public void onTick(GMSDK.Tick tick)
{
lock (this.newTickLock)
{
this.setNewTick(tick, true);
}
}
public static GMTrade ConvertTrade(GMSDK.Tick gskTick)
{
char buyOrSell = 'N';
switch (gskTick.trade_type)
{
case 0:
break;
case 7:
buyOrSell = 'B';
break;
case 8:
buyOrSell = 'S';
break;
}
return(new GMTrade(startTimeUTC.AddSeconds(gskTick.utc_time), gskTick.last_price, gskTick.last_volume, buyOrSell,
gskTick.last_amount, gskTick.cum_volume, gskTick.cum_amount, gskTick.high, gskTick.low, gskTick.open, gskTick.pre_close,
gskTick.upper_limit, gskTick.lower_limit));
}
private void setNewTick(GMSDK.Tick tick, bool isPush = false)
{
string symbol = tick.exchange + "." + tick.sec_id;
if (isPush)
{
this.symbolsOfPush.Add(symbol);
}
if (!subscribedSymbols.Contains(symbol))
{
return;
}
Instrument curInstrument = InstrumentManager.Instruments[symbol];
if (curInstrument == null)
{
this.EmitError(2, "Symbol " + symbol + " was not found in InstrumentManager.");
return;
}
GMSDK.Tick prevTick = null;
if (!this.tickCache.TryGetValue(symbol, out prevTick))
{
this.EmitNewTrade(GSKToGM.ConvertTrade(tick), curInstrument);
this.EmitNewQuote(GSKToGM.ConvertQuote(tick), curInstrument);
}
else
{
if (tick.utc_time > prevTick.utc_time)
{
if (tick.last_volume > 0 || tick.last_price != prevTick.last_price)
{
this.EmitNewTrade(GSKToGM.ConvertTrade(tick), curInstrument);
}
this.EmitNewQuote(GSKToGM.ConvertQuote(tick), curInstrument);
}
}
this.tickCache[symbol] = tick;
}
public static GMLastTick ConvertTick(GMSDK.Tick gskTick)
{
char buyOrSell = 'N';
switch (gskTick.trade_type)
{
case 0:
break;
case 7:
buyOrSell = 'B';
break;
case 8:
buyOrSell = 'S';
break;
}
return(new GMLastTick(startTimeUTC.AddSeconds(gskTick.utc_time), gskTick.last_price, gskTick.last_volume, buyOrSell,
gskTick.last_amount, gskTick.cum_volume, gskTick.cum_amount, gskTick.high, gskTick.low, gskTick.open, gskTick.pre_close,
gskTick.upper_limit, gskTick.lower_limit, gskTick.bid_p1, gskTick.bid_v1, gskTick.ask_p1, gskTick.ask_v1, gskTick.bid_p2,
gskTick.bid_p3, gskTick.bid_p4, gskTick.bid_p5, gskTick.bid_v2, gskTick.bid_v3, gskTick.bid_v4, gskTick.bid_v5, gskTick.ask_p2, gskTick.ask_p3,
gskTick.ask_p4, gskTick.ask_p5, gskTick.ask_v2, gskTick.ask_v3, gskTick.ask_v4, gskTick.ask_v5));
}
public ReportArgs GetQuotes(List <string> symbols)
{
List <string> securityIDs = new List <string>();
List <byte> marketIDs = new List <byte>();
foreach (string symbol in symbols)
{
string[] temp = symbol.Split('.');
string market = temp[0];
byte marketID = 0;
switch (market)
{
case "SHSE":
marketID = 1;
break;
case "SZSE":
marketID = 0;
break;
}
marketIDs.Add(marketID);
string securityID = temp[1];
securityIDs.Add(securityID);
}
short count = (short)securityIDs.Count;
ReportArgs reportArgs = new ReportArgs();
StringBuilder errInfo = new StringBuilder(256);
StringBuilder result = new StringBuilder(1024 * 1024);
if (TdxHqWrapper.TdxHq_GetSecurityQuotes(marketIDs.ToArray(), securityIDs.ToArray(), ref count, result, errInfo))
{
reportArgs.Succeeded = true;
List <GMSDK.Tick> ticks = new List <GMSDK.Tick>();
List <string[]> data = this.pickUp(result);
for (int i = 1; i < data.Count; i++)
{
GMSDK.Tick tick = new GMSDK.Tick();
int marketID = int.Parse(data[i][0]);
switch (marketID)
{
case 0:
tick.exchange = "SZSE";
break;
case 1:
tick.exchange = "SHSE";
break;
}
tick.sec_id = data[i][1];
tick.last_price = float.Parse(data[i][3]);
tick.pre_close = float.Parse(data[i][4]);
tick.open = float.Parse(data[i][5]);
tick.high = float.Parse(data[i][6]);
tick.low = float.Parse(data[i][7]);
tick.utc_time = double.Parse(data[i][8]);
tick.cum_volume = double.Parse(data[i][10]);
tick.last_volume = int.Parse(data[i][11]);
tick.cum_amount = double.Parse(data[i][12]);
tick.bid_p1 = float.Parse(data[i][17]);
tick.ask_p1 = float.Parse(data[i][18]);
tick.bid_v1 = int.Parse(data[i][19]);
tick.ask_v1 = int.Parse(data[i][20]);
tick.bid_p2 = float.Parse(data[i][21]);
tick.ask_p2 = float.Parse(data[i][22]);
tick.bid_v2 = int.Parse(data[i][23]);
tick.ask_v2 = int.Parse(data[i][24]);
tick.bid_p3 = float.Parse(data[i][25]);
tick.ask_p3 = float.Parse(data[i][26]);
tick.bid_v3 = int.Parse(data[i][27]);
tick.ask_v3 = int.Parse(data[i][28]);
tick.bid_p4 = float.Parse(data[i][29]);
tick.ask_p4 = float.Parse(data[i][30]);
tick.bid_v4 = int.Parse(data[i][31]);
tick.ask_v4 = int.Parse(data[i][32]);
tick.bid_p5 = float.Parse(data[i][33]);
tick.ask_p5 = float.Parse(data[i][34]);
tick.bid_v5 = int.Parse(data[i][35]);
tick.ask_v5 = int.Parse(data[i][36]);
tick.upper_limit = (float)(tick.pre_close * 1.1);
tick.lower_limit = (float)(tick.pre_close * 0.9);
ticks.Add(tick);
}
reportArgs.Result = ticks;
}
else
{
reportArgs.Succeeded = false;
reportArgs.ErrorInfo = errInfo.ToString();
}
return(reportArgs);
}
public static GMQuote ConvertQuote(GMSDK.Tick gskTick)
{
return(new GMQuote(startTimeUTC.AddSeconds(gskTick.utc_time), gskTick.bid_p1, gskTick.bid_v1, gskTick.ask_p1, gskTick.ask_v1, gskTick.bid_p2,
gskTick.bid_p3, gskTick.bid_p4, gskTick.bid_p5, gskTick.bid_v2, gskTick.bid_v3, gskTick.bid_v4, gskTick.bid_v5, gskTick.ask_p2, gskTick.ask_p3,
gskTick.ask_p4, gskTick.ask_p5, gskTick.ask_v2, gskTick.ask_v3, gskTick.ask_v4, gskTick.ask_v5));
}
public List <GMSDK.Tick> GetQuotes(List <string> symbols)
{
List <GMSDK.Tick> ticks = new List <GMSDK.Tick>();
if (symbols.Count <= 0)
{
return(ticks);
}
List <string> quoteStrings = new List <string>();
int k = 10;
int m = symbols.Count / k + 1;
for (int j = 0; j < m; j++)
{
int start = j * k;
int n = symbols.Count - start;
if (n > k)
{
n = k;
}
List <string> subSymbols = symbols.GetRange(start, n);
string url = this.urlBase + "list=";
for (int i = 0; i < subSymbols.Count; i++)
{
string newSymbol = this.ConvertSymbol(subSymbols[i]);
if (i > 0)
{
url += "," + newSymbol;
}
else
{
url += newSymbol;
}
}
Stream str = this._client.OpenRead(url);
StreamReader reader = new StreamReader(str);
//Console.WriteLine(url);
string aQuote;
while ((aQuote = reader.ReadLine()) != null)
{
quoteStrings.Add(aQuote);
}
str.Close();
}
DateTime startTimeUTC = TimeZone.CurrentTimeZone.ToLocalTime(new DateTime(1970, 1, 1));
for (int i = 0; i < symbols.Count; i++)
{
string[] data = quoteStrings[i].Split(',');
if (data.Length >= 33)
{
GMSDK.Tick aTick = new GMSDK.Tick();
aTick.open = float.Parse(data[1]);
aTick.pre_close = float.Parse(data[2]);
aTick.last_price = float.Parse(data[3]);
aTick.high = float.Parse(data[4]);
aTick.low = float.Parse(data[5]);
aTick.cum_volume = double.Parse(data[8]);
aTick.cum_amount = double.Parse(data[9]);
aTick.bid_v1 = int.Parse(data[10]);
aTick.bid_p1 = float.Parse(data[11]);
aTick.bid_v2 = int.Parse(data[12]);
aTick.bid_p2 = float.Parse(data[13]);
aTick.bid_v3 = int.Parse(data[14]);
aTick.bid_p3 = float.Parse(data[15]);
aTick.bid_v4 = int.Parse(data[16]);
aTick.bid_p4 = float.Parse(data[17]);
aTick.bid_v5 = int.Parse(data[18]);
aTick.bid_p5 = float.Parse(data[19]);
aTick.ask_v1 = int.Parse(data[20]);
aTick.ask_p1 = float.Parse(data[21]);
aTick.ask_v2 = int.Parse(data[22]);
aTick.ask_p2 = float.Parse(data[23]);
aTick.ask_v3 = int.Parse(data[24]);
aTick.ask_p3 = float.Parse(data[25]);
aTick.ask_v4 = int.Parse(data[26]);
aTick.ask_p4 = float.Parse(data[27]);
aTick.ask_v5 = int.Parse(data[28]);
aTick.ask_p5 = float.Parse(data[29]);
aTick.strtime = data[30] + " " + data[31];
DateTime time = DateTime.Parse(aTick.strtime);
aTick.utc_time = (time - startTimeUTC).TotalSeconds;
string[] temp = symbols[i].Split('.');
aTick.exchange = temp[0];
aTick.sec_id = temp[1];
ticks.Add(aTick);
}
}
return(ticks);
}
