public void GetPositions(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
out int YdPosition,
out int TodayPosition)
{
YdPosition = 0;
TodayPosition = 0;
DataView view = dtInvestorPosition.DefaultView;
view.RowFilter = string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag);
foreach (DataRowView dr in view)
{
int vol = (int)dr[Position];
TThostFtdcPositionDateType PositionDate1 = (TThostFtdcPositionDateType)dr[PositionDate];
if (TThostFtdcPositionDateType.Today == PositionDate1)
{
TodayPosition += vol;
}
else
{
YdPosition += vol;
}
}
}
//开仓时调用
public bool InsertOrReplaceForOpen(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock (this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
if (rows.Count() == 1)
{
rows[0][Position] = volume + (int)rows[0][Position];
}
else
{
try
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
volume);
}
catch
{
return(false);
}
}
return(true);
}
}
//只有在平今或平昨时才会调用
public int ReplaceForClose(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock (this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
int restVol = volume;
foreach (DataRow dr in rows)
{
if (restVol > 0)
{
int vol = (int)dr[Position];
if (restVol - vol >= 0)
{
//不够，得多设置几条
dr[Position] = 0;
restVol -= vol;
}
else
{
//足够了，只设置当前即可
dr[Position] = vol - restVol;
restVol = 0;
}
}
}
return(restVol);
}
}
private string GetPositionKey(string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate)
{
return(string.Format("{0}:{1}:{2}:{3}", InstrumentID, PosiDirection, HedgeFlag, PositionDate));
}
//private int x = 0;
//查询持仓后调用此函数
public bool InsertOrReplace(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock(this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate);
if (rows.Count() == 1)
{
rows[0][Position] = volume;
}
else
{
try
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
volume);
}
catch
{
return false;
}
}
return true;
}
}
public DataRow[] Select(string InstrumentID, TThostFtdcPosiDirectionType PosiDirection, TThostFtdcHedgeFlagType HedgeFlag, TThostFtdcPositionDateType PositionDate)
{
return dtInvestorPosition.Select(
string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2} and PositionDate={3}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag,
(int)PositionDate));
}
//只有在平今或平昨时才会调用
public int ReplaceForClose(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock(this)
{
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
int restVol = volume;
foreach (DataRow dr in rows)
{
if (restVol > 0)
{
int vol = (int)dr[Position];
if (restVol - vol >= 0)
{
//不够，得多设置几条
dr[Position] = 0;
restVol -= vol;
}
else
{
//足够了，只设置当前即可
dr[Position] = vol - restVol;
restVol = 0;
}
}
}
return restVol;
}
}
//只收到成交信息时调用
public bool InsertOrReplaceForTrade(
string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcDirectionType Direction,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate,
int volume)
{
lock (this)
{
// 今天的买入要先冻结
//冲突的可能性大一些，所以要先Update后Insert
DataRow[] rows = Select(InstrumentID, PosiDirection, HedgeFlag, PositionDate);
if (rows.Count() == 1)
{
int vol = (int)rows[0][Position];
rows[0][Position] = vol - volume;
}
else
{
//假设是新添数据
try
{
if (Direction == TThostFtdcDirectionType.Buy)
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
0,
volume,
0);
}
else
{
dtInvestorPosition.Rows.Add(
InstrumentID,
PosiDirection,
HedgeFlag,
PositionDate,
0,
0,
volume);
}
}
catch
{
return false;
}
}
return true;
}
}
/// <summary>
/// TThostFtdcPositionDateType枚举型转为PositionDateType枚举型
/// </summary>
/// <param name="tfpdt">TThostFtdcPositionDateType枚举型</param>
/// <returns></returns>
public static PositionDateType TThostFtdcPositionDateType_To_PositionDateType(TThostFtdcPositionDateType tfpdt)
{
PositionDateType pdt = PositionDateType.Today;
switch (tfpdt)
{
case TThostFtdcPositionDateType.THOST_FTDC_PSD_Today:
break;
case TThostFtdcPositionDateType.THOST_FTDC_PSD_History:
pdt = PositionDateType.History;
break;
default:
break;
}
return(pdt);
}
public bool UpdateByTrade(CThostFtdcTradeField pTrade)
{
/*
* Q:向非上海市场发送平今指今，系统能自动处理成平今，接到的回报是平今还是平仓?
* A:上海市场的昨仓用Close和CloseYesterday都能平，报单回报不会改变，而成交回报会修改成CloseYesterday
*
* Q:是否不同市场收到的成交回报都分为了今天与历史。非上海市场不时用Close时，返回数据能区分CloseToday和CloseYesterday吗？还是只回Close
*
* Q:上海强平今仓与昨仓会收到什么结果？
*
* Q:非上海市场，一手今，一手昨，同时平，收到的回报会如何？
*
*/
//如果是开仓，查找唯一的那条记录，不存在就插入
//如果是平今，只查找今天的记录，直接修改
//如果是平昨，只处理昨天
//如果是平仓，从历史开始处理
lock (this)
{
TThostFtdcPosiDirectionType PosiDirection = TThostFtdcPosiDirectionType.Short;
TThostFtdcPositionDateType PositionDate = TThostFtdcPositionDateType.Today;
if (TThostFtdcOffsetFlagType.Open == pTrade.OffsetFlag)
{
if (TThostFtdcDirectionType.Buy == pTrade.Direction)
{
PosiDirection = TThostFtdcPosiDirectionType.Long;
}
return(InsertOrReplaceForOpen(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume));
}
else
{
if (TThostFtdcDirectionType.Sell == pTrade.Direction)
{
PosiDirection = TThostFtdcPosiDirectionType.Long;
}
if (TThostFtdcOffsetFlagType.CloseToday == pTrade.OffsetFlag)
{
return(ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume) == 0);
}
else if (TThostFtdcOffsetFlagType.CloseYesterday == pTrade.OffsetFlag)
{
PositionDate = TThostFtdcPositionDateType.History;
return(ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
PositionDate,
pTrade.Volume) == 0);
}
else if (TThostFtdcOffsetFlagType.Close == pTrade.OffsetFlag)
{
return(ReplaceForClose(pTrade.InstrumentID,
PosiDirection,
pTrade.HedgeFlag,
pTrade.Volume) == 0);
}
else
{
//无法计算的开平类型，要求直接发送查询请求
return(false);
}
}
}
}
public DataRow[] Select(string InstrumentID, TThostFtdcPosiDirectionType PosiDirection, TThostFtdcHedgeFlagType HedgeFlag, TThostFtdcPositionDateType PositionDate)
{
return(dtInvestorPosition.Select(
string.Format("InstrumentID='{0}' and PosiDirection={1} and HedgeFlag={2} and PositionDate={3}",
InstrumentID,
(int)PosiDirection,
(int)HedgeFlag,
(int)PositionDate)));
}
private string GetPositionKey(string InstrumentID,
TThostFtdcPosiDirectionType PosiDirection,
TThostFtdcHedgeFlagType HedgeFlag,
TThostFtdcPositionDateType PositionDate)
{
return string.Format("{0}:{1}:{2}:{3}", InstrumentID, PosiDirection, HedgeFlag, PositionDate);
}
