private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
Instrument instrument = _dictAltSymbol2Instrument[pDepthMarketData.InstrumentID];
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行将设置为0
volume = 0;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != marketDataFilter)
{
/* Trade t = marketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
*/ }
else
{
EmitNewTradeEvent(instrument, trade);
}
}
if (
DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
)
{ }
else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != marketDataFilter)
{
/* Quote q = marketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
*/ }
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
lock (this)
{
switch (request.SubscriptionRequestType)
{
case DataManager.MARKET_DATA_SUBSCRIBE:
if (!_bMdConnected)
{
EmitError(-1,-1,"行情服务器没有连接,无法订阅行情");
return;
}
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
//通过订阅的方式，由平台传入合约对象，在行情接收处将要使用到合约
CThostFtdcDepthMarketDataField DepthMarket;
Instrument inst = InstrumentManager.Instruments[group.Symbol];
string altSymbol = inst.GetSymbol(this.Name);
if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket))
{
DepthMarket = new CThostFtdcDepthMarketDataField();
_dictDepthMarketData.Add(altSymbol, DepthMarket);
}
_dictAltSymbol2Instrument[altSymbol] = inst;
MdApi.MD_Subscribe(m_pMdApi, altSymbol);
}
if (!_bTdConnected)
{
EmitError(-1, -1, "交易服务器没有连接，无法保证持仓真实");
return;
}
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null);
timerPonstion.Enabled = false;
timerPonstion.Enabled = true;
break;
case DataManager.MARKET_DATA_UNSUBSCRIBE:
if (!_bMdConnected)
{
EmitError(-1, -1, "行情服务器没有连接，退订合约无效");
return;
}
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
Instrument inst = InstrumentManager.Instruments[group.Symbol];
string altSymbol = inst.GetSymbol(this.Name);
_dictDepthMarketData.Remove(altSymbol);
MdApi.MD_Unsubscribe(m_pMdApi, altSymbol);
}
break;
default:
throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString());
}
}
}