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244 lines (226 loc) · 5.75 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 TUstpFtdcOptionsTypeType_2_PutCall(TUstpFtdcOptionsTypeType In)
{
if (In == USTP_FTDC_OT_CallOptions)
return PutCall::Call;
return PutCall::Put;
}
HedgeFlagType TUstpFtdcHedgeFlagType_2_HedgeFlagType(TUstpFtdcHedgeFlagType In)
{
switch (In)
{
case USTP_FTDC_CHF_Arbitrage:
return HedgeFlagType::Arbitrage;
case USTP_FTDC_CHF_Hedge:
return HedgeFlagType::Hedge;
case USTP_FTDC_CHF_MarketMaker:
return HedgeFlagType::MarketMaker;
case USTP_FTDC_CHF_Speculation:
default:
return HedgeFlagType::Speculation;
}
}
TUstpFtdcHedgeFlagType HedgeFlagType_2_TUstpFtdcHedgeFlagType(HedgeFlagType In)
{
switch (In)
{
case HedgeFlagType::Arbitrage:
return USTP_FTDC_CHF_Arbitrage;
case HedgeFlagType::Hedge:
return USTP_FTDC_CHF_Hedge;
case HedgeFlagType::MarketMaker:
return USTP_FTDC_CHF_MarketMaker;
case HedgeFlagType::Speculation:
default:
return USTP_FTDC_CHF_Speculation;
}
}
OpenCloseType TUstpFtdcOffsetFlagType_2_OpenCloseType(TUstpFtdcOffsetFlagType In)
{
switch (In)
{
case USTP_FTDC_OF_CloseToday:
return OpenCloseType::CloseToday;
case USTP_FTDC_OF_Close:
return OpenCloseType::Close;
case USTP_FTDC_OF_Open:
default:
return OpenCloseType::Open;
}
}
TUstpFtdcOffsetFlagType OpenCloseType_2_TUstpFtdcOffsetFlagType(OpenCloseType In)
{
switch (In)
{
case OpenCloseType::CloseToday:
return USTP_FTDC_OF_CloseToday;
case OpenCloseType::Close:
return USTP_FTDC_OF_Close;
case OpenCloseType::Open:
default:
return USTP_FTDC_OF_Open;
}
}
TUstpFtdcDirectionType OrderSide_2_TUstpFtdcDirectionType(OrderSide In)
{
if (In == OrderSide::Sell)
return USTP_FTDC_D_Sell;
return USTP_FTDC_D_Buy;
}
OrderSide TUstpFtdcDirectionType_2_OrderSide(TUstpFtdcDirectionType In)
{
if (In == USTP_FTDC_D_Sell)
return OrderSide::Sell;
return OrderSide::Buy;
}
PositionSide TUstpFtdcDirectionType_2_PositionSide(TUstpFtdcDirectionType In)
{
if (In == USTP_FTDC_D_Sell)
return PositionSide::Short;
return PositionSide::Long;
}
TUstpFtdcOrderPriceTypeType OrderType_2_TUstpFtdcOrderPriceTypeType(OrderType In)
{
switch (In)
{
case Market:
return USTP_FTDC_OPT_AnyPrice;
case Stop:
return USTP_FTDC_OPT_AnyPrice;
case Limit:
return USTP_FTDC_OPT_LimitPrice;
case StopLimit:
return USTP_FTDC_OPT_LimitPrice;
case MarketOnClose:
return USTP_FTDC_OPT_AnyPrice;
case TrailingStop:
return USTP_FTDC_OPT_AnyPrice;
case TrailingStopLimit:
return USTP_FTDC_OPT_LimitPrice;
default:
return USTP_FTDC_OPT_LimitPrice;
}
}
OrderType CUstpFtdcOrderField_2_OrderType(CUstpFtdcOrderField* pIn)
{
switch (pIn->OrderPriceType)
{
case USTP_FTDC_OPT_AnyPrice:
return OrderType::Market;
case USTP_FTDC_OPT_LimitPrice:
return OrderType::Limit;
default:
return OrderType::Limit;
}
}
TimeInForce CUstpFtdcOrderField_2_TimeInForce(CUstpFtdcOrderField* pIn)
{
switch (pIn->TimeCondition)
{
case USTP_FTDC_TC_GFD:
return TimeInForce::Day;
case USTP_FTDC_TC_IOC:
switch (pIn->VolumeCondition)
{
case USTP_FTDC_VC_AV:
return TimeInForce::IOC;
case USTP_FTDC_VC_CV:
return TimeInForce::FOK;
default:
return TimeInForce::IOC;
}
default:
return TimeInForce::Day;
}
}
OrderStatus CUstpFtdcOrderField_2_OrderStatus(CUstpFtdcOrderField* pIn)
{
switch (pIn->OrderStatus)
{
case USTP_FTDC_OS_Canceled:
return OrderStatus::Cancelled;
case USTP_FTDC_OS_NoTradeQueueing:
return OrderStatus::New;
default:
if (pIn->VolumeRemain == 0)
return OrderStatus::Filled;
else if (pIn->VolumeRemain == pIn->Volume)
return OrderStatus::New;
else
return OrderStatus::PartiallyFilled;
}
}
ExecType CUstpFtdcOrderField_2_ExecType(CUstpFtdcOrderField* pIn)
{
switch (pIn->OrderStatus)
{
case USTP_FTDC_OS_Canceled:
return ExecType::ExecCancelled;
case USTP_FTDC_OS_NoTradeQueueing:
return ExecType::ExecNew;
case USTP_FTDC_OS_AllTraded:
case USTP_FTDC_OS_PartTradedQueueing:
return ExecType::ExecTrade;
default:
return ExecType::ExecNew;
}
}
//OrderStatus CUstpFtdcRtnQuoteField_2_OrderStatus(CUstpFtdcRtnQuoteField* pIn)
//{
// switch (pIn->QuoteStatus)
// {
// case USTP_FTDC_QS_Inited_InFEMAS:
// case USTP_FTDC_QS_Accepted_InTradingSystem:
// return OrderStatus::New;
// case USTP_FTDC_QS_Canceled_SingleLeg:
// case USTP_FTDC_QS_Canceled_All:
// return OrderStatus::Cancelled;
// case USTP_FTDC_QS_Traded_SingleLeg:
// return OrderStatus::PartiallyFilled;
// case USTP_FTDC_QS_Traded_All:
// return OrderStatus::Filled;
// case USTP_FTDC_QS_Error_QuoteAction:
// return OrderStatus::PendingCancel;
// default:
// return OrderStatus::New;
// }
//}
//ExecType CUstpFtdcRtnQuoteField_2_ExecType(CUstpFtdcRtnQuoteField* pIn)
//{
// switch (pIn->QuoteStatus)
// {
// case USTP_FTDC_QS_Inited_InFEMAS:
// case USTP_FTDC_QS_Accepted_InTradingSystem:
// return ExecType::ExecNew;
// case USTP_FTDC_QS_Canceled_SingleLeg:
// case USTP_FTDC_QS_Canceled_All:
// return ExecType::ExecCancelled;
// case USTP_FTDC_QS_Traded_SingleLeg:
// case USTP_FTDC_QS_Traded_All:
// return ExecType::ExecTrade;
// case USTP_FTDC_QS_Error_QuoteAction:
// return ExecType::ExecCancelReject;
// default:
// return ExecType::ExecNew;
// }
//}
InstrumentType CUstpFtdcRspInstrumentField_2_InstrumentType(CUstpFtdcRspInstrumentField* pIn)
{
switch (pIn->OptionsType)
{
case USTP_FTDC_OT_NotOptions:
return InstrumentType::Future;
default:
return InstrumentType::Option;
}
}