public void Init(ServerInfoField server, UserInfoField user)
{
if (Api != null)
{
return;
}
if (!CheckSettings(server, user))
{
return;
}
_queryManager = new CtpQueryManager(this);
_processor = new CtpDealProcessor(this);
User = user;
Server = server;
Api = new CtpTraderApi(GetFlowPath(server, user));
InitHandler();
var items = server.Address.Split(new[] { ';' }, StringSplitOptions.RemoveEmptyEntries);
foreach (var item in items)
{
Api.RegisterFront(item);
}
Api.SubscribePrivateTopic(CtpConvert.GetCtpResumeType(server.PrivateTopicResumeType));
Api.SubscribePublicTopic(CtpConvert.GetCtpResumeType(server.PublicTopicResumeType));
_publisher.Post(ConnectionStatus.Connecting);
Api.Init();
}
private void ProcessCancelOrder(string id)
{
if (_cancelPendings.Contains(id))
{
return;
}
if (!_orders.TryGetById(id, out var order))
{
return;
}
if (string.IsNullOrEmpty(order.OrderID))
{
_cancelPendings.Add(id);
return;
}
var action = new CtpInputOrderAction();
(action.FrontID, action.SessionID, action.OrderRef) = CtpConvert.ParseId(order.ID);
action.OrderSysID = order.OrderID;
action.ExchangeID = order.ExchangeID.ToUpper();
action.InstrumentID = order.InstrumentID;
action.ActionFlag = CtpActionFlagType.Delete;
action.OrderActionRef = _client.GetNextRequestId();
action.InvestorID = _client.CtpLoginInfo.UserID;
action.BrokerID = _client.CtpLoginInfo.BrokerID;
_client.Api.ReqOrderAction(action, _client.GetNextRequestId());
}
protected override bool ProcessInstrument(CtpResponse?rsp)
{
if (!rsp.HasValue)
{
return(true);
}
try {
var data = rsp.Value.Item1.AsInstrument;
if (data == null)
{
if (rsp.Value.IsLast)
{
_client.spi.ProcessQryInstrument(null, true);
}
return(true);
}
if (CtpConvert.CheckRspInfo(rsp.Value.Item2))
{
_client.spi.ProcessQryInstrument(CtpConvert.GetInstrumentField(data), rsp.Value.IsLast);
return(rsp.Value.IsLast);
}
else
{
_client.SendError(rsp.Value.Item2, nameof(ProcessInstrument));
_client.spi.ProcessQryInstrument(null, true);
}
}
catch (Exception e) {
_client.SendError(-1, e.Message);
_client.spi.ProcessQryInstrument(null, true);
}
return(true);
}
private void OnRspUserLogin(ref CtpResponse rsp)
{
ctpLoginInfo = rsp.Item1.AsRspUserLogin;
if (ctpLoginInfo != null && CtpConvert.CheckRspInfo(rsp.Item2))
{
if (!Connected)
{
UserLogin = new RspUserLoginField();
UserLogin.TradingDay = CtpConvert.GetDate(ctpLoginInfo.TradingDay);
UserLogin.LoginTime = CtpConvert.GetTime(ctpLoginInfo.LoginTime);
UserLogin.UserID = ctpLoginInfo.UserID;
UserLogin.SessionID = $"{ctpLoginInfo.FrontID}:{ctpLoginInfo.SessionID}";
UserLogin.Text = string.IsNullOrEmpty(ctpLoginInfo.MaxOrderRef) ? "1" : ctpLoginInfo.MaxOrderRef;
_orderRef = int.Parse(UserLogin.Text);
_publisher.Post(ConnectionStatus.Logined, UserLogin);
#if CTPMINI
Connected = true;
_publisher.Post(ConnectionStatus.Confirmed);
_publisher.Post(ConnectionStatus.Done, UserLogin);
#else
DoSettlementInfoConfirm();
#endif
}
else
{
spi.ProcessLog(new LogField(LogLevel.Debug, $"Ctpse trader({User.UserID}) login success"));
}
}
else
{
SendError(rsp.Item2, nameof(OnRspUserLogin));
_publisher.Post(ConnectionStatus.Disconnected);
}
}
private void OnRspUserLogin(object sender, CtpRspUserLogin response, CtpRspInfo rspInfo, int requestId, bool isLast)
{
if (response != null && CtpConvert.CheckRspInfo(rspInfo))
{
if (Connected)
{
Resubscribe();
return;
}
Connected = true;
UserLogin = new RspUserLoginField();
var now = DateTime.Now;
UserLogin.TradingDay = now.Year * 10000 + now.Month * 100 + now.Day;
UserLogin.LoginTime = now.Hour * 10000 + now.Minute * 100 + now.Second;
UserLogin.UserID = User.UserID;
UserLogin.SessionID = string.Empty;
_publisher.Post(ConnectionStatus.Logined, UserLogin);
_publisher.Post(ConnectionStatus.Done);
}
else
{
SendError(rspInfo, nameof(OnRspUserLogin));
_publisher.Post(ConnectionStatus.Disconnected);
}
}
private void OnRspUserLogin(ref CtpResponse rsp)
{
CtpLoginInfo = rsp.Item1.AsRspUserLogin;
if (CtpLoginInfo != null && CtpConvert.CheckRspInfo(rsp.Item2))
{
UserLogin = new RspUserLoginField();
UserLogin.TradingDay = CtpConvert.GetDate(CtpLoginInfo.TradingDay);
UserLogin.LoginTime = CtpConvert.GetTime(CtpLoginInfo.LoginTime);
UserLogin.UserID = CtpLoginInfo.UserID;
UserLogin.SessionID = $"{CtpLoginInfo.FrontID}:{CtpLoginInfo.SessionID}";
_publisher.Post(ConnectionStatus.Logined, UserLogin);
if (string.IsNullOrEmpty(CtpLoginInfo.MaxOrderRef))
{
_orderRefId = 1;
}
else
{
_orderRefId = int.Parse(CtpLoginInfo.MaxOrderRef) + 1;
}
DoSettlementInfoConfirm();
}
else
{
SendError(rsp.Item2, nameof(OnRspUserLogin));
_publisher.Post(ConnectionStatus.Disconnected);
}
}
private void ProcessOrderReject(CtpInputOrder input, CtpRspInfo rspInfo)
{
var login = _client.CtpLoginInfo;
var id = CtpConvert.GetId(input, login);
ProcessOrderReject(id, rspInfo);
}
private void OnRtnInstrumentStatus(ref CtpResponse rsp)
{
var status = rsp.Item1.AsInstrumentStatus;
var field = CtpConvert.GetInstrumentStatus(status);
Spi.ProcessRtnInstrumentStatus(field);
}
private void ProcessNewOrder(NewOrderEvent e)
{
var data = CtpConvert.GetCtpOrder(e.Order);
data.InvestorID = _client.CtpLoginInfo.UserID;
data.BrokerID = _client.CtpLoginInfo.BrokerID;
_client.Api.ReqOrderInsert(data, _client.GetNextRequestId());
_orders.AddOrder(e.Order);
}
private void ProcessRtnTrade(CtpTrade data)
{
var sysId = $"{data.ExchangeID}:{data.InstrumentID}:{data.OrderSysID}";
if (_orders.TryGetBySysId(sysId, out var order))
{
var trade = CtpConvert.GetTrade(data);
trade.ID = order.ID;
_client.Spi.ProcessRtnTrade(trade);
}
}
private void ProcessNewOrder(NewOrderEvent e)
{
_orders.AddOrder(e.Order);
if (e.Order.Status == OrderStatus.NotSent)
{
var data = CtpConvert.GetInputOrder(e.Order);
data.InvestorID = _client.CtpLoginInfo.UserID;
data.BrokerID = _client.CtpLoginInfo.BrokerID;
_client.Api.ReqOrderInsert(data, _client.GetNextRequestId());
}
}
private void ProcessRtnTrade(CtpTrade data)
{
if (_orders.TryGetBySysId(data.OrderSysID, out var order))
{
var trade = CtpConvert.GetTrade(data);
trade.ID = order.ID;
_client.Spi.ProcessRtnTrade(trade);
}
else
{
_tradePendings.Add(data);
}
}
protected override bool ProcessOrder(CtpResponse?rsp)
{
if (rsp == null)
{
return(true);
}
if (CtpConvert.CheckRspInfo(rsp.Value.Item2))
{
_client.spi.ProcessQryOrder(CtpConvert.GetOrder(rsp.Value.Item1.AsOrder), rsp.Value.IsLast);
return(rsp.Value.IsLast);
}
return(true);
}
private void ProcessRtnTrade(CtpTrade data)
{
_client.spi.ProcessLog(new LogField(LogLevel.Trace, "RtnTrade"));
if (_orders.TryGetBySysId(data.OrderSysID, out var order))
{
var trade = CtpConvert.GetTrade(data);
trade.ID = order.ID;
_client.spi.ProcessRtnTrade(trade);
}
else
{
_tradePending.Add(data);
}
}
private void OnRspAuthenticate(ref CtpResponse rsp)
{
var data = rsp.Item1.AsRspAuthenticate;
if (data != null && CtpConvert.CheckRspInfo(rsp.Item2))
{
_publisher.Post(ConnectionStatus.Authorized);
DoLogin();
}
else
{
SendError(rsp.Item2, nameof(OnRspAuthenticate));
_publisher.Post(ConnectionStatus.Disconnected);
}
}
protected override bool ProcessTrade(CtpResponse?rsp)
{
if (rsp == null)
{
return(true);
}
if (CtpConvert.CheckRspInfo(rsp.Value.Item2))
{
_client.Spi.ProcessQryTrade(CtpConvert.GetTrade(rsp.Value.Item1.AsTrade), rsp.Value.IsLast);
return(rsp.Value.IsLast);
}
return(true);
}
private void OnRspSettlementInfoConfirm(ref CtpResponse rsp)
{
var data = rsp.Item1.AsSettlementInfoConfirm;
if (data != null && CtpConvert.CheckRspInfo(rsp.Item2))
{
Connected = true;
_publisher.Post(ConnectionStatus.Confirmed);
_publisher.Post(ConnectionStatus.Done, UserLogin);
}
else
{
SendError(rsp.Item2, nameof(OnRspSettlementInfoConfirm));
_publisher.Post(ConnectionStatus.Disconnected);
}
}
private void ProcessPosition(CtpResponse rsp)
{
var data = rsp.Item1.AsInvestorPosition;
if (data == null)
{
return;
}
if (CtpConvert.CheckRspInfo(rsp.Item2))
{
_client.Spi.ProcessQryPosition(CtpConvert.GetPositionField(data), rsp.IsLast);
}
else
{
_client.SendError(rsp.Item2, nameof(ProcessPosition));
_client.Spi.ProcessQryPosition(null, true);
}
}
protected override void ProcessTradingAccount(CtpResponse?rsp)
{
var data = rsp?.Item1.AsTradingAccount;
if (data == null)
{
return;
}
if (CtpConvert.CheckRspInfo(rsp.Value.Item2))
{
_client.Spi.ProcessQryAccount(CtpConvert.GetAccountField(data), rsp.Value.IsLast);
}
else
{
_client.SendError(rsp.Value.Item2, nameof(ProcessTradingAccount));
_client.Spi.ProcessQryAccount(null, true);
}
}
private void ProcessNewOrder(NewOrderEvent e)
{
_orders.AddOrder(e.Order);
if (e.Order.Status == OrderStatus.NotSent)
{
var data = CtpConvert.GetInputOrder(e.Order);
data.InvestorID = _client.ctpLoginInfo.UserID;
data.BrokerID = _client.ctpLoginInfo.BrokerID;
data.OrderRef = e.Order.LocalID;
var ret = _client.api.ReqOrderInsert(data, _client.GetNextRequestId());
if (ret == 0)
{
return;
}
ProcessOrderReject(data, new CtpRspInfo {
ErrorID = -1, ErrorMsg = "连接中断发送失败"
});
}
}
private void ProcessRtnOrder(CtpOrder data)
{
var localId = $"{data.FrontID}:{data.SessionID}:{data.OrderRef}";
if (!_orders.TryGetByLocalId(localId, out var order))
{
return;
}
if (!string.IsNullOrEmpty(data.OrderSysID) && string.IsNullOrEmpty(order.OrderID))
{
order.OrderID = $"{data.ExchangeID}:{data.InstrumentID}:{data.OrderSysID}";
_orders.SetOrderSysId(order.OrderID, localId);
}
ReportOrder(order, CtpConvert.GetExecType(data), CtpConvert.GetOrderStatus(data), 0, 0, data.StatusMsg);
if (_cancelPendings.Contains(localId))
{
_cancelPendings.Remove(localId);
ProcessCancelOrder(localId);
}
}
private void ProcessRtnOrder(CtpOrder data)
{
var id = CtpConvert.GetId(data);
if (!_orders.TryGetById(id, out var order))
{
return;
}
if (!string.IsNullOrEmpty(data.OrderSysID) && string.IsNullOrEmpty(order.OrderID))
{
order.OrderID = data.OrderSysID;
order.ExchangeID = data.ExchangeID;
_orders.SetMap(order);
ProcessTradePending();
}
ReportOrder(order, CtpConvert.GetExecType(data), CtpConvert.GetOrderStatus(data), 0, 0, data.StatusMsg);
if (_cancelPendings.Contains(id))
{
_cancelPendings.Remove(id);
ProcessCancelOrder(id);
}
}
protected override void ProcessInvestorPosition(CtpResponse?rsp)
{
if (!rsp.HasValue)
{
return;
}
if (CtpConvert.CheckRspInfo(rsp.Value.Item2))
{
var data = rsp.Value.Item1.AsInvestorPosition;
PositionField position = null;
if (data != null)
{
position = CtpConvert.GetPositionField(data);
}
_client.Spi.ProcessQryPosition(position, rsp.Value.IsLast);
}
else
{
_client.SendError(rsp.Value.Item2, nameof(ProcessInvestorPosition));
_client.Spi.ProcessQryPosition(null, true);
}
}
private void OnRspAuthenticate(ref CtpResponse rsp)
{
var data = rsp.Item1.AsRspAuthenticate;
if (data != null && CtpConvert.CheckRspInfo(rsp.Item2))
{
if (!Connected)
{
_publisher.Post(ConnectionStatus.Authorized);
}
else
{
spi.ProcessLog(new LogField(LogLevel.Debug, $"Ctp trader({User.UserID}) authorized"));
}
DoLogin();
}
else
{
SendError(rsp.Item2, nameof(OnRspAuthenticate));
_publisher.Post(ConnectionStatus.Disconnected);
}
}
private void ProcessInstrument(CtpResponse rsp)
{
try {
var data = rsp.Item1.AsInstrument;
if (data == null)
{
return;
}
if (CtpConvert.CheckRspInfo(rsp.Item2))
{
_client.Spi.ProcessQryInstrument(CtpConvert.GetInstrumentField(data), rsp.IsLast);
}
else
{
_client.SendError(rsp.Item2, nameof(ProcessInstrument));
_client.Spi.ProcessQryInstrument(null, true);
}
}
catch (Exception e) {
_client.SendError(-1, e.Message);
_client.Spi.ProcessQryInstrument(null, true);
}
}
internal void SendError(int reason, string source)
{
SendError(new ErrorField(reason, reason, CtpConvert.GetReasonMsg(reason), source));
}
private void OnRtnDepthMarketData(object sender, CtpDepthMarketData data)
{
//Thread.Sleep(5000);
var market = new DepthMarketDataField();
market.InstrumentID = data.InstrumentID;
market.ExchangeID = data.ExchangeID;
//market.Exchange = CtpConvert.GetExchangeType(data.ExchangeID);
CtpConvert.SetExchangeTime(data, market);
market.LastPrice = CtpConvert.IsInvalid(data.LastPrice) ? 0 : data.LastPrice;
market.Volume = data.Volume;
market.OpenInterest = data.OpenInterest;
market.Turnover = data.Turnover;
market.AveragePrice = data.AveragePrice;
if (CtpConvert.IsInvalid(data.OpenPrice))
{
market.OpenPrice = 0;
market.HighestPrice = 0;
market.LowestPrice = 0;
//market.TradingPhase = TradingPhaseType.BeforeTrading;
}
else
{
market.OpenPrice = data.OpenPrice;
market.HighestPrice = data.HighestPrice;
market.LowestPrice = data.LowestPrice;
//market.TradingPhase = TradingPhaseType.Continuous;
}
if (CtpConvert.IsInvalid(data.ClosePrice))
{
market.ClosePrice = 0;
}
else
{
market.ClosePrice = data.ClosePrice;
//market.TradingPhase = TradingPhaseType.Closed;
}
market.SettlementPrice = CtpConvert.IsInvalid(data.SettlementPrice) ? 0 : data.SettlementPrice;
market.UpperLimitPrice = data.UpperLimitPrice;
market.LowerLimitPrice = data.LowerLimitPrice;
market.PreClosePrice = data.PreClosePrice;
market.PreSettlementPrice = data.PreSettlementPrice;
market.PreOpenInterest = data.PreOpenInterest;
market.Asks = new DepthField[5];
market.Bids = new DepthField[5];
if (!CtpConvert.IsInvalid(data.AskPrice1))
{
market.Asks[0].Price = data.AskPrice1;
market.Asks[0].Size = data.AskVolume1;
if (!CtpConvert.IsInvalid(data.AskPrice2))
{
market.Asks[1].Price = data.AskPrice2;
market.Asks[1].Size = data.AskVolume2;
if (!CtpConvert.IsInvalid(data.AskPrice3))
{
market.Asks[2].Price = data.AskPrice3;
market.Asks[2].Size = data.AskVolume3;
if (!CtpConvert.IsInvalid(data.AskPrice4))
{
market.Asks[3].Price = data.AskPrice4;
market.Asks[3].Size = data.AskVolume4;
if (!CtpConvert.IsInvalid(data.AskPrice5))
{
market.Asks[4].Price = data.AskPrice5;
market.Asks[4].Size = data.AskVolume5;
}
}
}
}
}
if (!CtpConvert.IsInvalid(data.BidPrice1))
{
market.Bids[0].Price = data.BidPrice1;
market.Bids[0].Size = data.BidVolume1;
if (!CtpConvert.IsInvalid(data.BidPrice2))
{
market.Bids[1].Price = data.BidPrice2;
market.Bids[1].Size = data.BidVolume2;
if (!CtpConvert.IsInvalid(data.BidPrice3))
{
market.Bids[2].Price = data.BidPrice3;
market.Bids[2].Size = data.BidVolume3;
if (!CtpConvert.IsInvalid(data.BidPrice4))
{
market.Bids[3].Price = data.BidPrice4;
market.Bids[3].Size = data.BidVolume4;
if (!CtpConvert.IsInvalid(data.BidPrice5))
{
market.Bids[4].Price = data.BidPrice5;
market.Bids[4].Size = data.BidVolume5;
}
}
}
}
}
_spi.ProcessDepthMarketData(market);
}
private void OnRtnDepthMarketData(object sender, CtpDepthMarketData data)
{
var market = new DepthMarketDataField();
market.InstrumentID = data.InstrumentID;
market.ExchangeID = data.ExchangeID;
market.Exchange = CtpConvert.GetExchangeType(data.ExchangeID);
switch (market.Exchange)
{
case ExchangeType.CZCE:
CtpConvert.SetCzceExchangeTime(data, market);
break;
case ExchangeType.DCE:
CtpConvert.SetDceExchangeTime(data, market);
break;
default:
CtpConvert.SetExchangeTime(data, market);
break;
}
market.LastPrice = CtpConvert.IsMax(data.LastPrice) ? 0 : data.LastPrice;
market.Volume = data.Volume;
market.OpenInterest = data.OpenInterest;
market.Turnover = data.Turnover;
market.AveragePrice = data.AveragePrice;
if (CtpConvert.IsMax(data.OpenPrice))
{
market.OpenPrice = 0;
market.HighestPrice = 0;
market.LowestPrice = 0;
market.TradingPhase = TradingPhaseType.BeforeTrading;
}
else
{
market.OpenPrice = data.OpenPrice;
market.HighestPrice = data.HighestPrice;
market.LowestPrice = data.LowestPrice;
market.TradingPhase = TradingPhaseType.Continuous;
}
if (CtpConvert.IsMax(data.ClosePrice))
{
market.ClosePrice = 0;
}
else
{
market.ClosePrice = data.ClosePrice;
market.TradingPhase = TradingPhaseType.Closed;
}
market.SettlementPrice = CtpConvert.IsMax(data.SettlementPrice) ? 0 : data.SettlementPrice;
market.UpperLimitPrice = data.UpperLimitPrice;
market.LowerLimitPrice = data.LowerLimitPrice;
market.PreClosePrice = data.PreClosePrice;
market.PreSettlementPrice = data.PreSettlementPrice;
market.PreOpenInterest = data.PreOpenInterest;
if (!CtpConvert.IsMax(data.AskPrice1))
{
market.Asks = new[] { new DepthField {
Price = data.AskPrice1, Size = data.AskVolume1
} };
}
else
{
market.Asks = new DepthField[0];
}
if (!CtpConvert.IsMax(data.BidPrice1))
{
market.Bids = new[] { new DepthField {
Price = data.BidPrice1, Size = data.BidVolume1
} };
}
else
{
market.Bids = new DepthField[0];
}
_spi.ProcessDepthMarketData(market);
}
