPosition = 0;
string szCombOffsetFlag;
if (order.Side == Side.Buy)
{
//买，先看有没有空单，有就平空单,没有空单，直接买开多单
_dbInMemInvestorPosition.GetPositions(altSymbol,
TThostFtdcPosiDirectionType.Short, HedgeFlagType, out YdPosition, out TodayPosition);//TThostFtdcHedgeFlagType.Speculation
}
else//是否要区分Side.Sell与Side.SellShort呢？
{
//卖，先看有没有多单，有就平多单,没有多单，直接买开空单
_dbInMemInvestorPosition.GetPositions(altSymbol,
TThostFtdcPosiDirectionType.Long, HedgeFlagType, out YdPosition, out TodayPosition);
}
List <SOrderSplitItem> OrderSplitList = new List <SOrderSplitItem>();
SOrderSplitItem orderSplitItem;
//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
int nOpenCloseFlag = 0;
if (order.Text.StartsWith(OpenPrefix))
{
nOpenCloseFlag = 1;
}
else if (order.Text.StartsWith(ClosePrefix))
{
nOpenCloseFlag = -1;
}
else if (order.Text.StartsWith(CloseTodayPrefix))
{
nOpenCloseFlag = -2;
}
else if (order.Text.StartsWith(CloseYesterdayPrefix))
{
nOpenCloseFlag = -3;
}
int leave = (int)order.OrderQty;
//是否上海？上海先平今，然后平昨，最后开仓
//使用do主要是想利用break功能
//平仓部分
do
{
//指定开仓，直接跳过
if (nOpenCloseFlag > 0)
{
break;
}
//表示指定平今与平昨
if (nOpenCloseFlag < -1)
{
if (-2 == nOpenCloseFlag)
{
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseToday, (byte)TThostFtdcOffsetFlagType.CloseToday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
}
else
{
//肯定是-3了
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseYesterday, (byte)TThostFtdcOffsetFlagType.CloseYesterday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
}
orderSplitItem.qty = leave;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
leave = 0;
break;
}
if (SupportCloseToday.Contains(altExchange))
{
//先看平今
if (leave > 0 && TodayPosition > 0)
{
int min = Math.Min(TodayPosition, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseToday, (byte)TThostFtdcOffsetFlagType.CloseToday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
if (leave > 0 && YdPosition > 0)
{
int min = Math.Min(YdPosition, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseYesterday, (byte)TThostFtdcOffsetFlagType.CloseYesterday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
}
else
{
//平仓
int position = TodayPosition + YdPosition;
if (leave > 0 && position > 0)
{
int min = Math.Min(position, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.Close, (byte)TThostFtdcOffsetFlagType.Close };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
}
} while (false);
do
{
//指定平仓，直接跳过
if (nOpenCloseFlag < 0)
{
break;
}
if (leave > 0)
{
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.Open, (byte)TThostFtdcOffsetFlagType.Open };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = leave;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
leave = 0;
}
} while (false);
if (leave > 0)
{
tdlog.Info("CTP:还剩余{0}手,你应当是强制指定平仓了，但持仓数小于要平手数", leave);
}
//将第二腿也设置成一样，这样在使用组合时这地方不用再调整
byte[] bytes2 = { (byte)HedgeFlagType, (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
bool bSupportMarketOrder = SupportMarketOrder.Contains(altExchange);
tdlog.Info("Side:{0},Price:{1},LastPrice:{2},Qty:{3},Text:{4},YdPosition:{5},TodayPosition:{6}",
order.Side, order.Price, DepthMarket.LastPrice, order.OrderQty, order.Text, YdPosition, TodayPosition);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
switch (order.TimeInForce)
{
case TimeInForce.IOC:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.AV;
break;
case TimeInForce.FOK:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.CV;
break;
default:
break;
}
foreach (SOrderSplitItem it in OrderSplitList)
{
int nRet = 0;
switch (order.OrdType)
{
case OrdType.Limit:
break;
case OrdType.Market:
if (SwitchMakertOrderToLimitOrder || !bSupportMarketOrder)
{
}
else
{
price = 0;
OrderPriceType = TThostFtdcOrderPriceTypeType.AnyPrice;
//TimeCondition = TThostFtdcTimeConditionType.IOC;
}
break;
default:
tdlog.Warn("没有实现{0}", order.OrdType);
return;
}
nRet = TraderApi.TD_SendOrder(m_pTdApi,
altSymbol,
Direction,
it.szCombOffsetFlag,
szCombHedgeFlag,
it.qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
if (nRet > 0)
{
_OrderRef2Order.Add(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), order as SingleOrder);
}
}
}
private void Send(NewOrderSingle order)
{
if (!_bTdConnected)
{
EmitError(-1, -1, "交易服务器没有连接，无法报单");
return;
}
Instrument inst = InstrumentManager.Instruments[order.Symbol];
string altSymbol = inst.GetSymbol(this.Name);
string altExchange = inst.GetSecurityExchange(this.Name);
double price;
CThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket))
{
//没有设置就直接用
if (inst.TickSize > 0)
{
//将价格调整为最小价格的整数倍，此处是否有问题？到底应当是向上调还是向下调呢？此处先这样
double num = 0;
if (order.Side == Side.Buy)
{
num = Math.Round(order.Price / inst.TickSize, 0, MidpointRounding.AwayFromZero);
}
else
{
num = Math.Round(order.Price / inst.TickSize, 0, MidpointRounding.AwayFromZero);
}
price = inst.TickSize * num;
string PF = string.Format("{{0:{0}}}", inst.PriceDisplay);
price = Convert.ToDouble(string.Format(PF, price));
}
else
{
price = order.Price;
}
//市价修正
if (price >= DepthMarket.UpperLimitPrice)
{
price = DepthMarket.UpperLimitPrice;
}
else if (price <= DepthMarket.LowerLimitPrice)
{
price = DepthMarket.LowerLimitPrice;
}
int YdPosition = 0;
int TodayPosition = 0;
string szCombOffsetFlag;
if (order.Side == Side.Buy)
{
//买，先看有没有空单，有就平空单,没有空单，直接买开多单
_dbInMemInvestorPosition.GetPositions(altSymbol,
TThostFtdcPosiDirectionType.Short, TThostFtdcHedgeFlagType.Speculation, out YdPosition, out TodayPosition);
}
else//是否要区分Side.Sell与Side.SellShort呢？
{
//卖，先看有没有多单，有就平多单,没有多单，直接买开空单
_dbInMemInvestorPosition.GetPositions(altSymbol,
TThostFtdcPosiDirectionType.Long, TThostFtdcHedgeFlagType.Speculation, out YdPosition, out TodayPosition);
}
List <SOrderSplitItem> OrderSplitList = new List <SOrderSplitItem>();
SOrderSplitItem orderSplitItem;
//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
int nOpenCloseFlag = 0;
if (order.Text.StartsWith(OpenPrefix))
{
nOpenCloseFlag = 1;
}
else if (order.Text.StartsWith(ClosePrefix))
{
nOpenCloseFlag = -1;
}
int leave = (int)order.OrderQty;
//是否上海？上海先平今，然后平昨，最后开仓
//使用do主要是想利用break功能
//平仓部分
do
{
//指定开仓，直接跳过
if (1 == nOpenCloseFlag)
{
break;
}
if (SupportCloseToday.Contains(altExchange))
{
//先看平今
if (leave > 0 && TodayPosition > 0)
{
int min = Math.Min(TodayPosition, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseToday, (byte)TThostFtdcOffsetFlagType.CloseToday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
if (leave > 0 && YdPosition > 0)
{
int min = Math.Min(YdPosition, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.CloseYesterday, (byte)TThostFtdcOffsetFlagType.CloseYesterday };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
}
else
{
//平仓
int position = TodayPosition + YdPosition;
if (leave > 0 && position > 0)
{
int min = Math.Min(position, leave);
leave -= min;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.Close, (byte)TThostFtdcOffsetFlagType.Close };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = min;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
}
} while (false);
do
{
//指定平仓，直接跳过
if (-1 == nOpenCloseFlag)
{
break;
}
if (leave > 0)
{
leave = 0;
byte[] bytes = { (byte)TThostFtdcOffsetFlagType.Open, (byte)TThostFtdcOffsetFlagType.Open };
szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
orderSplitItem.qty = leave;
orderSplitItem.szCombOffsetFlag = szCombOffsetFlag;
OrderSplitList.Add(orderSplitItem);
}
} while (false);
if (leave > 0)
{
string strErr = string.Format("CTP:还剩余{0}手,你应当是强制指定平仓了，但持仓数小于要平手数", leave);
Console.WriteLine(strErr);
EmitError(-1, -1, strErr);
}
//目前默认只支持投机,并且将第二腿也设置成投机，这样在使用组合时这地方不用再调整
//byte[] bytes = { (byte)TThostFtdcHedgeFlagType.Speculation, (byte)TThostFtdcHedgeFlagType.Speculation };
//string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
string szCombHedgeFlag = "11";//这样好直接啊！两个投机
foreach (SOrderSplitItem it in OrderSplitList)
{
int nRet = 0;
switch (order.OrdType)
{
case OrdType.Limit:
nRet = TraderApi.TD_SendOrder(m_pTdApi,
altSymbol,
order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell,
it.szCombOffsetFlag,
szCombHedgeFlag,
it.qty,
price,
TThostFtdcOrderPriceTypeType.LimitPrice,
TThostFtdcTimeConditionType.GFD,
TThostFtdcContingentConditionType.Immediately,
order.StopPx);
break;
case OrdType.Market:
nRet = TraderApi.TD_SendOrder(m_pTdApi,
altSymbol,
order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell,
it.szCombOffsetFlag,
szCombHedgeFlag,
it.qty,
order.Side == Side.Buy ? DepthMarket.UpperLimitPrice : DepthMarket.LowerLimitPrice,
TThostFtdcOrderPriceTypeType.LimitPrice,
TThostFtdcTimeConditionType.GFD,
TThostFtdcContingentConditionType.Immediately,
order.StopPx);
break;
default:
EmitError(-1, -1, string.Format("没有实现{0}", order.OrdType));
break;
}
if (nRet > 0)
{
_OrderRef2Order.Add(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), order as SingleOrder);
}
}
}
}