public virtual void Subscribe(string inst, string period)
{
lock (locker)
{
MdApi.MD_Subscribe(inst, period);
}
}
public virtual void Subscribe(string inst, string szExchange)
{
lock (locker)
{
MdApi.MD_Subscribe(IntPtrKey, inst, szExchange);
inst.Split(new char[2] {
';', ','
}).ToList().ForEach(x =>
{
if (!string.IsNullOrWhiteSpace(x))
{
_SubscribedInstruments.Add(x);
}
});
}
}
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());
}
}
}
private void OnConnect(IntPtr pApi, ref CThostFtdcRspUserLoginField pRspUserLogin, ConnectionStatus result)
{
//用于行情记算时简化时间解码
// 在夜盘，这个TradingDay就不靠谱了，所以不用了
//try
//{
// int _yyyyMMdd = int.Parse(pRspUserLogin.TradingDay);
// _yyyy = _yyyyMMdd / 10000;
// _MM = (_yyyyMMdd % 10000) / 100;
// _dd = _yyyyMMdd % 100;
//}
//catch (Exception)
{
_yyyy = DateTime.Now.Year;
_MM = DateTime.Now.Month;
_dd = DateTime.Now.Day;
}
if (m_pMdApi == pApi)//行情
{
_bMdConnected = false;
if (ConnectionStatus.Logined == result)
{
_bMdConnected = true;
mdlog.Info("TradingDay:{0},LoginTime:{1},SHFETime:{2},DCETime:{3},CZCETime:{4},FFEXTime:{5},FrontID:{6},SessionID:{7}",
pRspUserLogin.TradingDay, pRspUserLogin.LoginTime, pRspUserLogin.SHFETime,
pRspUserLogin.DCETime, pRspUserLogin.CZCETime, pRspUserLogin.FFEXTime,
pRspUserLogin.FrontID, pRspUserLogin.SessionID);
// 如果断线重连是使用的重新新建对象的方式，则要重新订阅
if (_dictAltSymbol2Instrument.Count > 0)
{
mdlog.Info("行情列表数{0},全部重新订阅", _dictAltSymbol2Instrument.Count);
foreach (DataRecord record in _dictAltSymbol2Instrument.Values)
{
MdApi.MD_Subscribe(m_pMdApi, record.Symbol, record.Exchange);
}
}
}
//这也有个时间，但取出的时间无效
mdlog.Info("{0},{1}", result, pRspUserLogin.LoginTime);
}
else if (m_pTdApi == pApi)//交易
{
_bTdConnected = false;
if (ConnectionStatus.Logined == result)
{
_RspUserLogin = pRspUserLogin;
tdlog.Info("TradingDay:{0},LoginTime:{1},SHFETime:{2},DCETime:{3},CZCETime:{4},FFEXTime:{5},FrontID:{6},SessionID:{7}",
pRspUserLogin.TradingDay, pRspUserLogin.LoginTime, pRspUserLogin.SHFETime,
pRspUserLogin.DCETime, pRspUserLogin.CZCETime, pRspUserLogin.FFEXTime,
pRspUserLogin.FrontID, pRspUserLogin.SessionID);
UpdateLocalTime(SetLocalTimeMode, pRspUserLogin);
#if CTP
}
else if (ConnectionStatus.Confirmed == result)
{
#endif
_bTdConnected = true;
//请求查询资金
TraderApi.TD_ReqQryTradingAccount(m_pTdApi);
//请求查询全部持仓
_dictPositions.Clear();
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null);
//请求查询合约
_dictInstruments.Clear();
TraderApi.TD_ReqQryInstrument(m_pTdApi, null);
_dictCommissionRate.Clear();
_dictMarginRate.Clear();
timerAccount.Enabled = true;
timerPonstion.Enabled = true;
}
tdlog.Info("{0},{1}", result, pRspUserLogin.LoginTime);
}
if (
(_bMdConnected && _bTdConnected) ||//都连上
(!_bWantMdConnect && _bTdConnected) ||//只用分析交易连上
(!_bWantTdConnect && _bMdConnected) //只用分析行情连上
)
{
timerConnect.Enabled = true;
timerDisconnect.Enabled = false;//都连接上了，用不着定时断
ChangeStatus(ProviderStatus.LoggedIn);
isConnected = true;
EmitConnectedEvent();
}
}
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);
}
}
}
}
//#region 更新时间
//private void UpdateLocalTime(SetTimeMode _SetLocalTimeMode, CThostFtdcRspUserLoginField pRspUserLogin)
//{
// string strNewTime;
// switch (_SetLocalTimeMode)
// {
// case SetTimeMode.None:
// return;
// case SetTimeMode.LoginTime:
// strNewTime = pRspUserLogin.LoginTime;
// break;
// case SetTimeMode.SHFETime:
// strNewTime = pRspUserLogin.SHFETime;
// break;
// case SetTimeMode.DCETime:
// strNewTime = pRspUserLogin.DCETime;
// break;
// case SetTimeMode.CZCETime:
// strNewTime = pRspUserLogin.CZCETime;
// break;
// case SetTimeMode.FFEXTime:
// strNewTime = pRspUserLogin.FFEXTime;
// break;
// default:
// return;
// }
// try
// {
// int HH = int.Parse(strNewTime.Substring(0, 2));
// int mm = int.Parse(strNewTime.Substring(3, 2));
// int ss = int.Parse(strNewTime.Substring(6, 2));
// DateTime _dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss);
// DateTime _newDateTime = _dateTime.AddMilliseconds(AddMilliseconds);
// tdlog.Info("SetLocalTime:Return:{0},{1}",
// WinAPI.SetLocalTime(_newDateTime),
// _newDateTime.ToString("yyyy-MM-dd HH:mm:ss.fff"));
// }
// catch (Exception ex)
// {
// tdlog.Warn("{0}不能解析成时间", strNewTime);
// }
//}
//#endregion
#region 连接状态回调
private void OnConnect(IntPtr pApi, ref DFITCUserLoginInfoRtnField pRspUserLogin, ConnectionStatus result)
{
//用于行情记算时简化时间解码
//try
//{
// int _yyyyMMdd = int.Parse(pRspUserLogin.TradingDay);
// _yyyy = _yyyyMMdd / 10000;
// _MM = (_yyyyMMdd % 10000) / 100;
// _dd = _yyyyMMdd % 100;
//}
//catch (Exception ex)
//{
// _yyyy = DateTime.Now.Year;
// _MM = DateTime.Now.Month;
// _dd = DateTime.Now.Day;
//}
if (m_pMdApi == pApi)//行情
{
_bMdConnected = false;
if (ConnectionStatus.E_logined == result)
{
_bMdConnected = true;
mdlog.Info("accountID:{0},loginResult:{1},SHFETime:{2},DCETime:{3},CZCETime:{4},FFEXTime:{5},lRequestID:{6},sessionID:{7}",
pRspUserLogin.accountID, pRspUserLogin.loginResult, pRspUserLogin.SHFETime,
pRspUserLogin.DCEtime, pRspUserLogin.CZCETime, pRspUserLogin.CFFEXTime,
pRspUserLogin.lRequestID, pRspUserLogin.sessionID);
// 如果断线重连是使用的重新新建对象的方式，则要重新订阅
if (_dictAltSymbol2Instrument.Count > 0)
{
mdlog.Info("行情列表数{0},全部重新订阅", _dictAltSymbol2Instrument.Count);
foreach (string symbol in _dictAltSymbol2Instrument.Keys)
{
MdApi.MD_Subscribe(m_pMdApi, symbol);
}
}
}
//这也有个时间，但取出的时间无效
mdlog.Info("{0}", result);
}
else if (m_pTdApi == pApi)//交易
{
_bTdConnected = false;
if (ConnectionStatus.E_logined == result)
{
_RspUserLogin = pRspUserLogin;
tdlog.Info("accountID:{0},loginResult:{1},SHFETime:{2},DCETime:{3},CZCETime:{4},FFEXTime:{5},lRequestID:{6},sessionID:{7}",
pRspUserLogin.accountID, pRspUserLogin.loginResult, pRspUserLogin.SHFETime,
pRspUserLogin.DCEtime, pRspUserLogin.CZCETime, pRspUserLogin.CFFEXTime,
pRspUserLogin.lRequestID, pRspUserLogin.sessionID);
//UpdateLocalTime(SetLocalTimeMode, pRspUserLogin);
//}
//else if (ConnectionStatus.E_confirmed == result)
//{
_bTdConnected = true;
////请求查询资金
//TraderApi.TD_ReqQryTradingAccount(m_pTdApi);
////请求查询全部持仓
//TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null);
////请求查询合约
_dictInstruments.Clear();
//_dictCommissionRate.Clear();
//_dictMarginRate.Clear();
TraderApi.TD_ReqQryExchangeInstrument(m_pTdApi, DFITCExchangeIDType.CFFEX, DFITCInstrumentTypeType.COMM_TYPE);
TraderApi.TD_ReqQryExchangeInstrument(m_pTdApi, DFITCExchangeIDType.CZCE, DFITCInstrumentTypeType.COMM_TYPE);
TraderApi.TD_ReqQryExchangeInstrument(m_pTdApi, DFITCExchangeIDType.DCE, DFITCInstrumentTypeType.COMM_TYPE);
TraderApi.TD_ReqQryExchangeInstrument(m_pTdApi, DFITCExchangeIDType.SHFE, DFITCInstrumentTypeType.COMM_TYPE);
TraderApi.TD_ReqQryArbitrageInstrument(m_pTdApi, DFITCExchangeIDType.DCE);
TraderApi.TD_ReqQryArbitrageInstrument(m_pTdApi, DFITCExchangeIDType.CZCE);
TraderApi.TD_ReqQryExchangeInstrument(m_pTdApi, DFITCExchangeIDType.DCE, DFITCInstrumentTypeType.OPT_TYPE);
TraderApi.TD_ReqQryExchangeInstrument(m_pTdApi, DFITCExchangeIDType.CFFEX, DFITCInstrumentTypeType.OPT_TYPE);
TraderApi.TD_ReqQryExchangeInstrument(m_pTdApi, DFITCExchangeIDType.CZCE, DFITCInstrumentTypeType.OPT_TYPE);
//timerAccount.Enabled = true;
//timerPonstion.Enabled = true;
}
tdlog.Info("{0}", result);
}
if (
(_bMdConnected && _bTdConnected) ||//都连上
(!_bWantMdConnect && _bTdConnected) ||//只用分析交易连上
(!_bWantTdConnect && _bMdConnected) //只用分析行情连上
)
{
timerConnect.Enabled = true;
timerDisconnect.Enabled = false;//都连接上了，用不着定时断
ChangeStatus(ProviderStatus.LoggedIn);
isConnected = true;
EmitConnectedEvent();
}
}
