public Instrument GetInstument(InstrumentField field)
{
var inst = new Instrument((InstrumentType)field.Type, field.Symbol);
inst.AltId.Add(new AltId(_provider.Id, field.InstrumentID, field.ExchangeID));
inst.PutCall = (PutCall)field.OptionsType;
inst.Strike = field.StrikePrice;
inst.Exchange = field.ExchangeID;
inst.CurrencyId = CurrencyId.CNY;
inst.TickSize = field.PriceTick;
inst.Factor = field.VolumeMultiple;
inst.PriceFormat = "F" + QBHelper.GetPrecision(field.PriceTick);
inst.Maturity = field.ExpireDate();
if (!string.IsNullOrEmpty(field.UnderlyingInstrID) &&
field.UnderlyingInstrID != field.ProductID &&
!field.InstrumentID.EndsWith("efp"))
{
var underlying = _provider.InstrumentManager.Get(field.UnderlyingInstrID);
if (underlying == null)
{
//_provider.Logger.Warn($"没有找到合约标的物{field.UnderlyingInstrID},请先导入合约标的物");
}
else
{
OpenQuant.Helper.AddLeg(inst, new Leg(underlying));
}
}
return(inst);
}
internal void OnMessage(InstrumentField field, bool completed)
{
if (QryInstrumentCompleted)
{
return;
}
if (field != null)
{
var inst = _convertor.GetInstument(field);
switch (inst.Type)
{
case InstrumentType.Stock:
case InstrumentType.Future:
case InstrumentType.Option:
case InstrumentType.FutureOption:
case InstrumentType.MultiLeg:
_instruments.Add(inst);
break;
}
}
if (completed)
{
_instruments.Sort((x, y) => string.Compare(x.Symbol, y.Symbol, StringComparison.Ordinal));
QryInstrumentCompleted = true;
Logger.Info($"合约查询完毕，收到{_instruments.Count}个合约");
StartTimerTask();
}
}
private void OnRspQryInstrument_callback(object sender, ref InstrumentField instrument, int size1, bool bIsLast)
{
if (null != OnRspQryInstrument)
{
OnRspQryInstrument(this, new OnRspQryInstrumentEventArgs(ref instrument, size1, bIsLast));
}
}
/// <summary>
/// CTP合约数据转换。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeInstrumentDetail InsturmentFiledToUSeInstrumentDetail(InstrumentField field)
{
USeMarket market = CtpProtocol.CtpExchangeToUSeMarket(field.ExchangeID);
USeInstrumentDetail entity = new USeInstrumentDetail();
entity.Instrument = new USeInstrument(field.InstrumentID,
field.InstrumentName,
market);
entity.OpenDate = DateTime.ParseExact(field.OpenDate, "yyyyMMdd", null);
entity.ExpireDate = DateTime.ParseExact(field.ExpireDate, "yyyyMMdd", null);
if (string.IsNullOrEmpty(field.StartDelivDate) == false)
{
entity.StartDelivDate = DateTime.ParseExact(field.StartDelivDate, "yyyyMMdd", null);
}
else
{
entity.StartDelivDate = entity.ExpireDate.AddDays(1);
}
entity.EndDelivDate = DateTime.ParseExact(field.EndDelivDate, "yyyyMMdd", null);
entity.VolumeMultiple = Convert.ToInt32(field.VolumeMultiple);
entity.IsTrading = field.IsTrading == IntBoolType.Yes;
entity.Varieties = field.ProductID;
entity.PriceTick = Convert.ToDecimal(field.PriceTick);
entity.ProductClass = CtpProtocol.CtpProductClassToUSeProductClass(field.ProductClass);
entity.MaxMarketOrderVolume = Convert.ToInt32(field.MaxMarketOrderVolume);
entity.MinMarketOrderVolume = Convert.ToInt32(field.MinMarketOrderVolume);
entity.MaxLimitOrderVolume = Convert.ToInt32(field.MaxLimitOrderVolume);
entity.MinLimitOrderVolume = Convert.ToInt32(field.MinLimitOrderVolume);
entity.ExchangeLongMarginRatio = Convert.ToDecimal(field.LongMarginRatio);
entity.ExchangeShortMarginRatio = Convert.ToDecimal(field.ShortMarginRatio);
return(entity);
}
public InstrumentField getInstrumentField(string instrumentId)
{
InstrumentField instrumentField = new InstrumentField();
instrumentField.InstrumentID = instrumentId;
instrumentField.PriceTick = 1;
instrumentField.ProductClass = ProductClassType.Futures;
return(instrumentField);
}
private void OnRspQryInstrument_callback(object sender, [In] ref InstrumentField instrument, int size1, bool bIsLast)
{
if (null == OnRspQryInstrument)
{
return;
}
InstrumentField field = instrument;
InstrumentClass cls = new InstrumentClass();
cls.InstrumentName = field.InstrumentName();
cls.Symbol = field.Symbol;
cls.InstrumentID = field.InstrumentID;
cls.ExchangeID = field.ExchangeID;
cls.ClientID = field.ClientID;
cls.AccountID = field.AccountID;
cls.ExchangeInstID = field.ExchangeInstID;
cls.Type = (int)field.Type;
cls.Type_String = Enum <XAPI.InstrumentType> .ToString(field.Type);
cls.VolumeMultiple = field.VolumeMultiple;
cls.PriceTick = field.PriceTick;
cls.ExpireDate = field.ExpireDate;
cls.StrikePrice = field.StrikePrice;
cls.OptionsType = (int)field.OptionsType;
cls.OptionsType_String = Enum <XAPI.PutCall> .ToString(field.OptionsType);
cls.ProductID = field.ProductID;
cls.UnderlyingInstrID = field.UnderlyingInstrID;
cls.InstLifePhase = (int)field.InstLifePhase;
cls.InstLifePhase_String = Enum <XAPI.InstLifePhaseType> .ToString(field.InstLifePhase);
if (null == OnRspQryInstrument)
{
QueueData qd = new QueueData();
qd.Type = (int)ResponseType.OnRspQryInstrument;
qd.Type_String = Enum <XAPI.ResponseType> .ToString(ResponseType.OnRspQryInstrument);
qd.Sender = this;
qd.Data1 = cls;
qd.Data2 = size1;
qd.Data3 = bIsLast;
MessageQueue.Enqueue(qd);
}
else
{
OnRspQryInstrument(this, cls, size1, bIsLast);
}
}
private void _onRspQryInstrument(object sender, ref InstrumentField instrument, int size1, bool bIsLast)
{
//只订阅期货，并且不订阅套利等其他合约
Regex re = new Regex(@"^[a-zA-Z]+\d+$", RegexOptions.None);
if (instrument.Type == InstrumentType.Future &&
re.IsMatch(instrument.InstrumentID))
{
mMdApi.Subscribe(instrument.InstrumentID, instrument.ExchangeID);
}
}
private void _OnRspQryInstrument(IntPtr ptr1, int size1, double double1)
{
if (OnRspQryInstrument_ == null)
{
return;
}
InstrumentField obj = PInvokeUtility.GetObjectFromIntPtr <InstrumentField>(ptr1);
OnRspQryInstrument_(this, ref obj, size1, double1 != 0);
}
internal static IDataField CreateDataField(IField field, ModuleSchema schema)
{
return(field switch
{
StringField f => new StringDataField(f),
BooleanField f => new BooleanDataField(f),
NumericField f => new NumericDataField(f),
EnumField f => new EnumDataField(f),
InstrumentField f => new InstrumentDataField(f, schema),
OverlayField f => new OverlayDataField(f, schema),
TempoField f => new TempoDataField(f),
_ => throw new ArgumentException($"Can't handle {field} yet")
});
private void _onRspQryInstrument(object sender, ref InstrumentField field, int size1, bool bIsLast)
{
//只订阅期货，并且不订阅套利等其他合约
if (field.Type == InstrumentType.Future && RegexUtils.MatchInstrument(field.InstrumentID))
{
Instrument inst = new Instrument(field.InstrumentID
, field.ProductID
, ConvertUtil.ConvertExchange(field.ExchangeID)
, field.VolumeMultiple
, field.PriceTick
, 1000);
mOnInstrument?.Invoke(inst);
}
}
private void OnRspQryInstrument_callback(object sender, ref InstrumentField instrument, int size1, bool bIsLast)
{
if (size1 <= 0)
{
(sender as XApi).GetLog().Info("OnRspQryInstrument");
return;
}
_dictInstruments[instrument.Symbol] = instrument;
if (bIsLast)
{
(sender as XApi).GetLog().Info("合约列表已经接收完成,共 {0} 条", _dictInstruments.Count);
}
}
private void OnRspQryInstrument(object sender, ref InstrumentField instrument, int size1, bool bIsLast)
{
if (size1 > 0)
{
InstrumentInfoList.Add(new InstrumentInfo()
{
Symbol = instrument.Symbol,
Instrument = instrument.InstrumentID,
Exchange = instrument.ExchangeID,
TickSize = instrument.PriceTick,
Factor = instrument.VolumeMultiple
});
}
this.bIsLast = bIsLast;
}
private IEnumerable <KeyValueViewModel> GenerateFields()
{
foreach (var field in Model.Container.Fields)
{
// TODO: A FieldViewModel?
string value = field switch
{
InstrumentField _ => "Instrument",
OverlayField f => $"Overlay; {f.FieldLists.Count} lists; {f.NestedFieldCount} nested fields",
BooleanField _ => "Boolean",
EnumField f => $"Enum ({f.Values.Count} values)",
NumericField f => $"Numeric: {f.Min}-{f.Max}",
StringField f => $"String ({f.Length})",
_ => throw new InvalidOperationException($"Unexpected field type: {field?.GetType()}")
};
yield return(new KeyValueViewModel(field.Description, value));
}
}
/// <summary>
/// CTP InstrumentField To USeInstrumentDetail。
/// </summary>
/// <param name="filed"></param>
/// <returns></returns>
private USeInstrumentDetail CtpInstrumentFieldToUSeInstrumentDetail(InstrumentField filed)
{
USeMarket market = CtpProtocol.FtdcExchangeToUSeMarket(filed.ExchangeID);
Debug.Assert(market != USeMarket.Unknown, "CtpInstrumentFieldToUSeInstrumentDetail(),market is unknown.");
USeInstrumentDetail detail = new USeInstrumentDetail();
detail.Instrument = new USeInstrument(filed.InstrumentID,
filed.InstrumentName,
market);
try
{
detail.OpenDate = DateTime.ParseExact(filed.OpenDate, "yyyyMMdd", null);
detail.ExpireDate = DateTime.ParseExact(filed.ExpireDate, "yyyyMMdd", null);
if (string.IsNullOrEmpty(filed.StartDelivDate) == false)
{
detail.StartDelivDate = DateTime.ParseExact(filed.StartDelivDate, "yyyyMMdd", null);
}
else
{
//[yangming] 有的合约查询不到开始交割日，暂时用到期日下一天
detail.StartDelivDate = detail.ExpireDate.AddDays(1);
}
detail.EndDelivDate = DateTime.ParseExact(filed.EndDelivDate, "yyyyMMdd", null);
detail.VolumeMultiple = filed.VolumeMultiple;
detail.IsTrading = filed.IsTrading == IntBoolType.Yes;
detail.Varieties = filed.ProductID;
detail.PriceTick = filed.PriceTick.ToDecimal();
detail.ExchangeLongMarginRatio = filed.LongMarginRatio.ToDecimal();
detail.ExchangeShortMarginRatio = filed.ShortMarginRatio.ToDecimal();
detail.MaxMarketOrderVolume = filed.MaxMarketOrderVolume;
detail.MinMarketOrderVolume = filed.MinMarketOrderVolume;
detail.MaxLimitOrderVolume = filed.MaxLimitOrderVolume;
detail.MinLimitOrderVolume = filed.MinLimitOrderVolume;
}
catch (Exception ex)
{
Debug.Assert(false, "CtpInstrumentFieldToUSeInstrumentDetail() convet failed," + ex.Message);
}
return(detail);
}
private IEnumerable <KeyValueViewModel> GenerateFields()
{
foreach (var field in Model.Container.Fields)
{
// TODO: A FieldViewModel?
string value = field switch
{
InstrumentField _ => "Instrument",
OverlayField f => $"Overlay; {f.FieldLists.Count} lists; {f.NestedFieldCount} nested fields",
BooleanField _ => "Boolean",
EnumField f => $"Enum ({f.Values.Count} values)",
NumericField f => $"Numeric: {f.Min}-{f.Max}",
StringField f => $"String ({f.Length})",
TempoField f => "Tempo",
_ => throw new InvalidOperationException($"Unexpected field type: {field?.GetType()}")
};
string?valueToolTip = field switch
{
EnumField f => string.Join("\r\n", f.Values.Select(value => $"{f.RawNumberByName[value]}: {value}")),
_ => null
};
yield return(new KeyValueViewModel($"{field.Offset}: {field.Description}", value, keyToolTip: null, valueToolTip));
}
}
void OnRspQryInstrument(object sender, ref InstrumentField instrument, int size1, bool bIsLast)
{
Console.WriteLine(instrument.InstrumentName);
}
protected virtual void OnInstrumentReceived(object sender, InstrumentField instrument, bool isLast)
{
Provider.OnMessage(instrument, isLast);
}
private void OnRspQryInstrument_callback(object sender, ref InstrumentField instrument, int size1, bool bIsLast)
{
if (null != OnRspQryInstrument)
{
OnRspQryInstrument(this, new OnRspQryInstrumentEventArgs(ref instrument, size1, bIsLast));
}
}
public OnRspQryInstrumentEventArgs(ref InstrumentField instrument, int size1, bool bIsLast)
{
this.instrument = instrument;
this.size1 = size1;
this.bIsLast = bIsLast;
}
public OnRspQryInstrumentEventArgs(ref InstrumentField instrument, int size1, bool bIsLast)
{
this.instrument = instrument;
this.size1 = size1;
this.bIsLast = bIsLast;
}
private void OnRspQryInstrument_callback(object sender, ref InstrumentField instrument, int size1, bool bIsLast)
{
if (null == OnRspQryInstrument)
return;
InstrumentField field = instrument;
InstrumentClass cls = new InstrumentClass();
cls.InstrumentName = field.InstrumentName();
cls.Symbol = field.Symbol;
cls.InstrumentID = field.InstrumentID;
cls.ExchangeID = field.ExchangeID;
cls.ClientID = field.ClientID;
cls.AccountID = field.AccountID;
cls.ExchangeInstID = field.ExchangeInstID;
cls.Type = (int)field.Type;
cls.Type_String = Enum<XAPI.InstrumentType>.ToString(field.Type);
cls.VolumeMultiple = field.VolumeMultiple;
cls.PriceTick = field.PriceTick;
cls.ExpireDate = field.ExpireDate;
cls.StrikePrice = field.StrikePrice;
cls.OptionsType = (int)field.OptionsType;
cls.OptionsType_String = Enum<XAPI.PutCall>.ToString(field.OptionsType);
cls.ProductID = field.ProductID;
cls.UnderlyingInstrID = field.UnderlyingInstrID;
cls.InstLifePhase = (int)field.InstLifePhase;
cls.InstLifePhase_String = Enum<XAPI.InstLifePhaseType>.ToString(field.InstLifePhase);
if (null == OnRspQryInstrument)
{
QueueData qd = new QueueData();
qd.Type = (int)ResponeType.OnRspQryInstrument;
qd.Type_String = Enum<XAPI.ResponeType>.ToString(ResponeType.OnRspQryInstrument);
qd.Sender = this;
qd.Data1 = cls;
qd.Data2 = size1;
qd.Data3 = bIsLast;
MessageQueue.Enqueue(qd);
}
else
{
OnRspQryInstrument(this, ref cls, size1, bIsLast);
}
}
