public void Init()
{
if (FrontAddrs == null || FrontAddrs.Length == 0)
{
HandleErrorInternal("前置机地址不能为空!");
return;
}
try
{
if (mdApi == null)
{
mdApi = new CTPMDAdapter(".\\md", false); // 创建md目录存放流文件，避免与交易流文件冲突
mdApi.OnFrontConnected += new FrontConnected(OnFrontConnected);
mdApi.OnFrontDisconnected += new FrontDisconnected(OnFrontDisconnected);
mdApi.OnRspUserLogout += new RspUserLogout(OnRspUserLogout);
mdApi.OnRspUserLogin += new RspUserLogin(OnRspUserLogin);
mdApi.OnRspSubMarketData += new RspSubMarketData(OnRspSubMarketData);
mdApi.OnRspUnSubMarketData += new RspUnSubMarketData(OnRspUnSubMarketData);
mdApi.OnRtnDepthMarketData += new RtnDepthMarketData(OnRtnDepthMarketData);
mdApi.OnRspError += new RspError(OnRspError);
}
foreach (var addr in FrontAddrs)
{
mdApi.RegisterFront(addr); // 注册所有的可用地址
}
mdApi.Init();
}
catch (Exception ex)
{
HandleErrorInternal("CTPMD.Start()异常:" + ex.Message + "\n" + ex.StackTrace);
}
}
public void Run()
{
api = new CTPMDAdapter();
api.OnFrontConnected += new FrontConnected(OnFrontConnected);
api.OnFrontDisconnected += new FrontDisconnected(OnFrontDisconnected);
api.OnHeartBeatWarning += new HeartBeatWarning(OnHeartBeatWarning);
api.OnRspError += new RspError(OnRspError);
api.OnRspSubMarketData += new RspSubMarketData(OnRspSubMarketData);
api.OnRspUnSubMarketData += new RspUnSubMarketData(OnRspUnSubMarketData);
api.OnRspUserLogin += new RspUserLogin(OnRspUserLogin);
api.OnRspUserLogout += new RspUserLogout(OnRspUserLogout);
api.OnRtnDepthMarketData += new RtnDepthMarketData(OnRtnDepthMarketData);
try
{
api.RegisterFront(FRONT_ADDR);
api.Init();
api.Join(); // 阻塞直到关闭或者CTRL+C
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
finally
{
api.Release();
}
}
public void Release()
{
if (mdApi != null)
{
mdApi.Release();
mdApi = null;
}
}
public CTPMarketDataProvider(AccountInfo accountInfo)
{
this.AccountInfo = accountInfo;
ctpReader = new CTPMDAdapter();
Initialize(ctpReader);
Connect(accountInfo.MarketDataAddress);
}
private void Initialize(CTPMDAdapter ctpReader)
{
ctpReader.OnFrontConnected += ReaderOnFrontConnected;
ctpReader.OnFrontDisconnected += ReaderOnFrontDisconnected;
ctpReader.OnRspUserLogin += ReaderOnRspUserLogin;
ctpReader.OnRspUserLogout += ReaderOnRspUserLogout;
ctpReader.OnRtnDepthMarketData += ReaderOnRtnDepthMarketData;
ctpReader.OnRspError += ReaderOnRspError;
}
public CTPMarketDataProvider(AccountInfo accountInfo, string pszFlowPath)
{
this.AccountInfo = accountInfo;
var dataFlowPath = CreateDirectory(pszFlowPath);
ctpReader = new CTPMDAdapter(dataFlowPath, false);
Initialize(ctpReader);
Connect(accountInfo.MarketDataAddress);
}
private void Release(CTPMDAdapter ctpReader)
{
ctpReader.OnFrontConnected -= ReaderOnFrontConnected;
ctpReader.OnFrontDisconnected -= ReaderOnFrontDisconnected;
ctpReader.OnRspUserLogin -= ReaderOnRspUserLogin;
ctpReader.OnRspUserLogout -= ReaderOnRspUserLogout;
ctpReader.OnRtnDepthMarketData -= ReaderOnRtnDepthMarketData;
ctpReader.OnRspError -= ReaderOnRspError;
ctpReader.Dispose();
}
public void Initialize()
{
var configPath = Path.Combine(Path.GetDirectoryName(this.GetType().Assembly.Location), "CTP.yaml");
if (!File.Exists(configPath))
{
throw new Exception(string.Format("{0}初始化失败，配置文件{1}不存在", this.GetType().FullName, configPath));
}
using (var reader = new StreamReader(configPath))
{
var deserializer = new Deserializer(namingConvention: new UnderscoredNamingConvention());
this._config = deserializer.Deserialize <Config>(reader);
}
// ================================================================================
// 交易初始化
// ================================================================================
this._trade = new CTPTraderAdapter(Path.GetDirectoryName(this.GetType().Assembly.Location) + '\\');
this._trade.OnFrontConnected += _trade_OnFrontConnected;
this._trade.OnRspUserLogin += _trade_OnRspUserLogin;
this._trade.OnRspAuthenticate += _trade_OnRspAuthenticate;
this._trade.OnRspQryInstrument += _trade_OnRspQryInstrument;
this._trade.OnRspError += OnRspError;
this._trade.OnRspQryTradingAccount += _trade_OnRspQryTradingAccount;
this._trade.OnRspQryOrder += _trade_OnRspQryOrder;
this._trade.OnRspOrderInsert += (order, rsp, _3, _4) =>
{
if (rsp.ErrorID != 0)
{
this.OnLog($"ERROR: OnRspOrderInsert: {nameof(rsp.ErrorID) + rsp.ErrorID}, {nameof(rsp.ErrorMsg) + rsp.ErrorMsg}");
}
};
this._trade.OnRtnOrder += _trade_OnRtnOrder;
this._trade.OnRtnTrade += _ =>
{
this.QueryPositions();
this.OnTrade(new Trade {
InstrumentID = _.InstrumentID, Price = _.Price, Qty = _.Volume
});
};
this._trade.OnRspQryInvestorPosition += (positionField, rspField, requestId, isLast) =>
{
if (positionField != null)
{
this._positions[requestId].Add(positionField);
}
if (isLast)
{
if (rspField != null && rspField.ErrorID != 0)
{
throw new Exception($"查询持仓失败，代码：{rspField.ErrorID}，描述：{rspField.ErrorMsg}");
}
this.Account.Positions = this._positions[requestId].Select(_ => _.ToOptionPosition()).Where(_ => _.Qty > 0).ToList();
this._positions.Remove(requestId);
}
};
foreach (var f in this._config.TradingFrontends)
{
this._trade.RegisterFront(f);
}
this._trade.SubscribePrivateTopic(EnumTeResumeType.THOST_TERT_QUICK);
this._trade.Init();
this.OnLog("等待交易登录响应。。。");
this._asyncWaiter.WaitOne();
// ================================================================================
// 行情初始化
// ================================================================================
this._market = new CTPMDAdapter();
this._market.OnRspError += OnRspError;
this._market.OnFrontConnected += _market_OnFrontConnected;
this._market.OnRspUserLogin += _market_OnRspUserLogin;
this._market.OnRtnDepthMarketData += _market_OnRtnDepthMarketData;
foreach (var f in this._config.MarketFrontends)
{
this._market.RegisterFront(f);
}
this._market.Init();
this.OnLog("等待行情登录响应。。。");
this._asyncWaiter.WaitOne();
this.OnLog("查询合约并订阅行情。。。");
this._ctpReqstr.Schedule(() => this._trade.ReqQryInstrument(new ThostFtdcQryInstrumentField {
ExchangeID = "SSE"
}, this._session.NextRequestID()));
this._asyncWaiter.WaitOne();
}
/// <summary>
/// 构造函数
/// </summary>
public MarketManager(CTPMDAdapter marketer)
{
ActiveContractDictionary = new Dictionary<string, ActiveContract>();
this.marketer = marketer;
}
/// <summary>
/// 主窗体创建的时候相应动作
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void MainForm_Load(object sender, EventArgs e)
{
#region API初始化
CtpMDApi = new CTPMDAdapter();
CtpTDApi = new CTPTDAdapter();
sCtpMdApi = new CTPMDAPI(this);
sCtpTdApi = new CTPTDAPI(this);
#endregion
#region 登录数据库初始化
this.InitConfig();
#endregion
#region 消息队列初始化
Thread td_SendData = new Thread(SendData);
td_SendData.IsBackground = true;
td_SendData.Start();
#endregion 消息队列初始化
#region SQLite 入库线程启动
Queue_SQLite.bUse = true;
Queue_SQLite.t = new Thread(sqlitedb);
Queue_SQLite.t.IsBackground = true;
Queue_SQLite.t.Start(this);
#endregion SQLite 入库线程启动
#region GridView深度行情
string[] columnNames =
{ "品种名称", "交易日", "自然日", "时间", "毫秒", "最新价", "上次结算价", "昨收盘",
"昨持仓", "开盘价", "最高价", "最低价", "数量", "成交金额", "持仓量", "收盘价", "结算价",
"涨停板价", "跌停板价", "昨虚实度", "虚实度",
"叫卖价", "叫卖量", "叫买价", "叫买量",
"叫卖价2", "叫卖量2", "叫买价2", "叫买量2",
"叫卖价3", "叫卖量3", "叫买价3", "叫买量3",
"叫卖价4", "叫卖量4", "叫买价4", "叫买量4",
"叫卖价5", "叫卖量5", "叫买价5", "叫买量5",
"当日均价"};
foreach (string n in columnNames)
{
DT_DeepInstrumentRSP.Columns.Add(n, typeof(String));
}
//建立主键
DataColumn[] cols = new DataColumn[] { DT_DeepInstrumentRSP.Columns["品种名称"] };
this.DT_DeepInstrumentRSP.PrimaryKey = cols;
this.GridView_DeepInstrument.DataSource = this.DT_DeepInstrumentRSP;
this.GridView_DeepInstrument.Columns["昨虚实度"].Visible = false;
this.GridView_DeepInstrument.Columns["交易日"].Visible = false;
this.GridView_DeepInstrument.Columns["最高价"].Visible = false;
this.GridView_DeepInstrument.Columns["最低价"].Visible = false;
this.GridView_DeepInstrument.Columns["开盘价"].Visible = false;
this.GridView_DeepInstrument.Columns["虚实度"].Visible = false;
this.GridView_DeepInstrument.Columns["结算价"].Visible = false;
this.GridView_DeepInstrument.Columns["自然日"].Visible = false;
this.GridView_DeepInstrument.Columns["上次结算价"].Visible = false;
this.GridView_DeepInstrument.Columns["昨收盘"].Visible = false;
this.GridView_DeepInstrument.Columns["昨持仓"].Visible = false;
this.GridView_DeepInstrument.Columns["收盘价"].Visible = false;
this.GridView_DeepInstrument.Columns["涨停板价"].Visible = false;
this.GridView_DeepInstrument.Columns["跌停板价"].Visible = false;
this.GridView_DeepInstrument.Columns["当日均价"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖价2"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖价3"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖价4"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖价5"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖量2"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖量3"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖量4"].Visible = false;
this.GridView_DeepInstrument.Columns["叫卖量5"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买价2"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买价3"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买价4"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买价5"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买量2"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买量3"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买量4"].Visible = false;
this.GridView_DeepInstrument.Columns["叫买量5"].Visible = false;
#endregion
#region GridView可供订阅的品种
string[] columnNames1 = { "品种名称", "合约名称", "中文名", "交易所ID" };
foreach (string n in columnNames1)
{
DT_Instrument.Columns.Add(n, typeof(String));
}
//建立主键
this.DT_Instrument.PrimaryKey = new DataColumn[] { DT_Instrument.Columns["品种名称"] };
this.GridView_RegistInstrument_Data.DataSource = this.DT_Instrument;
this.GridView_RegistInstrument_Data.Columns["合约名称"].Visible = false;
this.GridView_RegistInstrument_Data.Columns["交易所ID"].Visible = false;
#endregion
#region Gridview报单通知
string[] columnNames2 = { "报单引用", "会话标识", "前置机标识", "报单编号", "交易所", "品种名称", "买卖", "开平", "投机标志", "价格", "报单量", "今成交", "剩余量", "报单日期", "报单时间", "报单状态", "状态信息", "备注" };
foreach (string n in columnNames2)
{
this.DT_RtnOrder.Columns.Add(n, typeof(String));
}
//建立主键
this.DT_RtnOrder.PrimaryKey = new DataColumn[] { DT_RtnOrder.Columns["报单引用"], DT_RtnOrder.Columns["会话标识"], DT_RtnOrder.Columns["前置机标识"] };
this.GridView_RtnOrder.DataSource = DT_RtnOrder;
this.GridView_RtnOrder.Columns["会话标识"].Visible = false;
this.GridView_RtnOrder.Columns["报单编号"].Visible = false;
this.GridView_RtnOrder.Columns["报单引用"].Visible = false;
this.GridView_RtnOrder.Columns["前置机标识"].Visible = false;
this.GridView_RtnOrder.Columns["报单状态"].Visible = false;
this.GridView_RtnOrder.Columns["交易所"].Visible = false;
#endregion
#region GridView持仓查询通知
string[] columnNames3 = { "合约代码", "开仓日期", "交易日", "持仓类型", "买卖", "数量", "开仓价", "投机标志", "成交编号", "结算编号", "成交类型", "昨结算价", "结算价", "平仓量", "平仓金额" };
foreach (string n in columnNames3)
{
this.DT_InvestorPositionDetail.Columns.Add(n, typeof(String));
}
//建立主键
//this.sDT_InvestorPositionDetail.PrimaryKey = new DataColumn[] { sDT_InvestorPositionDetail.Columns["合约代码"] };
this.GridView_InvestorPositionDetail.DataSource = DT_InvestorPositionDetail;
this.GridView_InvestorPositionDetail.Columns["结算编号"].Visible = false;
this.GridView_InvestorPositionDetail.Columns["开仓日期"].Visible = false;
this.GridView_InvestorPositionDetail.Columns["交易日"].Visible = false;
this.GridView_InvestorPositionDetail.Columns["平仓量"].Visible = false;
this.GridView_InvestorPositionDetail.Columns["平仓金额"].Visible = false;
this.GridView_InvestorPositionDetail.Columns["成交编号"].Visible = false;
#endregion
}
/// <summary>
/// 注销按钮点击
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void Button_Loginout_Click(object sender, EventArgs e)
{
ThostFtdcUserLogoutField pUserLogout = new ThostFtdcUserLogoutField();
pUserLogout.BrokerID = sBrokerID;
pUserLogout.UserID = sUserID;
if (this.TSS_MDLoginState.Text == "已连接")
{
CtpMDApi.ReqUserLogout(pUserLogout, nRequestID++);
}
if (this.TSS_TDLoginState.Text == "已连接")
{
CtpMDApi.ReqUserLogout(pUserLogout, nRequestID++);
}
CtpMDApi.Release();
CtpMDApi = null;
CtpTDApi.Release();
CtpTDApi = null;
this.TSS_MDConnState.Text = "已断开";
this.TSS_TDConnState.Text = "已断开";
this.TSS_MDLoginState.Text = "已断开";
this.TSS_TDLoginState.Text = "已断开";
Button_Loginout.Enabled = false;
MemDB.CloseDB();
MemDB = null;
}
/// <summary>
/// 点击连接按钮连接前置机
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void Button_Connect_Click(object sender, EventArgs e)
{
sTDAddress = this.TextBox_TDADDRESS.Text;
sMDAddress = this.TextBox_MDADDRESS.Text;
sBrokerID = this.TextBox_BrokerID.Text;
sUserID = this.TextBox_UserID.Text;
sPassword = this.TextBox_PassWord.Text;
sTableName = string.Empty;
#region 数据库初始化
//内存数据库打开
if (this.radioButton_MemDB.Checked && MemDB == null)
{
MemDB = new SQLiteBase.SQLiteBase();
}
else if (MemDB == null)
{
MemDB = new SQLiteBase.SQLiteBase("InstrmentDataBase.db");
}
MemDB.OpenDB();
#endregion
#region 交易初始化
CtpMDApi = new CTPMDAdapter("MDAPI", false);
CtpMDApi.OnFrontConnected += new FrontConnected(sCtpMdApi.OnFrontConnected);
CtpMDApi.OnFrontDisconnected += new FrontDisconnected(sCtpMdApi.OnFrontDisconnected);
CtpMDApi.OnHeartBeatWarning += new HeartBeatWarning(sCtpMdApi.OnHeartBeatWarning);
CtpMDApi.OnRspError += new RspError(sCtpMdApi.OnRspError);
CtpMDApi.OnRspSubMarketData += new RspSubMarketData(sCtpMdApi.OnRspSubMarketData);
CtpMDApi.OnRspUnSubMarketData += new RspUnSubMarketData(sCtpMdApi.OnRspUnSubMarketData);
CtpMDApi.OnRspUserLogin += new RspUserLogin(sCtpMdApi.OnRspUserLogin);
CtpMDApi.OnRspUserLogout += new RspUserLogout(sCtpMdApi.OnRspUserLogout);
CtpMDApi.OnRtnDepthMarketData += new RtnDepthMarketData(sCtpMdApi.OnRtnDepthMarketData);
//注册前置机
CtpMDApi.RegisterFront(sMDAddress);
//初始化
CtpMDApi.Init();
#endregion 交易初始化
#region 行情初始化
CtpTDApi = new CTPTDAdapter("TDAPI");
CtpTDApi.OnFrontConnected += new FrontConnected(sCtpTdApi.OnFrontConnected);
CtpTDApi.OnFrontDisconnected += new FrontDisconnected(sCtpTdApi.OnFrontDisconnected);
CtpTDApi.OnHeartBeatWarning += new HeartBeatWarning(sCtpTdApi.OnHeartBeatWarning);
CtpTDApi.OnRspError += new RspError(sCtpTdApi.OnRspError);
CtpTDApi.OnRspUserLogin += new RspUserLogin(sCtpTdApi.OnRspUserLogin);
CtpTDApi.OnRspOrderAction += new RspOrderAction(sCtpTdApi.OnRspOrderAction);
CtpTDApi.OnRspOrderInsert += new RspOrderInsert(sCtpTdApi.OnRspOrderInsert);
CtpTDApi.OnRspQryInstrument += new RspQryInstrument(sCtpTdApi.OnRspQryInstrument);
CtpTDApi.OnRspQryInvestorPosition += new RspQryInvestorPosition(sCtpTdApi.OnRspQryInvestorPosition);
CtpTDApi.OnRspQryInvestorPositionDetail += new RspQryInvestorPositionDetail(sCtpTdApi.OnRspQryInvestorPositionDetail);
CtpTDApi.OnRspQryTradingAccount += new RspQryTradingAccount(sCtpTdApi.OnRspQryTradingAccount);
CtpTDApi.OnRspSettlementInfoConfirm += new RspSettlementInfoConfirm(sCtpTdApi.OnRspSettlementInfoConfirm);
CtpTDApi.OnRtnOrder += new RtnOrder(sCtpTdApi.OnRtnOrder);
CtpTDApi.OnRtnTrade += new RtnTrade(sCtpTdApi.OnRtnTrade);
//注册流
switch (comboBox_ResumeType.Text)
{
case "断线恢复":
CtpTDApi.SubscribePublicTopic(EnumTeResumeType.THOST_TERT_RESUME); // 注册公有流
CtpTDApi.SubscribePrivateTopic(EnumTeResumeType.THOST_TERT_RESUME); // 注册私有流
break;
case "当天全部":
CtpTDApi.SubscribePublicTopic(EnumTeResumeType.THOST_TERT_RESTART); // 注册公有流
CtpTDApi.SubscribePrivateTopic(EnumTeResumeType.THOST_TERT_RESTART); // 注册私有流
break;
default:
CtpTDApi.SubscribePublicTopic(EnumTeResumeType.THOST_TERT_QUICK); // 注册公有流
CtpTDApi.SubscribePrivateTopic(EnumTeResumeType.THOST_TERT_QUICK); // 注册私有流
break;
}
//注册前置机
CtpTDApi.RegisterFront(sTDAddress);
//初始化
CtpTDApi.Init();
#endregion 行情初始化
}
