public void AddPendingItem(SourceQuotation quotation)
{
lock (this._WaitQueue)
{
this._WaitQueue.Enqueue(quotation);
}
}
public AbnormalInstrument(SourceQuotation firstAbnormalItem, AbnormalQuotationManager abnormalQuotationManager, PriceRangeCheckRule priceRangeCheckRule)
{
this._InstrumentId = firstAbnormalItem.InstrumentId;
this._TimeoutCount = 0;
this._WaitQueue = new Queue<SourceQuotation>();
this._WaitQueue.Enqueue(firstAbnormalItem);
this._AbnormalQuotationManager = abnormalQuotationManager;
this._PriceRangeCheckRule = priceRangeCheckRule;
}
public bool AppendPendingItem(SourceQuotation quotation)
{
lock (this._WaitQueue)
{
if (this._WaitQueue.Count > 0)
{
this._WaitQueue.Enqueue(quotation);
return true;
}
}
return false;
}
public void SetAbnormalInfo(SourceQuotation quotation)
{
GeneralQuotation last;
quotation.IsAbnormal = false;
if (this._LastQuotationManager.LastAccepted.TryGetLastQuotation(quotation.InstrumentId, out last))
{
PriceRangeCheckRule rule = this._PriceRangeCheckRules[quotation.InstrumentId];
double diff = 0;
double oldPrice = 0;
switch (rule.OutOfRangeType)
{
case OutOfRangeType.Ask:
diff = Math.Abs(quotation.Ask - last.Ask);
oldPrice = last.Ask;
break;
case OutOfRangeType.Bid:
diff = Math.Abs(quotation.Bid - last.Bid);
oldPrice = last.Bid;
break;
default:
Logger.AddEvent(TraceEventType.Error, "AbnormalQuotationManager.IsNormalPrice unknown OutOfRangeType:{0}", rule.OutOfRangeType.ToString());
break;
}
// diff to diffPoints
int decimalPlace = MainService.QuotationManager.ConfigMetadata.Instruments[quotation.PrimitiveQuotation.InstrumentId].DecimalPlace;
int diffPoints = (int)(Math.Round(diff * Math.Pow(10, decimalPlace), 0));
quotation.IsAbnormal = diffPoints > rule.ValidVariation;
if (quotation.IsAbnormal)
{
quotation.DiffPoints = diffPoints;
quotation.OldPrice = oldPrice;
quotation.OutOfRangeType = rule.OutOfRangeType;
quotation.WaitSeconds = rule.OutOfRangeWaitTime;
quotation.ConfirmId = this.GetNextConfirmId();
}
}
}
public void Set(SourceQuotation quotation)
{
Dictionary<int, SourceQuotation> sourceQuotations;
if (!this._LastReceivedQuotations.TryGetValue(quotation.SourceId, out sourceQuotations))
{
sourceQuotations = new Dictionary<int, SourceQuotation>();
this._LastReceivedQuotations.Add(quotation.SourceId, sourceQuotations);
}
sourceQuotations[quotation.InstrumentId] = quotation;
}
public bool SetQuotation(SourceQuotation quotation)
{
bool isNormalAndNotWaiting = false;
AbnormalInstrument abnormalInstrument;
bool hasAbnormalInstrument = this._AbnormalInstruments.TryGetValue(quotation.InstrumentId, out abnormalInstrument);
if (hasAbnormalInstrument)
{
if (abnormalInstrument.AppendPendingItem(quotation))
{
return false;
}
}
this.SetAbnormalInfo(quotation);
if (quotation.IsAbnormal)
{
if (!this._PriceRangeCheckRules[quotation.InstrumentId].DiscardOutOfRangePrice)
{
MainService.ExchangeManager.SwitchPriceEnableState(quotation.InstrumentId, false);
if (hasAbnormalInstrument)
{
abnormalInstrument.AddPendingItem(quotation);
}
else
{
abnormalInstrument = new AbnormalInstrument(quotation, this, this._PriceRangeCheckRules[quotation.InstrumentId]);
this._AbnormalInstruments.Add(quotation.InstrumentId, abnormalInstrument);
}
this.StartConfirm(quotation);
}
}
else
{
isNormalAndNotWaiting = true;
}
return isNormalAndNotWaiting;
}
public void StartConfirm(SourceQuotation quotation)
{
string format = "F" + MainService.QuotationManager.ConfigMetadata.Instruments[quotation.InstrumentId].DecimalPlace;
AbnormalQuotationMessage message = new AbnormalQuotationMessage();
message.ConfirmId = quotation.ConfirmId;
message.InstrumentId = quotation.InstrumentId;
message.InstrumentCode = quotation.InstrumentCode;
message.NewPrice = quotation.OutOfRangeType == OutOfRangeType.Ask ? quotation.Ask.ToString(format) : quotation.Bid.ToString(format);
message.OldPrice = quotation.OldPrice;
message.OutOfRangeType = quotation.OutOfRangeType;
message.DiffPoints = quotation.DiffPoints;
message.WaitSeconds = quotation.WaitSeconds;
MainService.ClientManager.Dispatch(message);
quotation.WaitEndTime = DateTime.Now.AddSeconds(quotation.WaitSeconds + 1); // Add one sencond at server side.
this.ChangeWaitTime(quotation.WaitEndTime);
}
public void ProcessQuotation(PrimitiveQuotation primitiveQuotation)
{
bool inverted;
if (this._ConfigMetadata.EnsureIsKnownQuotation(primitiveQuotation, out inverted))
{
double ask, bid;
if (this._LastQuotationManager.LastReceived.Fix(primitiveQuotation, out ask, out bid))
{
if (this._LastQuotationManager.LastReceived.IsNotSame(primitiveQuotation))
{
MainService.ClientManager.Dispatch(new PrimitiveQuotationMessage() { Quotation = primitiveQuotation });
string instrumentCode = this._ConfigMetadata.Instruments[primitiveQuotation.InstrumentId].Code;
SourceQuotation quotation = new SourceQuotation(primitiveQuotation, ask, bid, instrumentCode, inverted);
if (this._SourceController.QuotationArrived(quotation))
{
// quotation come from Active Source and adjusted
if (this._AbnormalQuotationManager.SetQuotation(quotation))
{
// quotation is normal
this.ProcessNormalQuotation(quotation);
}
}
this._LastQuotationManager.LastReceived.Set(quotation);
}
}
}
else
{
Logger.AddEvent(TraceEventType.Warning, "Discarded price:[ask={0}, bid={1}] got for {2} from {3}",
primitiveQuotation.Ask, primitiveQuotation.Bid, primitiveQuotation.Symbol, primitiveQuotation.SourceName);
}
}
public void ProcessNormalQuotation(SourceQuotation quotation)
{
List<GeneralQuotation> quotations = new List<GeneralQuotation>();
this._DerivativeController.Derive(quotation.Quotation, quotations);
for (int i = 0; i < quotations.Count; i++)
{
quotations[i].OriginCode = this._ConfigMetadata.Instruments[quotations[i].InstrumentId].Code;
}
quotations.Add(quotation.Quotation);
// adjust quotation according to adjuestment on instrument
foreach (GeneralQuotation gq in quotations)
{
Instrument instrument = this._ConfigMetadata.Instruments[gq.InstrumentId];
gq.Ask += CommonHelper.GetAdjustValue(instrument.AdjustPoints, instrument.DecimalPlace);
gq.Bid += CommonHelper.GetAdjustValue(instrument.AdjustPoints, instrument.DecimalPlace);
}
this._LastQuotationManager.LastAccepted.Accept(quotations);
MainService.ExchangeManager.AddQuotations(quotations);
MainService.ClientManager.Dispatch(new QuotationsMessage() { Quotations = quotations });
}
//public TimeSpan ActiveSourceTimeoutSpan
//{
// get
// {
// return this._ActiveSource.TimeoutSpan;
// }
//}
//public DateTime ActiveSourceTimeoutTime
//{
// get
// {
// return this._ActiveSource.TimeoutTime;
// }
//}
public bool QuotationArrived(SourceQuotation quotation)
{
if (this._Instrument.IsSwitchUseAgio.Value)
{
this._AgioCalculator.QuotationArrived(quotation);
}
if (quotation.SourceId == this._ActiveSource.Id)
{
this._ActiveSource.QuotationArrived();
}
else
{
if (this._Relations[quotation.SourceId].IsDefault || !this._Relations[this._ActiveSource.Id].IsDefault && this._Relations[quotation.SourceId].Priority > this._Relations[this._ActiveSource.Id].Priority)
{
// 如果价格来自优先级高的源，则切换到该源；
this.SwitchActiveSource(quotation.SourceId);
}
else if (this._ActiveSource.IsTimeout)
{
// 如果当前源Timeout，来一个价格就向该源切换；
this.SwitchActiveSource(quotation.SourceId);
}
}
if (quotation.SourceId == this._ActiveSource.Id)
{
// calculate price and adjust
if (this._Instrument.UseWeightedPrice.Value)
{
WeightedPriceRule rule = MainService.QuotationManager.ConfigMetadata.WeightedPriceRules[this._Instrument.Id];
quotation.Ask = (quotation.Ask * rule.AskAskWeight + quotation.Bid * rule.BidAskWeight + (quotation.Last.HasValue ? quotation.Last.Value * rule.AskLastWeight : 0) + (quotation.Ask + quotation.Bid) / 2 * rule.AskAverageWeight + (double)rule.AskAdjust) * (double)rule.Multiplier;
quotation.Bid = (quotation.Ask * rule.BidAskWeight + quotation.Bid * rule.BidBidWeight + (quotation.Last.HasValue ? quotation.Last.Value * rule.BidLastWeight : 0) + (quotation.Ask + quotation.Bid) / 2 * rule.BidAverageWeight + (double)rule.BidAdjust) * (double)rule.Multiplier;
}
quotation.Ask += this._Agio + CommonHelper.GetAdjustValue(this._Relations[quotation.SourceId].AdjustPoints, this._Instrument.DecimalPlace);
quotation.Bid += this._Agio + CommonHelper.GetAdjustValue(this._Relations[quotation.SourceId].AdjustPoints, this._Instrument.DecimalPlace);
this._LastActiveTime = DateTime.Now;
if (!this.IsActive)
{
MainService.ExchangeManager.SwitchPriceEnableState(this._Instrument.Id, true);
this.IsActive = true;
}
return true;
}
else
{
return false;
}
}
public bool QuotationArrived(SourceQuotation quotation)
{
// do not lock _SourceInstruments here for performance, so we should judge if the instrument existed in _SourceInstruments. because of maybe in adding Instrument progress.
if (this._SourceInstruments.ContainsKey(quotation.InstrumentId))
{
return this._SourceInstruments[quotation.InstrumentId].QuotationArrived(quotation);
}
else
{
return false;
}
}
public void QuotationArrived(SourceQuotation quotation)
{
// remove expired sample data
DateTime cutOffTime = DateTime.Now - this._MonitorTimeSpan;
Queue<SourceQuotation> sampleQueue = this._QuotationSamples[quotation.SourceId];
while (sampleQueue.Count > 0)
{
SourceQuotation q = sampleQueue.Peek();
if (q.Timestamp < cutOffTime)
{
sampleQueue.Dequeue();
}
else
{
break;
}
}
// add new sample
sampleQueue.Enqueue(quotation);
// calculate average price
lock (this._AveragePrices)
{
if (sampleQueue.Count > this._LeastTicks)
{
this._AveragePrices[quotation.SourceId] = sampleQueue.Average(q => q.Bid);
}
else
{
this._AveragePrices[quotation.SourceId] = null;
}
}
}
