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TypeConvert.cpp
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351 lines (326 loc) · 9.01 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 TThostFtdcHedgeFlagType_2_HedgeFlagType(TThostFtdcHedgeFlagType In)
{
switch (In)
{
case THOST_FTDC_HF_Arbitrage:
return HedgeFlagType::Arbitrage;
case THOST_FTDC_HF_Hedge:
return HedgeFlagType::Hedge;
case THOST_FTDC_HF_Speculation:
default:
return HedgeFlagType::Speculation;
}
}
TThostFtdcHedgeFlagType HedgeFlagType_2_TThostFtdcHedgeFlagType(HedgeFlagType In)
{
switch (In)
{
case HedgeFlagType::Arbitrage:
return THOST_FTDC_HF_Arbitrage;
case HedgeFlagType::Hedge:
return THOST_FTDC_HF_Hedge;
case HedgeFlagType::Speculation:
default:
return THOST_FTDC_HF_Speculation;
}
}
OpenCloseType TThostFtdcOffsetFlagType_2_OpenCloseType(TThostFtdcOffsetFlagType In)
{
switch (In)
{
case THOST_FTDC_OF_CloseToday:
return OpenCloseType::CloseToday;
case THOST_FTDC_OF_Close:
return OpenCloseType::Close;
case THOST_FTDC_OF_Open:
default:
return OpenCloseType::Open;
}
}
TThostFtdcOffsetFlagType OpenCloseType_2_TThostFtdcOffsetFlagType(OpenCloseType In)
{
switch (In)
{
case OpenCloseType::CloseToday:
return THOST_FTDC_OF_CloseToday;
case OpenCloseType::Close:
return THOST_FTDC_OF_Close;
case OpenCloseType::Open:
default:
return THOST_FTDC_OF_Open;
}
}
TThostFtdcDirectionType OrderSide_2_TThostFtdcDirectionType(OrderSide In)
{
if (In == OrderSide::Sell)
return THOST_FTDC_D_Sell;
return THOST_FTDC_D_Buy;
}
OrderSide TThostFtdcDirectionType_2_OrderSide(TThostFtdcDirectionType In)
{
if (In == THOST_FTDC_D_Sell)
return OrderSide::Sell;
return OrderSide::Buy;
}
PositionSide TThostFtdcPosiDirectionType_2_PositionSide(TThostFtdcPosiDirectionType In)
{
if (In == THOST_FTDC_PD_Short)
return PositionSide::Short;
return PositionSide::Long;
}
PositionSide TradeField_2_PositionSide(TradeField* pIn)
{
if (pIn->OpenClose == OpenCloseType::Open)
{
if (pIn->Side == OrderSide::Buy)
return PositionSide::Long;
return PositionSide::Short;
}
else
{
if (pIn->Side == OrderSide::Buy)
return PositionSide::Short;
return PositionSide::Long;
}
}
TThostFtdcOrderPriceTypeType OrderType_2_TThostFtdcOrderPriceTypeType(OrderType In)
{
switch (In)
{
case Market:
return THOST_FTDC_OPT_AnyPrice;
case Stop:
return THOST_FTDC_OPT_AnyPrice;
case Limit:
return THOST_FTDC_OPT_LimitPrice;
case StopLimit:
return THOST_FTDC_OPT_LimitPrice;
case MarketOnClose:
return THOST_FTDC_OPT_AnyPrice;
case TrailingStop:
return THOST_FTDC_OPT_AnyPrice;
case TrailingStopLimit:
return THOST_FTDC_OPT_LimitPrice;
default:
return THOST_FTDC_OPT_LimitPrice;
}
}
OrderStatus CThostFtdcOrderField_2_OrderStatus(CThostFtdcOrderField* 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;
}
}
ExecType CThostFtdcOrderField_2_ExecType(CThostFtdcOrderField* 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;
}
}
OrderStatus CThostFtdcQuoteField_2_OrderStatus(CThostFtdcQuoteField* pIn)
{
switch (pIn->QuoteStatus)
{
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;
case THOST_FTDC_OST_Touched:
if (pIn->OrderSubmitStatus == THOST_FTDC_OSS_InsertRejected)
return OrderStatus::Rejected;
default:
// 这个地方要改
//if (pIn->VolumeTotal == 0)
// return OrderStatus::Filled;
//else if (pIn->VolumeTotal == pIn->VolumeTotalOriginal)
return OrderStatus::New;
//else
// return OrderStatus::PartiallyFilled;
}
}
ExecType CThostFtdcQuoteField_2_ExecType(CThostFtdcQuoteField* pIn)
{
switch (pIn->QuoteStatus)
{
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;
case THOST_FTDC_OST_Touched:
if (pIn->OrderSubmitStatus == THOST_FTDC_OSS_InsertRejected)
return ExecType::ExecRejected;
default:
return ExecType::ExecNew;
}
}
OrderType CThostFtdcOrderField_2_OrderType(CThostFtdcOrderField* 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 CThostFtdcOrderField_2_TimeInForce(CThostFtdcOrderField* 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;
}
}
InstrumentType CThostFtdcInstrumentField_2_InstrumentType(CThostFtdcInstrumentField* pIn)
{
switch (pIn->ProductClass)
{
case THOST_FTDC_PC_Futures:
return InstrumentType::Future;
case THOST_FTDC_PC_Options:
return InstrumentType::Option;
case THOST_FTDC_PC_Combination:
return InstrumentType::MultiLeg;
case THOST_FTDC_PC_EFP:
return InstrumentType::Future;
case THOST_FTDC_PC_SpotOption:
return InstrumentType::Option;
default:
return InstrumentType::Stock;
}
}
IdCardType TThostFtdcIdCardTypeType_2_IdCardType(TThostFtdcIdCardTypeType In)
{
switch (In)
{
case THOST_FTDC_ICT_EID:
return IdCardType::EID;
case THOST_FTDC_ICT_IDCard:
return IdCardType::IDCard;
case THOST_FTDC_ICT_OfficerIDCard:
return IdCardType::OfficerIDCard;
case THOST_FTDC_ICT_PoliceIDCard:
return IdCardType::PoliceIDCard;
case THOST_FTDC_ICT_SoldierIDCard:
return IdCardType::SoldierIDCard;
case THOST_FTDC_ICT_HouseholdRegister:
return IdCardType::HouseholdRegister;
case THOST_FTDC_ICT_Passport:
return IdCardType::Passport;
case THOST_FTDC_ICT_TaiwanCompatriotIDCard:
return IdCardType::TaiwanCompatriotIDCard;
case THOST_FTDC_ICT_HomeComingCard:
return IdCardType::HomeComingCard;
case THOST_FTDC_ICT_LicenseNo:
return IdCardType::LicenseNo;
case THOST_FTDC_ICT_TaxNo:
return IdCardType::TaxNo;
case THOST_FTDC_ICT_HMMainlandTravelPermit:
return IdCardType::HMMainlandTravelPermit;
case THOST_FTDC_ICT_TwMainlandTravelPermit:
return IdCardType::TwMainlandTravelPermit;
case THOST_FTDC_ICT_DrivingLicense:
return IdCardType::DrivingLicense;
case THOST_FTDC_ICT_SocialID:
return IdCardType::SocialID;
case THOST_FTDC_ICT_LocalID:
return IdCardType::LocalID;
case THOST_FTDC_ICT_BusinessRegistration:
return IdCardType::BusinessRegistration;
case THOST_FTDC_ICT_HKMCIDCard:
return IdCardType::HKMCIDCard;
case THOST_FTDC_ICT_AccountsPermits:
return IdCardType::AccountsPermits;
case THOST_FTDC_ICT_OtherCard:
default:
return IdCardType::OtherCard;
}
}
ExchangeType TThostFtdcExchangeIDType_2_ExchangeType(TThostFtdcExchangeIDType 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_;
}
}