private void OnRtnDepthMarketData(object sender, CtpDepthMarketData data)
{
var market = new DepthMarketDataField();
market.InstrumentID = data.InstrumentID;
market.ExchangeID = data.ExchangeID;
market.Exchange = CtpConvert.GetExchangeType(data.ExchangeID);
switch (market.Exchange)
{
case ExchangeType.CZCE:
CtpConvert.SetCzceExchangeTime(data, market);
break;
case ExchangeType.DCE:
CtpConvert.SetDceExchangeTime(data, market);
break;
default:
CtpConvert.SetExchangeTime(data, market);
break;
}
market.LastPrice = CtpConvert.IsMax(data.LastPrice) ? 0 : data.LastPrice;
market.Volume = data.Volume;
market.OpenInterest = data.OpenInterest;
market.Turnover = data.Turnover;
market.AveragePrice = data.AveragePrice;
if (CtpConvert.IsMax(data.OpenPrice))
{
market.OpenPrice = 0;
market.HighestPrice = 0;
market.LowestPrice = 0;
market.TradingPhase = TradingPhaseType.BeforeTrading;
}
else
{
market.OpenPrice = data.OpenPrice;
market.HighestPrice = data.HighestPrice;
market.LowestPrice = data.LowestPrice;
market.TradingPhase = TradingPhaseType.Continuous;
}
if (CtpConvert.IsMax(data.ClosePrice))
{
market.ClosePrice = 0;
}
else
{
market.ClosePrice = data.ClosePrice;
market.TradingPhase = TradingPhaseType.Closed;
}
market.SettlementPrice = CtpConvert.IsMax(data.SettlementPrice) ? 0 : data.SettlementPrice;
market.UpperLimitPrice = data.UpperLimitPrice;
market.LowerLimitPrice = data.LowerLimitPrice;
market.PreClosePrice = data.PreClosePrice;
market.PreSettlementPrice = data.PreSettlementPrice;
market.PreOpenInterest = data.PreOpenInterest;
if (!CtpConvert.IsMax(data.AskPrice1))
{
market.Asks = new[] { new DepthField {
Price = data.AskPrice1, Size = data.AskVolume1
} };
}
else
{
market.Asks = new DepthField[0];
}
if (!CtpConvert.IsMax(data.BidPrice1))
{
market.Bids = new[] { new DepthField {
Price = data.BidPrice1, Size = data.BidVolume1
} };
}
else
{
market.Bids = new DepthField[0];
}
_spi.ProcessDepthMarketData(market);
}
private void ProcessDepthMarketData(ref ResponseData data)
{
var field = PInvokeUtility.GetDepthMarketData(data.Ptr1);
_spi.ProcessDepthMarketData(field);
}
private void OnRtnDepthMarketData(object sender, CtpDepthMarketData data)
{
//Thread.Sleep(5000);
var market = new DepthMarketDataField();
market.InstrumentID = data.InstrumentID;
market.ExchangeID = data.ExchangeID;
//market.Exchange = CtpConvert.GetExchangeType(data.ExchangeID);
CtpConvert.SetExchangeTime(data, market);
market.LastPrice = CtpConvert.IsInvalid(data.LastPrice) ? 0 : data.LastPrice;
market.Volume = data.Volume;
market.OpenInterest = data.OpenInterest;
market.Turnover = data.Turnover;
market.AveragePrice = data.AveragePrice;
if (CtpConvert.IsInvalid(data.OpenPrice))
{
market.OpenPrice = 0;
market.HighestPrice = 0;
market.LowestPrice = 0;
//market.TradingPhase = TradingPhaseType.BeforeTrading;
}
else
{
market.OpenPrice = data.OpenPrice;
market.HighestPrice = data.HighestPrice;
market.LowestPrice = data.LowestPrice;
//market.TradingPhase = TradingPhaseType.Continuous;
}
if (CtpConvert.IsInvalid(data.ClosePrice))
{
market.ClosePrice = 0;
}
else
{
market.ClosePrice = data.ClosePrice;
//market.TradingPhase = TradingPhaseType.Closed;
}
market.SettlementPrice = CtpConvert.IsInvalid(data.SettlementPrice) ? 0 : data.SettlementPrice;
market.UpperLimitPrice = data.UpperLimitPrice;
market.LowerLimitPrice = data.LowerLimitPrice;
market.PreClosePrice = data.PreClosePrice;
market.PreSettlementPrice = data.PreSettlementPrice;
market.PreOpenInterest = data.PreOpenInterest;
market.Asks = new DepthField[5];
market.Bids = new DepthField[5];
if (!CtpConvert.IsInvalid(data.AskPrice1))
{
market.Asks[0].Price = data.AskPrice1;
market.Asks[0].Size = data.AskVolume1;
if (!CtpConvert.IsInvalid(data.AskPrice2))
{
market.Asks[1].Price = data.AskPrice2;
market.Asks[1].Size = data.AskVolume2;
if (!CtpConvert.IsInvalid(data.AskPrice3))
{
market.Asks[2].Price = data.AskPrice3;
market.Asks[2].Size = data.AskVolume3;
if (!CtpConvert.IsInvalid(data.AskPrice4))
{
market.Asks[3].Price = data.AskPrice4;
market.Asks[3].Size = data.AskVolume4;
if (!CtpConvert.IsInvalid(data.AskPrice5))
{
market.Asks[4].Price = data.AskPrice5;
market.Asks[4].Size = data.AskVolume5;
}
}
}
}
}
if (!CtpConvert.IsInvalid(data.BidPrice1))
{
market.Bids[0].Price = data.BidPrice1;
market.Bids[0].Size = data.BidVolume1;
if (!CtpConvert.IsInvalid(data.BidPrice2))
{
market.Bids[1].Price = data.BidPrice2;
market.Bids[1].Size = data.BidVolume2;
if (!CtpConvert.IsInvalid(data.BidPrice3))
{
market.Bids[2].Price = data.BidPrice3;
market.Bids[2].Size = data.BidVolume3;
if (!CtpConvert.IsInvalid(data.BidPrice4))
{
market.Bids[3].Price = data.BidPrice4;
market.Bids[3].Size = data.BidVolume4;
if (!CtpConvert.IsInvalid(data.BidPrice5))
{
market.Bids[4].Price = data.BidPrice5;
market.Bids[4].Size = data.BidVolume5;
}
}
}
}
}
_spi.ProcessDepthMarketData(market);
}