private int SortCThostFtdcInstrumentField(StructRcvReportEx a1, StructRcvReportEx a2)
{
string s1 = a1.newSymbol;
string s2 = a2.newSymbol;
return(s1.CompareTo(s2));
}
public void SendSecurityDefinitionRequest(FIXSecurityDefinitionRequest request)
{
lock (_dictDepthMarketData)
{
string symbol = request.ContainsField(EFIXField.Symbol) ? request.Symbol : null;
string securityType = request.ContainsField(EFIXField.SecurityType) ? request.SecurityType : null;
string securityExchange = request.ContainsField(EFIXField.SecurityExchange) ? request.SecurityExchange : null;
#region 过滤
List <StructRcvReportEx> list = new List <StructRcvReportEx>();
foreach (StructRcvReport inst in _dictDepthMarketData.Values)
{
StructRcvReportEx ex = new StructRcvReportEx(inst);
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (ex.newSymbol.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (ex.yahooExchange.StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (securityType == ex.securityType)
{
++flag;
}
}
if (3 == flag)
{
list.Add(ex);
}
}
#endregion
list.Sort(SortCThostFtdcInstrumentField);
//如果查出的数据为0，应当想法立即返回
if (0 == list.Count)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = 1//有个除0错误的问题
};
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
foreach (StructRcvReportEx inst in list)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count
};
{
definition.AddField(EFIXField.SecurityType, inst.securityType);
}
{
//double x = inst.PriceTick;
//if (x > 0.0001)
//{
// int i = 0;
// for (; x - (int)x != 0; ++i)
// {
// x = x * 10;
// }
// definition.AddField(EFIXField.PriceDisplay, string.Format("F{0}", i));
// definition.AddField(EFIXField.TickSize, inst.PriceTick);
//}
}
definition.AddField(EFIXField.Symbol, GetYahooSymbol(inst.newSymbol, inst.yahooExchange));
definition.AddField(EFIXField.SecurityExchange, inst.yahooExchange);
definition.AddField(EFIXField.Currency, "CNY");//Currency.CNY
definition.AddField(EFIXField.SecurityDesc, inst.RcvReport.StockName);
FIXSecurityAltIDGroup group = new FIXSecurityAltIDGroup();
group.SecurityAltID = inst.RcvReport.StockCode;
group.SecurityAltExchange = inst.RcvReport.MarketType;
group.SecurityAltIDSource = this.Name;
definition.AddGroup(group);
//还得补全内容
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
}
}
public void SendSecurityDefinitionRequest(FIXSecurityDefinitionRequest request)
{
lock (_dictDepthMarketData)
{
string symbol = request.ContainsField(EFIXField.Symbol) ? request.Symbol : null;
string securityType = request.ContainsField(EFIXField.SecurityType) ? request.SecurityType : null;
string securityExchange = request.ContainsField(EFIXField.SecurityExchange) ? request.SecurityExchange : null;
#region 过滤
List<StructRcvReportEx> list = new List<StructRcvReportEx>();
foreach (StructRcvReport inst in _dictDepthMarketData.Values)
{
StructRcvReportEx ex = new StructRcvReportEx(inst);
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (ex.newSymbol.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (ex.yahooExchange.StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (securityType == ex.securityType)
{
++flag;
}
}
if (3 == flag)
{
list.Add(ex);
}
}
#endregion
list.Sort(SortCThostFtdcInstrumentField);
//如果查出的数据为0，应当想法立即返回
if (0 == list.Count)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = 1//有个除0错误的问题
};
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
foreach (StructRcvReportEx inst in list)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count
};
{
definition.AddField(EFIXField.SecurityType, inst.securityType);
}
{
//double x = inst.PriceTick;
//if (x > 0.0001)
//{
// int i = 0;
// for (; x - (int)x != 0; ++i)
// {
// x = x * 10;
// }
// definition.AddField(EFIXField.PriceDisplay, string.Format("F{0}", i));
// definition.AddField(EFIXField.TickSize, inst.PriceTick);
//}
}
definition.AddField(EFIXField.Symbol, GetYahooSymbol(inst.newSymbol, inst.yahooExchange));
definition.AddField(EFIXField.SecurityExchange, inst.yahooExchange);
definition.AddField(EFIXField.Currency, "CNY");//Currency.CNY
definition.AddField(EFIXField.SecurityDesc, inst.RcvReport.StockName);
FIXSecurityAltIDGroup group = new FIXSecurityAltIDGroup();
group.SecurityAltID = inst.RcvReport.StockCode;
group.SecurityAltExchange = inst.RcvReport.MarketType;
group.SecurityAltIDSource = this.Name;
definition.AddGroup(group);
//还得补全内容
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
}
}
private int SortCThostFtdcInstrumentField(StructRcvReportEx a1, StructRcvReportEx a2)
{
string s1 = a1.newSymbol;
string s2 = a2.newSymbol;
return s1.CompareTo(s2);
}
