private void OnRtnDepthMarketData_callback(object sender, ref DepthMarketDataNClass marketData)
{
if (null != OnRtnDepthMarketData)
{
OnRtnDepthMarketData(this, new OnRtnDepthMarketDataNEventArgs(ref marketData));
}
}
private void OnRtnDepthMarketData_callback(object sender, ref DepthMarketDataNClass marketData)
{
if (null != OnRtnDepthMarketData)
{
OnRtnDepthMarketData(this, new OnRtnDepthMarketDataNEventArgs(ref marketData));
}
}
public void Write(ref DepthMarketDataNClass pDepthMarketData)
{
// 如果盘中不小心把服务端关了也不再开启
if (null == c)
{
return;
}
string dateTime = pDepthMarketData.ExchangeDateTime().ToString("yyyy.MM.ddTHH:mm:ss.fff");
string symbol = pDepthMarketData.InstrumentID;
double price = pDepthMarketData.LastPrice;
long volume = (long)(pDepthMarketData.Volume);
long openint = (long)(pDepthMarketData.OpenInterest);
double bid = 0;
double ask = 0;
int bsize = 0;
int asize = 0;
string trade_str = string.Format("`trade insert({0};`$\"{1}\";{2}f;{3}j;{4}j)", dateTime, symbol, price, volume, openint);
string quote_str = null;
if (SaveQuote)
{
if (pDepthMarketData.Bids.Length > 0)
{
bid = pDepthMarketData.Bids[0].Price;
bsize = pDepthMarketData.Bids[0].Size;
}
if (pDepthMarketData.Asks.Length > 0)
{
ask = pDepthMarketData.Asks[0].Price;
asize = pDepthMarketData.Asks[0].Size;
}
quote_str = string.Format("`quote insert({0};`$\"{1}\";{2}f;{3}f;{4};{5})", dateTime, symbol, bid, ask, bsize, asize);
}
// 有一个问题
lock (this)
{
try
{
// trade
c.ks(trade_str);
// quote
if (SaveQuote)
{
c.ks(quote_str);
}
}
catch (Exception e)
{
// 保存失败，通常是因为网络断开了
Log.Error(e.Message);
c.Close();
c = null;
}
}
}
private void _onRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Tick tick = new Tick()
{
InstrumentID = marketData.InstrumentID
,
AskPrice = marketData.Asks.Length > 0 ? marketData.Asks[0].Price : -1
,
AskVolume = marketData.Asks.Length > 0 ? marketData.Asks[0].Size : -1
,
BidPrice = marketData.Bids.Length > 0 ? marketData.Bids[0].Price : -1
,
BidVolume = marketData.Bids.Length > 0 ? marketData.Bids[0].Size : -1
,
LastPrice = marketData.LastPrice
,
OpenInterest = marketData.OpenInterest
,
UpdateTime = new DateTime(
marketData.ActionDay / 10000
, marketData.ActionDay / 100 % 100
, marketData.ActionDay % 100
, marketData.UpdateTime / 10000
, marketData.UpdateTime / 100 % 100
, marketData.UpdateTime % 100
, marketData.UpdateMillisec)
,
Volume = Convert.ToInt32(marketData.Volume)
};
}
private void OnRtnDepthMarketData_callback(object sender, ref DepthMarketDataNClass pDepthMarketData)
{
if (!_enableEmitData)
{
return;
}
try
{
// 传过来的Symbol，有可能是不带点，有可能是带点的
// 要同时存成完整版，因为下单时
MarketDataRecord record;
if (!marketDataRecords.TryGetValue(pDepthMarketData.Symbol, out record))
{
return;
}
// 取出上次的行情记录
DepthMarketDataNClass depthMarket = record.DepthMarket;
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
record.DepthMarket = pDepthMarketData;
_dateTime = DateTime.Now;
try
{
_exchangeDateTime = pDepthMarketData.ExchangeDateTime();
}
catch
{
_exchangeDateTime = _dateTime;
(sender as XApi).GetLog().Error("{0} ExchangeDateTime有误，现使用LocalDateTime代替，请找API开发人员处理API中的时间兼容问题。", pDepthMarketData.ToFormattedStringExchangeDateTime());
}
if (_emitBidAskFirst)
{
if (_emitBidAsk)
{
FireBid(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
FireAsk(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
}
FireTrade(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
}
else
{
FireTrade(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
if (_emitBidAsk)
{
FireBid(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
FireAsk(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
}
}
}
catch (Exception ex)
{
(sender as XApi).GetLog().Error(ex);
}
}
private void _OnRtnDepthMarketData(IntPtr ptr1, int size1, double double1)
{
// 求快，这个地方不判断
//if (OnRtnDepthMarketData_ == null)
// return;
DepthMarketDataNClass cls = PInvokeUtility.GetDepthMarketDataNClass(ptr1);
OnRtnDepthMarketData(this, ref cls);
}
private void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Input_pd0.Post(marketData);
if (null == KdbWriter)
{
return;
}
Input_kdb.Post(marketData);
}
public bool Write(ref DepthMarketDataNClass pDepthMarketData)
{
QuantBox.Data.Serializer.V2.TickWriter.WriterDataItem item;
if (Items.TryGetValue(pDepthMarketData.Symbol, out item))
{
item.Tick = CreateTick(ref pDepthMarketData, item.Serializer.Codec);
base.Write(item, item.Tick);
return true;
}
return false;
}
private void _onRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Instrument inst = InstrumentManager.GetInstrument(marketData.InstrumentID);
if (inst == null)
{
return;
}
//计算量的差值
double vol = 0;
double difVol = 0;
if (volumeMap.TryGetValue(marketData.InstrumentID, out vol))
{
if (marketData.Volume < vol)
{
return;
}
difVol = marketData.Volume - vol;
vol = marketData.Volume;
}
else
{
volumeMap.Add(marketData.InstrumentID, marketData.Volume);
return;
}
//
Tick tick = new Tick(inst
, marketData.LastPrice
, marketData.Bids.Length > 0 ? marketData.Bids[0].Price : 0
, marketData.Bids.Length > 0 ? marketData.Bids[0].Size : 0
, marketData.Asks.Length > 0 ? marketData.Asks[0].Price : 0
, marketData.Asks.Length > 0 ? marketData.Asks[0].Size : 0
, difVol
, marketData.OpenInterest
, new DateTime(
marketData.ActionDay / 10000
, marketData.ActionDay / 100 % 100
, marketData.ActionDay % 100
, marketData.UpdateTime / 10000
, marketData.UpdateTime / 100 % 100
, marketData.UpdateTime % 100
, marketData.UpdateMillisec)
, marketData.UpperLimitPrice
, marketData.LowerLimitPrice);
//
mOnTick?.Invoke(tick);
}
void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Debugger.Log(0, null, "CTP:C#");
Console.WriteLine(marketData.InstrumentID);
//Console.WriteLine(marketData.Exchange);
Console.WriteLine(marketData.LastPrice);
//Console.WriteLine(marketData.OpenInterest);
if (marketData.Bids.Count() > 0)
{
Console.WriteLine(marketData.Bids[0].Price);
}
if (marketData.Asks.Count() > 0)
{
Console.WriteLine(marketData.Asks[0].Price);
}
}
public bool Write(ref DepthMarketDataNClass pDepthMarketData)
{
//if(IsHdf5)
//{
// // 输出
// return true;
//}
//else
{
QuantBox.Data.Serializer.V2.TickWriter.WriterDataItem item;
if (Items.TryGetValue(pDepthMarketData.Symbol, out item))
{
item.Tick = CreateTick(ref pDepthMarketData, item.Serializer.Codec);
base.Write(item, item.Tick);
return(true);
}
return(false);
}
}
private void FireLevel2Snapshot(SortedSet <int> Ids, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
//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
double volume = pDepthMarketData.Volume - DepthMarket.Volume;
// 以前第一条会导致集合竞价后的第一条没有成交量，这种方法就明确了上一笔是空数据
if (0 == DepthMarket.TradingDay && 0 == DepthMarket.ActionDay)
{
//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，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
foreach (var _id in Ids)
{
List <Bid> bids = new List <Bid>();
if (pDepthMarketData.Bids != null)
{
foreach (var d in pDepthMarketData.Bids)
{
Bid bid = new Bid(
_dateTime,
_exchangeDateTime,
id,
_id,
d.Price,
d.Size);
bids.Add(bid);
}
}
List <Ask> asks = new List <Ask>();
if (pDepthMarketData.Asks != null)
{
foreach (var d in pDepthMarketData.Asks)
{
Ask ask = new Ask(
_dateTime,
_exchangeDateTime,
id,
_id,
d.Price,
d.Size);
asks.Add(ask);
}
}
var l2s = new Level2Snapshot(_dateTime, _exchangeDateTime, id, _id, bids.ToArray(), asks.ToArray())
{
};
// 启用底层数据上传
EmitData(l2s);
}
}
public void OnInputMarketData_kdb(DepthMarketDataNClass pDepthMarketData)
{
KdbWriter.Write(ref pDepthMarketData);
}
public void OnInputMarketData_pd0(DepthMarketDataNClass pDepthMarketData)
{
TickWriter.Write(ref pDepthMarketData);
}
private void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Input.Post(marketData);
}
private void FireBid(int InstrumentId, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
do
{
if (pDepthMarketData.Bids == null || pDepthMarketData.Bids.Length == 0)
{
break;
}
if (DepthMarket.Bids != null && DepthMarket.Bids.Length > 0)
{
if (DepthMarket.Bids[0].Size == pDepthMarketData.Bids[0].Size &&
DepthMarket.Bids[0].Price == pDepthMarketData.Bids[0].Price)
{
// 由于与上次一样，不能动
break;
}
}
Bid bid = new Bid(
_dateTime,
_exchangeDateTime,
this.id,
InstrumentId,
pDepthMarketData.Bids[0].Price,
pDepthMarketData.Bids[0].Size);
EmitData(bid);
} while (false);
}
private void FireAsk(int InstrumentId, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
do
{
if (pDepthMarketData.Asks == null || pDepthMarketData.Asks.Length == 0)
{
break;
}
if (DepthMarket.Asks != null && DepthMarket.Asks.Length > 0)
{
if (DepthMarket.Asks[0].Size == pDepthMarketData.Asks[0].Size &&
DepthMarket.Asks[0].Price == pDepthMarketData.Asks[0].Price)
{
// 由于与上次一样，不能动
break;
}
}
Ask ask = new Ask(
_dateTime,
_exchangeDateTime,
this.id,
InstrumentId,
pDepthMarketData.Asks[0].Price,
pDepthMarketData.Asks[0].Size);
EmitData(ask);
} while (false);
}
private void FireTrade(SortedSet <int> Ids, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
//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
double volume = pDepthMarketData.Volume - DepthMarket.Volume;
// 以前第一条会导致集合竞价后的第一条没有成交量，这种方法就明确了上一笔是空数据
if (0 == DepthMarket.TradingDay && 0 == DepthMarket.ActionDay)
{
//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，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
foreach (var _id in Ids)
{
// 使用新的类,保存更多信息
var trade = new TradeEx(
_dateTime,
_exchangeDateTime,
id,
_id,
pDepthMarketData.LastPrice,
(int)volume)
{
DepthMarketData = pDepthMarketData
};
// 启用底层数据上传
EmitData(trade);
}
}
private DepthMarketDataNClass PbTick2DepthMarketDataNClass(PbTickCodec codec, PbTickView tickView)
{
DepthMarketDataNClass marketData = new DepthMarketDataNClass();
codec.GetUpdateTime(tickView, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
if (SubscribeExternData)
{
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum <ExchangeType> .Parse(tickView.Static.Exchange);
}
marketData.PreClosePrice = tickView.Static.PreClosePrice;
marketData.PreSettlementPrice = tickView.Static.PreSettlementPrice;
marketData.PreOpenInterest = tickView.Static.PreOpenInterest;
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int BidCount = BidPos + 1;
int AskCount = count - AskPos;
marketData.Bids = new DepthField[0];
marketData.Asks = new DepthField[0];
if (SubscribeBid)
{
if (BidCount > 0)
{
marketData.Bids = new DepthField[BidCount];
int j = 0;
for (int i = BidPos; i >= 0; --i)
{
marketData.Bids[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
if (SubscribeAsk)
{
if (AskCount > 0)
{
marketData.Asks = new DepthField[AskCount];
int j = 0;
for (int i = AskPos; i < count; ++i)
{
marketData.Asks[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
}
return(marketData);
}
public OnRtnDepthMarketDataNEventArgs(ref DepthMarketDataNClass marketData)
{
this.marketData = marketData;
}
public MarketDataRecord(Instrument instrument)
{
this.Instrument = instrument;
this.DepthMarket = new DepthMarketDataNClass();
}
public MarketDataRecord()
{
DepthMarket = new DepthMarketDataNClass();
Ids = new SortedSet <int>();
}
public OnRtnDepthMarketDataNEventArgs(ref DepthMarketDataNClass marketData)
{
this.marketData = marketData;
}
private void FireAsk(SortedSet <int> Ids, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
do
{
if (pDepthMarketData.Asks == null || pDepthMarketData.Asks.Length == 0)
{
break;
}
if (DepthMarket.Asks != null && DepthMarket.Asks.Length > 0)
{
if (DepthMarket.Asks[0].Size == pDepthMarketData.Asks[0].Size &&
DepthMarket.Asks[0].Price == pDepthMarketData.Asks[0].Price)
{
// 由于与上次一样，不能动
break;
}
}
foreach (var _id in Ids)
{
Ask ask = new Ask(
_dateTime,
_exchangeDateTime,
id,
_id,
pDepthMarketData.Asks[0].Price,
pDepthMarketData.Asks[0].Size);
EmitData(ask);
}
} while (false);
}
// 目前先不处理港股的tickSize变化的那种行情
PbTick CreateTick(ref DepthMarketDataNClass pDepthMarketData, PbTickCodec codec)
{
var tick = new PbTick();
tick.DepthList = new List <DepthItem>();
tick.Config = codec.Config;
tick.TradingDay = pDepthMarketData.TradingDay;
tick.ActionDay = pDepthMarketData.ActionDay;
tick.Time_HHmm = pDepthMarketData.UpdateTime / 100;
tick.Time_____ssf__ = pDepthMarketData.UpdateTime % 100 * 10 + pDepthMarketData.UpdateMillisec / 100;
tick.Time________ff = pDepthMarketData.UpdateMillisec % 100;
// 数据接收器时计算本地与交易所的行情时间差
// 1.这个地方是否保存？
// 2.到底是XAPI中提供还是由接收器提供？
//tick.LocalTime_Msec = (int)(DateTime.Now - codec.GetActionDayDateTime(tick)).TotalMilliseconds;
codec.SetSymbol(tick, pDepthMarketData.Symbol);
if (pDepthMarketData.Exchange != ExchangeType.Undefined)
{
codec.SetExchange(tick, Enum <ExchangeType> .ToString(pDepthMarketData.Exchange));
}
codec.SetLowerLimitPrice(tick, pDepthMarketData.LowerLimitPrice);
codec.SetUpperLimitPrice(tick, pDepthMarketData.UpperLimitPrice);
codec.SetOpen(tick, pDepthMarketData.OpenPrice);
codec.SetHigh(tick, pDepthMarketData.HighestPrice);
codec.SetLow(tick, pDepthMarketData.LowestPrice);
codec.SetClose(tick, pDepthMarketData.ClosePrice);
codec.SetVolume(tick, (long)pDepthMarketData.Volume);
codec.SetOpenInterest(tick, (long)pDepthMarketData.OpenInterest);
codec.SetTurnover(tick, pDepthMarketData.Turnover);//一定要设置合约乘数才能最优保存
codec.SetAveragePrice(tick, pDepthMarketData.AveragePrice);
codec.SetLastPrice(tick, pDepthMarketData.LastPrice);
codec.SetSettlementPrice(tick, pDepthMarketData.SettlementPrice);
codec.SetPreClosePrice(tick, pDepthMarketData.PreClosePrice);
codec.SetPreSettlementPrice(tick, pDepthMarketData.PreSettlementPrice);
codec.SetPreOpenInterest(tick, (long)pDepthMarketData.PreOpenInterest);
for (int i = pDepthMarketData.Bids.Length - 1; i >= 0; --i)
{
var bid = pDepthMarketData.Bids[i];
if (bid.Size == 0)
{
break;
}
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, bid.Price);
tick.AskPrice1 += 1;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(bid.Price), bid.Size, bid.Count));
}
for (int i = 0; i < pDepthMarketData.Asks.Length; ++i)
{
var ask = pDepthMarketData.Asks[i];
if (ask.Size == 0)
{
break;
}
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, ask.Price);
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(ask.Price), ask.Size, ask.Count));
}
return(tick);
}
private void FireAsk(SortedSet <int> Ids, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
double price = 0.0;
int size = 0;
// 当出现涨跌停时，有可能是一开始就是涨跌停，也有可能慢慢变成涨跌停
if (pDepthMarketData.Asks == null || pDepthMarketData.Asks.Length == 0)
{
}
else
{
if (DepthMarket.Asks != null && DepthMarket.Asks.Length > 0)
{
if (DepthMarket.Asks[0].Size == pDepthMarketData.Asks[0].Size &&
DepthMarket.Asks[0].Price == pDepthMarketData.Asks[0].Price)
{
// 由于与上次一样，不能动
return;
}
}
price = pDepthMarketData.Asks[0].Price;
size = pDepthMarketData.Asks[0].Size;
}
foreach (var _id in Ids)
{
Ask ask = new Ask(
_dateTime,
_exchangeDateTime,
id,
_id,
price,
size);
EmitData(ask);
}
}
