static void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Debugger.Log(0, null, "CTP:C#");
Console.WriteLine(marketData.InstrumentID);
Console.WriteLine(marketData.Exchange);
Console.WriteLine(marketData.LastPrice);
}
static void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Debugger.Log(0, null, "CTP:C#");
Console.WriteLine(marketData.InstrumentID);
Console.WriteLine(marketData.Exchange);
Console.WriteLine(marketData.LastPrice);
}
public static DepthMarketDataNClass GetDepthMarketDataNClass(IntPtr ptr)
{
DepthMarketDataNField obj = (DepthMarketDataNField)Marshal.PtrToStructure(ptr, typeof(DepthMarketDataNField));
DepthMarketDataNClass cls = new DepthMarketDataNClass();
//obj.Size;
cls.TradingDay = obj.TradingDay;
cls.ActionDay = obj.ActionDay;
cls.UpdateTime = obj.UpdateTime;
cls.UpdateMillisec = obj.UpdateMillisec;
cls.Exchange = obj.Exchange;
cls.Symbol = obj.Symbol;
cls.InstrumentID = obj.InstrumentID;
cls.LastPrice = obj.LastPrice;
cls.Volume = obj.Volume;
cls.Turnover = obj.Turnover;
cls.OpenInterest = obj.OpenInterest;
cls.AveragePrice = obj.AveragePrice;
cls.OpenPrice = obj.OpenPrice;
cls.HighestPrice = obj.HighestPrice;
cls.LowestPrice = obj.LowestPrice;
cls.ClosePrice = obj.ClosePrice;
cls.SettlementPrice = obj.SettlementPrice;
cls.UpperLimitPrice = obj.UpperLimitPrice;
cls.LowerLimitPrice = obj.LowerLimitPrice;
cls.PreClosePrice = obj.PreClosePrice;
cls.PreSettlementPrice = obj.PreSettlementPrice;
cls.PreOpenInterest = obj.PreOpenInterest;
cls.TradingPhase = obj.TradingPhase;
//obj.BidCount;
int size = Marshal.SizeOf(typeof(DepthField));
IntPtr pBid = new IntPtr(ptr.ToInt64() + Marshal.SizeOf(typeof(DepthMarketDataNField)));
int AskCount = (obj.Size - Marshal.SizeOf(typeof(DepthMarketDataNField))) / size - obj.BidCount;
IntPtr pAsk = new IntPtr(ptr.ToInt64() + Marshal.SizeOf(typeof(DepthMarketDataNField)) + obj.BidCount * size);
cls.Bids = new DepthField[obj.BidCount];
cls.Asks = new DepthField[AskCount];
for (int i = 0; i < obj.BidCount; ++i)
{
cls.Bids[i] = (DepthField)Marshal.PtrToStructure(new IntPtr(pBid.ToInt64() + i * size), typeof(DepthField));
}
for (int i = 0; i < AskCount; ++i)
{
cls.Asks[i] = (DepthField)Marshal.PtrToStructure(new IntPtr(pAsk.ToInt64() + i * size), typeof(DepthField));
}
return(cls);
}
public static DateTime ExchangeDateTime([In] this DepthMarketDataNClass field)
{
int HH = field.UpdateTime / 10000;
int mm = field.UpdateTime % 10000 / 100;
int ss = field.UpdateTime % 100;
int yyyy = field.ActionDay / 10000;
int MM = field.ActionDay % 10000 / 100;
int dd = field.ActionDay % 100;
return(new DateTime(yyyy, MM, dd, HH, mm, ss, field.UpdateMillisec));
}
static void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Debugger.Log(0, null, "CTP:C#");
Console.WriteLine(marketData.InstrumentID);
//Console.WriteLine(marketData.Exchange);
Console.WriteLine(marketData.LastPrice);
//Console.WriteLine(marketData.OpenInterest);
if (marketData.Bids.Count() > 0)
{
Console.WriteLine(marketData.Bids[0].Price);
}
if (marketData.Asks.Count() > 0)
{
Console.WriteLine(marketData.Asks[0].Price);
}
}
public static DateTime ExchangeDateTime_([In] this DepthMarketDataNClass field)
{
// 表示传回来的时间可能有问题，要检查一下
if (field.UpdateTime == 0)
{
DateTime now = DateTime.Now;
int HH = now.Hour;
int mm = now.Minute;
int ss = now.Second;
int datetime = HH * 10000 + mm * 100 + ss;
if (datetime > 1500 && datetime < 234500)
{
return(now);
}
}
{
int HH = field.UpdateTime / 10000;
int mm = field.UpdateTime % 10000 / 100;
int ss = field.UpdateTime % 100;
DateTime now = DateTime.Now;
if (HH >= 23)
{
if (now.Hour < 1)
{
// 表示行情时间慢了，系统日期减一天即可
now = now.AddDays(-1);
}
}
else if (HH < 1)
{
if (now.Hour >= 23)
{
// 表示本地时间慢了，本地时间加一天即可
now = now.AddDays(1);
}
}
return(now.Date.AddSeconds(HH * 3600 + mm * 60 + ss).AddMilliseconds(field.UpdateMillisec));
}
}
//public ActionBlock<DepthMarketDataField> Input;
//public void OnInputMarketData(DepthMarketDataField pDepthMarketData)
//{
// if (!_tickWriter.Write(ref pDepthMarketData))
// {
// Instrument i = framework.InstrumentManager.Get(pDepthMarketData.Symbol);
// if (i != null)
// {
// _tickWriter.AddInstrument(i);
// _tickWriter.Write(ref pDepthMarketData);
// }
// }
//}
private void OnRtnDepthMarketData_callback(object sender, ref DepthMarketDataNClass pDepthMarketData)
{
//if (_SaveToPd0)
//{
// Input.Post(pDepthMarketData);
//}
if (!_enableEmitData)
return;
try
{
// 传过来的Symbol，有可能是不带点，有可能是带点的
// 要同时存成完整版，因为下单时
MarketDataRecord record;
if (!marketDataRecords.TryGetValue(pDepthMarketData.Symbol, out record))
{
//if (!marketDataRecords.TryGetValue(pDepthMarketData.InstrumentID, out record))
//{
// //(sender as XApi).Log.Warn("合约 {0} {1} 不在订阅列表中却收到了数据", pDepthMarketData.Symbol, pDepthMarketData.InstrumentID);
// return;
//}
return;
}
// 取出上次的行情记录
DepthMarketDataNClass depthMarket = record.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
record.DepthMarket = pDepthMarketData;
_dateTime = DateTime.Now;
try
{
_exchangeDateTime = pDepthMarketData.ExchangeDateTime();
}
catch
{
_exchangeDateTime = _dateTime;
(sender as XApi).Log.Error("{0} ExchangeDateTime有误，现使用LocalDateTime代替，请找API开发人员处理API中的时间兼容问题。", pDepthMarketData.ToFormattedStringExchangeDateTime());
}
if (_emitBidAskFirst)
{
if (_emitBidAsk)
{
FireBid(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
FireAsk(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
}
FireTrade(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
}
else
{
FireTrade(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
if (_emitBidAsk)
{
FireBid(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
FireAsk(record.Instrument.Id, _dateTime, _exchangeDateTime, pDepthMarketData, depthMarket);
}
}
}
catch (Exception ex)
{
(sender as XApi).Log.Error(ex);
}
}
private void FireAsk(int InstrumentId, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
do
{
if (pDepthMarketData.Asks == null || pDepthMarketData.Asks.Length == 0)
break;
if (DepthMarket.Asks != null && DepthMarket.Asks.Length > 0)
{
if (DepthMarket.Asks[0].Size == pDepthMarketData.Asks[0].Size
&& DepthMarket.Asks[0].Price == pDepthMarketData.Asks[0].Price)
{
// 由于与上次一样，不能动
break;
}
}
Ask ask = new Ask(
_dateTime,
_exchangeDateTime,
this.id,
InstrumentId,
pDepthMarketData.Asks[0].Price,
pDepthMarketData.Asks[0].Size);
EmitData(ask);
} while (false);
}
private void FireBid(int InstrumentId, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
do
{
if (pDepthMarketData.Bids == null || pDepthMarketData.Bids.Length == 0)
break;
if (DepthMarket.Bids != null && DepthMarket.Bids.Length > 0)
{
if (DepthMarket.Bids[0].Size == pDepthMarketData.Bids[0].Size
&& DepthMarket.Bids[0].Price == pDepthMarketData.Bids[0].Price)
{
// 由于与上次一样，不能动
break;
}
}
Bid bid = new Bid(
_dateTime,
_exchangeDateTime,
this.id,
InstrumentId,
pDepthMarketData.Bids[0].Price,
pDepthMarketData.Bids[0].Size);
EmitData(bid);
} while (false);
}
private void FireTrade(int InstrumentId,DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData,DepthMarketDataNClass DepthMarket)
{
//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
double volume = pDepthMarketData.Volume - DepthMarket.Volume;
// 以前第一条会导致集合竞价后的第一条没有成交量，这种方法就明确了上一笔是空数据
if (0 == DepthMarket.TradingDay && 0 == DepthMarket.ActionDay)
{
//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 = pDepthMarketData.Volume;
}
// 使用新的类,保存更多信息
var trade = new TradeEx(
_dateTime,
_exchangeDateTime,
this.id,
InstrumentId,
pDepthMarketData.LastPrice,
(int) volume) {DepthMarketData = pDepthMarketData};
// 启用底层数据上传
EmitData(trade);
}
public bool Write(ref DepthMarketDataNClass pDepthMarketData)
{
QuantBox.Data.Serializer.V2.TickWriter.WriterDataItem item;
if (Items.TryGetValue(pDepthMarketData.Symbol, out item))
{
item.Tick = CreateTick(ref pDepthMarketData, item.Serializer.Codec);
base.Write(item, item.Tick);
return true;
}
return false;
}
// 目前先不处理港股的tickSize变化的那种行情
PbTick CreateTick(ref DepthMarketDataNClass pDepthMarketData, PbTickCodec codec)
{
var tick = new PbTick();
tick.DepthList = new List<DepthItem>();
tick.Config = codec.Config;
tick.TradingDay = pDepthMarketData.TradingDay;
tick.ActionDay = pDepthMarketData.ActionDay;
tick.Time_HHmm = pDepthMarketData.UpdateTime / 100;
tick.Time_____ssf__ = pDepthMarketData.UpdateTime % 100 * 10 + pDepthMarketData.UpdateMillisec / 100;
tick.Time________ff = pDepthMarketData.UpdateMillisec % 100;
// 数据接收器时计算本地与交易所的行情时间差
// 1.这个地方是否保存？
// 2.到底是XAPI中提供还是由接收器提供？
//tick.LocalTime_Msec = (int)(DateTime.Now - codec.GetActionDayDateTime(tick)).TotalMilliseconds;
codec.SetSymbol(tick, pDepthMarketData.Symbol);
if (pDepthMarketData.Exchange != ExchangeType.Undefined)
codec.SetExchange(tick, Enum<ExchangeType>.ToString(pDepthMarketData.Exchange));
codec.SetLowerLimitPrice(tick, pDepthMarketData.LowerLimitPrice);
codec.SetUpperLimitPrice(tick, pDepthMarketData.UpperLimitPrice);
codec.SetOpen(tick, pDepthMarketData.OpenPrice);
codec.SetHigh(tick, pDepthMarketData.HighestPrice);
codec.SetLow(tick, pDepthMarketData.LowestPrice);
codec.SetClose(tick, pDepthMarketData.ClosePrice);
codec.SetVolume(tick, (long)pDepthMarketData.Volume);
codec.SetOpenInterest(tick, (long)pDepthMarketData.OpenInterest);
codec.SetTurnover(tick, pDepthMarketData.Turnover);//一定要设置合约乘数才能最优保存
codec.SetAveragePrice(tick, pDepthMarketData.AveragePrice);
codec.SetLastPrice(tick, pDepthMarketData.LastPrice);
codec.SetSettlementPrice(tick, pDepthMarketData.SettlementPrice);
codec.SetPreClosePrice(tick, pDepthMarketData.PreClosePrice);
codec.SetPreSettlementPrice(tick, pDepthMarketData.PreSettlementPrice);
codec.SetPreOpenInterest(tick, (long)pDepthMarketData.PreOpenInterest);
for(int i = pDepthMarketData.Bids.Length - 1;i>=0;--i)
{
var bid = pDepthMarketData.Bids[i];
if (bid.Size == 0)
break;
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, bid.Price);
tick.AskPrice1 += 1;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(bid.Price), bid.Size, bid.Count));
}
for (int i = 0; i < pDepthMarketData.Asks.Length; ++i)
{
var ask = pDepthMarketData.Asks[i];
if (ask.Size == 0)
break;
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, ask.Price);
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(ask.Price), ask.Size, ask.Count));
}
return tick;
}
public static string ToFormattedStringExchangeDateTime([In] this DepthMarketDataNClass field)
{
return(string.Format("[TradingDay={0};ActionDay={1};UpdateTime={2},UpdateMillisec={3}]",
field.TradingDay, field.ActionDay, field.UpdateTime, field.UpdateMillisec));
}
public MarketDataRecord(Instrument instrument)
{
this.Instrument = instrument;
this.DepthMarket = new DepthMarketDataNClass();
}
public void OnInputMarketData(DepthMarketDataNClass pDepthMarketData)
{
TickWriter.Write(ref pDepthMarketData);
}
private void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Input.Post(marketData);
}