int CTraderApi::ReqOrderInsert(
OrderField* pOrder,
int count,
OrderIDType* pInOut)
{
int OrderRef = -1;
if (nullptr == m_pApi)
return 0;
CUstpFtdcInputOrderField body = {0};
strcpy(body.BrokerID, m_RspUserInvestor.BrokerID);
strcpy(body.InvestorID, m_RspUserInvestor.InvestorID);
strcpy(body.UserID, m_RspUserInvestor.UserID);
strcpy(body.ExchangeID, "CFFEX");
body.MinVolume = 1;
body.ForceCloseReason = USTP_FTDC_FCR_NotForceClose;
body.IsAutoSuspend = 0;
//body.UserForceClose = 0;
//body.IsSwapOrder = 0;
//合约
strncpy(body.InstrumentID, pOrder->InstrumentID, sizeof(TUstpFtdcInstrumentIDType));
//买卖
body.Direction = OrderSide_2_TUstpFtdcDirectionType(pOrder->Side);
//开平
body.OffsetFlag = OpenCloseType_2_TUstpFtdcOffsetFlagType(pOrder->OpenClose);
//投保
body.HedgeFlag = HedgeFlagType_2_TUstpFtdcHedgeFlagType(pOrder->HedgeFlag);
//数量
body.Volume = (int)pOrder->Qty;
// 对于套利单，是用第一个参数的价格，还是用两个参数的价格差呢？
body.LimitPrice = pOrder->Price;
body.StopPrice = pOrder->StopPx;
// 市价与限价
switch (pOrder->Type)
{
case Market:
case Stop:
case MarketOnClose:
case TrailingStop:
body.OrderPriceType = USTP_FTDC_OPT_AnyPrice;
body.TimeCondition = USTP_FTDC_TC_IOC;
break;
case Limit:
case StopLimit:
case TrailingStopLimit:
default:
body.OrderPriceType = USTP_FTDC_OPT_LimitPrice;
body.TimeCondition = USTP_FTDC_TC_GFD;
break;
}
// IOC与FOK
switch (pOrder->TimeInForce)
{
case IOC:
body.TimeCondition = USTP_FTDC_TC_IOC;
body.VolumeCondition = USTP_FTDC_VC_AV;
break;
case FOK:
body.TimeCondition = USTP_FTDC_TC_IOC;
body.VolumeCondition = USTP_FTDC_VC_CV;
//body.MinVolume = body.VolumeTotalOriginal; // 这个地方必须加吗？
break;
default:
body.VolumeCondition = USTP_FTDC_VC_AV;
break;
}
long long nRet = 0;
{
//可能报单太快，m_nMaxOrderRef还没有改变就提交了
lock_guard<mutex> cl(m_csOrderRef);
if (OrderRef < 0)
{
nRet = m_nMaxOrderRef;
++m_nMaxOrderRef;
}
else
{
nRet = OrderRef;
}
sprintf(body.UserOrderLocalID, "%012lld", nRet);
//不保存到队列，而是直接发送
int n = m_pApi->ReqOrderInsert(&body, ++m_lRequestID);
if (n < 0)
{
nRet = n;
sprintf(m_orderInsert_Id, "%d", nRet);
}
else
{
// 用于各种情况下找到原订单，用于进行响应的通知
sprintf(m_orderInsert_Id, "%s:%012lld", m_RspUserLogin__.SessionID, nRet);
OrderField* pField = (OrderField*)m_msgQueue->new_block(sizeof(OrderField));
memcpy(pField, pOrder, sizeof(OrderField));
strcpy(pField->ID, m_orderInsert_Id);
m_id_platform_order.insert(pair<string, OrderField*>(m_orderInsert_Id, pField));
}
strncpy((char*)pInOut, m_orderInsert_Id, sizeof(OrderIDType));
}
return nRet;
}
char* CTraderApi::ReqQuoteInsert(
int QuoteRef,
QuoteField* pQuote)
{
if (nullptr == m_pApi)
return 0;
CUstpFtdcInputQuoteField body = {0};
strcpy(body.BrokerID, m_RspUserInvestor.BrokerID);
strcpy(body.InvestorID, m_RspUserInvestor.InvestorID);
strcpy(body.UserID, m_RspUserInvestor.UserID);
//合约,目前只从订单1中取
strncpy(body.InstrumentID, pQuote->InstrumentID, sizeof(TUstpFtdcInstrumentIDType));
//开平
body.AskOffsetFlag = OpenCloseType_2_TUstpFtdcOffsetFlagType(pQuote->AskOpenClose);
body.BidOffsetFlag = OpenCloseType_2_TUstpFtdcOffsetFlagType(pQuote->BidOpenClose);
//投保
body.AskHedgeFlag = HedgeFlagType_2_TUstpFtdcHedgeFlagType(pQuote->AskHedgeFlag);
body.BidHedgeFlag = HedgeFlagType_2_TUstpFtdcHedgeFlagType(pQuote->BidHedgeFlag);
//价格
body.AskPrice = pQuote->AskPrice;
body.BidPrice = pQuote->BidPrice;
//数量
body.AskVolume = (int)pQuote->AskQty;
body.BidVolume = (int)pQuote->BidQty;
long long nRet = 0;
{
//可能报单太快，m_nMaxOrderRef还没有改变就提交了
lock_guard<mutex> cl(m_csOrderRef);
if (QuoteRef < 0)
{
nRet = m_nMaxOrderRef;
sprintf(body.UserQuoteLocalID, "%012lld", m_nMaxOrderRef);
sprintf(body.AskUserOrderLocalID, "%012lld", m_nMaxOrderRef);
sprintf(body.BidUserOrderLocalID, "%012lld", ++m_nMaxOrderRef);
++m_nMaxOrderRef;
}
else
{
nRet = QuoteRef;
sprintf(body.UserQuoteLocalID, "%012lld", QuoteRef);
sprintf(body.AskUserOrderLocalID, "%012lld", QuoteRef);
sprintf(body.BidUserOrderLocalID, "%012lld", ++QuoteRef);
++QuoteRef;
}
//不保存到队列，而是直接发送
int n = m_pApi->ReqQuoteInsert(&body, ++m_lRequestID);
if (n < 0)
{
nRet = n;
return nullptr;
}
else
{
// 用于各种情况下找到原订单，用于进行响应的通知
sprintf(m_orderInsert_Id, "%s:%012lld", m_RspUserLogin__.SessionID, nRet);
QuoteField* pField = (QuoteField*)m_msgQueue->new_block(sizeof(QuoteField));
memcpy(pField, pQuote, sizeof(QuoteField));
strcpy(pField->ID, m_orderInsert_Id);
strcpy(pField->AskID, m_orderInsert_Id);
sprintf(pField->BidID, "%s:%012lld", m_RspUserLogin__.SessionID, nRet + 1);
m_id_platform_quote.insert(pair<string, QuoteField*>(m_orderInsert_Id, pField));
}
}
return m_orderInsert_Id;
}
