public static void ProcessMarketDataField(ThostFtdcDepthMarketDataField field)
{
var quotation = new Quotation(field);
int volume = 0;
Quotation preQuotation;
if (quotationDic.TryGetValue(quotation.InstrumentID, out preQuotation) && preQuotation.TradingDay == quotation.TradingDay)
{
volume = quotation.Volume - preQuotation.Volume;
}
quotationDic[quotation.InstrumentID] = quotation;
CandleCenter.ProcessQuotation(quotation, volume);
DataSaver.AddQuotation(quotation);
IQuotationReceiver[] receivers;
lock (subscribeDic)
{
List<IQuotationReceiver> receiverList;
if (!subscribeDic.TryGetValue(quotation.InstrumentID, out receiverList))
{
return;
}
receivers = receiverList.ToArray();
}
foreach (var item in receivers)
{
item.ProcessQuotation(quotation, volume);
}
}
public void UpdateCandle(Quotation quotation, int volume)
{
this.Close = quotation.LastPrice;
this.High = Math.Max(this.High, quotation.LastPrice);
this.Low = Math.Min(this.Low, quotation.LastPrice);
this.Volume += volume;
this.OpenInterest = quotation.OpenInterest;
}
public static void ProcessQuotation(Quotation quotation, int volume)
{
CandleBuilder builder;
if (!builders.TryGetValue(quotation.InstrumentID, out builder))
{
builder = new CandleBuilder(CandleDAL.GetLast(quotation.InstrumentID), CandleType.Minute);
builders.Add(quotation.InstrumentID, builder);
}
builder.ProcessQuotation(quotation, volume);
DataSaver.AddCandle(builder.LastData);
}
public Candle(Quotation quotation, DateTime candleTime, int volume)
{
this.InstrumentID = quotation.InstrumentID;
this.TradingDay = quotation.TradingDay;
this.CandleTime = candleTime;
this.Open = quotation.LastPrice;
this.Close = quotation.LastPrice;
this.High = quotation.LastPrice;
this.Low = quotation.LastPrice;
this.Volume = volume;
this.OpenInterest = quotation.OpenInterest;
}
public bool ProcessQuotation(Quotation quotation, int volume)
{
DateTime newCandleTime = CandleHelper.GetCandleTime(quotation.Time, quotation.TradingDay, this.type);
if (this.LastData == null || this.LastData.CandleTime != newCandleTime)
{
this.LastData = new Candle(quotation, newCandleTime, volume);
return true;
}
else
{
this.LastData.UpdateCandle(quotation, volume);
return false;
}
}
public static List<Quotation> Get()
{
var table = new DataTable();
var adapter = new SQLiteDataAdapter("SELECT * FROM quotation", DALUtil.Connection);
adapter.Fill(table);
var quotations = new List<Quotation>();
foreach (var item in table.Rows)
{
var row = item as DataRow;
var quotation = new Quotation();
quotation.TradingDay = row.Field<DateTime>(0);
quotation.InstrumentID = row.Field<string>(1);
quotation.ExchangeID = row.Field<string>(2);
quotation.ExchangeInstID = row.Field<string>(3);
quotation.LastPrice = DALUtil.GetDouble(row[4]);
quotation.PreSettlementPrice = DALUtil.GetDouble(row[5]);
quotation.PreClosePrice = DALUtil.GetDouble(row[6]);
quotation.PreOpenInterest = DALUtil.GetDouble(row[7]);
quotation.OpenPrice = DALUtil.GetDouble(row[8]);
quotation.HighestPrice = DALUtil.GetDouble(row[9]);
quotation.LowestPrice = DALUtil.GetDouble(row[10]);
quotation.Volume = row.Field<int>(11);
quotation.Turnover = DALUtil.GetDouble(row[12]);
quotation.OpenInterest = DALUtil.GetDouble(row[13]);
quotation.ClosePrice = DALUtil.GetDouble(row[14]);
quotation.SettlementPrice = DALUtil.GetDouble(row[15]);
quotation.UpperLimitPrice = DALUtil.GetDouble(row[16]);
quotation.LowerLimitPrice = DALUtil.GetDouble(row[17]);
quotation.PreDelta = DALUtil.GetDouble(row[18]);
quotation.CurrDelta = DALUtil.GetDouble(row[19]);
quotation.Time = row.Field<DateTime>(20);
quotation.BidPrice1 = DALUtil.GetDouble(row[21]);
quotation.BidVolume1 = row.Field<int>(22);
quotation.AskPrice1 = DALUtil.GetDouble(row[23]);
quotation.AskVolume1 = row.Field<int>(24);
quotation.AveragePrice = row.Field<double>(25);
quotations.Add(quotation);
}
return quotations;
}
public void Update(Quotation quotation)
{
this.LastPrice = GetNullableDouble(quotation.LastPrice);
this.PreSettlementPrice = GetNullableDouble(quotation.PreSettlementPrice);
this.PreClosePrice = GetNullableDouble(quotation.PreClosePrice);
this.PreOpenInterest = GetNullableDouble(quotation.PreOpenInterest);
this.OpenPrice = GetNullableDouble(quotation.OpenPrice);
this.HighestPrice = GetNullableDouble(quotation.HighestPrice);
this.LowestPrice = GetNullableDouble(quotation.LowestPrice);
this.Volume = quotation.Volume;
this.Turnover = GetNullableDouble(quotation.Turnover);
this.OpenInterest = GetNullableDouble(quotation.OpenInterest);
this.ClosePrice = GetNullableDouble(quotation.ClosePrice);
this.SettlementPrice = GetNullableDouble(quotation.SettlementPrice);
this.UpperLimitPrice = GetNullableDouble(quotation.UpperLimitPrice);
this.LowerLimitPrice = GetNullableDouble(quotation.LowerLimitPrice);
this.PreDelta = GetNullableDouble(quotation.PreDelta);
this.CurrDelta = GetNullableDouble(quotation.CurrDelta);
this.Time = quotation.Time;
this.BidPrice1 = GetNullableDouble(quotation.BidPrice1);
this.BidVolume1 = quotation.BidVolume1;
this.AskPrice1 = GetNullableDouble(quotation.AskPrice1);
this.AskVolume1 = quotation.AskVolume1;
this.AveragePrice = Math.Round(quotation.AveragePrice, 2);
}
public QuotationModel(Quotation quotation)
{
this.InstrumentID = quotation.InstrumentID;
this.Update(quotation);
}
public void ProcessQuotation(Quotation quotation, int volume)
{
QuotationModel quotationModel = this.Quotations.First(p => p.InstrumentID == quotation.InstrumentID);
quotationModel.Update(quotation);
}
public void ProcessQuotation(Quotation quotation, int volume)
{
if (this.builder == null)
{
return;
}
bool isCreateOrUpdate = this.builder.ProcessQuotation(quotation, volume);
this.dispatcher.Invoke(() =>
{
if (isCreateOrUpdate)
{
this.Candles.Add(this.builder.LastData);
}
else
{
this.Candles[this.Candles.Count - 1] = this.builder.LastData;
}
});
}
public static void AddQuotation(Quotation quotation)
{
quotationQueue.Enqueue(quotation);
}