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)
{
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 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);
}
}
}
}
