geyexiaocai
commented
6 years ago 这个写法是基于Openquant自身的特性没有引用ctp插件特性，所以在国内市场确实不能平仓 如果针对CTP插件的写法，平仓代码部分可以改成： if (order.Text == "buy market order") { closeLimitOrder = SellLimitOrder(order.Instrument, order.Qty, order.Price + order.Instrument.TickSize * 2); closeLimitOrder.Close(); Send(closeLimitOrder); } 需要在项目中引用QuantBox.Extensions
Order openLimitOrder; Order openMarketOrder; private void OnBar(Instrument instrument,Bar bar) { openLimitOrder = BuyLimitOrder(instrument, 1, bar.Open, "buy limit order"); Send(openLimitOrder);//买限价单 AddReminder(Clock.DateTime.AddMinutes(1),"cancel buy limit order");//添加定时器，下单1分钟后还未成交的话做撤单处理 openMarketOrder = BuyOrder(instrument, 2, "buy market order");//买市价单 Send(openMarketOrder); } protected override void OnOrderFilled(Order order) { if (order.Text == "buy market order") { closeLimitOrder = SellLimitOrder(order.Instrument, order.Qty, order.Price + order.Instrument.TickSize * 2); Send(closeLimitOrder); } } protected override void OnReminder(DateTime dateTime, object data) { if (data != null && data.ToString() == "cancel buy limit order") {//是撤单定时器触发的 if (!openLimitOrder.IsDone) {//openLimitOrder还未成交 Cancel(openLimitOrder); } } }