public override void SubscribeBidAskBook(ASecurity s, int level)
{
try
{
string fields = "rt_time,rt_pre_settle,rt_pre_close,rt_open,rt_high,rt_low,rt_last";
for (int i = 1; i <= Math.Min(level, 5); i++)
{
fields += ",rt_bid?,rt_ask?,rt_bsize?,rt_asize?".Replace("?", i.ToString());
}
//注意：snaponly参数，false=持续更新
long reqid = this._windapi.WSQ(s.GetWindCode(), fields, false, this.callBackOnSubscribeBidAskBook);
if (reqid < 0)
{
string msg = this._windapi.WErr((eWQErr)reqid, eLang.eCHN);
MessageManager.GetInstance().Add(MessageType.Error, msg);
throw new Exception(msg);
}
//异步执行时，将s对象临时保存于htAsyncObject
this.htSubscribe.Add(reqid, s.bidaskbook);
}
catch (Exception ex)
{
throw ex;
}
}
public override List <Option> GetOptionSet(ASecurity underlying)
{
try
{
long reqid = this._windapi.WSET("OptionChain", "date=" + DateTime.Today.ToString("yyyyMMdd") + ";us_code=" + underlying.GetWindCode() + ";option_var=;month=全部;call_put=全部", this.callBackOnGetOptionSet);
if (reqid < 0)
{
string msg = this._windapi.WErr((eWQErr)reqid, eLang.eCHN);
MessageManager.GetInstance().Add(MessageType.Error, msg);
throw new Exception(msg);
}
//等待回报数据
this.waitCallBackData(reqid);
//读取数据
if (this.htOptionSets.Contains(underlying.code))
{
return((List <Option>) this.htOptionSets[underlying.code]);
}
else
{
return(null);
}
}
catch (Exception ex)
{
throw ex;
}
}
static void testMM2()
{
AMarket mkt = AMarket.GetInstance(MarketVendor.Exchange);
ASecurity s = mkt.GetOption("90000229", new ETF("510050", Exchange.SHE));
AOptionMakeMarket mm = new OptionMakeMarket1();
mm.AddOptions(s);
mm.Run();
}
public void GetBidAskBook(ASecurity s)
{
try
{
//注意：snaponly参数，false=持续更新
long reqid = this._windapi.WSQ(s.windcode, "rt_time,rt_pre_settle,rt_open,rt_last,rt_ask1,rt_bid1,rt_bsize1,rt_asize1", false, s.QuantCallbackRealtime);
}
catch (Exception ex)
{
throw ex;
}
}
public Option GetOption(string code, ASecurity underlying)
{
Option o = null;
if (!htUnderlyingSets.Contains(underlying.code))
{
this.GetOptionSet(underlying);
}
if (htOptionSets.Contains(underlying.code))
{
List <Option> oplist = (List <Option>)htOptionSets[underlying.code];
o = oplist.Find(delegate(Option of) { return(of.code == code); });
}
return(o);
}
public override List <Option> GetOptionSet(ASecurity underlying)
{
try
{
this.readOptionContractFile();
if (this.htOptionSets.Contains(underlying.code))
{
return((List <Option>)htOptionSets[underlying.code]);
}
else
{
return(null);
}
}
catch (Exception ex)
{
throw ex;
}
}
public virtual void AddOptions(ASecurity underlying)
{
try
{
if (underlying.category == SecurityCategory.OPTION)
{
//添加期权合约本身
this.AddOptions((Option)underlying);
}
else
{
//添加标的对应的期权合约
List <Option> optionlist = _optionengine.GetOptionSet(underlying);
this.AddOptions(optionlist);
}
}
catch (Exception ex)
{
throw ex;
}
}
public override void SubscribeBidAskBook(ASecurity s, int level)
{
//异步执行前，保存记录
long reqId = _requestId++;
this.htSubscribe.Add(reqId, true);
//异步调用
AsyncDelegate dlg;
switch (s.category)
{
case SecurityCategory.STOCK:
case SecurityCategory.ETF:
this.htSubscribedStocks.Add(s.code, s.bidaskbook);
this.addSubscribedStocks(s.code);
if (!isLoopingDbfFile)
{
isLoopingDbfFile = true;
dlg = new AsyncDelegate(updateStockBidAskBook);
dlg.BeginInvoke(reqId, null, null);
}
break;
case SecurityCategory.OPTION:
this.htSubscribedOptions.Add(s.code, s.bidaskbook);
if (!isLoopingMktFile)
{
isLoopingMktFile = true;
dlg = new AsyncDelegate(updateOptionBidAskBook);
dlg.BeginInvoke(reqId, null, null);
}
break;
default:
string msg = string.Format("无法读取该类证券行情：{0}", s.category);
MessageManager.GetInstance().Add(MessageType.Error, msg);
throw new Exception(msg);
}
}
private void btnRunMM_Click(object sender, EventArgs e)
{
foreach (string code in checkedListBoxUnderlying.CheckedItems)
{
ASecurity s = null;
if (htUnderlyings.Contains(code))
{
s = (ASecurity)htUnderlyings[code];
}
AOptionMakeMarket omm = new OptionMakeMarket1();
omm.AddOptions(s);
MMRunDelegate dlg = new MMRunDelegate(omm.Run);
dlg.BeginInvoke(null, null);
htmarketmakers.Add(s.code, omm);
}
//消息列表
isMMruning = true;
Thread thread = new Thread(readMsg);
thread.IsBackground = true;
thread.Start();
}
public abstract List <Option> GetOptionSet(ASecurity underlying);
public abstract void SubscribeBidAskBook(ASecurity s, int level);
private void readOptionContractFile()
{
try
{
if (this.htOptionSets.Count == 0)
{
#region 读取文件
//复制到本地
File.Copy(filepath_option_contract_source, filepath_option_contract_target, true);
//读取该文件
string filecontent = "";
using (StreamReader sReader = new StreamReader(filepath_option_contract_target, Encoding.Default))
{
filecontent = sReader.ReadToEnd();
sReader.Close();
}
#endregion
#region 解析合约
string[] lines = filecontent.Split("\n".ToCharArray());
if (lines == null || lines.Length == 0)
{
MessageManager.GetInstance().Add(MessageType.Error, string.Format("期权合约文件为空"));
return;
}
List <Option> optionlist;
foreach (string line in lines)
{
if (line != null && line.Trim().Length > 0)
{
string[] fields = line.Split("|".ToCharArray());
if (fields.Length >= 34)
{
//代码
Option o = new Option(fields[1].Trim(), Exchange.SHE);
o.contractcode = fields[2].Trim();
o.name = fields[3].Trim();
o.underlyingunits = Convert.ToInt16(fields[9].Trim());
o.strike = Convert.ToDouble(fields[10].Trim());
o.exercisedate = Utility.ConvertToDateTime(fields[13].Trim(), "yyyyMMdd");
o.priceuplimit = Convert.ToDouble(fields[22].Trim());
o.pricedownlimit = Convert.ToDouble(fields[23].Trim());
o.marginunit = Convert.ToDouble(fields[24].Trim());
o.lmtordmaxfloor = Convert.ToInt16(fields[29].Trim());
o.ticksize = Convert.ToDouble(fields[32].Trim());
o.daystoexercise = (o.exercisedate - DateTime.Today).Days;
o.exercisemonth = o.exercisedate.Month;
#region 标的
string underlyingtype = fields[6].Trim().ToUpper();
string underlyingcode = fields[4].Trim();
if (this.htUnderlyingSets.Contains(underlyingcode))
{
//标的已存在
o.underlying = (ASecurity)htUnderlyingSets[underlyingcode];
}
else
{
//新建标的
ASecurity s = null;
switch (underlyingtype)
{
case "ASH": //股票
s = new Stock(underlyingcode, Exchange.SHE);
break;
case "EBS": //ETF
s = new ETF(underlyingcode, Exchange.SHE);
break;
default:
break;
}
if (s != null)
{
s.name = fields[5].Trim();
htUnderlyingSets.Add(underlyingcode, s);
o.underlying = s;
}
}
#endregion
//类型：call or put
string type = fields[8].Trim().ToUpper();
if (type == "C")
{
o.type = OptionType.CALL;
}
else
{
o.type = OptionType.PUT;
}
//交易标志
char[] flag = fields[33].Trim().ToUpper().ToCharArray();
o.islimitopening = (flag[0] == '0') ? false : true; //第1位：‘0’表示可开仓，‘1’表示限制卖出开仓（不.包括备兑开仓）和买入开仓。
o.istrading = (flag[1] == '0') ? true : false; //第2位：‘0’表示未连续停牌，‘1’表示连续停牌。
o.isnew = (flag[4] == 'A') ? true : false; //第5位：‘A’表示当日新挂牌的合约，‘E’表示存续的合约
//加入列表
if (this.htOptionSets.Contains(o.underlying.code))
{
optionlist = (List <Option>) this.htOptionSets[o.underlying.code];
optionlist.Add(o);
}
else
{
optionlist = new List <Option>();
optionlist.Add(o);
this.htOptionSets.Add(o.underlying.code, optionlist);
}
}
}
}
#endregion
}
}
catch (Exception ex)
{
throw ex;
}
}
private int callBackOnGetOptionSet(QuantEvent quantEvent)
{
//////////////////////////////////
//同步调用：htSyncWaiting
//////////////////////////////////
//检查等待列表，首次未找到则等待一会儿
if (!this.htSyncWaiting.Contains(quantEvent.RequestID))
{
Thread.Sleep(100);
}
if (!this.htSyncWaiting.Contains(quantEvent.RequestID))
{
return(-1);
}
if (!isCallBackDataValid(quantEvent))
{
//解除主进程等待
this.htSyncWaiting[quantEvent.RequestID] = quantEvent.ErrCode;
//退出
return(-1);
}
object[] data;
data = (object[])quantEvent.quantData.MatrixData;
List <Option> optionlist = new List <Option>();
for (int i = 0; i < data.Length / 13; i++)
{
string underlyingwindcode = data[0 + i * 13].ToString();
string underlyingname = data[1 + i * 13].ToString();
string optionwindcode = data[3 + i * 13].ToString();
//转换Wind代码和交易代码
string optioncode = optionwindcode;
Exchange exchange = ASecurity.GetExchange(optionwindcode, ref optioncode);
string underlyingcode = underlyingwindcode;
ASecurity.GetExchange(underlyingwindcode, ref underlyingcode);
//读取期权信息
Option o = new Option(optioncode, exchange);
#region 期权信息
o.name = data[4 + i * 13].ToString();
o.strike = Convert.ToDouble(data[6 + i * 13]);
o.exercisedate = Utility.ConvertToDateTime(data[10 + i * 13].ToString(), "");
o.daystoexercise = (o.exercisedate - DateTime.Today).Days;
o.yearstoexercise = o.daystoexercise / 365.0;
string typename = data[8 + i * 13].ToString();
if (typename == "认购")
{
o.type = OptionType.CALL;
}
else
{
o.type = OptionType.PUT;
}
#endregion
#region 标的信息
SecurityCategory category = ASecurity.GetSecurityCategory(underlyingcode, exchange);
o.underlying = ASecurity.GetSecurity(category, underlyingcode, exchange);
o.underlying.name = underlyingname;
#endregion
optionlist.Add(o);
}
if (!htOptionSets.Contains(optionlist[0].underlying.code))
{
htOptionSets.Add(optionlist[0].underlying.code, optionlist);
}
else
{
htOptionSets[optionlist[0].underlying.code] = optionlist;
}
//解除主进程等待
this.htSyncWaiting[quantEvent.RequestID] = quantEvent.ErrCode;
return((int)quantEvent.ErrCode);
}
