public void SendMarketDataRequest(FIXMarketDataRequest request)
{
//if (!_bMdConnected)
//{
// EmitError(-1, -1, "行情服务器没有连接");
// mdlog.Error("行情服务器没有连接");
// return;
//}
bool bSubscribe = false;
bool bTrade = false;
bool bQuote = false;
bool bMarketDepth = false;
if (request.NoMDEntryTypes > 0)
{
switch (request.GetMDEntryTypesGroup(0).MDEntryType)
{
case FIXMDEntryType.Bid:
case FIXMDEntryType.Offer:
if (request.MarketDepth != 1)
{
bMarketDepth = true;
break;
}
bQuote = true;
break;
case FIXMDEntryType.Trade:
bTrade = true;
break;
}
}
bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE);
if (bSubscribe)
{
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
Instrument inst = InstrumentManager.Instruments[group.Symbol];
//将用户合约转成交易所合约
string altSymbol = inst.GetSymbol(this.Name);
string altExchange = inst.GetSecurityExchange(this.Name);
string MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record))
{
record = new DataRecord();
record.Instrument = inst;
record.Symbol = altSymbol;
record.Exchange = altExchange;
_dictAltSymbol2Instrument[MarketStockCode] = record;
mdlog.Info("订阅合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange);
}
if (bTrade)
record.TradeRequested = true;
if (bQuote)
record.QuoteRequested = true;
if (bMarketDepth)
record.MarketDepthRequested = true;
if (bMarketDepth)
{
inst.OrderBook.Clear();
}
}
}
else
{
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
Instrument inst = InstrumentManager.Instruments[group.Symbol];
//将用户合约转成交易所合约
string altSymbol = inst.GetSymbol(this.Name);
string altExchange = inst.GetSecurityExchange(this.Name);
string MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record))
{
break;
}
if (bTrade)
record.TradeRequested = false;
if (bQuote)
record.QuoteRequested = false;
if (bMarketDepth)
record.MarketDepthRequested = false;
if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested)
{
_dictAltSymbol2Instrument.Remove(MarketStockCode);
mdlog.Info("取消合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange);
}
}
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
//if (!_bMdConnected)
//{
// EmitError(-1, -1, "行情服务器没有连接");
// mdlog.Error("行情服务器没有连接");
// return;
//}
bool bSubscribe = false;
bool bTrade = false;
bool bQuote = false;
bool bMarketDepth = false;
if (request.NoMDEntryTypes > 0)
{
switch (request.GetMDEntryTypesGroup(0).MDEntryType)
{
case FIXMDEntryType.Bid:
case FIXMDEntryType.Offer:
if (request.MarketDepth != 1)
{
bMarketDepth = true;
break;
}
bQuote = true;
break;
case FIXMDEntryType.Trade:
bTrade = true;
break;
}
}
bSubscribe = (request.SubscriptionRequestType == DataManager.MARKET_DATA_SUBSCRIBE);
if (bSubscribe)
{
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
Instrument inst = InstrumentManager.Instruments[group.Symbol];
//将用户合约转成交易所合约
string altSymbol = inst.GetSymbol(this.Name);
string altExchange = inst.GetSecurityExchange(this.Name);
string MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record))
{
record = new DataRecord();
record.Instrument = inst;
record.Symbol = altSymbol;
record.Exchange = altExchange;
_dictAltSymbol2Instrument[MarketStockCode] = record;
mdlog.Info("订阅合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange);
}
if (bTrade)
{
record.TradeRequested = true;
}
if (bQuote)
{
record.QuoteRequested = true;
}
if (bMarketDepth)
{
record.MarketDepthRequested = true;
}
if (bMarketDepth)
{
inst.OrderBook.Clear();
}
}
}
else
{
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
Instrument inst = InstrumentManager.Instruments[group.Symbol];
//将用户合约转成交易所合约
string altSymbol = inst.GetSymbol(this.Name);
string altExchange = inst.GetSecurityExchange(this.Name);
string MarketStockCode = altExchange.ToLower() + altSymbol;
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(MarketStockCode, out record))
{
break;
}
if (bTrade)
{
record.TradeRequested = false;
}
if (bQuote)
{
record.QuoteRequested = false;
}
if (bMarketDepth)
{
record.MarketDepthRequested = false;
}
if (!record.TradeRequested && !record.QuoteRequested && !record.MarketDepthRequested)
{
_dictAltSymbol2Instrument.Remove(MarketStockCode);
mdlog.Info("取消合约 {0} {1} {2}", MarketStockCode, record.Symbol, record.Exchange);
}
}
}
}
