private void pushDataQuotes(RealtimeDataCenter.RealtimeData rd)
{
lock (lockData)
{
this.ltDataQuotes.Add(rd);
}
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
//Console.Write(1);
CInstruction[] inss = getInstructionFromWaitingByCode(rd.code);
if (inss != null)
{
foreach (var instruction in inss)
{
//:open or close instruction preprocess
string szTime = DateTime.Now.ToString("HHmmss");
if (string.Compare(szTime, CInstruction.szExecOpenTimeBegin) < 0 &&
instruction.priceType == (short)EPriceType.OPEN)
{
if (!this.dcCodeLastRdForOpen.ContainsKey(rd.code))
{
this.dcCodeLastRdForOpen.Add(rd.code, rd);
}
else
{
this.dcCodeLastRdForOpen[rd.code] = rd;
}
setTimer(10);
continue;
}
if (string.Compare(szTime, CInstruction.szExecCloseTimeBegin) < 0 &&
instruction.priceType == (short)EPriceType.CLOSE)
{
if (!this.dcCodeLastRdForClose.ContainsKey(rd.code))
{
this.dcCodeLastRdForClose.Add(rd.code, rd);
}
else
{
this.dcCodeLastRdForClose[rd.code] = rd;
}
setTimer(10);
continue;
}
///:~
/*
* if (rd.C == 0) //call auction in open
* {
* }
*/
if (instruction.bingo(rd))
{
decimal range = 0.01m;
EEntryOrExit ee = (EEntryOrExit)instruction.entryOrExit;
if (ee == EEntryOrExit.entry)
{
range = 0.01m;
} //谨慎entry
else if (ee == EEntryOrExit.exit)
{
range = 0.03m;
} //确保exit
//:send
ECategory category = (ECategory)instruction.category;
switch (category)
{
case ECategory.BUY:
case ECategory.RZ_BUY:
case ECategory.RQ_RETURN:
if (instruction.price == null)
{
instruction.price = rd.sell5c[0];
}
if (instruction.price == 0) //limit-up, sell none
{
instruction.price = rd.buy5c[0];
}
instruction.price *= (1m + range);
decimal limitUp = Limit.getInstance().getLimitUp(rd.code, rd.lastC);
if (instruction.price > limitUp)
{
instruction.price = limitUp;
}
if (instruction.priceDesc != null && instruction.priceDesc != 0)
{
if (instruction.price > instruction.priceDesc)
{
instruction.price = instruction.priceDesc;
}
}
break;
case ECategory.SELL:
case ECategory.RQ_SELL:
case ECategory.RZ_RETURN:
if (instruction.price == null)
{
instruction.price = rd.buy5c[0];
}
if (instruction.price == 0) //limit-down, buy none
{
instruction.price = rd.sell5c[0];
}
instruction.price *= (1m - range);
decimal limitDown = Limit.getInstance().getLimitDown(rd.code, rd.lastC);
if (instruction.price < limitDown)
{
instruction.price = limitDown;
}
if (instruction.priceAsc != null && instruction.priceAsc != 0)
{
if (instruction.price < instruction.priceAsc)
{
instruction.price = instruction.priceAsc;
}
}
break;
case ECategory.RQ_Q2Q:
break;
default:
break;
}
instruction.state = (short)EInstructionState.SENT;
instruction.sendTime = DateTime.Now;
instruction.price = Math.Floor((decimal)instruction.price * 100m) / 100m;
//exec
//...SendOrder
//update DB
long maybeOldId = instruction.id;
if (instruction.id > 0)
{
var vs = (from n in db.tsInstructions
where n.id == instruction.id
select n).Single();
instruction.modifyDBObj(ref vs);
db.SubmitChanges();
}
else
{
if (instruction.sso != null)
{
string sqlSSO = instruction.sso.getInsertSql();
string sqlInstruction = instruction.getInsertSql();
long? idSSO = instruction.sso.id;
long? idInstruction = instruction.id;
try
{
db.spAddSSOAndInstruction(sqlSSO, sqlInstruction, ref idSSO, ref idInstruction);
instruction.id = (long)idInstruction;
instruction.sso.id = (long)idSSO;
}
catch (Exception e)
{
Console.WriteLine(e);
Console.WriteLine(sqlSSO);
Console.WriteLine(sqlInstruction);
WriteLog.getInstance().pushData("error2DB: " + sqlSSO + "; " + sqlInstruction);
}
}
}
Console.Write(2);
string ifs = "";
if (instruction.sso != null)
{
ifs = instruction.sso.idForStrategies.ToString();
}
Console.WriteLine("(" + rd.code + "," + ifs + "," + instruction.desc + "," + instruction.sendTime + "," + instruction.price + ")");
//write log
WriteLog.getInstance().pushData(instruction.getLog());
addInstruction2Sent(rd.code, instruction);
removeInstructionFromWating(rd.code, maybeOldId);
///:~
}
}
}
inss = getInstructionFromSentByCode(rd.code);
if (inss != null)
{
foreach (var instruction in inss)
{
//...QueryDatas(Category=2)
bool bSuccesful = false;
ECategory category = (ECategory)instruction.category;
if (category == ECategory.BUY)
{
if (instruction.price > rd.C ||
(instruction.price == rd.C && DateTime.Now.Subtract((DateTime)instruction.sendTime).TotalSeconds > 5))
{
bSuccesful = true;
}
}
else if (category == ECategory.SELL)
{
if (instruction.price < rd.C ||
(instruction.price == rd.C && DateTime.Now.Subtract((DateTime)instruction.sendTime).TotalSeconds > 5))
{
bSuccesful = true;
}
}
if (bSuccesful)
{
instruction.price = rd.C; //...QueryDatas(Category=2)' price
instruction.state = (short)EInstructionState.SUCCESSFUL;
instruction.resultTime = DateTime.Now;
//exec
//update DB
if (instruction.id > 0)
{
var vs = (from n in db.tsInstructions
where n.id == instruction.id
select n).Single();
instruction.modifyDBObj(ref vs);
db.SubmitChanges();
}
Console.Write(3);
Console.WriteLine("(" + rd.code + "," + instruction.resultTime + "," + instruction.price + ")");
//write log
WriteLog.getInstance().pushData(instruction.getLog());
removeInstructionFromSent(rd.code, instruction.id);
}
}
}
}
public bool bingo(RealtimeDataCenter.RealtimeData rd)
{
if (rd.C == 0) //call auction in open
{
switch ((ECategory)(category))
{
case ECategory.BUY:
case ECategory.RZ_BUY:
case ECategory.RQ_RETURN:
rd.C = rd.sell5c[0];
break;
case ECategory.SELL:
case ECategory.RQ_SELL:
case ECategory.RZ_RETURN:
rd.C = rd.buy5c[0];
break;
case ECategory.RQ_Q2Q:
return(false);
default:
return(false);
}
}
bool bAsc = true, bDesc = true, bType = true;
if (null != priceAsc && rd.C < priceAsc)
{
bAsc = false;
}
if (null != priceDesc && rd.C > priceDesc)
{
bDesc = false;
}
switch ((EPriceType)priceType)
{
case EPriceType.REALTIME:
bType = string.Compare(rd.dt.ToString("HHmmss"), szExecOpenTimeBegin) >= 0;
break;
case EPriceType.OPEN:
bType = isOpenTime(rd.dt);
if (!bType &&
entryOrExit == (short)(EEntryOrExit.exit) &&
string.Compare(rd.dt.ToString("HHmmss"), szExecOpenTimeBegin) >= 0) //未能在OPEN时段exit的确保在OPEN之后也能退出
{
bType = true;
}
break;
case EPriceType.CLOSE:
bType = isCloseTime(rd.dt);
break;
case EPriceType.REALTIME_OPEN:
bType = !isCloseTime(rd.dt);
break;
case EPriceType.REALTIME_CLOSE:
bType = !isOpenTime(rd.dt);
break;
default:
bType = false;
break;
}
if (bAsc && bDesc && bType)
{
return(true);
}
return(false);
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
if (this.dcWindow.ContainsKey(rd.code))
{
Tuple <decimal, decimal> wind = this.dcWindow[rd.code];
if (rd.L <= wind.Item2) //当日将不再会形成跳空式的关闭窗口（即RI）
{
removeObj(rd.code);
}
else
{
if (rd.C >= wind.Item1)
{
bool bCreate = false;
Reactor.EPriceType pt = Reactor.EPriceType.REALTIME;
if ((rd.C / rd.lastC - 1) * 100 > 9.0m) //推测其将limit-up，先买入（此点需继续验证）
{
bCreate = true;
pt = Reactor.EPriceType.REALTIME;
}
else if (string.Compare(rd.dt.ToString("HHmmss"), "145940") > 0)
{
bCreate = true;
pt = Reactor.EPriceType.CLOSE;
}
if (bCreate)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = wind.Item2 + 0.01m;
instruction.priceDesc = Limit.getInstance().getLimitUp(rd.code, rd.lastC) - 0.01m; //-0.01m, don't buy when limit-up
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)pt;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = rd.code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.RI,
code = rd.code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
removeObj(rd.code);
Reactor.getInstance().addInstruction2Wating(rd.code, instruction);
}
}
}
}
}
}
private void GetQuotesFromTradeXB()
{
StringBuilder sErrInfo = new StringBuilder(256);
StringBuilder sResult = new StringBuilder(1024 * 1024);
int idConn = -1;
while (true)
{
if (idConn < 0)
{
idConn = ThreadGetDataFromTradeX.connectTDX();
}
if (idConn < 0)
{
Console.WriteLine("没有可用的TDX行情服务器！ 请检查网络...... 重连......" + DateTime.Now);
System.Threading.Thread.Sleep(1000);
continue;
}
List <string> ltCode = new List <string>();
List <byte> ltMarket = new List <byte>();
List <short> ltGetCounts = new List <short>();
bool bRet = true;
string code = "";
short getCounts = 0;
while (getCode(ref code, ref getCounts))
{
ltCode.Add(code);
ltMarket.Add(ThreadGetDataFromTradeX.getMarketType(code));
ltGetCounts.Add(getCounts);
if (ltCode.Count >= ThreadGetDataFromTradeX.MAX_COUNT_PER_TIMES)
{
break;
}
}
short count = (short)ltCode.Count;
if (count > 0)
{
sResult.Clear();
sErrInfo.Clear();
string[] arryCode = new string[count];
byte[] arryMarket = new byte[count];
ltCode.CopyTo(arryCode);
ltMarket.CopyTo(arryMarket);
short c = count;
bRet = TradeXB.TdxHq_GetSecurityQuotes(idConn, arryMarket, arryCode, ref c, sResult, sErrInfo);
if (bRet)
{
Console.Write(0);
string[] rows = sResult.ToString().Split(new char[] { '\n' });
foreach (var row in rows)
{
RealtimeDataCenter.RealtimeData rd = ThreadGetDataFromTradeX.analyseRD(row);
if (null != rd)
{
pushDataQuotes(rd);
}
}
}
else
{
Console.Write(0);
for (int i = 0; i < ltCode.Count; i++)
{
if (ltGetCounts[i] < 3)
{
pushCode(ltCode[i], ++ltGetCounts[i]);
}
}
string szErrorInfo = sErrInfo.ToString();
Console.WriteLine(szErrorInfo);
if (szErrorInfo.Contains("连接断开"))
{
System.Threading.Thread.Sleep(100);
idConn = -1;
break;
}
else
{
bRet = true;
}
}
}
if (bRet && count <= 0)
{
if (idConn >= 0)
{
TradeXB.TdxHq_Disconnect(idConn);
}
break;
}
}
subtractReferenced();
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
if (this.dcTendency.ContainsKey(rd.code))
{
decimal[] dcps = this.dcTendency[rd.code].ToArray();
foreach (var dcp in dcps)
{
if (rd.C >= dcp)
{
bool bCreate = false;
Reactor.EPriceType pt = Reactor.EPriceType.REALTIME;
if ((rd.C / rd.lastC - 1) * 100 < 3.0m)
{
bCreate = true;
pt = Reactor.EPriceType.REALTIME;
}
if (bCreate)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = dcp + 0.01m;
instruction.priceDesc = Limit.getInstance().getLimitUp(rd.code, rd.lastC) - 0.01m; //-0.01m, don't buy when limit-up
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)pt;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = rd.code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.RT,
code = rd.code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
//直接removeObj，以及下面的break (foreach)，而不使用下面的注释部分，原因在于：Reactor.EIFS.RT中，同一对象有多个tendency line时，当日只进入一次
removeObj(rd.code);
/*
* this.dcTendency[rd.code].Remove(dcp);
* if (this.dcTendency[rd.code].Count == 0)
* { removeObj(rd.code); }
*/
Reactor.getInstance().addInstruction2Wating(rd.code, instruction);
break;
}
}
}
}
}
}
protected virtual void recv(RealtimeDataCenter.RealtimeData rd)
{
}
public static RealtimeDataCenter.RealtimeData analyseRD(string row)
{
string[] cols = row.Split(new char[] { '\t' });
if (cols.Count() > 10 &&
(cols[0] == "0" || cols[0] == "1"))
{
RealtimeDataCenter.RealtimeData rd = new RealtimeDataCenter.RealtimeData()
{
/*
* 0 市场
* 1 代码
* 2 活跃度
* 3 现价
* 4 昨收
* 5 开盘
* 6 最高
* 7 最低
* 8 保留 (Time, format as 'HHMMSSAA', 'AA' is 10 ms)
* 9 保留
* 10 总量
* 11 现量
* 12 总金额
* 13 内盘
* 14 外盘
* 15 保留
* 16 保留
* 17 买一价
* 18 卖一价
* 19 买一量
* 20 卖一量
* 21 买二价
* 22 卖二价
* 23 买二量
* 24 卖二量
* 25 买三价
* 26 卖三价
* 27 买三量
* 28 卖三量
* 29 买四价
* 30 卖四价
* 31 买四量
* 32 卖四量
* 33 买五价
* 34 卖五价
* 35 买五量
* 36 卖五量
* 37 保留
* 38 保留
* 39 保留
* 40 保留
* 41 保留
* 42 涨速
* 43 活跃度
*/
code = cols[1],
C = Math.Round(Convert.ToDecimal(cols[3]), 2, MidpointRounding.AwayFromZero),
lastC = Math.Round(Convert.ToDecimal(cols[4]), 2, MidpointRounding.AwayFromZero),
O = Convert.ToDecimal(cols[5]),
H = Convert.ToDecimal(cols[6]),
L = Convert.ToDecimal(cols[7]),
V = Convert.ToDecimal(cols[10]),
vm = Convert.ToDecimal(cols[12]),
// fd = null,
};
rd.buy5c[0] = Convert.ToDecimal(cols[17]);
rd.buy5c[1] = Convert.ToDecimal(cols[21]);
rd.buy5c[2] = Convert.ToDecimal(cols[25]);
rd.buy5c[3] = Convert.ToDecimal(cols[29]);
rd.buy5c[4] = Convert.ToDecimal(cols[33]);
rd.sell5c[0] = Convert.ToDecimal(cols[18]);
rd.sell5c[1] = Convert.ToDecimal(cols[22]);
rd.sell5c[2] = Convert.ToDecimal(cols[26]);
rd.sell5c[3] = Convert.ToDecimal(cols[30]);
rd.sell5c[4] = Convert.ToDecimal(cols[34]);
rd.buy5v[0] = Convert.ToDecimal(cols[19]);
rd.buy5v[1] = Convert.ToDecimal(cols[23]);
rd.buy5v[2] = Convert.ToDecimal(cols[27]);
rd.buy5v[3] = Convert.ToDecimal(cols[31]);
rd.buy5v[4] = Convert.ToDecimal(cols[35]);
rd.sell5v[0] = Convert.ToDecimal(cols[20]);
rd.sell5v[1] = Convert.ToDecimal(cols[24]);
rd.sell5v[2] = Convert.ToDecimal(cols[28]);
rd.sell5v[3] = Convert.ToDecimal(cols[32]);
rd.sell5v[4] = Convert.ToDecimal(cols[36]);
rd.dt = DateTime.Now;
return(rd);
}
return(null);
}
public void GetData()
{
List <RealtimeDataCenter.RealtimeData> ltRd = new List <RealtimeDataCenter.RealtimeData>();
StringBuilder sErrInfo = new StringBuilder(256);
StringBuilder sResult = new StringBuilder(1024 * 1024);
while (true)
{
if (!isTradingTime(DateTime.Now))
{
System.Threading.Thread.Sleep(1000);
continue;
}
int idConn = ThreadGetDataFromTradeX.connectTDX();
if (idConn < 0)
{
Console.WriteLine("没有可用的TDX行情服务器！ 请检查网络...... 重连......" + DateTime.Now);
System.Threading.Thread.Sleep(1000);
continue;
}
bool bRet = true;
while (bRet)
{
if (!isTradingTime(DateTime.Now))
{
bRet = false;
TradeXB.TdxHq_Disconnect(idConn);
Console.WriteLine("is not trading time");
break;
}
if (this.bChanged)
{
generateCodeMarketGrp();
}
foreach (var item in ltCodeMarket)
{
sResult.Clear();
sErrInfo.Clear();
short count = item.Item3[0];
bRet = TradeXB.TdxHq_GetSecurityQuotes(idConn, item.Item2, item.Item1, ref count, sResult, sErrInfo);
if (bRet)
{
string[] rows = sResult.ToString().Split(new char[] { '\n' });
foreach (var row in rows)
{
RealtimeDataCenter.RealtimeData rd = analyseRD(row);
if (null != rd)
{
ltRd.Add(rd);
}
}
if (ltRd.Count > 0)
{
this.rdc.recv(ltRd);
ltRd.Clear();
}
}
else
{
string szErrorInfo = sErrInfo.ToString();
Console.WriteLine(szErrorInfo);
if (szErrorInfo.Contains("连接断开"))
{
TradeXB.TdxHq_Disconnect(idConn);
break;
}
}
}
if (bRet)
{
System.Threading.Thread.Sleep(800);
}
}
TradeXB.TdxHq_Disconnect(idConn);
System.Threading.Thread.Sleep(1000);
}
}
public void GetData()
{
GetFinancialDataFromHttp();
string serviceAddr = "http://hq.sinajs.cn/list=" + this.codes;
List <RealtimeDataCenter.RealtimeData> ltRd = new List <RealtimeDataCenter.RealtimeData>();
while (true)
{
try
{
WebClient client = new WebClientTimeout();
Stream strm = client.OpenRead(serviceAddr);
StreamReader sr = new StreamReader(strm);
string line = null;
while (null != (line = sr.ReadLine()))
{
string[] objs = line.Split(new char[] { '\r' }, StringSplitOptions.RemoveEmptyEntries);
foreach (var item in objs)
{
string[] obj = item.Split(new char[] { '=', ',' });
if (obj.Length == 34)
{
string codeTdx = getSubtractPrefixCode(obj[0]);
RealtimeDataCenter.RealtimeData rd = new RealtimeDataCenter.RealtimeData()
{
code = codeTdx,
dt = Convert.ToDateTime(obj[31] + " " + obj[32]),
lastC = Convert.ToDecimal(obj[3]),
H = Convert.ToDecimal(obj[5]),
L = Convert.ToDecimal(obj[6]),
O = Convert.ToDecimal(obj[2]),
C = Convert.ToDecimal(obj[4]),
V = Convert.ToDecimal(obj[9]),
vm = Convert.ToDecimal(obj[10]),
fd = null,
};
if (rd.C == 0 &&
Convert.ToDecimal(obj[12]) != 0)
{
rd.C = rd.H = rd.L = rd.O = Convert.ToDecimal(obj[12]);
}
if (this.dcCodeFD.ContainsKey(codeTdx))
{
rd.fd = this.dcCodeFD[codeTdx];
}
else
{
this.codes_i += (getPlusPrefixCode(codeTdx) + "_i,");
}
if (rd.code.StartsWith("39900")) //399001, 399006
{
rd.V = Convert.ToInt64(rd.V / 100);
}
ltRd.Add(rd);
}
}
}
sr.Close();
strm.Close();
client.Dispose();
if (ltRd.Count > 0)
{
this.rdc.recv(ltRd);
ltRd.Clear();
}
}
catch (Exception e)
{
if (e.GetType() != typeof(System.Threading.ThreadAbortException))
//&& e.GetType() != typeof(System.IO.IOException))
{
//ctrl.ShowInfo(no.ToString() + ":" + e.ToString());
}
}
if ("" != this.codes_i)
{
GetFinancialDataFromHttp();
}
System.Threading.Thread.Sleep(CYCLE);
}
}