public void FireOnRspQryDepthMarketData(CZQThostFtdcDepthMarketDataField pDepthMarketData)
{
if (null != OnRspQryDepthMarketData)
{
OnRspQryDepthMarketData(pDepthMarketData);
}
}
public static bool TryConvert(OpenQuant.API.Quote quote, ref CZQThostFtdcDepthMarketDataField DepthMarketData)
{
if (quoteField == null)
{
quoteField = typeof(OpenQuant.API.Quote).GetField("quote", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPZQQuote q = quoteField.GetValue(quote) as CTPZQQuote;
if (null != q)
{
DepthMarketData = q.DepthMarketData;
return true;
}
return false;
}
public static bool TryConvert(OpenQuant.API.Trade trade, ref CZQThostFtdcDepthMarketDataField DepthMarketData)
{
if (tradeField == null)
{
tradeField = typeof(OpenQuant.API.Trade).GetField("trade", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPZQTrade t = tradeField.GetValue(trade) as CTPZQTrade;
if (null != t)
{
DepthMarketData = t.DepthMarketData;
return true;
}
return false;
}
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
CZQThostFtdcDepthMarketDataField DepthMarket;
Instrument inst = InstrumentManager.Instruments[group.Symbol];
string altSymbol = inst.GetSymbol(this.Name);
string altExchange = inst.GetSecurityExchange(this.Name);
if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket))
{
DepthMarket = new CZQThostFtdcDepthMarketDataField();
_dictDepthMarketData.Add(altSymbol, DepthMarket);
}
_dictAltSymbol2Instrument[altSymbol] = inst;
Console.WriteLine("MdApi:订阅合约 {0} {1}",altSymbol,altExchange);
MdApi.MD_Subscribe(m_pMdApi, altSymbol, altExchange);
}
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);
string altExchange = inst.GetSecurityExchange(this.Name);
_dictDepthMarketData.Remove(altSymbol);
Console.WriteLine("MdApi:取消订阅 {0} {1}", altSymbol,altExchange);
MdApi.MD_Unsubscribe(m_pMdApi, altSymbol,altExchange);
}
break;
default:
throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString());
}
}
}
public OnRtnDepthMarketDataArgs(IntPtr pMdUserApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData)
{
this.pMdUserApi = pMdUserApi;
this.pDepthMarketData = pDepthMarketData;
}
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;
}
private void OnRtnDepthMarketData_callback(IntPtr pMdUserApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData)
{
if (null != OnRtnDepthMarketData)
{
OnRtnDepthMarketData(this, new OnRtnDepthMarketDataArgs(pMdUserApi, ref pDepthMarketData));
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData)
{
CZQThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
Instrument instrument = _dictAltSymbol2Instrument[pDepthMarketData.InstrumentID];
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume<0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != marketDataFilter)
{
Trade t = marketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
}
else
{
EmitNewTradeEvent(instrument, trade);
}
}
if (
DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
)
{ }
else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != marketDataFilter)
{
Quote q = marketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
}
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
}
}
public void OnRspQryDepthMarketData(IntPtr pTraderApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
CZQThostFtdcDepthMarketDataField DepthMarket;
if (!_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
//没找到此元素，保存一下
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
}
Console.WriteLine("TdApi:{0},已经接收查询深度行情 {1}",
Clock.Now.ToString("yyyy-MM-dd HH:mm:ss.fff"),
pDepthMarketData.InstrumentID);
//通知单例
CTPZQAPI.GetInstance().FireOnRspQryDepthMarketData(pDepthMarketData);
}
else
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryDepthMarketData:" + 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 OnRtnDepthMarketData(IntPtr pApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData)
{
string symbol = GetYahooSymbol(pDepthMarketData.InstrumentID, pDepthMarketData.ExchangeID);
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(symbol, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", symbol);
return;
}
Instrument instrument = record.Instrument;
CZQThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(symbol, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[symbol] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
try
{
// 只有使用交易所行情时才需要处理跨天的问题
ChangeActionDay(pDepthMarketData.TradingDay);
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
catch (Exception)
{
_dateTime = Clock.Now;
}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
// 使用新的类,保存更多信息
CTPZQTrade trade = new CTPZQTrade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
// 记录深度数据
trade.DepthMarketData = pDepthMarketData;
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
CTPZQQuote quote = new CTPZQQuote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
quote.DepthMarketData = pDepthMarketData;
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
// 直接回报CTP的行情信息
if (EmitOnRtnDepthMarketData)
{
CTPZQAPI.GetInstance().FireOnRtnDepthMarketData(pDepthMarketData);
}
}
public void OnRspQryDepthMarketData(IntPtr pTraderApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData, ref CZQThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
CZQThostFtdcDepthMarketDataField DepthMarket;
string symbol = GetYahooSymbol(pDepthMarketData.InstrumentID, pDepthMarketData.ExchangeID);
if (!_dictDepthMarketData.TryGetValue(symbol, out DepthMarket))
{
//没找到此元素，保存一下
_dictDepthMarketData[symbol] = pDepthMarketData;
}
tdlog.Info("已经接收查询深度行情 {0}", symbol);
//通知单例
CTPZQAPI.GetInstance().FireOnRspQryDepthMarketData(pDepthMarketData);
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryDepthMarketData:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryDepthMarketData:" + pRspInfo.ErrorMsg);
}
}
