private void updateOptionBidAskBook(long reqId)
{
///========================================
///注意：
/// 1）该方法只需要执行一次即无限循环，直到闭市自动退出，请勿多次运行
/// 2）StreamReader读取文件时会锁住文件，建议先复制到本地再进行读取
///========================================
bool isMarketOff = false;
while (htSubscribe.Contains(reqId) && (bool)htSubscribe[reqId] && !isMarketOff)
{
try
{
string filecontent = this.getMarketFileContent();
string markettime = "";
#region 解释行情
string[] lines = null;
if (filecontent == null || filecontent.Trim().Length == 0)
{
MessageManager.GetInstance().Add(MessageType.Error, "上交所期权行情文件出错");
break;
}
lines = filecontent.Split("\n".ToCharArray());
#region 文件头
string[] fieldshead = lines[0].Split("|".ToCharArray());
if (markettime != fieldshead[6].ToString().Trim())
{
markettime = fieldshead[6].ToString().Trim();
//历史备份
if (flag_option_price_savehistory)
{
string filename = markettime.Replace(":", "-").Replace(".", "-") + ".txt";
File.Copy(filepath_option_price_target, filepath_option_price_history + filename, true);
}
}
else
{
Thread.Sleep(100);
continue;
}
#endregion
#region 文件体
if (!isMarketOff)
{
string[] fields;
string line = "";
for (int i = 0; i < lines.Length; i++)
{
try
{
line = lines[i].Trim();
if (line != null && line.Length > 0)
{
fields = line.Split("|".ToCharArray());
if (fields.Length >= 35)
{
#region 更新BidAskBook
string optioncode = fields[1].Trim();
if (htSubscribedOptions.Contains(optioncode))
{
BidAskBook babook = (BidAskBook)htSubscribedOptions[optioncode];
string tradetime = fields[34].Trim(); //HH:MM:SS.000
///=======================
///无法用时间戳做数据变更的判断
/// 存在这样的情形，数据变了时间戳没更新
///=======================
babook.tradetime = tradetime;
#region 交易状态
char[] status = fields[33].Trim().ToUpper().ToCharArray();
switch (status[0])
{
case 'S':
babook.phase = TradingPhase.START;
break;
case 'C':
babook.phase = TradingPhase.CALL;
break;
case 'T':
babook.phase = TradingPhase.TRADE;
break;
case 'B':
babook.phase = TradingPhase.BREAK;
break;
case 'E':
babook.phase = TradingPhase.END;
break;
case 'V':
babook.phase = TradingPhase.VOLBREAK;
break;
case 'P':
babook.phase = TradingPhase.PAUSE;
break;
case 'U':
babook.phase = TradingPhase.UCALL;
break;
default:
babook.phase = TradingPhase.NONE;
break;
}
#endregion
#region 盘口价格
babook.presettle = Utility.ConvertToDouble(fields[5].Trim(), 0);
babook.open = Utility.ConvertToDouble(fields[6].Trim(), 0);
babook.high = Utility.ConvertToDouble(fields[9].Trim(), 0);
babook.low = Utility.ConvertToDouble(fields[10].Trim(), 0);
babook.last = Utility.ConvertToDouble(fields[11].Trim(), 0);
if (babook.phase == TradingPhase.TRADE)//仅在连续竞价阶段更新
{
babook.lasttrade = babook.last;
}
babook.bid[0] = Utility.ConvertToDouble(fields[12].Trim(), 0);
babook.bid[1] = Utility.ConvertToDouble(fields[16].Trim(), 0);
babook.bid[2] = Utility.ConvertToDouble(fields[20].Trim(), 0);
babook.bid[3] = Utility.ConvertToDouble(fields[24].Trim(), 0);
babook.bid[4] = Utility.ConvertToDouble(fields[28].Trim(), 0);
babook.bidsize[0] = (int)Utility.ConvertToDouble(fields[13].Trim(), 0);
babook.bidsize[1] = (int)Utility.ConvertToDouble(fields[17].Trim(), 0);
babook.bidsize[2] = (int)Utility.ConvertToDouble(fields[21].Trim(), 0);
babook.bidsize[3] = (int)Utility.ConvertToDouble(fields[25].Trim(), 0);
babook.bidsize[4] = (int)Utility.ConvertToDouble(fields[29].Trim(), 0);
babook.ask[0] = Utility.ConvertToDouble(fields[14].Trim(), 0);
babook.ask[1] = Utility.ConvertToDouble(fields[18].Trim(), 0);
babook.ask[2] = Utility.ConvertToDouble(fields[22].Trim(), 0);
babook.ask[3] = Utility.ConvertToDouble(fields[26].Trim(), 0);
babook.ask[4] = Utility.ConvertToDouble(fields[30].Trim(), 0);
babook.asksize[0] = (int)Utility.ConvertToDouble(fields[15].Trim(), 0);
babook.asksize[1] = (int)Utility.ConvertToDouble(fields[19].Trim(), 0);
babook.asksize[2] = (int)Utility.ConvertToDouble(fields[23].Trim(), 0);
babook.asksize[3] = (int)Utility.ConvertToDouble(fields[27].Trim(), 0);
babook.asksize[4] = (int)Utility.ConvertToDouble(fields[31].Trim(), 0);
#endregion
}
#endregion
}
}
}
catch (Exception ex)
{
throw ex;
}
}
}
#endregion
string marketstatus = fieldshead[8].Trim().ToUpper();
char[] tradestatus = marketstatus.ToCharArray();
switch (tradestatus[0])
{
//交易所已闭市
case 'E':
isMarketOff = true;
break;
default:
break;
}
#endregion
}
catch (Exception ex)
{
throw ex;
}
}
}
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);
}
