public static bool TryConvert(Quote quote, ref DFITCDepthMarketDataField DepthMarketData)
{
if (quoteField == null)
{
quoteField = typeof(Quote).GetField("quote", BindingFlags.NonPublic | BindingFlags.Instance);
}
XSpeedQuote q = quoteField.GetValue(quote) as XSpeedQuote;
if (null != q)
{
DepthMarketData = q.DepthMarketData;
return(true);
}
return(false);
}
private void OnMarketData(IntPtr pMdUserApi, ref DFITCDepthMarketDataField pMarketDataField)
{
try
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pMarketDataField.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pMarketDataField.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
DFITCDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pMarketDataField.InstrumentID, out 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
_dictDepthMarketData[pMarketDataField.InstrumentID] = pMarketDataField;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
////直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
//try
//{
// // 只有使用交易所行情时才需要处理跨天的问题
// ChangeTradingDay(pDepthMarketData.TradingDay);
// int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
// int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
// int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
// _dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
//}
//catch (Exception ex)
//{
// _dateTime = Clock.Now;
//}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pMarketDataField.LastPrice
&& DepthMarket.Volume == pMarketDataField.Volume)
{ }
else
{
//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
int volume = pMarketDataField.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//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 = pMarketDataField.Volume;
}
XSpeedTrade trade = new XSpeedTrade(_dateTime,
pMarketDataField.LastPrice == double.MaxValue ? 0 : pMarketDataField.LastPrice,
volume);
trade.DepthMarketData = pMarketDataField;
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
XSpeedQuote quote = new XSpeedQuote(_dateTime,
pMarketDataField.BidPrice1 == -1 ? 0 : pMarketDataField.BidPrice1,
pMarketDataField.BidVolume1,
pMarketDataField.AskPrice1 == -1 ? 0 : pMarketDataField.AskPrice1,
pMarketDataField.AskVolume1
);
quote.DepthMarketData = pMarketDataField;
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pMarketDataField.AskPrice1, pMarketDataField.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pMarketDataField.BidPrice1, pMarketDataField.BidVolume1);
}
}
catch (Exception ex)
{
tdlog.Error(ex);
}
//// 直接回报CTP的行情信息
//if (EmitOnRtnDepthMarketData)
//{
// CTPAPI.GetInstance().FireOnRtnDepthMarketData(pDepthMarketData);
//}
}