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
});
}
}
}
private void CTPOnRtnOrder(ref CThostFtdcOrderField pOrder)
{
TimeSpan ts;
if (!IsLogin)
{
_rtnOrderTime = DateTime.Now; //登录前接收所有旧的 order
}
if (string.IsNullOrEmpty(pOrder.InstrumentID))
{
return;
}
string id = string.Format("{0}|{1}|{2}", pOrder.SessionID, pOrder.FrontID, pOrder.OrderRef);
//_dicLocalidSfrId.TryAdd(pOrder.OrderLocalID, id);//防止因此项未赋值,导致成交响应里无法更新
long tmp;
if (DicOrderField.TryAdd(id, new OrderField
{
Custom = (int)(long.TryParse(pOrder.OrderRef, out tmp) ? tmp % 1000000 : 0),
//修复: 值为null会导致界面显示错误
InsertTime = string.IsNullOrEmpty(pOrder.InsertTime) ? DateTime.Now.ToString("HH:mm:ss") : pOrder.InsertTime,
InstrumentID = pOrder.InstrumentID,
//SysID = string.Empty, //为null会导致界面显示错误
//TradeTime = string.Empty,
IsLocal = pOrder.SessionID == _session,
LimitPrice = pOrder.LimitPrice,
OrderID = id,
Volume = pOrder.VolumeTotalOriginal,
VolumeLeft = pOrder.VolumeTotalOriginal, // pOrder->VolumeTotal;
//f->VolumeLeft = pOrder->VolumeTotal; //由ontrade处理
Status = OrderStatus.Normal,
StatusMsg = pOrder.StatusMsg,
Direction = pOrder.Direction == TThostFtdcDirectionType.THOST_FTDC_D_Buy ? DirectionType.Buy : DirectionType.Sell,
Hedge = (TThostFtdcHedgeFlagType)pOrder.CombHedgeFlag[0] == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation ? HedgeType.Speculation : (TThostFtdcHedgeFlagType)pOrder.CombHedgeFlag[0] == TThostFtdcHedgeFlagType.THOST_FTDC_HF_Arbitrage ? HedgeType.Arbitrage : HedgeType.Hedge,
Offset = (TThostFtdcOffsetFlagType)pOrder.CombOffsetFlag[0] == TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open ? OffsetType.Open : (TThostFtdcOffsetFlagType)pOrder.CombOffsetFlag[0] == TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday ? OffsetType.CloseToday : OffsetType.Close,
})) //首次响应
{
//if (pOrder.OrderLocalID.Length > 0) //成交响应时用
if (IsLogin)
{
_OnRtnOrder?.Invoke(this, new OrderArgs {
Value = DicOrderField[id]
});
}
}
else
{
OrderField f = DicOrderField[id];
//修复: 值为null会导致界面显示错误
f.InsertTime = string.IsNullOrEmpty(pOrder.InsertTime) ? DateTime.Now.ToString("HH:mm:ss") : pOrder.InsertTime;
if (_excTime == DateTime.MinValue && TimeSpan.TryParse(f.InsertTime, out ts)) //首次的onrtnorder时间有问题,故放在此处更新_exctime
{
_excTime = DateTime.Today.Add(ts);
_sw.Restart();
}
if (TThostFtdcOrderStatusType.THOST_FTDC_OST_Canceled == pOrder.OrderStatus)
{
f.Status = OrderStatus.Canceled;
f.StatusMsg = pOrder.StatusMsg;
if (!string.IsNullOrEmpty(pOrder.CancelTime))
{
f.TradeTime = pOrder.CancelTime;
}
else if (IsLogin) //成撤时间:此处为撤单时间
{
f.TradeTime = DateTime.Now.ToString("HH:mm:ss");
}
if (IsLogin)
{
//委托被拒绝的撤单按错误处理
if (pOrder.StatusMsg.IndexOf(@"被拒绝") >= 0)
{
_OnRtnErrOrder?.Invoke(this, new ErrOrderArgs {
ErrorID = -1, ErrorMsg = pOrder.StatusMsg, Value = f
});
}
else
{
_OnRtnCancel?.Invoke(this, new OrderArgs {
Value = f,
});
}
}
//撤单次数等规则由业务层处理
//_dicCancelTimes.AddOrUpdate(f.InstrumentID, 1, (k, v) => v + 1);
//if (_dicCancelTimes[f.InstrumentID] >= 450 && _dicCancelTimes[f.InstrumentID] % 10 == 0)
//{
// if (IsLogin && _caller._OnRtnErrCancel != null)
// _caller._OnRtnErrOrder(_caller, new ErrOrderArgs
// {
// ErrorID = -1,
// ErrorMsg = string.Format("撤单次数将要达到上限500次[{0}]", _dicCancelTimes[f.InstrumentID]),
// Value = f,
// });
//}
}
}
//委托到交易所
if (!string.IsNullOrEmpty(pOrder.OrderSysID))
{
DicOrderField[id].SysID = pOrder.OrderSysID;
if (_dicSysidSfrId.TryAdd(pOrder.OrderSysID, id))
{
List <CThostFtdcTradeField> list;
//成交先至,则在此处再调成交
if (_sysidTrade.TryGetValue(pOrder.OrderSysID, out list))
{
foreach (CThostFtdcTradeField t1 in list)
{
var t = t1;
//再调用rtntrade: 成交响应在rtntrade中完成
CTPOnRtnTrade(ref t);
}
list.Clear();
}
}
}
}