private void OnRtnDepthMarketData_callback(object sender, [In] ref XAPI.DepthMarketDataNClass marketData)
{
DepthMarketDataNClass cls = new DepthMarketDataNClass();
XAPI.DepthMarketDataNClass field = marketData;
cls.TradingDay = field.TradingDay;
cls.ActionDay = field.ActionDay;
cls.UpdateTime = field.UpdateTime;
cls.UpdateMillisec = field.UpdateMillisec;
cls.Exchange = (int)field.Exchange;
cls.Symbol = field.Symbol;
cls.InstrumentID = field.InstrumentID;
cls.ExchangeID = field.ExchangeID;
cls.LastPrice = field.LastPrice;
cls.Volume = field.Volume;
cls.Turnover = field.Turnover;
cls.OpenInterest = field.OpenInterest;
cls.AveragePrice = field.AveragePrice;
cls.OpenPrice = field.OpenPrice;
cls.HighestPrice = field.HighestPrice;
cls.LowestPrice = field.LowestPrice;
cls.ClosePrice = field.ClosePrice;
cls.SettlementPrice = field.SettlementPrice;
cls.UpperLimitPrice = field.UpperLimitPrice;
cls.LowerLimitPrice = field.LowerLimitPrice;
cls.PreClosePrice = field.PreClosePrice;
cls.PreSettlementPrice = field.PreSettlementPrice;
cls.PreOpenInterest = field.PreOpenInterest;
cls.TradingPhase = (int)field.TradingPhase;
cls.TradingPhase_String = Enum <XAPI.TradingPhaseType> .ToString(field.TradingPhase);
if (field.Bids != null && field.Bids.Length > 0)
{
cls.BidPrice1 = field.Bids[0].Price;
cls.BidSize = field.Bids[0].Size;
}
if (field.Asks != null && field.Asks.Length > 0)
{
cls.AskPrice1 = field.Asks[0].Price;
cls.AskSize = field.Asks[0].Size;
}
if (null == OnRtnDepthMarketData)
{
QueueData qd = new QueueData();
qd.Type = (int)ResponseType.OnRtnDepthMarketData;
qd.Type_String = Enum <XAPI.ResponseType> .ToString(ResponseType.OnRtnDepthMarketData);
qd.Sender = this;
qd.Data1 = cls;
MessageQueue.Enqueue(qd);
}
else
{
OnRtnDepthMarketData(this, cls);
}
}
private void XApi_OnRtnDepthMarketData(object sender, ref XAPI.DepthMarketDataNClass marketData)
{
if (onReturnMarketData == null)
{
return;
}
if (!IsInOpenPeriod(marketData.UpdateTime))
{
return;
}
ITickBar tickBar = StructTransfer.TransferTickBar(marketData);
onReturnMarketData(sender, ref tickBar);
}
//public static MarketData TransferMarketData(XAPI.DepthMarketDataNClass marketData)
//{
// MarketData rspMarketData = new MarketData();
// XAPI.DepthField bidField = marketData.Bids[0];
// XAPI.DepthField askField = marketData.Asks[0];
// rspMarketData.BuyMount = askField.Size;
// rspMarketData.BuyPrice = (float)askField.Price;
// rspMarketData.SellMount = bidField.Size;
// rspMarketData.SellPrice = (float)bidField.Price;
// rspMarketData.Price = (float)marketData.OpenPrice;
// rspMarketData.Time = marketData.ActionDay + Math.Round(((double)marketData.UpdateTime) / 100000, 6);
// return rspMarketData;
//}
public static ITickBar TransferTickBar(XAPI.DepthMarketDataNClass xapiMarketData)
{
TickBar tickBar = new TickBar();
//tickBar.Code = transferCode(xapiMarketData.InstrumentID);
tickBar.Code = xapiMarketData.InstrumentID;
tickBar.Time = xapiMarketData.ActionDay + Math.Round((double)xapiMarketData.UpdateTime / 1000000, 6);
tickBar.Price = (float)xapiMarketData.LastPrice;
tickBar.Mount = 0;
tickBar.TotalMount = (int)xapiMarketData.Volume;
tickBar.Add = 0;
tickBar.Hold = (int)xapiMarketData.OpenInterest;
tickBar.BuyMount = xapiMarketData.Bids.Length == 0 ? 0 : xapiMarketData.Bids[0].Size;
tickBar.BuyPrice = xapiMarketData.Bids.Length == 0 ? 0 : (float)xapiMarketData.Bids[0].Price;
tickBar.IsBuy = xapiMarketData.LastPrice == tickBar.BuyPrice;
tickBar.SellMount = xapiMarketData.Asks.Length == 0 ? 0 : xapiMarketData.Asks[0].Size;
tickBar.SellPrice = xapiMarketData.Asks.Length == 0 ? 0 : (float)xapiMarketData.Asks[0].Price;
return(tickBar);
}
