/// <summary>
/// 获取某个证券的某段时间的历史数据
/// </summary>
/// <param name="instrument"></param>
/// <param name="dataType"></param>
/// <param name="barSize"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
/// <returns></returns>
public List <ISeriesObject> GetHistoricalData(Instrument instrument, HistoricalDataType dataType, int barSize, string beginTime, string endTime)
{
switch (dataType)
{
case HistoricalDataType.Bar:
List <GMSDK.Bar> gskBars = new List <GMSDK.Bar>();
gskBars = _md.GetBars(instrument.Symbol, barSize, beginTime, endTime);
return(GSKToGM.ConvertBars(gskBars));
case HistoricalDataType.Daily:
List <GMSDK.DailyBar> gskDailys = new List <GMSDK.DailyBar>();
gskDailys = _md.GetDailyBars(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertDailys(gskDailys));
case HistoricalDataType.Trade:
this.gskTicksCache = _md.GetTicks(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertTrades(this.gskTicksCache));
case HistoricalDataType.Quote:
this.gskTicksCache = _md.GetTicks(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertQuotes(this.gskTicksCache));
default:
throw new ArgumentException("Unknown data type: " + dataType.ToString());
}
}
private List <GMSDK.Tick> gskTicksCache = new List <GMSDK.Tick>();//trade和quote都由GMSDK.tick产生,为了历史数据提供者在导入trade和quote时不用读取两遍的tick,故而用此变量缓存tick
public void SendHistoricalDataRequest(HistoricalDataRequest request)
{
if (!this.IsConnected)
{
this.EmitError(1, "The current historical data provider not connected.");
return;
}
Instrument instrument = (Instrument)request.Instrument;
this.historicalDataIds.Add(request.RequestId, request);
string beginTime = request.BeginDate.ToString("yyyy-MM-dd HH:mm:ss");
string endTime = request.EndDate.ToString("yyyy-MM-dd HH:mm:ss");
List <ISeriesObject> list = this.GetHistoricalData(instrument, request.DataType, (int)request.BarSize, beginTime, endTime);
bool flag = false;
if ((list.Count < 1) || (flag = this.historicalPendingCancels.ContainsKey(request.RequestId)))
{
if (flag)
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
else
{
this.historicalDataIds.Remove(request.RequestId);
this.EmitHistoricalDataRequestCompleted(request.RequestId, request.Instrument);
}
}
else
{
if (request.DataType == HistoricalDataType.Trade)
{
foreach (ISeriesObject obj1 in list)
{
this.EmitHistoricalTrade(request.RequestId, request.Instrument, obj1 as Trade);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
if (this.tradeAndQuote)//Quote与Trade一起导入
{
List <ISeriesObject> listOther = GSKToGM.ConvertQuotes(this.gskTicksCache);
foreach (ISeriesObject obj2 in listOther)
{
this.EmitHistoricalQuote(request.RequestId, request.Instrument, obj2 as Quote);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
}
}
else if (request.DataType == HistoricalDataType.Quote)
{
foreach (ISeriesObject obj2 in list)
{
this.EmitHistoricalQuote(request.RequestId, request.Instrument, obj2 as Quote);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
if (this.tradeAndQuote)//Trade与Quote一起导入
{
List <ISeriesObject> listOther = GSKToGM.ConvertTrades(this.gskTicksCache);
foreach (ISeriesObject obj1 in listOther)
{
this.EmitHistoricalTrade(request.RequestId, request.Instrument, obj1 as Trade);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
}
}
else
{
foreach (ISeriesObject obj3 in list)
{
this.EmitHistoricalBar(request.RequestId, request.Instrument, obj3 as Bar);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
}
this.EmitHistoricalDataRequestCompleted(request.RequestId, request.Instrument);
}
}