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;
}
}
