Example #1
0
 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;
 }
Example #2
0
 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;
 }
Example #3
0
        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();
        }
Example #5
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());
        }
Example #6
0
        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);
        }
Example #7
0
 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));
     }
 }
Example #8
0
 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);
 }
Example #10
0
        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, "");
            }
        }
Example #11
0
        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, "");
            }
        }