public OnRspErrorArgs(IntPtr pApi, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pApi = pApi;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
private void OnRspError_callback(IntPtr pApi, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspError)
{
OnRspError(this, new OnRspErrorArgs(pApi, ref pRspInfo, nRequestID, bIsLast));
}
}
private void OnDisconnect_callback(IntPtr pApi, ref CZQThostFtdcRspInfoField pRspInfo, ConnectionStatus step)
{
if (null != OnDisconnect)
{
OnDisconnect(this, new OnDisconnectArgs(pApi, ref pRspInfo, step));
}
}
public OnRspQryDepthMarketDataArgs(IntPtr pTraderApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pDepthMarketData = pDepthMarketData;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public OnRspQryInstrumentMarginRateArgs(IntPtr pTraderApi, ref CZQThostFtdcInstrumentMarginRateField pInstrumentMarginRate, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pInstrumentMarginRate = pInstrumentMarginRate;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public OnRspQryInvestorPositionDetailArgs(IntPtr pTraderApi, ref CZQThostFtdcInvestorPositionDetailField pInvestorPositionDetail, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pInvestorPositionDetail = pInvestorPositionDetail;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public OnRspQryOrderArgs(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pOrder = pOrder;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public OnRspQryTradingAccountArgs(IntPtr pTraderApi, ref CZQThostFtdcTradingAccountField pTradingAccount, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pTradingAccount = pTradingAccount;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
public OnRspOrderActionArgs(IntPtr pTraderApi, ref CZQThostFtdcInputOrderActionField pInputOrderAction, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pInputOrderAction = pInputOrderAction;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
/*
* /// <summary>
* /// 初始化接受数据类型
* /// </summary>
* protected override void InitResponseDataTypeMapping()
* {
* ///客户端认证响应
* responseDataTypeMapping.Add(CTPStockResponseType.AuthenticateResponse, typeof(CZQThostFtdcRspAuthenticateField));
* ///登录请求响应
* responseDataTypeMapping.Add(CTPStockResponseType.UserLoginResponse, typeof(CZQThostFtdcRspUserLoginField));
* ///登出请求响应
* responseDataTypeMapping.Add(CTPStockResponseType.UserLogoutResponse, typeof(CZQThostFtdcUserLogoutField));
* ///用户口令更新请求响应
* responseDataTypeMapping.Add(CTPStockResponseType.UserPasswordUpdateResponse, typeof(CZQThostFtdcUserPasswordUpdateField));
* ///报单录入请求响应
* responseDataTypeMapping.Add(CTPStockResponseType.OrderInsertResponse, typeof(CZQThostFtdcInputOrderField));
* ///报单操作请求响应
* responseDataTypeMapping.Add(CTPStockResponseType.OrderActionResponse, typeof(CZQThostFtdcInputOrderActionField));
* ///查询最大报单数量响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryMaxOrderVolumeResponse, typeof(CZQThostFtdcQueryMaxOrderVolumeField));
* ///请求查询报单响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryOrderResponse, typeof(CZQThostFtdcOrderField));
* ///请求查询成交响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryTradeResponse, typeof(CZQThostFtdcTradeField));
* ///请求查询资金账户响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryTradingAccountResponse, typeof(CZQThostFtdcTradingAccountField));
* ///请求查询投资者响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryInvestorResponse, typeof(CZQThostFtdcInvestorField));
* ///请求查询交易编码响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryTradingCodeResponse, typeof(CZQThostFtdcTradingCodeField));
* ///请求查询合约手续费率响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryInstrumentCommissionRateResponse, typeof(CZQThostFtdcInstrumentCommissionRateField));
* ///请求查询交易所响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryExchangeResponse, typeof(CZQThostFtdcExchangeField));
* ///请求查询合约响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryInstrumentResponse, typeof(CZQThostFtdcInstrumentField));
* ///请求查询行情响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryDepthMarketDataResponse, typeof(CZQThostFtdcDepthMarketDataField));
* ///请求查询投资者持仓明细响应
* responseDataTypeMapping.Add(CTPStockResponseType.QueryInvestorPositionDetailResponse, typeof(CZQThostFtdcInvestorPositionDetailField));
* ///错误应答
* responseDataTypeMapping.Add(CTPStockResponseType.ErrorResponse, typeof(CZQThostFtdcRspInfoField));
* ///报单通知
* responseDataTypeMapping.Add(CTPStockResponseType.ReturnOrderResponse, typeof(CZQThostFtdcOrderField));
* ///成交通知
* responseDataTypeMapping.Add(CTPStockResponseType.ReturnTradeResponse, typeof(CZQThostFtdcTradeField));
* ///报单录入错误回报
* responseDataTypeMapping.Add(CTPStockResponseType.ErrorReturnOrderInsertResponse, typeof(CZQThostFtdcInputOrderField));
* ///报单操作错误回报
* responseDataTypeMapping.Add(CTPStockResponseType.ErrorReturnOrderActionResponse, typeof(CZQThostFtdcOrderActionField));
* ///合约交易状态通知
* responseDataTypeMapping.Add(CTPStockResponseType.ReturnInstrumentStatusResponse, typeof(CZQThostFtdcInstrumentStatusField));
*
* }
*/
#region CTP API Invoke
protected override CTPResponseInfo GetResponseInfo(IntPtr pRspInfo)
{
CTPResponseInfo rsp = new CTPResponseInfo();
CZQThostFtdcRspInfoField rspInfo = PInvokeUtility.GetObjectFromIntPtr <CZQThostFtdcRspInfoField>(pRspInfo);
rsp.ErrorID = rspInfo.ErrorID;
//rsp.Message = PInvokeUtility.GetUnicodeString(rspInfo.ErrorMsg);
rsp.Message = rspInfo.ErrorMsg;
return(rsp);
}
private void OnDisconnect_callback(IntPtr pApi, ref CZQThostFtdcRspInfoField pRspInfo, ConnectionStatus step)
{
if (isConnected)
{
if (7 == pRspInfo.ErrorID ||//综合交易平台：还没有初始化
8 == pRspInfo.ErrorID) //综合交易平台：前置不活跃
{
Disconnect_TD();
Connect_TD();
}
}
if (null != OnDisconnect)
{
OnDisconnect(this, new OnDisconnectArgs(pApi, ref pRspInfo, step));
}
}
private void OnDisconnect(IntPtr pApi, ref CZQThostFtdcRspInfoField pRspInfo, ConnectionStatus step)
{
if (m_pMdApi == pApi)//行情
{
_bMdConnected = false;
if (isConnected)
{
mdlog.Error("Step:{0},ErrorID:{1},ErrorMsg:{2},等待定时重试连接", step, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
}
else
{
mdlog.Info("Step:{0},ErrorID:{1},ErrorMsg:{2}", step, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
}
}
else if (m_pTdApi == pApi)//交易
{
_bTdConnected = false;
if (isConnected)//如果以前连成功，表示密码没有错，只是初始化失败，可以重试
{
tdlog.Error("Step:{0},ErrorID:{1},ErrorMsg:{2},等待定时重试连接", step, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
if (7 == pRspInfo.ErrorID ||//综合交易平台：还没有初始化
8 == pRspInfo.ErrorID) //综合交易平台：前置不活跃
{
//Disconnect_TD();
//Connect_TD();
}
}
else
{
tdlog.Info("Step:{0},ErrorID:{1},ErrorMsg:{2}", step, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
}
}
if (!isConnected)//从来没有连接成功过，可能是密码错误，直接退出
{
//不能在线程中停止线程，这样会导致软件关闭进程不退出
//_Disconnect();
}
else
{
//以前连接过，现在断了次线，要等重连
ChangeStatus(ProviderStatus.Connecting);
EmitDisconnectedEvent();
}
}
private void OnErrRtnOrderAction_callback(IntPtr pTraderApi, ref CZQThostFtdcOrderActionField pOrderAction, ref CZQThostFtdcRspInfoField pRspInfo)
{
if (null != OnErrRtnOrderAction)
{
OnErrRtnOrderAction(this, new OnErrRtnOrderActionArgs(pTraderApi, ref pOrderAction, ref pRspInfo));
}
}
public OnErrRtnOrderInsertArgs(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo)
{
this.pTraderApi = pTraderApi;
this.pInputOrder = pInputOrder;
this.pRspInfo = pRspInfo;
}
private void OnErrRtnOrderInsert_callback(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo)
{
if (null != OnErrRtnOrderInsert)
{
OnErrRtnOrderInsert(this, new OnErrRtnOrderInsertArgs(pTraderApi, ref pInputOrder, ref pRspInfo));
}
}
private void OnRspOrderInsert_callback(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspOrderInsert)
{
OnRspOrderInsert(this, new OnRspOrderInsertArgs(pTraderApi, ref pInputOrder, ref pRspInfo, nRequestID, bIsLast));
}
}
public OnErrRtnOrderActionArgs(IntPtr pTraderApi, ref CZQThostFtdcOrderActionField pOrderAction, ref CZQThostFtdcRspInfoField pRspInfo)
{
this.pTraderApi = pTraderApi;
this.pOrderAction = pOrderAction;
this.pRspInfo = pRspInfo;
}
private void OnRspQryTradingAccount(IntPtr pTraderApi, ref CZQThostFtdcTradingAccountField pTradingAccount, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLastt)
{
if (0 == pRspInfo.ErrorID)
{
m_TradingAccount = pTradingAccount;
//有资金信息过来了，重新计时
timerAccount.Enabled = false;
timerAccount.Enabled = true;
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryTradingAccount:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryTradingAccount:" + pRspInfo.ErrorMsg);
}
}
private void OnRspQryDepthMarketData_callback(IntPtr pTraderApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryDepthMarketData)
{
OnRspQryDepthMarketData(this, new OnRspQryDepthMarketDataArgs(pTraderApi, ref pDepthMarketData, ref pRspInfo, nRequestID, bIsLast));
}
}
private void OnRspQryInvestorPositionDetail_callback(IntPtr pTraderApi, ref CZQThostFtdcInvestorPositionDetailField pInvestorPositionDetail, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryInvestorPositionDetail)
{
OnRspQryInvestorPositionDetail(this, new OnRspQryInvestorPositionDetailArgs(pTraderApi, ref pInvestorPositionDetail, ref pRspInfo, nRequestID, bIsLast));
}
}
private void OnRspQryInstrumentCommissionRate_callback(IntPtr pTraderApi, ref CZQThostFtdcInstrumentCommissionRateField pInstrumentCommissionRate, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryInstrumentCommissionRate)
{
OnRspQryInstrumentCommissionRate(this, new OnRspQryInstrumentCommissionRateArgs(pTraderApi, ref pInstrumentCommissionRate, ref pRspInfo, nRequestID, bIsLast));
}
}
private void OnRspQryTradingAccount_callback(IntPtr pTraderApi, ref CZQThostFtdcTradingAccountField pTradingAccount, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryTradingAccount)
{
OnRspQryTradingAccount(this, new OnRspQryTradingAccountArgs(pTraderApi, ref pTradingAccount, ref pRspInfo, nRequestID, bIsLast));
}
}
private void OnRspQryOrder_callback(IntPtr pTraderApi, ref CZQThostFtdcOrderField pOrder, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryOrder)
{
OnRspQryOrder(this, new OnRspQryOrderArgs(pTraderApi, ref pOrder, ref pRspInfo, nRequestID, bIsLast));
}
}
private void OnRspQryInstrument(IntPtr pTraderApi, ref CZQThostFtdcInstrumentField pInstrument, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
//比较无语，测试平台上会显示很多无效数据，有关期货的还会把正确的数据给覆盖，所以临时这样处理
if (pInstrument.ProductClass != TZQThostFtdcProductClassType.Futures)
{
string symbol = GetYahooSymbol(pInstrument.InstrumentID, pInstrument.ExchangeID);
_dictInstruments[symbol] = pInstrument;
// 行情中可能没有交易所信息，这个容器用于容错处理
_dictInstruments2[pInstrument.InstrumentID] = symbol;
}
if (bIsLast)
{
tdlog.Info("合约列表已经接收完成,共{0}条", _dictInstruments.Count);
}
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryInstrument:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryInstrument:" + pRspInfo.ErrorMsg);
}
}
private void OnRspQryInstrumentCommissionRate(IntPtr pTraderApi, ref CZQThostFtdcInstrumentCommissionRateField pInstrumentCommissionRate, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
_dictCommissionRate[pInstrumentCommissionRate.InstrumentID] = pInstrumentCommissionRate;
tdlog.Info("已经接收手续费率 {0}", pInstrumentCommissionRate.InstrumentID);
//通知单例
CTPZQAPI.GetInstance().FireOnRspQryInstrumentCommissionRate(pInstrumentCommissionRate);
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryInstrumentCommissionRate:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryInstrumentCommissionRate:" + pRspInfo.ErrorMsg);
}
}
private void OnRspError(IntPtr pApi, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspError:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
}
private void OnErrRtnOrderAction(IntPtr pTraderApi, ref CZQThostFtdcOrderActionField pOrderAction, ref CZQThostFtdcRspInfoField pRspInfo)
{
SingleOrder order;
string strKey = string.Format("{0}:{1}:{2}", pOrderAction.FrontID, pOrderAction.SessionID, pOrderAction.OrderRef);
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
OrdStatus status;
if (_PendingCancelFlags.TryGetValue(order, out status))
{
_PendingCancelFlags.Remove(order);
EmitExecutionReport(order, status);
}
tdlog.Error("交易所回应：{0},价{1},变化量{2},前置{3},会话{4},引用{5},{6}#{7}",
pOrderAction.InstrumentID, pOrderAction.LimitPrice,
pOrderAction.VolumeChange,
pOrderAction.FrontID, pOrderAction.SessionID, pOrderAction.OrderRef,
pRspInfo.ErrorID, pRspInfo.ErrorMsg);
order.Text = string.Format("{0}|{1}#{2}", order.Text.Substring(0, Math.Min(order.Text.Length, 64)), pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitCancelReject(order, order.OrdStatus, order.Text);
}
}
public OnDisconnectArgs(IntPtr pApi, ref CZQThostFtdcRspInfoField pRspInfo, ConnectionStatus step)
{
this.pApi = pApi;
this.pRspInfo = pRspInfo;
this.step = step;
}
private void OnErrRtnOrderInsert(IntPtr pTraderApi, ref CZQThostFtdcInputOrderField pInputOrder, ref CZQThostFtdcRspInfoField pRspInfo)
{
SingleOrder order;
string strKey = string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, pInputOrder.OrderRef);
if (_OrderRef2Order.TryGetValue(strKey, out order))
{
tdlog.Error("交易所回应：{0},{1},开平{2},价{3},原量{4},引用{5},{6}#{7}",
pInputOrder.InstrumentID, pInputOrder.Direction, pInputOrder.CombOffsetFlag, pInputOrder.LimitPrice,
pInputOrder.VolumeTotalOriginal,
pInputOrder.OrderRef, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
order.Text = string.Format("{0}|{1}#{2}", order.Text.Substring(0, Math.Min(order.Text.Length, 64)), pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitRejected(order, order.Text);
//没得办法，这样全撤了状态就唯一了
Dictionary <string, CZQThostFtdcOrderField> _Ref2Action;
if (_Orders4Cancel.TryGetValue(order, out _Ref2Action))
{
lock (_Ref2Action)
{
_Ref2Action.Remove(strKey);
if (0 == _Ref2Action.Count())
{
_Orders4Cancel.Remove(order);
return;
}
Cancel(order);
}
}
}
}
//#region 保证金率列表
//private void OnRspQryInstrumentMarginRate(IntPtr pTraderApi, ref CZQThostFtdcInstrumentMarginRateField pInstrumentMarginRate, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
//{
// if (0 == pRspInfo.ErrorID)
// {
// _dictMarginRate[pInstrumentMarginRate.InstrumentID] = pInstrumentMarginRate;
// Console.WriteLine("TdApi:{0},已经接收保证金率 {1}",
// Clock.Now.ToString("yyyy-MM-dd HH:mm:ss.fff"),
// pInstrumentMarginRate.InstrumentID);
// Console.WriteLine("{0},{1},{2},{3}", pInstrumentMarginRate.LongMarginRatioByMoney, pInstrumentMarginRate.LongMarginRatioByVolume,
// pInstrumentMarginRate.ShortMarginRatioByMoney, pInstrumentMarginRate.ShortMarginRatioByVolume);
// //通知单例
// CTPZQAPI.GetInstance().FireOnRspQryInstrumentMarginRate(pInstrumentMarginRate);
// }
// else
// EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryInstrumentMarginRate:" + pRspInfo.ErrorMsg);
//}
//#endregion
#region 持仓回报
private void OnRspQryInvestorPosition(IntPtr pTraderApi, ref CZQThostFtdcInvestorPositionField pInvestorPosition, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
_dbInMemInvestorPosition.InsertOrReplace(
pInvestorPosition.InstrumentID,
pInvestorPosition.PosiDirection,
pInvestorPosition.HedgeFlag,
pInvestorPosition.PositionDate,
pInvestorPosition.Position,
pInvestorPosition.LongFrozen,
pInvestorPosition.ShortFrozen);
timerPonstion.Enabled = false;
timerPonstion.Enabled = true;
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryInvestorPosition:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryInvestorPosition:" + pRspInfo.ErrorMsg);
}
}
