/// <summary>
/// CTP InvestorPositionField To USePosition。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USePosition CtpInvestorPositonFieldToUSePosition(InvestorPositionField field)
{
USePosition position = new USePosition();
position.Instrument = m_dataBuffer.GetInstrumnetByCode(field.InstrumentID.Trim());
Debug.Assert(position.Instrument != null && position.InstrumentCode == field.InstrumentID.Trim(), "position.Instrument is null");
int volumeMultiple = m_dataBuffer.GetVolumeMultiple(position.Instrument);
switch (field.PosiDirection)
{
case PosiDirectionType.Long: position.Direction = USeDirection.Long; break;
case PosiDirectionType.Short: position.Direction = USeDirection.Short; break;
default:
Debug.Assert(false, "Invalid PosiDirection");
break;
}
position.NewPosition = field.TodayPosition;
position.YesterdayPosition = field.YdPosition;
position.OldPosition = field.Position - field.TodayPosition;
position.AvgPirce = 0m;
position.Amount = 0m;
position.OpenQty = field.OpenVolume;
position.CloseQty = field.CloseVolume;
return(position);
}
public void AddPositionList(USePosition position)
{
if (m_dataBuffer.PositionDataList != null)
{
m_dataBuffer.PositionDataList.Add(position);
}
}
/// <summary>
/// 将修改的初始持仓数据推送到客户端
/// </summary>
public void ReloadInitPositionData(USePosition position)
{
try
{
base.FirePositionChanged(position);
}
catch (Exception ex)
{
System.Diagnostics.Debug.Assert(false);
}
}
//查询队列有任务发布事件
public void execEventList()
{
while (m_runFlag)
{
Thread.Sleep(500);
if (m_pushTradeBookList.Count > 0)
{
USeTradeBook tradeBook = m_pushTradeBookList.Dequeue();
if (tradeBook != null)
{
try
{
base.FireTradeBookChanged(tradeBook, true);
}
catch (Exception ex)
{
System.Diagnostics.Debug.Assert(false);
}
}
}
if (m_pushOrderBookList.Count > 0)
{
USeOrderBook order_book = m_pushOrderBookList.Dequeue();
if (order_book != null)
{
try
{
base.FireOrderBookChanged(order_book);
}
catch (Exception ex)
{
System.Diagnostics.Debug.Assert(false);
}
}
}
if (m_pushPositionList.Count > 0)
{
USePosition position_book = m_pushPositionList.Dequeue();
if (position_book != null)
{
try
{
base.FirePositionChanged(position_book);
}
catch (Exception ex)
{
System.Diagnostics.Debug.Assert(false);
}
}
}
}
}
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());
}
public void Update(USePosition entity)
{
this.Instrument = entity.Instrument;
this.Direction = entity.Direction;
this.NewPosition = entity.NewPosition;
this.OldPosition = entity.OldPosition;
this.NewFrozonPosition = entity.NewFrozonPosition;
this.NewAvaliablePosition = entity.NewAvaliablePosition;
this.OldFrozonPosition = entity.OldFrozonPosition;
this.OldAvaliablePosition = entity.OldAvaliablePosition;
this.YesterdayPosition = entity.YesterdayPosition;
this.AvaliablePosition = entity.AvaliablePosition;
this.AvgPrice = entity.AvgPirce;
this.Amount = entity.Amount;
this.OpenQty = entity.OpenQty;
this.CloseQty = entity.CloseQty;
}
public USePosition GetPositionCu1708Buy()
{
USePosition position = new USePosition();
USeInstrument instrument = new USeInstrument("cu1708", "沪铜1708", USeMarket.SHFE);
position.Instrument = instrument;
position.Direction = USeDirection.Long;
position.NewPosition = 8;
position.OldPosition = 2;
position.YesterdayPosition = 10;
position.OpenQty = 0;
position.AvgPirce = 46400.560m;
position.Amount = 62000.570m;
position.CloseQty = 0;
position.NewFrozonPosition = 0;
position.OldFrozonPosition = 0;
return(position);
}
public USePosition GetPositionCu1708Sell()
{
USePosition position = new USePosition();
USeInstrument instrument = new USeInstrument("cu1708", "沪铜1708", USeMarket.SHFE);
position.Instrument = instrument;
position.Direction = USeDirection.Short;
position.NewPosition = 9;
position.OldPosition = 2;
position.YesterdayPosition = 11;
position.OpenQty = 0;
position.AvgPirce = 56000.560m;
position.Amount = 75000.570m;
position.CloseQty = 0;
position.NewFrozonPosition = 0;
position.OldFrozonPosition = 0;
return(position);
}
public USePosition ConvertModelPositon(TestPositionDataViewModel position_model)
{
USePosition positionData = new USePosition();
if (position_model == null)
{
return(positionData);
}
positionData.Instrument = position_model.Instrument;
positionData.Direction = position_model.Direction;
positionData.NewPosition = position_model.NewPosition;
positionData.OldPosition = position_model.OldPosition;
positionData.NewFrozonPosition = position_model.NewFrozonPosition;
positionData.OldFrozonPosition = position_model.OldFrozonPosition;
positionData.YesterdayPosition = position_model.YesterdayPosition;
positionData.AvgPirce = position_model.AvgPrice;
positionData.Amount = position_model.Amount;
positionData.OpenQty = position_model.OpenQty;
positionData.CloseQty = position_model.CloseQty;
return(positionData);
}
public static TestPositionDataViewModel Creat(USePosition entity)
{
TestPositionDataViewModel data_model = new TestPositionDataViewModel();
data_model.Instrument = entity.Instrument;
data_model.Direction = entity.Direction;
data_model.NewPosition = entity.NewPosition;
data_model.OldPosition = entity.OldPosition;
data_model.NewFrozonPosition = entity.NewFrozonPosition;
data_model.NewAvaliablePosition = entity.NewAvaliablePosition;
data_model.OldFrozonPosition = entity.OldFrozonPosition;
data_model.OldAvaliablePosition = entity.OldAvaliablePosition;
data_model.YesterdayPosition = entity.YesterdayPosition;
data_model.AvaliablePosition = entity.AvaliablePosition;
data_model.AvgPrice = entity.AvgPirce;
data_model.Amount = entity.Amount;
data_model.OpenQty = entity.OpenQty;
data_model.CloseQty = entity.CloseQty;
return(data_model);
}
/// <summary>
/// 修改后的Position数据同步到前台客户端
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button_AsycToClient_Click(object sender, EventArgs e)
{
DataGridViewRowCollection rows_collection = this.gridPosition.Rows;
if (rows_collection.Count == 0)
{
return;
}
m_orderDriver.ClearPositionList();
foreach (DataGridViewRow row in rows_collection)
{
TestPositionDataViewModel positionModel = row.DataBoundItem as TestPositionDataViewModel;
USePosition positionData = ConvertModelPositon(positionModel);
//重新更新持仓列表
m_orderDriver.AddPositionList(positionData);
//同步到客户端
m_orderDriver.ReloadInitPositionData(positionData);
}
}
private void UpdatePositionBook(USePosition position)
{
PositionDataViewModel Position_Model = m_position_data_source.FirstOrDefault(p => (p.InstrumentCode == position.InstrumentCode) && (p.Direction == position.Direction));
if (Position_Model != null)
{
if (position.NewPosition + position.OldPosition == 0)
{
m_position_data_source.Remove(Position_Model);
}
else
{
Position_Model.Update(position);
if (position.NewPosition < position.NewFrozonPosition)
{
string tmpTestText = string.Format(@"[HanyuListUpdate],DateTime:{0} InstrumentCode:{1} Direction:{2} OpenQty：{3},NewAvaliablePosition:{4} ,NewFrozonPosition:{5}，NewPosition{6}," +
"OldAvaliablePosition:{7}，OldFrozonPosition:{8},OldPosition:{9}",
DateTime.Now.ToString("yyyy-MM-dd HH:mm:ss.fff"), position.InstrumentCode, position.Direction, position.OpenQty, position.NewAvaliablePosition,
position.NewFrozonPosition, position.NewPosition, position.OldAvaliablePosition, position.OldFrozonPosition, position.OldPosition);
USeManager.Instance.EventLogger.WriteAudit(tmpTestText);
}
}
}
else
{
if (position.NewPosition + position.OldPosition == 0)
{
m_position_data_source.Remove(Position_Model);
}
else
{
PositionDataViewModel position_model = PositionDataViewModel.Creat(position);
m_position_data_source.Add(position_model);
}
}
}
/// <summary>
/// 创建委托命令集合。
/// </summary>
/// <param name="taskId">任务ID。</param>
/// <param name="instrument">合约。</param>
/// <param name="orderSide">买卖方向。</param>
/// <param name="offsetType">开平方向。</param>
/// <param name="orderQty">委托量。</param>
/// <param name="orderPrice">委托价格。</param>
/// <param name="orderReason">委托原因。</param>
/// <returns></returns>
private List <OrderCommand> CreateOrderCommands(int taskId, USeInstrument instrument, USeOrderSide orderSide, USeOffsetType offsetType, int orderQty, decimal orderPrice, string orderReason)
{
List <OrderCommand> commandList = new List <OrderCommand>();
//构造指令
if (offsetType == USeOffsetType.Open)
{
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.Open,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
commandList.Add(command);
}
else
{
Debug.Assert(offsetType == USeOffsetType.Close);
if (instrument.Market == USeMarket.SHFE)
{
#region 交所平仓
USeDirection direction = orderSide == USeOrderSide.Buy ? USeDirection.Short : USeDirection.Long;
//上海交易所平仓需区分平今还是平昨
USePosition position = m_orderDriver.QueryPositions(instrument, direction);
//[yangming]
string tmpTestText = string.Format(@"[hanyuClose]Ins:{0} OrderSide:{1} OffsetFlag:{2} OrderQty：{3},NewAvaliablePosition:{4} ,NewFrozonPosition:{5}，NewPosition{6}," +
"OldAvaliablePosition:{7}，OldFrozonPosition:{8},OldPosition:{9}", instrument.InstrumentCode, orderSide, offsetType, orderQty, position.NewAvaliablePosition,
position.NewFrozonPosition, position.NewPosition, position.OldAvaliablePosition, position.OldFrozonPosition, position.OldPosition);
USeManager.Instance.EventLogger.WriteAudit(tmpTestText);
//
if (position == null || position.AvaliablePosition < orderQty)
{
//查询不到仓位,或者仓位不足，直接构造平今指令
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseToday,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
commandList.Add(command);
}
else
{
//平今
int remainQty = orderQty;
if (position.NewAvaliablePosition > 0)
{
int closeQty = Math.Min(position.NewAvaliablePosition, remainQty);
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseToday,
OrderQty = closeQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
remainQty -= closeQty;
commandList.Add(command);
}
//平昨
if (remainQty > 0)
{
Debug.Assert(remainQty <= position.OldAvaliablePosition);
int closeQty = remainQty;
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.CloseHistory,
OrderQty = closeQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
remainQty -= closeQty;
commandList.Add(command);
}
Debug.Assert(remainQty == 0);
}
#endregion
}
else
{
OrderCommand command = new OrderCommand()
{
TaskId = taskId,
Instrument = instrument,
OrderSide = orderSide,
OffsetType = USeOffsetType.Close,
OrderQty = orderQty,
OrderPrice = orderPrice,
OrderReason = orderReason
};
}
}
return(commandList);
}
private USePosition CreatePositionBook(USeTradeBook traderBook)
{
System.Diagnostics.Debug.Assert(traderBook != null);
USeDirection direction;
if (traderBook.OffsetType == USeOffsetType.Open)
{
direction = traderBook.OrderSide == USeOrderSide.Buy? USeDirection.Long:USeDirection.Short;
}
else
{
direction = traderBook.OrderSide == USeOrderSide.Buy? USeDirection.Short:USeDirection.Long;
}
USePosition position = null;
//维护持仓列表-从持仓列表中要移除总持仓为0的Item
for (int i = 0; i < m_dataBuffer.PositionDataList.Count; i++)
{
if (m_dataBuffer.PositionDataList[i].TotalPosition == 0)
{
m_dataBuffer.PositionDataList.RemoveAt(i);
}
}
position = (from p in m_dataBuffer.PositionDataList
where (p.Instrument == traderBook.Instrument && p.Direction == direction)
select p).FirstOrDefault();
if (position == null)
{
Debug.Assert(traderBook.OffsetType == USeOffsetType.Open);
position = new USePosition()
{
Instrument = traderBook.Instrument,
Direction = direction,
NewPosition = traderBook.Qty,
Amount = traderBook.Amount,
AvgPirce = traderBook.Price
};
m_dataBuffer.PositionDataList.Add(position);
}
else
{
switch (traderBook.OffsetType)
{
case USeOffsetType.Open:
position.NewPosition = position.NewPosition + traderBook.Qty;
break;
case USeOffsetType.CloseToday:
position.NewPosition = position.NewPosition - traderBook.Qty;
break;
case USeOffsetType.CloseHistory:
position.OldPosition = position.OldPosition - traderBook.Qty;
break;
case USeOffsetType.Close:
int oldCloseQty = Math.Min(traderBook.Qty, position.OldPosition);
position.OldPosition = position.OldPosition - oldCloseQty;
int newCloseQty = traderBook.Qty - oldCloseQty;
position.NewPosition = position.NewPosition - newCloseQty;
break;
default:
Debug.Assert(false);
break;
}
}
return(position);
}
