void _import_OnRspQryTrade(TradeField pTrade, bool pLast)
{
//无数据时,也会返回一条空记录
if (string.IsNullOrEmpty(pTrade.InstrumentID))
{
return;
}
TradeField f = DicTradeField.GetOrAdd(pTrade.TradeID + (int)pTrade.Direction, new TradeField
{
TradeID = pTrade.TradeID + (int)pTrade.Direction,
});
foreach (var info in pTrade.GetType().GetFields())
{
if (info.Name == "TradeID")
{
continue;
}
f.GetType().GetField(info.Name).SetValue(f, Convert.ChangeType(info.GetValue(pTrade), f.GetType().GetField(info.Name).FieldType));
}
//OrderField of;
//if (DicOrderField.TryGetValue(pTrade.OrderID, out of))
//{
// int preTrade = of.Volume - of.VolumeLeft;
// of.AvgPrice = (of.AvgPrice * preTrade + pTrade.Price * pTrade.Volume) / (preTrade + pTrade.Volume);
// of.TradeTime = pTrade.TradeTime;
// of.VolumeLeft -= pTrade.Volume;
//}
}
private void _import_OnRtnTrade(TradeField pTrade)
{
//tradeid增加方向标识(自成交冲突)
TradeField f = DicTradeField.GetOrAdd(pTrade.TradeID + (int)pTrade.Direction, new TradeField
{
TradeID = pTrade.TradeID + (int)pTrade.Direction,
});
foreach (var info in pTrade.GetType().GetFields())
{
if (info.Name == "TradeID")
{
continue;
}
f.GetType().GetField(info.Name).SetValue(f, Convert.ChangeType(info.GetValue(pTrade), f.GetType().GetField(info.Name).FieldType));
}
PositionField pf;
//处理持仓
if (pTrade.Offset == OffsetType.Open)
{
pf = this.DicPositionField.GetOrAdd(pTrade.InstrumentID + "_" + pTrade.Direction, new PositionField());
pf.InstrumentID = pTrade.InstrumentID;
pf.Direction = pTrade.Direction;
pf.Hedge = pTrade.Hedge;
pf.Price = (pf.Price * pf.Position + pTrade.Price * pTrade.Volume) / (pf.Position + pTrade.Volume);
pf.TdPosition += pTrade.Volume;
pf.Position += pTrade.Volume;
}
else
{
pf = this.DicPositionField.GetOrAdd(pTrade.InstrumentID + "_" + (pTrade.Direction == DirectionType.Buy ? "Sell" : "Buy"), new PositionField());
if (pf.TdPosition > 0)// pTrade.ExchangeID == "SHFE" && pTrade.Offset == OffsetType.CloseToday)
{
pf.TdPosition -= Math.Min(pf.TdPosition, pTrade.Volume);
}
pf.Position -= pTrade.Volume;
}
//有关orderfield中的avgprice和tradetime字段,已在C++层进行处理
//OrderField of;
//if (DicOrderField.TryGetValue(f.OrderID, out of))
//{
// int preTrade = of.Volume - of.VolumeLeft;
// of.AvgPrice = (of.AvgPrice * preTrade + pTrade.Price * pTrade.Volume) / (preTrade + pTrade.Volume);
// of.TradeTime = pTrade.TradeTime;
// of.VolumeLeft -= pTrade.Volume;
// of.Status = of.VolumeLeft == 0 ? OrderStatus.Filled : OrderStatus.Partial;
// if (_OnRtnTrade != null)
// {
// _OnRtnTrade(this, new TradeArgs
// {
// Value = f,
// });
// }
//}
if (_OnRtnTrade != null)
{
_OnRtnTrade(this, new TradeArgs
{
Value = f,
});
}
}
void _import_OnRspQryTrade(TradeField pTrade, bool pLast)
{
//无数据时,也会返回一条空记录
if (string.IsNullOrEmpty(pTrade.InstrumentID))
{
return;
}
TradeField f = DicTradeField.GetOrAdd(pTrade.TradeID + (int)pTrade.Direction, new TradeField
{
TradeID = pTrade.TradeID + (int)pTrade.Direction,
});
foreach (var info in pTrade.GetType().GetFields())
{
if (info.Name == "TradeID")
continue;
f.GetType().GetField(info.Name).SetValue(f, Convert.ChangeType(info.GetValue(pTrade), f.GetType().GetField(info.Name).FieldType));
}
OrderField of;
if (DicOrderField.TryGetValue(pTrade.OrderID, out of))
{
int preTrade = of.Volume - of.VolumeLeft;
of.AvgPrice = (of.AvgPrice * preTrade + pTrade.Price * pTrade.Volume) / (preTrade + pTrade.Volume);
of.TradeTime = pTrade.TradeTime;
of.VolumeLeft -= pTrade.Volume;
}
}
void _import_OnRtnTrade(TradeField pTrade)
{
//tradeid增加方向标识(自成交冲突)
TradeField f = DicTradeField.GetOrAdd(pTrade.TradeID + (int)pTrade.Direction, new TradeField
{
TradeID = pTrade.TradeID + (int)pTrade.Direction,
});
foreach (var info in pTrade.GetType().GetFields())
{
if (info.Name == "TradeID")
{
continue;
}
f.GetType().GetField(info.Name).SetValue(f, Convert.ChangeType(info.GetValue(pTrade), f.GetType().GetField(info.Name).FieldType));
}
PositionField pf;
//处理持仓
if (pTrade.Offset == OffsetType.Open)
{
pf = this.DicPositionField.GetOrAdd(pTrade.InstrumentID + "_" + pTrade.Direction, new PositionField());
pf.InstrumentID = pTrade.InstrumentID;
pf.Direction = pTrade.Direction;
pf.Hedge = pTrade.Hedge;
pf.Price = (pf.Price * pf.Position + pTrade.Price * pTrade.Volume) / (pf.Position + pTrade.Volume);
pf.TdPosition += pTrade.Volume;
pf.Position += pTrade.Volume;
}
else
{
pf = this.DicPositionField.GetOrAdd(pTrade.InstrumentID + "_" + (pTrade.Direction == DirectionType.Buy ? "Sell" : "Buy"), new PositionField());
if (pTrade.Offset == OffsetType.CloseToday)
{
pf.TdPosition -= pTrade.Volume;
}
else
{
int tdClose = Math.Min(pf.TdPosition, pTrade.Volume);
if (pf.TdPosition > 0)
{
pf.TdPosition -= tdClose;
}
pf.YdPosition -= Math.Max(0, pTrade.Volume - tdClose);
}
pf.Position -= pTrade.Volume;
}
//有关orderfield中的avgprice和tradetime字段,已在C++层进行处理
//OrderField of;
//if (DicOrderField.TryGetValue(f.OrderID, out of))
//{
// int preTrade = of.Volume - of.VolumeLeft;
// of.AvgPrice = (of.AvgPrice * preTrade + pTrade.Price * pTrade.Volume) / (preTrade + pTrade.Volume);
// of.TradeTime = pTrade.TradeTime;
// of.VolumeLeft -= pTrade.Volume;
// of.Status = of.VolumeLeft == 0 ? OrderStatus.Filled : OrderStatus.Partial;
// if (_OnRtnTrade != null)
// {
// _OnRtnTrade(this, new TradeArgs
// {
// Value = f,
// });
// }
//}
if (_OnRtnTrade != null)
{
_OnRtnTrade(this, new TradeArgs
{
Value = f,
});
}
}