private void TradeExt_OnRtnTrade(object sender, TradeArgs e)
{
OrderField of;
if (!DicOrderField.TryGetValue(e.Value.OrderID, out of))
{
return;
}
if (!of.IsLocal)
{
return;
}
}
private void CTPOnErrRtnOrderAction(ref CThostFtdcOrderActionField pOrderAction, ref CThostFtdcRspInfoField pRspInfo)
{
if (pRspInfo.ErrorID == 0)
{
return;
}
string id = string.Format("{0}|{1}|{2}", pOrderAction.SessionID, pOrderAction.FrontID, pOrderAction.OrderRef);
OrderField of;
if (IsLogin && DicOrderField.TryGetValue(id, out of))
{
_OnRtnErrCancel?.Invoke(this, new ErrOrderArgs {
ErrorID = pRspInfo.ErrorID, ErrorMsg = pRspInfo.ErrorMsg, Value = of
});
}
}
public override int ReqOrderAction(string pOrderId)
{
OrderField of;
if (!DicOrderField.TryGetValue(pOrderId, out of))
{
_OnRtnError?.Invoke(this, new ErrorEventArgs
{
ErrorID = -1,
ErrorMsg = string.Format("OrderActionError:[OrderID:{0}][ErrorMsg:no orderid.]", pOrderId),
});
return(-1);
}
return((int)_t.ReqOrderAction(_broker, _investor, InstrumentID: of.InstrumentID,
OrderRef: pOrderId.Split('|')[2],
FrontID: int.Parse(pOrderId.Split('|')[1]),
SessionID: int.Parse(pOrderId.Split('|')[0]),
ActionFlag: TThostFtdcActionFlagType.THOST_FTDC_AF_Delete));
}
private void CTPOnRtnTrade(ref CThostFtdcTradeField pTrade)
{
if (!IsLogin)
{
_rtnOrderTime = DateTime.Now;
}
string id;
OrderField of = null;
if (!(_dicSysidSfrId.TryGetValue(pTrade.OrderSysID, out id) && DicOrderField.TryGetValue(id, out of)))
{
CThostFtdcTradeField fReTrade = pTrade;
var list = _sysidTrade.GetOrAdd(pTrade.OrderSysID, new List <CThostFtdcTradeField>());
list.Add(fReTrade);
return;
}
TradeField f = new TradeField
{
Hedge = pTrade.HedgeFlag == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation ? HedgeType.Speculation
: pTrade.HedgeFlag == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage ? HedgeType.Arbitrage : HedgeType.Hedge,
Direction = pTrade.Direction == TThostFtdcDirectionType.THOST_FTDC_D_Buy ? DirectionType.Buy : DirectionType.Sell,
//ExchangeID = pTrade.ExchangeID,
InstrumentID = pTrade.InstrumentID,
Offset = pTrade.OffsetFlag == TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open ? OffsetType.Open
: pTrade.OffsetFlag == TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday ? OffsetType.CloseToday : OffsetType.Close,
Price = pTrade.Price,
TradeID = pTrade.TradeID + (char)pTrade.Direction,
TradeTime = pTrade.TradeTime,
TradingDay = pTrade.TradingDay,
Volume = pTrade.Volume,
SysID = pTrade.OrderSysID,
};
Exchange exc;
if (Enum.TryParse(pTrade.ExchangeID, out exc))
{
f.ExchangeID = exc;
}
if (DicTradeField.TryAdd(f.TradeID, f)) // string.Format("{0}_{1}", f.TradeID, f.Direction), f))
{
f.OrderID = id; //更新成交对应的委托ID
of.TradeTime = pTrade.TradeTime;
of.AvgPrice = (of.AvgPrice * (of.Volume - of.VolumeLeft) + pTrade.Price * pTrade.Volume) / (of.Volume - of.VolumeLeft + pTrade.Volume);
of.TradeVolume = pTrade.Volume;
of.VolumeLeft -= of.TradeVolume;
if (of.VolumeLeft == 0)
{
of.Status = OrderStatus.Filled;
of.StatusMsg = "全部成交";
}
else
{
of.Status = OrderStatus.Partial;
of.StatusMsg = "部分成交";
}
if (IsLogin)
{
#region 更新持仓
PositionField pf;
//处理持仓
if (f.Offset == OffsetType.Open)
{
pf = DicPositionField.GetOrAdd(f.InstrumentID + "_" + f.Direction, new PositionField());
pf.InstrumentID = f.InstrumentID;
pf.Direction = f.Direction;
pf.Hedge = f.Hedge;
pf.Price = (pf.Price * pf.Position + f.Price * f.Volume) / (pf.Position + f.Volume);
pf.TdPosition += f.Volume;
pf.Position += f.Volume;
}
else
{
pf = this.DicPositionField.GetOrAdd(f.InstrumentID + "_" + (f.Direction == DirectionType.Buy ? "Sell" : "Buy"), new PositionField());
if (f.Offset == OffsetType.CloseToday)
{
pf.TdPosition -= f.Volume;
}
else
{
int tdClose = Math.Min(pf.TdPosition, f.Volume);
if (pf.TdPosition > 0)
{
pf.TdPosition -= tdClose;
}
pf.YdPosition -= Math.Max(0, f.Volume - tdClose);
}
pf.Position -= f.Volume;
}
#endregion
//委托响应
_OnRtnOrder?.Invoke(this, new OrderArgs {
Value = of
});
//成交响应
_OnRtnTrade?.Invoke(this, new TradeArgs {
Value = f
});
}
}
}
