public QuotationManager(
QuotV5.Binary.RealTimeQuotConnection[] quotConnections,
QuotationRepository quotRepository,
QuotationMQPublisher quotPublisher,
SecurityInfoProvider securityInfoProvider,
IndexInfoProvider indexInfoProvider,
CashAuctionParamsProvider cashAuctionParamsProvider,
DerivativeAuctionParamsProvider derivativeAuctionParamsProvider,
NegotiationParamsProvider negotiationParamsProvider,
SecurityCloseMDProvider securityCloseMDProvider,
Log4cb.ILog4cbHelper logHelper
)
{
this.quotConnections = quotConnections;
this.quotRepository = quotRepository;
this.quotPublisher = quotPublisher;
this.securityInfoProvider = securityInfoProvider;
this.indexInfoProvider = indexInfoProvider;
this.cashAuctionParamsProvider = cashAuctionParamsProvider;
this.derivativeAuctionParamsProvider = derivativeAuctionParamsProvider;
this.negotiationParamsProvider = negotiationParamsProvider;
this.securityCloseMDProvider = securityCloseMDProvider;
this.logHelper = logHelper;
foreach (var conn in this.quotConnections)
conn.OnMarketDataReceived += new Action<QuotV5.Binary.MarketDataEx>(QuotConn_OnMarketDataReceived);
this.securityInfoProvider.OnStaticInfoRead += new Action<List<QuotV5.StaticInfo.SecurityInfoBase>>(SecurityInfoProvider_OnStaticInfoRead);
this.indexInfoProvider.OnStaticInfoRead += new Action<List<QuotV5.StaticInfo.IndexInfo>>(IndexInfoProvider_OnStaticInfoRead);
this.cashAuctionParamsProvider.OnStaticInfoRead += new Action<List<QuotV5.StaticInfo.CashAuctionParams>>(CashAuctionParamsProvider_OnStaticInfoRead);
this.derivativeAuctionParamsProvider.OnStaticInfoRead += new Action<List<QuotV5.StaticInfo.DerivativeAuctionParams>>(DerivativeAuctionParamsProvider_OnStaticInfoRead);
this.negotiationParamsProvider.OnStaticInfoRead += new Action<List<QuotV5.StaticInfo.NegotiationParams>>(NegotiationParamsProvider_OnStaticInfoRead);
//this.securityCloseMDProvider.OnStaticInfoRead += new Action<List<QuotV5.StaticInfo.SecurityCloseMD>>(SecurityCloseMDProvider_OnStaticInfoRead);
}
public void Record(QuotV5.Binary.MessagePackEx msgPack)
{
MessagePack mp = new MessagePack()
{
ReciveTime = msgPack.ReceiveTime,
Data = QuotV5.DataHelper.UnionByteArrays(msgPack.MessagePack.HeaderData, msgPack.MessagePack.BodyData, msgPack.MessagePack.TrailerData)
};
try
{
this.dataCollection.Insert(mp);
}
catch (Exception ex)
{
this.logHelper.LogErrMsg(ex, "保存MessagePack到Mongo异常");
}
}
private void SetFutureQuotationProperty(FutureQuotation quotInfo, QuotV5.Binary.RealtimeStatus status)
{
quotInfo.stkId = status.Status.SecurityID;
}
private void SetFutureQuotationProperty(FutureQuotation quotInfo, QuotV5.Binary.QuotSnapCommonInfo quotSnapCommonInfo)
{
quotInfo.stkId = quotSnapCommonInfo.SecurityID;
quotInfo.stkStatus = null;
if (!string.IsNullOrEmpty(quotSnapCommonInfo.TradingPhaseCode) && quotSnapCommonInfo.TradingPhaseCode.Length > 1)
{
string flag = quotSnapCommonInfo.TradingPhaseCode.Substring(1, 1);
if (flag == "0")
quotInfo.stkStatus = "LIST";
else if (flag == "1")
quotInfo.stkStatus = "PAUSE";
}
quotInfo.exchTotalKnockAmt = quotSnapCommonInfo.TotalValueTrade / 10000;
quotInfo.exchTotalKnockQty = quotSnapCommonInfo.TotalVolumeTrade / 100;
// quotInfo.preClosePrice = quotSnapCommonInfo.PrevClosePx;
quotInfo.lastModifyTime = quotSnapCommonInfo.OrigTime;
}
private void SetStockQuotationProperty(StockQuotation quotInfo, QuotV5.Binary.QuotSnap300111 quotSnap)
{
SetStockQuotationProperty(quotInfo, quotSnap.CommonInfo);
if (quotSnap.ExtInfo != null && quotSnap.ExtInfo.MDEntries != null && quotSnap.ExtInfo.MDEntries.Length > 0)
{
foreach (var mdEntry in quotSnap.ExtInfo.MDEntries)
{
if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.BuyPrice)
{
if (mdEntry.Entry.MDPriceLevel == 1)
{
quotInfo.buyPrice1 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyQty1 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 2)
{
quotInfo.buyPrice2 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyQty2 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 3)
{
quotInfo.buyPrice3 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyQty3 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 4)
{
quotInfo.buyPrice4 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyQty4 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 5)
{
quotInfo.buyPrice5 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyQty5 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.SellPrice)
{
if (mdEntry.Entry.MDPriceLevel == 1)
{
quotInfo.sellPrice1 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellQty1 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 2)
{
quotInfo.sellPrice2 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellQty2 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 3)
{
quotInfo.sellPrice3 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellQty3 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 4)
{
quotInfo.sellPrice4 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellQty4 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 5)
{
quotInfo.sellPrice5 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellQty5 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.HighPrice)
{
quotInfo.highPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.KnockPrice)
{
quotInfo.newPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.LowPrice)
{
quotInfo.lowPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.OpenPrice)
{
quotInfo.openPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.MaxOrderPrice)
{
quotInfo.maxOrderPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.MinOrderPrice)
{
quotInfo.minOrderPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.IOPV)
{
quotInfo.IOPV = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.BuySummary)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.SellSummary)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.SettlePrice)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.PriceEarningRatio1)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.PriceEarningRatio2)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.Diff1)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.Diff2)
//{
//}
}
}
quotInfo.change = quotInfo.newPrice - quotInfo.closePrice;
if (quotInfo.closePrice != 0.0m)
quotInfo.changePercent = quotInfo.change / quotInfo.closePrice;
}
private void SetStockQuotationProperty(StockQuotation quotInfo, QuotV5.Binary.QuotSnap300611 quotSnap)
{
SetStockQuotationProperty(quotInfo, quotSnap.CommonInfo);
quotInfo.buyQty1 = 0;
quotInfo.buyQty2 = 0;
quotInfo.buyQty3 = 0;
quotInfo.buyQty4 = 0;
quotInfo.buyQty5 = 0;
quotInfo.sellQty1 = 0;
quotInfo.sellQty2 = 0;
quotInfo.sellQty3 = 0;
quotInfo.sellQty4 = 0;
quotInfo.sellQty5 = 0;
quotInfo.buyPrice1 = 0;
quotInfo.buyPrice2 = 0;
quotInfo.buyPrice3 = 0;
quotInfo.buyPrice4 = 0;
quotInfo.buyPrice5 = 0;
quotInfo.sellPrice1 = 0;
quotInfo.sellPrice2 = 0;
quotInfo.sellPrice3 = 0;
quotInfo.sellPrice4 = 0;
quotInfo.sellPrice5 = 0;
if (quotSnap.ExtInfo != null && quotSnap.ExtInfo.MDEntries != null && quotSnap.ExtInfo.MDEntries.Length > 0)
{
foreach (var mdEntry in quotSnap.ExtInfo.MDEntries)
{
if (mdEntry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300611.MDEntryType.Buy)
{
quotInfo.buyPrice1 = (decimal)mdEntry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyQty1 = mdEntry.MDEntrySize/qtyTimes;
}
else if (mdEntry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300611.MDEntryType.Sell)
{
quotInfo.sellPrice1 = (decimal)mdEntry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellQty1 = mdEntry.MDEntrySize / qtyTimes;
}
}
}
}
private void SetStockQuotationProperty(StockQuotation quotInfo, QuotV5.Binary.RealtimeStatus status)
{
quotInfo.stkId = status.Status.SecurityID;
quotInfo.stkIdPrefix = status.Status.SecurityPreName;
if (!string.IsNullOrEmpty(status.Status.SecurityPreName))
{
quotInfo.closeFlag = status.Status.SecurityPreName.Substring(0, 1);
if (status.Status.SecurityPreName.Length > 1)
{
quotInfo.passCreditCashStk = status.Status.SecurityPreName.Substring(1, 1);
quotInfo.passCreditShareStk = quotInfo.passCreditCashStk;
}
}
}
private void SetStockInfoProperty(StockInfo stockInfo, QuotV5.StaticInfo.SecurityCloseMD securityCloseMD)
{
stockInfo.stkId = securityCloseMD.SecurityID;
stockInfo.exchTotalKnockAmt = securityCloseMD.TotalValueTrade;
stockInfo.exchTotalKnockQty = (Int64)securityCloseMD.TotalVolumeTrade;
}
private void SetStockInfoProperty(StockInfo stockInfo, QuotV5.StaticInfo.CashAuctionParams cashAuctionParams)
{
stockInfo.stkId = cashAuctionParams.SecurityID;
stockInfo.buyQtyUpperLimit = (int)cashAuctionParams.BuyQtyUpperLimit;
stockInfo.sellQtyUpperLimit = (int)cashAuctionParams.SellQtyUpperLimit;
stockInfo.orderPriceUnit = cashAuctionParams.PriceTick;
stockInfo.marketMarkerFlag = cashAuctionParams.MarketMakerFlag;
}
private void ProcessStaticInfo(QuotV5.StaticInfo.SecurityCloseMD securityInfo)
{
RawStaticInfoSnap.SecurityCloseMD[securityInfo.SecurityID] = securityInfo;
StockInfo preStockInfo = null;
StockInfo newStockInfo = null;
if (ProcessedDataSnap.StockInfo.TryGetValue(securityInfo.SecurityID, out preStockInfo))
{
newStockInfo = preStockInfo.Clone();
SetStockInfoProperty(newStockInfo, securityInfo);
}
else
{
newStockInfo = new StockInfo();
SetStockInfoProperty(newStockInfo, securityInfo);
}
if (newStockInfo != null)
{
ProcessedDataSnap.StockInfo[newStockInfo.stkId] = newStockInfo;
quotRepository.UpdateBasicInfo(newStockInfo);
}
}
private void ProcessStaticInfo(QuotV5.StaticInfo.DerivativeAuctionParams securityInfo)
{
RawStaticInfoSnap.DerivativeAuctionParams[securityInfo.SecurityID] = securityInfo;
FutureQuotation preQuotInfo = null;
FutureQuotation newQuotInfo = null;
if (ProcessedDataSnap.FutureQuotation.TryGetValue(securityInfo.SecurityID, out preQuotInfo))
{
newQuotInfo = preQuotInfo.Clone();
SetFutureQuotationProperty(newQuotInfo, securityInfo);
}
else
{
newQuotInfo = new FutureQuotation();
SetFutureQuotationProperty(newQuotInfo, securityInfo);
}
if (newQuotInfo != null)
{
ProcessedDataSnap.FutureQuotation[newQuotInfo.stkId] = newQuotInfo;
quotRepository.UpdateFutureQuotation(newQuotInfo);
}
}
private void ProcessStaticInfo(QuotV5.StaticInfo.SecurityInfoBase securityInfo)
{
RawStaticInfoSnap.SecurityInfo[securityInfo.CommonInfo.SecurityID] = securityInfo;
if (securityInfo is QuotV5.StaticInfo.OptionSecuirtyInfo)
{
QuotV5.StaticInfo.OptionSecuirtyInfo optionSecurityInfo = securityInfo as QuotV5.StaticInfo.OptionSecuirtyInfo;
FutureQuotation preFutureQuotation = null;
FutureQuotation newFutureQuotation = null;
if (ProcessedDataSnap.FutureQuotation.TryGetValue(securityInfo.CommonInfo.SecurityID, out preFutureQuotation))
{
newFutureQuotation = preFutureQuotation.Clone();
SetFutureQuotationProperty(newFutureQuotation, optionSecurityInfo);
}
else
{
newFutureQuotation = new FutureQuotation();
SetFutureQuotationProperty(newFutureQuotation, optionSecurityInfo);
}
if (newFutureQuotation != null)
{
ProcessedDataSnap.FutureQuotation[newFutureQuotation.stkId] = newFutureQuotation;
quotRepository.UpdateFutureQuotation(newFutureQuotation);
}
}
else
{
StockInfo preStockInfo = null;
StockInfo newStockInfo = null;
if (ProcessedDataSnap.StockInfo.TryGetValue(securityInfo.CommonInfo.SecurityID, out preStockInfo))
{
newStockInfo = preStockInfo.Clone();
SetStockInfoProperty(newStockInfo, securityInfo);
}
else
{
newStockInfo = new StockInfo();
SetStockInfoProperty(newStockInfo, securityInfo);
}
if (newStockInfo != null)
{
ProcessedDataSnap.StockInfo[newStockInfo.stkId] = newStockInfo;
quotRepository.UpdateBasicInfo(newStockInfo);
}
}
}
private void ProcessMarketData(QuotV5.Binary.RealtimeStatus status, DateTime receiveTime)
{
RawQuotationInfoSnap.RealtimeStatus[status.Status.SecurityID] = status;
StockQuotation preQuotInfo = null;
StockQuotation newQuotInfo = null;
if (ProcessedDataSnap.StockQuotation.TryGetValue(status.Status.SecurityID, out preQuotInfo))
{
newQuotInfo = preQuotInfo.Clone();
SetStockQuotationProperty(newQuotInfo, status);
}
else
{
newQuotInfo = new StockQuotation();
QuotV5.StaticInfo.SecurityInfoBase securityInfo = null;
if (RawStaticInfoSnap.SecurityInfo.TryGetValue(status.Status.SecurityID, out securityInfo))
SetStockQuotationProperty(newQuotInfo, securityInfo);
SetStockQuotationProperty(newQuotInfo, status);
QuotV5.Binary.QuotSnap300111 quotSnap = null;
if (RawQuotationInfoSnap.QuotSnap300111.TryGetValue(status.Status.SecurityID, out quotSnap))
SetStockQuotationProperty(newQuotInfo, quotSnap);
QuotV5.Binary.QuotSnap300611 quotSnap2 = null;
if (RawQuotationInfoSnap.QuotSnap300611.TryGetValue(status.Status.SecurityID, out quotSnap2))
SetStockQuotationProperty(newQuotInfo, quotSnap2);
}
if (newQuotInfo != null)
{
newQuotInfo.receiveTime = DatetimeToLong(receiveTime);
ProcessedDataSnap.StockQuotation[newQuotInfo.stkId] = newQuotInfo;
quotRepository.UpdateStockQuotation(newQuotInfo);
if (quotPublisher != null)
quotPublisher.Enqueue(newQuotInfo, true);
}
}
private void ProcessMarketData(QuotV5.Binary.QuotSnap300111 quotSnap, DateTime receiveTime)
{
RawQuotationInfoSnap.QuotSnap300111[quotSnap.CommonInfo.SecurityID] = quotSnap;
if (quotSnap.CommonInfo.MDStreamID == QuotV5.Binary.QuotSnap300111.MDStreamID.Option)
{
FutureQuotation preQuotInfo = null;
FutureQuotation newQuotInfo = null;
if (ProcessedDataSnap.FutureQuotation.TryGetValue(quotSnap.CommonInfo.SecurityID, out preQuotInfo))
{
newQuotInfo = preQuotInfo.Clone();
QuotV5.StaticInfo.SecurityInfoBase securityInfo = null;
if (RawStaticInfoSnap.SecurityInfo.TryGetValue(quotSnap.CommonInfo.SecurityID, out securityInfo))
SetFutureQuotationProperty(newQuotInfo, securityInfo as QuotV5.StaticInfo.OptionSecuirtyInfo);
SetFutureQuotationProperty(newQuotInfo, quotSnap);
}
else
{
newQuotInfo = new FutureQuotation();
QuotV5.StaticInfo.SecurityInfoBase securityInfo = null;
if (RawStaticInfoSnap.SecurityInfo.TryGetValue(quotSnap.CommonInfo.SecurityID, out securityInfo))
SetFutureQuotationProperty(newQuotInfo, securityInfo as QuotV5.StaticInfo.OptionSecuirtyInfo);
QuotV5.Binary.RealtimeStatus status = null;
if (RawQuotationInfoSnap.RealtimeStatus.TryGetValue(quotSnap.CommonInfo.SecurityID, out status))
SetFutureQuotationProperty(newQuotInfo, status);
SetFutureQuotationProperty(newQuotInfo, quotSnap);
}
if (newQuotInfo != null)
{
ProcessedDataSnap.FutureQuotation[newQuotInfo.stkId] = newQuotInfo;
quotRepository.UpdateFutureQuotation(newQuotInfo);
if (quotPublisher != null)
quotPublisher.Enqueue(newQuotInfo, true);
}
}
else
{
StockQuotation preQuotInfo = null;
StockQuotation newQuotInfo = null;
if (ProcessedDataSnap.StockQuotation.TryGetValue(quotSnap.CommonInfo.SecurityID, out preQuotInfo))
{
newQuotInfo = preQuotInfo.Clone();
QuotV5.StaticInfo.SecurityInfoBase securityInfo = null;
if (RawStaticInfoSnap.SecurityInfo.TryGetValue(quotSnap.CommonInfo.SecurityID, out securityInfo))
SetStockQuotationProperty(newQuotInfo, securityInfo);
SetStockQuotationProperty(newQuotInfo, quotSnap);
}
else
{
newQuotInfo = new StockQuotation();
QuotV5.StaticInfo.SecurityInfoBase securityInfo = null;
if (RawStaticInfoSnap.SecurityInfo.TryGetValue(quotSnap.CommonInfo.SecurityID, out securityInfo))
SetStockQuotationProperty(newQuotInfo, securityInfo);
QuotV5.Binary.RealtimeStatus status = null;
if (RawQuotationInfoSnap.RealtimeStatus.TryGetValue(quotSnap.CommonInfo.SecurityID, out status))
SetStockQuotationProperty(newQuotInfo, status);
SetStockQuotationProperty(newQuotInfo, quotSnap);
}
if (newQuotInfo != null)
{
newQuotInfo.receiveTime = DatetimeToLong(receiveTime);
ProcessedDataSnap.StockQuotation[newQuotInfo.stkId] = newQuotInfo;
quotRepository.UpdateStockQuotation(newQuotInfo);
if (quotPublisher != null)
quotPublisher.Enqueue(newQuotInfo, true);
}
}
}
private void SetStockQuotationProperty(StockQuotation quotInfo, QuotV5.Binary.QuotSnapCommonInfo quotSnapCommonInfo)
{
quotInfo.stkId = quotSnapCommonInfo.SecurityID;
quotInfo.knockQty = quotSnapCommonInfo.TotalVolumeTrade / qtyTimes;
quotInfo.knockMoney = (decimal)quotSnapCommonInfo.TotalValueTrade / amtTimes;
quotInfo.tradeTimeFlag = quotSnapCommonInfo.TradingPhaseCode;
quotInfo.closePrice = (decimal)quotSnapCommonInfo.PrevClosePx / pxTimes;
quotInfo.changeTime = quotSnapCommonInfo.OrigTime;
}
private void SetStockInfoProperty(StockInfo stockInfo, QuotV5.StaticInfo.SecurityInfoBase securityInfo)
{
stockInfo.stkId = securityInfo.CommonInfo.SecurityID;
stockInfo.stkName = securityInfo.CommonInfo.Symbol;
stockInfo.stkEnglishtAbbr = securityInfo.CommonInfo.EnglishName;
stockInfo.stkParValue = securityInfo.CommonInfo.ParValue;
stockInfo.totalCurrentStkQty = (Int64)securityInfo.CommonInfo.PublicFloatShareQuantity;
stockInfo.listedDate = securityInfo.CommonInfo.ListDate;
stockInfo.standardConvertRate = securityInfo.CommonInfo.ContractMultiplier;
stockInfo.closePrice = securityInfo.CommonInfo.PrevClosePx;
stockInfo.basicStkId = securityInfo.CommonInfo.UnderlyingSecurityID;
stockInfo.ISINCode = securityInfo.CommonInfo.ISIN;
stockInfo.CMOStandardRate = securityInfo.CommonInfo.GageRatio;
stockInfo.totalStkQty = (Int64)securityInfo.CommonInfo.OutstandingShare;
stockInfo.isCreditCashStk = securityInfo.CommonInfo.CrdBuyUnderlying;
stockInfo.isCreditShareStk = securityInfo.CommonInfo.CrdSellUnderlying;
if (securityInfo is QuotV5.StaticInfo.StockSecurityInfo)
{
QuotV5.StaticInfo.StockParams para = (securityInfo as QuotV5.StaticInfo.StockSecurityInfo).Params;
stockInfo.stkIndustryType = para.IndustryClassification;
stockInfo.lastYearProfit = para.PreviousYearProfitPerShare;
stockInfo.thisYearProfit = para.CurrentYearProfitPerShare;
}
else if (securityInfo is QuotV5.StaticInfo.BondSecurityInfo)
{
QuotV5.StaticInfo.BondParams para = (securityInfo as QuotV5.StaticInfo.BondSecurityInfo).Params;
stockInfo.endingDate = para.MaturityDate;
stockInfo.accuredInterest = para.Interest;
stockInfo.beginInterestDate = para.InterestAccrualDate;
}
else if (securityInfo is QuotV5.StaticInfo.FundSecurityInfo)
{
QuotV5.StaticInfo.FundParams para = (securityInfo as QuotV5.StaticInfo.FundSecurityInfo).Params;
stockInfo.NAV = para.NAV;
}
}
private void SetStockInfoProperty(StockInfo stockInfo, QuotV5.StaticInfo.IndexInfo securityInfo)
{
stockInfo.stkId = securityInfo.SecurityID;
stockInfo.stkName = securityInfo.Symbol;
stockInfo.stkEnglishtAbbr = securityInfo.EnglishName;
stockInfo.closePrice = securityInfo.PrevCloseIdx;
}
/// <summary>
/// 收到行情数据
/// </summary>
/// <param name="marketData"></param>
private void QuotConn_OnMarketDataReceived(QuotV5.Binary.MarketDataEx marketData)
{
if (marketData.MarketData is QuotV5.Binary.QuotSnap300111)
{
ProcessMarketData(marketData.MarketData as QuotV5.Binary.QuotSnap300111, marketData.ReceiveTime);
}
else if (marketData.MarketData is QuotV5.Binary.QuotSnap300611)
{
ProcessMarketData(marketData.MarketData as QuotV5.Binary.QuotSnap300611, marketData.ReceiveTime);
}
else if (marketData.MarketData is QuotV5.Binary.QuotSnap309011)
{
ProcessMarketData(marketData.MarketData as QuotV5.Binary.QuotSnap309011, marketData.ReceiveTime);
}
else if (marketData.MarketData is QuotV5.Binary.RealtimeStatus)
{
ProcessMarketData(marketData.MarketData as QuotV5.Binary.RealtimeStatus, marketData.ReceiveTime);
}
}
private void SetStockInfoProperty(StockInfo stockInfo, QuotV5.StaticInfo.NegotiationParams negotiationParams)
{
stockInfo.stkId = negotiationParams.SecurityID;
}
private void SetFutureQuotationProperty(FutureQuotation quotInfo, QuotV5.StaticInfo.OptionSecuirtyInfo securityInfo)
{
quotInfo.stkId = securityInfo.CommonInfo.SecurityID;
quotInfo.stkName = securityInfo.CommonInfo.Symbol;
quotInfo.preClosePrice = securityInfo.CommonInfo.PrevClosePx;
quotInfo.basicExchId = null;
quotInfo.basicStkId = securityInfo.CommonInfo.UnderlyingSecurityID;
quotInfo.contractTimes = (int)securityInfo.Params.ContractUnit;
Date lastTradeDay = Date.FromYMMDD(securityInfo.Params.LastTradeDay);
DateTime lastTradeDate = lastTradeDay.ToDateTime();
quotInfo.deliveryYear = lastTradeDay.Year;
quotInfo.deliveryMonth = lastTradeDay.Month;
quotInfo.listDate = securityInfo.CommonInfo.ListDate;
quotInfo.firstTrdDate = quotInfo.listDate;
quotInfo.lastTrdDate = securityInfo.Params.LastTradeDay;
quotInfo.matureDate = securityInfo.Params.LastTradeDay;
quotInfo.lastSettleDate = securityInfo.Params.LastTradeDay;
quotInfo.preSettlementPrice = securityInfo.Params.PrevClearingPrice;
quotInfo.preClosePrice = securityInfo.CommonInfo.PrevClosePx;
quotInfo.strikePrice = securityInfo.Params.ExercisePrice;
quotInfo.optionType = securityInfo.Params.CallOrPut;
quotInfo.exerciseDate = securityInfo.Params.ExerciseBeginDate;
quotInfo.adjustedFlag = securityInfo.Params.Adjusted;
quotInfo.adjustNum = securityInfo.Params.AdjuestTimes;
quotInfo.isinCode = securityInfo.CommonInfo.ISIN;
if (securityInfo.CommonInfo.SecurityType == QuotV5.StaticInfo.SecurityType.股票期权)
{
quotInfo.F_productId= "SO";
}
else
{
quotInfo.F_productId = "EO";
}
}
private void SetStockQuotationProperty(StockQuotation quotInfo, QuotV5.StaticInfo.SecurityInfoBase securityInfo)
{
quotInfo.stkId = securityInfo.CommonInfo.SecurityID;
quotInfo.stkName = securityInfo.CommonInfo.Symbol;
}
private void SetFutureQuotationProperty(FutureQuotation quotInfo, QuotV5.StaticInfo.DerivativeAuctionParams derivativeAuctionParams)
{
quotInfo.stkId = derivativeAuctionParams.SecurityID;
quotInfo.buyMaxLimitOrderQty = (int)derivativeAuctionParams.BuyQtyUpperLimit;
quotInfo.sellMaxLimitOrderQty = (int)derivativeAuctionParams.SellQtyUpperLimit;
quotInfo.buyMaxMarketOrderQty = quotInfo.buyMaxLimitOrderQty;
quotInfo.sellMaxMarketOrderQty = quotInfo.sellMaxMarketOrderQty;
quotInfo.orderPriceUnit = derivativeAuctionParams.PriceTick;
quotInfo.maxOrderPrice = derivativeAuctionParams.RisePrice;
quotInfo.minOrderPrice = derivativeAuctionParams.FallPrice;
quotInfo.marketMakerFlag = derivativeAuctionParams.MarketMakerFlag;
quotInfo.currMargin = derivativeAuctionParams.SellMargin;
quotInfo.minBuyQtyTimes = (int)derivativeAuctionParams.BuyQtyUnit;
quotInfo.minSellQtyTimes = (int)derivativeAuctionParams.SellQtyUnit;
quotInfo.preCurrMargin = derivativeAuctionParams.LastSellMargin;
quotInfo.marketMakerFlag = derivativeAuctionParams.MarketMakerFlag;
}
private void SetStockQuotationProperty(StockQuotation quotInfo, QuotV5.Binary.QuotSnap309011 quotSnap)
{
SetStockQuotationProperty(quotInfo, quotSnap.CommonInfo);
if (quotSnap.ExtInfo != null && quotSnap.ExtInfo.MDEntries != null && quotSnap.ExtInfo.MDEntries.Length > 0)
{
foreach (var mdEntry in quotSnap.ExtInfo.MDEntries)
{
if (mdEntry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo309011.MDEntryType.NewIndex)
{
quotInfo.newIndex = (decimal)mdEntry.MDEntryPx / mdEntryPxTimes ;
}
else if (mdEntry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo309011.MDEntryType.OpenIndex)
{
quotInfo.openIndex = (decimal)mdEntry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo309011.MDEntryType.CloseIndex)
{
quotInfo.closeIndex = (decimal)mdEntry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo309011.MDEntryType.HighIndex)
{
quotInfo.highIndex = (decimal)mdEntry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo309011.MDEntryType.LowIndex)
{
quotInfo.lowIndex = (decimal)mdEntry.MDEntryPx / mdEntryPxTimes;
}
}
}
quotInfo.change = quotInfo.newIndex - quotInfo.closeIndex;
if (quotInfo.closeIndex != 0.0m)
quotInfo.changePercent = quotInfo.change / quotInfo.closeIndex;
}
private void SetFutureQuotationProperty(FutureQuotation quotInfo, QuotV5.StaticInfo.SecurityCloseMD securityCloseMD)
{
quotInfo.stkId = securityCloseMD.SecurityID;
quotInfo.exchTotalKnockAmt = securityCloseMD.TotalValueTrade;
quotInfo.exchTotalKnockQty = (Int64)securityCloseMD.TotalVolumeTrade;
quotInfo.closePrice = securityCloseMD.ClosePx;
}
private QuotV5.Binary.RealTimeQuotConnection ConstructRealTimeQuotConnection(string connConfigkey,QuotV5.Binary.IMessagePackRecorder recorder=null)
{
var connConfig = PluginContext.Configuration.BinaryConnections.Connections.FirstOrDefault(c => c.Key == connConfigkey);
if (connConfig == null)
throw new Exception();
QuotV5.Binary.ConnectionConfig realtimeConnConfig = new QuotV5.Binary.ConnectionConfig()
{
IP = System.Net.IPAddress.Parse(connConfig.IP),
TargetCompID = connConfig.TargetCompID,
Port = connConfig.Port,
HeartbeatIntervalS = connConfig.HeartbeatIntervalS,
ConnectionTimeoutMS = connConfig.ConnectionTimeoutMS,
ReconnectIntervalMS = connConfig.ReconnectIntervalMS,
SenderCompID = connConfig.SenderCompID,
Password = connConfig.Password
};
QuotV5.Binary.RealTimeQuotConnection realtimeQuotConn = new QuotV5.Binary.RealTimeQuotConnection(realtimeConnConfig, this.logHelper, recorder);
return realtimeQuotConn;
}
private void SetFutureQuotationProperty(FutureQuotation quotInfo, QuotV5.Binary.QuotSnap300111 quotSnap)
{
SetFutureQuotationProperty(quotInfo, quotSnap.CommonInfo);
if (quotSnap.ExtInfo != null && quotSnap.ExtInfo.MDEntries != null && quotSnap.ExtInfo.MDEntries.Length > 0)
{
foreach (var mdEntry in quotSnap.ExtInfo.MDEntries)
{
if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.BuyPrice)
{
if (mdEntry.Entry.MDPriceLevel == 1)
{
quotInfo.buy1 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyAmt1 = mdEntry.Entry.MDEntrySize/qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 2)
{
quotInfo.buy2 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyAmt2 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 3)
{
quotInfo.buy3 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyAmt3 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 4)
{
quotInfo.buy4 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyAmt4 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 5)
{
quotInfo.buy5 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.buyAmt5 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.SellPrice)
{
if (mdEntry.Entry.MDPriceLevel == 1)
{
quotInfo.sell1 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellAmt1 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 2)
{
quotInfo.sell2 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellAmt2 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 3)
{
quotInfo.sell3 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellAmt3 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 4)
{
quotInfo.sell4 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellAmt4 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
else if (mdEntry.Entry.MDPriceLevel == 5)
{
quotInfo.sell5 = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
quotInfo.sellAmt5 = mdEntry.Entry.MDEntrySize / qtyTimes;
}
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.HighPrice)
{
quotInfo.highestPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.KnockPrice)
{
quotInfo.newPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.LowPrice)
{
quotInfo.lowestPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.OpenPrice)
{
quotInfo.openPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.MaxOrderPrice)
{
quotInfo.maxOrderPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.MinOrderPrice)
{
quotInfo.minOrderPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.SettlePrice)
{
quotInfo.settlementPrice = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.OpenPosition)
{
quotInfo.openPosition = (decimal)mdEntry.Entry.MDEntryPx / mdEntryPxTimes;
}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.IOPV)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.BuySummary)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.SellSummary)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.PriceEarningRatio1)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.PriceEarningRatio2)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.Diff1)
//{
//}
//else if (mdEntry.Entry.MDEntryType == QuotV5.Binary.QuotSnapExtInfo300111.MDEntryType.Diff2)
//{
//}
}
}
}
