Hello CTP (V) -- CTP position calculation

One 、CTP Position

LongOpenPosition： Long opening volume

LongOpenFrozen： Long positions are frozen

LongYdPosition： Long yesterday

LongTdPosition： Bulls today

LongCloseTdFrozen： Long flat positions are frozen

LongCloseYdFrozen： Long flat positions froze yesterday

ShortOpenPosition： Short opening volume

ShortTdPosition： Short positions

ShortYdPosition： Short yesterday

ShortCloseTdFrozen： Short positions are frozen

ShortCloseYdFrozen： Short positions were frozen yesterday

LongFrozenAmount： Long frozen amount

ShortFrozenAmount： Short frozen amount

FrozenMargin： Freeze the deposit

FrozenCommission： Freeze handling charges

Two 、 Bin query

1、 Bin query

The current position status of the account will be obtained when the trading system is started , Only by querying CTP obtain . If there is an order or transaction in the course of trading , There will be corresponding position freeze and position change , because CTP Query flow control and ensure the real-time update of positions , Usually update the position status according to the order return .

2、 Bin query API

Bin query request API：

virtual int ReqQryInvestorPosition(CThostFtdcQryInvestorPositionField *pQryInvestorPosition, int nRequestID) = 0;

Position return callback function ：

virtual void OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

3、 Position calculation

CThostFtdcInvestorPositionField The returned bin fields are as follows ：

BrokerID： Brokerage code

InvestorID： Investor code

PosiDirection： Long and short positions

HedgeFlag： Speculative hedging flag

PositionDate： Position date

YdPosition： Last day's position

Position： Current position

LongFrozen： Long freeze

ShortFrozen： Short freeze

LongFrozenAmount： Opening frozen amount

ShortFrozenAmount： Opening frozen amount

OpenVolume： Opening volume

CloseVolume： Closing volume

OpenAmount： Opening amount

CloseAmount： Closing amount

PositionCost： Position cost

PreMargin： Last occupied deposit

UseMargin： Take up the deposit

FrozenMargin： Freeze the deposit

FrozenCash： Freeze funds

FrozenCommission： Freeze handling charges

CashIn： Fund balance

Commission： Service Charge

CloseProfit： Closing profit and loss

PositionProfit： Position profit and loss

PreSettlementPrice： Last settlement price

SettlementPrice： This settlement price

SettlementID： Settlement No

OpenCost： Opening cost

ExchangeMargin： Exchange margin

CombPosition： The closing portfolio forms a position

CombLongFrozen： Combined multi head freezing

CombShortFrozen： Combined short freeze

CloseProfitByDate： Mark to market daily to close the profit and loss

CloseProfitByTrade： Profit and loss of hedging and closing positions one by one

TodayPosition： Today's new opening

MarginRateByMoney： Margin rate

MarginRateByVolume： Margin rate （ Number of hands ）

StrikeFrozen： Execute freeze

StrikeFrozenAmount： Execute frozen amount

ExchangeID： Exchange code

YdStrikeFrozen： Execute the freezing of yesterday's warehouse

InvestUnitID： Investment unit code

InstrumentID： Contract code

CTP The position query results will be pushed in batches according to the long and short positions of the account contract ,PosiDirection The field values for THOST_FTDC_PD_Long（'2'） Indicates a long position ,THOST_FTDC_PD_Short（'3'） Indicates a short position .

LongPosition = Position

ShortPosition = Position

LongOpenPosition = OpenVolume

ShortOpenPositon = OpenVolume

LongClosePosition = CloseVolume

ShortClosePosition = CloseVolume

CurrentYdPosition = Position - TodayPosition

YdPosition = YdPosition

• Real time position calculation

1、 Closing operations

CTP Transaction return and order return are in the return data ,Direction The field values for THOST_FTDC_D_Buy（'0'） It means buying ,THOST_FTDC_D_Sell（'1'） It means sell .OffsetFlag The field value of Kaiping identification is THOST_FTDC_OF_Open（'0'） It means opening a position ,THOST_FTDC_OF_Close（'1'） It means closing the position ,THOST_FTDC_OF_ForceClose（'2'） Strong flat ,THOST_FTDC_OF_CloseToday（'3'） It means Pingjin ,THOST_FTDC_OF_CloseYesterday（'4'） It means yesterday ,THOST_FTDC_OF_ForceOff（'5'） Indicates forced reduction ,THOST_FTDC_OF_LocalForceClose（'6'） Indicates the local strong level .

CICC's positions are not divided into current positions and yesterday's positions , Once the position is opened , All yesterday positions of bulls or bears will be regarded as today's positions , Therefore, the closing return will only return THOST_FTDC_OF_Close（'1'）, Need basis Direction And contract positions LongTdPosition、ShortTdPosition Judge . If LongTdPosition、ShortTdPosition Greater than 0, The closing operation is to close the current position , Otherwise, it will be a flat position .

2、 Transaction return position calculation

virtual void OnRtnTrade(CThostFtdcTradeField *pTrade);

CThostFtdcTradeField The fields are as follows ：

BrokerID： Brokerage code

InvestorID： Investor code

OrderRef： Entry reference

UserID： user designation codes

ExchangeID： Exchange code

TradeID： Transaction No

Direction： Business direction

OrderSysID： Exchange entry No

ParticipantID： Membership code

OffsetFlag： Kaiping logo

HedgeFlag： Speculative hedging identification

Price： Price

Volume： Number

TradeType： Transaction type

TraderID： Trader code

OrderLocalID： Local entry number

SettlementID： Settlement No

InstrumentID： Contract code

if(pTrade->Direction == THOST_FTDC_D_Buy && pTrade->OffsetFlag[0] == THOST_FTDC_OF_Close)
{
    if(ShortTdPosition > 0)
    {
        // Close Short Today Position
    }
    else
    {
        // Close Short YesToday Position
    }
}
else if(pTrade->Direction == THOST_FTDC_D_Sell && pTrade->OffsetFlag[0] == THOST_FTDC_OF_Close)
{
    if(LongTdPosition > 0)
    {
        // Close Long Today Position
    }
    else
    {
        // Close Long YesToday Position
    }
}

3、 Calculation of return position of entry

virtual void OnRtnOrder(CThostFtdcOrderField *pOrder);

CThostFtdcOrderField The fields are as follows ：

BrokerID： Brokerage code

InvestorID： Investor code

OrderRef： Entry reference

UserID： user designation codes

OrderPriceType： Price terms of the entry

Direction： Business direction

CombOffsetFlag： Combined leveling logo

CombHedgeFlag： Portfolio speculative hedging identification

LimitPrice： Price

VolumeTotalOriginal： Number

TimeCondition： Validity type

VolumeCondition： Volume type

MinVolume： Minimum volume

ContingentCondition： The trigger condition

StopPrice： Stop-loss price

ForceCloseReason： Qiang Ping's reason

RequestID： Request number

OrderLocalID： Local entry number

ExchangeID： Exchange code

ParticipantID： Membership code

TraderID： Trader code

OrderSubmitStatus： Declaration submission status

SettlementID： Settlement No

OrderSysID： Exchange entry No

OrderStatus： Entry status

OrderType： Entry type

VolumeTraded： Number of transactions today

VolumeTotal： The remaining quantity

FrontID： Prefix number

SessionID： Session number

StatusMsg： Order status information

AccountID： Fund account number

InstrumentID： Contract code

VolumeTraded： Number of transactions today

VolumeTotal： The remaining quantity

VolumeTotalOriginal： Number

if(pOrder->Direction == THOST_FTDC_D_Buy && pOrder->CombOffsetFlag[0] == THOST_FTDC_OF_Close)

{

    if(ShortTdPosition > 0)

    {

        // Close Short Today Position

    }

    else

    {

        // Close Short YesToday Position

    }

}

else if(pOrder->Direction == THOST_FTDC_D_Sell && pOrder->CombOffsetFlag[0] == THOST_FTDC_OF_Close)

{

    if(LongTdPosition > 0)

    {

        // Close Long Today Position

    }

    else

    {

        // Close Long YesToday Position

    }

}