public void OutputSeries(out IDataSeries trades, out IDataSeries bids, out IDataSeries asks)
{
trades = new TickSeries();
bids = new TickSeries();
asks = new TickSeries();
PbTickCodec codec = new PbTickCodec();
int TradingDay = -1;
int _lastTradeSize = 0;
foreach (var s in Series)
{
if(TradingDay != s.TradingDay)
{
_lastTradeSize = 0;
TradingDay = s.TradingDay;
}
var dateTime = codec.GetDateTime(s.ActionDay == 0 ? s.TradingDay : s.ActionDay).Add(codec.GetUpdateTime(s));
var tick = PbTick2DepthMarketDataNClass(codec, s);
if(SubscribeExternData)
{
var trade = new TradeEx(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = tick;
trades.Add(trade);
}
else
{
var trade = new Trade(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trades.Add(trade);
}
if (tick.Bids != null && tick.Bids.Length > 0)
{
var bid = new Bid(dateTime, 0, _InstrumentId, tick.Bids[0].Price, tick.Bids[0].Size);
bids.Add(bid);
}
if (tick.Asks != null && tick.Asks.Length > 0)
{
var ask = new Ask(dateTime, 0, _InstrumentId, tick.Asks[0].Price, tick.Asks[0].Size);
asks.Add(ask);
}
_lastTradeSize = (int)tick.Volume;
}
}
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;
}
