/*发送市场数据请求*/ public void SendMarketDataRequest(SmartQuant.FIX.FIXMarketDataRequest request) { lock (this) { if (!IsConnected) { EmitError(-1, -1, "Not connected."); return; } switch (request.SubscriptionRequestType) { case DataManager.MARKET_DATA_SUBSCRIBE: for (int i = 0; i < request.NoRelatedSym; i++) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); SubscribeSymbol(group.Symbol); } break; case DataManager.MARKET_DATA_UNSUBSCRIBE: for (int i = 0; i < request.NoRelatedSym; i++) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); UnsubscribeSymbol(group.Symbol); } break; default: throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString()); } } }
private string agD49enOqk([In] FIXRelatedSymGroup obj0) { foreach (DictionaryEntry dictionaryEntry in this.mdRequests) { if (((RequestRecord)dictionaryEntry.Value).Symbol == obj0.Symbol) { return((string)dictionaryEntry.Key); } } return(null); }
public void SendMarketDataRequest(FIXMarketDataRequest request) { SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0; for (int i = 0; i < request.NoMDEntryTypes; i++) { FIXMDEntryTypesGroup mDEntryTypesGroup = request.GetMDEntryTypesGroup(i); switch (mDEntryTypesGroup.MDEntryType) { case '0': case '1': if (request.MarketDepth == 1) { subscriptionDataType |= SubscriptionDataType.Quotes; } else { subscriptionDataType |= SubscriptionDataType.OrderBook; } break; case '2': subscriptionDataType |= SubscriptionDataType.Trades; break; } } for (int j = 0; j < request.NoRelatedSym; j++) { FIXRelatedSymGroup relatedSymGroup = request.GetRelatedSymGroup(j); SmartQuant.Instruments.Instrument key = SmartQuant.Instruments.InstrumentManager.Instruments[relatedSymGroup.Symbol]; global::OpenQuant.API.Instrument instrument = Map.SQ_OQ_Instrument[key] as global::OpenQuant.API.Instrument; switch (request.SubscriptionRequestType) { case '1': this.provider.CallSubscribe(instrument, subscriptionDataType); break; case '2': this.provider.CallUnsubscribe(instrument, subscriptionDataType); break; default: throw new Exception("Unknown subscription request type " + request.SubscriptionRequestType); } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { lock (this) { if (!IsConnected) { EmitError(1, "The current market data provider not connected."); return; } switch (request.SubscriptionRequestType) { case DataManager.MARKET_DATA_SUBSCRIBE: for (int i = 0; i < request.NoRelatedSym; i++) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); if (!this.subscribedSymbols.Contains(group.Symbol)) { this.SubscribeSymbol(group.Symbol); this.subscribedSymbols.Add(group.Symbol); } } break; case DataManager.MARKET_DATA_UNSUBSCRIBE: for (int i = 0; i < request.NoRelatedSym; i++) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); if (this.subscribedSymbols.Contains(group.Symbol)) { this.UnsubscribeSymbol(group.Symbol); this.subscribedSymbols.Remove(group.Symbol); } } break; default: throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString()); } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接"); mdlog.Error("行情服务器没有连接"); return; } bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case FIXMDEntryType.Bid: case FIXMDEntryType.Offer: if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case FIXMDEntryType.Trade: bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string apiSymbol = GetApiSymbol(altSymbol); string apiExchange = altExchange; #if CTPZQ altSymbol = GetYahooSymbol(apiSymbol, apiExchange); #endif CThostFtdcInstrumentField _Instrument; if (_dictInstruments.TryGetValue(altSymbol, out _Instrument)) { apiSymbol = _Instrument.InstrumentID; apiExchange = _Instrument.ExchangeID; } #if CTPZQ altSymbol = GetYahooSymbol(apiSymbol, apiExchange); #endif DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { record = new DataRecord(); record.Instrument = inst; record.Symbol = apiSymbol; record.Exchange = apiExchange; _dictAltSymbol2Instrument[altSymbol] = record; mdlog.Info("订阅合约/订阅询价 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange); if (_bTdConnected) { TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null); timerPonstion.Enabled = false; timerPonstion.Enabled = true; } } //记录行情,同时对用户合约与交易所合约进行映射 CThostFtdcDepthMarketDataField DepthMarket; if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket)) { _dictDepthMarketData[altSymbol] = DepthMarket; } // 多次订阅也无所谓 MdApi.MD_Subscribe(m_pMdApi, record.Symbol, record.Exchange); MdApi.MD_SubscribeQuote(m_pMdApi, record.Symbol, record.Exchange); if (bTrade) { record.TradeRequested = true; } if (bQuote) { record.QuoteRequested = true; } if (bMarketDepth) { record.MarketDepthRequested = true; } if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { break; } if (bTrade) { record.TradeRequested = false; } if (bQuote) { record.QuoteRequested = false; } if (bMarketDepth) { record.MarketDepthRequested = false; } if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictDepthMarketData.Remove(altSymbol); _dictAltSymbol2Instrument.Remove(altSymbol); mdlog.Info("取消合约/取消询价 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange); MdApi.MD_Unsubscribe(m_pMdApi, record.Symbol, record.Exchange); MdApi.MD_UnsubscribeQuote(m_pMdApi, record.Symbol, record.Exchange); } else { // 只要有一种类型说要订阅,就给订上 MdApi.MD_Subscribe(m_pMdApi, record.Symbol, record.Exchange); MdApi.MD_SubscribeQuote(m_pMdApi, record.Symbol, record.Exchange); } } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { lock (this) { switch (request.SubscriptionRequestType) { case DataManager.MARKET_DATA_SUBSCRIBE: if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接,无法订阅行情"); return; } for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); //通过订阅的方式,由平台传入合约对象,在行情接收处将要使用到合约 CThostFtdcDepthMarketDataField DepthMarket; Instrument inst = InstrumentManager.Instruments[group.Symbol]; string altSymbol = inst.GetSymbol(this.Name); if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket)) { DepthMarket = new CThostFtdcDepthMarketDataField(); _dictDepthMarketData.Add(altSymbol, DepthMarket); } _dictAltSymbol2Instrument[altSymbol] = inst; MdApi.MD_Subscribe(m_pMdApi, altSymbol); } if (!_bTdConnected) { EmitError(-1, -1, "交易服务器没有连接,无法保证持仓真实"); return; } TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null); timerPonstion.Enabled = false; timerPonstion.Enabled = true; break; case DataManager.MARKET_DATA_UNSUBSCRIBE: if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接,退订合约无效"); return; } for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; string altSymbol = inst.GetSymbol(this.Name); _dictDepthMarketData.Remove(altSymbol); MdApi.MD_Unsubscribe(m_pMdApi, altSymbol); } break; default: throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString()); } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接"); mdlog.Error("行情服务器没有连接"); return; } bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case '0': case '1': if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case '2': bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { record = new DataRecord(); record.Instrument = inst; _dictAltSymbol2Instrument[altSymbol] = record; mdlog.Info("订阅合约 {0} {1}", altSymbol, altExchange); MdApi.MD_Subscribe(m_pMdApi, altSymbol); if (_bTdConnected) { TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null); timerPonstion.Enabled = false; timerPonstion.Enabled = true; } } //记录行情,同时对用户合约与交易所合约进行映射 CThostFtdcDepthMarketDataField DepthMarket; if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket)) { _dictDepthMarketData.Add(altSymbol, DepthMarket); } if (bTrade) { record.TradeRequested = true; } if (bQuote) { record.QuoteRequested = true; } if (bMarketDepth) { record.MarketDepthRequested = true; } if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { break; } if (bTrade) { record.TradeRequested = false; } if (bQuote) { record.QuoteRequested = false; } if (bMarketDepth) { record.MarketDepthRequested = false; } if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictDepthMarketData.Remove(altSymbol); _dictAltSymbol2Instrument.Remove(altSymbol); mdlog.Info("取消订阅 {0} {1}", altSymbol, altExchange); MdApi.MD_Unsubscribe(m_pMdApi, altSymbol); } } } }
public override void Send(FIXMarketDataRequest Request) { //Console.WriteLine("REQUEST"); QuickFix42.MarketDataRequest request = new QuickFix42.MarketDataRequest( new QuickFix.MDReqID(Request.MDReqID), new QuickFix.SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT), //GS FIX new QuickFix.MarketDepth(5)); //GS FIX //request.set(new QuickFix.MDUpdateType(Request.MDUpdateType)); //request.set(new QuickFix.AggregatedBook(Request.AggregatedBook)); QuickFix42.MarketDataRequest.NoMDEntryTypes typeGroup; typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); typeGroup.set(new MDEntryType(FIXMDEntryType.Bid)); request.addGroup(typeGroup); typeGroup.Dispose(); typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); typeGroup.set(new MDEntryType(FIXMDEntryType.Offer)); request.addGroup(typeGroup); typeGroup.Dispose(); typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); typeGroup.set(new MDEntryType(FIXMDEntryType.Trade)); request.addGroup(typeGroup); typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.Open)); //request.addGroup(typeGroup); //typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.Close)); //request.addGroup(typeGroup); //typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.High)); //request.addGroup(typeGroup); //typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.Low)); //request.addGroup(typeGroup); //typeGroup.Dispose(); QuickFix42.MarketDataRequest.NoRelatedSym symGroup = new QuickFix42.MarketDataRequest.NoRelatedSym(); FIXRelatedSymGroup Group = Request.GetRelatedSymGroup(0); symGroup.set(new QuickFix.Symbol(Group.Symbol.Substring(0, 6))); if (Group.Symbol.StartsWith("60") || Group.Symbol.StartsWith("51")) { //order.set(new QuickFix.SecurityExchange("XSHG"));// 上海 symGroup.set(new QuickFix.SecurityExchange("SS"));// 上海 } else if (Group.Symbol.StartsWith("00") || Group.Symbol.StartsWith("30") || Group.Symbol.StartsWith("15")) { //order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳 symGroup.set(new QuickFix.SecurityExchange("SZ"));// 深圳 } //if (Group.ContainsField(EFIXField.SecurityType)) symGroup.set(new QuickFix.SecurityType(Group.SecurityType)); //if (Group.ContainsField(EFIXField.MaturityMonthYear)) symGroup.set(new QuickFix.MaturityMonthYear(Group.MaturityMonthYear)); //if (Group.ContainsField(EFIXField.MaturityDay )) symGroup.set(new QuickFix.MaturityDay (Group.MaturityDay )); //if (Group.ContainsField(EFIXField.PutOrCall )) symGroup.set(new QuickFix.PutOrCall (Group.PutOrCall )); //if (Group.ContainsField(EFIXField.StrikePrice)) symGroup.set(new QuickFix.StrikePrice(Group.StrikePrice)); //if (Group.ContainsField(EFIXField.OptAttribute)) symGroup.set(new QuickFix.OptAttribute(Group.OptAttribute)); //if (Group.ContainsField(EFIXField.SecurityID)) symGroup.set(new QuickFix.SecurityID(Group.SecurityID)); //if (Group.ContainsField(EFIXField.SecurityExchange)) symGroup.set(new QuickFix.SecurityExchange(Group.SecurityExchange)); request.addGroup(symGroup); symGroup.Dispose(); if (base.priceSessionID == null) { Session.sendToTarget(request, orderSessionID); } else { Session.sendToTarget(request, priceSessionID); } }
private static void DoFixRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix) { FIXMarketDataRequest request = new FIXMarketDataRequest(); request.MDReqID = DataManager.GetRequestId(); request.SubscriptionRequestType = subCh; switch (type) { case MarketDataType.Trade: request.AddGroup(new FIXMDEntryTypesGroup('2')); break; case MarketDataType.Quote: request.AddGroup(new FIXMDEntryTypesGroup('0')); request.AddGroup(new FIXMDEntryTypesGroup('1')); request.MarketDepth = 1; // Top of Book break; case MarketDataType.MarketDepth: request.AddGroup(new FIXMDEntryTypesGroup('0')); request.AddGroup(new FIXMDEntryTypesGroup('1')); request.MarketDepth = 0; // Full Book break; } if (!instrument.ContainsField(15)) { instrument.Currency = Framework.Configuration.DefaultCurrency; } FIXRelatedSymGroup symGrp = new FIXRelatedSymGroup(); request.AddGroup(symGrp); symGrp.Symbol = instrument.Symbol; symGrp.SecurityType = instrument.SecurityType; symGrp.SecurityExchange = instrument.SecurityExchange; symGrp.Currency = instrument.Currency; symGrp.SecurityID = instrument.SecurityID; symGrp.SecurityIDSource = instrument.SecurityIDSource; symGrp.MaturityDate = instrument.MaturityDate; symGrp.MaturityMonthYear = instrument.MaturityMonthYear; symGrp.StrikePrice = instrument.StrikePrice; symGrp.PutOrCall = ((FIXInstrument)instrument).PutOrCall; foreach (FIXSecurityAltIDGroup group2 in instrument.SecurityAltIDGroup) { symGrp.AddGroup(group2); } symGrp.SetStringValue(10001, suffix); if (provider == ProviderManager.MarketDataSimulator) { provider.SendMarketDataRequest(request); } else { switch (subCh) { case MARKET_DATA_SUBSCRIBE: bool flag1 = false; lock (DataManager.providers) { Hashtable local_4 = DataManager.providers[provider] as Hashtable; if (local_4 == null) { local_4 = new Hashtable(); DataManager.providers.Add(provider, local_4); } Hashtable local_5 = local_4[instrument] as Hashtable; if (local_5 == null) { local_5 = new Hashtable(); local_4.Add(instrument, local_5); } RequestItem local_6 = local_5[type] as RequestItem; if (local_6 == null) { local_6 = new RequestItem(request); local_5.Add(type, local_6); flag1 = true; } RequestItem temp_91 = local_6; int temp_94 = temp_91.GetRequestId() + 1; temp_91.SetRequestId(temp_94); } if (!flag1) { break; } provider.SendMarketDataRequest(request); break; case MARKET_DATA_UNSUBSCRIBE: bool canSend = false; string msg = null; lock (DataManager.providers) { Hashtable local_10 = DataManager.providers[provider] as Hashtable; if (local_10 != null) { Hashtable local_11 = local_10[instrument] as Hashtable; if (local_11 != null) { RequestItem local_12 = local_11[type] as RequestItem; if (local_12 != null) { RequestItem temp_152 = local_12; int temp_155 = temp_152.GetRequestId() - 1; temp_152.SetRequestId(temp_155); if (local_12.GetRequestId() == 0) { local_11.Remove(type); if (local_11.Count == 0) { local_10.Remove(instrument); if (local_10.Count == 0) { DataManager.providers.Remove(provider); } } canSend = true; } } else { msg = "No this RequestItem"; } } else { msg = "No Request for this instrument"; } } else { msg = "No Request for this provider"; } } if (msg != null) { DataManager.LogRequestMessage(provider, instrument, type, msg); } if (!canSend) { break; } provider.SendMarketDataRequest(request); break; } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { //if (!_bMdConnected) //{ // EmitError(-1, -1, "行情服务器没有连接"); // mdlog.Error("行情服务器没有连接"); // return; //} bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case FIXMDEntryType.Bid: case FIXMDEntryType.Offer: if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case FIXMDEntryType.Trade: bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string MarketStockCode = altExchange.ToLower() + altSymbol; DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record)) { record = new DataRecord(); record.Instrument = inst; record.Symbol = altSymbol; record.Exchange = altExchange; _dictAltSymbol2Instrument[MarketStockCode] = record; mdlog.Info("订阅合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange); } if (bTrade) { record.TradeRequested = true; } if (bQuote) { record.QuoteRequested = true; } if (bMarketDepth) { record.MarketDepthRequested = true; } if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string MarketStockCode = altExchange.ToLower() + altSymbol; DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record)) { break; } if (bTrade) { record.TradeRequested = false; } if (bQuote) { record.QuoteRequested = false; } if (bMarketDepth) { record.MarketDepthRequested = false; } if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictAltSymbol2Instrument.Remove(MarketStockCode); mdlog.Info("取消合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange); } } } }