public List <FutureQuotation> GetAllFutureQuotation()
{
using (var conn = QuotationPublisher.Publisher.GetNeedDisposedConnection())
{
if (conn == null)
{
return(null);
}
string key = string.Format("{0}:{1}", futureQuotSource.ToFormatString(), QuotationDataType.Quotation.ToFormatString());
var rtnBytes = (conn as RedisClient).HVals(key);
if (rtnBytes == null)
{
return(null);
}
List <FutureQuotation> rtn = new List <FutureQuotation>();
foreach (var rtnByte in rtnBytes)
{
FutureQuotation quotInfo = JsonSerializer.BytesToObject <FutureQuotation>(rtnByte);
rtn.Add(quotInfo);
}
return(rtn);
}
}
public void UpdateFutureQuotation(FutureQuotation quotInfo)
{
byte[] quotInfoBytes = JsonSerializer.ObjectToBytes <FutureQuotation>(quotInfo);
string stkId = quotInfo.stkId;
string key = string.Format("{0}:{1}", futureQuotSource.ToFormatString(), QuotationDataType.Quotation.ToFormatString());
QuotationPublisher.Publisher.Update(key, stkId, quotInfoBytes);
}
public void UpdateFutureQuotation(FutureQuotation quotInfo)
{
byte[] quotInfoBytes = JsonSerializer.ObjectToBytes<FutureQuotation>(quotInfo);
string stkId = quotInfo.stkId;
string key = string.Format("{0}:{1}", futureQuotSource.ToFormatString(), QuotationDataType.Quotation.ToFormatString());
QuotationPublisher.Publisher.Update(key, stkId, quotInfoBytes);
}
public void Enqueue(FutureQuotation quotInfo, bool isRealtimeQuotation, string clientId = null)
{
EnqueueData(quotInfo, isRealtimeQuotation, clientId);
}
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 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)
//{
//}
}
}
}
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 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 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 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.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);
}
}
}
