private void AddOpenClose(Order order, double Qty, OpenCloseType OpenClose)
{
order.Qty = Qty;
switch (OpenClose)
{
case OpenCloseType.Open:
order.Open();
order.Portfolio = order.Side == SmartQuant.OrderSide.Buy ? Long : Short;
order.Text = "O:" + order.Text;//加了标记，这样在OrderManger中比较直观
break;
case OpenCloseType.Close:
order.Close();
order.Portfolio = order.Side == SmartQuant.OrderSide.Buy ? Short : Long;
order.Text = "C:" + order.Text;
break;
case OpenCloseType.CloseToday:
order.CloseToday();
order.Portfolio = order.Side == SmartQuant.OrderSide.Buy ? Short : Long;
order.Text = "T:" + order.Text;
break;
default:
break;
}
}
private OpenCloseType OnOrderRejected(Order order)
{
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
double LeavesQty = order.LeavesQty;
switch (OpenClose)
{
case OpenCloseType.Open:
record.OrderRejectedOpen(LeavesQty);
break;
case OpenCloseType.Close:
record.OrderRejectedClose(LeavesQty);
break;
case OpenCloseType.CloseToday:
record.OrderRejectedCloseToday(LeavesQty);
break;
default:
MessageBox.Show("OrderRejected");
break;
}
return(OpenClose);
}
private void OnPendingNewOrder(Order order)
{
double Qty = order.Qty;
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
switch (OpenClose)
{
case OpenCloseType.Open:
record.NewOrderOpen(Qty);
break;
case OpenCloseType.Close:
record.NewOrderClose(Qty);
break;
case OpenCloseType.CloseToday:
record.NewOrderCloseToday(Qty);
break;
default:
MessageBox.Show("PendingNewOrder");
break;
}
}
public static Order SetOpenClose(this Order order, OpenCloseType openClose)
{
switch (openClose)
{
case OpenCloseType.Undefined:
break;
case OpenCloseType.Open:
Open(order);
break;
case OpenCloseType.Close:
Close(order);
break;
case OpenCloseType.CloseToday:
CloseToday(order);
break;
case OpenCloseType.LockToday:
LockToday(order);
break;
}
return(order);
}
private void OnOrderFilled(SmartQuant.Order order)
{
int index = order.Reports.Count - 1;
double LastQty = order.Reports[index].LastQty;
double LastPrice = order.Reports[index].LastPx;
bool IsDone = order.IsDone;
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
switch (OpenClose)
{
case OpenCloseType.Open:
record.FilledOpen(LastQty, LastPrice);
break;
case OpenCloseType.Close:
record.FilledClose(LastQty, LastPrice);
break;
case OpenCloseType.CloseToday:
record.FilledCloseToday(LastQty, LastPrice);
break;
default:
MessageBox.Show("Filled");
break;
}
}
private double CalcTradeMoney(String code, double price, int hand, OpenCloseType openCloseType)
{
TradeFee_Code tradeFee = account.GetTradeFee_Code(code);
//交易费用
double handFee = tradeFee.BuyFee;
return(hand * (price * tradeFee.HandCount * (tradeFee.DepositPercent / 100) + handFee));
}
protected void AdjustPricePipsByCommission(OpenCloseType openCloseType, ExecuteContext context)
{
var setting = this.GetHistorySettings(context);
if (setting.Item1.CommissionFormula.TakeFeeAsCost()) //Adjust PricePips
{
decimal commission = setting.Item2.RateCommission * (openCloseType == OpenCloseType.Open ? setting.Item3.CommissionOpen : setting.Item3.CommissionCloseD);
_settings.ExecutePrice += (int)Math.Round(commission * (_order.IsBuy == setting.Item1.IsNormal ? 1 : -1), 0, MidpointRounding.AwayFromZero);
}
}
public OrderInfo(string code, double orderTime, OpenCloseType openClose, double price, int qty, OrderSide direction, OrderType orderType)
{
this.Instrumentid = code;
this.OrderTime = orderTime;
this.OpenClose = openClose;
this.Price = price;
this.Volume = qty;
this.Direction = direction;
this.Type = orderType;
}
public BrokerTrade(Instrument instrument, Exchange exchange, DirectionType direction, long qty, double price, OpenCloseType openClose, DateTime tradeTime)
{
Instrument = instrument;
Exchange = exchange;
Direction = direction;
Qty = qty;
Price = price;
OpenClose = openClose;
TradeTime = tradeTime;
}
private OpenCloseType OnOrderCancelled(Order order)
{
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
MonoPositionRecord record = GetPositionRecord(order.Side, OpenClose);
++record.CumCancelCnt;
OnOrderRejected(order);
return(OpenClose);
}
public static OpenCloseType GetOpenClose(Order order)
{
object obj = order.GetOpenClose();
if (obj == null)
{
return(OpenCloseType.Close);
}
OpenCloseType OpenClose = (OpenCloseType)obj;
return(OpenClose);
}
public Order(BaseStrategy strategy, Instrument inst, DirectionType direction, OpenCloseType openClose, double price, int volume)
{
Strategy = strategy;
Instrument = inst;
Direction = direction;
OpenClose = openClose;
Price = price;
OrderTime = DateTime.Now;
Qty = volume;
QtyLeft = volume;
Status = OrderStatus.Normal;
}
private static string GetOffsetFlag(OpenCloseType openClose)
{
switch (openClose)
{
case OpenCloseType.Close:
return(Convert.ToChar(CtpOffsetFlagType.Close).ToString());
case OpenCloseType.CloseToday:
return(Convert.ToChar(CtpOffsetFlagType.CloseToday).ToString());
}
return(Convert.ToChar(CtpOffsetFlagType.Open).ToString());
}
public void Load(byte[] bytes)
{
using (var stream = new MemoryStream(bytes))
using (var reader = new BinaryReader(stream)) {
OpenClose = (OpenCloseType)reader.ReadByte();
HedgeFlag = (HedgeFlagType)reader.ReadByte();
Side = (OrderSide)reader.ReadByte();
DeviationMode = (OrderDeviationMode)reader.ReadByte();
FailedMethod = (OrderAdjustFailedMethod)reader.ReadByte();
ParentOrderId = reader.ReadInt32();
Market2Limit.LoadForm(reader);
DeviationInfo.LoadForm(reader);
}
}
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);
}
public static SubSide OpenClose2SubSide(this Order order, OpenCloseType OpenClose)
{
//多头
//Buy 就是开
//Sell 就是平 SubSide 是 Undefined
//空头
//Sell 加 SubSide = SellShort 是开仓
//Buy 加 SubSide = BuyCover 是平仓
// 由于使用官方的办法无法指定平今与平昨，所以还是用以前的开平仓的写法
// 区别只是官方维护了双向持仓
if (order.Side == SmartQuant.OrderSide.Buy)
{
switch (OpenClose)
{
case OpenCloseType.Open:
order.SubSide = SubSide.Undefined;
break;
case OpenCloseType.Close:
case OpenCloseType.CloseToday:
order.SubSide = SubSide.BuyCover;
break;
}
}
else
{
switch (OpenClose)
{
case OpenCloseType.Open:
order.SubSide = SubSide.SellShort;
break;
case OpenCloseType.Close:
case OpenCloseType.CloseToday:
order.SubSide = SubSide.Undefined;
break;
}
}
return(order.SubSide);
}
private void DrawTickBar(Graphics g, Point p, ITickBar tickBar, ITickBar lastTickBar, double lastEndPrice)
{
Color titleColor = ColorUtils.GetColor("#808080");
Color colorNormal = ColorConfig.Color_StockInfo;
Color colorRed = ColorConfig.Color_TextUp;
Color colorGreen = ColorConfig.Color_TextDown;
g.DrawString(GetTimeFormat(tickBar.Time), new Font("宋体", 11, FontStyle.Bold), new SolidBrush(titleColor), p);
p.X += 90;
g.DrawString(tickBar.Price.ToString(), new Font("宋体", 11, FontStyle.Bold), new SolidBrush(tickBar.Price > lastEndPrice ? colorRed : colorGreen), p);
p.X += 40;
bool isUp = lastTickBar == null ? true : tickBar.Price >= lastTickBar.Price;
g.DrawString(tickBar.Mount.ToString(), new Font("宋体", 11, FontStyle.Bold), new SolidBrush(isUp ? colorRed : colorGreen), p);
p.X += 40;
g.DrawString(tickBar.Add.ToString(), new Font("宋体", 11, FontStyle.Bold), new SolidBrush(colorNormal), p);
p.X += 40;
OpenCloseType oct = GetOpenOrClose(tickBar, lastTickBar);
g.DrawString(GetOpenCloseTypeName(oct), new Font("宋体", 11, FontStyle.Bold), new SolidBrush(colorNormal), p);
}
public string GetOpenCloseTypeName(OpenCloseType oct)
{
switch (oct)
{
case OpenCloseType.OpenUp:
return("多开");
case OpenCloseType.OpenDown:
return("空开");
case OpenCloseType.CloseUp:
return("多平");
case OpenCloseType.CloseDown:
return("空平");
case OpenCloseType.ChangeHand:
return("换手");
}
return("");
}
private void OnOrderRejected(Order order, DualPositionRecord record)
{
// 1.非交易时间
// 2.超出涨跌停
// 3.报单错误
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
if (OpenClose == OpenCloseType.Open)
{
// 1.资金不足
// 开仓被拒绝，需要返回原持仓
}
else
{
// 1.可平手数不足
}
// 是重试N次还是立即还原呢？就算是立即还原，会由于行情满足会再次进入
// 这种方法还原是否可行？
record.TargetPosition = record.CurrentPosition;
}
private Order CreateOrder(double qty, OpenCloseType openClose)
{
var order = Agent.CreateOrder(Order, qty);
order.SetOpenClose(openClose);
if (openClose == OpenCloseType.Open)
{
order.TimeInForce = Order.TimeInForce;
}
else
{
if (OpenOrder == null)
{
order.TimeInForce = Order.TimeInForce;
}
}
var info = OrderExtensions.GetOrderInfo(order);
info.Processor = this;
info.ParentOrderId = Order.Id;
info.DeviationInfo = _info.DeviationInfo;
info.DeviationMode = _info.DeviationMode;
return(order);
}
public static Order SetOpenClose(this Order order, OpenCloseType OpenClose)
{
order.GetDictionary(index)[OrderTagType.PositionEffect] = (byte)OpenClose;
return(order);
}
public MonoPositionRecord GetPositionRecord(DualPositionRecord record, SmartQuant.OrderSide Side, OpenCloseType OpenClose)
{
return(record.GetPositionRecord(Side, OpenClose));
}
/// <summary>
/// 检查是否满足任务组监控价差条件。
/// </summary>
/// <param name="taskGroup">任务组。</param>
/// <returns></returns>
private PriceSpreadCheckResult CheckPriceSpread(OpenCloseType openCloseType, ArbitrageArgument argument)
{
USeMarketData nearMarketData = m_quoteDriver.Query(argument.NearInstrument);
USeMarketData farMarketData = m_quoteDriver.Query(argument.FarInstrument);
decimal nearPrice = 0m;
decimal farPrice = 0m;
if (openCloseType == OpenCloseType.Open)
{
nearPrice = GetMarketPrice(nearMarketData, argument.OpenArg.NearOrderPriceType);
farPrice = GetMarketPrice(farMarketData, argument.OpenArg.FarOrderPriceType);
}
else if (openCloseType == OpenCloseType.Close)
{
nearPrice = GetMarketPrice(nearMarketData, argument.CloseArg.NearOrderPriceType);
farPrice = GetMarketPrice(farMarketData, argument.CloseArg.FarOrderPriceType);
}
else
{
Debug.Assert(false);
return(PriceSpreadCheckResult.CreateNoOrderResult());
}
if (nearPrice <= 0 || farPrice <= 0)
{
return(PriceSpreadCheckResult.CreateNoOrderResult());
}
decimal priceSpread = nearPrice - farPrice;
if (openCloseType == OpenCloseType.Open)
{
Debug.Assert(argument.OpenArg != null && argument.OpenArg.OpenCondition != null);
if (IsInPriceSpread(argument.OpenArg.OpenCondition, priceSpread))
{
PriceSpreadCheckResult result = new PriceSpreadCheckResult();
result.OrderReason = TaskOrderReason.Open;
result.PriceSpreadThreshold = argument.OpenArg.OpenCondition.PriceSpreadThreshold;
return(result);
}
}
else if (openCloseType == OpenCloseType.Close)
{
Debug.Assert(argument.CloseArg != null && argument.CloseArg.CloseCondition != null);
if (argument.CloseArg != null && argument.CloseArg.CloseCondition != null)
{
if (IsInPriceSpread(argument.CloseArg.CloseCondition, priceSpread))
{
PriceSpreadCheckResult result = new PriceSpreadCheckResult();
result.OrderReason = TaskOrderReason.Close;
result.PriceSpreadThreshold = argument.CloseArg.CloseCondition.PriceSpreadThreshold;
return(result);
}
}
if (argument.StopLossArg != null && argument.StopLossArg.StopLossCondition != null)
{
if (IsInPriceSpread(argument.StopLossArg.StopLossCondition, priceSpread))
{
PriceSpreadCheckResult result = new PriceSpreadCheckResult();
result.OrderReason = TaskOrderReason.StopLoss;
result.PriceSpreadThreshold = argument.StopLossArg.StopLossCondition.PriceSpreadThreshold;
return(result);
}
}
}
return(PriceSpreadCheckResult.CreateNoOrderResult());
}
public OrderInfo(string code, double orderTime, OpenCloseType openClose, double price, int qty, OrderSide direction) : this(code, orderTime, openClose, price, qty, direction, OrderType.Market)
{
}
