private void OnRspQryHistoricalTicks_callback(object sender, IntPtr pTicks, int size1, ref HistoricalDataRequestField request, int size2, bool bIsLast)
{
int size = Marshal.SizeOf(typeof(TickField));
(sender as XApi).GetLog().Info("<--OnRspQryHistoricalTicks:{0},{1},{2},{3}条", request.CurrentDate, request.InstrumentID, request.ExchangeID, size1 / size);
HistoricalDataRecord record;
if (!historicalDataRecords.TryGetValue(request.RequestId, out record))
{
return;
}
int day = -1;
double volume = 0;
DateTime datetime = DateTime.MinValue;
DateTime updatetime = DateTime.MinValue;
List <DataObject> list = new List <DataObject>();
for (int i = 0; i < size1 / size; ++i)
{
IntPtr ptr = (IntPtr)(pTicks + size * i);
TickField obj = Marshal.PtrToStructure <TickField>(ptr);
DateTime dt = GetDateTime(obj.Date, obj.Time, obj.Millisecond);
if (datetime == dt)
{
updatetime = updatetime.AddMilliseconds(100);
}
else
{
updatetime = dt;
}
if (day != updatetime.Day)
{
volume = 0;
}
day = updatetime.Day;
volume = obj.Volume - volume;
// 这地方应当加历史数据另存的地方才好
if (SaveToCsv)
{
LogEventInfo logEvent = new LogEventInfo(NLog.LogLevel.Trace, tickLog.Name, TickFieldToString(obj, updatetime, volume));
// 用户可能需要按收到数据的合约与时间分目录或文件
logEvent.Properties[Symbol] = record.Request.Instrument.Symbol;
logEvent.Properties[Date] = request.CurrentDate;
tickLog.Log(logEvent);
}
if (FilterDateTime)
{
if (FilterDateTime_(record.Request, updatetime))
{
DataObject o = null;
if (EmitAllTickType)
{
// 全面保存数据
o = new Trade(updatetime, this.id, record.Request.Instrument.Id, obj.LastPrice, (int)volume);
list.Add(o);
o = new Quote(updatetime, this.id, record.Request.Instrument.Id, obj.BidPrice1, obj.BidSize1, obj.AskPrice1, obj.AskSize1);
list.Add(o);
}
else
{
// 分别保存
switch (record.Request.DataType)
{
case DataObjectType.Tick:
case DataObjectType.Bid:
o = new Bid(updatetime, this.id, record.Request.Instrument.Id, obj.BidPrice1, obj.BidSize1);
break;
case DataObjectType.Ask:
o = new Ask(updatetime, this.id, record.Request.Instrument.Id, obj.AskPrice1, obj.AskSize1);
break;
case DataObjectType.Trade:
o = new Trade(updatetime, this.id, record.Request.Instrument.Id, obj.LastPrice, (int)volume);
break;
case DataObjectType.Quote:
o = new Quote(updatetime, this.id, record.Request.Instrument.Id, obj.BidPrice1, obj.BidSize1, obj.AskPrice1, obj.AskSize1);
break;
}
list.Add(o);
}
}
}
datetime = dt;
volume = obj.Volume;
}
if (EmitHistoricalData)
{
HistoricalData data = new HistoricalData
{
RequestId = record.Request.RequestId,
Objects = list.ToArray(),
TotalNum = list.Count,
};
//Console.WriteLine("============");
//Console.WriteLine(list.Count);
base.EmitHistoricalData(data);
}
if (bIsLast)
{
EmitHistoricalDataEnd(record.Request.RequestId, RequestResult.Completed, "");
}
}
private string TickFieldToString(TickField field, DateTime dt, double volume)
{
return(string.Format("{0},{1},{2},{3},{4},{5},{6},{7}",
dt.ToString("yyyy-MM-dd HH:mm:ss.fff"), field.LastPrice, volume, field.OpenInterest,
field.BidPrice1, field.BidSize1, field.AskPrice1, field.AskSize1));
}
