Exemplo n.º 1
0
        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;
            }
        }
Exemplo n.º 2
0
        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);
        }
Exemplo n.º 3
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);
        }
Exemplo n.º 4
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);
        }