//重载OnRecvDataMsg方法，接收行情数据
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvDataMsg(TDFMSG msg)
{
if (msg.MsgID == TDFMSGID.MSG_DATA_MARKET)
{
//行情消息
TDFMarketData[] marketDataArr = msg.Data as TDFMarketData[];
MarketDataCache.Enqueue(marketDataArr);
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_TRANSACTION)
{
//逐笔成交
TDFTransaction[] transactionDataArr = msg.Data as TDFTransaction[];
TransactionCache.Enqueue(transactionDataArr);
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDER)
{
//逐笔委托
TDFOrder[] orderDataArr = msg.Data as TDFOrder[];
OrderCache.Enqueue(orderDataArr);
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDERQUEUE)
{
//委托队列
TDFOrderQueue[] orderQueueDataArr = msg.Data as TDFOrderQueue[];
OrderQueueCache.Enqueue(orderQueueDataArr);
}
}
/// <summary>
/// 系统消息回调
/// MSG_SYS_DISCONNECT_NETWORK: 网络断开事件
/// MSG_SYS_CONNECT_RESULT: 主动发起连接的结果
/// MSG_SYS_LOGIN_RESULT: 登陆应答
/// MSG_SYS_CODETABLE_RESULT: 获取代码表结果
/// MSG_SYS_QUOTATIONDATE_CHANGE: 行情日期变更通知
/// MSG_SYS_MARKET_CLOSE: 闭市
/// MSG_SYS_HEART_BEAT: 服务器心跳消息
/// </summary>
/// <param name="msg"></param>
public override void OnRecvSysMsg(TDFMSG msg)
{
SysMsgDeal(msg);
}
/// <summary>
/// 行情数据回调
/// MSG_DATA_MARKET: 行情快照数据
/// MSG_DATA_INDEX: 指数行情快照数据
/// MSG_DATA_FUTURE: 期货和期权行情快照数据
/// MSG_DATA_TRANSACTION: 逐笔成交
/// MSG_DATA_ORDERQUEUE: 委托队列
/// MSG_DATA_ORDER: 逐笔委托
/// </summary>
/// <param name="msg"></param>
public override void OnRecvDataMsg(TDFMSG msg)
{
DataMsgDeal(msg);
}
//重载 OnRecvSysMsg 方法，接收系统消息通知
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvSysMsg(TDFMSG msg)
{
//throw new NotImplementedException();
if (msg.MsgID == TDFMSGID.MSG_SYS_CONNECT_RESULT)
{
//连接结果
TDFConnectResult connectResult = msg.Data as TDFConnectResult;
string strPrefix = connectResult.ConnResult ? "连接成功" : "连接失败";
logA.LogEvent("系统服务器连接情况 ：" + strPrefix);
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_LOGIN_RESULT)
{
//登陆结果
TDFLoginResult loginResult = msg.Data as TDFLoginResult;
if (loginResult.LoginResult)
{
logA.LogEvent("系统服务器登陆成功");
for (int i = 0; i < loginResult.Markets.Length; i++)
{
logA.LogEvent(String.Format("market:{0},dyn-date:{1}", loginResult.Markets[i], loginResult.DynDate[i]));
}
}
else
{
logA.LogEvent(String.Format("登陆失败！ info:{0}", loginResult.Info));
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_CODETABLE_RESULT)
{
//接收代码表结果
TDFCodeResult codeResult = msg.Data as TDFCodeResult;
logA.LogEvent(String.Format("获取到代码表, info:{0}，市场个数:{1}", codeResult.Info, codeResult.Markets.Length));
//代码表是什么鸟玩意？？
TDFCode[] codeArrSZ;
GetCodeTable("SZ", out codeArrSZ);
TDFCode[] codeArrSH;
GetCodeTable("SH", out codeArrSH);
//for (int i = 0; i < 100 && i < codeArr.Length; i++)
//{
// if (codeArr[i].Type >= 0x90 && codeArr[i].Type <= 0x95)
// {
// // 期权数据
// TDFOptionCode code = new TDFOptionCode();
// var ret = GetOptionCodeInfo(codeArr[i].WindCode, ref code);
// PrintHelper.PrintObject(code);
// }
// else
// {
// PrintHelper.PrintObject(codeArr[i]);
// }
//}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_QUOTATIONDATE_CHANGE)
{
//行情日期变更。
TDFQuotationDateChange quotationChange = msg.Data as TDFQuotationDateChange;
logA.LogEvent(String.Format("接收到行情日期变更通知消息，market:{0}, old date:{1}, new date:{2}", quotationChange.Market, quotationChange.OldDate, quotationChange.NewDate));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_MARKET_CLOSE)
{
//闭市消息
TDFMarketClose marketClose = msg.Data as TDFMarketClose;
logA.LogEvent(String.Format("接收到闭市消息, 交易所:{0}, 时间:{1}, 信息:{2}", marketClose.Market, marketClose.Time, marketClose.Info));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_HEART_BEAT)
{
//心跳消息
}
}
//重载OnRecvDataMsg方法，接收行情数据
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvDataMsg(TDFMSG msg)
{
if (msg.MsgID == TDFMSGID.MSG_DATA_MARKET)
{
//行情消息
TDFMarketData[] marketDataArr = msg.Data as TDFMarketData[];
foreach (TDFMarketData data in marketDataArr)
{
EnQueueType obj = new EnQueueType() { Type = "S", value = (object)data };
if (Queue_Data.Suspend == false)
{
Queue_Data.GetQueue().Enqueue((object)obj);
if (data.Status == 68)
{
stop_plate_stocks.GetInstance().updateStopList(data);
}
}
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_FUTURE)
{
//期货行情数据
TDFFutureData[] futureDataArr = msg.Data as TDFFutureData[];
foreach (TDFFutureData data in futureDataArr)
{
EnQueueType obj = new EnQueueType() { Type = "F", value = (object)data };
if (Queue_Data.Suspend == false)
{
Queue_Data.GetQueue().Enqueue((object)obj);
}
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_INDEX)
{
//指数消息
TDFIndexData[] indexDataArr = msg.Data as TDFIndexData[];
foreach (TDFIndexData data in indexDataArr)
{
EnQueueType obj = new EnQueueType() { Type = "I", value = (object)data };
if (Queue_Data.Suspend == false)
{
Queue_Data.GetQueue().Enqueue((object)obj);
}
}
}
}
//重载 OnRecvSysMsg 方法，接收系统消息通知
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvSysMsg(TDFMSG msg)
{
try
{
if (msg.MsgID == TDFMSGID.MSG_SYS_CONNECT_RESULT)
{
//连接结果
TDFConnectResult connectResult = msg.Data as TDFConnectResult;
string strPrefix = connectResult.ConnResult ? "连接成功" : "连接失败";
PrintHelper.PrintText(String.Format("{0}！server:{1}:{2},{3},{4}, connect id:{5}", strPrefix, connectResult.Ip, connectResult.Port, connectResult.Username, connectResult.Password, connectResult.ConnectID));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_LOGIN_RESULT)
{
TDFLoginResult loginResult = msg.Data as TDFLoginResult;
if (loginResult.LoginResult)
{
//登陆结果
PrintHelper.PrintText(String.Format("登陆成功，市场个数:{0}:", loginResult.Markets.Length));
for (int i = 0; i < loginResult.Markets.Length; i++)
{
PrintHelper.PrintText(String.Format("market:{0}, dyn-date:{1}", loginResult.Markets[i], loginResult.DynDate[i]));
}
}
else
{
PrintHelper.PrintText(String.Format("登陆失败！info:{0}", loginResult.Info));
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_CODETABLE_RESULT)
{
//接收代码表结果
TDFCodeResult codeResult = msg.Data as TDFCodeResult;
PrintHelper.PrintText(String.Format("获取到代码表, info:{0}，市场个数:{1}", codeResult.Info, codeResult.Markets.Length));
for (int i = 0; i < codeResult.Markets.Length; i++)
{
PrintHelper.PrintText(String.Format("market:{0}, date:{1}, code count:{2}", codeResult.Markets[i], codeResult.CodeDate[i], codeResult.CodeCount[i]));
}
//客户端请自行保存代码表，本处演示怎么获取代码表内容
TDFCode[] codeArr;
GetCodeTable("", out codeArr);
//Console.WriteLine("接收到{0}项代码!, 输出前100项", codeArr.Length);
ChinaMarketValue.dicTDFCode.Clear();
for (int i = 0; i < codeArr.Length; i++)
{
ChinaMarketValue.dicTDFCode.TryAdd(codeArr[i].WindCode, codeArr[i]);
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_QUOTATIONDATE_CHANGE)
{
//行情日期变更。
TDFQuotationDateChange quotationChange = msg.Data as TDFQuotationDateChange;
PrintHelper.PrintText(String.Format("接收到行情日期变更通知消息，market:{0}, old date:{1}, new date:{2}", quotationChange.Market, quotationChange.OldDate, quotationChange.NewDate));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_MARKET_CLOSE)
{
//闭市消息
TDFMarketClose marketClose = msg.Data as TDFMarketClose;
PrintHelper.PrintText(String.Format("接收到闭市消息, 交易所:{0}, 时间:{1}, 信息:{2}", marketClose.Market, marketClose.Time, marketClose.Info));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_HEART_BEAT)
{
//心跳消息
//Console.WriteLine("接收到心跳消息!");
}
}
catch (Exception ex)
{
ChinaMarketValue.exceptionLog.log(ChinaMarketValue.logLevel, ex.ToString());
}
}
//重载 OnRecvSysMsg 方法，接收系统消息通知
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvSysMsg(TDFMSG msg)
{
if (msg.MsgID == TDFMSGID.MSG_SYS_CONNECT_RESULT)
{
//连接结果
TDFConnectResult connectResult = msg.Data as TDFConnectResult;
ConnectResult = connectResult;
IsOnline = connectResult.ConnResult;
if (NewSysEvent != null)
{
NewSysEvent("连接状态 " + (IsOnline ? "已连接" : "未连接"));
}
App.Logger.Info("TDF：连接状态 " + (IsOnline ? "已连接" : "未连接"));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_LOGIN_RESULT)
{
TDFLoginResult loginResult = msg.Data as TDFLoginResult;
LoginResult = loginResult;
IsLogin = loginResult.LoginResult;
if (NewSysEvent != null)
{
NewSysEvent("登陆状态 " + (IsLogin ? "已登陆" : "未登陆"));
}
App.Logger.Info("TDF：登陆状态 " + (IsLogin ? "已登陆" : "未登陆"));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_CODETABLE_RESULT)
{
//接收代码表结果
TDFCodeResult codeResult = msg.Data as TDFCodeResult;
//客户端请自行保存代码表，本处演示怎么获取代码表内容
if (codeResult != null)
{
TDFCode[] sh_codes;
TDFCode[] sz_codes;
GetCodeTable("SH", out sh_codes);
GetCodeTable("SZ", out sz_codes);
_codes = new TDFCode[sh_codes.Length + sz_codes.Length];
sh_codes.CopyTo(_codes, 0);
sz_codes.CopyTo(_codes, sh_codes.Length);
if (NewSysEvent != null)
{
NewSysEvent("已获取代码列表," + _codes.Length);
}
}
else
{
if (NewSysEvent != null)
{
NewSysEvent("获取代码列表失败");
}
}
App.Logger.Info("TDF：获取代码列表消息");
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_QUOTATIONDATE_CHANGE)
{
//行情日期变更。
TDFQuotationDateChange quotationChange = msg.Data as TDFQuotationDateChange;
if (NewSysEvent != null)
{
NewSysEvent("行情日期变更");
}
App.Logger.Info("TDF：行情日期变更");
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_MARKET_CLOSE)
{
//闭市消息
TDFMarketClose marketClose = msg.Data as TDFMarketClose;
IsClose = true;
if (NewSysEvent != null)
{
NewSysEvent("闭市状态 " + (IsClose ? "闭市" : "未闭市"));
}
App.Logger.Info("TDF：闭市状态 " + (IsClose ? "闭市" : "未闭市"));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_HEART_BEAT)
{
//心跳消息
AliveTime = DateTime.Now;
}
}
//重载OnRecvDataMsg方法，接收行情数据
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvDataMsg(TDFMSG msg)
{
try
{
if (msg.MsgID == TDFMSGID.MSG_DATA_MARKET)
{
//行情消息
TDFMarketData[] marketDataArr = msg.Data as TDFMarketData[];
foreach (TDFMarketData data in marketDataArr)
{
//if (data.Code.Contains("10000015"))
// continue;
lock (this.dataDict)
{
if (dataDict.Keys.Contains(data.Code))
{
SingleStockData sd = dataDict[data.Code];
//数据获取部分
if (data.Match != 0)
{
sd.LastPrice = (double)data.Match / 10000; //最新成交价
}
sd.PrevClose = (double)data.PreClose / 10000;
sd.AskPrices[0] = (double)data.AskPrice[0] / 10000;
sd.BidPrices[0] = (double)data.BidPrice[0] / 10000;
for (int i = 0; i < 10; i++)
{
sd.BidPrices[i] = (double)data.BidPrice[i] / 10000;
sd.AskPrices[i] = (double)data.AskPrice[i] / 10000;
sd.BidVol[i] = data.BidVol[i];
sd.AskVol[i] = data.AskVol[i];
}
if ((sd.ShortPriceListed != sd.AskPrices[0]) && (sd.StatusTrending == StrategyStatus.ShortListedOnly)) //最新卖一已变动，需改价重挂
{
sd.bAskPriceChanged = true; //测试，按卖五挂单
}
# region Fishing Strategies
//业务逻辑部分，只有对FishingStrategy这样时效要求极高的放在此处，其余均放入EngineClass
if (sd.StatusCBFishing != StrategyStatus.None) //此ticker需要跑CBFishing Strategy
{
if (sd.StatusCBFishing == StrategyStatus.New) //首次挂买单，或上一轮结束后重新挂单
{
//sd.LongPriceListed = sd.BidPrices[0] - sd.CBBuyPriceOffset; //挂在卖五，后续可以参数化
sd.LongPriceListed = sd.BidPrices[4]; //挂在卖五，后续可以参数化
sd.StatusCBFishing = StrategyStatus.LongListedOnly;
//下一步考虑在EngineClass或TradeClass中生成Order，只需有strategy和ticker，即可在dataDict中取到生成order所需数据
FIXApi.OrderBookEntry entry = new OrderBookEntry();
entry.strategies = TradingStrategies.CBFishing;
entry.action = OrderAction.Buy;
entry.type = FIXApi.OrderType.CreditBuy;
entry.ticker = data.Code;
entry.quantityListed = sd.Quantity;
entry.priceListed = sd.LongPriceListed;
sd.StatusCBFishing = StrategyStatus.Pending; //获得成交回报后再改变状态，避免重复执行
Thread orderThread = new Thread(new ParameterizedThreadStart(tc.OrderSender_CBFishing));
orderThread.IsBackground = true;
orderThread.Start(entry);
}
else if (sd.StatusCBFishing == StrategyStatus.LongListedOnly) //买单已挂，根据最新价格检查是否需要撤单重挂
{
if ((sd.LongPriceListed >= sd.BidPrices[3]) || (sd.LongPriceListed <= sd.BidPrices[5])) //大于卖三或小于卖七时重挂
{
sd.LongPriceListed = sd.BidPrices[0] - sd.CBBuyPriceOffset;
FIXApi.OrderBookEntry entry = new OrderBookEntry();
entry.strategies = TradingStrategies.CBFishing;
entry.action = OrderAction.CancelAndBuy;
entry.type = FIXApi.OrderType.CreditBuy;
entry.ticker = data.Code;
entry.quantityListed = sd.Quantity;
entry.priceListed = sd.LongPriceListed;
sd.StatusCBFishing = StrategyStatus.Pending; //获得成交回报后再改变状态，避免重复执行
Thread orderThread = new Thread(new ParameterizedThreadStart(tc.OrderSender_CBFishing));
orderThread.IsBackground = true;
orderThread.Start(entry);
}
//if ((sd.ShortPriceListed<data.AskPrice[4]) || (sd.ShortPriceListed>data.AskPrice[6]) ) //低于卖五或者高于卖七时撤单重挂，避免撤单过于频繁
// sd.ShortPriceListed = sd.AskPrices[4];
////cancel and resend
}
else if (sd.StatusCBFishing == StrategyStatus.ShortListedOnly) //卖单已挂，根据最新价格检查是否需要撤单重挂
{
if (sd.ShortPriceListed > sd.AskPrices[0])
{
sd.ShortPriceListed = sd.AskPrices[0] - sd.CBSellPriceOffset; //一直挂在比卖一低0.01的位置
FIXApi.OrderBookEntry entry = new OrderBookEntry();
entry.strategies = TradingStrategies.CBFishing;
entry.action = OrderAction.CancelAndSell_CF;
entry.type = FIXApi.OrderType.CreditSell;
entry.ticker = data.Code;
entry.quantityListed = sd.Quantity;
entry.priceListed = sd.ShortPriceListed;
entry.strategies = TradingStrategies.CBFishing;
sd.StatusCBFishing = StrategyStatus.Pending; //获得成交回报后再改变状态，避免重复执行
Thread orderThread = new Thread(new ParameterizedThreadStart(tc.OrderSender_CBFishing));
orderThread.IsBackground = true;
orderThread.Start(entry);
}
//if ((sd.ShortPriceListed<data.AskPrice[4]) || (sd.ShortPriceListed>data.AskPrice[6]) ) //低于卖五或者高于卖七时撤单重挂，避免撤单过于频繁
// sd.ShortPriceListed = sd.AskPrices[4];
////cancel and resend
}
else if (sd.StatusStockFishing != StrategyStatus.None) //此ticker需要跑StockFishing Strategy
{
}
}
# endregion
}
}
}
//极其耗时，轻易不要打开
//RecvDataReport(this, null);
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_FUTURE)
{
//期货行情消息
TDFFutureData[] futureDataArr = msg.Data as TDFFutureData[];
foreach (TDFFutureData data in futureDataArr)
{
;
}
return;
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_INDEX)
{
//指数消息
TDFIndexData[] indexDataArr = msg.Data as TDFIndexData[];
foreach (TDFIndexData data in indexDataArr)
{
return;
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_TRANSACTION)
{
//逐笔成交
TDFTransaction[] transactionDataArr = msg.Data as TDFTransaction[];
foreach (TDFTransaction data in transactionDataArr)
{
//每一data变量包含最底层的一笔逐笔成交数据
lock (this.dataDict)
{
if (dataDict.Keys.Contains(data.Code))
{
//数据获取部分
int timeStamp = Convert.ToInt32((double)data.Time / 1000 - 0.5); //去掉毫秒部分;
if (timeStamp == 93524)
{
timeStamp = 93524;
}
int direction = 0;
if (data.BSFlag == 66)
{
direction = 1;
}
else if (data.BSFlag == 83)
{
direction = -1;
}
int volume = data.Volume;
double price = (double)data.Price / 10000;
if (dataDict[data.Code].zbDataList.Count == 0) //第一次添加
{
ZBTickData zbdata = new ZBTickData();
zbdata.timeStamp = timeStamp;
if (direction == 1)
{
zbdata.volumeB = volume;
zbdata.priceTotalB = price;
zbdata.countB = 1;
zbdata.priceB = zbdata.priceTotalB / (double)zbdata.countB;//计算该秒、买方向的平均价格
}
else if (direction == -1)
{
zbdata.volumeS = volume;
zbdata.priceTotalS = price;
zbdata.countS = 1;
zbdata.priceS = zbdata.priceTotalS / (double)zbdata.countS;//计算该秒、买方向的平均价格
}
if ((zbdata.priceB > 0) && (zbdata.priceS > 0))
{
zbdata.price = (zbdata.priceB + zbdata.priceS) / 2;
}
else
{
zbdata.price = (zbdata.priceB + zbdata.priceS);
}
zbdata.volume = zbdata.volumeB + zbdata.volumeS;
if ((zbdata.volume == 0) || (zbdata.price == 0))
{
continue; //空记录
}
dataDict[data.Code].zbDataList.Add(zbdata);
dataDict[data.Code].ZBFirstIndex = 0;
dataDict[data.Code].ZBLastIndex = 0;
}
else
{
int currLastIndex = dataDict[data.Code].ZBLastIndex;
if (dataDict[data.Code].zbDataList[currLastIndex].timeStamp == timeStamp) //同一时间戳存在，只需更新价格与成交量，不需插入新纪录
{
ZBTickData zbdata = dataDict[data.Code].zbDataList[currLastIndex]; //取出字典中的元素并进行修改，由于是引用，对zbdata的修改会自动在字典中更新
if (direction == 1)
{
zbdata.priceTotalB = zbdata.priceTotalB + price;
zbdata.countB = zbdata.countB + 1;
zbdata.priceB = zbdata.priceTotalB / (double)zbdata.countB;//计算该秒、该方向的平均价格
zbdata.volumeB = zbdata.volumeB + volume;
}
else if (direction == -1)
{
zbdata.priceTotalS = zbdata.priceTotalS + price;
zbdata.countS = zbdata.countS + 1;
zbdata.priceS = zbdata.priceTotalS / (double)zbdata.countS;//计算该秒、该方向的平均价格
zbdata.volumeS = zbdata.volumeS + volume;
}
if ((zbdata.priceB > 0) && (zbdata.priceS > 0))
{
zbdata.price = (zbdata.priceB + zbdata.priceS) / 2;
}
else
{
zbdata.price = (zbdata.priceB + zbdata.priceS);
}
zbdata.volume = zbdata.volumeB + zbdata.volumeS;
dataDict[data.Code].zbDataList.RemoveAt(currLastIndex);
dataDict[data.Code].zbDataList.Add(zbdata);
}
else //不存在此时间戳，需添加新纪录
{
ZBTickData zbdata = new ZBTickData();
zbdata.timeStamp = timeStamp;
if (direction == 1)
{
zbdata.volumeB = volume;
zbdata.priceTotalB = price;
zbdata.countB = 1;
zbdata.priceB = zbdata.priceTotalB / (double)zbdata.countB;//计算该秒、买方向的平均价格
}
else if (direction == -1)
{
zbdata.volumeS = volume;
zbdata.priceTotalS = price;
zbdata.countS = 1;
zbdata.priceS = zbdata.priceTotalS / (double)zbdata.countS;//计算该秒、买方向的平均价格
}
if ((zbdata.priceB > 0) && (zbdata.priceS > 0))
{
zbdata.price = (zbdata.priceB + zbdata.priceS) / 2;
}
else
{
zbdata.price = (zbdata.priceB + zbdata.priceS);
}
zbdata.volume = zbdata.volumeB + zbdata.volumeS;
//dataDict[data.Code].totalVolTillNow += zbdata.volume;
if ((zbdata.volume == 0) || (zbdata.price == 0))
{
continue; //空记录
}
dataDict[data.Code].zbDataList.Add(zbdata);
dataDict[data.Code].ZBLastIndex = dataDict[data.Code].ZBLastIndex + 1;
}
}
/*
* //数据获取部分
* ZBTickData zbdata = new ZBTickData();
* zbdata.timeStamp = Convert.ToInt32((double)data.Time / 1000); //去掉毫秒部分
*
* //if (zbdata.timeStamp > 93850) { int i = 0; i++; }
*
* zbdata.price = (double)data.Price / 10000;
* if (data.BSFlag == 66)
* zbdata.direction = 1;
* else if (data.BSFlag == 83)
* zbdata.direction = -1;
* else
* zbdata.direction = 0;
* zbdata.volume = data.Volume;
* dataDict[data.Code].totalVolTillNow += zbdata.volume;
*
* dataDict[data.Code].zbDataList.Add(zbdata);
*
* if (dataDict[data.Code].zbDataList.Count == 1) //第一次添加
* {
* dataDict[data.Code].ZBFirstIndex = 0;
* dataDict[data.Code].ZBLastIndex = 0;
* }
* else
* {
* dataDict[data.Code].ZBLastIndex = dataDict[data.Code].ZBLastIndex + 1;
* }
*/
}
}
//极其耗时，轻易不要打开
//RecvDataReport(this, null);
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDER)
{
//逐笔委托
TDFOrder[] orderDataArr = msg.Data as TDFOrder[];
foreach (TDFOrder data in orderDataArr)
{
return;
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDERQUEUE)
{
//委托队列
TDFOrderQueue[] orderQueueArr = msg.Data as TDFOrderQueue[];
foreach (TDFOrderQueue data in orderQueueArr)
{
return;
}
}
}
//重载OnRecvDataMsg方法，接收行情数据
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvDataMsg(TDFMSG msg)
{
try
{
if (msg.MsgID == TDFMSGID.MSG_DATA_MARKET)
{
//行情消息
TDFMarketData[] marketDataArr = msg.Data as TDFMarketData[];
foreach (TDFMarketData data in marketDataArr)
{
// if (!ShowAllData)
// Console.WriteLine(data.WindCode);
// else
// PrintHelper.PrintObject(data);
// return; //Let's only show the first element.
ChinaMarketValue.blkMarketInfo.TryAdd(data);
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_FUTURE)
{
//期货行情消息
//TDFFutureData[] futureDataArr = msg.Data as TDFFutureData[];
//foreach (TDFFutureData data in futureDataArr)
//{
// if (!ShowAllData)
// Console.WriteLine(data.WindCode);
// else
// PrintHelper.PrintObject(data);
// return; //Let's only show the first element.
//}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_INDEX)
{
//指数消息
//TDFIndexData[] indexDataArr = msg.Data as TDFIndexData[];
//foreach (TDFIndexData data in indexDataArr)
//{
// if (!ShowAllData)
// Console.WriteLine(data.WindCode);
// else
// PrintHelper.PrintObject(data);
// return; //Let's only show the first element.
//}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_TRANSACTION)
{
//逐笔成交
//TDFTransaction[] transactionDataArr = msg.Data as TDFTransaction[];
//foreach (TDFTransaction data in transactionDataArr)
//{
// if (!ShowAllData)
// Console.WriteLine(data.WindCode);
// else
// PrintHelper.PrintObject(data);
// return; //Let's only show the first element.
//}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDER)
{
//逐笔委托
//TDFOrder[] orderDataArr = msg.Data as TDFOrder[];
//foreach (TDFOrder data in orderDataArr)
//{
// if (!ShowAllData)
// Console.WriteLine(data.WindCode);
// else
// PrintHelper.PrintObject(data);
// return; //Let's only show the first element.
//}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDERQUEUE)
{
//委托队列
//TDFOrderQueue[] orderQueueArr = msg.Data as TDFOrderQueue[];
//foreach (TDFOrderQueue data in orderQueueArr)
//{
// if (!ShowAllData)
// Console.WriteLine(data.WindCode);
// else
// PrintHelper.PrintObject(data);
// return; //Let's only show the first element.
//}
}
}
catch (Exception ex)
{
ChinaMarketValue.exceptionLog.log(ChinaMarketValue.logLevel, ex.ToString());
}
}
/// <summary>
/// TDFConnectResult
/// public int ConnectID; //连接ID
/// public bool ConnResult; //为0则表示连接失败，非0则表示连接成功
/// public string Ip; //连接TDFServer主机IP
/// public string Password; //登录密码
/// public string Port; //连接TDFServer主机的端口
/// public string Username; //登录用户名
/// TDFLoginResult
/// public int[] DynDate; //动态数据日期
/// public string Info; //登录结果文本
/// public bool LoginResult; //true表示登录验证成功，false表示登录验证失败
/// public string[] Markets; //市场代码 SZ, SH, CF, SHF, CZC, DCE
///
/// TDFCodeResult
/// public int[] CodeCount; //代码表项数
/// public int[] CodeDate; //代码表日期
/// public string Info; //代码表文本结果
/// public string[] Markets;//市场代码 SZ, SH, CF, SHF, CZC, DCE
/// --调用GetCodeTable只能获得调用该函数为止的最新代码表，在运行程序中，当在回调函数中接收到新代码时，客户端可以再次调用GetCodeTable获得该新代码信息
///
/// TDFQuotationDateChange
/// public string Market; //市场代码
/// public int NewDate; //新行情日期
/// public int OldDate; //原行情日期
///
/// TDFMarketClose
/// public string Info; //闭市信息
/// public string Market; //交易所名称
/// public int Time; //时间(HHMMSSmmm)
///
/// TDFCode
/// public string CNName; //代码中文名称，如：沪银1302
/// public string Code; //原始代码，如：AG1302
/// public string ENName; //代码英文名称
/// public string Market; //交易所名称
/// public string WindCode; //万得代码，如：AG1302.SHF
/// public int Type; //证券类型，详细类型 Type位与 0xFF
/// //0x00 指数
/// //0x10 股票 （0x10 A股， 0x11中小板股，0x12创业板股）
/// //0x20 基金
/// //0x30 债券&可转债
/// //0x40 回购
/// //0x60 权证
/// //0x70 期货(0x70指数期货，0x71商品期货，0x72股票期货)
/// //0x80 外汇
/// //0xd0 银行利率
/// //0xe0 贵金属
/// //0xf0 其他
/// </summary>
/// <param name="msg"></param>
private void OnRecvSysMsg(TDFMSG msg)
{
switch (msg.MsgID)
{
case TDFMSGID.MSG_SYS_CONNECT_RESULT:
{
//连接结果
TDFConnectResult connectResult = msg.Data as TDFConnectResult;
if (!connectResult.ConnResult)
{
string strMsg = string.Format("宏汇行情连接服务器失败: IP:{0} Port:{1} User:{2} Password:{3}",
connectResult.Ip, connectResult.Port, connectResult.Username, connectResult.Password);
logger.Error(strMsg);
//TODO: notify the user to handle the connect failure
Stop();
}
else
{
string strMsg = "宏汇行情连接服务器成功！";
logger.Info(strMsg);
}
}
break;
case TDFMSGID.MSG_SYS_LOGIN_RESULT:
{
//登陆结果
TDFLoginResult loginResult = msg.Data as TDFLoginResult;
if (!loginResult.LoginResult)
{
string strMsg = string.Format("宏汇行情登录失败: {0}", loginResult.Info);
logger.Error(strMsg);
//TODO: notify the user to handle the login failure
Stop();
}
else
{
string strMsg = "宏汇行情登录成功";
logger.Info(strMsg);
}
}
break;
case TDFMSGID.MSG_SYS_CODETABLE_RESULT:
{
//接收代码表结果
TDFCodeResult codeResult = msg.Data as TDFCodeResult;
string strMsg = string.Format("获取到代码表, info:{0}, 市场个数:{1}", codeResult.Info, codeResult.Markets.Length);
logger.Info(strMsg);
//获取代码表内容,多个市场使用分号分割：SH;SZ;CF
TDFCode[] codeArr;
this._dataSource.GetCodeTable("", out codeArr);
AddSecurity(codeArr);
//if (codeArr[i].Type >= 0x90 && codeArr[i].Type <= 0x95)
//{
// // 期权数据
// TDFOptionCode code = new TDFOptionCode();
// var ret = this._tdfImp.GetOptionCodeInfo(codeArr[i].WindCode, ref code);
//}
}
break;
case TDFMSGID.MSG_SYS_QUOTATIONDATE_CHANGE:
{
//行情日期变更。
TDFQuotationDateChange quotationChange = msg.Data as TDFQuotationDateChange;
string strMsg = string.Format("接收到行情日期变更通知消息，market:{0}, old date:{1}, new date:{2}", quotationChange.Market, quotationChange.OldDate, quotationChange.NewDate);
logger.Info(strMsg);
}
break;
case TDFMSGID.MSG_SYS_MARKET_CLOSE:
{
//闭市消息
TDFMarketClose marketClose = msg.Data as TDFMarketClose;
string strMsg = string.Format("接收到闭市消息, 交易所:{0}, 时间:{1}, 信息:{2}", marketClose.Market, marketClose.Time, marketClose.Info);
logger.Info(strMsg);
}
break;
case TDFMSGID.MSG_SYS_HEART_BEAT:
{
//心跳消息
logger.Info("接收到心跳消息!");
}
break;
default:
break;
}
}
//重载 OnRecvSysMsg 方法，接收系统消息通知
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvSysMsg(TDFMSG msg)
{
if (msg.MsgID == TDFMSGID.MSG_SYS_CONNECT_RESULT)
{
//连接结果
TDFConnectResult connectResult = msg.Data as TDFConnectResult;
string strPrefix = connectResult.ConnResult ? "连接成功" : "连接失败";
;//Console.WriteLine("{0}！server:{1}:{2},{3},{4}, connect id:{5}", strPrefix, connectResult.Ip, connectResult.Port, connectResult.Username, connectResult.Password, connectResult.ConnectID);
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_LOGIN_RESULT)
{
TDFLoginResult loginResult = msg.Data as TDFLoginResult;
if (loginResult.LoginResult)
{
//登陆结果
;//Console.WriteLine("登陆成功，市场个数:{0}:", loginResult.Markets.Length);
for (int i = 0; i < loginResult.Markets.Length; i++)
{
;//Console.WriteLine("market:{0}, dyn-date:{1}", loginResult.Markets[i], loginResult.DynDate[i]);
}
}
else
{
;//Console.WriteLine("登陆失败！info:{0}", loginResult.Info);
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_CODETABLE_RESULT)
{
//接收代码表结果
TDFCodeResult codeResult = msg.Data as TDFCodeResult;
;//Console.WriteLine("获取到代码表, info:{0}，市场个数:{1}", codeResult.Info, codeResult.Markets.Length);
for (int i = 0; i < codeResult.Markets.Length; i++)
{
;//Console.WriteLine("market:{0}, date:{1}, code count:{2}", codeResult.Markets[i], codeResult.CodeDate[i], codeResult.CodeCount[i]);
}
//客户端请自行保存代码表，本处演示怎么获取代码表内容
TDFCode[] codeArr;
GetCodeTable("", out codeArr);
;//Console.WriteLine("接收到{0}项代码!, 输出前100项", codeArr.Length);
for (int i = 0; i < 100 && i < codeArr.Length; i++)
{
if (codeArr[i].Type >= 0x90 && codeArr[i].Type <= 0x95)
{
// 期权数据
TDFOptionCode code = new TDFOptionCode();
var ret = GetOptionCodeInfo(codeArr[i].WindCode, ref code);
;//PrintHelper.PrintObject(code);
}
else
{
;//PrintHelper.PrintObject(codeArr[i]);
}
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_QUOTATIONDATE_CHANGE)
{
//行情日期变更。
TDFQuotationDateChange quotationChange = msg.Data as TDFQuotationDateChange;
;//Console.WriteLine("接收到行情日期变更通知消息，market:{0}, old date:{1}, new date:{2}", quotationChange.Market, quotationChange.OldDate, quotationChange.NewDate);
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_MARKET_CLOSE)
{
//闭市消息
TDFMarketClose marketClose = msg.Data as TDFMarketClose;
;//Console.WriteLine("接收到闭市消息, 交易所:{0}, 时间:{1}, 信息:{2}", marketClose.Market, marketClose.Time, marketClose.Info);
if (!(marketClose.Market == "CF"))
{
EvMarketClose(this, null);
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_HEART_BEAT)
{
//心跳消息
;//Console.WriteLine("接收到心跳消息!");
}
}
/// <summary>
/// TDFMarketData
/// public int ActionDay; //业务发生日（自然日） YYMMDD
/// public uint[] AskPrice; //申卖价
/// public uint[] AskVol; //申卖量
/// public uint[] BidPrice; //申买价
/// public uint[] BidVol; //申买量
/// public string Code; //原始代码
/// public uint High; //最高价
/// public uint HighLimited; //涨停价
/// public int IOPV; //IOPV净值估值
/// public uint Low; //最低价
/// public uint LowLimited; //跌停价
/// public uint Match; //最新价
/// public uint NumTrades; //成交笔数
/// public uint Open; //开盘价
/// public uint PreClose; //前收盘价
/// public byte[] Prefix; //证券信息前缀
/// public int SD2; //升跌2（对比上一笔）
/// public int Status; //状态
/// public int Syl1; //市盈率1
/// public int Syl2; //市盈率2
/// public int Time; //时间(HHMMSSmmm)
/// public long TotalAskVol; //委托卖出总量
/// public long TotalBidVol; //委托买入总量
/// public int TradingDay; //
/// public long Turnover; //成交总金额
/// public long Volume; //成交总量
/// public uint WeightedAvgAskPrice; //加权平均委卖价格
/// public uint WeightedAvgBidPrice; //加权平均委买价格
/// public string WindCode; //万得代码,如：600001.SH
/// public int YieldToMaturity; //到期收益率
///
/// Status状态
/// //0 首日上市
/// //1 增发新股
/// //2 上网定价发行
/// //3 上网竞价发行
/// //A 交易节休市
/// //B 整体停牌
/// //C 全天收市
/// //D 暂停交易
/// //E Start - 启动交易盘
/// //F PRETR - 盘前处理
/// //H Holiday - 放假
/// //I OCALL - 开市集合竞价
/// //J ICALL - 盘中集合竞价
/// //K OPOBB - 开市订单簿平衡前期
/// //L IPOBB - 盘中订单簿平衡前期
/// //M OOBB - 开市订单簿平衡
/// //N IOBB - 盘中订单簿平衡
/// //O TRADE - 连续撮合
/// //P BREAK - 休市
/// //Q VOLA - 波动性中断
/// //R BETW - 交易间
/// //S NOTRD - 非交易服务支持
/// //T FCALL - 固定价格集合竞价
/// //U POSTR - 盘后处理
/// //V ENDTR - 结束交易
/// //W HALT - 暂停
/// //X SUSP - 停牌
/// //Y ADD - 新增产品
/// //Z DEL - 可删除的产品
/// //d 集合竞价阶段结束到连续竞价阶段开始之前的时段（如有）
/// //G DEL - 不可恢复交易的熔断阶段（上交所的N）
/// //Q VOLA - 波动性中断
/// //q 可恢复交易的熔断时段（上交所的M）
///
/// TDFIndexData
/// public int ActionDay; //业务发生日（自然日）(YYMMDD)
/// public string Code; //原始代码
/// public int HighIndex; //最高指数
/// public int LastIndex; //最新指数
/// public int LowIndex; //最低指数
/// public int OpenIndex; //今开盘指数
/// public int PreCloseIndex;//前盘指数
/// public int Time; //时间(HHMMSSmmm)
/// public long TotalVolume;//参与计算相应指数的交易数量
/// public int TradingDay; //
/// public long Turnover; //参与计算相应指数的成交金额
/// public string WindCode; //万得代码
///
///
/// TDFFutureData
/// public int ActionDay; //业务发生日（自然日）(YYMMDD)
/// public uint[] AskPrice; //申卖价
/// public uint[] AskVol; //申卖量
/// public uint[] BidPrice; //申买价
/// public uint[] BidVol; //申买量
/// public uint Close; //今收盘
/// public string Code; //原始代码
/// public int CurrDelta; //今虚实度
/// public uint High; //最高价
/// public uint HighLimited; //涨停价
/// public uint Low; //最低价
/// public uint LowLimited; //跌停价
/// public uint Match; //最新价
/// public uint Open; //开盘价
/// public long OpenInterest; //持仓总量
/// public uint PreClose; //昨收盘价
/// public int PreDelta; //昨虚实度
/// public long PreOpenInterest;//昨持仓
/// public uint PreSettlePrice; //昨结算
/// public uint SettlePrice; //今结算
/// public int Status; //状态
/// public int Time; //时间(HHMMSSmmm)
/// public int TradingDay; //交易日
/// public long Turnover; //成交总金额
/// public long Volume; //成交总量
/// public string WindCode; //万得代码
///
///
///
/// TDFOrderQueue
/// public int ABItems; //明细个数
/// public int[] ABVolume; //订单明细
/// public int ActionDay; //自然日(YYMMDD)
/// public string Code; //原始代码
/// public int Orders; //订单数量
/// public int Price; //委托价格
/// public int Side; //买卖方向('B': Bid, 'A': Ask)
/// public int Time; //时间(HHMMSSmmm)
/// public string WindCode; //万得代码
///
///
/// TDFTransaction
/// public int ActionDay; //成交日期(YYMMDD)
/// public int AskOrder; //叫卖方委托序号
/// public int BidOrder; //叫买方委托序号
/// public int BSFlag; //买卖方向(买：'B', 卖：'A'，不明：' '）
/// public string Code; //原始代码
/// public byte FunctionCode;//成交代码
/// public int Index; //成交编号
/// public byte OrderKind; //成交类别
/// public int Price; //成交价格
/// public int Time; //成交时间(HHMMSS)
/// public int Turnover; //成交金额
/// public int Volume; //成交数量
/// public string WindCode; //万得代码
///
/// TDFOrder
/// public int ActionDay; //委托日期(YYMMDD)
/// public string Code; //原始代码
/// public byte FunctionCode; //委托代码
/// public int Order; //委托号
/// public byte OrderKind; //委托类别
/// public int Price; //委托价格
/// public int Time; //委托时间(HHMMSSmmm)
/// public int Volume; //委托数量
/// public string WindCode; //万得代码
/// </summary>
/// <param name="msg"></param>
private void OnRecvDataMsg(TDFMSG msg)
{
switch (msg.MsgID)
{
case TDFMSGID.MSG_DATA_MARKET:
{
//行情消息
TDFMarketData[] marketOldDataArr = msg.Data as TDFMarketData[];
for (int i = 0, length = marketOldDataArr.Length; i < length; i++)
{
TDFMarketData data = marketOldDataArr[i];
string code = data.Code;
string windCode = data.WindCode;
MarketData marketData = new MarketData
{
InstrumentID = windCode,
LimitUpDownFlag = LimitUpDownFlag.Normal,
};
char status = (char)data.Status;
switch (status)
{
case 'B':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
}
break;
case 'C':
{
marketData.TradingStatus = TradingStatus.Close;
marketData.SuspendFlag = SuspendFlag.NoSuspension;
}
break;
case 'D':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.SuspendTemp;
}
break;
case 'W':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.SuspendTemp;
}
break;
case 'X':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
}
break;
default:
{
//正常交易
marketData.TradingStatus = TradingStatus.Normal;
marketData.SuspendFlag = SuspendFlag.NoSuspension;
}
break;
}
if (data.Match == 0)
{
//TODO: fix the close period
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
}
else if (data.Match >= data.HighLimited)
{
marketData.TradingStatus = TradingStatus.Normal;
marketData.SuspendFlag = SuspendFlag.NoSuspension;
marketData.LimitUpDownFlag = LimitUpDownFlag.LimitUp;
}
else if (data.Match <= data.LowLimited)
{
marketData.TradingStatus = TradingStatus.Normal;
marketData.SuspendFlag = SuspendFlag.NoSuspension;
marketData.LimitUpDownFlag = LimitUpDownFlag.LimitDown;
}
marketData.CurrentPrice = (double)data.Match / 10000;
marketData.PreClose = data.PreClose / 10000;
if (data.AskPrice != null && data.AskPrice.Length >= 5)
{
marketData.SellPrice1 = (double)data.AskPrice[0] / 10000;
marketData.SellPrice2 = (double)data.AskPrice[1] / 10000;
marketData.SellPrice3 = (double)data.AskPrice[2] / 10000;
marketData.SellPrice4 = (double)data.AskPrice[3] / 10000;
marketData.SellPrice5 = (double)data.AskPrice[4] / 10000;
}
if (data.BidPrice != null && data.BidPrice.Length >= 5)
{
marketData.BuyPrice1 = (double)data.BidPrice[0] / 10000;
marketData.BuyPrice2 = (double)data.BidPrice[1] / 10000;
marketData.BuyPrice3 = (double)data.BidPrice[2] / 10000;
marketData.BuyPrice4 = (double)data.BidPrice[3] / 10000;
marketData.BuyPrice5 = (double)data.BidPrice[4] / 10000;
}
marketData.HighLimitPrice = (double)data.HighLimited / 10000;
marketData.LowLimitPrice = (double)data.LowLimited / 10000;
marketData.BuyAmount = data.TotalBidVol;
marketData.SellAmount = data.TotalAskVol;
_quote.Add(windCode, marketData);
}
}
break;
case TDFMSGID.MSG_DATA_FUTURE:
{
//期货行情消息
TDFFutureData[] futureDataArr = msg.Data as TDFFutureData[];
foreach (TDFFutureData data in futureDataArr)
{
string windCode = data.WindCode;
if (!windCode.EndsWith(".CF"))
{
continue;
}
MarketData marketData = new MarketData
{
InstrumentID = windCode
};
char status = (char)data.Status;
switch (status)
{
case 'B':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
}
break;
case 'C':
{
marketData.TradingStatus = TradingStatus.Close;
marketData.SuspendFlag = SuspendFlag.NoSuspension;
}
break;
case 'D':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.SuspendTemp;
}
break;
case 'W':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.SuspendTemp;
}
break;
case 'X':
{
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
}
break;
default:
{
//正常交易
marketData.TradingStatus = TradingStatus.Normal;
marketData.SuspendFlag = SuspendFlag.NoSuspension;
}
break;
}
if (data.Match == 0)
{
//TODO: fix the close period
marketData.TradingStatus = TradingStatus.Suspend;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
}
else if (data.Match >= data.HighLimited)
{
marketData.TradingStatus = TradingStatus.Normal;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
marketData.LimitUpDownFlag = LimitUpDownFlag.LimitUp;
}
else if (data.Match <= data.LowLimited)
{
marketData.TradingStatus = TradingStatus.Normal;
marketData.SuspendFlag = SuspendFlag.Suspend1Day;
marketData.LimitUpDownFlag = LimitUpDownFlag.LimitDown;
}
marketData.CurrentPrice = (double)data.Match / 10000;
marketData.PreClose = (double)data.PreClose / 10000;
if (data.AskPrice != null && data.AskPrice.Length >= 5)
{
marketData.SellPrice1 = (double)data.AskPrice[0] / 10000;
marketData.SellPrice2 = (double)data.AskPrice[1] / 10000;
marketData.SellPrice3 = (double)data.AskPrice[2] / 10000;
marketData.SellPrice4 = (double)data.AskPrice[3] / 10000;
marketData.SellPrice5 = (double)data.AskPrice[4] / 10000;
}
if (data.BidPrice != null && data.BidPrice.Length >= 5)
{
marketData.BuyPrice1 = (double)data.BidPrice[0] / 10000;
marketData.BuyPrice2 = (double)data.BidPrice[1] / 10000;
marketData.BuyPrice3 = (double)data.BidPrice[2] / 10000;
marketData.BuyPrice4 = (double)data.BidPrice[3] / 10000;
marketData.BuyPrice5 = (double)data.BidPrice[4] / 10000;
}
marketData.HighLimitPrice = (double)data.HighLimited / 10000;
marketData.LowLimitPrice = (double)data.LowLimited / 10000;
//BuyAmount, SellAmount
_quote.Add(windCode, marketData);
}
}
break;
case TDFMSGID.MSG_DATA_INDEX:
{
//指数消息
TDFIndexData[] indexDataArr = msg.Data as TDFIndexData[];
foreach (TDFIndexData data in indexDataArr)
{
string windCode = data.WindCode;
MarketData marketData = new MarketData
{
InstrumentID = windCode
};
marketData.CurrentPrice = (double)data.LastIndex / 10000;
marketData.PreClose = (double)data.PreCloseIndex / 10000;
_quote.Add(windCode, marketData);
}
}
break;
//case TDFMSGID.MSG_DATA_TRANSACTION:
// {
// TDFTransaction[] tranDataArr = msg.Data as TDFTransaction[];
// }
// break;
//case TDFMSGID.MSG_DATA_ORDER:
// {
// TDFOrder[] orderDataArr = msg.Data as TDFOrder[];
// }
// break;
//case TDFMSGID.MSG_DATA_ORDERQUEUE:
// {
// TDFOrderQueue[] orderQueueDataArr = msg.Data as TDFOrderQueue[];
// }
// break;
default:
break;
}
}
//重载 OnRecvSysMsg 方法，接收系统消息通知
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvSysMsg(TDFMSG msg)
{
if (msg.MsgID == TDFMSGID.MSG_SYS_CONNECT_RESULT)
{
//连接结果
TDFConnectResult connectResult = msg.Data as TDFConnectResult;
string strPrefix = connectResult.ConnResult ? "连接成功" : "连接失败";
Console.WriteLine("{0}！server:{1}:{2},{3},{4}, connect id:{5}", strPrefix, connectResult.Ip, connectResult.Port, connectResult.Username, connectResult.Password, connectResult.ConnectID);
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_LOGIN_RESULT)
{
TDFLoginResult loginResult = msg.Data as TDFLoginResult;
if (loginResult.LoginResult)
{
//登陆结果
Console.WriteLine("登陆成功，市场个数:{0}:", loginResult.Markets.Length);
for (int i = 0; i < loginResult.Markets.Length; i++)
{
Console.WriteLine("market:{0}, dyn-date:{1}", loginResult.Markets[i], loginResult.DynDate[i]);
}
}
else
{
Console.WriteLine("登陆失败！info:{0}", loginResult.Info);
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_CODETABLE_RESULT)
{
//接收代码表结果
TDFCodeResult codeResult = msg.Data as TDFCodeResult;
Console.WriteLine("获取到代码表, info:{0}，市场个数:{1}", codeResult.Info, codeResult.Markets.Length);
for (int i = 0; i < codeResult.Markets.Length; i++)
{
Console.WriteLine("market:{0}, date:{1}, code count:{2}", codeResult.Markets[i], codeResult.CodeDate[i], codeResult.CodeCount[i]);
}
//FileStream fsFile = new FileStream(@"d:\log.txt", FileMode.OpenOrCreate);
//StreamWriter swWriter = new StreamWriter(fsFile);
////寫入數據
////swWriter.WriteLine("Hello Wrold.");
////swWriter.WriteLine("It is now {0}", DateTime.Now.ToLongDateString());
////客户端请自行保存代码表，本处演示怎么获取代码表内容
//TDFCode[] codeArr;
//GetCodeTable("", out codeArr);
////Console.WriteLine("接收到{0}项代码!, 输出前100项", codeArr.Length);
////for (int i = 0; i < 100 && i < codeArr.Length; i++)
//for (int i = 0; i < codeArr.Length; i++)
//{
// if (codeArr[i].Type >= 0x90 && codeArr[i].Type <= 0x95)
// {
// // 期权数据
// TDFOptionCode code = new TDFOptionCode();
// var ret = GetOptionCodeInfo(codeArr[i].WindCode, ref code);
// PrintHelper.PrintObject(code);
// swWriter.WriteLine(codeArr[i].WindCode + "\t" + codeArr[i].Code + "\t" + codeArr[i].CNName + "\t" + codeArr[i].Type);
// }
// else
// {
// //PrintHelper.PrintObject(codeArr[i]);
// swWriter.WriteLine(codeArr[i].WindCode + "\t" + codeArr[i].Code + "\t" + codeArr[i].CNName + "\t" + codeArr[i].Type);
// }
//}
//swWriter.Close();
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_QUOTATIONDATE_CHANGE)
{
//行情日期变更。
TDFQuotationDateChange quotationChange = msg.Data as TDFQuotationDateChange;
Console.WriteLine("接收到行情日期变更通知消息，market:{0}, old date:{1}, new date:{2}", quotationChange.Market, quotationChange.OldDate, quotationChange.NewDate);
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_MARKET_CLOSE)
{
//闭市消息
TDFMarketClose marketClose = msg.Data as TDFMarketClose;
Console.WriteLine("接收到闭市消息, 交易所:{0}, 时间:{1}, 信息:{2}", marketClose.Market, marketClose.Time, marketClose.Info);
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_HEART_BEAT)
{
//心跳消息
Console.WriteLine("接收到心跳消息!");
}
}
//重载OnRecvDataMsg方法，接收行情数据
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvDataMsg(TDFMSG msg)
{
if (msg.MsgID == TDFMSGID.MSG_DATA_MARKET)
{
//行情消息
TDFMarketData[] marketDataArr = msg.Data as TDFMarketData[];
foreach (TDFMarketData data in marketDataArr)
{
if (!ShowAllData)
{
//Console.WriteLine("行情消息 - 代码:{0}, 时间:{1}, 价格:{2}, 交易量:{3} ", data.WindCode, data.Time, data.Match, data.Volume);
Console.WriteLine("行情消息 - 代码:{0}, 时间:{1}, 价格:{2}, 交易量:{3} ", DateTime.Now.Second.ToString(), data.Time, data.Match, data.Volume);
}
else
{
PrintHelper.PrintObject(data);
}
return; //Let's only show the first element.
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_FUTURE)
{
//期货行情消息
TDFFutureData[] futureDataArr = msg.Data as TDFFutureData[];
foreach (TDFFutureData data in futureDataArr)
{
if (!ShowAllData)
{
Console.WriteLine(data.WindCode);
}
else
{
PrintHelper.PrintObject(data);
}
return; //Let's only show the first element.
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_INDEX)
{
//指数消息
TDFIndexData[] indexDataArr = msg.Data as TDFIndexData[];
foreach (TDFIndexData data in indexDataArr)
{
if (!ShowAllData)
{
Console.WriteLine("指数行情 - 代码:{0}, 时间:{1}, 价格:{2}, 交易量:{3} ", DateTime.Now.Second.ToString(), data.Time, data.LastIndex, data.TotalVolume);
}
else
{
PrintHelper.PrintObject(data);
}
return; //Let's only show the first element.
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_TRANSACTION)
{
//逐笔成交
TDFTransaction[] transactionDataArr = msg.Data as TDFTransaction[];
foreach (TDFTransaction data in
transactionDataArr)
{
if (!ShowAllData)
{
Console.WriteLine("逐笔成交 - 代码:{0}, 时间:{1}, 价格:{2}, 交易量:{3} ", DateTime.Now.Second.ToString(), data.Time, data.Price, data.Volume);
}
else
{
PrintHelper.PrintObject(data);
}
return; //Let's only show the first element.
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDER)
{
//逐笔委托
TDFOrder[] orderDataArr = msg.Data as TDFOrder[];
foreach (TDFOrder data in orderDataArr)
{
if (!ShowAllData)
{
Console.WriteLine("逐笔委托 - 代码:{0}, 时间:{1}, 价格:{2}, 交易量:{3} ", DateTime.Now.Second.ToString(), data.Time, data.Price, data.Volume);
}
else
{
PrintHelper.PrintObject(data);
}
return; //Let's only show the first element.
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_ORDERQUEUE)
{
//委托队列
TDFOrderQueue[] orderQueueArr = msg.Data as TDFOrderQueue[];
foreach (TDFOrderQueue data in orderQueueArr)
{
if (!ShowAllData)
{
Console.WriteLine("委托队列 - 代码:{0}, 时间:{1}, 价格:{2}, 第一单:{3} ", DateTime.Now.Second.ToString(), data.Time, data.Price, data.ABVolume[0]);
}
else
{
PrintHelper.PrintObject(data);
}
return; //Let's only show the first element.
}
}
}
//重载 OnRecvSysMsg 方法，接收系统消息通知
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvSysMsg(TDFMSG msg)
{
//throw new NotImplementedException();
if (msg.MsgID == TDFMSGID.MSG_SYS_CONNECT_RESULT)
{
//连接结果
TDFConnectResult connectResult = msg.Data as TDFConnectResult;
string strPrefix = connectResult.ConnResult ? "连接成功" : "连接失败";
logA.LogEvent("系统服务器连接情况 ：" + strPrefix);
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_LOGIN_RESULT)
{
//登陆结果
TDFLoginResult loginResult = msg.Data as TDFLoginResult;
if (loginResult.LoginResult)
{
logA.LogEvent("系统服务器登陆成功");
for (int i = 0; i < loginResult.Markets.Length; i++)
{
logA.LogEvent(String.Format("market:{0},dyn-date:{1}", loginResult.Markets[i], loginResult.DynDate[i]));
}
}
else
{
logA.LogEvent(String.Format("登陆失败！ info:{0}", loginResult.Info));
}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_CODETABLE_RESULT)
{
//接收代码表结果
TDFCodeResult codeResult = msg.Data as TDFCodeResult;
logA.LogEvent(String.Format("获取到代码表, info:{0}，市场个数:{1}", codeResult.Info, codeResult.Markets.Length));
//代码表是什么鸟玩意？？
TDFCode[] codeArrSZ;
GetCodeTable("SZ", out codeArrSZ);
TDFCode[] codeArrSH;
GetCodeTable("SH", out codeArrSH);
//for (int i = 0; i < 100 && i < codeArr.Length; i++)
//{
// if (codeArr[i].Type >= 0x90 && codeArr[i].Type <= 0x95)
// {
// // 期权数据
// TDFOptionCode code = new TDFOptionCode();
// var ret = GetOptionCodeInfo(codeArr[i].WindCode, ref code);
// PrintHelper.PrintObject(code);
// }
// else
// {
// PrintHelper.PrintObject(codeArr[i]);
// }
//}
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_QUOTATIONDATE_CHANGE)
{
//行情日期变更。
TDFQuotationDateChange quotationChange = msg.Data as TDFQuotationDateChange;
logA.LogEvent(String.Format("接收到行情日期变更通知消息，market:{0}, old date:{1}, new date:{2}", quotationChange.Market, quotationChange.OldDate, quotationChange.NewDate));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_MARKET_CLOSE)
{
//闭市消息
TDFMarketClose marketClose = msg.Data as TDFMarketClose;
logA.LogEvent(String.Format("接收到闭市消息, 交易所:{0}, 时间:{1}, 信息:{2}", marketClose.Market, marketClose.Time, marketClose.Info));
}
else if (msg.MsgID == TDFMSGID.MSG_SYS_HEART_BEAT)
{
//心跳消息
}
}
//重载OnRecvDataMsg方法，接收行情数据
// 请注意：
// 1. 不要在这个函数里做耗时操作
// 2. 只在这个函数里做数据获取工作 -- 将数据复制到其它数据缓存区，由其它线程做业务逻辑处理
public override void OnRecvDataMsg(TDFMSG msg)
{
if (Queue_Data.GetQueueNumber() > 2000)
{
Queue_Data.GetQueue().Clear();
GlobalMarketLog.LogInstance.LogEvent("Queue_Data超量自动删除，时间：" + DateTime.Now.ToString());
}
if (MarketInfoQueue.GetQueueLength() > 2000)
{
MarketInfoQueue.ClearQueue();
GlobalMarketLog.LogInstance.LogEvent("MarketInfoQueue超量自动删除，时间：" + DateTime.Now.ToString());
}
if (msg.MsgID == TDFMSGID.MSG_DATA_MARKET)
{
//行情消息
TDFMarketData[] marketDataArr = msg.Data as TDFMarketData[];
foreach (TDFMarketData data in marketDataArr)
{
EnQueueType obj = new EnQueueType()
{
Type = "S", value = (object)data
};
if (Queue_Data.Suspend == false)
{
if (!simulate_trade.MarketRecorder)
{
Queue_Data.GetQueue().Enqueue((object)obj);
}
if (data.Status == 68)
{
stop_plate_stocks.GetInstance().updateStopList(data);
}
if (simulate_trade.MarketRecorder)
{
MarketInfoQueue.EnQueueNew(data);
}
}
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_FUTURE)
{
//期货行情数据
TDFFutureData[] futureDataArr = msg.Data as TDFFutureData[];
foreach (TDFFutureData data in futureDataArr)
{
EnQueueType obj = new EnQueueType()
{
Type = "F", value = (object)data
};
if (Queue_Data.Suspend == false)
{
Queue_Data.GetQueue().Enqueue((object)obj);
}
}
}
else if (msg.MsgID == TDFMSGID.MSG_DATA_INDEX)
{
//指数消息
TDFIndexData[] indexDataArr = msg.Data as TDFIndexData[];
foreach (TDFIndexData data in indexDataArr)
{
EnQueueType obj = new EnQueueType()
{
Type = "I", value = (object)data
};
if (Queue_Data.Suspend == false)
{
Queue_Data.GetQueue().Enqueue((object)obj);
}
}
}
}
