public OnRspQryDepthMarketDataArgs(ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pDepthMarketData = pDepthMarketData;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
private void OnRspQryDepthMarketData_callback(object sender, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryDepthMarketData)
{
OnRspQryDepthMarketData(this, new OnRspQryDepthMarketDataArgs(ref pDepthMarketData, ref pRspInfo, nRequestID, bIsLast));
}
}
public void FireOnRspQryDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (null != OnRspQryDepthMarketData)
{
OnRspQryDepthMarketData(pDepthMarketData);
}
}
private void OnRtnDepthMarketData_callback(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (null != OnRtnDepthMarketData)
{
OnRtnDepthMarketData(this, new OnRtnDepthMarketDataArgs(pMdUserApi, ref pDepthMarketData));
}
}
/// <summary>
/// 行情数据回调函数，同时引发_OnTick多播事件。
/// </summary>
/// <param name="pDepthMarketData"></param>
private void CMdApi_OnRtnDepthMarketData(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
//添加到字典中
string instrumentIDKey = pDepthMarketData.InstrumentID;
DepthMarketData dmd = this._DictDepthMarketData[instrumentIDKey];
dmd.CThostFtdcMarketDepthDataFieldInstance = pDepthMarketData;
this._OnRtnDMD?.Invoke(dmd);
//后台线程调用OnTick多播委托
//Task.Run(() =>
//{
Tick tick = new Tick();
tick.AskPrice = dmd.AskPrice1;
tick.BidPrice = dmd.BidPrice1;
tick.AskVolume = dmd.AskVolume1;
tick.BidVolume = dmd.BidVolume1;
tick.InstrumentID = dmd.InstrumentID;
tick.LastPrice = dmd.LastPrice;
tick.OpenInt = dmd.OpenInterest;
tick.UpdateTime = dmd.TradingDay + " " + dmd.UpdateTime;
tick.UpdateMillisec = dmd.UpdateMillisec;
tick.Volume = dmd.Volume;
_OnRtnTick?.Invoke(tick);
//}
//);
//引发更新事件
//this._queueDepthMarketDataField.Enqueue(pDepthMarketData);
//Task.Run(() => TaskProcessor(this._queueDepthMarketDataField, _cts.Token));
}
void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
// 得打开EmitOnRtnDepthMarketData开关
Console.WriteLine("++订阅深度行情");
Console.WriteLine(pDepthMarketData.InstrumentID);
Console.WriteLine(pDepthMarketData.LastPrice);
Console.WriteLine(pDepthMarketData.OpenInterest);
}
void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
Console.WriteLine("==取深度行情");
Console.WriteLine(pDepthMarketData.InstrumentID);
Console.WriteLine(pDepthMarketData.LastPrice);
Console.WriteLine(pDepthMarketData.UpperLimitPrice);
Console.WriteLine(pDepthMarketData.LowerLimitPrice);
}
static void onRtnDepthMarketDataCallback(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
//if (!string.IsNullOrWhiteSpace(pDepthMarketData.InstrumentID) && !pDepthMarketData.InstrumentID.StartsWith("SP"))
strMarketData += pDepthMarketData.LastPrice.ToString() + "\t" + pDepthMarketData.Volume.ToString() + "\r";
Console.WriteLine(pDepthMarketData.LastPrice.ToString() + "\t" + pDepthMarketData.Volume.ToString() + "\r");
theCount += 1;
}
private void CMdApi_OnRtnDepthMarketData(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField dmdf = pDepthMarketData;
this._dicDepthMarketData[dmdf.InstrumentID].CThostFtdcMarketDepthDataFieldInstance = dmdf;
Task.Run(() => _OnTick?.Invoke(this._dicDepthMarketData[dmdf.InstrumentID]));
//引发更新事件
//this._queueDepthMarketDataField.Enqueue(pDepthMarketData);
//Task.Run(() => TaskProcessor(this._queueDepthMarketDataField, _cts.Token));
}
public virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (SwigDerivedClassHasMethod("OnRtnDepthMarketData", swigMethodTypes10))
{
thostmdapiPINVOKE.CThostFtdcMdSpi_OnRtnDepthMarketDataSwigExplicitCThostFtdcMdSpi(swigCPtr, CThostFtdcDepthMarketDataField.getCPtr(pDepthMarketData));
}
else
{
thostmdapiPINVOKE.CThostFtdcMdSpi_OnRtnDepthMarketData(swigCPtr, CThostFtdcDepthMarketDataField.getCPtr(pDepthMarketData));
}
}
public override void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (pDepthMarketData != null)
{
Console.WriteLine("OnRtnDepthMarketData {0} {1} {2}", pDepthMarketData.InstrumentID,
pDepthMarketData.UpdateTime, pDepthMarketData.LastPrice);
}
else
{
Console.WriteLine("Empty market data");
}
}
/// <summary>
/// 行情数据回调
/// </summary>
/// <param name="pDepthMarketData">深度行情</param>
private void OnRtnDepthMarketData(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CTPMarketData marketData = new CTPMarketData()
{
InstrmentID = pDepthMarketData.InstrumentID,
ExchangeID = pDepthMarketData.ExchangeInstID,
LastPrice = ConvertToDecimal(pDepthMarketData.LastPrice),
PreSettlementPrice = ConvertToDecimal(pDepthMarketData.PreSettlementPrice),
PreClosePrice = ConvertToDecimal(pDepthMarketData.PreClosePrice),
PreOpenInterest = ConvertToDecimal(pDepthMarketData.PreOpenInterest),
OpenPrice = ConvertToDecimal(pDepthMarketData.OpenPrice),
HighestPrice = ConvertToDecimal(pDepthMarketData.HighestPrice),
LowestPrice = ConvertToDecimal(pDepthMarketData.LowestPrice),
Volume = pDepthMarketData.Volume,
Turnover = ConvertToDecimal(pDepthMarketData.Turnover),
OpenInterest = ConvertToDecimal(pDepthMarketData.OpenInterest),
ClosePrice = ConvertToDecimal(pDepthMarketData.ClosePrice),
SettlementPrice = ConvertToDecimal(pDepthMarketData.SettlementPrice),
UpperLimitPrice = ConvertToDecimal(pDepthMarketData.UpperLimitPrice),
LowerLimitPrice = ConvertToDecimal(pDepthMarketData.LowerLimitPrice),
BidPrice1 = ConvertToDecimal(pDepthMarketData.BidPrice1),
BidPrice2 = ConvertToDecimal(pDepthMarketData.BidPrice2),
BidPrice3 = ConvertToDecimal(pDepthMarketData.BidPrice3),
BidPrice4 = ConvertToDecimal(pDepthMarketData.BidPrice4),
BidPrice5 = ConvertToDecimal(pDepthMarketData.BidPrice5),
BidVolume1 = pDepthMarketData.BidVolume1,
BidVolume2 = pDepthMarketData.BidVolume2,
BidVolume3 = pDepthMarketData.BidVolume3,
BidVolume4 = pDepthMarketData.BidVolume4,
BidVolume5 = pDepthMarketData.BidVolume5,
AskPrice1 = ConvertToDecimal(pDepthMarketData.AskPrice1),
AskPrice2 = ConvertToDecimal(pDepthMarketData.AskPrice2),
AskPrice3 = ConvertToDecimal(pDepthMarketData.AskPrice3),
AskPrice4 = ConvertToDecimal(pDepthMarketData.AskPrice4),
AskPrice5 = ConvertToDecimal(pDepthMarketData.AskPrice5),
AskVolume1 = pDepthMarketData.AskVolume1,
AskVolume2 = pDepthMarketData.AskVolume2,
AskVolume3 = pDepthMarketData.AskVolume3,
AskVolume4 = pDepthMarketData.AskVolume4,
AskVolume5 = pDepthMarketData.AskVolume5,
};
if (marketData.LastPrice > 0 && marketData.PreClosePrice > 0)
{
marketData.AdvanceDeclineAmount = marketData.LastPrice - marketData.PreClosePrice;
marketData.AdvanceDecline = Math.Round(marketData.AdvanceDeclineAmount / marketData.PreClosePrice, 4,
MidpointRounding.AwayFromZero);
}
if (OnMarketDataChanged != null)
{
OnMarketDataChanged.Invoke(marketData);
}
}
void quote_DepthMarketDataResponse(object sender, CTPEventArgs <CThostFtdcDepthMarketDataField> e)
{
CThostFtdcDepthMarketDataField newValue = e.Value;
UpdateBindTable(this.idQuoteDataGridView, e.Value,
(DataRow row, Object obj) =>
{
CThostFtdcDepthMarketDataField data = (CThostFtdcDepthMarketDataField)obj;
return(row["InstrumentID"].ToString() == data.InstrumentID);
});
//this.idQuoteDataGridView.InvalidateRow(index);
}
public override void OnRtnQuote(TapAPIQuoteWhole info)
{
if (info != null)
{
var field = new CThostFtdcDepthMarketDataField()
{
TradingDay = "",
InstrumentID = info.Contract.Commodity.CommodityNo + info.Contract.ContractNo1,
ExchangeID = info.Contract.Commodity.ExchangeNo,
ExchangeInstID = "",
LastPrice = info.QLastPrice,
Volume = (int)info.QLastQty
};
_callbackApi.OnRtnDepthMarketData(field);
}
}
public static bool TryConvert(Quote quote, ref CThostFtdcDepthMarketDataField DepthMarketData)
{
#if OQ
if (quoteField == null)
{
quoteField = typeof(Quote).GetField("quote", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPQuote q = quoteField.GetValue(quote) as CTPQuote;
#elif QD
CTPQuote q = quote as CTPQuote;
#endif
if (null != q)
{
DepthMarketData = q.DepthMarketData;
return(true);
}
return(false);
}
public static bool TryConvert(Trade trade, ref CThostFtdcDepthMarketDataField DepthMarketData)
{
#if OQ
if (tradeField == null)
{
tradeField = typeof(Trade).GetField("trade", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPTrade t = tradeField.GetValue(trade) as CTPTrade;
#elif QD
CTPTrade t = trade as CTPTrade;
#endif
if (null != t)
{
DepthMarketData = t.DepthMarketData;
return(true);
}
return(false);
}
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);
}
}
public OnRspQryDepthMarketDataArgs(IntPtr pTraderApi, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pDepthMarketData = pDepthMarketData;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
private void OnRtnDepthMarketData_callback(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (null != OnRtnDepthMarketData)
{
OnRtnDepthMarketData(this, new OnRtnDepthMarketDataArgs(pMdUserApi, ref pDepthMarketData));
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
#if CTP
string symbol = pDepthMarketData.InstrumentID;
#elif CTPZQ
string symbol = GetYahooSymbol(pDepthMarketData.InstrumentID, pDepthMarketData.ExchangeID);
#endif
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(symbol, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", symbol);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(symbol, 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[symbol] = 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
#if CTP
ChangeActionDay(pDepthMarketData.ActionDay);
#else
ChangeActionDay(pDepthMarketData.TradingDay);
#endif
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;
}
// 使用新的类,保存更多信息
CTPTrade trade = new CTPTrade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
// 记录深度数据
trade.DepthMarketData = pDepthMarketData;
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
CTPQuote quote = new CTPQuote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
quote.DepthMarketData = pDepthMarketData;
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
bool bAsk = true;
bool bBid = true;
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
}
#if CTPZQ
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
}
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
}
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
}
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
#endif
}
}
public OnRtnDepthMarketDataArgs(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
this.pMdUserApi = pMdUserApi;
this.pDepthMarketData = pDepthMarketData;
}
private void OnRtnDepthMarketData_3(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
OnRtnDepthMarketData_1(this, pMdUserApi, ref pDepthMarketData);
}
///请求查询行情响应
public void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData,
CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
Console.WriteLine("OnRspQryDepthMarketData");
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CThostFtdcDepthMarketDataField obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
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
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);
}
//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，强行将设置为0
volume = 0;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
EmitNewTradeEvent(_dictAltSymbol2Instrument[pDepthMarketData.InstrumentID], trade);
}
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(_dictAltSymbol2Instrument[pDepthMarketData.InstrumentID], quote);
}
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
}
}
private void OnRspQryDepthMarketData_callback(IntPtr pTraderApi, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryDepthMarketData)
{
OnRspQryDepthMarketData(this, new OnRspQryDepthMarketDataArgs(pTraderApi, ref pDepthMarketData, ref pRspInfo, nRequestID, bIsLast));
}
}
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
CThostFtdcDepthMarketDataField DepthMarket;
Instrument inst = InstrumentManager.Instruments[group.Symbol];
string altSymbol = inst.GetSymbol(this.Name);
if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket))
{
DepthMarket = new CThostFtdcDepthMarketDataField();
_dictDepthMarketData.Add(altSymbol, DepthMarket);
}
_dictAltSymbol2Instrument[altSymbol] = inst;
MdApi.MD_Subscribe(m_pMdApi, altSymbol);
}
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);
_dictDepthMarketData.Remove(altSymbol);
MdApi.MD_Unsubscribe(m_pMdApi, altSymbol);
}
break;
default:
throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString());
}
}
}
private void OnRtnDepthMarketData_3(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
OnRtnDepthMarketData_1(this, pMdUserApi, ref pDepthMarketData);
}
public OnRtnDepthMarketDataArgs(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
this.pMdUserApi = pMdUserApi;
this.pDepthMarketData = pDepthMarketData;
}
private void OnRspQryDepthMarketData_3(ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
OnRspQryDepthMarketData_1(this, ref pDepthMarketData, ref pRspInfo, nRequestID, bIsLast);
}
//构造函数
public DepthMarketData(CThostFtdcDepthMarketDataField dmdf)
{
this.CThostFtdcMarketDepthDataFieldInstance = dmdf;
this._futureCode = GetFutureCode(_dmdf.InstrumentID);
Notify("");
}
private void OnRspQryDepthMarketData_3(IntPtr pTraderApi, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
OnRspQryDepthMarketData_1(this, pTraderApi, ref pDepthMarketData, ref pRspInfo, nRequestID, bIsLast);
}
/// <summary>
/// 深度行情通知，当SubscribeMarketData订阅行情后，行情通知由此推送
/// </summary>
/// <param name="pDepthMarketData"></param>
private void CTPOnRtnDepthMarketData(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField f = pDepthMarketData;
if (string.IsNullOrEmpty(f.InstrumentID) || string.IsNullOrEmpty(f.UpdateTime) || double.IsInfinity(f.UpperLimitPrice)) //过滤无穷大/小
{
return;
}
//修正last=double.max
if (Math.Abs(f.LastPrice - double.MaxValue) < double.Epsilon)
{
if (Math.Abs(f.AskPrice1 - double.MaxValue) > double.Epsilon)
{
f.LastPrice = f.AskPrice1;
}
else if (Math.Abs(f.BidPrice1 - double.MaxValue) > double.Epsilon)
{
f.LastPrice = f.BidPrice1;
}
else
{
return;
}
}
//去掉tradingday字段
//if (string.IsNullOrEmpty(f.TradingDay))
//{
// f.TradingDay = this.TradingDay; //日期:实盘中某些交易所,此字段为空
//}
//if (string.IsNullOrEmpty(f.ActionDay)) //此字段可能为空
//{
// f.ActionDay = this.TradingDay;
//}
//f.ExchangeID = instrument.ExchangeID;
//处理,单边有挂边的情况
if (f.AskPrice1 > f.UpperLimitPrice) //未赋值的数据
{
f.AskPrice1 = f.LastPrice;
}
if (f.BidPrice1 > f.UpperLimitPrice)
{
f.BidPrice1 = f.LastPrice;
}
//修最高/最低
if (Math.Abs(f.HighestPrice - double.MaxValue) < double.Epsilon)
{
f.HighestPrice = f.AskPrice1;
}
if (Math.Abs(f.LowestPrice - double.MaxValue) < double.Epsilon)
{
f.LowestPrice = f.BidPrice1;
}
HaiFeng.MarketData tick = DicTick.GetOrAdd(f.InstrumentID, new HaiFeng.MarketData
{
InstrumentID = f.InstrumentID,
});
if (f.UpdateMillisec == 0 && f.UpdateTime == tick.UpdateTime && tick.UpdateMillisec < 990) //某些交易所(如郑商所)相同秒数的ms均为0
{
f.UpdateMillisec = tick.UpdateMillisec + 10;
}
tick.AskPrice = f.AskPrice1;
tick.AskVolume = f.AskVolume1;
tick.AveragePrice = f.AveragePrice;
tick.BidPrice = f.BidPrice1;
tick.BidVolume = f.BidVolume1;
tick.LastPrice = f.LastPrice;
tick.OpenInterest = f.OpenInterest;
tick.UpdateMillisec = f.UpdateMillisec;
tick.UpdateTime = f.UpdateTime;
tick.Volume = f.Volume;
tick.UpperLimitPrice = f.UpperLimitPrice;
tick.LowerLimitPrice = f.LowerLimitPrice;
//避免突然的波动
bool crack = false;
if (tick.LastPrice != 0) //非首tick
{
crack = Math.Abs(this.DicTick[tick.InstrumentID].LastPrice - tick.LastPrice) > 100 * (f.AskPrice1 - f.BidPrice1);
}
this.DicTick[tick.InstrumentID] = tick;
if (_OnRtnTick == null || crack)
{
return; //剧烈波动过滤掉
}
_OnRtnTick(this, new TickEventArgs
{
Tick = tick
});
}
public override void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData, CThostFtdcRspInfoField pRspInfo,
int nRequestID, bool bIsLast)
{
_callbackApi.OnRspQryDepthMarketData(pDepthMarketData, pRspInfo, nRequestID, bIsLast);
}
/// <summary>
/// 行情回报
/// </summary>
/// <param name="pDepthMarketData"></param>
public virtual void OnRtnDepthMarketData(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
}
public OnRtnDepthMarketDataArgs(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
this.pDepthMarketData = pDepthMarketData;
}
