// 国债逆回购，持仓是Net，我归类到了Long中，如果我直接从成交中分析出来的又归到了Net中
// 所有开平和投保类型都是空
void CTraderApi::OnRspQryInvestorPosition(CSecurityFtdcInvestorPositionField *pInvestorPosition, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
if (!IsErrorRspInfo(pRspInfo, nRequestID, bIsLast))
{
if (pInvestorPosition)
{
PositionIDType positionId = { 0 };
sprintf(positionId, "%s:%s:%d:%d",
pInvestorPosition->InstrumentID, pInvestorPosition->ExchangeID,
TSecurityFtdcPosiDirectionType_2_PositionSide(pInvestorPosition->PosiDirection), TSecurityFtdcHedgeFlagType_2_HedgeFlagType(pInvestorPosition->HedgeFlag));
PositionField* pField = nullptr;
unordered_map<string, PositionField*>::iterator it = m_id_platform_position.find(positionId);
if (it == m_id_platform_position.end())
{
pField = new PositionField();
memset(pField, 0, sizeof(PositionField));
strcpy(pField->InstrumentID, pInvestorPosition->InstrumentID);
strcpy(pField->ExchangeID, pInvestorPosition->ExchangeID);
pField->Side = TSecurityFtdcPosiDirectionType_2_PositionSide(pInvestorPosition->PosiDirection);
pField->HedgeFlag = TSecurityFtdcHedgeFlagType_2_HedgeFlagType(pInvestorPosition->HedgeFlag);
m_id_platform_position.insert(pair<string, PositionField*>(positionId, pField));
}
else
{
pField = it->second;
}
pField->Position = pInvestorPosition->Position;
pField->TdPosition = pInvestorPosition->TodayPosition;
pField->YdPosition = pInvestorPosition->YdPosition;
// 等数据收集全了再遍历通知一次
if (bIsLast)
{
int cnt = 0;
int count = m_id_platform_position.size();
for (unordered_map<string, PositionField*>::iterator iter = m_id_platform_position.begin(); iter != m_id_platform_position.end(); iter++)
{
++cnt;
XRespone(ResponeType::OnRspQryInvestorPosition, m_msgQueue, this, cnt == count, 0, iter->second, sizeof(PositionField), nullptr, 0, nullptr, 0);
}
}
}
}
if (bIsLast)
ReleaseRequestMapBuf(nRequestID);
}
void CTraderApi::OnTrade(TradeField *pTrade, bool bFromQry)
{
PositionIDType positionId = { 0 };
sprintf(positionId, "%s:%s:%d:%d",
pTrade->InstrumentID, pTrade->ExchangeID, TradeField_2_PositionSide(pTrade), pTrade->HedgeFlag);
PositionField* pField = nullptr;
unordered_map<string, PositionField*>::iterator it = m_id_platform_position.find(positionId);
if (it == m_id_platform_position.end())
{
pField = new PositionField();
memset(pField, 0, sizeof(PositionField));
strcpy(pField->InstrumentID, pTrade->InstrumentID);
strcpy(pField->ExchangeID, pTrade->ExchangeID);
pField->Side = TradeField_2_PositionSide(pTrade);
pField->HedgeFlag = TSecurityFtdcHedgeFlagType_2_HedgeFlagType(pTrade->HedgeFlag);
m_id_platform_position.insert(pair<string, PositionField*>(positionId, pField));
}
else
{
pField = it->second;
}
if (pTrade->Side == OrderSide::Buy)
{
pField->Position += pTrade->Qty;
pField->TdPosition += pTrade->Qty;
}
else
{
pField->Position -= pTrade->Qty;
if (pTrade->OpenClose == OpenCloseType::CloseToday)
{
pField->TdPosition -= pTrade->Qty;
}
else
{
pField->YdPosition -= pTrade->Qty;
// 如果昨天的被减成负数，从今天开始继续减
if (pField->YdPosition<0)
{
pField->TdPosition += pField->YdPosition;
pField->YdPosition = 0;
}
}
// 计算错误，直接重新查询
if (pField->Position < 0 || pField->TdPosition < 0 || pField->YdPosition < 0)
{
ReqQryInvestorPosition("", "");
return;
}
}
XRespone(ResponeType::OnRspQryInvestorPosition, m_msgQueue, this, false, 0, pField, sizeof(PositionField), nullptr, 0, nullptr, 0);
}
void CTraderApi::OnTrade(TradeField *pTrade)
{
PositionIDType positionId = { 0 };
sprintf(positionId, "%s:%s:%d:%d",
pTrade->InstrumentID, pTrade->ExchangeID, TradeField_2_PositionSide(pTrade), pTrade->HedgeFlag);
PositionField* pField = nullptr;
unordered_map<string, PositionField*>::iterator it = m_id_platform_position.find(positionId);
if (it == m_id_platform_position.end())
{
pField = (PositionField*)m_msgQueue->new_block(sizeof(PositionField));
sprintf(pField->Symbol, "%s.%s", pTrade->InstrumentID, pTrade->ExchangeID);
strcpy(pField->InstrumentID, pTrade->InstrumentID);
strcpy(pField->ExchangeID, pTrade->ExchangeID);
pField->Side = TradeField_2_PositionSide(pTrade);
pField->HedgeFlag = TSecurityFtdcHedgeFlagType_2_HedgeFlagType(pTrade->HedgeFlag);
m_id_platform_position.insert(pair<string, PositionField*>(positionId, pField));
}
else
{
pField = it->second;
}
if (pTrade->Side == OrderSide::OrderSide_Buy)
{
pField->Position += pTrade->Qty;
pField->TodayPosition += pTrade->Qty;
}
else
{
pField->Position -= pTrade->Qty;
if (pTrade->OpenClose == OpenCloseType::OpenCloseType_CloseToday)
{
pField->TodayPosition -= pTrade->Qty;
}
else
{
pField->HistoryPosition -= pTrade->Qty;
// 如果昨天的被减成负数，从今天开始继续减
if (pField->HistoryPosition<0)
{
pField->TodayPosition += pField->HistoryPosition;
pField->HistoryPosition = 0;
}
}
// 计算错误，直接重新查询
//if (pField->Position < 0 || pField->TdPosition < 0 || pField->YdPosition < 0)
//{
// ReqQryInvestorPosition("", "");
// return;
//}
}
m_msgQueue->Input_Copy(ResponeType::ResponeType_OnRspQryInvestorPosition, m_msgQueue, m_pClass, false, 0, pField, sizeof(PositionField), nullptr, 0, nullptr, 0);
}
void CTraderApi::OnTrade(CSecurityFtdcTradeField *pTrade, int nRequestID, bool bIsLast)
{
if (nullptr == pTrade)
return;
TradeField* pField = (TradeField*)m_msgQueue->new_block(sizeof(TradeField));
strcpy(pField->InstrumentID, pTrade->InstrumentID);
strcpy(pField->ExchangeID, pTrade->ExchangeID);
pField->Side = TSecurityFtdcDirectionType_2_OrderSide(pTrade->Direction);
pField->Qty = pTrade->Volume;
pField->Price = atof(pTrade->Price);
pField->OpenClose = TSecurityFtdcOffsetFlagType_2_OpenCloseType(pTrade->OffsetFlag);
pField->HedgeFlag = TSecurityFtdcHedgeFlagType_2_HedgeFlagType(pTrade->HedgeFlag);
pField->Commission = 0;//TODO收续费以后要计算出来
pField->Time = GetTime(pTrade->TradeTime);
strcpy(pField->TradeID, pTrade->TradeID);
if (nRequestID == 0)
{
OrderIDType orderSysId = { 0 };
sprintf(orderSysId, "%s:%s", pTrade->ExchangeID, pTrade->OrderSysID);
unordered_map<string, string>::iterator it = m_sysId_orderId.find(orderSysId);
if (it == m_sysId_orderId.end())
{
// 此成交找不到对应的报单
//assert(false);
}
else
{
// 找到对应的报单
strcpy(pField->ID, it->second.c_str());
m_msgQueue->Input_Copy(ResponeType::ResponeType_OnRtnTrade, m_msgQueue, m_pClass, 0, 0, pField, sizeof(TradeField), nullptr, 0, nullptr, 0);
unordered_map<string, OrderField*>::iterator it2 = m_id_platform_order.find(it->second);
if (it2 == m_id_platform_order.end())
{
// 此成交找不到对应的报单
//assert(false);
}
else
{
// 更新订单的状态
// 是否要通知接口
}
// 本地更新持仓的功能失效
//OnTrade(pField);
}
}
else
{
m_msgQueue->Input_Copy(ResponeType::ResponeType_OnRspQryTrade, m_msgQueue, m_pClass, bIsLast, 0, pField, sizeof(TradeField), nullptr, 0, nullptr, 0);
}
// 清理内存
m_msgQueue->delete_block(pField);
}
void CTraderApi::OnTrade(CSecurityFtdcTradeField *pTrade, bool bFromQry)
{
if (nullptr == pTrade)
return;
TradeField* pField = new TradeField();
strncpy(pField->InstrumentID, pTrade->InstrumentID, sizeof(TSecurityFtdcInstrumentIDType));
strncpy(pField->ExchangeID, pTrade->ExchangeID, sizeof(TSecurityFtdcExchangeIDType));
pField->Side = TSecurityFtdcDirectionType_2_OrderSide(pTrade->Direction);
pField->Qty = pTrade->Volume;
pField->Price = atof(pTrade->Price);
pField->OpenClose = TSecurityFtdcOffsetFlagType_2_OpenCloseType(pTrade->OffsetFlag);
pField->HedgeFlag = TSecurityFtdcHedgeFlagType_2_HedgeFlagType(pTrade->HedgeFlag);
pField->Commission = 0;//TODO收续费以后要计算出来
strncpy(pField->Time, pTrade->TradeTime, sizeof(TSecurityFtdcTimeType));
strcpy(pField->TradeID, pTrade->TradeID);
OrderIDType orderSysId = { 0 };
sprintf(orderSysId, "%s:%s", pTrade->ExchangeID, pTrade->OrderSysID);
unordered_map<string, string>::iterator it = m_sysId_orderId.find(orderSysId);
if (it == m_sysId_orderId.end())
{
// 此成交找不到对应的报单
assert(false);
}
else
{
// 找到对应的报单
strcpy(pField->ID, it->second.c_str());
XRespone(ResponeType::OnRtnTrade, m_msgQueue, this, 0, 0, pField, sizeof(TradeField), nullptr, 0, nullptr, 0);
unordered_map<string, OrderField*>::iterator it2 = m_id_platform_order.find(it->second);
if (it2 == m_id_platform_order.end())
{
// 此成交找不到对应的报单
assert(false);
}
else
{
// 更新订单的状态
// 是否要通知接口
}
OnTrade(pField, bFromQry);
}
}
void CTraderApi::OnOrder(CSecurityFtdcOrderField *pOrder, bool bFromQry)
{
if (nullptr == pOrder)
return;
OrderIDType orderId = { 0 };
sprintf(orderId, "%d:%d:%s", pOrder->FrontID, pOrder->SessionID, pOrder->OrderRef);
OrderIDType orderSydId = { 0 };
{
// 保存原始订单信息，用于撤单
unordered_map<string, CSecurityFtdcOrderField*>::iterator it = m_id_api_order.find(orderId);
if (it == m_id_api_order.end())
{
// 找不到此订单，表示是新单
CSecurityFtdcOrderField* pField = new CSecurityFtdcOrderField();
memcpy(pField, pOrder, sizeof(CSecurityFtdcOrderField));
m_id_api_order.insert(pair<string, CSecurityFtdcOrderField*>(orderId, pField));
}
else
{
// 找到了订单
// 需要再复制保存最后一次的状态，还是只要第一次的用于撤单即可？记下，这样最后好比较
CSecurityFtdcOrderField* pField = it->second;
memcpy(pField, pOrder, sizeof(CSecurityFtdcOrderField));
}
// 保存SysID用于定义成交回报与订单
sprintf(orderSydId, "%s:%s", pOrder->ExchangeID, pOrder->OrderSysID);
m_sysId_orderId.insert(pair<string, string>(orderSydId, orderId));
}
{
// 从API的订单转换成自己的结构体
OrderField* pField = nullptr;
unordered_map<string, OrderField*>::iterator it = m_id_platform_order.find(orderId);
if (it == m_id_platform_order.end())
{
// 开盘时发单信息还没有，所以找不到对应的单子，需要进行Order的恢复
pField = new OrderField();
memset(pField, 0, sizeof(OrderField));
strcpy(pField->ID, orderId);
strncpy(pField->InstrumentID, pOrder->InstrumentID, sizeof(TSecurityFtdcInstrumentIDType));
strncpy(pField->ExchangeID, pOrder->ExchangeID, sizeof(TSecurityFtdcExchangeIDType));
pField->HedgeFlag = TSecurityFtdcHedgeFlagType_2_HedgeFlagType(pOrder->CombHedgeFlag[0]);
pField->Side = TSecurityFtdcDirectionType_2_OrderSide(pOrder->Direction);
pField->Price = atof(pOrder->LimitPrice);
pField->StopPx = pOrder->StopPrice;
strncpy(pField->Text, pOrder->StatusMsg, sizeof(TSecurityFtdcErrorMsgType));
pField->OpenClose = TSecurityFtdcOffsetFlagType_2_OpenCloseType(pOrder->CombOffsetFlag[0]);
pField->Status = CSecurityFtdcOrderField_2_OrderStatus(pOrder);
pField->Qty = pOrder->VolumeTotalOriginal;
pField->Type = CSecurityFtdcOrderField_2_OrderType(pOrder);
pField->TimeInForce = CSecurityFtdcOrderField_2_TimeInForce(pOrder);
pField->ExecType = ExecType::ExecNew;
strcpy(pField->OrderID, pOrder->OrderSysID);
// 添加到map中，用于其它工具的读取，撤单失败时的再通知等
m_id_platform_order.insert(pair<string, OrderField*>(orderId, pField));
}
else
{
pField = it->second;
strcpy(pField->ID, orderId);
pField->LeavesQty = pOrder->VolumeTotal;
pField->Price = atof(pOrder->LimitPrice);
pField->Status = CSecurityFtdcOrderField_2_OrderStatus(pOrder);
pField->ExecType = CSecurityFtdcOrderField_2_ExecType(pOrder);
strcpy(pField->OrderID, pOrder->OrderSysID);
strncpy(pField->Text, pOrder->StatusMsg, sizeof(TSecurityFtdcErrorMsgType));
}
XRespone(ResponeType::OnRtnOrder, m_msgQueue, this, 0, 0, pField, sizeof(OrderField), nullptr, 0, nullptr, 0);
}
}
