//建立交易
private void Connect_TD()
{
lock (_lockTd)
{
if (_bWantTdConnect &&
(null == m_pTdApi || IntPtr.Zero == m_pTdApi))
{
m_pTdApi = TraderApi.TD_CreateTdApi();
TraderApi.CTP_RegOnErrRtnOrderAction(m_pMsgQueue, _fnOnErrRtnOrderAction_Holder);
TraderApi.CTP_RegOnErrRtnOrderInsert(m_pMsgQueue, _fnOnErrRtnOrderInsert_Holder);
TraderApi.CTP_RegOnRspOrderAction(m_pMsgQueue, _fnOnRspOrderAction_Holder);
TraderApi.CTP_RegOnRspOrderInsert(m_pMsgQueue, _fnOnRspOrderInsert_Holder);
TraderApi.CTP_RegOnRspQryDepthMarketData(m_pMsgQueue, _fnOnRspQryDepthMarketData_Holder);
TraderApi.CTP_RegOnRspQryInstrument(m_pMsgQueue, _fnOnRspQryInstrument_Holder);
TraderApi.CTP_RegOnRspQryInstrumentCommissionRate(m_pMsgQueue, _fnOnRspQryInstrumentCommissionRate_Holder);
TraderApi.CTP_RegOnRspQryInstrumentMarginRate(m_pMsgQueue, _fnOnRspQryInstrumentMarginRate_Holder);
TraderApi.CTP_RegOnRspQryInvestorPosition(m_pMsgQueue, _fnOnRspQryInvestorPosition_Holder);
TraderApi.CTP_RegOnRspQryTradingAccount(m_pMsgQueue, _fnOnRspQryTradingAccount_Holder);
TraderApi.CTP_RegOnRtnInstrumentStatus(m_pMsgQueue, _fnOnRtnInstrumentStatus_Holder);
TraderApi.CTP_RegOnRtnOrder(m_pMsgQueue, _fnOnRtnOrder_Holder);
TraderApi.CTP_RegOnRtnTrade(m_pMsgQueue, _fnOnRtnTrade_Holder);
TraderApi.TD_RegMsgQueue2TdApi(m_pTdApi, m_pMsgQueue);
TraderApi.TD_Connect(m_pTdApi, _newTempPath, string.Join(";", server.Trading.ToArray()),
server.BrokerID, account.InvestorId, account.Password,
ResumeType,
server.UserProductInfo, server.AuthCode);
//向单例对象中注入操作用句柄
CTPAPI.GetInstance().__RegTdApi(m_pTdApi);
}
}
}
private void OnRtnTrade(IntPtr pTraderApi, ref CThostFtdcTradeField pTrade)
{
tdlog.Info("时{0},合约{1},方向{2},开平{3},价{4},量{5},引用{6},成交编号{7}",
pTrade.TradeTime, pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag,
pTrade.Price, pTrade.Volume, pTrade.OrderRef, pTrade.TradeID);
//找到自己发送的订单，标记成交
string strSysID = string.Format("{0}:{1}", pTrade.ExchangeID, pTrade.OrderSysID);
string strKey;
if (!orderMap.TryGetValue(strSysID, out strKey))
{
return;
}
GenericOrderItem item;
if (orderMap.TryGetValue(strKey, out item))
{
MultiOrderLeg leg = item.GetLeg(CTPAPI.FromCTP(pTrade.Direction), pTrade.InstrumentID);
SingleOrder order = leg.Order;
#if CTP
double Price = pTrade.Price;
#elif CTPZQ
double Price = Convert.ToDouble(pTrade.Price);
#endif
int Volume = pTrade.Volume;
int LeavesQty = (int)order.LeavesQty - Volume;
EmitFilled(order, Price, Volume, CommType.Absolute, 0);
// 成交完成，清理数据
OnRtnTradeLastStatus(item, pTrade, strSysID, strKey);
}
}
private void OnRtnInstrumentStatus(IntPtr pTraderApi, ref CThostFtdcInstrumentStatusField pInstrumentStatus)
{
tdlog.Info("{0},{1},{2},{3}",
pInstrumentStatus.ExchangeID, pInstrumentStatus.InstrumentID,
pInstrumentStatus.InstrumentStatus, pInstrumentStatus.EnterReason);
//通知单例
CTPAPI.GetInstance().FireOnRtnInstrumentStatus(pInstrumentStatus);
}
public override void OnStrategyStop()
{
CTPAPI.GetInstance().OnRspQryInstrument -= new CTPAPI.RspQryInstrument(OnRspQryInstrument);
CTPAPI.GetInstance().OnRspQryInstrumentMarginRate -= new CTPAPI.RspQryInstrumentMarginRate(OnRspQryInstrumentMarginRate);
CTPAPI.GetInstance().OnRspQryInstrumentCommissionRate -= new CTPAPI.RspQryInstrumentCommissionRate(OnRspQryInstrumentCommissionRate);
CTPAPI.GetInstance().OnRtnInstrumentStatus -= new CTPAPI.RtnInstrumentStatus(OnRtnInstrumentStatus);
CTPAPI.GetInstance().OnRspQryDepthMarketData -= new CTPAPI.RspQryDepthMarketData(OnRspQryDepthMarketData);
// 此方法已经过期，在插件3.8.2.0中开始废弃
//CTPAPI.GetInstance().OnRtnDepthMarketData -= new CTPAPI.RtnDepthMarketData(OnRtnDepthMarketData);
}
public override void OnBar(Bar bar)
{
//以下四句只是演示，实盘中请保存查询出来的结果，并且一天只查一次
CTPAPI.GetInstance().ReqQryInstrument("IF1312");
// 一定得加上TThostFtdcHedgeFlagType
CTPAPI.GetInstance().ReqQryInstrumentMarginRate("IF1312", TThostFtdcHedgeFlagType.Speculation);
//目前模拟平台目前查询没有返回，实盘时返回的是产品的手续费，如查"IF1312"，返回的是"IF"
CTPAPI.GetInstance().ReqQryInstrumentCommissionRate("IF1312");
//通过交易接口查询，主要用来取涨跌停或没有直接订阅的行情
CTPAPI.GetInstance().ReqQryDepthMarketData("IF1309");
}
private void Send(SPOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder order = item.Leg[0].Order;
SingleOrder order2 = item.Leg[1].Order;
string symbol = item.GetSymbol();
double price = order.Price - order2.Price;
int qty = (int)order.OrderQty;
// 是否要做价格调整？
byte[] bytes = { (byte)CTPAPI.ToCTP(item.Leg[0].OpenClose), (byte)CTPAPI.ToCTP(item.Leg[1].OpenClose) };
string szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
byte[] bytes2 = { (byte)HedgeFlagType, (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
int nRet = 0;
#if CTP
nRet = TraderApi.TD_SendOrder(m_pTdApi,
-1,
symbol,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
0,
VolumeCondition);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
public override void OnStrategyStart()
{
CTPAPI.GetInstance().OnRspQryInstrument += new CTPAPI.RspQryInstrument(OnRspQryInstrument);
CTPAPI.GetInstance().OnRspQryInstrumentMarginRate += new CTPAPI.RspQryInstrumentMarginRate(OnRspQryInstrumentMarginRate);
CTPAPI.GetInstance().OnRspQryInstrumentCommissionRate += new CTPAPI.RspQryInstrumentCommissionRate(OnRspQryInstrumentCommissionRate);
// 交易所状态
CTPAPI.GetInstance().OnRtnInstrumentStatus += new CTPAPI.RtnInstrumentStatus(OnRtnInstrumentStatus);
CTPAPI.GetInstance().OnRspQryTradingAccount += new CTPAPI.RspQryTradingAccount(OnRspQryTradingAccount);
CTPAPI.GetInstance().OnRspReqQryInvestorPosition += new CTPAPI.RspReqQryInvestorPosition(OnRspReqQryInvestorPosition);
// 此方法已经过期，在插件3.8.2.0中开始废弃
//CTPAPI.GetInstance().OnRtnDepthMarketData += new CTPAPI.RtnDepthMarketData(OnRtnDepthMarketData);
}
private void Disconnect_MD()
{
lock (_lockMd)
{
if (null != m_pMdApi && IntPtr.Zero != m_pMdApi)
{
MdApi.MD_RegMsgQueue2MdApi(m_pMdApi, IntPtr.Zero);
MdApi.MD_ReleaseMdApi(m_pMdApi);
m_pMdApi = IntPtr.Zero;
CTPAPI.GetInstance().__RegMdApi(m_pMdApi);
}
_bMdConnected = false;
}
}
private void Disconnect_TD()
{
lock (_lockTd)
{
if (null != m_pTdApi && IntPtr.Zero != m_pTdApi)
{
TraderApi.TD_RegMsgQueue2TdApi(m_pTdApi, IntPtr.Zero);
TraderApi.TD_ReleaseTdApi(m_pTdApi);
m_pTdApi = IntPtr.Zero;
CTPAPI.GetInstance().__RegTdApi(m_pTdApi);
}
_bTdConnected = false;
}
}
private void OnRspQryInstrumentMarginRate(IntPtr pTraderApi, ref CThostFtdcInstrumentMarginRateField pInstrumentMarginRate, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
_dictMarginRate[pInstrumentMarginRate.InstrumentID] = pInstrumentMarginRate;
tdlog.Info("已经接收保证金率 {0}", pInstrumentMarginRate.InstrumentID);
//通知单例
CTPAPI.GetInstance().FireOnRspQryInstrumentMarginRate(pInstrumentMarginRate);
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryInstrumentMarginRate:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryInstrumentMarginRate:" + pRspInfo.ErrorMsg);
}
}
private void EmitCancelReject(GenericOrderItem item, int error_id, string message)
{
TextResponse r = new TextResponse()
{
Error = CTPAPI.FromCTP(error_id),
ErrorID = error_id,
ErrorMsg = message,
};
foreach (var leg in item.GetLegs())
{
r.OpenClose = leg.OpenClose;
leg.Order.Text = r.ToString();
EmitCancelReject(leg.Order, leg.Order.OrdStatus, r.ToString());
}
}
private void OnRspQryInvestorPosition(IntPtr pTraderApi, ref CThostFtdcInvestorPositionField pInvestorPosition, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
string key = GetPositionKey(pInvestorPosition);
_dictPositions[key] = pInvestorPosition;
CTPAPI.GetInstance().FireOnRspReqQryInvestorPosition(pInvestorPosition);
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);
}
}
private void OnRtnInstrumentStatus(IntPtr pTraderApi, ref CThostFtdcInstrumentStatusField pInstrumentStatus)
{
tdlog.Info("{0},{1},{2},{3},{4},{5},{6},{7}",
pInstrumentStatus.ExchangeID, pInstrumentStatus.InstrumentID,
pInstrumentStatus.InstrumentStatus, pInstrumentStatus.EnterReason,
pInstrumentStatus.EnterTime, pInstrumentStatus.TradingSegmentSN,
pInstrumentStatus.ExchangeInstID, pInstrumentStatus.SettlementGroupID);
//通知单例
CTPAPI.GetInstance().FireOnRtnInstrumentStatus(pInstrumentStatus);
// 到IF的交割日，是否会收到两个有关IF的记录？如果在此进行清理是否会有问题？
// 只会收到一条
// 遍历是否过期
if (pInstrumentStatus.InstrumentStatus == TThostFtdcInstrumentStatusType.Closed)
{
Dictionary <GenericOrderItem, CThostFtdcOrderField> tmp = new Dictionary <GenericOrderItem, CThostFtdcOrderField>();
foreach (var pair in orderMap.OrderItem_OrderField)
{
if (pair.Value.ExchangeID == pInstrumentStatus.ExchangeID)
{
int cnt = pair.Key.GetLegNum();
foreach (var pair2 in orderMap.Order_OrderItem)
{
// 得找到OpenQuant层的单子
if (pair.Key == pair2.Value)
{
--cnt;
EmitExpired(pair2.Key);
if (cnt <= 0)
{
break;
}
}
}
tmp[pair.Key] = pair.Value;
}
}
foreach (var pair in tmp)
{
OnLastStatus(pair.Key, pair.Value.OrderSysID, pair.Value.OrderRef);
}
tmp.Clear();
}
}
//建立行情
private void Connect_MD()
{
lock (_lockMd)
{
if (_bWantMdConnect &&
(null == m_pMdApi || IntPtr.Zero == m_pMdApi))
{
m_pMdApi = MdApi.MD_CreateMdApi();
MdApi.CTP_RegOnRtnDepthMarketData(m_pMsgQueue, _fnOnRtnDepthMarketData_Holder);
MdApi.MD_RegMsgQueue2MdApi(m_pMdApi, m_pMsgQueue);
MdApi.MD_Connect(m_pMdApi, _newTempPath, string.Join(";", server.MarketData.ToArray()), server.BrokerID, account.InvestorId, account.Password);
//向单例对象中注入操作用句柄
CTPAPI.GetInstance().__RegMdApi(m_pMdApi);
}
}
}
private void Send(QuoteOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder AskOrder = item.Sell.Order;
SingleOrder BidOrder = item.Buy.Order;
string symbol = item.Buy.Order.Symbol;
double AskPrice = AskOrder.Price;
double BidPrice = BidOrder.Price;
int AskVolume = (int)AskOrder.OrderQty;
int BidVolume = (int)BidOrder.OrderQty;
TThostFtdcOffsetFlagType AskOffsetFlag = CTPAPI.ToCTP(item.Sell.OpenClose);
TThostFtdcOffsetFlagType BidOffsetFlag = CTPAPI.ToCTP(item.Buy.OpenClose);
TThostFtdcHedgeFlagType AskHedgeFlag = HedgeFlagType;
TThostFtdcHedgeFlagType BidHedgeFlag = HedgeFlagType;
int nRet = 0;
#if CTP
nRet = TraderApi.TD_SendQuote(m_pTdApi,
-1,
symbol,
AskPrice,
BidPrice,
AskVolume,
BidVolume,
AskOffsetFlag,
BidOffsetFlag,
AskHedgeFlag,
BidHedgeFlag);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
private void OnRspQryTradingAccount(IntPtr pTraderApi, ref CThostFtdcTradingAccountField pTradingAccount, ref CThostFtdcRspInfoField 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;
//通知单例,还是使用GetBrokerInfo来取呢？
CTPAPI.GetInstance().__RegTradingAccount(m_TradingAccount);
CTPAPI.GetInstance().FireOnRspQryTradingAccount(pTradingAccount);
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryTradingAccount:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryTradingAccount:" + pRspInfo.ErrorMsg);
}
}
public void OnRspQryDepthMarketData(IntPtr pTraderApi, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
CThostFtdcDepthMarketDataField DepthMarket;
if (!_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
//没找到此元素，保存一下
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
}
tdlog.Info("已经接收查询深度行情 {0}", pDepthMarketData.InstrumentID);
//通知单例
CTPAPI.GetInstance().FireOnRspQryDepthMarketData(pDepthMarketData);
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryDepthMarketData:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryDepthMarketData:" + pRspInfo.ErrorMsg);
}
}
private void _Disconnect()
{
timerConnect.Enabled = false;
timerDisconnect.Enabled = false;
timerAccount.Enabled = false;
timerPonstion.Enabled = false;
CTPAPI.GetInstance().__RegInstrumentDictionary(null);
CTPAPI.GetInstance().__RegInstrumentCommissionRateDictionary(null);
CTPAPI.GetInstance().__RegInstrumentMarginRateDictionary(null);
CTPAPI.GetInstance().__RegDepthMarketDataDictionary(null);
Disconnect_MD();
Disconnect_TD();
Disconnect_MsgQueue();
Clear();
ChangeStatus(ProviderStatus.Disconnected);
isConnected = false;
EmitDisconnectedEvent();
}
private void Send(CommonOrderItem item)
{
if (item == null)
{
return;
}
SingleOrder order = item.Leg.Order;
string apiSymbol;
string apiExchange;
double apiTickSize;
string altSymbol;
#if CTP
GetInstrumentInfoForCTP(order.Instrument, out apiSymbol, out apiExchange, out apiTickSize);
altSymbol = apiSymbol;
#elif CTPZQ
GetInstrumentInfoForCTPZQ(order.Instrument, out apiSymbol, out apiExchange, out apiTickSize, out altSymbol);
#endif
double price = order.Price;
int qty = (int)order.OrderQty;
//市价修正，如果不连接行情，此修正不执行，得策略层处理
CThostFtdcDepthMarketDataField DepthMarket;
//如果取出来了，并且为有效的，涨跌停价将不为0
_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket);
//市价单模拟
if (OrdType.Market == order.OrdType)
{
//按买卖调整价格
if (order.Side == Side.Buy)
{
price = DepthMarket.LastPrice + LastPricePlusNTicks * apiTickSize;
}
else
{
price = DepthMarket.LastPrice - LastPricePlusNTicks * apiTickSize;
}
}
price = FixPrice(price, order.Side, apiTickSize, DepthMarket.LowerLimitPrice, DepthMarket.UpperLimitPrice);
// 是否要做价格调整？
byte[] bytes = { (byte)CTPAPI.ToCTP(item.Leg.OpenClose) };
string szCombOffsetFlag = System.Text.Encoding.Default.GetString(bytes, 0, bytes.Length);
byte[] bytes2 = { (byte)HedgeFlagType };
string szCombHedgeFlag = System.Text.Encoding.Default.GetString(bytes2, 0, bytes2.Length);
TThostFtdcDirectionType Direction = order.Side == Side.Buy ? TThostFtdcDirectionType.Buy : TThostFtdcDirectionType.Sell;
TThostFtdcOrderPriceTypeType OrderPriceType = TThostFtdcOrderPriceTypeType.LimitPrice;
TThostFtdcTimeConditionType TimeCondition = TThostFtdcTimeConditionType.GFD;
TThostFtdcContingentConditionType ContingentCondition = TThostFtdcContingentConditionType.Immediately;
TThostFtdcVolumeConditionType VolumeCondition = TThostFtdcVolumeConditionType.AV;
#if CTP
bool bSupportMarketOrder = SupportMarketOrder.Contains(apiExchange);
#elif CTPZQ
bool bSupportMarketOrder = true;
#endif
switch (order.TimeInForce)
{
case TimeInForce.IOC:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.AV;
break;
case TimeInForce.FOK:
TimeCondition = TThostFtdcTimeConditionType.IOC;
VolumeCondition = TThostFtdcVolumeConditionType.CV;
break;
default:
break;
}
int nRet = 0;
switch (order.OrdType)
{
case OrdType.Limit:
break;
case OrdType.Market:
if (SwitchMakertOrderToLimitOrder || !bSupportMarketOrder)
{
}
else
{
price = 0;
OrderPriceType = TThostFtdcOrderPriceTypeType.AnyPrice;
TimeCondition = TThostFtdcTimeConditionType.IOC;
}
break;
default:
tdlog.Warn("没有实现{0}", order.OrdType);
return;
}
#if CTP
nRet = TraderApi.TD_SendOrder(m_pTdApi,
apiSymbol,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
price,
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
#elif CTPZQ
nRet = TraderApi.TD_SendOrder(m_pTdApi,
apiSymbol,
apiExchange,
Direction,
szCombOffsetFlag,
szCombHedgeFlag,
qty,
string.Format("{0}", price),
OrderPriceType,
TimeCondition,
ContingentCondition,
order.StopPx,
VolumeCondition);
#endif
if (nRet > 0)
{
orderMap.CreateNewOrder(string.Format("{0}:{1}:{2}", _RspUserLogin.FrontID, _RspUserLogin.SessionID, nRet), item);
}
}
private void _Connect()
{
// 限制低版本的OpenQuant不能使用，其它产品不做限制
switch (Framework.Installation.MainProduct)
{
case "OpenQuant":
if (Assembly.GetEntryAssembly().GetName().Version < new Version(3, 9, 3))
{
MessageBox.Show("您的OpenQuant版本过低，请装最新版");
return;
}
break;
case "QuantRouter":
break;
case "QuantBase":
break;
case "QuantTrader":
break;
}
CTPAPI.GetInstance().__RegInstrumentDictionary(_dictInstruments);
CTPAPI.GetInstance().__RegInstrumentCommissionRateDictionary(_dictCommissionRate);
CTPAPI.GetInstance().__RegDepthMarketDataDictionary(_dictDepthMarketData);
CTPAPI.GetInstance().__RegInvestorPositionDictionary(_dictPositions);
#if CTP
CTPAPI.GetInstance().__RegInstrumentMarginRateDictionary(_dictMarginRate);
#endif
server = null;
account = null;
bool bCheckOk = false;
do
{
if (0 == serversList.Count)
{
MessageBox.Show("您还没有设置 服务器 信息，目前只选择第一条进行连接");
break;
}
if (0 == accountsList.Count)
{
MessageBox.Show("您还没有设置 账号 信息，目前只选择第一条进行连接");
break;
}
server = serversList[0];
account = accountsList[0];
if (string.IsNullOrEmpty(server.BrokerID))
{
MessageBox.Show("BrokerID不能为空");
break;
}
if (_bWantTdConnect && 0 == server.Trading.Count())
{
MessageBox.Show("交易服务器地址不全");
break;
}
if (_bWantMdConnect && 0 == server.MarketData.Count())
{
MessageBox.Show("行情服务器信息不全");
break;
}
if (string.IsNullOrEmpty(account.InvestorId) ||
string.IsNullOrEmpty(account.Password))
{
MessageBox.Show("账号信息不全");
break;
}
bCheckOk = true;
} while (false);
if (false == bCheckOk)
{
ChangeStatus(ProviderStatus.Disconnected);
isConnected = false;
return;
}
//新建目录
_newTempPath = string.Format("{1}{0}{2}{0}{3}{0}{4}", Path.DirectorySeparatorChar, ApiTempPath, this.Name, server.BrokerID, account.InvestorId);
Directory.CreateDirectory(_newTempPath);
ChangeStatus(ProviderStatus.Connecting);
//如果前面一次连接一直连不上，新改地址后也会没响应，所以先删除
Disconnect_MD();
Disconnect_TD();
if (_bWantMdConnect || _bWantTdConnect)
{
timerDisconnect.Enabled = true;
Connect_MsgQueue();
}
if (_bWantMdConnect)
{
Connect_MD();
}
if (_bWantTdConnect)
{
Connect_TD();
}
}
private void OnRtnForQuoteRsp(IntPtr pMdUserApi, ref CThostFtdcForQuoteRspField pForQuoteRsp)
{
Console.WriteLine("OnRtnForQuoteRsp");
// 询价请求
CTPAPI.GetInstance().FireOnRtnForQuoteRsp(pForQuoteRsp);
}
private void _Connect()
{
CTPAPI.GetInstance().__RegInstrumentDictionary(_dictInstruments);
CTPAPI.GetInstance().__RegInstrumentCommissionRateDictionary(_dictCommissionRate);
CTPAPI.GetInstance().__RegInstrumentMarginRateDictionary(_dictMarginRate);
CTPAPI.GetInstance().__RegDepthMarketDataDictionary(_dictDepthMarketData);
server = null;
account = null;
bool bCheckOk = false;
do
{
if (0 == serversList.Count)
{
MessageBox.Show("您还没有设置 服务器 信息，目前只选择第一条进行连接");
break;
}
if (0 == accountsList.Count)
{
MessageBox.Show("您还没有设置 账号 信息，目前只选择第一条进行连接");
break;
}
server = serversList[0];
account = accountsList[0];
if (string.IsNullOrEmpty(server.BrokerID))
{
MessageBox.Show("BrokerID不能为空");
break;
}
if (_bWantTdConnect && 0 == server.Trading.Count())
{
MessageBox.Show("交易服务器地址不全");
break;
}
if (_bWantMdConnect && 0 == server.MarketData.Count())
{
MessageBox.Show("行情服务器信息不全");
break;
}
if (string.IsNullOrEmpty(account.InvestorId) ||
string.IsNullOrEmpty(account.Password))
{
MessageBox.Show("账号信息不全");
break;
}
bCheckOk = true;
} while (false);
if (false == bCheckOk)
{
ChangeStatus(ProviderStatus.Disconnected);
isConnected = false;
return;
}
//新建目录
_newTempPath = ApiTempPath + Path.DirectorySeparatorChar + server.BrokerID + Path.DirectorySeparatorChar + account.InvestorId;
Directory.CreateDirectory(_newTempPath);
ChangeStatus(ProviderStatus.Connecting);
//如果前面一次连接一直连不上，新改地址后也会没响应，所以先删除
Disconnect_MD();
Disconnect_TD();
if (_bWantMdConnect || _bWantTdConnect)
{
timerDisconnect.Enabled = true;
Connect_MsgQueue();
}
if (_bWantMdConnect)
{
Connect_MD();
}
if (_bWantTdConnect)
{
Connect_TD();
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pDepthMarketData.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_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
try
{
// 只有使用交易所行情时才需要处理跨天的问题
ChangeTradingDay(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;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//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
);
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);
}
// 价差生成功能
do
{
if (null == CTPAPI.GetInstance().SpreadMarketData)
{
break;
}
ISpreadMarketData SpreadMarketData = CTPAPI.GetInstance().SpreadMarketData;
var ticks = SpreadMarketData.CalculateSpread(pDepthMarketData);
if (null == ticks)
{
break;
}
foreach (var tick in ticks)
{
Instrument inst = InstrumentManager.Instruments[tick.Symbol];
if (null == inst)
{
continue;
}
if (!double.IsNaN(tick.Price))
{
Trade trade = new Trade(_dateTime, tick.Price, tick.Size);
trade.ProviderId = tick.ProviderId;
EmitNewTradeEvent(inst, trade);
}
if (!double.IsNaN(tick.Ask) && !double.IsNaN(tick.Bid))
{
Quote quote = new Quote(_dateTime,
tick.Bid, tick.BidSize,
tick.Ask, tick.AskSize);
quote.ProviderId = tick.ProviderId;
EmitNewQuoteEvent(inst, quote);
}
}
} while (false);
// 直接回报CTP的行情信息
if (EmitOnRtnDepthMarketData)
{
CTPAPI.GetInstance().FireOnRtnDepthMarketData(pDepthMarketData);
}
}
