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TypeConvert.cpp
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288 lines (271 loc) · 6.63 KB
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#include "stdafx.h"
#include "TypeConvert.h"
/// 类似于OpenQuant FIX一样的效果，插件层简单，基本不要做怎么计算或处理
/// 对于一个单子的某个状态可能是这样的，新单，部分成交，完全成交
/// EmitAccept,EmitFill
/// OnRtnOrder,OnRtnTrade,如何转成Emit
/// EmitAccept是什么
///
/// 接口向外提供的回报可以分两种方案，ExecutionReport或委托回报与成交回报
/// OpenQuant中使用ExecutionReport问题是因为OQ自己有OrderManager，如果其它软件要看到委托和成交列表是没法得到的
/// 所以接口应当返回委托与成交回报
//PutCall TThostFtdcOptionsTypeType_2_PutCall(TThostFtdcOptionsTypeType In)
//{
// if (In == THOST_FTDC_CP_CallOptions)
// return PutCall::Call;
// return PutCall::Put;
//}
HedgeFlagType DFITCSpeculatorType_2_HedgeFlagType(DFITCSpeculatorType In)
{
switch (In)
{
case DFITC_SPD_ARBITRAGE:
return HedgeFlagType::Arbitrage;
case DFITC_SPD_HEDGE:
return HedgeFlagType::Hedge;
case DFITC_SPD_SPECULATOR:
default:
return HedgeFlagType::Speculation;
}
}
DFITCSpeculatorType HedgeFlagType_2_DFITCSpeculatorType(HedgeFlagType In)
{
switch (In)
{
case HedgeFlagType::Arbitrage:
return DFITC_SPD_ARBITRAGE;
case HedgeFlagType::Hedge:
return DFITC_SPD_HEDGE;
case HedgeFlagType::Speculation:
default:
return DFITC_SPD_SPECULATOR;
}
}
OpenCloseType DFITCOpenCloseTypeType_2_OpenCloseType(DFITCOpenCloseTypeType In)
{
switch (In)
{
case DFITC_SPD_CLOSETODAY:
return OpenCloseType::CloseToday;
case DFITC_SPD_CLOSE:
return OpenCloseType::Close;
case DFITC_SPD_OPEN:
default:
return OpenCloseType::Open;
}
}
DFITCOpenCloseTypeType OpenCloseType_2_DFITCOpenCloseTypeType(OpenCloseType In)
{
switch (In)
{
case OpenCloseType::CloseToday:
return DFITC_SPD_CLOSETODAY;
case OpenCloseType::Close:
return DFITC_SPD_CLOSE;
case OpenCloseType::Open:
default:
return DFITC_SPD_OPEN;
}
}
DFITCBuySellTypeType OrderSide_2_DFITCBuySellTypeType(OrderSide In)
{
if (In == OrderSide::Sell)
return DFITC_SPD_SELL;
return DFITC_SPD_BUY;
}
OrderSide DFITCBuySellTypeType_2_OrderSide(DFITCBuySellTypeType In)
{
if (In == DFITC_SPD_SELL)
return OrderSide::Sell;
return OrderSide::Buy;
}
DFITCOrderTypeType OrderType_2_DFITCOrderTypeType(OrderType In)
{
switch (In)
{
case Market:
return DFITC_MKORDER;
case Stop:
return DFITC_MKORDER;
case Limit:
return DFITC_LIMITORDER;
case StopLimit:
return DFITC_LIMITORDER;
case MarketOnClose:
return DFITC_MKORDER;
case TrailingStop:
return DFITC_MKORDER;
case TrailingStopLimit:
return DFITC_LIMITORDER;
default:
return DFITC_LIMITORDER;
}
}
TimeInForce DFITCOrderPropertyType_2_TimeInForce(DFITCOrderPropertyType In)
{
switch (In)
{
case DFITC_SP_FAK:
return TimeInForce::IOC;
case DFITC_SP_FOK:
return TimeInForce::FOK;
case DFITC_SP_NON:
default:
return TimeInForce::Day;
}
}
DFITCOrderPropertyType TimeInForce_2_DFITCOrderPropertyType(TimeInForce In)
{
switch (In)
{
case TimeInForce::IOC:
return DFITC_SP_FAK;
case TimeInForce::FOK:
return DFITC_SP_FOK;
default:
return DFITC_SP_NON;
}
}
OrderStatus DFITCOrderRtnField_2_OrderStatus(DFITCOrderRtnField* pIn)
{
//switch (In)
//{
//case DFITC_SPD_CANCELED: // 如何区分是被拒绝了？
// return OrderStatus::Cancelled;
//case DFITC_SPD_FILLED:
// return OrderStatus::Filled;
//case DFITC_SPD_IN_QUEUE:
// return OrderStatus::Filled;
//case DFITC_SPD_FILLED:
// return OrderStatus::Filled;
//case DFITC_SPD_FILLED:
// return OrderStatus::Filled;
//case DFITC_SPD_FILLED:
// return OrderStatus::Filled;
//case DFITC_SPD_FILLED:
// return OrderStatus::Filled;
//case DFITC_SPD_FILLED:
// return OrderStatus::Filled;
//default:
// break;
//}
return OrderStatus::Filled;
}
OrderType DFITCOrderRtnField_2_OrderType(DFITCOrderRtnField* pIn)
{
return OrderType::Limit;
}
TimeInForce DFITCOrderRtnField_2_TimeInForce(DFITCOrderRtnField* pIn)
{
return TimeInForce::Day;
}
ExecType DFITCOrderRtnField_2_ExecType(DFITCOrderRtnField* pIn)
{
return ExecType::ExecNew;
}
//OrderStatus DFITCOrderRtnField_2_OrderStatus(DFITCOrderRtnField* pIn)
//{
// switch (pIn->OrderStatus)
// {
// case THOST_FTDC_OST_Canceled:
// if (pIn->OrderSubmitStatus == THOST_FTDC_OSS_InsertRejected)
// return OrderStatus::Rejected;
// return OrderStatus::Cancelled;
// case THOST_FTDC_OST_Unknown:
// // 如果是撤单，也有可能出现这一条，如何过滤？
// if (pIn->OrderSubmitStatus == THOST_FTDC_OSS_InsertSubmitted)
// return OrderStatus::New;
// default:
// if (pIn->VolumeTotal == 0)
// return OrderStatus::Filled;
// else if (pIn->VolumeTotal == pIn->VolumeTotalOriginal)
// return OrderStatus::New;
// else
// return OrderStatus::PartiallyFilled;
// }
//}
//
//OrderType DFITCOrderRtnField_2_OrderType(DFITCOrderRtnField* pIn)
//{
// switch (pIn->OrderPriceType)
// {
// case THOST_FTDC_OPT_AnyPrice:
// return OrderType::Market;
// case THOST_FTDC_OPT_LimitPrice:
// return OrderType::Limit;
// default:
// return OrderType::Limit;
// }
//}
//
//TimeInForce DFITCOrderRtnField_2_TimeInForce(DFITCOrderRtnField* pIn)
//{
// switch (pIn->TimeCondition)
// {
// case THOST_FTDC_TC_GFD:
// return TimeInForce::Day;
// case THOST_FTDC_TC_IOC:
// switch (pIn->VolumeCondition)
// {
// case THOST_FTDC_VC_AV:
// return TimeInForce::IOC;
// case THOST_FTDC_VC_CV:
// return TimeInForce::FOK;
// default:
// return TimeInForce::IOC;
// }
// default:
// return TimeInForce::Day;
// }
//}
//
//ExecType DFITCOrderRtnField_2_ExecType(DFITCOrderRtnField* pIn)
//{
// switch (pIn->OrderStatus)
// {
// case THOST_FTDC_OST_Canceled:
// if (pIn->OrderSubmitStatus == THOST_FTDC_OSS_InsertRejected)
// return ExecType::ExecRejected;
// return ExecType::ExecCancelled;
// case THOST_FTDC_OST_Unknown:
// // 如果是撤单，也有可能出现这一条，如何过滤？
// if (pIn->OrderSubmitStatus == THOST_FTDC_OSS_InsertSubmitted)
// return ExecType::ExecNew;
// case THOST_FTDC_OST_AllTraded:
// case THOST_FTDC_OST_PartTradedQueueing:
// return ExecType::ExecTrade;
// default:
// return ExecType::ExecNew;
// }
//}
//
InstrumentType DFITCInstrumentTypeType_2_InstrumentType(DFITCInstrumentTypeType In)
{
switch (In)
{
case DFITC_COMM_TYPE:
return InstrumentType::Future;
case DFITC_OPT_TYPE:
return InstrumentType::Option;
default:
return InstrumentType::Future;
}
}
ExchangeType DFITCExchangeIDType_2_ExchangeType(DFITCExchangeIDType In)
{
switch (In[1])
{
case 'H':
return ExchangeType::SHFE;
case 'C':
return ExchangeType::DCE;
case 'Z':
return ExchangeType::CZCE;
case 'F':
return ExchangeType::CFFEX;
case 'N':
return ExchangeType::INE;
default:
return ExchangeType::Undefined_;
}
}