private void CTPOnRtnInstrumentStatus(ref CThostFtdcInstrumentStatusField pInstrumentStatus)
{
ExchangeStatusType status = ExchangeStatusType.BeforeTrading;
switch (pInstrumentStatus.InstrumentStatus)
{
case TThostFtdcInstrumentStatusType.THOST_FTDC_IS_Continous:
status = ExchangeStatusType.Trading;
break;
case TThostFtdcInstrumentStatusType.THOST_FTDC_IS_Closed:
status = ExchangeStatusType.Closed;
break;
case TThostFtdcInstrumentStatusType.THOST_FTDC_IS_NoTrading:
status = ExchangeStatusType.NoTrading;
break;
}
DicExcStatus[pInstrumentStatus.InstrumentID] = status;
if (IsLogin)
{
_OnRtnExchangeStatus?.Invoke(this, new StatusEventArgs {
Exchange = pInstrumentStatus.InstrumentID, Status = status
});
}
}
public override ExchangeStatusType GetInstrumentStatus(string pExc)
{
var instField = DicInstrumentField[pExc];
ExchangeStatusType excStatus = default(ExchangeStatusType);
if (DicExcStatus.TryGetValue(instField.ProductID, out excStatus) || DicExcStatus.TryGetValue(instField.ExchangeID.ToString(), out excStatus) || DicExcStatus.TryGetValue(instField.InstrumentID, out excStatus))
{
return(excStatus);
}
return(ExchangeStatusType.Closed);
}
void _import_OnRtnExchangeStatus(string pExchange, ExchangeStatusType pStatus)
{
DicExcStatus.AddOrUpdate(pExchange, pStatus, (k, v) => pStatus);
if (_OnRtnExchangeStatus != null)
{
_OnRtnExchangeStatus(this, new StatusEventArgs
{
Exchange = pExchange,
Status = pStatus,
});
}
}
public static bool isBeforeTradingTime(ExchangeStatusType type, DateTime dt)
{
if (dt.Hour == 8 && dt.Minute == 59)
{
return(true);
}
if (dt.Hour == 20 && dt.Minute == 59)
{
return(true);
}
return(false);
}
//收盘
private void _OnRtnExchangeStatus(object sender, StatusEventArgs e)
{
//收盘后统一视为撤单
ExchangeStatusType status = e.Status;
if (status == ExchangeStatusType.Closed)
{
foreach (SubOrder s in activeOrders)
{
s.VolumeLeft = 0;
s.Status = OrderStatus.Canceled;
s.Refresh();
}
}
}
private void quote_OnRtnTick(object sender, TickEventArgs e)
{
Product instField;
Instrument inst;
ExchangeStatusType excStatus = ExchangeStatusType.Trading;
if (!_dataProcess.InstrumentInfo.TryGetValue(e.Tick.InstrumentID, out inst) || !_dataProcess.ProductInfo.TryGetValue(inst.ProductID, out instField) || (_t != null && !_t.DicExcStatus.TryGetValue(instField._id, out excStatus)))
{
return;
}
Tick tick = new Tick
{
AskPrice = e.Tick.AskPrice,
AveragePrice = e.Tick.AveragePrice,
BidPrice = e.Tick.BidPrice,
LastPrice = e.Tick.LastPrice,
LowerLimitPrice = e.Tick.LowerLimitPrice,
OpenInterest = e.Tick.OpenInterest,
UpperLimitPrice = e.Tick.UpperLimitPrice,
AskVolume = e.Tick.AskVolume,
BidVolume = e.Tick.BidVolume,
InstrumentID = e.Tick.InstrumentID,
TradingDay = int.Parse(_tradingDay),
UpdateMillisec = e.Tick.UpdateMillisec,
UpdateTime = e.Tick.UpdateTime,
Volume = e.Tick.Volume,
};
//20170720全处理,避免000的行情错误.
//if (_t.DicExcStatus.Count > 1) //非模拟才进行处理
if (!_dataProcess.FixTick(tick, _tradingDay, _dataProcess.InstrumentInfo[tick.InstrumentID].ProductID)) //修正tick时间格式:yyyMMdd HH:mm:ss
{
return;
}
foreach (var stra in _dicStrategies.Values)
{
if (stra.EnableTick)
{
foreach (var data in stra.Datas)
{
if (data.Instrument == tick.InstrumentID)
{
if (sender == null) //tick回测
{
data.OnTick(tick);
}
else
{
ThreadPool.QueueUserWorkItem((state) => data.OnTick(tick));
}
}
}
}
}
//处理000数据;20170719增加状态判断，非交易时段会收到脏数据！=>fixtick处理
if (_dicTick000.TryAdd(tick.InstrumentID, tick))
{
return; //首个tick只保存不处理
}
if (excStatus != ExchangeStatusType.Trading)
{
return; //只在交易时段处理数据
}
//if (_qry.Make000(md, _dicTick, out tick000))
if (_inst888.IndexOf(tick.InstrumentID) >= 0)
{
if (Make000Double(tick, out Tick tick000))
{
Tick TickTmp = (Tick)tick000.Clone(); //传递复制体,保证不会因数据修改造成bug
foreach (var stra in _dicStrategies.Values.Where(n => n.EnableTick))
{
foreach (var data in stra.Datas)
{
if (data.Instrument == TickTmp.InstrumentID)
{
if (sender == null) //tick回测
{
data.OnTick(TickTmp);
}
else
{
ThreadPool.QueueUserWorkItem((state) => data.OnTick(TickTmp));
}
}
}
}
tick000.UpdateTime = tick.UpdateTime;
tick000.UpdateMillisec = tick.UpdateMillisec;
}
}
//更新合约数据
_dicTick000[tick.InstrumentID] = tick; //注意f000的先后顺序
}
void _q_OnRtnTick(object sender, TickEventArgs e)
{
Product instField;
Instrument inst;
ExchangeStatusType excStatus = ExchangeStatusType.Trading;
if (!_dataProcess.InstrumentInfo.TryGetValue(e.Tick.InstrumentID, out inst) || !_dataProcess.ProductInfo.TryGetValue(inst.ProductID, out instField) || (_t != null && !_t.DicExcStatus.TryGetValue(instField._id, out excStatus)))
{
return;
}
Tick tick = new Tick
{
AskPrice = e.Tick.AskPrice,
AveragePrice = e.Tick.AveragePrice,
BidPrice = e.Tick.BidPrice,
LastPrice = e.Tick.LastPrice,
LowerLimitPrice = e.Tick.LowerLimitPrice,
OpenInterest = e.Tick.OpenInterest,
UpperLimitPrice = e.Tick.UpperLimitPrice,
AskVolume = e.Tick.AskVolume,
BidVolume = e.Tick.BidVolume,
InstrumentID = e.Tick.InstrumentID,
TradingDay = int.Parse(_tradingDay),
UpdateMillisec = e.Tick.UpdateMillisec,
UpdateTime = e.Tick.UpdateTime,
Volume = e.Tick.Volume,
};
//20170720全处理,避免000的行情错误.
//if (_t.DicExcStatus.Count > 1) //非模拟才进行处理
if (!_dataProcess.FixTick(tick, _tradingDay, _dataProcess.InstrumentInfo[tick.InstrumentID].ProductID)) //修正tick时间格式:yyyMMdd HH:mm:ss
{
return;
}
foreach (var stra in _dicStrategies.Values)
{
if (stra.EnableTick)
{
foreach (var data in stra.Datas)
{
if (data.Instrument == tick.InstrumentID)
{
if (sender == null) //tick回测
{
data.OnTick(tick);
}
else
{
ThreadPool.QueueUserWorkItem((state) => data.OnTick(tick));
}
}
}
}
}
//处理000数据;20170719增加状态判断，非交易时段会收到脏数据！=>fixtick处理
Tick f000;
if (_dicTick000.TryGetValue(instField._id + "000", out f000)) //yyyyMMdd HH:mm:ss格式比较
{
if (_dicTick000.TryAdd(tick.InstrumentID, tick))
{
return; //首个tick只保存不处理
}
if (excStatus != ExchangeStatusType.Trading)
{
return; //只在交易时段处理数据
}
if (tick.UpdateTime.CompareTo(f000.UpdateTime) <= 0 || string.IsNullOrEmpty(f000.UpdateTime)) //第2个tick再处理;增加稳定性
{
_dicTick000[tick.InstrumentID] = tick; //注意f000的先后顺序
f000.UpdateTime = tick.UpdateTime;
return;
}
f000.UpdateTime = tick.UpdateTime;
double priceTick = instField.PriceTick;
int sumV = 0;
double sumI = 0;
List <Tick> ts = new List <Tick>();
foreach (var instInfo in _dataProcess.InstrumentInfo.Values.Where(n => n.ProductID == instField._id))
{
if (instInfo._id == f000.InstrumentID)
{
continue;
}
Tick md;
if (!_dicTick000.TryGetValue(instInfo._id, out md))
{
continue;
}
if (md.OpenInterest <= 0)
{
continue;
}
ts.Add(md);
}
//无有用数据:不处理
if (ts.Count > 0)
{
foreach (var v in ts)
{
sumV += v.Volume;
sumI += v.OpenInterest;
}
f000.Volume = sumV;
f000.OpenInterest = sumI;
f000.UpdateTime = tick.UpdateTime;
//数据初始化
f000.LastPrice = 0;
f000.BidPrice = 0;
f000.BidVolume = 0;
f000.AskPrice = 0;
f000.AskVolume = 0;
f000.AveragePrice = 0;
foreach (var v in ts)
{
double rate = v.OpenInterest / sumI;
f000.LastPrice += (v.LastPrice * rate);
f000.BidPrice += (v.BidPrice * rate);
f000.BidVolume += v.BidVolume;
f000.AskPrice += (v.AskPrice * rate);
f000.AskVolume += v.AskVolume;
f000.AveragePrice += (v.AveragePrice * rate);
}
//数据修正
f000.LastPrice = Math.Round(f000.LastPrice / priceTick, 0) * priceTick;
f000.BidPrice = Math.Round(f000.BidPrice / priceTick, 0) * priceTick;
f000.AskPrice = Math.Round(f000.AskPrice / priceTick, 0) * priceTick;
f000.AveragePrice = Math.Round(f000.AveragePrice / priceTick, 0) * priceTick;
foreach (var stra in _dicStrategies.Values)
{
if (stra.EnableTick)
{
foreach (var data in stra.Datas)
{
if (data.Instrument == f000.InstrumentID)
{
if (sender == null) //tick回测
{
data.OnTick(tick);
}
else
{
ThreadPool.QueueUserWorkItem((state) => data.OnTick(f000));
}
}
}
}
}
}
//更新合约数据
_dicTick000[tick.InstrumentID] = tick; //注意f000的先后顺序
}
}
void _import_OnRtnExchangeStatus(string pExchange, ExchangeStatusType pStatus)
{
DicExcStatus.AddOrUpdate(pExchange, pStatus, (k, v) => pStatus);
if (_OnRtnExchangeStatus != null)
{
_OnRtnExchangeStatus(this, new StatusEventArgs
{
Exchange = pExchange,
Status = pStatus,
});
}
}