private string BarFieldToString(BarField field, DateTime dt)
{
return(string.Format("{0},{1},{2},{3},{4},{5},{6}",
dt.ToString("yyyy-MM-dd HH:mm:ss.fff"), field.Open, field.High, field.Low, field.Close, field.Volume, field.OpenInterest));
}
private void OnRspQryHistoricalBars_callback(object sender, IntPtr pBars, int size1, ref HistoricalDataRequestField request, int size2, bool bIsLast)
{
int size = Marshal.SizeOf(typeof(BarField));
(sender as XApi).GetLog().Info("<--OnRspQryHistoricalBars:{0},{1},{2},{3}条", request.CurrentDate, request.InstrumentID, request.ExchangeID, size1 / size);
HistoricalDataRecord record;
if (!historicalDataRecords.TryGetValue(request.RequestId, out record))
{
return;
}
List <Bar> list = new List <Bar>();
for (int i = 0; i < size1 / size; ++i)
{
IntPtr ptr = (IntPtr)(pBars + size * i);
BarField obj = PInvokeUtility.GetObjectFromIntPtr <BarField>(ptr);
int Millisecond = 0;
DateTime dt = GetDateTime(obj.Date, obj.Time, Millisecond);
// 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, BarFieldToString(obj, dt));
// 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.ToString();
logEvent.Properties[BarSize] = request.BarSize.ToString();
barLog.Log(logEvent);
}
if (FilterDateTime)
{
if (FilterDateTime_(record.Request, dt))
{
Bar b = new Bar(dt, dt.AddSeconds(record.Request.BarSize.Value), record.Request.Instrument.Id, record.Request.BarType.Value, record.Request.BarSize.Value,
obj.Open, obj.High, obj.Low, obj.Close, (long)obj.Volume, (long)obj.OpenInterest);
list.Add(b);
}
}
}
if (EmitHistoricalData)
{
HistoricalData data = new HistoricalData
{
RequestId = record.Request.RequestId,
Objects = list.ToArray(),
TotalNum = list.Count,
};
base.EmitHistoricalData(data);
}
if (bIsLast)
{
EmitHistoricalDataEnd(record.Request.RequestId, RequestResult.Completed, "");
}
}
