private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast) { if (null != OnRspQryTrade) { OnRspQryTrade(this, new OnRspQryTradeEventArgs(ref trade, size1, bIsLast)); } }
private void OnRtnTrade_callback(object sender, ref TradeField trade) { if (null != OnRtnTrade) { OnRtnTrade(this, new OnRtnTradeEventArgs(ref trade)); } }
private void ProcessTrade(TradeField trade) { _map.TryPeek(trade.ID, out var record); if (record != null) { record.AddFill(trade.Price, trade.Qty); var status = (record.LeavesQty > 0) ? OrderStatus.PartiallyFilled : OrderStatus.Filled; var report = CreateReport(record, status, ExecType.ExecTrade); report.DateTime = trade.UpdateTime(); report.LastPx = trade.Price; report.LastQty = trade.Qty; if (Math.Abs(trade.Commission) < double.Epsilon) { report.Commission = _provider.GetCommission(report); } else { report.Commission = trade.Commission; } _provider.OnMessage(report); if (status == OrderStatus.Filled) { _map.RemoveFilled(trade.ID); } } }
public TradingEvent(ExecType type, OrderField order) { Type = type; OrderReturn = order; Trade = null; Order = null; }
public TradingEvent(ExecType type) { Type = type; Order = null; Trade = null; OrderReturn = null; }
private string TradeFieldToLogString(TradeField field) { StringBuilder sb = new StringBuilder(); try { sb.Append(string.Format("[BrokerID:{0}]", field.BrokerID)); sb.Append(string.Format("[Direction:{0}]", field.Direction)); sb.Append(string.Format("[ExchangeID:{0}]", field.ExchangeID)); sb.Append(string.Format("[InstrumentID:{0}]", field.InstrumentID)); sb.Append(string.Format("[OffsetFlag:{0}]", field.OffsetFlag)); sb.Append(string.Format("[OrderRef:{0}]", field.OrderRef)); sb.Append(string.Format("[OrderSysID:{0}]", field.OrderSysID)); sb.Append(string.Format("[Price:{0}]", field.Price)); sb.Append(string.Format("[TradeDate:{0}]", field.TradeDate)); sb.Append(string.Format("[TradeID:{0}]", field.TradeID)); sb.Append(string.Format("[TradeTime:{0}]", field.TradeTime)); sb.Append(string.Format("[UserID:{0}]", field.UserID)); sb.Append(string.Format("[Volume:{0}]", field.Volume)); } catch (Exception ex) { sb.Append("TradeFieldToLogString() failed,Error:" + ex.Message); } return(sb.ToString()); }
public TradingEvent(ExecType type, TradeField trade) { Type = type; Trade = trade; Order = null; OrderReturn = null; }
private void XApi_OnRtnTrade(object sender, ref TradeField trade) { if (onReturnTrade != null) { TradeInfo tradeInfo = StructTransfer.TransferTradeInfo(trade); onReturnTrade(this, ref tradeInfo); } }
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast) { if (null == OnRspQryTrade) { return; } TradeClass cls = null; if (size1 > 0) { TradeField field = trade; cls = new TradeClass(); cls.InstrumentName = field.InstrumentName(); cls.Symbol = field.Symbol; cls.InstrumentID = field.InstrumentID; cls.ExchangeID = field.ExchangeID; cls.ClientID = field.ClientID; cls.AccountID = field.AccountID; cls.Side = (int)field.Side; cls.Side_String = Enum <XAPI.OrderSide> .ToString(field.Side); cls.Qty = field.Qty; cls.Price = field.Price; cls.OpenClose = (int)field.OpenClose; cls.OpenClose_String = Enum <XAPI.OpenCloseType> .ToString(field.OpenClose); cls.HedgeFlag = (int)field.HedgeFlag; cls.HedgeFlag_String = Enum <XAPI.HedgeFlagType> .ToString(field.HedgeFlag); cls.Date = field.Date; cls.Time = field.Time; cls.ID = field.ID; cls.TradeID = field.TradeID; cls.ReserveInt32 = field.ReserveInt32; cls.ReserveChar64 = field.ReserveChar64; } if (null == OnRspQryTrade) { QueueData qd = new QueueData(); qd.Type = (int)ResponeType.OnRspQryTrade; qd.Type_String = Enum <XAPI.ResponeType> .ToString(ResponeType.OnRspQryTrade); qd.Sender = this; qd.Data1 = cls; qd.Data2 = size1; qd.Data3 = bIsLast; MessageQueue.Enqueue(qd); } else { OnRspQryTrade(this, ref cls, size1, bIsLast); } }
private void OnRtnTrade_callback(object sender, [In] ref TradeField trade) { if (null == OnRtnTrade) { return; } TradeField field = trade; TradeClass cls = new TradeClass(); cls.InstrumentName = field.InstrumentName(); cls.Symbol = field.Symbol; cls.InstrumentID = field.InstrumentID; cls.ExchangeID = field.ExchangeID; cls.ClientID = field.ClientID; cls.AccountID = field.AccountID; cls.Side = (int)field.Side; cls.Side_String = Enum <XAPI.OrderSide> .ToString(field.Side); cls.Qty = field.Qty; cls.Price = field.Price; cls.OpenClose = (int)field.OpenClose; cls.OpenClose_String = Enum <XAPI.OpenCloseType> .ToString(field.OpenClose); cls.HedgeFlag = (int)field.HedgeFlag; cls.HedgeFlag_String = Enum <XAPI.HedgeFlagType> .ToString(field.HedgeFlag); cls.Date = field.Date; cls.Time = field.Time; cls.ID = field.ID; cls.TradeID = field.TradeID; cls.ReserveInt32 = field.ReserveInt32; cls.ReserveChar64 = field.ReserveChar64; cls.PortfolioID1 = field.PortfolioID1; cls.PortfolioID2 = field.PortfolioID2; cls.PortfolioID3 = field.PortfolioID3; cls.Business = (int)field.Business; cls.Business_String = Enum <XAPI.BusinessType> .ToString(field.Business); if (null == OnRtnTrade) { QueueData qd = new QueueData(); qd.Type = (int)ResponseType.OnRtnTrade; qd.Type_String = Enum <XAPI.ResponseType> .ToString(ResponseType.OnRtnTrade); qd.Sender = this; qd.Data1 = cls; MessageQueue.Enqueue(qd); } else { OnRtnTrade(this, cls); } }
internal void OnMessage(TradeField field) { _processor.PostTrade(field); if (QueryTradingDataAfterTrade) { Trader.QueryAccount(); Trader.QueryPositions(); } }
//交易回报 private void _OnRtnTrade(object sender, TradeArgs e) { while (0 != Interlocked.Exchange(ref BaseStrategy.Locker, 1)) { } TradeField trade = e.Value; LogUtils.EnginLog($"交易回报:{trade.OrderID}\t{trade.InstrumentID}\t{trade.Direction}\t{trade.Offset}\t{trade.Price}\t{trade.Volume}"); Interlocked.Exchange(ref BaseStrategy.Locker, 0); }
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast) { if (size1 <= 0) { (sender as XApi).GetLog().Info("OnRspQryTrade"); return; } (sender as XApi).GetLog().Info("OnRspQryTrade:" + trade.ToFormattedString()); }
private void _OnRtnTrade(IntPtr ptr1, int size1) { // 求快,不加 //if (OnRtnTrade_ == null) // return; //TradeField obj = PInvokeUtility.GetObjectFromIntPtr<TradeField>(ptr1); TradeField obj = (TradeField)Marshal.PtrToStructure(ptr1, typeof(TradeField)); OnRtnTrade_(this, ref obj); }
private void _OnRspQryTrade(IntPtr ptr1, int size1, double double1) { if (OnRspQryTrade_ == null) { return; } TradeField obj = PInvokeUtility.GetObjectFromIntPtr <TradeField>(ptr1); OnRspQryTrade_(this, ref obj, size1, double1 != 0); }
private void _OnRtnTrade(IntPtr ptr1, int size1) { if (OnRtnTrade == null) { return; } TradeField obj = PInvokeUtility.GetObjectFromIntPtr <TradeField>(ptr1); OnRtnTrade(this, ref obj); }
private void OnRtnTrade_callback(object sender, ref TradeField trade) { (sender as XApi).GetLog().Debug("OnRtnTrade:" + trade.ToFormattedString()); try { orderMap.Process(ref trade); } catch (Exception ex) { (sender as XApi).GetLog().Error(ex); } }
private void _OnRtnTrade(IntPtr ptr1, int size1) { // 求快,不加 if (OnRtnTrade_ == null) { return; } TradeField obj = (TradeField)Marshal.PtrToStructure(ptr1, typeof(TradeField)); OnRtnTrade_(this, ref obj); }
private ConcurrentDictionary <string, TradeField> tradesDict; // 防止重复收到成交回报 private OrderRecord GetExternalOrder(ref TradeField field) { ExternalOrderRecord record; if (externalOrders.TryGetValue(field.InstrumentID, out record)) { if (field.OpenClose == OpenCloseType.Open) { return(field.Side == XAPI.OrderSide.Buy ? record.BuyOpen : record.SellOpen); } return(field.Side == XAPI.OrderSide.Buy ? record.BuyClose : record.SellClose); } return(null); }
public void Process(ref TradeField trade, NLog.Logger log) { lock (this) { OrderRecord record; if (!workingOrders.TryGetValue(trade.ID, out record)) { record = GetExternalOrder(ref trade); } if (record != null) { // CTP出现过重复发送委托与成交的情况,需要过滤。并提示 // 同一交易ID同一方向不会同时出现,出现表示系统重复提示 // 不向方向表示自成交了 TradeField field = null; if (tradesDict.TryGetValue(trade.TradeID, out field)) { // 有取出,可能是自成交,也可能是重复发单 if (trade.Side == field.Side) { log.Error("重复收到成交回报!"); // 后面不再处理 return; } else { log.Warn("出现自成交!"); // 自成交也得处理 } } else { tradesDict[trade.TradeID] = trade; } record.AddFill(trade.Price, (int)trade.Qty); SQ.ExecType execType = SQ.ExecType.ExecTrade; SQ.OrderStatus orderStatus = (record.LeavesQty > 0) ? SQ.OrderStatus.PartiallyFilled : SQ.OrderStatus.Filled; ExecutionReport report = CreateReport(record, execType, orderStatus); report.LastPx = trade.Price; report.LastQty = trade.Qty; provider.EmitExecutionReport(report); } else { // log.Warn("Trade,找不到订单,workingOrders.Count={0}", workingOrders.Count); } } }
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast) { if (size1 <= 0) { (sender as XApi).GetLog().Info("OnRspQryTrade"); } else { (sender as XApi).GetLog().Info("OnRspQryTrade:" + trade.ToFormattedString()); } if (OnRspQryTrade != null) { OnRspQryTrade(this, ref trade, size1, bIsLast); } }
//交易回报 public static void Body_OnRtnTrade(TradeField tf) { lock (OcAllTradeField) { int index = OcAllTradeField.IndexOf(tf); if (index == -1) { OcAllTradeField.Insert(0, tf); } else { OcAllTradeField[index].CThostFtdcTradeFieldInstance = tf.CThostFtdcTradeFieldInstance; } } }
private void _onRtnTrade(object sender, ref TradeField field) { Instrument inst = InstrumentManager.GetInstrument(field.InstrumentID); if (inst == null) { return; } // BrokerTrade trade = new BrokerTrade(inst , ConvertUtil.ConvertExchange(field.ExchangeID) , ConvertUtil.ConvertDirectionType(field.Side) , (long)field.Qty , field.Price , ConvertUtil.ConvertOpenCloseType(field.OpenClose) , DateTime.Now); mOnTrade?.Invoke(trade); }
public void Process(ref TradeField trade) { OrderRecord record; if (!workingOrders.TryGetValue(trade.ID, out record)) { record = GetExternalOrder(ref trade); } if (record != null) { record.AddFill(trade.Price, (int)trade.Qty); SQ.ExecType execType = SQ.ExecType.ExecTrade; SQ.OrderStatus orderStatus = (record.LeavesQty > 0) ? SQ.OrderStatus.PartiallyFilled : SQ.OrderStatus.Filled; ExecutionReport report = CreateReport(record, execType, orderStatus); report.LastPx = trade.Price; report.LastQty = trade.Qty; provider.EmitExecutionReport(report); } }
private void ProcessTrade(TradeField trade) { _map.TryGetOrder(trade.ID, out var record); if (record != null) { record.AddFill(trade.Price, trade.Qty); var status = record.LeavesQty > 0 ? OrderStatus.PartiallyFilled : OrderStatus.Filled; var report = CreateReport(record, status, ExecType.ExecTrade); report.ExecId = trade.TradeID; report.DateTime = trade.UpdateTime(); if (report.DateTime.Date != _provider.trader.TradingDay) { report.TransactTime = _provider.trader.TradingDay.Add(report.DateTime.TimeOfDay); } else { report.TransactTime = report.DateTime; } report.LastPx = trade.Price; report.LastQty = trade.Qty; if (Math.Abs(trade.Commission) < double.Epsilon) { report.Commission = _provider.GetCommission(report); } else { report.Commission = trade.Commission; } _provider.OnMessage(report); if (status == OrderStatus.Filled) { _map.RemoveDone(trade.ID); } } }
private void OnRtnTrade_callback(object sender, ref TradeField trade) { lock (this) { var log = (sender as XApi).GetLog(); log.Debug("OnRtnTrade:" + trade.ToFormattedString()); // 由策略来收回报 if (OnRtnTrade != null) { OnRtnTrade(sender, ref trade); } try { orderMap.Process(ref trade, log); } catch (Exception ex) { log.Error(ex); } } }
public OnRspQryTradeEventArgs(ref TradeField trade, int size1, bool bIsLast) { this.trade = trade; this.size1 = size1; this.bIsLast = bIsLast; }
protected virtual void OnRtnTrade(object sender, TradeField trade) { Provider.OnMessage(trade); }
public OnRtnTradeEventArgs(ref TradeField trade) { this.trade = trade; }
public OnRtnTradeEventArgs(ref TradeField trade) { this.trade = trade; }
internal void OnMessage(TradeField field) { _processor.PostTrade(field); }
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast) { if (null != OnRspQryTrade) { OnRspQryTrade(this, new OnRspQryTradeEventArgs(ref trade, size1, bIsLast)); } }
private void OnRspQryTrade_callback(object sender, ref TradeField trade, int size1, bool bIsLast) { if (null == OnRspQryTrade) return; TradeClass cls = null; if (size1 > 0) { TradeField field = trade; cls = new TradeClass(); cls.InstrumentName = field.InstrumentName(); cls.Symbol = field.Symbol; cls.InstrumentID = field.InstrumentID; cls.ExchangeID = field.ExchangeID; cls.ClientID = field.ClientID; cls.AccountID = field.AccountID; cls.Side = (int)field.Side; cls.Side_String = Enum<XAPI.OrderSide>.ToString(field.Side); cls.Qty = field.Qty; cls.Price = field.Price; cls.OpenClose = (int)field.OpenClose; cls.OpenClose_String = Enum<XAPI.OpenCloseType>.ToString(field.OpenClose); cls.HedgeFlag = (int)field.HedgeFlag; cls.HedgeFlag_String = Enum<XAPI.HedgeFlagType>.ToString(field.HedgeFlag); cls.Date = field.Date; cls.Time = field.Time; cls.ID = field.ID; cls.TradeID = field.TradeID; cls.ReserveInt32 = field.ReserveInt32; cls.ReserveChar64 = field.ReserveChar64; } if (null == OnRspQryTrade) { QueueData qd = new QueueData(); qd.Type = (int)ResponeType.OnRspQryTrade; qd.Type_String = Enum<XAPI.ResponeType>.ToString(ResponeType.OnRspQryTrade); qd.Sender = this; qd.Data1 = cls; qd.Data2 = size1; qd.Data3 = bIsLast; MessageQueue.Enqueue(qd); } else { OnRspQryTrade(this, ref cls, size1, bIsLast); } }
public void PostTrade(TradeField trade) { _orderBlock.Post(new TradingEvent(ExecType.ExecTrade, trade)); }
private void OnRtnTrade_callback(object sender, ref TradeField trade) { if (null != OnRtnTrade) { OnRtnTrade(this, new OnRtnTradeEventArgs(ref trade)); } }