package.cpath = package.cpath .. ";" .. getScriptPath() .. [[\?51.dll]]
--require"QL"
require"zmq"
local json=require("dkjson")
--require"zhelpers"
is_run=false
itosend={}
postosend={}
new_postosend={}
acctosend={}
filter_acc=''
instruments={}
accounts={}
positions={}
positions_keys={}
--accounts_list=""
publisher_binding="tcp://10.1.1.108:5563"
subscriber_binding="tcp://10.1.1.108:5562"
accounts_keys={}
is_connected=false
local sfind=string.find
FUT_OPT_CLASSES="FUTUX,SPBFUT,OPTUX,SPBOPT"
function OnParam(class,sec)
if is_run and is_connected and (class=='SPBFUT' or class=='FUTUX' or class=='OPTUX' or class=='SPBOPT') then
--local st=os.clock()
-- or class=='OPTUX' class=='SPBOPT' or
local i=instruments[sec].Dynamic
i.LastPrice=tonumber(getParamEx(class,sec,"Last").param_value)
i.Volatility=tonumber(getParamEx(class,sec,"Volatility").param_value)
i.TheorPrice=tonumber(getParamEx(class,sec,"theorprice").param_value)
i.Bid=tonumber(getParamEx(class,sec,'BID').param_value)
i.Ask=tonumber(getParamEx(class,sec,'OFFER').param_value)
i.BidVol=tonumber(getParamEx(class,sec,'BIDDEPTH').param_value)
i.AskVol=tonumber(getParamEx(class,sec,'OFFERDEPTH').param_value)
if class=='FUTUX' or class=='SPBFUT' then
i.SettlePrice=tonumber(getParamEx(class,sec,'settleprice').param_value)
else
i.SettlePrice=tonumber(getParamEx(instruments[sec].Static.BaseContractClass,static.BaseContract,'last').param_value)
end
itosend[#itosend+1]=json.encode(i)
--[[if instruments[sec]==nil then message("nil "..sec,3) return end
--if pr~=i.LastPrice or volat~=i.Volatility or theorpr~=i.TheorPrice then
--table.insert(tosend,tostring(sec.."="..pr))
--message('sended',1)
--publisher:send(sec..' Last='..pr)
--..' Volat='..volat..' TheorPrice='..theorpr
i.LastPrice=pr
i.Volatility=volat
i.TheorPrice=theorpr
end
]]
--message("time="..(os.clock()-st),3)
end
end
function OnFuturesClientHolding(hold)
if is_run and is_connected and hold~=nil and (filter_acc=='' or string.find(filter_acc,hold.trdaccid)~=nil) then
--toLog(log,'New holding update')
--table.insert(acctosend,jsonhold)
local key=positions_keys[hold.trdaccid..hold.sec_code]
if key==nil then
positions[#positions+1]={
['AccountName']=hold.trdaccid,
['SecurityCode']=hold.sec_code,
['TotalNet']=hold.totalnet,
['BuyQty']=hold.openbuys,
['SellQty']=hold.opensells,
['VarMargin']=hold.varmargin
}
positions_keys[hold.trdaccid..hold.sec_code]=#positions
new_postosend[#new_postosend+1]=json.encode(positions[#positions])
else
local t=positions[key]
t.TotalNet=hold.totalnet
t.BuyQty=hold.openbuys
t.SellQty=hold.opensells
t.VarMargin=hold.varmargin
postosend[#postosend+1]=json.encode(t)
end
end
end
function OnStop()
is_run=false
--publisher:close()
--context:term()
end
function OnInitDo()
--context=zmq.init(1)
--publisher=context:socket(zmq.PUB)
--publisher:bind("tcp://127.0.0.1:5563")
local id=1
for cl in string.gmatch(FUT_OPT_CLASSES,"%a+") do
local sec_list=getClassSecurities(cl)
for sec in string.gmatch(sec_list,"%w+%.?%w+") do
instruments[sec]={}
instruments[sec].Static={}
instruments[sec].Dynamic={}
local static=instruments[sec].Static
local dynamic=instruments[sec].Dynamic
static.Class=cl
static.Code=sec
static.FullName=getParamEx(cl,sec,'LONGNAME').param_image
static.Id=id
if cl=='FUTUX' or cl=='SPBFUT' then
static.InstrumentType='Futures'
static.BaseContractClass='RTSIND'
static.BaseContract=getParamEx(cl,sec,"OPTIONBASE").param_image..'I'
else
static.InstrumentType='Option'
static.BaseContractClass=getSecurityInfo('',sec).class_code
static.BaseContract=getParamEx(cl,sec,"OPTIONBASE").param_image
end
static.OptionType=getParamEx(cl,sec,"OPTIONTYPE").param_image
static.Strike=tonumber(getParamEx(cl,sec,"STRIKE").param_value)
static.DaysToMate=getParamEx(cl,sec,"DAYS_TO_MAT_DATE").param_image
static.MaturityDate=getParamEx(cl,sec,"MAT_DATE").param_image
dynamic.LastPrice=tonumber(getParamEx(cl,sec,'last').param_value)
dynamic.Volatility=tonumber(getParamEx(cl,sec,'volatility').param_value)
dynamic.TheorPrice=tonumber(getParamEx(cl,sec,'theorprice').param_value)
if cl=='FUTUX' or cl=='SPBFUT' then
dynamic.SettlePrice=tonumber(getParamEx(cl,sec,'settleprice').param_value)
else
dynamic.SettlePrice=tonumber(getParamEx(static.BaseContractClass,static.BaseContract,'last').param_value)
end
dynamic.Bid=tonumber(getParamEx(cl,sec,'BID').param_value)
dynamic.Ask=tonumber(getParamEx(cl,sec,'OFFER').param_value)
dynamic.BidVol=tonumber(getParamEx(cl,sec,'BIDDEPTH').param_value)
dynamic.AskVol=tonumber(getParamEx(cl,sec,'OFFERDEPTH').param_value)
dynamic.Id=id
--dynamic.MsgType='INSTRUMENT'
id=id+1
end
end
local sf=string.find
id=1
for i=1,getNumberOf('trade_accounts') do
local itm=getItem('trade_accounts',i)
if ((accounts_keys[itm.trdaccid]==nil) and (sf(itm.class_codes,'FUTUX')~=nil or sf(itm.class_codes,'OPTUX')~=nil or sf(itm.class_codes,'SPBFUT')~=nil or sf(itm.class_codes,'SPBOPT')~=nil )) then
accounts[#accounts+1]={['Name']=itm.trdaccid,['Id']=id}
id=id+1
--account_list=accountListt..','..itm.trdaccid
accounts_keys[itm.trdaccid]=#accounts
end
end
for i=1,getNumberOf('futures_client_holding') do
local itm=getItem('futures_client_holding',i)
positions[#positions+1]={
['AccountName']=itm.trdaccid,
['SecurityCode']=itm.sec_code,
['TotalNet']=itm.totalnet,
['BuyQty']=itm.openbuys,
['SellQty']=itm.opensells,
['VarMargin']=itm.varmargin
}
positions_keys[itm.trdaccid..itm.sec_code]=#positions
end
return true
--is_run=true
end
function OnConnected(rep,pub)
--reply:recv()
message('Connected',3)
rep:send('CONNECTED')
for k,v in pairs(instruments) do
pub:send('NEWINSTRUMENT',zmq.SNDMORE)
pub:send(json.encode(v.Static))
pub:send('INSTRUMENT',zmq.SNDMORE)
pub:send(json.encode(v.Dynamic))
end
for k,v in ipairs(accounts) do
pub:send('NEWACCOUNT',zmq.SNDMORE)
pub:send(json.encode(v))
end
for k,v in ipairs(positions) do
pub:send('NEWPOSITION',zmq.SNDMORE)
pub:send(json.encode(v))
end
pub:send('COMMON',zmq.SNDMORE)
pub:send('INITIALSYNCEND')
message('INITIALSYNCEND',3)
return true
end
function main()
is_run=OnInitDo()
local context=zmq.init(1)
local publisher=context:socket(zmq.PUB)
local reply=context:socket(zmq.REP)
publisher:bind(publisher_binding)
reply:bind(subscriber_binding)
while is_run do
msg=reply:recv(zmq.NOBLOCK)
if msg~=nil then
-- send info for new connections
message('start onconnect',3)
is_connected=OnConnected(reply,publisher)
message('end onconnect '..tostring(is_connected),3)
end
if #itosend~=0 then
for i=1,#itosend do
local msg=table.remove(itosend,i)
if msg~=nil then
publisher:send("INSTRUMENT",zmq.SNDMORE)
res=publisher:send(msg)
end
end
--message("#"..#tosend,)2zmq
end
if #postosend~=0 then
for i=1,#postosend do
local msg=table.remove(postosend,i)
if msg~=nil then
publisher:send("POSITION",zmq.SNDMORE)
res=publisher:send(msg)
end
end
--message("#"..#tosend,2)
end
if #new_postosend~=0 then
for i=1,#new_postosend do
local msg=table.remove(new_postosend,i)
if msg~=nil then
publisher:send("NEWPOSITION",zmq.SNDMORE)
res=publisher:send(msg)
end
end
--message("#"..#tosend,2)
end
sleep (1)
end
publisher:close()
reply:close()
context:term()
--while is_run do sleep(100) end
end
|
