/// <summary>
/// 委托单是否属于该任务。
/// </summary>
/// <param name="orderNum"></param>
/// <returns></returns>
public bool ContainsOrderBook(USeOrderNum orderNum)
{
foreach (ArbitrageTask task in m_taskList)
{
if (task.ContainsOrderBook(orderNum))
{
return(true);
}
}
return(false);
}
/// <summary>
/// 委托单是否属于该任务。
/// </summary>
/// <param name="orderNum">委托单号。</param>
/// <returns></returns>
public bool ContainsOrderBook(USeOrderNum orderNum)
{
if (m_firstSubTask.ContainsOrderBook(orderNum))
{
return(true);
}
if (m_secondSubTask.ContainsOrderBook(orderNum))
{
return(true);
}
return(false);
}
/// <summary>
/// 查询指定委托单号的委托回报。
/// </summary>
/// <param name="orderNum"></param>
/// <returns></returns>
public override USeOrderBook QueryOrderBook(USeOrderNum orderNum)
{
USeOrderBook order_book = new USeOrderBook();
order_book = (from p in m_dataBuffer.OrderBookList
where p.OrderNum == orderNum
select p).FirstOrDefault();
if (order_book == null)
{
return(null);
}
return(order_book);
}
public void CanceledOrder(USeOrderNum orderNum)
{
USeOrderBook order_book = (from p in m_dataBuffer.OrderBookList
where p.OrderNum.Equals(orderNum)
select p).FirstOrDefault();
if (order_book == null)
{
return;
}
string error = string.Empty;
CancelOrder(order_book.OrderNum, null, out error);
}
public bool CanceledOrderActionReturn(USeOrderNum orderNum, bool isCancelSucceed)
{
if (isCancelSucceed == false)
{
return(false);
}
string error = "errorInfo";
//Orderlist中找到OrderNum对应的单子删除
if (orderNum == null)
{
return(false);
}
if (m_dataBuffer.OrderBookList.Count <= 0)
{
return(false);
}
USeOrderBook order_book = (from p in m_dataBuffer.OrderBookList
where p.OrderNum.Equals(orderNum)
select p).FirstOrDefault();
if (order_book == null)
{
return(false);
}
if (order_book.TradeQty == order_book.OrderQty)
{
return(false);
}
if (order_book.TradeQty == 0)
{
order_book.OrderStatus = USeOrderStatus.AllCanceled;
order_book.CancelQty = order_book.OrderQty;
}
else
{
System.Diagnostics.Debug.Assert(order_book.TradeQty > 0);
order_book.OrderStatus = USeOrderStatus.PartCanceled;
order_book.CancelQty = order_book.OrderQty - order_book.TradeQty;
}
m_pushOrderBookList.Enqueue(order_book.Clone());
return(true);
}
public void AllTrade(USeOrderNum orderNum, int slipPoint)
{
USeOrderBook orderBook = (from p in m_dataBuffer.OrderBookList
where p.OrderNum.Equals(orderNum)
select p).FirstOrDefault();
if (orderBook == null)
{
return;
}
USeInstrumentDetail instrumentDetail = QueryInstrumentDetail(orderBook.Instrument);
int tradeQty = (orderBook.OrderQty - orderBook.TradeQty);
decimal tradePrice = 0;
if (orderBook.OrderSide == USeOrderSide.Buy)
{
tradePrice = orderBook.OrderPrice - instrumentDetail.PriceTick * slipPoint;
}
else if (orderBook.OrderSide == USeOrderSide.Sell)
{
tradePrice = orderBook.OrderPrice + instrumentDetail.PriceTick * slipPoint;
}
int volumeMultiple = instrumentDetail.VolumeMultiple;
int orderBookTradeQty = orderBook.TradeQty + tradeQty;
orderBook.TradeQty = orderBookTradeQty;
orderBook.TradeAmount = tradePrice * orderBookTradeQty * volumeMultiple;
orderBook.TradePrice = tradePrice;
orderBook.TradeFee = 5 * orderBookTradeQty;
orderBook.CancelQty = 0;
orderBook.Memo = orderBook.Memo;
orderBook.OrderTime = DateTime.Now;
orderBook.OrderStatus = USeOrderStatus.AllTraded;
USeTradeBook tradeBook = CreateTradeBook(orderBook, tradeQty, tradePrice, tradeQty * tradePrice * volumeMultiple, 5 * tradeQty);
USePosition positionBook = CreatePositionBook(tradeBook);
m_pushTradeBookList.Enqueue(tradeBook);
m_pushOrderBookList.Enqueue(orderBook.Clone());
//推送持仓信息
m_pushPositionList.Enqueue(positionBook.Clone());
}
/// <summary>
/// 根据下单指令下单。
/// </summary>
/// <param name="command">下单指令。</param>
private bool PlaceOrderForOrderCommand(OrderCommand command)
{
string errorMessage = string.Empty;
USeOrderNum orderNum = m_orderDriver.PlaceOrder(command.Instrument, command.OrderQty, command.OrderPrice, command.OffsetType, command.OrderSide, out errorMessage);
command.OrderNum = orderNum;
if (orderNum == null)
{
Debug.Assert(string.IsNullOrEmpty(errorMessage) == false);
command.OrderErrorMessage = errorMessage;
return(false); // 下单失败
}
else
{
return(true);
}
}
public static void TestOrderNum()
{
CtpOrderNum num1 = new CtpOrderNum(1, 2, "3", "4", "5");
CtpOrderNum num2 = new CtpOrderNum(1, 2, "3", "4", "5");
USeOrderNum num3 = num1;
USeOrderNum num4 = num2;
bool result = false;
result = (num1 == num2);
Console.WriteLine("(num1 == num2) " + result.ToString());
result = num1.Equals(num2);
Console.WriteLine("(num1.Equals(num2)) " + result.ToString());
result = (num3 == num4);
Console.WriteLine("(num3 == num4) " + result.ToString());
result = num3.Equals(num4);
Console.WriteLine("num3.Equals(num4) " + result.ToString());
Console.WriteLine();
}
/// <summary>
/// 创建空的委托回报。
/// </summary>
/// <param name="orderNum">委托单号。</param>
/// <param name="instrument">合约。</param>
/// <param name="orderQty">委托量。</param>
/// <param name="orderPrice">委托价格。</param>
/// <param name="offsetType">开平方向。</param>
/// <param name="orderSide">买卖方向。</param>
/// <returns></returns>
private USeOrderBook CreateOrignalUSeOrderBook(USeOrderNum orderNum, USeInstrument instrument, int orderQty, decimal orderPrice, USeOffsetType offsetType, USeOrderSide orderSide)
{
USeOrderBook orderBook = new USeOrderBook();
orderBook.OrderNum = orderNum;
orderBook.Account = string.Empty;
orderBook.Instrument = instrument;
orderBook.OrderQty = orderQty;
orderBook.OrderPrice = orderPrice;
orderBook.TradeQty = 0;
orderBook.TradeAmount = 0m;
orderBook.TradePrice = 0m;
orderBook.TradeFee = 0m;
orderBook.OrderStatus = USeOrderStatus.Unknown;
orderBook.CancelQty = 0;
orderBook.OrderSide = orderSide;
orderBook.OffsetType = offsetType;
orderBook.Memo = string.Empty;
orderBook.OrderTime = DateTime.Now;
return(orderBook);
}
private void buttonOrder_Click(object sender, EventArgs e)
{
if (this.comboBoxInstrument.Text == string.Empty)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "合约项为空，请选入合约信息");
return;
}
if (this.numericUpDownPrice.Value <= 0)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "价格为不能为0或负数");
return;
}
if (this.numericUpDownVolume.Value <= 0)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, "数量不能为0或负数");
return;
}
decimal orderPrice = 0m;
if (m_freshOrderPrice)
{
orderPrice = GetMarketOrderPrice();
}
else
{
orderPrice = this.numericUpDownPrice.Value;
}
string error_info = string.Empty;
USeOrderNum orderNum = USeManager.Instance.OrderDriver.PlaceOrder(m_selectedInstrument, (int)this.numericUpDownVolume.Value, GetMarketOrderPrice(), GetChoiceOffsetType(), GetChoiceDirection(), out error_info);
if (orderNum == null)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, error_info);
}
}
/// <summary>
/// 撤单。
/// </summary>
/// <param name="orderNum">委托单号。</param>
/// <param name="product">委托产品。</param>
/// <param name="error">[out]撤单失败错误信息。</param>
/// <returns>撤单是否成功。</returns>
public override bool CancelOrder(USeOrderNum orderNum, USeInstrument product, out string error)
{
CtpOrderNum ctpOrderNum = orderNum as CtpOrderNum;
if (ctpOrderNum == null)
{
throw new ArgumentException("Invalid orderNum type", "orderNum");
}
error = string.Empty;
int requestID = m_requetSeqIDCreator.Next();
try
{
InputOrderActionField requestField = new InputOrderActionField();
requestField.ActionFlag = ActionFlagType.Delete;
requestField.BrokerID = m_brokerID;
requestField.InvestorID = m_investorID;
requestField.InstrumentID = product.InstrumentCode;
requestField.FrontID = ctpOrderNum.FrontID;
requestField.SessionID = ctpOrderNum.SessionID;
requestField.OrderRef = ctpOrderNum.OrderRef;
requestField.ExchangeID = ctpOrderNum.ExchangeID;
requestField.OrderSysID = ctpOrderNum.OrderSysID;
m_ctpUser.ReqOrderAction(ref requestField, requestID);
return(true);
}
catch (Exception ex)
{
m_logger.WriteError(string.Format("{0} cancelorder[OrderNum:{1}] failed,Error:{2}.",
ToString(), orderNum, ex.Message));
error = ex.Message;
return(false);
}
}
public void PartTrade(USeOrderNum orderNum)
{
PartTrade(orderNum, 0);
}
public void AllTrade(USeOrderNum orderNum)
{
AllTrade(orderNum, 0);
}
/// <summary>
/// 委托单是否属于该任务。
/// </summary>
/// <param name="orderNum"></param>
/// <returns></returns>
public bool ContainsOrderBook(USeOrderNum orderNum)
{
return(m_orderBookList.Exists(o => o.OrderNum.Equals(orderNum)));
}
private void btnOK_Click(object sender, EventArgs e)
{
List <ErrorUSeOrderBook> result = new List <ErrorUSeOrderBook>();
try
{
//如果存在未被处理的委托单，提示处理
foreach (DataRow row in m_dataTable.Rows)
{
string errorMessage = string.Empty;
if (IsMatchRule(row, out errorMessage) == false)
{
USeFuturesSpiritUtility.ShowErrrorMessageBox(this, "请处理异常委托单");
return;
}
}
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
Debug.Assert(orderDriver != null);
//根据界面生成结果保存到Result
foreach (DataRow row in m_dataTable.Rows)
{
USeInstrument instrument = row["Instrument"] as USeInstrument;
Debug.Assert(instrument != null);
USeInstrumentDetail instrumentDetail = orderDriver.QueryInstrumentDetail(instrument);
//[yangming]合约过期后可能查不到了，此处可以考虑用品种信息获取合约乘数
Debug.Assert(instrumentDetail != null);
int orderQty = Convert.ToInt32(row["OrderQty"]);
int tradeQty = Convert.ToInt32(row["TradeQty"]);
int cancelQty = orderQty - tradeQty;
Debug.Assert(cancelQty >= 0);
decimal tradePrice = Convert.ToDecimal(row["TradePrice"]);
decimal tradeFee = Convert.ToDecimal(row["TradeFee"]);
decimal tradeAmount = tradePrice * tradeQty * instrumentDetail.VolumeMultiple;
USeOrderStatus selectedOrderStatus = (USeOrderStatus)row["SelectedOrderStatus"];
USeOrderStatus status = USeOrderStatus.Unknown;
if (selectedOrderStatus == USeOrderStatus.AllTraded)
{
status = USeOrderStatus.AllTraded;
}
else if (selectedOrderStatus == USeOrderStatus.AllCanceled)
{
if (cancelQty == orderQty)
{
status = USeOrderStatus.AllCanceled;
}
else
{
status = USeOrderStatus.PartCanceled;
}
}
USeOrderNum orderNum = row["OrderNum"] as USeOrderNum;
ErrorUSeOrderBook erroOrderBook = row["ErrorUSeOrderBook"] as ErrorUSeOrderBook;
erroOrderBook.OrderBook.OrderStatus = status;
erroOrderBook.OrderBook.CancelQty = cancelQty;
erroOrderBook.OrderBook.TradeQty = tradeQty;
erroOrderBook.OrderBook.TradePrice = tradePrice;
erroOrderBook.OrderBook.TradeAmount = tradeAmount;
erroOrderBook.OrderBook.TradeFee = tradeFee;
result.Add(erroOrderBook);
}
this.Result = result;
}
catch (Exception ex)
{
USeFuturesSpiritUtility.ShowWarningMessageBox(this, ex.Message);
return;
}
this.DialogResult = DialogResult.Yes;
this.Close();
}
/// <summary>
/// 撤单。
/// </summary>
/// <param name="orderNum">委托单号。</param>
/// <param name="product">委托产品。</param>
/// <param name="error">[out]撤单失败错误信息。</param>
/// <returns>撤单是否成功。</returns>
public override bool CancelOrder(USeOrderNum orderNum, USeInstrument product, out string error)
{
error = string.Empty;
//m_cancelOrderQueue.Enqueue(orderNum as TestOrderNum);
if (this.OnClientCancelOrder != null)
{
this.OnClientCancelOrder(orderNum as TestOrderNum);
}
return(true);
////Orderlist中找到OrderNum对应的单子删除
//error = "Error_info";
//if (orderNum == null) return false;
//if (m_dataBuffer.OrderBookList.Count <= 0) return false;
//USeOrderBook order_book = (from p in m_dataBuffer.OrderBookList
// where p.OrderNum.Equals(orderNum)
// select p).FirstOrDefault();
//if (order_book == null) return false;
//if (order_book.TradeQty == order_book.OrderQty)
//{
// return false;
//}
//if (order_book.TradeQty == 0)
//{
// order_book.OrderStatus = USeOrderStatus.AllCanceled;
// order_book.CancelQty = order_book.OrderQty;
//}
//else
//{
// System.Diagnostics.Debug.Assert(order_book.TradeQty > 0);
// order_book.OrderStatus = USeOrderStatus.PartCanceled;
// order_book.CancelQty = order_book.OrderQty - order_book.TradeQty;
//}
//m_pushOrderBookList.Enqueue(order_book.Clone());
//return true;
//CtpOrderNum ctpOrderNum = orderNum as CtpOrderNum;
//if (ctpOrderNum == null)
//{
// throw new ArgumentException("Invalid orderNum type", "orderNum");
//}
//error = string.Empty;
//int requestID = m_requetSeqIDCreator.Next();
//try
//{
// InputOrderActionField requestField = new InputOrderActionField();
// requestField.ActionFlag = ActionFlagType.Delete;
// requestField.BrokerID = m_brokerID;
// requestField.InvestorID = m_investorID;
// requestField.InstrumentID = product.InstrumentCode;
// requestField.FrontID = ctpOrderNum.FrontID;
// requestField.SessionID = ctpOrderNum.SessionID;
// requestField.OrderRef = ctpOrderNum.OrderRef;
// requestField.ExchangeID = ctpOrderNum.ExchangeID;
// requestField.OrderSysID = ctpOrderNum.OrderSysID;
// m_ctpUser.ReqOrderAction(ref requestField, requestID);
// return true;
//}
//catch (Exception ex)
//{
// m_logger.WriteError(string.Format("{0} cancelorder[OrderNum:{1}] failed,Error:{2}.",
// ToString(), orderNum, ex.Message));
// error = ex.Message;
// return false;
//}
}
/// <summary>
/// 查询指定委托单号的委托回报。
/// </summary>
/// <param name="orderNum"></param>
/// <returns></returns>
public override USeOrderBook QueryOrderBook(USeOrderNum orderNum)
{
return(m_dataBuffer.GetCheckedOrderBook(orderNum));
}
