/// <summary>
/// 深度行情数据回报，更新Position中的持仓损益
/// </summary>
/// <param name="dmd"></param>
private void Platform_OnPositionProfitChanged(DepthMarketData dmd)
{
if (!this._DictInstrumentIDPositions.IsEmpty && _DictInstrumentIDPositions.ContainsKey(dmd.InstrumentID))
{
//字典中含有dmd相对应的InstrumentID
List <Tuple <string, Direction, HedgeFlag> > value;
this._DictInstrumentIDPositions.TryGetValue(dmd.InstrumentID, out value);
foreach (var item in value)
{
var key = item;
var instrumentID = key.Item1;
Position pos;
if (!this._tradeApi.DictInvestorPosition.TryGetValue(key, out pos))
{
continue;
}
var lastPrice = this._quoteApi.DictDepthMarketData[key.Item1].LastPrice;
var mult = this._tradeApi.DictInstrumentField[dmd.InstrumentID].VolumeMultiple;
pos.LastPrice = lastPrice;
if (key.Item2 == Direction.Buy)
{
pos.OpenProfit = (lastPrice - pos.AvgOpenPrice) * pos.TotalPosition * mult;
pos.PositionProfit = lastPrice * pos.TotalPosition * mult - pos.PositionCost;
}
else
{
pos.OpenProfit = -1 * (lastPrice - pos.AvgOpenPrice) * pos.TotalPosition * mult;
pos.PositionProfit = -1 * (lastPrice * pos.TotalPosition * mult - pos.PositionCost);
}
pos.Notify("");
}
}
}
/// <summary>
/// 行情信息
/// </summary>
/// <typeparam name="T"></typeparam>
/// <param name="onDepthMarketData"></param>
public void OnRtnDepthMarketData_ <T>(T onDepthMarketData)
{
object obj = onDepthMarketData;
DepthMarketData marketData = (DepthMarketData)obj;
OnQuoteMarketDataAny marketDataAny = new OnQuoteMarketDataAny
{
AskPrice1 = marketData.AskPrice1,
AskPrice2 = marketData.AskPrice2,
AskPrice3 = marketData.AskPrice3,
AskPrice4 = marketData.AskPrice4,
AskPrice5 = marketData.AskPrice5,
AskVolume1 = marketData.AskVolume1,
AskVolume2 = marketData.AskVolume2,
AskVolume3 = marketData.AskVolume3,
AskVolume4 = marketData.AskVolume4,
AskVolume5 = marketData.AskVolume5,
BidPrice1 = marketData.BidPrice1,
BidPrice2 = marketData.BidPrice2,
BidPrice3 = marketData.BidPrice3,
BidPrice4 = marketData.BidPrice4,
BidPrice5 = marketData.BidPrice5,
BidVolume1 = marketData.BidVolume1,
BidVolume2 = marketData.BidVolume2,
BidVolume3 = marketData.BidVolume3,
BidVolume4 = marketData.BidVolume4,
BidVolume5 = marketData.BidVolume5,
Code = marketData.InstrumentID,
ExchangeID = (EnumExchangeIDTypeAny)Enum.Parse(typeof(EnumExchangeIDTypeAny), marketData.ExchangeID),
ExchangeInstID = marketData.ExchangeInstID,
HighestPrice = marketData.HighestPrice,
LastPrice = marketData.LastPrice,
LowerLimitPrice = marketData.LowerLimitPrice,
LowestPrice = marketData.LowestPrice,
OpenInterest = marketData.OpenInterest,
OpenPrice = marketData.OpenPrice,
PreClosePrice = marketData.PreClosePrice,
PreOpenInterest = marketData.PreOpenInterest,
PreSettlementPrice = marketData.PreSettlementPrice,
SettlementPrice = marketData.SettlementPrice,
TradingDay = marketData.TradingDay,
Turnover = marketData.Turnover,
UpdateMillisec = marketData.UpdateMillisec,
UpdateTime = marketData.UpdateTime,
UpperLimitPrice = marketData.UpperLimitPrice,
Volume = marketData.Volume
};
if (marketData != null)
{
OnQuoteData?.Invoke(this, marketDataAny);
}
}
/// <summary>
/// 初始化_OcMainMarketDepthData
/// </summary>
private ObservableCollection <DepthMarketData> GetOcMainMarketDepthData(ObservableCollection <DepthMarketData> OcAllDMD)
{
lock (this._lockAllDepthMarketData)
{
ObservableCollection <DepthMarketData> oc = new ObservableCollection <DepthMarketData>();
var grp = OcAllDMD.GroupBy(r => r.ProductID);
foreach (IGrouping <string, DepthMarketData> item in grp)
{
DepthMarketData r = item.OrderByDescending(x => x.OpenInterest).FirstOrDefault();
oc.Add(r);
}
return(oc);
}
}
/// <summary>
/// 初始化 OcAllMarketDepthData
/// </summary>
private ObservableCollection <DepthMarketData> GetOcAllMarketDepthData()
{
lock (this._lockAllDepthMarketData)
{
ObservableCollection <DepthMarketData> oc = new ObservableCollection <DepthMarketData>();
oc.Clear();
foreach (var kvp in this._quoteApi.DictDepthMarketData)
{
InstrumentField _instrumentField;
if (this._tradeApi.DictInstrumentField.TryGetValue(kvp.Key, out _instrumentField))
{
DepthMarketData dmd = kvp.Value;
dmd.ProductID = _instrumentField.ProductID;
//有些合约虽然有ProductID，但是DMD的InstrumentID却是null
oc.Add(dmd);
}
}
return(oc);
}
}
