private bool isCallBackDataValid(QuantEvent quantEvent)
{
//检查错误消息
if (quantEvent.ErrCode < 0)
{
string msg = this._windapi.WErr(quantEvent.ErrCode, eLang.eCHN);
MessageManager.GetInstance().Add(MessageType.Error, msg);
return(false);
}
//解释字段
if (quantEvent.quantData == null)
{
MessageManager.GetInstance().Add(MessageType.Error, "QuantEvent没有数据");
return(false);
}
return(true);
}
private int QuantCallback(QuantEvent quantEvent)
{
//switch (quantEvent.EventID)
//{
// case 0: //initial
// case 1: //login
// break;
// case 2:
// break;
// default:
// break;
//}
//string s = System.String.Format("Received event: type={0}, err={1}, reqid={2}, evtid={3}.",
//quantEvent.EventType, quantEvent.ErrCode, quantEvent.RequestID, quantEvent.EventID);
//s += Environment.NewLine;
//QuantData data = quantEvent.quantData;
//if (data != null)
//{
// int codenum = data.ArrWindCode.Length;
// int indnum = data.ArrWindFields.Length;
// int timenum = data.ArrDateTime.Length;
// s += "Windcode = " + Environment.NewLine;
// foreach (String code in data.ArrWindCode)
// s += " " + code + Environment.NewLine;
// s += "Indicators = " + Environment.NewLine;
// foreach (String field in data.ArrWindFields)
// s += " " + field + Environment.NewLine;
// s += "Times = " + Environment.NewLine;
// foreach (DateTime time in data.ArrDateTime)
// s += " " + time.ToString() + Environment.NewLine;
//s += "Data = " + Environment.NewLine;
//s += MatrixDataToString(data.MatrixData, codenum, indnum, timenum);
//s += Environment.NewLine;
//}
return(0);
}
private static int QuantCallbackDataSet(QuantEvent quantEvent)
{
if (quantEvent.ErrCode != 0)
{
Debug.Print("获取期权列表时出错：" + quantEvent.ErrCode);
return(-1);
}
if (quantEvent.quantData == null)
{
Debug.Print("期权列表没有数据：quantEvent.quantData == null");
return(-1);
}
object[] data;
data = (object[])quantEvent.quantData.MatrixData;
List <Option> list = new List <Option>();
for (int i = 0; i < data.Length / 13; i++)
{
string code = data[3 + i * 13].ToString();
if (code.Contains("."))
{
code = code.Substring(0, code.IndexOf(".")); //转换Wind代码和交易代码
}
Option o = new Option(code, Exchange.SH);
o.underlying = data[0 + i * 13].ToString();
o.name = data[4 + i * 13].ToString();
list.Add(o);
}
if (list.Count > 0 && !htOptionSets.Contains(list[0].underlying))
{
htOptionSets.Add(list[0].underlying, list);
}
return(0);
}
//Wind callback
public int QuantCallbackRealtime(QuantEvent quantEvent)
{
//public class QuantEvent
//{
// public eWQErr ErrCode; // 错误码
// public long EventID; // 流水号
// public eWQEventType EventType; // Event类型
// public QuantData quantData; // 包含的数据
// public long RequestID; // 对应的request ID
// public int Version; // 版本号，以备今后扩充
// public QuantEvent();
//}
//public class QuantData
//{
// public DateTime[] ArrDateTime;
// public string[] ArrWindCode;
// public string[] ArrWindFields;
// public object MatrixData;
// public QuantData();
//}
if (quantEvent.ErrCode != 0)
{
Debug.Print("更新订单簿时出错：" + quantEvent.ErrCode);
return(-1);
}
if (quantEvent.quantData == null)
{
Debug.Print("订单簿没有数据：quantEvent.quantData == null");
return(-1);
}
this.bidaskbook.Update(quantEvent.quantData.ArrWindCode[0], quantEvent.quantData.ArrWindFields, quantEvent.quantData.MatrixData);
return(0);
}
private int callBackOnSubscribeBidAskBook(QuantEvent quantEvent)
{
//////////////////////////////////
//异步订阅：htSubscribeObject
//////////////////////////////////
if (!this.htSubscribe.Contains(quantEvent.RequestID))
{
MessageManager.GetInstance().Add(MessageType.Error, string.Format("没有找到订阅对象:id={0}", quantEvent.RequestID));
return(-1);
}
if (!isCallBackDataValid(quantEvent))
{
return(-1);
}
BidAskBook babook = (BidAskBook)this.htSubscribe[quantEvent.RequestID];
double[] data;
data = (double[])quantEvent.quantData.MatrixData;
#region 更新BidAskBook
for (int i = 0; i < data.Length; i++)
{
string field = quantEvent.quantData.ArrWindFields[i].ToLower();
switch (field)
{
case "rt_time":
babook.tradetime = data[i].ToString().Substring(0, 6);
break;
case "rt_pre_settle":
babook.presettle = data[i];
break;
case "rt_pre_close":
babook.preclose = data[i];
break;
case "rt_open":
babook.open = data[i];
break;
case "rt_high":
babook.high = data[i];
break;
case "rt_low":
babook.low = data[i];
break;
case "rt_last":
babook.last = data[i];
babook.lasttrade = babook.last;
break;
default:
int idx = -1;
if (field.IndexOf("rt_ask") == 0)
{
idx = Convert.ToInt16(field.Substring(6));
babook.ask[idx - 1] = data[i];
}
else if (field.IndexOf("rt_bid") == 0)
{
idx = Convert.ToInt16(field.Substring(6));
babook.bid[idx - 1] = data[i];
}
else if (field.IndexOf("rt_asize") == 0)
{
idx = Convert.ToInt16(field.Substring(8));
babook.asksize[idx - 1] = (int)data[i];
}
else if (field.IndexOf("rt_bsize") == 0)
{
idx = Convert.ToInt16(field.Substring(8));
babook.bidsize[idx - 1] = (int)data[i];
}
break;
}
}
#endregion
babook.DebugPrint();
return((int)quantEvent.ErrCode);
}
private int callBackOnGetOptionSet(QuantEvent quantEvent)
{
//////////////////////////////////
//同步调用：htSyncWaiting
//////////////////////////////////
//检查等待列表，首次未找到则等待一会儿
if (!this.htSyncWaiting.Contains(quantEvent.RequestID))
{
Thread.Sleep(100);
}
if (!this.htSyncWaiting.Contains(quantEvent.RequestID))
{
return(-1);
}
if (!isCallBackDataValid(quantEvent))
{
//解除主进程等待
this.htSyncWaiting[quantEvent.RequestID] = quantEvent.ErrCode;
//退出
return(-1);
}
object[] data;
data = (object[])quantEvent.quantData.MatrixData;
List <Option> optionlist = new List <Option>();
for (int i = 0; i < data.Length / 13; i++)
{
string underlyingwindcode = data[0 + i * 13].ToString();
string underlyingname = data[1 + i * 13].ToString();
string optionwindcode = data[3 + i * 13].ToString();
//转换Wind代码和交易代码
string optioncode = optionwindcode;
Exchange exchange = ASecurity.GetExchange(optionwindcode, ref optioncode);
string underlyingcode = underlyingwindcode;
ASecurity.GetExchange(underlyingwindcode, ref underlyingcode);
//读取期权信息
Option o = new Option(optioncode, exchange);
#region 期权信息
o.name = data[4 + i * 13].ToString();
o.strike = Convert.ToDouble(data[6 + i * 13]);
o.exercisedate = Utility.ConvertToDateTime(data[10 + i * 13].ToString(), "");
o.daystoexercise = (o.exercisedate - DateTime.Today).Days;
o.yearstoexercise = o.daystoexercise / 365.0;
string typename = data[8 + i * 13].ToString();
if (typename == "认购")
{
o.type = OptionType.CALL;
}
else
{
o.type = OptionType.PUT;
}
#endregion
#region 标的信息
SecurityCategory category = ASecurity.GetSecurityCategory(underlyingcode, exchange);
o.underlying = ASecurity.GetSecurity(category, underlyingcode, exchange);
o.underlying.name = underlyingname;
#endregion
optionlist.Add(o);
}
if (!htOptionSets.Contains(optionlist[0].underlying.code))
{
htOptionSets.Add(optionlist[0].underlying.code, optionlist);
}
else
{
htOptionSets[optionlist[0].underlying.code] = optionlist;
}
//解除主进程等待
this.htSyncWaiting[quantEvent.RequestID] = quantEvent.ErrCode;
return((int)quantEvent.ErrCode);
}
