public SourceQuotation(PrimitiveQuotation primitiveQuotation, double ask, double bid, string instrumentCode, bool inverted)
{
this._PrimitiveQuotation = primitiveQuotation;
this._Quotation = new GeneralQuotation();
this._Quotation.InstrumentId = primitiveQuotation.InstrumentId;
this._Quotation.SourceId = primitiveQuotation.SourceId;
this._Quotation.OriginCode = instrumentCode;
this._Quotation.Timestamp = primitiveQuotation.Timestamp;
this._Quotation.Ask = ask;
this._Quotation.Bid = bid;
double price;
if (PrimitiveQuotation.TryGetPriceValue(primitiveQuotation.Last, out price)) this._Quotation.Last = price;
if (PrimitiveQuotation.TryGetPriceValue(primitiveQuotation.High, out price)) this._Quotation.High = price;
if (PrimitiveQuotation.TryGetPriceValue(primitiveQuotation.Low, out price)) this._Quotation.Low = price;
if (inverted)
{
this._Quotation.Ask = 1 / this._Quotation.Ask;
this._Quotation.Bid = 1 / this._Quotation.Bid;
if (this._Quotation.Last.HasValue) this._Quotation.Last = 1 / this._Quotation.Last;
if (this._Quotation.High.HasValue) this._Quotation.High = 1 / this._Quotation.High;
if (this._Quotation.Low.HasValue) this._Quotation.Low = 1 / this._Quotation.Low;
}
}
public void ProcessQuotation(PrimitiveQuotation primitiveQuotation)
{
Manager.ClientManager.Dispatch(new PrimitiveQuotationMessage() { Quotation = primitiveQuotation });
if (this._ConfigMetadata.IsFromActiveSource(primitiveQuotation))
{
Quotation quotation = Quotation.Create(primitiveQuotation, this._ConfigMetadata);
this._ConfigMetadata.Adjust(quotation);
if (this._AbnormalQuotationProcessor.IsWaitForPreOutOfRangeConfirmed(primitiveQuotation))
{
this._AbnormalQuotationProcessor.AddAndWait(primitiveQuotation);
}
else
{
if (this._AbnormalQuotationProcessor.IsNormalPrice(primitiveQuotation))
{
this.EnablePrice(primitiveQuotation.InstrumentCode);
List<PrimitiveQuotation> quotations = this._DerivativeController.Derive(primitiveQuotation);
Manager.ExchangeManager.ProcessQuotation(quotations);
}
else
{
this._AbnormalQuotationProcessor.StartProcessAbnormalQuotation(primitiveQuotation);
}
}
}
}
public static Quotation Create(PrimitiveQuotation primitiveQuotation, ConfigMetadata metadata)
{
Quotation quotation = new Quotation(primitiveQuotation);
quotation.SourceId = metadata.GetSourceId(primitiveQuotation.SourceName);
quotation.InstrumentId = metadata.GetInstrumentId(primitiveQuotation.InstrumentCode);
return quotation;
}
private bool ProcessQuotation(string packet)
{
try
{
string[] priceData = packet.Split('\t');
PrimitiveQuotation quotation = new PrimitiveQuotation
{
SourceName = priceData[0],
Symbol = priceData[1],
Ask = priceData[4],
Bid = priceData[3],
Last = priceData[5],
High = priceData[6],
Low = priceData[7],
Timestamp = DateTime.Parse(priceData[2]) // TODO: check Parse format: DateTime.Parse 只精确到秒级，对应于Feeder发送时精度也是到秒
};
this._QuotationManager.ProcessQuotation(quotation);
}
catch (Exception ex)
{
Logger.TraceEvent(TraceEventType.Error, "QuotationClient.ProcessQuotation packet:\r\n{0}\r\n{1})", packet, ex.ToString());
}
return true; // Note: return false will suspend the RelayEngine, always return true will keep RelayEngine running.
}
private bool ProcessQuotation(string packet)
{
string[] priceData = packet.Split('\t');
string sourceName = priceData[0];
string instrumentCode = priceData[1];
DateTime timestamp = DateTime.Parse(priceData[2]);
string bid = priceData[3];
string ask = priceData[4];
string last = priceData[5];
string high = priceData[6];
string low = priceData[7];
PrimitiveQuotation quotation;
if (this._LastPriceData[sourceName].TryGetValue(instrumentCode, out quotation))
{
if (quotation.Ask != ask || quotation.Bid != bid || quotation.Last != last || quotation.High != high || quotation.Low != low || quotation.Timestamp != timestamp)
{
quotation.Ask = ask;
quotation.Bid = bid;
quotation.Last = last;
quotation.High = high;
quotation.Low = low;
quotation.Timestamp = timestamp;
}
else
{
return true;
}
}
else
{
quotation = new PrimitiveQuotation { SourceName = sourceName, InstrumentCode = instrumentCode, Ask = ask, Bid = bid, Last = last, High = high, Low = low, Timestamp = timestamp };
this._LastPriceData[sourceName].Add(instrumentCode, quotation);
}
this._QuotationManager.ProcessQuotation(quotation);
return true;
}
public List<PrimitiveQuotation> Derive(PrimitiveQuotation quotation)
{
throw new NotImplementedException();
}
private Quotation(PrimitiveQuotation primitiveQuotation)
{
this._PrimitiveQuotation = primitiveQuotation;
}
public void ProcessQuotation(PrimitiveQuotation primitiveQuotation)
{
bool inverted;
if (this._ConfigMetadata.EnsureIsKnownQuotation(primitiveQuotation, out inverted))
{
double ask, bid;
if (this._LastQuotationManager.LastReceived.Fix(primitiveQuotation, out ask, out bid))
{
if (this._LastQuotationManager.LastReceived.IsNotSame(primitiveQuotation))
{
MainService.ClientManager.Dispatch(new PrimitiveQuotationMessage() { Quotation = primitiveQuotation });
string instrumentCode = this._ConfigMetadata.Instruments[primitiveQuotation.InstrumentId].Code;
SourceQuotation quotation = new SourceQuotation(primitiveQuotation, ask, bid, instrumentCode, inverted);
if (this._SourceController.QuotationArrived(quotation))
{
// quotation come from Active Source and adjusted
if (this._AbnormalQuotationManager.SetQuotation(quotation))
{
// quotation is normal
this.ProcessNormalQuotation(quotation);
}
}
this._LastQuotationManager.LastReceived.Set(quotation);
}
}
}
else
{
Logger.AddEvent(TraceEventType.Warning, "Discarded price:[ask={0}, bid={1}] got for {2} from {3}",
primitiveQuotation.Ask, primitiveQuotation.Bid, primitiveQuotation.Symbol, primitiveQuotation.SourceName);
}
}
internal void SendQuotation(int instrumentSourceRelationId, double ask, double bid, out PrimitiveQuotation primitiveQuotation)
{
InstrumentSourceRelation relation = null;
foreach (Dictionary<string, InstrumentSourceRelation> relations in this._ConfigMetadata.InstrumentSourceRelations.Values)
{
relation = relations.Values.SingleOrDefault(r => r.Id == instrumentSourceRelationId);
if (relation != null) break;
}
primitiveQuotation = new PrimitiveQuotation();
primitiveQuotation.SourceId = relation.SourceId;
primitiveQuotation.InstrumentId = relation.InstrumentId;
primitiveQuotation.SourceName = this._ConfigMetadata.QuotationSources.Values.Single(s=>s.Id == relation.SourceId).Name;
primitiveQuotation.Symbol = relation.SourceSymbol;
primitiveQuotation.Ask = ask.ToString();
primitiveQuotation.Bid = bid.ToString();
primitiveQuotation.Timestamp = DateTime.Now;
this.ProcessQuotation(primitiveQuotation);
}
public bool IsFromActiveSource(PrimitiveQuotation quotation)
{
int sourceId = this._QuotationSources[quotation.SourceName].Id;
return this._InstrumentSourceRelations.Values.Any(isr => isr.SourceId == sourceId && isr.IsActive == true);
}
internal void StartProcessAbnormalQuotation(PrimitiveQuotation quotation)
{
throw new NotImplementedException();
}
internal bool IsNormalPrice(PrimitiveQuotation quotation)
{
throw new NotImplementedException();
}
internal void AddAndWait(PrimitiveQuotation quotation)
{
throw new NotImplementedException();
}
public bool IsWaitForPreOutOfRangeConfirmed(PrimitiveQuotation quotation)
{
throw new NotImplementedException();
}
