public void SendMarketDataRequest(FIXMarketDataRequest request) { if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接"); mdlog.Error("行情服务器没有连接"); return; } bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case '0': case '1': if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case '2': bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { record = new DataRecord(); record.Instrument = inst; _dictAltSymbol2Instrument[altSymbol] = record; mdlog.Info("订阅合约 {0} {1}", altSymbol, altExchange); MdApi.MD_Subscribe(m_pMdApi, altSymbol); if (_bTdConnected) { TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null); timerPonstion.Enabled = false; timerPonstion.Enabled = true; } } //记录行情,同时对用户合约与交易所合约进行映射 CThostFtdcDepthMarketDataField DepthMarket; if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket)) { _dictDepthMarketData.Add(altSymbol, DepthMarket); } if (bTrade) record.TradeRequested = true; if (bQuote) record.QuoteRequested = true; if (bMarketDepth) record.MarketDepthRequested = true; if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { break; } if (bTrade) record.TradeRequested = false; if (bQuote) record.QuoteRequested = false; if (bMarketDepth) record.MarketDepthRequested = false; if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictDepthMarketData.Remove(altSymbol); _dictAltSymbol2Instrument.Remove(altSymbol); mdlog.Info("取消订阅 {0} {1}", altSymbol, altExchange); MdApi.MD_Unsubscribe(m_pMdApi, altSymbol); } } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接"); mdlog.Error("行情服务器没有连接"); return; } bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case FIXMDEntryType.Bid: case FIXMDEntryType.Offer: if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case FIXMDEntryType.Trade: bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string apiSymbol = GetApiSymbol(altSymbol); string apiExchange = altExchange; #if CTPZQ altSymbol = GetYahooSymbol(apiSymbol, apiExchange); #endif CThostFtdcInstrumentField _Instrument; if (_dictInstruments.TryGetValue(altSymbol, out _Instrument)) { apiSymbol = _Instrument.InstrumentID; apiExchange = _Instrument.ExchangeID; } #if CTPZQ altSymbol = GetYahooSymbol(apiSymbol, apiExchange); #endif DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { record = new DataRecord(); record.Instrument = inst; record.Symbol = apiSymbol; record.Exchange = apiExchange; _dictAltSymbol2Instrument[altSymbol] = record; mdlog.Info("订阅合约/订阅询价 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange); if (_bTdConnected) { TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null); timerPonstion.Enabled = false; timerPonstion.Enabled = true; } } //记录行情,同时对用户合约与交易所合约进行映射 CThostFtdcDepthMarketDataField DepthMarket; if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket)) { _dictDepthMarketData[altSymbol] = DepthMarket; } // 多次订阅也无所谓 MdApi.MD_Subscribe(m_pMdApi, record.Symbol, record.Exchange); MdApi.MD_SubscribeQuote(m_pMdApi, record.Symbol, record.Exchange); if (bTrade) record.TradeRequested = true; if (bQuote) record.QuoteRequested = true; if (bMarketDepth) record.MarketDepthRequested = true; if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { break; } if (bTrade) record.TradeRequested = false; if (bQuote) record.QuoteRequested = false; if (bMarketDepth) record.MarketDepthRequested = false; if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictDepthMarketData.Remove(altSymbol); _dictAltSymbol2Instrument.Remove(altSymbol); mdlog.Info("取消合约/取消询价 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange); MdApi.MD_Unsubscribe(m_pMdApi, record.Symbol, record.Exchange); MdApi.MD_UnsubscribeQuote(m_pMdApi, record.Symbol, record.Exchange); } else { // 只要有一种类型说要订阅,就给订上 MdApi.MD_Subscribe(m_pMdApi, record.Symbol, record.Exchange); MdApi.MD_SubscribeQuote(m_pMdApi, record.Symbol, record.Exchange); } } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { lock (this) { switch (request.SubscriptionRequestType) { case DataManager.MARKET_DATA_SUBSCRIBE: if (!_bMdConnected) { EmitError(-1,-1,"行情服务器没有连接,无法订阅行情"); return; } for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); //通过订阅的方式,由平台传入合约对象,在行情接收处将要使用到合约 CZQThostFtdcDepthMarketDataField DepthMarket; Instrument inst = InstrumentManager.Instruments[group.Symbol]; string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket)) { DepthMarket = new CZQThostFtdcDepthMarketDataField(); _dictDepthMarketData.Add(altSymbol, DepthMarket); } _dictAltSymbol2Instrument[altSymbol] = inst; Console.WriteLine("MdApi:订阅合约 {0} {1}",altSymbol,altExchange); MdApi.MD_Subscribe(m_pMdApi, altSymbol, altExchange); } if (!_bTdConnected) { EmitError(-1, -1, "交易服务器没有连接,无法保证持仓真实"); return; } TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null); timerPonstion.Enabled = false; timerPonstion.Enabled = true; break; case DataManager.MARKET_DATA_UNSUBSCRIBE: if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接,退订合约无效"); return; } for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); _dictDepthMarketData.Remove(altSymbol); Console.WriteLine("MdApi:取消订阅 {0} {1}", altSymbol,altExchange); MdApi.MD_Unsubscribe(m_pMdApi, altSymbol,altExchange); } break; default: throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString()); } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { if (!_bMdConnected) { EmitError(-1, -1, "行情服务器没有连接"); mdlog.Error("行情服务器没有连接"); return; } bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case '0': case '1': if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case '2': bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string _altSymbol = GetApiSymbol(altSymbol); CZQThostFtdcInstrumentField _Instrument; if (_dictInstruments.TryGetValue(altSymbol, out _Instrument)) { _altSymbol = _Instrument.InstrumentID; altExchange = _Instrument.ExchangeID; } DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { record = new DataRecord(); record.Instrument = inst; record.Symbol = _altSymbol; record.Exchange = altExchange; _dictAltSymbol2Instrument[altSymbol] = record; mdlog.Info("订阅合约 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange); MdApi.MD_Subscribe(m_pMdApi, record.Symbol, record.Exchange); if (_bTdConnected) { TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null); timerPonstion.Enabled = false; timerPonstion.Enabled = true; } } //记录行情,同时对用户合约与交易所合约进行映射 CZQThostFtdcDepthMarketDataField DepthMarket; if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket)) { _dictDepthMarketData.Add(altSymbol, DepthMarket); } if (bTrade) { record.TradeRequested = true; } if (bQuote) { record.QuoteRequested = true; } if (bMarketDepth) { record.MarketDepthRequested = true; } if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(altSymbol, out record)) { break; } if (bTrade) { record.TradeRequested = false; } if (bQuote) { record.QuoteRequested = false; } if (bMarketDepth) { record.MarketDepthRequested = false; } if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictDepthMarketData.Remove(altSymbol); _dictAltSymbol2Instrument.Remove(altSymbol); mdlog.Info("取消合约 {0} {1} {2}", altSymbol, record.Symbol, record.Exchange); MdApi.MD_Unsubscribe(m_pMdApi, record.Symbol, record.Exchange); } } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { //if (!_bMdConnected) //{ // EmitError(-1, -1, "行情服务器没有连接"); // mdlog.Error("行情服务器没有连接"); // return; //} bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case FIXMDEntryType.Bid: case FIXMDEntryType.Offer: if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case FIXMDEntryType.Trade: bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string MarketStockCode = altExchange.ToLower() + altSymbol; DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record)) { record = new DataRecord(); record.Instrument = inst; record.Symbol = altSymbol; record.Exchange = altExchange; _dictAltSymbol2Instrument[MarketStockCode] = record; mdlog.Info("订阅合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange); } if (bTrade) record.TradeRequested = true; if (bQuote) record.QuoteRequested = true; if (bMarketDepth) record.MarketDepthRequested = true; if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string MarketStockCode = altExchange.ToLower() + altSymbol; DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record)) { break; } if (bTrade) record.TradeRequested = false; if (bQuote) record.QuoteRequested = false; if (bMarketDepth) record.MarketDepthRequested = false; if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictAltSymbol2Instrument.Remove(MarketStockCode); mdlog.Info("取消合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange); } } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { // need to request as iqfeed's native symbol type, but return as a generic symbol FIXRelatedSymGroup symgrp; IQFeedDataRequestRecord rr; bool tradeRequest = false; bool quoteRequest = false; bool marketDepthRequest = false; if (request.NoMDEntryTypes > 0) { FIXMDEntryTypesGroup mdEntryTypesGroup = request.GetMDEntryTypesGroup(0); switch (mdEntryTypesGroup.MDEntryType) { case FIXMDEntryType.Trade: { tradeRequest = true; } break; case FIXMDEntryType.Bid: case FIXMDEntryType.Offer: { if (request.MarketDepth == 1) { quoteRequest = true; } else { marketDepthRequest = true; } } break; } } switch (request.SubscriptionRequestType) { case DataManager.MARKET_DATA_SUBSCRIBE: for (int i = 0; i < request.NoRelatedSym; i++) { symgrp = request.GetRelatedSymGroup(i); string sWatchedSymbol = symgrp.Symbol; Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol]; foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup) { if (Name == grp.SecurityAltIDSource) { sWatchedSymbol = grp.SecurityAltID; } } if (tradeRequest || quoteRequest) { if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol)) { rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord; rr.cnt++; rr = null; } else { rr = new IQFeedDataRequestRecord(); rr.request = request; rr.instrument = instrument; // Symbol = instrument.GetSymbol(Name); <== hint for other code rr.sCurrency = symgrp.Currency; rr.sSecurityType = symgrp.SecurityType; rr.sSecurityExchange = symgrp.SecurityExchange; htL1WatchedSymbols.Add(sWatchedSymbol, rr); Console.WriteLine("MARKET_DATA_SUBSCRIBE {0}", sWatchedSymbol); if (1 == htL1WatchedSymbols.Count) { iqf.HandleFundamentalMessage += new FundamentalMessageHandler(EmitFundamental); iqf.HandleSummaryMessage += new SummaryMessageHandler(EmitTradeSummary); iqf.HandleUpdateMessage += new UpdateMessageHandler(EmitQuoteTrade); } iqf.startWatch(sWatchedSymbol); rr = null; } } if (marketDepthRequest) { if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol)) { rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord; rr.cnt++; rr = null; } else { instrument.OrderBook.Clear(); rr = new IQFeedDataRequestRecord(); rr.request = request; rr.instrument = instrument; // Symbol = instrument.GetSymbol(Name); <== hint for other code rr.sCurrency = symgrp.Currency; rr.sSecurityType = symgrp.SecurityType; rr.sSecurityExchange = symgrp.SecurityExchange; htL2WatchedSymbols.Add(sWatchedSymbol, rr); Console.WriteLine("MARKETDEPTH_DATA_SUBSCRIBE {0}", sWatchedSymbol); iqfl2.StartWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth)); rr = null; } } } break; case DataManager.MARKET_DATA_UNSUBSCRIBE: for (int i = 0; i < request.NoRelatedSym; i++) { symgrp = request.GetRelatedSymGroup(i); string sWatchedSymbol = symgrp.Symbol; Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol]; foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup) { if (Name == grp.SecurityAltIDSource) { sWatchedSymbol = grp.SecurityAltID; } } if (tradeRequest || quoteRequest) { if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol)) { rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord; rr.cnt--; if (0 == rr.cnt) { Console.WriteLine("MARKET_DATA_UNSUBSCRIBE {0}", sWatchedSymbol); iqf.stopWatch(sWatchedSymbol); if (0 == htL1WatchedSymbols.Count) { iqf.HandleFundamentalMessage -= new FundamentalMessageHandler(EmitFundamental); iqf.HandleSummaryMessage -= new SummaryMessageHandler(EmitTradeSummary); iqf.HandleUpdateMessage -= new UpdateMessageHandler(EmitQuoteTrade); } rr.request = null; rr.instrument = null; } rr = null; } else { throw new ArgumentException("No to stop l1 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol); } } if (marketDepthRequest) { if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol)) { rr = htL2WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord; rr.cnt--; if (0 == rr.cnt) { Console.WriteLine("MARKETDEPTH_DATA_UNSUBSCRIBE {0}", sWatchedSymbol); iqfl2.StopWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth)); rr.request = null; rr.instrument = null; } rr = null; } else { throw new ArgumentException("No to stop l2 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol); } } } break; default: throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString()); } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0; for (int i = 0; i < request.NoMDEntryTypes; i++) { FIXMDEntryTypesGroup mDEntryTypesGroup = request.GetMDEntryTypesGroup(i); switch (mDEntryTypesGroup.MDEntryType) { case '0': case '1': if (request.MarketDepth == 1) { subscriptionDataType |= SubscriptionDataType.Quotes; } else { subscriptionDataType |= SubscriptionDataType.OrderBook; } break; case '2': subscriptionDataType |= SubscriptionDataType.Trades; break; } } for (int j = 0; j < request.NoRelatedSym; j++) { FIXRelatedSymGroup relatedSymGroup = request.GetRelatedSymGroup(j); SmartQuant.Instruments.Instrument key = SmartQuant.Instruments.InstrumentManager.Instruments[relatedSymGroup.Symbol]; global::OpenQuant.API.Instrument instrument = Map.SQ_OQ_Instrument[key] as global::OpenQuant.API.Instrument; switch (request.SubscriptionRequestType) { case '1': this.provider.CallSubscribe(instrument, subscriptionDataType); break; case '2': this.provider.CallUnsubscribe(instrument, subscriptionDataType); break; default: throw new Exception("Unknown subscription request type " + request.SubscriptionRequestType); } } }
public void SendMarketDataRequest(FIXMarketDataRequest request) { SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0; for (int i = 0; i < request.NoMDEntryTypes; ++i) { switch (request.GetMDEntryTypesGroup(i).MDEntryType) { case '0': case '1': if (request.MarketDepth == 1) { subscriptionDataType |= SubscriptionDataType.Quotes; break; } else { subscriptionDataType |= SubscriptionDataType.OrderBook; break; } case '2': subscriptionDataType |= SubscriptionDataType.Trades; break; } } for (int i = 0; i < request.NoRelatedSym; ++i) { FreeQuant.Instruments.Instrument instrument1 = FreeQuant.Instruments.InstrumentManager.Instruments[request.GetRelatedSymGroup(i).Symbol]; Instrument instrument2 = Map.FQ_OQ_Instrument[(object)instrument1] as Instrument; switch (request.SubscriptionRequestType) { case '1': this.provider.CallSubscribe(instrument2, subscriptionDataType); break; case '2': this.provider.CallUnsubscribe(instrument2, subscriptionDataType); break; default: throw new Exception("Unknown subscription request type " + (object)request.SubscriptionRequestType); } } }
public override void Send(FIXMarketDataRequest Request) { //Console.WriteLine("REQUEST"); QuickFix42.MarketDataRequest request = new QuickFix42.MarketDataRequest( new QuickFix.MDReqID(Request.MDReqID), new QuickFix.SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT), //GS FIX new QuickFix.MarketDepth(5)); //GS FIX //request.set(new QuickFix.MDUpdateType(Request.MDUpdateType)); //request.set(new QuickFix.AggregatedBook(Request.AggregatedBook)); QuickFix42.MarketDataRequest.NoMDEntryTypes typeGroup; typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); typeGroup.set(new MDEntryType(FIXMDEntryType.Bid)); request.addGroup(typeGroup); typeGroup.Dispose(); typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); typeGroup.set(new MDEntryType(FIXMDEntryType.Offer)); request.addGroup(typeGroup); typeGroup.Dispose(); typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); typeGroup.set(new MDEntryType(FIXMDEntryType.Trade)); request.addGroup(typeGroup); typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.Open)); //request.addGroup(typeGroup); //typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.Close)); //request.addGroup(typeGroup); //typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.High)); //request.addGroup(typeGroup); //typeGroup.Dispose(); //typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); //typeGroup.set(new MDEntryType(FIXMDEntryType.Low)); //request.addGroup(typeGroup); //typeGroup.Dispose(); QuickFix42.MarketDataRequest.NoRelatedSym symGroup = new QuickFix42.MarketDataRequest.NoRelatedSym(); FIXRelatedSymGroup Group = Request.GetRelatedSymGroup(0); symGroup.set(new QuickFix.Symbol(Group.Symbol.Substring(0, 6))); if (Group.Symbol.StartsWith("60") || Group.Symbol.StartsWith("51")) { //order.set(new QuickFix.SecurityExchange("XSHG"));// 上海 symGroup.set(new QuickFix.SecurityExchange("SS"));// 上海 } else if (Group.Symbol.StartsWith("00") || Group.Symbol.StartsWith("30") || Group.Symbol.StartsWith("15")) { //order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳 symGroup.set(new QuickFix.SecurityExchange("SZ"));// 深圳 } //if (Group.ContainsField(EFIXField.SecurityType)) symGroup.set(new QuickFix.SecurityType(Group.SecurityType)); //if (Group.ContainsField(EFIXField.MaturityMonthYear)) symGroup.set(new QuickFix.MaturityMonthYear(Group.MaturityMonthYear)); //if (Group.ContainsField(EFIXField.MaturityDay )) symGroup.set(new QuickFix.MaturityDay (Group.MaturityDay )); //if (Group.ContainsField(EFIXField.PutOrCall )) symGroup.set(new QuickFix.PutOrCall (Group.PutOrCall )); //if (Group.ContainsField(EFIXField.StrikePrice)) symGroup.set(new QuickFix.StrikePrice(Group.StrikePrice)); //if (Group.ContainsField(EFIXField.OptAttribute)) symGroup.set(new QuickFix.OptAttribute(Group.OptAttribute)); //if (Group.ContainsField(EFIXField.SecurityID)) symGroup.set(new QuickFix.SecurityID(Group.SecurityID)); //if (Group.ContainsField(EFIXField.SecurityExchange)) symGroup.set(new QuickFix.SecurityExchange(Group.SecurityExchange)); request.addGroup(symGroup); symGroup.Dispose(); if(base.priceSessionID == null) Session.sendToTarget(request, orderSessionID); else Session.sendToTarget(request, priceSessionID); }
public void SendMarketDataRequest(FIXMarketDataRequest request) { //if (!_bMdConnected) //{ // EmitError(-1, -1, "行情服务器没有连接"); // mdlog.Error("行情服务器没有连接"); // return; //} bool bSubscribe = false; bool bTrade = false; bool bQuote = false; bool bMarketDepth = false; if (request.NoMDEntryTypes > 0) { switch (request.GetMDEntryTypesGroup(0).MDEntryType) { case FIXMDEntryType.Bid: case FIXMDEntryType.Offer: if (request.MarketDepth != 1) { bMarketDepth = true; break; } bQuote = true; break; case FIXMDEntryType.Trade: bTrade = true; break; } } bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE); if (bSubscribe) { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string MarketStockCode = altExchange.ToLower() + altSymbol; DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record)) { record = new DataRecord(); record.Instrument = inst; record.Symbol = altSymbol; record.Exchange = altExchange; _dictAltSymbol2Instrument[MarketStockCode] = record; mdlog.Info("订阅合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange); } if (bTrade) { record.TradeRequested = true; } if (bQuote) { record.QuoteRequested = true; } if (bMarketDepth) { record.MarketDepthRequested = true; } if (bMarketDepth) { inst.OrderBook.Clear(); } } } else { for (int i = 0; i < request.NoRelatedSym; ++i) { FIXRelatedSymGroup group = request.GetRelatedSymGroup(i); Instrument inst = InstrumentManager.Instruments[group.Symbol]; //将用户合约转成交易所合约 string altSymbol = inst.GetSymbol(this.Name); string altExchange = inst.GetSecurityExchange(this.Name); string MarketStockCode = altExchange.ToLower() + altSymbol; DataRecord record; if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record)) { break; } if (bTrade) { record.TradeRequested = false; } if (bQuote) { record.QuoteRequested = false; } if (bMarketDepth) { record.MarketDepthRequested = false; } if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested) { _dictAltSymbol2Instrument.Remove(MarketStockCode); mdlog.Info("取消合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange); } } } }