//登陆
public void Login(Account account)
{
if (account == null)
{
return;
}
mAccount = account;
if (mTrader != null && mTrader.IsLogin)
{
return;
}
//初始化
mTrader = new CTPTrade();
//连接
mTrader.OnFrontConnected += (object sender, EventArgs e) => {
mTrader.ReqUserLogin(mAccount.Investor, mAccount.Password, mAccount.Broker);
LogUtils.EnginLog("ctptd:OnFrontConnected");
};
//登入
mTrader.OnRspUserLogin += (object sender, IntEventArgs e) => {
if (e.Value != 0)
{
Logout();
mTrader = null;
}
LogUtils.EnginLog("ctptd:OnRspUserLogin:"******"ctptd:OnRspUserLogout");
};
//订单回报
mTrader.OnRtnOrder += _OnRtnOrder;
//报单错误回报
mTrader.OnRtnErrOrder += _OnRtnErrOrder;
//交易回报
mTrader.OnRtnTrade += _OnRtnTrade;
//撤单回报
mTrader.OnRtnCancel += _OnRtnCancel;
//撤单错误
mTrader.OnRtnErrCancel += _OnRtnErrCancel;
mTrader.OnRtnExchangeStatus += _OnRtnExchangeStatus;
//开始连接
mTrader.ReqConnect(mAccount.Server);
}
public static bool TryConvert(Trade trade, ref CThostFtdcDepthMarketDataField DepthMarketData)
{
#if OQ
if (tradeField == null)
{
tradeField = typeof(Trade).GetField("trade", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPTrade t = tradeField.GetValue(trade) as CTPTrade;
#elif QD
CTPTrade t = trade as CTPTrade;
#endif
if (null != t)
{
DepthMarketData = t.DepthMarketData;
return(true);
}
return(false);
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
#if CTP
string symbol = pDepthMarketData.InstrumentID;
#elif CTPZQ
string symbol = GetYahooSymbol(pDepthMarketData.InstrumentID, pDepthMarketData.ExchangeID);
#endif
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(symbol, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", symbol);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(symbol, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[symbol] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
try
{
// 只有使用交易所行情时才需要处理跨天的问题
#if CTP
ChangeActionDay(pDepthMarketData.ActionDay);
#else
ChangeActionDay(pDepthMarketData.TradingDay);
#endif
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
catch (Exception)
{
_dateTime = Clock.Now;
}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice &&
DepthMarket.Volume == pDepthMarketData.Volume)
{
}
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
// 使用新的类,保存更多信息
CTPTrade trade = new CTPTrade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
// 记录深度数据
trade.DepthMarketData = pDepthMarketData;
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
CTPQuote quote = new CTPQuote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
quote.DepthMarketData = pDepthMarketData;
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
bool bAsk = true;
bool bBid = true;
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
}
#if CTPZQ
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
}
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
}
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
}
if (bAsk)
{
bAsk = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
}
if (bBid)
{
bBid = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
#endif
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
#if CTP
string symbol = pDepthMarketData.InstrumentID;
#elif CTPZQ
string symbol = GetYahooSymbol(pDepthMarketData.InstrumentID, pDepthMarketData.ExchangeID);
#endif
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(symbol, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", symbol);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(symbol, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[symbol] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
try
{
// 只有使用交易所行情时才需要处理跨天的问题
#if CTP
ChangeActionDay(pDepthMarketData.ActionDay);
#else
ChangeActionDay(pDepthMarketData.TradingDay);
#endif
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
catch (Exception)
{
_dateTime = Clock.Now;
}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
// 使用新的类,保存更多信息
CTPTrade trade = new CTPTrade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
// 记录深度数据
trade.DepthMarketData = pDepthMarketData;
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
CTPQuote quote = new CTPQuote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
quote.DepthMarketData = pDepthMarketData;
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
bool bAsk = true;
bool bBid = true;
if (bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
if (bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
#if CTPZQ
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
#endif
}
}
static void Main(string[] args)
{
//var msg = "CTP:登录成功。您的密码为弱密码，密码长度不可少于6位";
//Console.WriteLine(Encoding.Default.BodyName);
//var gb = CodePagesEncodingProvider.Instance.GetEncoding("GB2312");
//var bytes = Encoding.Default.GetBytes(msg);
//Console.WriteLine(msg.Length);
//Console.WriteLine(bytes.Length);
//Console.WriteLine(gb.GetBytes(msg).Length);
//return;
// Encoding.RegisterProvider(CodePagesEncodingProvider.Instance.GetEncoding("GB2312"));
//var codePage = System.Globalization.CultureInfo.CurrentCulture.TextInfo.ANSICodePage;
//Console.WriteLine(codePage);
//// CTP:登录成功。您的密码为弱密码，密码长度不可少于6位
//var codeGB2312 = CodePagesEncodingProvider.Instance.GetEncoding("GB2312");
//Console.WriteLine(codeGB2312.CodePage);
//var bodyName = Encoding.Default.BodyName;
//Console.WriteLine(bodyName);
Logger.Info("start2.");
QuoteSave qs = null;
var t = new CTPTrade("ctp_trade");
System.AppDomain.CurrentDomain.UnhandledException += (sender, e) =>
{
if (sender != null)
{
Logger.Error("UnhandledException sender= {0}", sender.ToString());
}
if (e.ExceptionObject != null)
{
var ex = e.ExceptionObject as Exception;
if (ex != null)
{
Logger.Error("UnhandledException ex ", ex.StackTrace);
}
else
{
Logger.Error("UnhandledException errorObj {0}", e.ExceptionObject.ToString());
}
}
Logger.Info("IsTerminating : {0}", e.IsTerminating);
};
// 登录交易账号，获得当前所有正在交易的期货代码
t.OnFrontConnected += (sender, e) =>
{
t.ReqUserLogin(investor, pwd, "9999");
t.OnRspUserLogin += (sender2, e2) =>
{
if (e2.Value == 0)
{
Logger.Info("Login success");
List <string> codes = new List <string>();
foreach (var instrument in t.DicInstrumentField.Values)
{
codes.Add(instrument.InstrumentID);
}
Logger.Info("code num: {0}", codes.Count);
qs = new QuoteSave(investor, pwd, codes.ToArray());
qs.Run();
}
else
{
Console.WriteLine("登录失败!ret=" + e2.Value);
}
};
};
t.ReqConnect("tcp://180.168.146.187:10000");
bool isWaitConsole = true;
if (args.Length == 1 && args[0] == "linux")
{
isWaitConsole = false;
Logger.Info("not wait console input.");
}
while (true)
{
if (isWaitConsole)
{
var key = Console.ReadKey();
if (key.Key == ConsoleKey.Escape ||
key.Key == ConsoleKey.Spacebar ||
key.Key == ConsoleKey.Enter)
{
break;
}
}
Logger.Info("wait");
Thread.Sleep(500);
}
qs?.Release();
t?.ReqUserLogout();
}
