public override void Send(InstrumentDefinitionRequest request)
{
if (!IsConnected)
{
CancelInstrumentRequest(request, MsgProviderNotConnected);
return;
}
if (!IsInstrumentProvider)
{
CancelInstrumentRequest(request, "没有查询合约的功能");
return;
}
Task.Run(() => {
SendInstrumentDefinition(request, QryInstrumentCompleted ? _instruments.ToArray() : new Instrument[0]);
});
}
private void SendInstrumentDefinition(InstrumentDefinitionRequest request, Instrument[] insts)
{
try {
var data = QBHelper.FilterInstrument(request, insts);
var definition = new InstrumentDefinition();
definition.Instruments = data;
definition.ProviderId = Id;
definition.RequestId = request.Id;
definition.TotalNum = data.Length;
EmitInstrumentDefinition(definition);
EmitInstrumentDefinitionEnd(request.Id, RequestResult.Completed, string.Empty);
}
catch (Exception ex) {
CancelInstrumentRequest(request, ex.Message);
}
}
private void btnRequest_Click(object sender, EventArgs e)
{
this.instruments.Clear();
this.gbxFilter.Enabled = false;
this.btnRequest.Visible = false;
this.btnCancel.Visible = true;
this.btnImport.Visible = false;
this.chbUpdate.Visible = false;
this.ltvInstruments.Enabled = false;
this.tsiInfo.Text = "Requesting instruments...";
this.tsiProgress.Value = 0;
this.tsiProgress.Visible = true;
this.requestId = Guid.NewGuid().ToString();
InstrumentDefinitionRequest request = new InstrumentDefinitionRequest();
request.Id = this.requestId;
if (this.chbInstrumentType.Checked)
{
request.FilterType = new InstrumentType?((InstrumentType)this.cbxInstrumentType.SelectedItem);
}
if (this.chbExchange.Checked)
{
string str = this.tbxExchange.Text.Trim();
if (str != string.Empty)
{
request.FilterExchange = str;
}
}
if (this.chbSymbol.Checked)
{
string str = this.tbxSymbol.Text.Trim();
if (str != string.Empty)
{
request.FilterSymbol = str;
}
}
ThreadPool.QueueUserWorkItem((WaitCallback)(obj => this.provider.Send(request)));
}
public static Instrument[] FilterInstrument(InstrumentDefinitionRequest request, IEnumerable <Instrument> insts)
{
var list = new List <Instrument>();
foreach (var inst in insts)
{
if (request.FilterType.HasValue && request.FilterType != inst.Type)
{
continue;
}
if (!string.IsNullOrEmpty(request.FilterExchange) &&
!string.Equals(inst.Exchange, request.FilterExchange, StringComparison.CurrentCultureIgnoreCase))
{
continue;
}
if (!string.IsNullOrEmpty(request.FilterSymbol) &&
!inst.Symbol.ToLower().Contains(request.FilterSymbol.ToLower()))
{
continue;
}
list.Add(inst);
}
return(list.ToArray());
}
private void ReturnInstrumentDefinition(InstrumentDefinitionRequest request)
{
Dictionary <string, List <string> > dict = new Dictionary <string, List <string> >();
List <Instrument> instruments = new List <Instrument>();
// 不知道这样能不能解决死锁的问题
List <InstrumentField> _instruments = new List <InstrumentField>(_dictInstruments.Values);
foreach (InstrumentField contract in _instruments)
{
SmartQuant.InstrumentType instrumentType = (SmartQuant.InstrumentType)contract.Type;
// filter by type
if (request.FilterType != null &&
request.FilterType != instrumentType)
{
continue;
}
// filter by exchange
if (request.FilterExchange != null && !contract.ExchangeID.StartsWith(request.FilterExchange, StringComparison.CurrentCultureIgnoreCase))
{
continue;
}
// filter by symbol
if (request.FilterSymbol != null &&
!contract.Symbol.StartsWith(request.FilterSymbol, StringComparison.CurrentCultureIgnoreCase))
{
continue;
}
Instrument instrument = null;
//if (UpdateInstrument)
//{
// instrument = framework.InstrumentManager.Get(contract.Symbol);
// //if (instrument != null)
// //{
// // AltId ai = instrument.AltId.Get(this.id);
// // if (ai != null)
// // {
// // instrument.AltId.Remove(ai);
// // }
// //}
//}
if (instrument == null)
{
instrument = new Instrument(instrumentType, contract.Symbol);
}
instrument.AltId.Add(new AltId(this.id, contract.InstrumentID, contract.ExchangeID));
instrument.PutCall = (SmartQuant.PutCall)contract.OptionsType;
instrument.Strike = contract.StrikePrice;
instrument.Exchange = contract.ExchangeID;
instrument.CurrencyId = CurrencyId.CNY;
instrument.TickSize = contract.PriceTick;
instrument.Factor = contract.VolumeMultiple;
double x = instrument.TickSize;
if (x > 0.000001)
{
int i = 0;
for (; x - (int)x != 0; ++i)
{
x = x * 10;
}
instrument.PriceFormat = string.Format("F{0}", i);
}
var description = new InstrumentJson();
description.InstrumentName = contract.InstrumentName();
description.ProductID = contract.ProductID;
description.Underlying = contract.UnderlyingInstrID;
instrument.Description = JsonConvert.SerializeObject(description, description.GetType(), null);
if (!string.IsNullOrWhiteSpace(contract.UnderlyingInstrID))
{
// 要求先导入标的合约，再导入期权，如果在这里生成会丢失合约信息
Instrument UnderlyingInstrID = framework.InstrumentManager.Get(contract.UnderlyingInstrID);
if (UnderlyingInstrID == null)
{
//xlog.Warn("合约:{0},存在标的物字段，请先导入标的物合约{1},导入后放在Parent属性中", contract.Symbol, contract.UnderlyingInstrID);
List <string> list = null;
if (!dict.TryGetValue(contract.UnderlyingInstrID, out list))
{
list = new List <string>();
dict.Add(contract.UnderlyingInstrID, list);
}
list.Add(contract.Symbol);
}
else
{
instrument.Legs.Add(new Leg(UnderlyingInstrID));
//= framework.InstrumentManager.Get(contract.UnderlyingInstrID);
}
}
if (contract.ExpireDate > 0)
{
int yyyy = contract.ExpireDate / 10000;
int MM = contract.ExpireDate % 10000 / 100;
int dd = contract.ExpireDate % 100;
// 居然有期权传回来的到期时间没有日
dd = Math.Max(dd, 1);
instrument.Maturity = new DateTime(yyyy, MM, dd);
}
//if (UpdateInstrument)
//{
// framework.InstrumentManager.Save(instrument);
//}
instruments.Add(instrument);
}
if (dict.Count > 0)
{
xlog.Warn("标的物合约必须先导入,然后再Request,衍生品合约的Legs才会有一条记录指向标的物");
foreach (var kv in dict)
{
xlog.Warn("错过的标的物合约:{0},错过的衍生品合约数量{1}", kv.Key, kv.Value.Count);
}
xlog.Warn("请将以上合约先导入");
xlog.Warn("如果在Request后列表中没有标的物合约，则需要手工添加");
}
instruments.Sort(SortInstrument);
//
InstrumentDefinition definition = new InstrumentDefinition();
definition.RequestId = request.Id;
definition.ProviderId = this.id;
definition.Instruments = instruments.ToArray();
definition.TotalNum = instruments.Count;
EmitInstrumentDefinition(definition);
//
InstrumentDefinitionEnd end = new InstrumentDefinitionEnd();
end.RequestId = request.Id;
end.Result = RequestResult.Completed;
end.Text = string.Format("{0:n0} instrument(s) found.", instruments.Count);
EmitInstrumentDefinitionEnd(end);
}
public override void Send(InstrumentDefinitionRequest request)
{
// 改成异步，不然由于合约太多，可能界面没有回应
Task.Factory.StartNew(() => ReturnInstrumentDefinition(request));
}
private void CancelInstrumentRequest(InstrumentDefinitionRequest request, string text)
{
EmitInstrumentDefinitionEnd(request.Id, RequestResult.Error, text);
}
public virtual void Send(InstrumentDefinitionRequest request)
{
// noop
}
