void Z_DC_Spread_Policy::OnNewFutureMD(MarketDataField* pMD)
{
if(IsCallAuction(pMD)){
return;
}
UpdateMD(pMD);
if(m_bStopOnClose && m_MyTradeA.m_nLongPos<1 && m_MyTradeA.m_nShortPos<1 && m_MyTradeB.m_nLongPos<1 && m_MyTradeB.m_nShortPos<1){
m_nCurrentStage = 0;
m_nPositiveAddedFlag = 0;
m_nPositiveAddEnableFlag = 0;
m_nNegativeAddedFlag = 0;
m_nNegativeAddEnableFlag = 0;
m_MyTradeA.m_fBasePrice = 0;
m_MyTradeB.m_fBasePrice = 0;
m_nTotalAddTimes = 0;
m_nTotalSubTimes = 0;
SetAttr("totalAddtimes",m_nTotalAddTimes);
SetAttr("totalSubTimes",m_nTotalSubTimes);
SetAttr("current_stage",m_nCurrentStage);
SetAttr("Padded_flag",m_nPositiveAddedFlag);
SetAttr("Nadded_flag",m_nNegativeAddedFlag);
SetAttr("Paddenable_flag",m_nPositiveAddEnableFlag);
SetAttr("Naddenable_flag",m_nNegativeAddEnableFlag);
SetAttr("base_price_a",0);
SetAttr("base_price_b",0);
Stop();
ShowInfo(&m_MyTradeA,"Close stop.",0);
return;
}
//if(m_MyTradeA.m_pLastMD != NULL && m_MyTradeB.m_pLastMD !=NULL){
//m_fCurrentPriceDisparity = abs( m_MyTradeA.m_pLastMD->LastPrice - m_MyTradeB.m_pLastMD->LastPrice);
//}
if(!m_bStopOnClose && m_MyTradeA.m_pLastMD != NULL && m_MyTradeB.m_pLastMD !=NULL){
/* if(strcmp(pMD->InstrumentID, m_MyTradeA.m_InstrumentID)==0){ //For Test
cout<<m_MyTradeA.m_pLastMD->UpdateTime<<" "<<m_MyTradeB.m_pLastMD->UpdateTime<<endl;
}*/
//cout<<(strcmp(pMD->InstrumentID, m_MyTradeA.m_InstrumentID) == 0)<<" "<<GetTimeInterval(m_MyTradeA.m_pLastMD->UpdateTime,m_MyTradeB.m_pLastMD->UpdateTime)<<" "<<m_nCurrentStage<<" "<<m_MyTradeA.m_nLongPos<<" "<<m_MyTradeB.m_nShortPos<<endl;
if(strcmp(pMD->InstrumentID, m_MyTradeA.m_InstrumentID)==0 && GetTimeInterval(m_MyTradeA.m_pLastMD->UpdateTime,m_MyTradeB.m_pLastMD->UpdateTime)){
if(m_nCurrentStage == 0 && m_MyTradeA.m_nLongPos==0 && m_MyTradeB.m_nShortPos == 0 && !IsTradeLimit(true)){//m_nCurrentStage == 0 &&
ShowInfo(&m_MyTradeA,"Set Up Base Pos!",0);
OpenLong(&m_MyTradeA);
OpenShort(&m_MyTradeB);
m_MyTradeA.m_fBasePrice = m_MyTradeA.m_pLastMD->LastPrice;
m_MyTradeB.m_fBasePrice = m_MyTradeB.m_pLastMD->LastPrice;
m_nCurrentStage = 1;
SetBaseFlag(&m_MyTradeA);
SetAttr("base_price_a",m_MyTradeA.m_fBasePrice);
SetAttr("base_price_b",m_MyTradeB.m_fBasePrice);
SetAttr("current_stage",m_nCurrentStage);
}
//判断当前盈利状况
if(!this->GetBarCloseFlag(m_MyTradeA.m_pSeries,pMD,5)){//收盘前五秒没有买卖信号判断
ManageRateSingal();
}
//if(m_MyTradeA.m_pLastMD!=NULL && m_MyTradeB.m_pLastMD!=NULL){
CalProfit();
//}
}
}
}
_SEntityDefProperties* CDefParser::ReadProperty(SEntityDef* pDef, TiXmlElement* node)
{
_SEntityDefProperties* pProp = new _SEntityDefProperties;
pProp->m_name.assign(node->Value());
TiXmlElement* field_attri = node->FirstChildElement("Type");
if(field_attri)
{
const char* szTypeName = field_attri->GetText();
VTYPE vt = GetVTypeByStr(szTypeName);
if(vt != V_TYPE_ERR)
{
pProp->m_nType = vt;
}
//else if(strcmp(szTypeName, "ARRAY") == 0)
//{
// //array of ***特殊处理
//}
else
{
//未定义的类型
ThrowException(-1, "Property '%s' has unsupported type: '%s'.",
pProp->m_name.c_str(), szTypeName);
}
}
//Flags
pProp->m_nFlags = 0;
field_attri = node->FirstChildElement("Flags");
if(field_attri)
{
const char* _szFlag = field_attri->GetText();
if(UpperStrCmp(_szFlag, "BASE"))
{
SetBaseFlag(pProp->m_nFlags);
}
else if(UpperStrCmp(_szFlag, "BASE_AND_CLIENT"))
{
SetBaseFlag(pProp->m_nFlags);
SetClientFlag(pProp->m_nFlags);
}
else if(UpperStrCmp(_szFlag, "CELL"))
{
SetCellFlag(pProp->m_nFlags);
}
else if(UpperStrCmp(_szFlag, "CELL_AND_CLIENT"))
{
SetCellFlag(pProp->m_nFlags);
SetClientFlag(pProp->m_nFlags);
pDef->m_bHasCellClient = true;
}
else if(UpperStrCmp(_szFlag, "ALL_CLIENTS"))
{
SetCellFlag(pProp->m_nFlags);
SetClientFlag(pProp->m_nFlags);
SetOtherClientsFlag(pProp->m_nFlags);
pDef->m_bHasCellClient = true;
}
else if(UpperStrCmp(_szFlag, "OTHER_CLIENTS"))
{
//注意和all_clients的区别
SetCellFlag(pProp->m_nFlags);
//setClientFlag(pProp->m_nFlags);
SetOtherClientsFlag(pProp->m_nFlags);
//pDef->m_bHasCellClient = false;
}
else
{
ThrowException(-1, "unknown properties flag:%s", _szFlag);
}
}
//该字段是否base和cell共有的字段
field_attri = node->FirstChildElement("BaseAndCell");
if(field_attri)
{
if(UpperStrCmp(field_attri->GetText(), "TRUE"))
{
SetCellFlag(pProp->m_nFlags);
SetBaseFlag(pProp->m_nFlags);
}
}
//该字段是否保存到数据库
field_attri = node->FirstChildElement("Persistent");
if(field_attri)
{
if(UpperStrCmp(field_attri->GetText(), "TRUE"))
{
pProp->m_bSaveDb = true;
//cell属性不能有存盘标记(除非是cell和base共有的属性)
if(IsCellFlag(pProp->m_nFlags) && !IsBaseFlag(pProp->m_nFlags))
{
ThrowException(-1, "CELL(but Base) properties cant set Persistent to TRUE");
}
}
else
{
pProp->m_bSaveDb = false;
}
}
else
{
pProp->m_bSaveDb = false;
}
//该字段是否有缺省值
field_attri = node->FirstChildElement("Default");
if(field_attri)
{
pProp->m_defaultValue.assign(field_attri->GetText());
}
else
{
pProp->m_defaultValue.assign("");
}
//该字段是否创建唯一索引
field_attri = node->FirstChildElement("UniqueIndex");
if(field_attri)
{
if(pDef->m_strUniqueIndex.empty())
{
pDef->m_strUniqueIndex.assign(node->Value());
}
else
{
//多个字段申明了唯一索引
ThrowException(-1, "At least two properties set unique_index, '%s' vs '%s'", \
pDef->m_strUniqueIndex.c_str(), node->Value());
}
}
return pProp;
}