public int GetLevelByPrice(double price, SmartQuant.OrderSide Side)
{
price = Math.Min(price, UpperLimitPrice);
price = Math.Max(price, LowerLimitPrice);
int index = (int)((Side == SmartQuant.OrderSide.Buy) ? Math.Ceiling(price / TickSize) : Math.Floor(price / TickSize));
return(index);
}
public static PositionSide ToPositionSide(this OrderSide side)
{
switch (side)
{
case OrderSide.Buy:
return(PositionSide.Long);
default:
return(PositionSide.Short);
}
}
public double FixPrice(MarketDataRecord record, double price, SmartQuant.OrderSide Side, double tickSize)
{
double LowerLimitPrice = record.DepthMarket.LowerLimitPrice;
double UpperLimitPrice = record.DepthMarket.UpperLimitPrice;
//没有设置就直接用
if (tickSize > 0)
{
decimal remainder = ((decimal)price % (decimal)tickSize);
if (remainder != 0)
{
if (Side == SmartQuant.OrderSide.Buy)
{
price = Math.Round(Math.Ceiling(price / tickSize) * tickSize, 6);
}
else
{
price = Math.Round(Math.Floor(price / tickSize) * tickSize, 6);
}
}
else
{
//正好能整除，不操作
}
}
if (0 == UpperLimitPrice &&
0 == LowerLimitPrice)
{
//涨跌停无效
_TdApi.GetLog().Warn("Symbol:{0},Symbol_Dot_Exchange:{1},LowerLimitPrice && UpperLimitPrice 为0,没有进行价格修正",
record.Symbol, record.Symbol_Dot_Exchange);
}
else
{
//防止价格超过涨跌停
if (price >= UpperLimitPrice)
{
price = UpperLimitPrice;
}
else if (price <= LowerLimitPrice)
{
price = LowerLimitPrice;
}
}
return(price);
}
public MonoPositionRecord GetPositionRecord(SmartQuant.OrderSide Side, OpenCloseType OpenClose)
{
switch (OpenClose)
{
case OpenCloseType.Open:
return(Side == SmartQuant.OrderSide.Buy ? Long : Short);
case OpenCloseType.Close:
case OpenCloseType.CloseToday:
return(Side == SmartQuant.OrderSide.Buy ? Short : Long);
default:
MessageBox.Show("GetPositionRecord");
break;
}
return(null);
}
// 在对手价上加一定跳数
public double GetMatchPrice(Instrument instrument, SmartQuant.OrderSide side, double jump)
{
double price = GetMatchPrice(instrument, side);
if (side == SmartQuant.OrderSide.Buy)
{
price += jump * TickSize;
}
else
{
price -= jump * TickSize;
}
// 修正一下价格
price = FixPrice(price, side);
return(price);
}
public double GetMatchPrice(Instrument instrument, SmartQuant.OrderSide side)
{
if (side == SmartQuant.OrderSide.Sell)
{
Bid bid = framework.DataManager.GetBid(instrument);
if (bid != null)
{
return(bid.Price);
}
}
if (side == SmartQuant.OrderSide.Buy)
{
Ask ask = framework.DataManager.GetAsk(instrument);
if (ask != null)
{
return(ask.Price);
}
}
Trade trade = framework.DataManager.GetTrade(instrument);
if (trade != null)
{
return(trade.Price);
}
Bar bar = framework.DataManager.GetBar(instrument);
if (bar != null)
{
return(bar.Close);
}
return(0);
}
private static double GetOrderPrice(Instrument instrument, OrderSide side, OrderPriceAdjustMethod method)
{
var rules = instrument.GetTradingRules();
double price;
if (rules.HasMarketOrder)
{
price = Double.NaN;
}
else
{
if (side == OrderSide.Buy)
{
price = method == OrderPriceAdjustMethod.MatchPrice ? instrument.Ask.Price : instrument.GetUpperLimitPrice();
}
else
{
price = method == OrderPriceAdjustMethod.MatchPrice ? instrument.Bid.Price : instrument.GetLowerLimitPrice();
}
}
return(price);
}
private static (double close, double closeToday) GetCloseInfo(Strategy strategy, Instrument instrument, OrderSide side, double qty = Double.MaxValue)
{
var position = strategy.GetPosition(instrument);
var rules = instrument.GetTradingRules();
(double closeQty, double closeTodayQty) = GetCloseQty();
double closeToday;
double close;
if (rules.StrictCloseToday)
{
closeQty -= closeTodayQty;
closeToday = Math.Min(qty, closeTodayQty);
qty -= closeToday;
if (Math.Abs(qty) < Double.Epsilon)
{
return(close, closeToday);
}
}
close = Math.Min(qty, closeQty);
return(close, closeToday);
#region local
(double close, double closeToday) GetCloseQty()
{
(closeToday, close) = side == OrderSide.Buy
? position.Short.GetCanCloseQty()
: position.Long.GetCanCloseQty();
if (!rules.DisableCloseToday)
{
return(close, closeToday);
}
close -= closeToday;
closeToday = 0;
return(close, closeToday);
}
#endregion
}
public MonoPositionRecord GetPositionRecord(DualPositionRecord record, SmartQuant.OrderSide Side, OpenCloseType OpenClose)
{
return(record.GetPositionRecord(Side, OpenClose));
}
public double FixPrice(double price, SmartQuant.OrderSide Side)
{
return(GetPriceByLevel(GetLevelByPrice(price, Side)));
}
public PositionRecord GetPositionRecord(OrderSide side, OrderOffsetFlag offsetFlag)
{
return(offsetFlag.IsOpen
? side == OrderSide.Buy ? Long : Short
: side == OrderSide.Buy ? Short : Long);
}