public AltIDGroup Add(string altSource)
{
foreach (FIXSecurityAltIDGroup fIXSecurityAltIDGroup in this.instrument.instrument.SecurityAltIDGroup)
{
if (fIXSecurityAltIDGroup.SecurityAltIDSource == altSource)
{
return new AltIDGroup(this.instrument, fIXSecurityAltIDGroup);
}
}
FIXSecurityAltIDGroup fIXSecurityAltIDGroup2 = new FIXSecurityAltIDGroup();
fIXSecurityAltIDGroup2.SecurityAltIDSource = altSource;
this.instrument.instrument.SecurityAltIDGroup.Add(fIXSecurityAltIDGroup2);
return new AltIDGroup(this.instrument, fIXSecurityAltIDGroup2);
}
public void SendSecurityDefinitionRequest(FIXSecurityDefinitionRequest request)
{
lock (this)
{
if (!_bTdConnected)
{
EmitError(-1, -1, "交易没有连接，无法获取合约列表");
tdlog.Error("交易没有连接，无法获取合约列表");
return;
}
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 <CThostFtdcInstrumentField> list = new List <CThostFtdcInstrumentField>();
foreach (CThostFtdcInstrumentField inst in _dictInstruments.Values)
{
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (inst.InstrumentID.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (inst.ExchangeID.ToUpper().StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (securityType == GetSecurityType(inst))
{
++flag;
}
}
if (3 == flag)
{
list.Add(inst);
}
}
#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 (CThostFtdcInstrumentField inst in list)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count
};
{
string securityType2 = GetSecurityType(inst);
definition.AddField(EFIXField.SecurityType, securityType2);
}
{
double x = inst.PriceTick;
if (x > 0.00001)
{
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);
}
}
#if CTP
definition.AddField(EFIXField.Symbol, inst.InstrumentID);
#elif CTPZQ
definition.AddField(EFIXField.Symbol, GetYahooSymbol(inst.InstrumentID, inst.ExchangeID));
#endif
definition.AddField(EFIXField.SecurityExchange, inst.ExchangeID);
definition.AddField(EFIXField.Currency, "CNY");//Currency.CNY
definition.AddField(EFIXField.SecurityDesc, inst.InstrumentName);
definition.AddField(EFIXField.Factor, (double)inst.VolumeMultiple);
if (inst.ProductClass == TThostFtdcProductClassType.Futures || inst.ProductClass == TThostFtdcProductClassType.Options)
{
try
{
definition.AddField(EFIXField.MaturityDate, DateTime.ParseExact(inst.ExpireDate, "yyyyMMdd", CultureInfo.InvariantCulture));
}
catch (Exception ex)
{
tdlog.Warn("合约:{0},字段内容:{1},{2}", inst.InstrumentID, inst.ExpireDate, ex.Message);
}
//if (inst.ProductClass == TThostFtdcProductClassType.Options)
//{
// // 支持中金所，大商所，郑商所
// var match = Regex.Match(inst.InstrumentID, @"(\d+)(-?)([CP])(-?)(\d+)");
// if (match.Success)
// {
// definition.AddField(EFIXField.PutOrCall, match.Groups[3].Value == "C" ? FIXPutOrCall.Call : FIXPutOrCall.Put);
// definition.AddField(EFIXField.StrikePrice, double.Parse(match.Groups[5].Value));
// }
//}
}
// 中金所仿真平台下，居然全设的是股票
var match = Regex.Match(inst.InstrumentID, @"(\d+)(-?)([CP])(-?)(\d+)");
if (match.Success)
{
definition.AddField(EFIXField.PutOrCall, match.Groups[3].Value == "C" ? FIXPutOrCall.Call : FIXPutOrCall.Put);
definition.AddField(EFIXField.StrikePrice, double.Parse(match.Groups[5].Value));
}
FIXSecurityAltIDGroup group = new FIXSecurityAltIDGroup();
group.SecurityAltID = inst.InstrumentID;
group.SecurityAltExchange = inst.ExchangeID;
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 (this)
{
if (!_bTdConnected)
{
EmitError(-1, -1, "交易没有连接，无法获取合约列表");
tdlog.Error("交易没有连接，无法获取合约列表");
return;
}
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 <DFITCExchangeInstrumentRtnField> list = new List <DFITCExchangeInstrumentRtnField>();
foreach (DFITCExchangeInstrumentRtnField inst in _dictInstruments.Values)
{
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (inst.InstrumentID.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (inst.ExchangeID.ToUpper().StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (FIXSecurityType.Future == securityType)
{
if (DFITCInstrumentTypeType.COMM_TYPE == inst.instrumentType)
{
++flag;
}
}
//else if (FIXSecurityType.MultiLegInstrument == securityType)//理解上是否有问题
//{
// if (TThostFtdcProductClassType.Combination == inst.ProductClass)
// {
// ++flag;
// }
//}
else if (FIXSecurityType.FutureOption == securityType)
{
if (DFITCInstrumentTypeType.OPT_TYPE == inst.instrumentType)
{
++flag;
}
}
}
if (3 == flag)
{
list.Add(inst);
}
}
#endregion
#region 过滤1
List <DFITCAbiInstrumentRtnField> list1 = new List <DFITCAbiInstrumentRtnField>();
foreach (DFITCAbiInstrumentRtnField inst in _dictAbiInstruments.Values)
{
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (inst.InstrumentID.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (inst.ExchangeID.ToUpper().StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (FIXSecurityType.MultiLegInstrument == securityType)
{
++flag;
}
}
if (3 == flag)
{
list1.Add(inst);
}
}
#endregion
list.Sort(SortDFITCExchangeInstrumentRtnField);
list1.Sort(SortDFITCAbiInstrumentRtnField);
//如果查出的数据为0，应当想法立即返回
if (0 == list.Count && 0 == list1.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));
}
}
#region 期货 期权
foreach (DFITCExchangeInstrumentRtnField inst in list)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count + list1.Count,
};
{
string securityType2;
switch (inst.instrumentType)
{
case DFITCInstrumentTypeType.COMM_TYPE:
securityType2 = FIXSecurityType.Future;
break;
case DFITCInstrumentTypeType.OPT_TYPE:
securityType2 = FIXSecurityType.FutureOption;
var match = Regex.Match(inst.InstrumentID, @"(\d+)(-?)([CP])(-?)(\d+)");
if (match.Success)
{
definition.AddField(EFIXField.PutOrCall, match.Groups[3].Value == "C" ? FIXPutOrCall.Call : FIXPutOrCall.Put);
definition.AddField(EFIXField.StrikePrice, double.Parse(match.Groups[5].Value));
}
break;
default:
securityType2 = FIXSecurityType.NoSecurityType;
break;
}
definition.AddField(EFIXField.SecurityType, securityType2);
}
{
double x = inst.minPriceFluctuation;
int i = 0;
for (; x - (int)x != 0; ++i)
{
x = x * 10;
}
definition.AddField(EFIXField.PriceDisplay, string.Format("F{0}", i));
}
definition.AddField(EFIXField.Symbol, inst.InstrumentID);
definition.AddField(EFIXField.SecurityExchange, inst.ExchangeID);
definition.AddField(EFIXField.Currency, "CNY");//Currency.CNY
definition.AddField(EFIXField.TickSize, inst.minPriceFluctuation);
definition.AddField(EFIXField.SecurityDesc, inst.VarietyName);
definition.AddField(EFIXField.Factor, inst.contractMultiplier);
try
{
definition.AddField(EFIXField.MaturityDate, DateTime.ParseExact(inst.instrumentMaturity, "yyyy.MM.dd", CultureInfo.InvariantCulture));
}
catch (Exception ex)
{
tdlog.Warn("合约:{0},字段内容:{1},{2}", inst.InstrumentID, inst.instrumentMaturity, ex.Message);
}
FIXSecurityAltIDGroup group = new FIXSecurityAltIDGroup();
group.SecurityAltID = inst.InstrumentID;
group.SecurityAltExchange = inst.ExchangeID;
group.SecurityAltIDSource = this.Name;
definition.AddGroup(group);
//还得补全内容
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
#endregion
#region 组合
foreach (DFITCAbiInstrumentRtnField inst in list1)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count + list1.Count,
};
string securityType2 = FIXSecurityType.MultiLegInstrument;
definition.AddField(EFIXField.SecurityType, securityType2);
definition.AddField(EFIXField.Symbol, inst.InstrumentID); //
definition.AddField(EFIXField.SecurityExchange, inst.ExchangeID);
definition.AddField(EFIXField.Currency, "CNY"); //Currency.CNY
definition.AddField(EFIXField.SecurityDesc, inst.instrumentName);
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
#endregion
}
}
internal AltIDGroup(Instrument instrument, FIXSecurityAltIDGroup group)
{
this.group = group;
this.instrument = instrument;
}
public void SendSecurityDefinitionRequest(FIXSecurityDefinitionRequest request)
{
lock (this)
{
if (!_bTdConnected)
{
EmitError(-1, -1, "交易没有连接，无法获取合约列表");
tdlog.Error("交易没有连接，无法获取合约列表");
return;
}
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<CThostFtdcInstrumentField> list = new List<CThostFtdcInstrumentField>();
foreach (CThostFtdcInstrumentField inst in _dictInstruments.Values)
{
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (inst.InstrumentID.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (inst.ExchangeID.ToUpper().StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (securityType == GetSecurityType(inst))
{
++flag;
}
}
if (3==flag)
{
list.Add(inst);
}
}
#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 (CThostFtdcInstrumentField inst in list)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count
};
{
string securityType2 = GetSecurityType(inst);
definition.AddField(EFIXField.SecurityType, securityType2);
}
{
double x = inst.PriceTick;
if (x > 0.00001)
{
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);
}
}
#if CTP
definition.AddField(EFIXField.Symbol, inst.InstrumentID);
#elif CTPZQ
definition.AddField(EFIXField.Symbol, GetYahooSymbol(inst.InstrumentID, inst.ExchangeID));
#endif
definition.AddField(EFIXField.SecurityExchange, inst.ExchangeID);
definition.AddField(EFIXField.Currency, "CNY");//Currency.CNY
definition.AddField(EFIXField.SecurityDesc, inst.InstrumentName);
definition.AddField(EFIXField.Factor, (double)inst.VolumeMultiple);
if(inst.ProductClass == TThostFtdcProductClassType.Futures||inst.ProductClass == TThostFtdcProductClassType.Options)
{
try
{
definition.AddField(EFIXField.MaturityDate, DateTime.ParseExact(inst.ExpireDate, "yyyyMMdd", CultureInfo.InvariantCulture));
}
catch (Exception ex)
{
tdlog.Warn("合约:{0},字段内容:{1},{2}", inst.InstrumentID, inst.ExpireDate, ex.Message);
}
//if (inst.ProductClass == TThostFtdcProductClassType.Options)
//{
// // 支持中金所，大商所，郑商所
// var match = Regex.Match(inst.InstrumentID, @"(\d+)(-?)([CP])(-?)(\d+)");
// if (match.Success)
// {
// definition.AddField(EFIXField.PutOrCall, match.Groups[3].Value == "C" ? FIXPutOrCall.Call : FIXPutOrCall.Put);
// definition.AddField(EFIXField.StrikePrice, double.Parse(match.Groups[5].Value));
// }
//}
}
// 中金所仿真平台下，居然全设的是股票
var match = Regex.Match(inst.InstrumentID, @"(\d+)(-?)([CP])(-?)(\d+)");
if (match.Success)
{
definition.AddField(EFIXField.PutOrCall, match.Groups[3].Value == "C" ? FIXPutOrCall.Call : FIXPutOrCall.Put);
definition.AddField(EFIXField.StrikePrice, double.Parse(match.Groups[5].Value));
}
FIXSecurityAltIDGroup group = new FIXSecurityAltIDGroup();
group.SecurityAltID = inst.InstrumentID;
group.SecurityAltExchange = inst.ExchangeID;
group.SecurityAltIDSource = this.Name;
definition.AddGroup(group);
//还得补全内容
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
}
}
public InstrumentList Load()
{
IDbCommand command1 = this.connection.CreateCommand();
command1.CommandText = "comdd";
IDataReader dataReader1 = command1.ExecuteReader();
while (dataReader1.Read())
{
int int32 = dataReader1.GetInt32(0);
Type type = Type.GetType(dataReader1.GetString(1));
this.aKpdKBGUfP.Add(int32, type);
this.cVFd9nJe3b.Add(type, int32);
}
dataReader1.Close();
command1.Dispose();
IDbCommand command2 = this.connection.CreateCommand();
command2.CommandText = "load";
IDataReader dataReader2 = command2.ExecuteReader();
while (dataReader2.Read())
{
int int32 = dataReader2.GetInt32(0);
Type type = Type.GetType(dataReader2.GetString(1));
this.BuYdCExFpF.Add(int32, type);
this.UXKdMsMyXN.Add(type, int32);
}
dataReader2.Close();
command2.Dispose();
InstrumentList instrumentList = new InstrumentList();
IDbCommand command3 = this.connection.CreateCommand();
command3.CommandText = "load";
IDataReader dataReader3 = command3.ExecuteReader();
while (dataReader3.Read())
{
int int32 = dataReader3.GetInt32(0);
Type type1 = this.aKpdKBGUfP[dataReader3.GetInt32(1)];
Type type2 = this.BuYdCExFpF[dataReader3.GetInt32(2)];
string @string = dataReader3.GetString(3);
Instrument instrument = Activator.CreateInstance(type1, true) as Instrument;
IPricer pricer = Activator.CreateInstance(type2) as IPricer;
instrument.Symbol = @string;
instrument.Id = int32;
instrument.Pricer = pricer;
if (instrumentList[@string] == null)
{
instrumentList.Add(instrument);
}
}
dataReader3.Close();
command3.Dispose();
FIXDbServer.LoadFIXGroups(this.connection, (FIXGroupList)instrumentList, "fsdfs");
LegList legList = new LegList();
IDbCommand command4 = this.connection.CreateCommand();
command4.CommandText = "load";
IDataReader dataReader4 = command4.ExecuteReader();
while (dataReader4.Read())
{
int int32_1 = dataReader4.GetInt32(0);
int int32_2 = dataReader4.GetInt32(1);
int int32_3 = dataReader4.GetInt32(2);
Leg leg = new Leg(instrumentList.GetById(int32_3));
leg.Id = int32_1;
instrumentList.GetById(int32_2).Legs.Add((FIXGroup)leg);
legList.Add((FIXGroup)leg);
}
dataReader4.Close();
command4.Dispose();
FIXDbServer.LoadFIXGroups(this.connection, (FIXGroupList)legList, "");
UnderlyingList underlyingList = new UnderlyingList();
IDbCommand command5 = this.connection.CreateCommand();
command5.CommandText = "load";
IDataReader dataReader5 = command5.ExecuteReader();
while (dataReader5.Read())
{
int int32_1 = dataReader5.GetInt32(0);
int int32_2 = dataReader5.GetInt32(1);
int int32_3 = dataReader5.GetInt32(2);
Underlying underlying = new Underlying(instrumentList.GetById(int32_3));
underlying.Id = int32_1;
instrumentList.GetById(int32_2).Underlyings.Add((FIXGroup)underlying);
underlyingList.Add((FIXGroup)underlying);
}
dataReader5.Close();
command5.Dispose();
FIXDbServer.LoadFIXGroups(this.connection, (FIXGroupList)underlyingList, "dss");
FIXSecurityAltIDGroupList securityAltIdGroupList = new FIXSecurityAltIDGroupList();
IDbCommand command6 = this.connection.CreateCommand();
command6.CommandText = "load";
IDataReader dataReader6 = command6.ExecuteReader();
while (dataReader6.Read())
{
int int32_1 = dataReader6.GetInt32(0);
int int32_2 = dataReader6.GetInt32(1);
FIXSecurityAltIDGroup securityAltIdGroup = new FIXSecurityAltIDGroup();
securityAltIdGroup.Id = int32_1;
instrumentList.GetById(int32_2).SecurityAltIDGroup.Add((FIXGroup)securityAltIdGroup);
securityAltIdGroupList.Add((FIXGroup)securityAltIdGroup);
}
dataReader6.Close();
command6.Dispose();
FIXDbServer.LoadFIXGroups(this.connection, (FIXGroupList)securityAltIdGroupList, "fsfs");
return(instrumentList);
}
private void startSymbol()
{
string sSymbol;
Instrument instrument = null;
if (bSymbolsDone)
{
// do nothing
}
else
{
if (!bAbort && sdr.Read())
{
sSymbol = sdr.GetString(0); // get next symbol in list
cntSymbols++;
try {
instrument = new Instrument(sSymbol, st);
instrument.Currency = "USD";
instrument.SecurityExchange = "SMART";
//instrument.Exchange = "SMART";
FIXSecurityAltIDGroup altid;
altid = new FIXSecurityAltIDGroup();
altid.SecurityAltID = sSymbol;
altid.SecurityAltIDSource = "IB";
instrument.AddGroup(altid);
altid = null;
altid = new FIXSecurityAltIDGroup();
altid.SecurityAltID = sSymbol;
altid.SecurityAltIDSource = "IQFeed";
instrument.AddGroup(altid);
altid = null;
instrument.Save();
}
catch {
//Console.WriteLine( "Caught: Symbol {0} already exists", sSymbol );
instrument = InstrumentManager.Instruments[sSymbol];
}
Console.WriteLine("Starting {0}, {1}", sSymbol, cntSymbols);
//Console.WriteLine("Starting {0}, {1} {2} {3}", sSymbol, cntSymbols, hs.intUseCount, hs.intPlaceInQ);
if (bTick)
{
Send(sSymbol, "Trade", instrument, "HT," + sSymbol + "," + cntTick + ";", cntTick);
}
if (b1min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt1min + ",1;", 60, cnt1min);
}
if (b3min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt3min + ",3;", 180, cnt3min);
}
if (b10min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt10min + ",10;", 600, cnt10min);
}
if (b30min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt30min + ",30;", 1800, cnt30min);
}
if (b2hr)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt2hr + ",120;", 7200, cnt2hr);
}
if (bDaily)
{
//Console.WriteLine( "Starting {0}, {1} {2} {3}", sSymbol, cntSymbols, hs.intUseCount, hs.intPlaceInQ );
Send(sSymbol, "Daily", instrument, "HD," + sSymbol + "," + cntDaily + ";", cntDaily);
}
}
else
{
Console.WriteLine("All {0} symbols requested", cntSymbols);
bSymbolsDone = true;
sdr.Close();
db.Close();
}
}
}
public void SendSecurityDefinitionRequest(FIXSecurityDefinitionRequest request)
{
lock (this)
{
if (!_bTdConnected)
{
EmitError(-1, -1, "交易没有连接，无法获取合约列表");
tdlog.Error("交易没有连接，无法获取合约列表");
return;
}
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<DFITCExchangeInstrumentRtnField> list = new List<DFITCExchangeInstrumentRtnField>();
foreach (DFITCExchangeInstrumentRtnField inst in _dictInstruments.Values)
{
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (inst.InstrumentID.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (inst.ExchangeID.ToUpper().StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (FIXSecurityType.Future == securityType)
{
if (DFITCInstrumentTypeType.COMM_TYPE == inst.instrumentType)
{
++flag;
}
}
//else if (FIXSecurityType.MultiLegInstrument == securityType)//理解上是否有问题
//{
// if (TThostFtdcProductClassType.Combination == inst.ProductClass)
// {
// ++flag;
// }
//}
else if (FIXSecurityType.FutureOption == securityType)
{
if (DFITCInstrumentTypeType.OPT_TYPE == inst.instrumentType)
{
++flag;
}
}
}
if (3 == flag)
{
list.Add(inst);
}
}
#endregion
#region 过滤1
List<DFITCAbiInstrumentRtnField> list1 = new List<DFITCAbiInstrumentRtnField>();
foreach (DFITCAbiInstrumentRtnField inst in _dictAbiInstruments.Values)
{
int flag = 0;
if (null == symbol)
{
++flag;
}
else if (inst.InstrumentID.ToUpper().StartsWith(symbol.ToUpper()))
{
++flag;
}
if (null == securityExchange)
{
++flag;
}
else if (inst.ExchangeID.ToUpper().StartsWith(securityExchange.ToUpper()))
{
++flag;
}
if (null == securityType)
{
++flag;
}
else
{
if (FIXSecurityType.MultiLegInstrument == securityType)
{
++flag;
}
}
if (3 == flag)
{
list1.Add(inst);
}
}
#endregion
list.Sort(SortDFITCExchangeInstrumentRtnField);
list1.Sort(SortDFITCAbiInstrumentRtnField);
//如果查出的数据为0，应当想法立即返回
if (0 == list.Count&&0==list1.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));
}
}
#region 期货 期权
foreach (DFITCExchangeInstrumentRtnField inst in list)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count + list1.Count,
};
{
string securityType2;
switch (inst.instrumentType)
{
case DFITCInstrumentTypeType.COMM_TYPE:
securityType2 = FIXSecurityType.Future;
break;
case DFITCInstrumentTypeType.OPT_TYPE:
securityType2 = FIXSecurityType.FutureOption;
var match = Regex.Match(inst.InstrumentID, @"(\d+)(-?)([CP])(-?)(\d+)");
if (match.Success)
{
definition.AddField(EFIXField.PutOrCall, match.Groups[3].Value == "C" ? FIXPutOrCall.Call : FIXPutOrCall.Put);
definition.AddField(EFIXField.StrikePrice, double.Parse(match.Groups[5].Value));
}
break;
default:
securityType2 = FIXSecurityType.NoSecurityType;
break;
}
definition.AddField(EFIXField.SecurityType, securityType2);
}
{
double x = inst.minPriceFluctuation;
int i = 0;
for (; x - (int)x != 0; ++i)
{
x = x * 10;
}
definition.AddField(EFIXField.PriceDisplay, string.Format("F{0}", i));
}
definition.AddField(EFIXField.Symbol, inst.InstrumentID);
definition.AddField(EFIXField.SecurityExchange, inst.ExchangeID);
definition.AddField(EFIXField.Currency, "CNY");//Currency.CNY
definition.AddField(EFIXField.TickSize, inst.minPriceFluctuation);
definition.AddField(EFIXField.SecurityDesc, inst.VarietyName);
definition.AddField(EFIXField.Factor, inst.contractMultiplier);
try
{
definition.AddField(EFIXField.MaturityDate, DateTime.ParseExact(inst.instrumentMaturity, "yyyy.MM.dd", CultureInfo.InvariantCulture));
}
catch (Exception ex)
{
tdlog.Warn("合约:{0},字段内容:{1},{2}", inst.InstrumentID, inst.instrumentMaturity, ex.Message);
}
FIXSecurityAltIDGroup group = new FIXSecurityAltIDGroup();
group.SecurityAltID = inst.InstrumentID;
group.SecurityAltExchange = inst.ExchangeID;
group.SecurityAltIDSource = this.Name;
definition.AddGroup(group);
//还得补全内容
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
#endregion
#region 组合
foreach (DFITCAbiInstrumentRtnField inst in list1)
{
FIXSecurityDefinition definition = new FIXSecurityDefinition
{
SecurityReqID = request.SecurityReqID,
//SecurityResponseID = request.SecurityReqID,
SecurityResponseType = request.SecurityRequestType,
TotNoRelatedSym = list.Count + list1.Count,
};
string securityType2 = FIXSecurityType.MultiLegInstrument;
definition.AddField(EFIXField.SecurityType, securityType2);
definition.AddField(EFIXField.Symbol, inst.InstrumentID);//
definition.AddField(EFIXField.SecurityExchange, inst.ExchangeID);
definition.AddField(EFIXField.Currency, "CNY");//Currency.CNY
definition.AddField(EFIXField.SecurityDesc, inst.instrumentName);
if (SecurityDefinition != null)
{
SecurityDefinition(this, new SecurityDefinitionEventArgs(definition));
}
}
#endregion
}
}
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));
}
}
}
}
internal AltIDGroup(Instrument instrument, FIXSecurityAltIDGroup group)
{
this.group = group;
this.instrument = instrument;
}
