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TypeConvert.cpp
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215 lines (199 loc) · 5.28 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;
}
}
TThostFtdcBsFlagType OrderSide_2_TThostFtdcBsFlagType(OrderSide In)
{
if (In == OrderSide::Sell)
return SELL;
return 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;
}
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;
//}
}
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;
//}
}
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;
//}
}
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;
//}
}