public OnRspQryHistoricalBarsEventArgs(IntPtr pTicks, int size1, ref HistoricalDataRequestField request, int size2, bool bIsLast)
{
this.pTicks = pTicks;
this.size1 = size1;
this.request = request;
this.size2 = size2;
this.bIsLast = bIsLast;
}
public OnRspQryHistoricalBarsEventArgs(IntPtr pTicks, int size1, ref HistoricalDataRequestField request, int size2, bool bIsLast)
{
this.pTicks = pTicks;
this.size1 = size1;
this.request = request;
this.size2 = size2;
this.bIsLast = bIsLast;
}
private void _OnRspQryHistoricalBars(IntPtr ptr1, int size1, IntPtr ptr2, int size2, double double1)
{
if (OnRspQryHistoricalBars == null)
{
return;
}
HistoricalDataRequestField obj = PInvokeUtility.GetObjectFromIntPtr <HistoricalDataRequestField>(ptr2);
OnRspQryHistoricalBars(this, ptr1, size1, ref obj, size2, double1 != 0);
}
public int ReqQryHistoricalBars(ref HistoricalDataRequestField request)
{
IntPtr ptr = Marshal.AllocHGlobal(Marshal.SizeOf(typeof(HistoricalDataRequestField)));
Marshal.StructureToPtr(request, ptr, false);
IntPtr ret = proxy.XRequest((byte)RequestType.ReqQryHistoricalBars, Handle, IntPtr.Zero, 0, 0,
ptr, 0, IntPtr.Zero, 0, IntPtr.Zero, 0);
Marshal.FreeHGlobal(ptr);
return ret.ToInt32();
}
public int ReqQryHistoricalBars(ref HistoricalDataRequestField request)
{
IntPtr ptr = Marshal.AllocHGlobal(Marshal.SizeOf(typeof(HistoricalDataRequestField)));
Marshal.StructureToPtr(request, ptr, false);
IntPtr ret = proxy.XRequest((byte)RequestType.ReqQryHistoricalBars, Handle, IntPtr.Zero, 0, 0,
ptr, 0, IntPtr.Zero, 0, IntPtr.Zero, 0);
Marshal.FreeHGlobal(ptr);
return(ret.ToInt32());
}
private HistoricalDataRequestField ToStruct(HistoricalDataRequest request)
{
string altSymbol;
string altExchange;
string apiSymbol;
string apiExchange;
double apiTickSize;
string apiProductID;
GetApi_Symbol_Exchange_TickSize(request.Instrument, this.id,
out altSymbol, out altExchange,
out apiSymbol, out apiExchange,
out apiTickSize,
out apiProductID);
HistoricalDataRequestField field = new HistoricalDataRequestField();
field.Symbol = request.Instrument.Symbol;
field.InstrumentID = apiSymbol;
field.ExchangeID = apiExchange;
field.Date1 = GetDate(request.DateTime1);
field.Date2 = GetDate(request.DateTime2);
field.Time1 = GetTime(request.DateTime1);
field.Time2 = GetTime(request.DateTime2);
field.DataType = (XAPI.DataObjetType)request.DataType;
if (request.BarType.HasValue)
{
field.BarType = (XAPI.BarType)request.BarType.Value;
}
if (request.BarSize.HasValue)
{
field.BarSize = (int)request.BarSize.Value;
}
//field.RequestId;
//field.Count;
return(field);
}
private void OnRspQryHistoricalBars_callback(object sender, IntPtr pTicks, int size1, ref HistoricalDataRequestField request, int size2, bool bIsLast)
{
if (null != OnRspQryHistoricalBars)
{
OnRspQryHistoricalBars(this, new OnRspQryHistoricalBarsEventArgs(pTicks, size1, ref request, size2, bIsLast));
}
}
private void OnRspQryHistoricalBars_callback(object sender, IntPtr pTicks, int size1, ref HistoricalDataRequestField request, int size2, bool bIsLast)
{
if (null != OnRspQryHistoricalBars)
{
OnRspQryHistoricalBars(this, new OnRspQryHistoricalBarsEventArgs(pTicks, size1, ref request, size2, bIsLast));
}
}
private int GetHistoricalBars(HistoricalDataRequestField request)
{
return(1);
//return _HdApi.ReqQryHistoricalBars(ref request);
}
private void OnRspQryHistoricalTicks_callback(object sender, IntPtr pTicks, int size1, ref HistoricalDataRequestField request, int size2, bool bIsLast)
{
int size = Marshal.SizeOf(typeof(TickField));
(sender as XApi).GetLog().Info("<--OnRspQryHistoricalTicks:{0},{1},{2},{3}条", request.CurrentDate, request.InstrumentID, request.ExchangeID, size1 / size);
HistoricalDataRecord record;
if (!historicalDataRecords.TryGetValue(request.RequestId, out record))
{
return;
}
int day = -1;
double volume = 0;
DateTime datetime = DateTime.MinValue;
DateTime updatetime = DateTime.MinValue;
List <DataObject> list = new List <DataObject>();
for (int i = 0; i < size1 / size; ++i)
{
IntPtr ptr = (IntPtr)(pTicks + size * i);
TickField obj = Marshal.PtrToStructure <TickField>(ptr);
DateTime dt = GetDateTime(obj.Date, obj.Time, obj.Millisecond);
if (datetime == dt)
{
updatetime = updatetime.AddMilliseconds(100);
}
else
{
updatetime = dt;
}
if (day != updatetime.Day)
{
volume = 0;
}
day = updatetime.Day;
volume = obj.Volume - volume;
// 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, TickFieldToString(obj, updatetime, volume));
// 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;
tickLog.Log(logEvent);
}
if (FilterDateTime)
{
if (FilterDateTime_(record.Request, updatetime))
{
DataObject o = null;
if (EmitAllTickType)
{
// 全面保存数据
o = new Trade(updatetime, this.id, record.Request.Instrument.Id, obj.LastPrice, (int)volume);
list.Add(o);
o = new Quote(updatetime, this.id, record.Request.Instrument.Id, obj.BidPrice1, obj.BidSize1, obj.AskPrice1, obj.AskSize1);
list.Add(o);
}
else
{
// 分别保存
switch (record.Request.DataType)
{
case DataObjectType.Tick:
case DataObjectType.Bid:
o = new Bid(updatetime, this.id, record.Request.Instrument.Id, obj.BidPrice1, obj.BidSize1);
break;
case DataObjectType.Ask:
o = new Ask(updatetime, this.id, record.Request.Instrument.Id, obj.AskPrice1, obj.AskSize1);
break;
case DataObjectType.Trade:
o = new Trade(updatetime, this.id, record.Request.Instrument.Id, obj.LastPrice, (int)volume);
break;
case DataObjectType.Quote:
o = new Quote(updatetime, this.id, record.Request.Instrument.Id, obj.BidPrice1, obj.BidSize1, obj.AskPrice1, obj.AskSize1);
break;
}
list.Add(o);
}
}
}
datetime = dt;
volume = obj.Volume;
}
if (EmitHistoricalData)
{
HistoricalData data = new HistoricalData
{
RequestId = record.Request.RequestId,
Objects = list.ToArray(),
TotalNum = list.Count,
};
//Console.WriteLine("============");
//Console.WriteLine(list.Count);
base.EmitHistoricalData(data);
}
if (bIsLast)
{
EmitHistoricalDataEnd(record.Request.RequestId, RequestResult.Completed, "");
}
}
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, "");
}
}