private static SZSEL2Order[] ProcessSZSEL2Order(MdfRecord record)
{
sSZSEL2Order[] datas = new sSZSEL2Order[record.record_count];
SZSEL2Order[] dataitems = new SZSEL2Order[record.record_count];
int addr = record.body.ToInt32();
int size = Marshal.SizeOf(typeof(sSZSEL2Order));
for (int index = 0; index != record.record_count; ++index)
{
datas[index] = (sSZSEL2Order)Marshal.PtrToStructure(new IntPtr(addr + index * size), typeof(sSZSEL2Order));
dataitems[index] = new SZSEL2Order();
}
for (int index = 0; index != record.record_count; ++index)
{
dataitems[index].wind_code = Encoding.ASCII.GetString(datas[index].wind_code).TrimEnd('\0');
dataitems[index].order_time = MessageConverter.ConvertTime(datas[index].order_time);
dataitems[index].set_no = datas[index].set_no;
dataitems[index].rec_no = datas[index].rec_no;
dataitems[index].size = datas[index].size;
dataitems[index].price = datas[index].price;
dataitems[index].order_kind = datas[index].order_kind;
dataitems[index].function_code = datas[index].function_code;
}
return dataitems;
}
private static L2Transaction[] ProcessL2Transaction(MdfRecord record)
{
L2Transaction[] dataitems = new L2Transaction[record.record_count];
sL2Transaction[] datas = new sL2Transaction[record.record_count];
int addr = record.body.ToInt32();
int size = Marshal.SizeOf(typeof(sL2Transaction));
for (int index = 0; index != record.record_count; ++index)
{
datas[index] = (sL2Transaction)Marshal.PtrToStructure(new IntPtr(addr + index * size), typeof(sL2Transaction));
dataitems[index] = new L2Transaction();
}
for (int index = 0; index != record.record_count; ++index)
{
dataitems[index].wind_code = Encoding.ASCII.GetString(datas[index].wind_code).TrimEnd('\0');
dataitems[index].trade_time = MessageConverter.ConvertTime(datas[index].trade_time);
dataitems[index].volume = datas[index].volume;
dataitems[index].price = datas[index].price;
dataitems[index].amount = datas[index].amount;
dataitems[index].set_no = datas[index].set_no;
dataitems[index].rec_no = datas[index].rec_no;
dataitems[index].buyOrderRecNo = datas[index].buyOrderRecNo;
dataitems[index].sellOrderRecNo = datas[index].sellOrderRecNo;
dataitems[index].order_kind = datas[index].order_kind;
dataitems[index].function_code = datas[index].function_code;
}
return dataitems;
}
private static L1MarketSnapshot[] ProcessSHSZL1MarketData(MdfRecord record)
{
sL1MarketSnapshot[] datas = new sL1MarketSnapshot[record.record_count];
L1MarketSnapshot[] dataitems = new L1MarketSnapshot[record.record_count];
int addr = record.body.ToInt32();
int size = Marshal.SizeOf(typeof(sL1MarketSnapshot));
for (int index = 0; index < record.record_count; index++)
{
datas[index] = (sL1MarketSnapshot)Marshal.PtrToStructure(new IntPtr(addr + index * size), typeof(sL1MarketSnapshot));
dataitems[index] = new L1MarketSnapshot();
}
for (int index = 0; index < record.record_count; index++)
{
dataitems[index].wind_code = Encoding.ASCII.GetString(datas[index].wind_code).TrimEnd('\0');
dataitems[index].data_time_stamp = MessageConverter.ConvertTime(datas[index].data_time_stamp);
dataitems[index].pre_close = datas[index].pre_close;
dataitems[index].open_price = datas[index].open_price;
dataitems[index].high_price = datas[index].high_price;
dataitems[index].low_price = datas[index].low_price;
dataitems[index].new_price = datas[index].new_price;
dataitems[index].total_volume = datas[index].total_volume;
dataitems[index].total_amount = datas[index].total_amount;
dataitems[index].bid_price1 = datas[index].bid_price1;
dataitems[index].bid_price2 = datas[index].bid_price2;
dataitems[index].bid_price3 = datas[index].bid_price3;
dataitems[index].bid_price4 = datas[index].bid_price4;
dataitems[index].bid_price5 = datas[index].bid_price5;
dataitems[index].ask_price1 = datas[index].ask_price1;
dataitems[index].ask_price2 = datas[index].ask_price2;
dataitems[index].ask_price3 = datas[index].ask_price3;
dataitems[index].ask_price4 = datas[index].ask_price4;
dataitems[index].ask_price5 = datas[index].ask_price5;
dataitems[index].ask_size1 = datas[index].ask_size1;
dataitems[index].ask_size2 = datas[index].ask_size2;
dataitems[index].ask_size3 = datas[index].ask_size3;
dataitems[index].ask_size4 = datas[index].ask_size4;
dataitems[index].ask_size5 = datas[index].ask_size5;
dataitems[index].bid_size1 = datas[index].bid_size1;
dataitems[index].bid_size2 = datas[index].bid_size2;
dataitems[index].bid_size3 = datas[index].bid_size3;
dataitems[index].bid_size4 = datas[index].bid_size4;
dataitems[index].bid_size5 = datas[index].bid_size5;
}
return dataitems;
}
private static L2OrderQueue[] ProcessL2OrderQueues(MdfRecord record)
{
sL2OrderQueue[] datas = new sL2OrderQueue[record.record_count];
L2OrderQueue[] dataitems = new L2OrderQueue[record.record_count];
int addr = record.body.ToInt32();
int size = Marshal.SizeOf(typeof(sL2OrderQueue));
for (int index = 0; index != record.record_count; ++index)
{
datas[index] = (sL2OrderQueue)Marshal.PtrToStructure(new IntPtr(addr + index * size), typeof(sL2OrderQueue));
dataitems[index] = new L2OrderQueue();
}
for (int index = 0; index < record.record_count; ++index)
{
dataitems[index].wind_code = Encoding.ASCII.GetString(datas[index].wind_code).TrimEnd('\0');
dataitems[index].date_time_stamp = MessageConverter.ConvertTime(datas[index].date_time_stamp);
dataitems[index].order_side = datas[index].order_side;
dataitems[index].image_status = datas[index].image_status;
dataitems[index].price_level_count = datas[index].price_level_count;
sL2OrderQueuePriceLevel[] price_levels = new sL2OrderQueuePriceLevel[datas[index].price_level_count];
dataitems[index].price_levels = new L2OrderQueuePriceLevel[datas[index].price_level_count];
int addr_of_pricelevel = datas[index].price_levels.ToInt32();
int size_of_pricelevel = Marshal.SizeOf(typeof(sL2OrderQueuePriceLevel));
for (int j = 0; j != datas[index].price_level_count; ++j)
{
price_levels[j] = (sL2OrderQueuePriceLevel)Marshal.PtrToStructure(new IntPtr(addr_of_pricelevel + j * size_of_pricelevel), typeof(sL2OrderQueuePriceLevel));
dataitems[index].price_levels[j] = new L2OrderQueuePriceLevel();
}
for(int j = 0; j < datas[index].price_level_count;++j)
{
dataitems[index].price_levels[j].operator_type = price_levels[j].operator_type;
dataitems[index].price_levels[j].order_price = price_levels[j].order_price;
dataitems[index].price_levels[j].total_number = price_levels[j].total_number;
dataitems[index].price_levels[j].orders_number = price_levels[j].orders_number;
sL2OrderQueueItem[] orderqueueitems = new sL2OrderQueueItem[price_levels[j].orders_number];
dataitems[index].price_levels[j].order_items = new L2OrderQueueItem[price_levels[j].orders_number];
int addr_of_item = price_levels[j].order_items.ToInt32();
int size_of_item = Marshal.SizeOf(typeof(sL2OrderQueueItem));
for(int k = 0;k!=price_levels[j].orders_number;++k)
{
orderqueueitems[k] = (sL2OrderQueueItem)Marshal.PtrToStructure(new IntPtr(addr_of_item + k * size_of_item), typeof(sL2OrderQueueItem));
dataitems[index].price_levels[j].order_items[k] = new L2OrderQueueItem();
}
for(int k = 0;k!=price_levels[j].orders_number;++k)
{
dataitems[index].price_levels[j].order_items[k].operator_type = orderqueueitems[k].operator_type;
dataitems[index].price_levels[j].order_items[k].entry_id = orderqueueitems[k].entry_id;
dataitems[index].price_levels[j].order_items[k].size = orderqueueitems[k].size;
}
}
}
return dataitems;
}
private static L2MarketSnapshot[] ProcessL2MarketData(MdfRecord record)
{
sL2MarketSnapshot[] datas = new sL2MarketSnapshot[record.record_count];
L2MarketSnapshot[] dataitems = new L2MarketSnapshot[record.record_count];
int addr = record.body.ToInt32();
int size = Marshal.SizeOf(typeof(sL2MarketSnapshot));
for (int index = 0; index != record.record_count; ++index)
{
datas[index] = (sL2MarketSnapshot)Marshal.PtrToStructure(new IntPtr(addr + index * size), typeof(sL2MarketSnapshot));
dataitems[index] = new L2MarketSnapshot();
}
for (int index = 0; index < record.record_count; ++index)
{
byte[] bytes = datas[index].wind_code;
dataitems[index].wind_code = Encoding.ASCII.GetString(bytes).TrimEnd('\0');
dataitems[index].data_time_stamp = MessageConverter.ConvertTime(datas[index].data_time_stamp);
dataitems[index].prev_close = datas[index].prev_close;
dataitems[index].open_price = datas[index].open_price;
dataitems[index].high_price = datas[index].high_price;
dataitems[index].low_price = datas[index].low_price;
dataitems[index].new_price = datas[index].new_price;
dataitems[index].total_volume = datas[index].total_volume;
dataitems[index].total_amount = datas[index].total_amount;
dataitems[index].bid_price1 = datas[index].bid_price1;
dataitems[index].bid_price2 = datas[index].bid_price2;
dataitems[index].bid_price3 = datas[index].bid_price3;
dataitems[index].bid_price4 = datas[index].bid_price4;
dataitems[index].bid_price5 = datas[index].bid_price5;
dataitems[index].bid_price6 = datas[index].bid_price6;
dataitems[index].bid_price7 = datas[index].bid_price7;
dataitems[index].bid_price8 = datas[index].bid_price8;
dataitems[index].bid_price9 = datas[index].bid_price9;
dataitems[index].bid_price10 = datas[index].bid_price10;
dataitems[index].ask_price1 = datas[index].ask_price1;
dataitems[index].ask_price2 = datas[index].ask_price2;
dataitems[index].ask_price3 = datas[index].ask_price3;
dataitems[index].ask_price4 = datas[index].ask_price4;
dataitems[index].ask_price5 = datas[index].ask_price5;
dataitems[index].ask_price6 = datas[index].ask_price6;
dataitems[index].ask_price7 = datas[index].ask_price7;
dataitems[index].ask_price8 = datas[index].ask_price8;
dataitems[index].ask_price9 = datas[index].ask_price9;
dataitems[index].ask_price10 = datas[index].ask_price10;
dataitems[index].ask_size1 = datas[index].ask_size1;
dataitems[index].ask_size2 = datas[index].ask_size2;
dataitems[index].ask_size3 = datas[index].ask_size3;
dataitems[index].ask_size4 = datas[index].ask_size4;
dataitems[index].ask_size5 = datas[index].ask_size5;
dataitems[index].ask_size6 = datas[index].ask_size6;
dataitems[index].ask_size7 = datas[index].ask_size7;
dataitems[index].ask_size8 = datas[index].ask_size8;
dataitems[index].ask_size9 = datas[index].ask_size9;
dataitems[index].ask_size10 = datas[index].ask_size10;
dataitems[index].bid_size1 = datas[index].bid_size1;
dataitems[index].bid_size2 = datas[index].bid_size2;
dataitems[index].bid_size3 = datas[index].bid_size3;
dataitems[index].bid_size4 = datas[index].bid_size4;
dataitems[index].bid_size5 = datas[index].bid_size5;
dataitems[index].bid_size6 = datas[index].bid_size6;
dataitems[index].bid_size7 = datas[index].bid_size7;
dataitems[index].bid_size8 = datas[index].bid_size8;
dataitems[index].bid_size9 = datas[index].bid_size9;
dataitems[index].bid_size10 = datas[index].bid_size10;
dataitems[index].transactions_count = datas[index].transactions_count;
dataitems[index].weighted_average_bid_price = datas[index].weighted_average_bid_price;
dataitems[index].weighted_average_ask_price = datas[index].weighted_average_ask_price;
dataitems[index].l2_total_bid_size = datas[index].l2_total_bid_size;
dataitems[index].l2_total_ask_size = datas[index].l2_total_ask_size;
dataitems[index].peratio1 = datas[index].peratio1;
dataitems[index].peratio2 = datas[index].peratio2;
dataitems[index].trade_status = datas[index].trade_status;
}
return dataitems;
}
private static IndexSnapshot[] ProcessIndexSnapshot(MdfRecord record)
{
sIndexSnapshot[] datas = new sIndexSnapshot[record.record_count];
IndexSnapshot[] dataitems = new IndexSnapshot[record.record_count];
int addr = record.body.ToInt32();
int size = Marshal.SizeOf(typeof(sIndexSnapshot));
for (int index = 0; index != record.record_count; ++index)
{
datas[index] = (sIndexSnapshot)Marshal.PtrToStructure(new IntPtr(addr + index * size), typeof(sIndexSnapshot));
dataitems[index] = new IndexSnapshot();
}
for (int index = 0; index != record.record_count; ++index)
{
dataitems[index].wind_code = Encoding.ASCII.GetString(datas[index].wind_code).TrimEnd('\0');
dataitems[index].data_time_stamp = MessageConverter.ConvertTime(datas[index].data_time_stamp);
dataitems[index].pre_close = datas[index].pre_close;
dataitems[index].open_price = datas[index].open_price;
dataitems[index].high_price = datas[index].high_price;
dataitems[index].low_price = datas[index].low_price;
dataitems[index].new_price = datas[index].new_price;
dataitems[index].total_volume = datas[index].total_volume;
dataitems[index].total_amount = datas[index].total_amount;
}
return dataitems;
}
private static FuturesMarketSnapshot[] ProcessFutureL1MarketData(MdfRecord record)
{
sFuturesMarketSnapshot[] datas = new sFuturesMarketSnapshot[record.record_count];
FuturesMarketSnapshot[] dataitems = new FuturesMarketSnapshot[record.record_count];
int addr = record.body.ToInt32();
int size = Marshal.SizeOf(typeof(sFuturesMarketSnapshot));
for (int index = 0; index != record.record_count; ++index)
{
datas[index] = (sFuturesMarketSnapshot)Marshal.PtrToStructure(new IntPtr(addr + index * size), typeof(sFuturesMarketSnapshot));
dataitems[index] = new FuturesMarketSnapshot();
}
for (int index = 0; index != record.record_count; ++index)
{
dataitems[index].wind_code = Encoding.ASCII.GetString(datas[index].wind_code).TrimEnd('\0');
dataitems[index].trade_date = datas[index].trade_date;
dataitems[index].data_time_stamp = MessageConverter.ConvertTime(datas[index].data_time_stamp);
dataitems[index].pre_close = datas[index].pre_close;
dataitems[index].open_price = datas[index].open_price;
dataitems[index].high_price = datas[index].high_price;
dataitems[index].low_price = datas[index].low_price;
dataitems[index].new_price = datas[index].new_price;
dataitems[index].total_volume = datas[index].total_volume;
dataitems[index].total_amount = datas[index].total_amount;
dataitems[index].bid_price1 = datas[index].bid_price1;
dataitems[index].ask_price1 = datas[index].ask_price1;
dataitems[index].ask_size1 = datas[index].ask_size1;
dataitems[index].bid_size1 = datas[index].bid_size1;
dataitems[index].pre_settle = datas[index].pre_settle;
dataitems[index].pre_position = datas[index].pre_position;
dataitems[index].settle = datas[index].settle;
dataitems[index].position = datas[index].position ;
dataitems[index].average_price = datas[index].average_price;
dataitems[index].high_limit = datas[index].high_limit;
dataitems[index].low_limit = datas[index].low_limit;
}
return dataitems;
}
public static MdfMessage ConvertMessage(ref MdfRecord record)
{
if (record.record_count <= 0) return null;
if ((record.product_id == WmdfConstant.PRODEUCT_SYSTEM_ID)
|| (record.product_id == WmdfConstant.PRODEUCT_MONITOR_ID))
{
return null;
}
MdfMessage mdf_msg = new MdfMessage();
mdf_msg.local_time = record.local_time;
mdf_msg.packet_num = record.packet_num;
mdf_msg.product_id = record.product_id;
mdf_msg.message_id = record.message_id;
mdf_msg.major_version = record.major_version;
mdf_msg.minor_version = record.minor_version;
mdf_msg.record_count = record.record_count;
if (record.product_id == WmdfConstant.PRODUCT_SSE_LEVEL1_ID)
{
if (record.message_id == WmdfConstant.SSEL1_MARKETDATA_ID)
{
mdf_msg.records = ProcessSHSZL1MarketData(record);
}
}
//深交所level1
else if (record.product_id == WmdfConstant.PRODUCT_SZSE_LEVEL1_ID)
{
if (record.message_id == WmdfConstant.SZSEL1_MARKETDATA_ID)
{
mdf_msg.records = ProcessSHSZL1MarketData(record);
}
}
//上交所level2
else if (record.product_id == WmdfConstant.PRODUCT_SSE_LEVEL2_ID)
{
if (record.message_id == WmdfConstant.SSEL2_MARKETDATA_ID)
{
mdf_msg.records = ProcessL2MarketData(record);
}
else if (record.message_id == WmdfConstant.SSEL2_TRANSACTION_ID)
{
mdf_msg.records = ProcessL2Transaction(record);
}
else if (record.message_id == WmdfConstant.SSEL2_INDEXDATA_ID)
{
mdf_msg.records = ProcessIndexSnapshot(record);
}
else if (record.message_id == WmdfConstant.SSEL2_ORDERQUEUE_ID)
{
mdf_msg.records = ProcessL2OrderQueues(record);
}
}
//深交所L2
else if (record.product_id == WmdfConstant.PRODUCT_SZSE_LEVEL2_ID)
{
if (record.message_id == WmdfConstant.SZSEL2_MARKETDATA_ID)
{
mdf_msg.records = ProcessL2MarketData(record);
}
else if (record.message_id == WmdfConstant.SZSEL2_TRANSACTION_ID)
{
mdf_msg.records = ProcessL2Transaction(record);
}
else if (record.message_id == WmdfConstant.SZSEL2_INDEXDATA_ID)
{
mdf_msg.records = ProcessIndexSnapshot(record);
}
else if (record.message_id == WmdfConstant.SZSEL2_ORDERQUEUE_ID)
{
mdf_msg.records = ProcessL2OrderQueues(record);
}
else if (record.message_id == WmdfConstant.SZSEL2_SINGLEORDER_ID)
{
mdf_msg.records = ProcessSZSEL2Order(record);
}
}
//新华富时L1
else if (record.product_id == WmdfConstant.PRODUCT_FTSE_LEVEL1_ID)
{
mdf_msg.records = ProcessIndexSnapshot(record);
}
//中金所L1
else if (record.product_id == WmdfConstant.PRODUCT_CFFE_LEVEL1_ID)
{
mdf_msg.records = ProcessFutureL1MarketData(record);
}
//中金所L2
else if (record.product_id == WmdfConstant.PRODUCT_CFFE_LEVEL2_ID)
{
mdf_msg.records = ProcessCFFEL2MarketData(record);
}
//大商所L1
else if (record.product_id == WmdfConstant.PRODUCT_DCE_LEVEL1_ID)
{
mdf_msg.records = ProcessFutureL1MarketData(record);
}
//上期所L1
else if (record.product_id == WmdfConstant.PRODUCT_SHFE_LEVEL1_ID)
{
mdf_msg.records = ProcessFutureL1MarketData(record);
}
//郑商所L1
else if (record.product_id == WmdfConstant.PRODUCT_CZCE_LEVEL1_ID)
{
mdf_msg.records = ProcessFutureL1MarketData(record);
}
return mdf_msg;
}
