public void MakeTick() { tick = new PbTick(); tick.Config = new ConfigInfo().Default(); CalcTickSize(); tick.Config.SetTickSize(TickSize); tick.Config.Time_ssf_Diff = 10; Codec.Config = tick.Config; int HH = int.Parse(time.Substring(0, 2)); int mm = int.Parse(time.Substring(3, 2)); int ss = int.Parse(time.Substring(6, 2)); tick.Time_HHmm = HH * 100 + mm; tick.Time_____ssf__ = ss * 10; tick.TradingDay = 20150120; //if() //{ //} tick.DepthList = new List <DepthItem>(); int i = 0; Bids.Reverse(); foreach (var b in Bids) { tick.DepthList.Add(new DepthItem(Codec.PriceToTick(b.price), b.size, 0)); } foreach (var a in Asks) { tick.DepthList.Add(new DepthItem(Codec.PriceToTick(a.price), a.size, 0)); } if (Asks.Count > 0) { Codec.SetAskPrice1(tick, Asks[0].price); } Codec.SetSymbol(tick, symbol); }
// 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); }
// 目前先不处理港股的tickSize变化的那种行情 PbTick CreateTick(ref DepthMarketDataField 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); do { if (pDepthMarketData.BidVolume1 == 0) { break; } tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice1), pDepthMarketData.BidVolume1, 0)); // 先记录一个假的,防止只有买价没有卖价的情况 codec.SetAskPrice1(tick, pDepthMarketData.BidPrice1); tick.AskPrice1 += 1; if (pDepthMarketData.BidVolume2 == 0) { break; } tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice2), pDepthMarketData.BidVolume2, 0)); if (pDepthMarketData.BidVolume3 == 0) { break; } tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice3), pDepthMarketData.BidVolume3, 0)); if (pDepthMarketData.BidVolume4 == 0) { break; } tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice4), pDepthMarketData.BidVolume4, 0)); if (pDepthMarketData.BidVolume5 == 0) { break; } tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice5), pDepthMarketData.BidVolume5, 0)); } while (false); do { if (pDepthMarketData.AskVolume1 == 0) { break; } tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice1), pDepthMarketData.AskVolume1, 0)); // 记录卖一价 codec.SetAskPrice1(tick, pDepthMarketData.AskPrice1); if (pDepthMarketData.AskVolume2 == 0) { break; } tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice2), pDepthMarketData.AskVolume2, 0)); if (pDepthMarketData.AskVolume3 == 0) { break; } tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice3), pDepthMarketData.AskVolume3, 0)); if (pDepthMarketData.AskVolume4 == 0) { break; } tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice4), pDepthMarketData.AskVolume4, 0)); if (pDepthMarketData.AskVolume5 == 0) { break; } tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice5), pDepthMarketData.AskVolume5, 0)); } while (false); return(tick); }