private Dictionary <string, List <USeInstrument> > QueryAllInstrument()
{
string text = string.Empty;
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
CtpOrderDriverSection section = ReadConfig();
ctpApp.Connect(section.CtpOrderDriver.Address, section.CtpOrderDriver.Port,
section.CtpOrderDriver.LoginTimeOut, section.CtpOrderDriver.QueryTimeOut);
ctpApp.Login(section.CtpAccount.ID, section.CtpAccount.Password, section.CtpAccount.BrokerID);
List <InstrumentField> fileldList = ctpApp.QueryInstument();
Dictionary <string, List <USeInstrument> > dic = new Dictionary <string, List <USeInstrument> >();
foreach (InstrumentField field in fileldList)
{
if (field.ProductClass != ProductClass.Futures)
{
continue;
}
List <USeInstrument> instrumentList = null;
if (dic.TryGetValue(field.ProductID, out instrumentList) == false)
{
instrumentList = new List <USeInstrument>();
dic.Add(field.ProductID, instrumentList);
}
USeInstrument instrument = new USeInstrument(field.InstrumentID, field.InstrumentID, USeMarket.SHFE);
instrumentList.Add(instrument);
}
ctpApp.Disconnect();
return(dic);
}
catch (Exception ex)
{
ctpApp.Disconnect();
throw ex;
}
}
private TimeSpan m_nextDayRange = new TimeSpan(18, 0, 0); // 下一交易日的时间分界点
#endregion // member
#region methods
/// <summary>
/// 启动结算价下载。
/// </summary>
public int Start()
{
//确定更新结算价成功之后，需要再次计算资金沉淀，盘中的时候用的是最新价计算，有结算价之后，就改为结算价重新刷新一遍计算
//计算公式：资金沉淀=品种持仓量*结算价*合约规模*交易所多头保证金比例
//计算资金总沉淀(盘中就用最新价计算资金沉淀，待下午结算价出来之后，按照结算价再更新一次)
//int perSharesContract = GetInstrumentPerSharesContract(marketData.Instrument.InstrumentCode);//合约规模
//decimal exchangeLongMarginRatio = GetExchangeLongMarginRatio(marketData.Instrument.InstrumentCode);//保证金
//m_kLine.SendimentaryMoney = marketData.OpenInterest * marketData.LastPrice * perSharesContract * exchangeLongMarginRatio;//资金沉淀
//取出UseinstrumentDetail品种合约信息取出合约规模和保证金额比例，再次执行SQL语句
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "开始下载结算价服务";
m_eventLogger.WriteInformation(text);
WriteConsoleLog(text);
if (ReadConfig() == false)
{
return(-1);
}
//下载所有合约详情，失败直接退出因为后面需要基础数据
try
{
USeTradingInstrumentManager tradingInsManager = CreateInstrumentManager();
m_insDetailList = tradingInsManager.GetAllInstrumentDetails();
Debug.Assert(m_insDetailList != null);
}
catch (Exception ex)
{
text = "下载数据库所有合约详情InstrumentDetail失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
instrumentDic.Add(entity.Instrument.InstrumentCode, entity);
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", instrumentDic.Count);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
DateTime tradingDate = GetTradingDay();
if (m_refrashDate == QueryDay.Today)
{
int queryNum = m_queryNum;
while (queryNum > 0)
{
try
{
List <DepthMarketDataField> tempDepthMarketDataFieldList = ctpApp.QueryDepthMarketData();
Debug.Assert(tempDepthMarketDataFieldList != null);
foreach (DepthMarketDataField marketData in tempDepthMarketDataFieldList)
{
if (marketData.SettlementPrice <= 0d || marketData.SettlementPrice == double.MaxValue)
{
continue;
}
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
//[hanyu]未防返回的MarketData没有ExchangeID,改用查询回来的合约交易所信息
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
SaveInstumentsSettlementPriceToDB(marketData, marketData.InstrumentID, market, tradingDate, marketData.SettlementPrice);
//保存完一笔的同时刷新一次资金沉淀[暂时不在这里处理，改用直接在特定时间执行SQL语句，因为涉及到8888指数和9999主力合约也需要刷新资金沉淀的问题]
//RefreashSendimentaryMoney(marketData, marketData.InstrumentID, market, tradingDate,marketData.SettlementPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
if (instrumentDic.Count <= 0)
{
//所有合约存储完毕，退出
break;
}
queryNum--;
if (queryNum > 0)
{
Thread.Sleep(m_queryFrequence);
}
}
catch (Exception ex)
{
text = string.Format("查询,保存当日结算价异常:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
return(-1);
}
}
}
else
{
try
{
List <DepthMarketDataField> tempDepthMarketDataFieldList = ctpApp.QueryDepthMarketData();
Debug.Assert(tempDepthMarketDataFieldList != null);
foreach (DepthMarketDataField marketData in tempDepthMarketDataFieldList)
{
if (marketData.PreSettlementPrice <= 0d || marketData.PreSettlementPrice == double.MaxValue)
{
continue;
}
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
//[hanyu]未防返回的MarketData没有ExchangeID,改用查询回来的合约交易所信息
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
//保存结算价
SaveInstumentsSettlementPriceToDB(marketData, marketData.InstrumentID, market, tradingDate, marketData.PreSettlementPrice);
//RefreashSendimentaryMoney(marketData, marketData.InstrumentID, market, tradingDate,marketData.PreSettlementPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
}
catch (Exception ex)
{
text = string.Format("保存昨日结算价异常:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
return(-1);
}
}
if (ctpApp != null)
{
ctpApp.Disconnect();
}
if (instrumentDic.Count > 0)
{
//未查询到的合约写入文件
foreach (USeInstrumentDetail field in instrumentDic.Values)
{
text = string.Format("[{0}]结算价查询失败", field.Instrument.InstrumentCode);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
else
{
try
{
#if DEBUG
bool iDownLoadResult = VerifyDBSettlementPrice(tradingDate);
Debug.Assert(iDownLoadResult == true);
#endif
RefreshDBSettlementDownLoad(tradingDate, true);
}
catch (Exception ex)
{
text = string.Format("更新结算状态失败,错误:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
return(0);
}
/// <summary>
/// 启动结算价下载。
/// </summary>
public int Start()
{
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "启动下载合约服务";
m_eventLogger.WriteInformation(text);
WriteConsoleLog(text);
if (ReadConfig() == false)
{
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
List <USeInstrumentDetail> entityList = new List <USeInstrumentDetail>();
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
try
{
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
entityList.Add(entity);
}
catch (Exception eee)
{
Debug.Assert(false, eee.Message);
}
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", entityList.Count);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
SaveInstumentsToDB(entityList);
text = string.Format("保存期货合约信息完成，共计{0}个合约", entityList.Count);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "保存期货合约信息失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
return(0);
}
/// <summary>
/// 启动午盘休盘价下载。
/// </summary>
public int Start()
{
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "开始下载午盘收盘价服务";
m_eventLogger.WriteInformation(text);
USeConsole.WriteLine(text);
if (ReadConfig() == false)
{
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
instrumentDic.Add(entity.Instrument.InstrumentCode, entity);
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", instrumentDic.Count);
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
List <DepthMarketDataField> depthMarketDataFieldList = new List <DepthMarketDataField>();
depthMarketDataFieldList = ctpApp.QueryDepthMarketData();
//while (true)
//{
// depthMarketDataFieldList = ctpApp.QueryDepthMarketData();
// //返回大于下午开盘的行情时间
// if (VerfiyIsNoonBeginTime(depthMarketDataFieldList) == true)
// {
// text = string.Format("[{0}]行情已经进入下午开盘时间不在午盘时间内", DateTime.Now);
// USeConsole.WriteLine(text);
// m_eventLogger.WriteError(text);
// ctpApp.Disconnect();
// return -1;
// }
// //未找到大于11:30:00。
// if (VerfiyIsNoonEndTime(depthMarketDataFieldList) == false)
// {
// Thread.Sleep(m_queryFrequence);
// continue;
// }
// else
// {
// break;
// }
//}
ctpApp.Disconnect();
try
{
foreach (DepthMarketDataField marketData in depthMarketDataFieldList)
{
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
//保存收盘价
SaveClosePriceToDB(marketData, marketData.InstrumentID, market, DateTime.Today, marketData.LastPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
RefrashPriceCloseDownLoad(DateTime.Today, 1);
}
catch (Exception ex)
{
text = string.Format("查询,保存当日午盘数据异常:{0}", ex.Message);
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
return(-1);
}
return(0);
}