private void OnRtnDepthMarketData(object sender, CtpDepthMarketData data)
{
var market = new DepthMarketDataField();
market.InstrumentID = data.InstrumentID;
market.ExchangeID = data.ExchangeID;
market.Exchange = CtpConvert.GetExchangeType(data.ExchangeID);
switch (market.Exchange)
{
case ExchangeType.CZCE:
CtpConvert.SetCzceExchangeTime(data, market);
break;
case ExchangeType.DCE:
CtpConvert.SetDceExchangeTime(data, market);
break;
default:
CtpConvert.SetExchangeTime(data, market);
break;
}
market.LastPrice = CtpConvert.IsMax(data.LastPrice) ? 0 : data.LastPrice;
market.Volume = data.Volume;
market.OpenInterest = data.OpenInterest;
market.Turnover = data.Turnover;
market.AveragePrice = data.AveragePrice;
if (CtpConvert.IsMax(data.OpenPrice))
{
market.OpenPrice = 0;
market.HighestPrice = 0;
market.LowestPrice = 0;
market.TradingPhase = TradingPhaseType.BeforeTrading;
}
else
{
market.OpenPrice = data.OpenPrice;
market.HighestPrice = data.HighestPrice;
market.LowestPrice = data.LowestPrice;
market.TradingPhase = TradingPhaseType.Continuous;
}
if (CtpConvert.IsMax(data.ClosePrice))
{
market.ClosePrice = 0;
}
else
{
market.ClosePrice = data.ClosePrice;
market.TradingPhase = TradingPhaseType.Closed;
}
market.SettlementPrice = CtpConvert.IsMax(data.SettlementPrice) ? 0 : data.SettlementPrice;
market.UpperLimitPrice = data.UpperLimitPrice;
market.LowerLimitPrice = data.LowerLimitPrice;
market.PreClosePrice = data.PreClosePrice;
market.PreSettlementPrice = data.PreSettlementPrice;
market.PreOpenInterest = data.PreOpenInterest;
if (!CtpConvert.IsMax(data.AskPrice1))
{
market.Asks = new[] { new DepthField {
Price = data.AskPrice1, Size = data.AskVolume1
} };
}
else
{
market.Asks = new DepthField[0];
}
if (!CtpConvert.IsMax(data.BidPrice1))
{
market.Bids = new[] { new DepthField {
Price = data.BidPrice1, Size = data.BidVolume1
} };
}
else
{
market.Bids = new DepthField[0];
}
_spi.ProcessDepthMarketData(market);
}
