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));
}
}
}
}
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
}
}
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
}
}
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));
}
}
}
}