public override void OnQuote(Quote quote)
{
server.SetData(TOPIC_QUOTE_BID,
Instrument.ToString(),
1,
quote.Bid
);
server.SetData(TOPIC_QUOTE_BID_SIZE,
Instrument.ToString(),
1,
quote.BidSize
);
server.SetData(TOPIC_QUOTE_ASK,
Instrument.ToString(),
1,
quote.Ask
);
server.SetData(TOPIC_QUOTE_ASK_SIZE,
Instrument.ToString(),
1,
quote.AskSize
);
}
public override void OnQuote(Quote quote)
{
// 插件3.8.2.1 中开始可用，是将Quote数据中的深度数据取出
if (DataConvert.TryConvert(quote, ref DepthMarketData))
{
Console.WriteLine("OnQuote " + DepthMarketData.LastPrice);
Console.WriteLine("OnQuote " + DepthMarketData.UpperLimitPrice);
}
}
public static bool TryConvert(Quote quote, ref DFITCDepthMarketDataField DepthMarketData)
{
if (quoteField == null)
{
quoteField = typeof(Quote).GetField("quote", BindingFlags.NonPublic | BindingFlags.Instance);
}
XSpeedQuote q = quoteField.GetValue(quote) as XSpeedQuote;
if (null != q)
{
DepthMarketData = q.DepthMarketData;
return true;
}
return false;
}
public override void OnQuote(Quote quote)
{
// 只要有报价就会生成，数量约为两个合约Quote之和
//if(Instrument == Instrument2)
{
if (Instrument1.Quote != null
&& Instrument2.Quote != null)
{
double Ask = Instrument1.Quote.Ask - Instrument2.Quote.Bid;
int AskSize = Math.Min(Instrument1.Quote.AskSize, Instrument2.Quote.BidSize);
double Bid = Instrument1.Quote.Bid - Instrument2.Quote.Ask;
int BidSize = Math.Min(Instrument1.Quote.BidSize, Instrument2.Quote.AskSize);
Quote q = new Quote(Clock.Now, Bid, BidSize, Ask, AskSize);
DataManager.Add(Instrument3, q);
}
}
}
public static bool TryConvert(Quote quote, ref CThostFtdcDepthMarketDataField DepthMarketData)
{
#if OQ
if (quoteField == null)
{
quoteField = typeof(Quote).GetField("quote", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPQuote q = quoteField.GetValue(quote) as CTPQuote;
#elif QD
CTPQuote q = quote as CTPQuote;
#endif
if (null != q)
{
DepthMarketData = q.DepthMarketData;
return true;
}
return false;
}
public override void OnQuote(Quote quote)
{
if (!quote.DateTime.IsWithinRegularTradingHours(Instrument.Type))
{
return;
}
CurrentAskPrice = quote.Ask;
CurrentBidPrice = quote.Bid;
//LoggingUtility.WriteInfoFormat(this, "Current Bid={0:c}, Ask={1:c}", CurrentBidPrice, CurrentAskPrice);
}
protected void SaveData(Instrument instrument, Quote quote)
{
DataManager.Add(instrument, quote);
DataManager.Flush();
}
public static void Add(Instrument instrument, Quote quote)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
SmartQuant.Instruments.DataManager.Add(instrument2, quote.quote);
}
public override void OnQuote(Quote quote)
{
//lock(this)
{
Process();
}
// 如果只有Quote数据，如何更新？
// 那就会不用这个目标仓位助手了
//if(!DataRequests.HasTradeRequest)
//{
//}
}
public void Add(Quote quote)
{
this.series.Add(quote.quote);
}
public override Quote FilterQuote(OpenQuant.API.Quote quote, string symbol)
{
// 接收所有报价
return(quote);
}
public void EmitQuote(Quote quote)
{
this.EmitQuote(this.Instrument, quote);
}
public override void OnQuote(Quote quote)
{
if (StrategyMode.Simulation != Mode)
DataManager.Add(Instrument, quote);
}
public void ProcessQuote(Quote quote)
{
try
{
if (!IsItOkToHandleQuote(quote))
{
return;
}
if (GetCurrentDateTime() >= CurrentValidityDateTime && !AreAllLegsCompleted)
{
LoggingUtility.WriteTraceFormat(this, "Processing quote: {0}", quote);
}
CurrentQuoteRef = quote;
SaveData(Instrument, quote);
CurrentAskPrice = quote.Ask;
CurrentBidPrice = quote.Bid;
AttempOrder();
}
catch (Exception ex)
{
LoggingUtility.WriteError(this, ex, "Error in ProcessQuote");
}
finally
{
CurrentQuoteRef = null;
}
}
public virtual Quote FilterQuote(Quote quote, string symbol)
{
return quote;
}
public override void OnQuote(Quote quote)
{
PublishQuote(quote);
base.OnQuote(quote);
}
private void PublishQuote(Quote quote)
{
string topic = Instrument.Symbol.ToUpperInvariant();
OnQuoteMessage message = new OnQuoteMessage {Quote = ConvertQuote(quote), Instrument = ConvertInstrument()};
Bus.Publish(message, topic);
}
public virtual void OnQuote(Quote quote)
{
}
public override void OnQuote(Quote quote)
{
try
{
if (!quote.IsWithinRegularTradingHours(Instrument.Type))
{
LoggingUtility.WriteTraceFormat(this,
"Discarding quote outside of trading hours. {0}", quote);
return;
}
if (!QuoteClientEnabled)
{
LoggingUtility.WriteTraceFormat(this,
"Processing native quote. {0}", quote);
ProcessQuote(quote);
}
else
{
LoggingUtility.WriteTraceFormat(this,
"Discarding native quote. {0}", quote);
}
base.OnQuote(quote);
}
catch (Exception ex)
{
LoggingUtility.WriteError(this, ex, "Error in OnQuote");
}
}
public override void OnQuote(Quote quote)
{
Process();
}
public void EmitQuote(Instrument instrument, Quote quote)
{
if (!(this.MarketDataProvider.provider is ISimulationMarketDataProvider))
return;
(this.MarketDataProvider.provider as ISimulationMarketDataProvider).EmitQuote((IFIXInstrument) instrument.instrument, quote.quote);
}
protected bool IsItOkToHandleQuote(Quote quote)
{
if (!quote.IsWithinRegularTradingHours(Instrument.Type))
{
LoggingUtility.WriteTraceFormat(this, "Quote is not within regular trading hours: {0}", quote);
return false;
}
return true;
}
private SpiderQuote ConvertQuote(Quote originalQuote)
{
SpiderQuote spiderQuote = new SpiderQuote()
{
DateTime = originalQuote.DateTime,
Ask = originalQuote.Ask,
Bid = originalQuote.Bid,
AskSize = originalQuote.AskSize,
BidSize = originalQuote.BidSize
};
return spiderQuote;
}