private SpreadInfo ProcessHQ(CustomMarketData m1, CustomMarketData m2)
{
SpreadInfo hqInfo = new SpreadInfo();
hqInfo.Time = m1.Time;
hqInfo.LastIF1Price = (lastHQInfo == null) ? 0 : lastHQInfo.IF1Price;
hqInfo.LastIF2Price = (lastHQInfo == null) ? 0 : lastHQInfo.IF2Price;
hqInfo.IF1Price = (m1 == null) ? double.NaN : m1.NewPrice;
hqInfo.IF2Price = (m2 == null) ? double.NaN : m2.NewPrice;
if (m1 == null || m2 == null || m1.Buy.Length <= 0 || m1.Sell.Length <= 0 || m2.Buy.Length <= 0 || m2.Sell.Length <= 0)
{
hqInfo.IF1OpenPrice = hqInfo.IF1ClosePrice = hqInfo.IF2OpenPrice = hqInfo.IF2ClosePrice = double.NaN;
hqInfo.CurrentSpread = hqInfo.CloseSpread = hqInfo.OpenSpread = double.NaN;
UpdateLogInfo(string.Format("当前行情异常:无法获得{0}的买卖盘口", (m1 == null || m1.Buy.Length <= 0 || m1.Sell.Length <= 0) ? param.InIF1 : param.InIF2));
}
else
{
hqInfo.IF1OpenPrice = m1.Sell[0];
hqInfo.IF1ClosePrice = m1.Buy[0];
hqInfo.IF2OpenPrice = m2.Buy[0];
hqInfo.IF2ClosePrice = m2.Sell[0];
hqInfo.MaxOpenVol = (int)Math.Min(m1.SellVol[0], m2.BuyVol[0]);
hqInfo.MaxCloseVol = (int)Math.Min(m1.BuyVol[0], m2.SellVol[0]);
hqInfo.LastSpread = (lastHQInfo == null) ? 0 : lastHQInfo.CurrentSpread;
hqInfo.CurrentSpread = m1.NewPrice - m2.NewPrice; // 实时最新价差
hqInfo.OpenSpread = hqInfo.IF1OpenPrice - hqInfo.IF2OpenPrice; // 实时开仓价差
hqInfo.CloseSpread = hqInfo.IF1ClosePrice - hqInfo.IF2ClosePrice; // 实时平仓价差
}
lastHQInfo = hqInfo;
return(hqInfo);
}
private void OnMarketDataInternal(CustomMarketData m)
{
spreadTrader.OnMarketData(m);
// 更新本地行情缓存
if (m != null && m.StockCode == cB_IF1.Text)
{
latestM1 = m;
}
else if (m != null && m.StockCode == cB_IF2.Text)
{
latestM2 = m;
}
else
{
return;
}
// 当前行情时间戳是否一致,一致时才进行开仓平仓判断
if (latestM1 != null && latestM2 != null &&
latestM1.StockCode == cB_IF1.Text && latestM2.StockCode == cB_IF2.Text &&
latestM1.Time == latestM2.Time && latestM1.MilliSec == latestM2.MilliSec)
{
// 处理行情，计算价差
var spInfo = ProcessHQ(latestM1, latestM2);
spreadTrader.OnSpreadData(spInfo);
UpdateHQ(spInfo);
}
}
private void UpdateMarketData(CustomMarketData marketData)
{
lock (mdLocker)
{
foreach (var f in formList)
{
// 推送行情
if (!f.IsDisposed)
{
f.OnMarketData(marketData);
}
}
}
}
public void OnMarketData(CustomMarketData m)
{
if (inParam == null || m == null)
{
return;
}
// 更新本地行情缓存
if (m.StockCode == inParam.InIF1)
{
latestM1 = m;
}
else if (m.StockCode == inParam.InIF2)
{
latestM2 = m;
}
}
/*
* --------------------------------------------------------------
* 行情通知
* --------------------------------------------------------------
*/
private void OnRtnDepthMarketData(ThostFtdcDepthMarketDataField pDepthMarketData)
{
if (HandleRawMarketDataDel != null)
{
HandleRawMarketDataDel(pDepthMarketData);
}
if (HandleMarketDataDel != null)
{
CustomMarketData m = new CustomMarketData();
m.StockCode = pDepthMarketData.InstrumentID;
m.Exchange = PublicDefine.EXCHANGE_SYMBOL_EN[6];
m.Time = int.Parse(pDepthMarketData.UpdateTime.Replace(":", ""));
m.MilliSec = pDepthMarketData.UpdateMillisec;
m.NewPrice = pDepthMarketData.LastPrice;
m.Buy = new double[] { pDepthMarketData.BidPrice1, pDepthMarketData.BidPrice2, pDepthMarketData.BidPrice3, pDepthMarketData.BidPrice4, pDepthMarketData.BidPrice5 };
m.BuyVol = new int[] { pDepthMarketData.BidVolume1, pDepthMarketData.BidVolume2, pDepthMarketData.BidVolume3, pDepthMarketData.BidVolume4, pDepthMarketData.BidVolume5 };
m.Sell = new double[] { pDepthMarketData.AskPrice1, pDepthMarketData.AskPrice2, pDepthMarketData.AskPrice3, pDepthMarketData.AskPrice4, pDepthMarketData.AskPrice5 };
m.SellVol = new int[] { pDepthMarketData.AskVolume1, pDepthMarketData.AskVolume2, pDepthMarketData.AskVolume3, pDepthMarketData.AskVolume4, pDepthMarketData.AskVolume5 };
HandleMarketDataDel(m);
}
}
public void UpdateMarketData(CustomMarketData marketData)
{
Instruments[marketData.StockCode].MarketData = marketData;
}
public void OnMarketData(CustomMarketData m)
{
var del = new HandleMarketDataDelegate(OnMarketDataInternal);
this.BeginInvoke(del, new object[] { m });
}
