private void sqlitedb(object s)
{
MainForm cMainForm = (MainForm)s;
ThostFtdcDepthMarketDataField pDepthMarketData = new ThostFtdcDepthMarketDataField();
QueueSendData Data = new QueueSendData();
bool bCommit=false;
while (Queue_SQLite.bUse)
{
if (Queue_SQLite.DataQ.Count == 0)
{
Queue_SQLite.Are.WaitOne();
Queue_SQLite.Are.Reset();
if(bCommit)
MemDB.Commit();
}
else
{
Data = Queue_SQLite.DataQ.Dequeue();
Queue_SQLite.m_lReceiveNum++;
#region 这里写策略
switch (Data.QueueType)
{
case EnumQueueType.DepthMarketData:
pDepthMarketData = (ThostFtdcDepthMarketDataField)Data.QueueData;
if (pDepthMarketData.TradingDay == "" || pDepthMarketData.InstrumentID == "")
{
Queue_SQLite.m_lDropNum++;
Queue_SQLite.Are.Reset();
}
#region 数据入内存数据库
if (sTradingDay != pDepthMarketData.TradingDay || sTableName == string.Empty)
{
sTableName = "TIP_" + pDepthMarketData.TradingDay;
sTradingDay = pDepthMarketData.TradingDay;
if (!MemDB.existTable(sTableName))
{
string vSQL = string.Format(sDeepRspTableSql, sTableName);
MemDB.setSQL(vSQL);
MemDB.Execute();
MemDB.Commit();
}
}
string sSql = "insert into " + sTableName + "(ActionDay,BidPrice1,BidPrice2,BidPrice3,BidPrice4,BidPrice5,BidVolume1,BidVolume2,BidVolume3,BidVolume4,BidVolume5,AveragePrice,AskPrice1,AskPrice2,AskPrice3,AskPrice4,AskPrice5,AskVolume1,AskVolume2,AskVolume3,AskVolume4,AskVolume5,ClosePrice,CurrDelta,ExchangeID,ExchangeInstID,HighestPrice,InstrumentID,LastPrice,LowerLimitPrice,LowestPrice,OpenInterest,OpenPrice,PreClosePrice,PreDelta,PreOpenInterest,PreSettlementPrice,SettlementPrice,TradingDay,Turnover,UpdateMillisec,UpdateTime,UpperLimitPrice,Volume) values ('"
+ pDepthMarketData.ActionDay + "','" + pDepthMarketData.BidPrice1 + "','"
+ pDepthMarketData.BidPrice2 + "','" + pDepthMarketData.BidPrice3 + "','" + pDepthMarketData.BidPrice4 + "','" + pDepthMarketData.BidPrice5 + "','"
+ pDepthMarketData.BidVolume1 + "','" + pDepthMarketData.BidVolume2 + "','" + pDepthMarketData.BidVolume3 + "','" + pDepthMarketData.BidVolume4 + "','"
+ pDepthMarketData.BidVolume5 + "','" + pDepthMarketData.AveragePrice + "','" + pDepthMarketData.AskPrice1 + "','" + pDepthMarketData.AskPrice2 + "','"
+ pDepthMarketData.AskPrice3 + "','" + pDepthMarketData.AskPrice4 + "','" + pDepthMarketData.AskPrice5 + "','" + pDepthMarketData.AskVolume1 + "','"
+ pDepthMarketData.AskVolume2 + "','" + pDepthMarketData.AskVolume3 + "','" + pDepthMarketData.AskVolume4 + "','" + pDepthMarketData.AskVolume5 + "','"
+ pDepthMarketData.ClosePrice + "','" + pDepthMarketData.CurrDelta + "','" + pDepthMarketData.ExchangeID + "','"
+ pDepthMarketData.ExchangeInstID + "','" + pDepthMarketData.HighestPrice + "','" + pDepthMarketData.InstrumentID + "','"
+ pDepthMarketData.LastPrice + "','" + pDepthMarketData.LowerLimitPrice + "','" + pDepthMarketData.LowestPrice + "','"
+ pDepthMarketData.OpenInterest + "','" + pDepthMarketData.OpenPrice + "','" + pDepthMarketData.PreClosePrice + "','"
+ pDepthMarketData.PreDelta + "','" + pDepthMarketData.PreOpenInterest + "','" + pDepthMarketData.PreSettlementPrice + "','"
+ pDepthMarketData.SettlementPrice + "','" + pDepthMarketData.TradingDay + "','" + pDepthMarketData.Turnover + "','"
+ pDepthMarketData.UpdateMillisec + "','" + pDepthMarketData.UpdateTime + "','" + pDepthMarketData.UpperLimitPrice + "','" + pDepthMarketData.Volume + "')";
MemDB.setSQL(sSql);
MemDB.Execute();
bCommit = true;
Queue_SQLite.m_lRunNum++;
#endregion
break;
case EnumQueueType.OnRtnOrder:
break;
case EnumQueueType.StopSign0:
Queue_PolicySample.bUse = false;
return;
default:
break;
}
}
#endregion
}
}
private void PolicySampleRUN(object s)
{
MainForm cMainForm = (MainForm)s;
ThostFtdcInputOrderField sInputOrder = new ThostFtdcInputOrderField();
ThostFtdcDepthMarketDataField pDepthMarketData = new ThostFtdcDepthMarketDataField();
QueueSendData Data = new QueueSendData();
while (Queue_PolicySample.bUse)
{
if (Queue_PolicySample.DataQ.Count == 0)
{
Queue_PolicySample.Are.WaitOne();
Queue_PolicySample.Are.Reset();
}
else
{
Data = Queue_PolicySample.DataQ.Dequeue();
#region 这里写策略
switch (Data.QueueType)
{
case EnumQueueType.DepthMarketData:
Queue_PolicySample.m_lReceiveNum++;
pDepthMarketData = (ThostFtdcDepthMarketDataField)Data.QueueData;
if (pDepthMarketData.InstrumentID == "IF1309")
{
Queue_PolicySample.m_lRunNum++;
Queue_PolicySample.add_log("插入报单!触发单:" + pDepthMarketData.InstrumentID + " \n时间:" + pDepthMarketData.UpdateTime);
// cMainForm.TDReqOrderInsert(sInputOrder);
}
else
{
Queue_PolicySample.m_lDropNum++;
}
break;
case EnumQueueType.OnRtnOrder:
break;
case EnumQueueType.StopSign0:
Queue_PolicySample.bUse = false;
return;
default:
break;
}
#endregion
}
}
Queue_PolicySample.bUse = false;
}
/// <summary>
/// 行情接口->获取深度行情
/// </summary>
/// <param name="s">行情结构体,需强转</param>
private void SetMDDepthMarketData(object s)
{
if (this.InvokeRequired)
{
SetCallback d = new SetCallback(SetMDDepthMarketData);
this.BeginInvoke(d, new object[] { s });
}
else
{
ThostFtdcDepthMarketDataField pDepthMarketData = (ThostFtdcDepthMarketDataField)s;
QueueSendData sQueueSend = new QueueSendData();
sQueueSend.QueueType = EnumQueueType.DepthMarketData;
sQueueSend.QueueData = s;
List_QueueSend.Add(sQueueSend);
SignMainQueueSend.Set();
DataRow DR_Find = this.DT_DeepInstrumentRSP.Rows.Find(pDepthMarketData.InstrumentID);
DataRow dr = this.DT_DeepInstrumentRSP.NewRow();
#region 实时行情更新赋值
dr["叫买价"] = (pDepthMarketData.BidPrice1 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.BidPrice1, 2).ToString() : null;
dr["叫买价2"] = (pDepthMarketData.BidPrice2 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.BidPrice2, 2).ToString() : null;
dr["叫买价3"] = (pDepthMarketData.BidPrice3 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.BidPrice3, 2).ToString() : null;
dr["叫买价4"] = (pDepthMarketData.BidPrice4 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.BidPrice4, 2).ToString() : null;
dr["叫买价5"] = (pDepthMarketData.BidPrice5 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.BidPrice5, 2).ToString() : null;
dr["叫买量"] = pDepthMarketData.BidVolume1.ToString();
dr["叫买量2"] = pDepthMarketData.BidVolume2.ToString();
dr["叫买量3"] = pDepthMarketData.BidVolume3.ToString();
dr["叫买量4"] = pDepthMarketData.BidVolume4.ToString();
dr["叫买量5"] = pDepthMarketData.BidVolume5.ToString();
dr["当日均价"] = (pDepthMarketData.AveragePrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.AveragePrice, 2).ToString() : null;
dr["叫卖价"] = (pDepthMarketData.AskPrice1 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.AskPrice1, 2).ToString() : null;
dr["叫卖价2"] = (pDepthMarketData.AskPrice2 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.AskPrice2, 2).ToString() : null;
dr["叫卖价3"] = (pDepthMarketData.AskPrice3 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.AskPrice3, 2).ToString() : null;
dr["叫卖价4"] = (pDepthMarketData.AskPrice4 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.AskPrice4, 2).ToString() : null;
dr["叫卖价5"] = (pDepthMarketData.AskPrice5 != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.AskPrice5, 2).ToString() : null;
dr["叫卖量"] = pDepthMarketData.AskVolume1.ToString();
dr["叫卖量2"] = pDepthMarketData.AskVolume2.ToString();
dr["叫卖量3"] = pDepthMarketData.AskVolume3.ToString();
dr["叫卖量4"] = pDepthMarketData.AskVolume4.ToString();
dr["叫卖量5"] = pDepthMarketData.AskVolume5.ToString();
dr["收盘价"] = (pDepthMarketData.ClosePrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.ClosePrice, 2).ToString() : null;
dr["虚实度"] = (pDepthMarketData.CurrDelta != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.CurrDelta, 2).ToString() : null;
dr["最高价"] = (pDepthMarketData.HighestPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.HighestPrice, 2).ToString() : null;
dr["最新价"] = (pDepthMarketData.LastPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.LastPrice, 2).ToString() : null;
dr["跌停板价"] =
(pDepthMarketData.LowerLimitPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.LowerLimitPrice, 2).ToString() : null;
dr["最低价"] = (pDepthMarketData.LowestPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.LowestPrice, 2).ToString() : null;
dr["持仓量"] = (pDepthMarketData.OpenInterest != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.OpenInterest, 2).ToString() : null;
dr["开盘价"] = (pDepthMarketData.OpenPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.OpenPrice, 2).ToString() : null;
dr["昨收盘"] =
(pDepthMarketData.PreClosePrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.PreClosePrice, 2).ToString() : null;
dr["昨虚实度"] = (pDepthMarketData.PreDelta != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.PreDelta, 2).ToString() : null;
dr["昨持仓"] =
(pDepthMarketData.PreOpenInterest != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.PreOpenInterest, 2).ToString() : null;
dr["上次结算价"] =
(pDepthMarketData.PreSettlementPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.PreSettlementPrice, 2).ToString() : null;
dr["结算价"] =
(pDepthMarketData.SettlementPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.SettlementPrice, 2).ToString() : null;
dr["成交金额"] = (pDepthMarketData.Turnover != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.Turnover, 2).ToString() : null;
dr["毫秒"] = pDepthMarketData.UpdateMillisec.ToString();
dr["时间"] = pDepthMarketData.UpdateTime.ToString();
dr["涨停板价"] =
(pDepthMarketData.UpperLimitPrice != Double.MaxValue) ? Function.GetRoundNum(pDepthMarketData.UpperLimitPrice, 2).ToString() : null;
dr["数量"] = pDepthMarketData.Volume.ToString();
dr["交易日"] = pDepthMarketData.TradingDay.ToString();
dr["品种名称"] = pDepthMarketData.InstrumentID;
dr["自然日"] = pDepthMarketData.ActionDay.ToString();
#endregion
if (DR_Find != null)
{
DR_Find.ItemArray = dr.ItemArray;
}
else
{
this.DT_DeepInstrumentRSP.Rows.Add(dr);
}
}
}
