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 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)
{
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 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);
string _altSymbol = GetApiSymbol(altSymbol);
CZQThostFtdcInstrumentField _Instrument;
if (_dictInstruments.TryGetValue(altSymbol, out _Instrument))
{
_altSymbol = _Instrument.InstrumentID;
altExchange = _Instrument.ExchangeID;
}
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record))
{
record = new DataRecord();
record.Instrument = inst;
record.Symbol = _altSymbol;
record.Exchange = altExchange;
_dictAltSymbol2Instrument[altSymbol] = record;
mdlog.Info("订阅合约 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange);
MdApi.MD_Subscribe(m_pMdApi, 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
CZQThostFtdcDepthMarketDataField 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);
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 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange);
MdApi.MD_Unsubscribe(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 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 MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record))
{
record = new DataRecord();
record.Instrument = inst;
record.Symbol = altSymbol;
record.Exchange = altExchange;
_dictAltSymbol2Instrument[MarketStockCode] = record;
mdlog.Info("订阅合约 {0} {1} {2}", MarketStockCode, 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);
string MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, 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)
{
_dictAltSymbol2Instrument.Remove(MarketStockCode);
mdlog.Info("取消合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange);
}
}
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
// need to request as iqfeed's native symbol type, but return as a generic symbol
FIXRelatedSymGroup symgrp;
IQFeedDataRequestRecord rr;
bool tradeRequest = false;
bool quoteRequest = false;
bool marketDepthRequest = false;
if (request.NoMDEntryTypes > 0)
{
FIXMDEntryTypesGroup mdEntryTypesGroup = request.GetMDEntryTypesGroup(0);
switch (mdEntryTypesGroup.MDEntryType)
{
case FIXMDEntryType.Trade: {
tradeRequest = true;
}
break;
case FIXMDEntryType.Bid:
case FIXMDEntryType.Offer: {
if (request.MarketDepth == 1)
{
quoteRequest = true;
}
else
{
marketDepthRequest = true;
}
}
break;
}
}
switch (request.SubscriptionRequestType)
{
case DataManager.MARKET_DATA_SUBSCRIBE:
for (int i = 0; i < request.NoRelatedSym; i++)
{
symgrp = request.GetRelatedSymGroup(i);
string sWatchedSymbol = symgrp.Symbol;
Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol];
foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup)
{
if (Name == grp.SecurityAltIDSource)
{
sWatchedSymbol = grp.SecurityAltID;
}
}
if (tradeRequest || quoteRequest)
{
if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt++;
rr = null;
}
else
{
rr = new IQFeedDataRequestRecord();
rr.request = request;
rr.instrument = instrument;
// Symbol = instrument.GetSymbol(Name); <== hint for other code
rr.sCurrency = symgrp.Currency;
rr.sSecurityType = symgrp.SecurityType;
rr.sSecurityExchange = symgrp.SecurityExchange;
htL1WatchedSymbols.Add(sWatchedSymbol, rr);
Console.WriteLine("MARKET_DATA_SUBSCRIBE {0}", sWatchedSymbol);
if (1 == htL1WatchedSymbols.Count)
{
iqf.HandleFundamentalMessage += new FundamentalMessageHandler(EmitFundamental);
iqf.HandleSummaryMessage += new SummaryMessageHandler(EmitTradeSummary);
iqf.HandleUpdateMessage += new UpdateMessageHandler(EmitQuoteTrade);
}
iqf.startWatch(sWatchedSymbol);
rr = null;
}
}
if (marketDepthRequest)
{
if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt++;
rr = null;
}
else
{
instrument.OrderBook.Clear();
rr = new IQFeedDataRequestRecord();
rr.request = request;
rr.instrument = instrument;
// Symbol = instrument.GetSymbol(Name); <== hint for other code
rr.sCurrency = symgrp.Currency;
rr.sSecurityType = symgrp.SecurityType;
rr.sSecurityExchange = symgrp.SecurityExchange;
htL2WatchedSymbols.Add(sWatchedSymbol, rr);
Console.WriteLine("MARKETDEPTH_DATA_SUBSCRIBE {0}", sWatchedSymbol);
iqfl2.StartWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth));
rr = null;
}
}
}
break;
case DataManager.MARKET_DATA_UNSUBSCRIBE:
for (int i = 0; i < request.NoRelatedSym; i++)
{
symgrp = request.GetRelatedSymGroup(i);
string sWatchedSymbol = symgrp.Symbol;
Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol];
foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup)
{
if (Name == grp.SecurityAltIDSource)
{
sWatchedSymbol = grp.SecurityAltID;
}
}
if (tradeRequest || quoteRequest)
{
if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt--;
if (0 == rr.cnt)
{
Console.WriteLine("MARKET_DATA_UNSUBSCRIBE {0}", sWatchedSymbol);
iqf.stopWatch(sWatchedSymbol);
if (0 == htL1WatchedSymbols.Count)
{
iqf.HandleFundamentalMessage -= new FundamentalMessageHandler(EmitFundamental);
iqf.HandleSummaryMessage -= new SummaryMessageHandler(EmitTradeSummary);
iqf.HandleUpdateMessage -= new UpdateMessageHandler(EmitQuoteTrade);
}
rr.request = null;
rr.instrument = null;
}
rr = null;
}
else
{
throw new ArgumentException("No to stop l1 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol);
}
}
if (marketDepthRequest)
{
if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL2WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt--;
if (0 == rr.cnt)
{
Console.WriteLine("MARKETDEPTH_DATA_UNSUBSCRIBE {0}", sWatchedSymbol);
iqfl2.StopWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth));
rr.request = null;
rr.instrument = null;
}
rr = null;
}
else
{
throw new ArgumentException("No to stop l2 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol);
}
}
}
break;
default:
throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString());
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0;
for (int i = 0; i < request.NoMDEntryTypes; i++)
{
FIXMDEntryTypesGroup mDEntryTypesGroup = request.GetMDEntryTypesGroup(i);
switch (mDEntryTypesGroup.MDEntryType)
{
case '0':
case '1':
if (request.MarketDepth == 1)
{
subscriptionDataType |= SubscriptionDataType.Quotes;
}
else
{
subscriptionDataType |= SubscriptionDataType.OrderBook;
}
break;
case '2':
subscriptionDataType |= SubscriptionDataType.Trades;
break;
}
}
for (int j = 0; j < request.NoRelatedSym; j++)
{
FIXRelatedSymGroup relatedSymGroup = request.GetRelatedSymGroup(j);
SmartQuant.Instruments.Instrument key = SmartQuant.Instruments.InstrumentManager.Instruments[relatedSymGroup.Symbol];
global::OpenQuant.API.Instrument instrument = Map.SQ_OQ_Instrument[key] as global::OpenQuant.API.Instrument;
switch (request.SubscriptionRequestType)
{
case '1':
this.provider.CallSubscribe(instrument, subscriptionDataType);
break;
case '2':
this.provider.CallUnsubscribe(instrument, subscriptionDataType);
break;
default:
throw new Exception("Unknown subscription request type " + request.SubscriptionRequestType);
}
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0;
for (int i = 0; i < request.NoMDEntryTypes; ++i)
{
switch (request.GetMDEntryTypesGroup(i).MDEntryType)
{
case '0':
case '1':
if (request.MarketDepth == 1)
{
subscriptionDataType |= SubscriptionDataType.Quotes;
break;
}
else
{
subscriptionDataType |= SubscriptionDataType.OrderBook;
break;
}
case '2':
subscriptionDataType |= SubscriptionDataType.Trades;
break;
}
}
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FreeQuant.Instruments.Instrument instrument1 = FreeQuant.Instruments.InstrumentManager.Instruments[request.GetRelatedSymGroup(i).Symbol];
Instrument instrument2 = Map.FQ_OQ_Instrument[(object)instrument1] as Instrument;
switch (request.SubscriptionRequestType)
{
case '1':
this.provider.CallSubscribe(instrument2, subscriptionDataType);
break;
case '2':
this.provider.CallUnsubscribe(instrument2, subscriptionDataType);
break;
default:
throw new Exception("Unknown subscription request type " + (object)request.SubscriptionRequestType);
}
}
}
public override void Send(FIXMarketDataRequest Request)
{
//Console.WriteLine("REQUEST");
QuickFix42.MarketDataRequest request = new QuickFix42.MarketDataRequest(
new QuickFix.MDReqID(Request.MDReqID),
new QuickFix.SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT), //GS FIX
new QuickFix.MarketDepth(5)); //GS FIX
//request.set(new QuickFix.MDUpdateType(Request.MDUpdateType));
//request.set(new QuickFix.AggregatedBook(Request.AggregatedBook));
QuickFix42.MarketDataRequest.NoMDEntryTypes typeGroup;
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Bid));
request.addGroup(typeGroup);
typeGroup.Dispose();
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Offer));
request.addGroup(typeGroup);
typeGroup.Dispose();
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Trade));
request.addGroup(typeGroup);
typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Open));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Close));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.High));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Low));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
QuickFix42.MarketDataRequest.NoRelatedSym symGroup = new QuickFix42.MarketDataRequest.NoRelatedSym();
FIXRelatedSymGroup Group = Request.GetRelatedSymGroup(0);
symGroup.set(new QuickFix.Symbol(Group.Symbol.Substring(0, 6)));
if (Group.Symbol.StartsWith("60") || Group.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
symGroup.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Group.Symbol.StartsWith("00") || Group.Symbol.StartsWith("30") || Group.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
symGroup.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
//if (Group.ContainsField(EFIXField.SecurityType)) symGroup.set(new QuickFix.SecurityType(Group.SecurityType));
//if (Group.ContainsField(EFIXField.MaturityMonthYear)) symGroup.set(new QuickFix.MaturityMonthYear(Group.MaturityMonthYear));
//if (Group.ContainsField(EFIXField.MaturityDay )) symGroup.set(new QuickFix.MaturityDay (Group.MaturityDay ));
//if (Group.ContainsField(EFIXField.PutOrCall )) symGroup.set(new QuickFix.PutOrCall (Group.PutOrCall ));
//if (Group.ContainsField(EFIXField.StrikePrice)) symGroup.set(new QuickFix.StrikePrice(Group.StrikePrice));
//if (Group.ContainsField(EFIXField.OptAttribute)) symGroup.set(new QuickFix.OptAttribute(Group.OptAttribute));
//if (Group.ContainsField(EFIXField.SecurityID)) symGroup.set(new QuickFix.SecurityID(Group.SecurityID));
//if (Group.ContainsField(EFIXField.SecurityExchange)) symGroup.set(new QuickFix.SecurityExchange(Group.SecurityExchange));
request.addGroup(symGroup);
symGroup.Dispose();
if(base.priceSessionID == null)
Session.sendToTarget(request, orderSessionID);
else
Session.sendToTarget(request, priceSessionID);
}
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 MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record))
{
record = new DataRecord();
record.Instrument = inst;
record.Symbol = altSymbol;
record.Exchange = altExchange;
_dictAltSymbol2Instrument[MarketStockCode] = record;
mdlog.Info("订阅合约 {0} {1} {2}", MarketStockCode, 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);
string MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, 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)
{
_dictAltSymbol2Instrument.Remove(MarketStockCode);
mdlog.Info("取消合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange);
}
}
}
}