/// <summary>
/// 多空方向描述。
/// </summary>
/// <param name="direction">多空方向。</param>
/// <returns>描述字符串。</returns>
public static string ToDescription(this USeDirection direction)
{
switch (direction)
{
case USeDirection.Long: return("买");
case USeDirection.Short: return("卖");
default: return("未知");
}
}
private bool CheckOrderDirection(USeDirection direction, USeOrderSide orderSide)
{
if (direction == USeDirection.Long && orderSide == USeOrderSide.Buy)
{
return(true);
}
else if (direction == USeDirection.Short && orderSide == USeOrderSide.Sell)
{
return(true);
}
else
{
return(false);
}
}
/// <summary>
/// 计算保证金。
/// </summary>
/// <param name="instrument">合约。</param>
/// <param name="direction">方向。</param>
/// <param name="qty">数量。</param>
/// <param name="price">价格。</param>
/// <returns></returns>
private decimal CalculateMargin(USeInstrument instrument, USeDirection direction, int qty, decimal price)
{
USeMargin margin = m_dataBuffer.GetMargin(instrument);
int volumeMultiple = m_dataBuffer.GetVolumeMultiple(instrument);
switch (direction)
{
case USeDirection.Long:
return(margin.BrokerLongMarginRatioByMoney * price * qty * volumeMultiple + margin.BrokerLongMarginRatioByVolume * qty);
case USeDirection.Short:
return(margin.BrokerShortMarginRatioByMoney * price * qty * volumeMultiple + margin.BrokerShortMarginRatioByVolume * qty);
default:
Debug.Assert(false, "CalculateMargin(),invalid direction");
return(0m);
}
}
/// <summary>
/// 创建委托命令集合。
/// </summary>
/// <param name="taskId">任务ID。</param>
/// <param name="instrument">合约。</param>
/// <param name="orderSide">买卖方向。</param>
/// <param name="offsetType">开平方向。</param>
/// <param name="orderQty">委托量。</param>
/// <param name="orderPrice">委托价格。</param>
/// <param name="orderReason">委托原因。</param>
/// <returns></returns>
private List <OrderCommand> CreateOrderCommands(int taskId, USeInstrument instrument, USeOrderSide orderSide, USeOffsetType offsetType, int orderQty, decimal orderPrice, string orderReason)
{
List <OrderCommand> commandList = new List <OrderCommand>();
//构造指令
if (offsetType == USeOffsetType.Open)
{
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.Open,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
commandList.Add(command);
}
else
{
Debug.Assert(offsetType == USeOffsetType.Close);
if (instrument.Market == USeMarket.SHFE)
{
#region 交所平仓
USeDirection direction = orderSide == USeOrderSide.Buy ? USeDirection.Short : USeDirection.Long;
//上海交易所平仓需区分平今还是平昨
USePosition position = m_orderDriver.QueryPositions(instrument, direction);
//[yangming]
string tmpTestText = string.Format(@"[hanyuClose]Ins:{0} OrderSide:{1} OffsetFlag:{2} OrderQty：{3},NewAvaliablePosition:{4} ,NewFrozonPosition:{5}，NewPosition{6}," +
"OldAvaliablePosition:{7}，OldFrozonPosition:{8},OldPosition:{9}", instrument.InstrumentCode, orderSide, offsetType, orderQty, position.NewAvaliablePosition,
position.NewFrozonPosition, position.NewPosition, position.OldAvaliablePosition, position.OldFrozonPosition, position.OldPosition);
USeManager.Instance.EventLogger.WriteAudit(tmpTestText);
//
if (position == null || position.AvaliablePosition < orderQty)
{
//查询不到仓位,或者仓位不足，直接构造平今指令
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseToday,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
commandList.Add(command);
}
else
{
//平今
int remainQty = orderQty;
if (position.NewAvaliablePosition > 0)
{
int closeQty = Math.Min(position.NewAvaliablePosition, remainQty);
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseToday,
OrderQty = closeQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
remainQty -= closeQty;
commandList.Add(command);
}
//平昨
if (remainQty > 0)
{
Debug.Assert(remainQty <= position.OldAvaliablePosition);
int closeQty = remainQty;
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseHistory,
OrderQty = closeQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
remainQty -= closeQty;
commandList.Add(command);
}
Debug.Assert(remainQty == 0);
}
#endregion
}
else
{
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.Close,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
}
}
return(commandList);
}
/// <summary> /// 查询某一合约指定方向当前持仓。 /// </summary> /// <param name="instrument">合约。</param> /// <param name="direction">持仓方向。</param> /// <returns></returns> public abstract USePosition QueryPositions(USeInstrument instrument, USeDirection direction);
/// <summary>
/// 查询某一合约指定方向当前持仓。
/// </summary>
/// <param name="product"></param>
/// <param name="direction"></param>
/// <returns></returns>
public override USePosition QueryPositions(USeInstrument instrument, USeDirection direction)
{
//return m_dataBuffer.GetPosition(instrument, direction);
return(null);
}
private void button_OK_Click(object sender, EventArgs e)
{
List <ArbitrageCombineOrderSetting> arbitrageCombineOrderList = new List <ArbitrageCombineOrderSetting>();
try
{
//保存之前数据校验
foreach (DataRow row in m_dataTable.Rows)
{
string errorMessage = string.Empty;
if (VerifyDataTable(row, out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowErrrorMessageBox(this, "请填写完整的默认信息:" + errorMessage);
return;
}
}
//根据界面生成结果保存
foreach (DataRow row in m_dataTable.Rows)
{
string productCode = row["ProductName"] as string;
Debug.Assert(productCode != string.Empty);
int openVolumn = Convert.ToInt32(row["OpenVolumn"]);
int perOpenVolumn = Convert.ToInt32(row["PerOpenVolumn"]);
USeDirection openDirection = (USeDirection)row["OpenFirstDirectionID"];
USeDirection closeDirection = (USeDirection)row["CloseFirstDirectionID"];
USeDirection stoplossDirection = (USeDirection)row["StopLossFirstDirectionID"];
ArbitrageOrderPriceType nearOpenPriceStyle = (ArbitrageOrderPriceType)row["NearOpenPriceStyleID"];
ArbitrageOrderPriceType farOpenPriceStyle = (ArbitrageOrderPriceType)row["FarOpenPriceStyleID"];
ArbitrageCombineOrderSetting order = new ArbitrageCombineOrderSetting();
USeProduct product = new USeProduct()
{
ProductCode = productCode
};
order.Product = product;
order.OpenVolumn = openVolumn;
order.OpenVolumnPerNum = perOpenVolumn;
order.OpenFirstDirection = openDirection;
order.CloseFirstDirection = closeDirection;
order.StoplossFirstDirection = stoplossDirection;
order.NearPriceStyle = nearOpenPriceStyle;
order.FarPriceStyle = farOpenPriceStyle;
arbitrageCombineOrderList.Add(order);
}
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, ex.Message);
return;
}
string brokerId = USeManager.Instance.LoginUser.BrokerId;
string account = USeManager.Instance.LoginUser.Account;
USeManager.Instance.DataAccessor.SaveCombineOrderSettings(brokerId, account, arbitrageCombineOrderList);
this.DialogResult = DialogResult.Yes;
this.Close();
}
