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) { //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); } } } }