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TypeConvert.cpp
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321 lines (297 loc) · 7.73 KB
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#include "stdafx.h"
#include "TypeConvert.h"
#include <stdlib.h>
#include <string.h>
#include "../include/ChinaStock.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
HedgeFlagType TSecurityFtdcHedgeFlagType_2_HedgeFlagType(TSecurityFtdcHedgeFlagType In)
{
switch (In)
{
//case SECURITY_FTDC_HF_Arbitrage:
// return HedgeFlagType::Arbitrage;
case SECURITY_FTDC_HF_Hedge:
return HedgeFlagType::Hedge;
case SECURITY_FTDC_HF_Speculation:
default:
return HedgeFlagType::Speculation;
}
}
TSecurityFtdcHedgeFlagType HedgeFlagType_2_TSecurityFtdcHedgeFlagType(HedgeFlagType In)
{
switch (In)
{
//case HedgeFlagType::Arbitrage:
// return SECURITY_FTDC_HF_Arbitrage;
case HedgeFlagType::Hedge:
return SECURITY_FTDC_HF_Hedge;
case HedgeFlagType::Speculation:
default:
return SECURITY_FTDC_HF_Speculation;
}
}
OpenCloseType TSecurityFtdcOffsetFlagType_2_OpenCloseType(TSecurityFtdcOffsetFlagType In)
{
switch (In)
{
case SECURITY_FTDC_OF_CloseToday:
return OpenCloseType::CloseToday;
case SECURITY_FTDC_OF_Close:
return OpenCloseType::Close;
case SECURITY_FTDC_OF_Open:
default:
return OpenCloseType::Open;
}
}
TSecurityFtdcOffsetFlagType OpenCloseType_2_TSecurityFtdcOffsetFlagType(OpenCloseType In)
{
switch (In)
{
case OpenCloseType::CloseToday:
return SECURITY_FTDC_OF_CloseToday;
case OpenCloseType::Close:
return SECURITY_FTDC_OF_Close;
case OpenCloseType::Open:
default:
return SECURITY_FTDC_OF_Open;
}
}
TSecurityFtdcDirectionType OrderSide_2_TSecurityFtdcDirectionType(OrderSide In)
{
if (In == OrderSide::Sell)
return SECURITY_FTDC_D_Sell;
return SECURITY_FTDC_D_Buy;
}
OrderSide TSecurityFtdcDirectionType_2_OrderSide(TSecurityFtdcDirectionType In)
{
if (In == SECURITY_FTDC_D_Sell)
return OrderSide::Sell;
return OrderSide::Buy;
}
PositionSide TSecurityFtdcPosiDirectionType_2_PositionSide(TSecurityFtdcPosiDirectionType In)
{
if (In == SECURITY_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;
//}
return PositionSide::Long;
}
TSecurityFtdcOrderPriceTypeType OrderType_2_TSecurityFtdcOrderPriceTypeType(OrderType In)
{
switch (In)
{
case Market:
return SECURITY_FTDC_OPT_AnyPrice;
case Stop:
return SECURITY_FTDC_OPT_AnyPrice;
case Limit:
return SECURITY_FTDC_OPT_LimitPrice;
case StopLimit:
return SECURITY_FTDC_OPT_LimitPrice;
case MarketOnClose:
return SECURITY_FTDC_OPT_AnyPrice;
case TrailingStop:
return SECURITY_FTDC_OPT_AnyPrice;
case TrailingStopLimit:
return SECURITY_FTDC_OPT_LimitPrice;
default:
return SECURITY_FTDC_OPT_LimitPrice;
}
}
OrderStatus CSecurityFtdcOrderField_2_OrderStatus(CSecurityFtdcOrderField* pIn)
{
switch (pIn->OrderStatus)
{
case SECURITY_FTDC_OST_Canceled:
if (pIn->OrderSubmitStatus == SECURITY_FTDC_OSS_InsertRejected)
return OrderStatus::Rejected;
return OrderStatus::Cancelled;
case SECURITY_FTDC_OST_Unknown:
// 如果是撤单，也有可能出现这一条，如何过滤？
if (pIn->OrderSubmitStatus == SECURITY_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 CSecurityFtdcOrderField_2_OrderType(CSecurityFtdcOrderField* pIn)
{
switch (pIn->OrderPriceType)
{
case SECURITY_FTDC_OPT_AnyPrice:
return OrderType::Market;
case SECURITY_FTDC_OPT_LimitPrice:
return OrderType::Limit;
default:
return OrderType::Limit;
}
}
TimeInForce CSecurityFtdcOrderField_2_TimeInForce(CSecurityFtdcOrderField* pIn)
{
switch (pIn->TimeCondition)
{
case SECURITY_FTDC_TC_GFD:
return TimeInForce::Day;
case SECURITY_FTDC_TC_IOC:
switch (pIn->VolumeCondition)
{
case SECURITY_FTDC_VC_AV:
return TimeInForce::IOC;
case SECURITY_FTDC_VC_CV:
return TimeInForce::FOK;
default:
return TimeInForce::IOC;
}
default:
return TimeInForce::Day;
}
}
ExecType CSecurityFtdcOrderField_2_ExecType(CSecurityFtdcOrderField* pIn)
{
switch (pIn->OrderStatus)
{
case SECURITY_FTDC_OST_Canceled:
if (pIn->OrderSubmitStatus == SECURITY_FTDC_OSS_InsertRejected)
return ExecType::ExecRejected;
return ExecType::ExecCancelled;
case SECURITY_FTDC_OST_Unknown:
// 如果是撤单，也有可能出现这一条，如何过滤？
if (pIn->OrderSubmitStatus == SECURITY_FTDC_OSS_InsertSubmitted)
return ExecType::ExecNew;
case SECURITY_FTDC_OST_AllTraded:
case SECURITY_FTDC_OST_PartTradedQueueing:
return ExecType::ExecTrade;
default:
return ExecType::ExecNew;
}
}
PutCall CSecurityFtdcInstrumentField_2_PutCall(CSecurityFtdcInstrumentField* pIn)
{
if (strlen(pIn->InstrumentID) == 8)
{
if (pIn->ExchangeInstID[6] == 'C')
{
return PutCall::Call;
}
}
return PutCall::Put;
}
InstrumentType CSecurityFtdcInstrumentField_2_InstrumentType(CSecurityFtdcInstrumentField* pIn)
{
switch (pIn->ProductClass)
{
case SECURITY_FTDC_PC_Futures:
return InstrumentType::Future;
case SECURITY_FTDC_PC_Options:
return InstrumentType::Option;
case SECURITY_FTDC_PC_Combination:
return InstrumentType::MultiLeg;
case SECURITY_FTDC_PC_EFP:
return InstrumentType::Future;
case SECURITY_FTDC_PC_ETF:
return InstrumentType::ETF;
case SECURITY_FTDC_PC_ETFPurRed:
return InstrumentType::ETF;
default:
if (strlen(pIn->InstrumentID) == 8)
{
return InstrumentType::Option;
}
if (pIn->ExchangeID[1] == 'Z')
{
return InstrumentID_2_InstrumentType_SZE(atoi(pIn->InstrumentID));
}
else
{
return InstrumentID_2_InstrumentType_SSE(atoi(pIn->InstrumentID));
}
}
}
PriceType CSecurityFtdcInstrumentField_2_PriceTick(CSecurityFtdcInstrumentField* pIn)
{
if (pIn->PriceTick != 0)
return pIn->PriceTick;
// 期权为0.001
if (strlen(pIn->InstrumentID) == 8)
{
return 0.001;
}
if (pIn->ExchangeID[1] == 'Z')
{
return InstrumentID_2_PriceTick_SZE(atoi(pIn->InstrumentID));
}
else
{
return InstrumentID_2_PriceTick_SSE(atoi(pIn->InstrumentID));
}
}
IdCardType TSecurityFtdcIdCardTypeType_2_IdCardType(TSecurityFtdcIdCardTypeType In)
{
switch (In)
{
case SECURITY_FTDC_ICT_EID:
return IdCardType::EID;
case SECURITY_FTDC_ICT_IDCard:
return IdCardType::IDCard;
case SECURITY_FTDC_ICT_OfficerIDCard:
return IdCardType::OfficerIDCard;
case SECURITY_FTDC_ICT_PoliceIDCard:
return IdCardType::PoliceIDCard;
case SECURITY_FTDC_ICT_SoldierIDCard:
return IdCardType::SoldierIDCard;
case SECURITY_FTDC_ICT_HouseholdRegister:
return IdCardType::HouseholdRegister;
case SECURITY_FTDC_ICT_Passport:
return IdCardType::Passport;
case SECURITY_FTDC_ICT_TaiwanCompatriotIDCard:
return IdCardType::TaiwanCompatriotIDCard;
case SECURITY_FTDC_ICT_HomeComingCard:
return IdCardType::HomeComingCard;
case SECURITY_FTDC_ICT_LicenseNo:
return IdCardType::LicenseNo;
case SECURITY_FTDC_ICT_TaxNo:
return IdCardType::TaxNo;
case SECURITY_FTDC_ICT_OtherCard:
default:
return IdCardType::OtherCard;
}
}
ExchangeType TSecurityFtdcExchangeIDType_2_ExchangeType(TSecurityFtdcExchangeIDType In)
{
switch (In[1])
{
case 'S':
return ExchangeType::SSE;
case 'Z':
return ExchangeType::SZE;
default:
return ExchangeType::Undefined_;
}
}