private void FireLevel2Snapshot(SortedSet <int> Ids, 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;
}
foreach (var _id in Ids)
{
List <Bid> bids = new List <Bid>();
if (pDepthMarketData.Bids != null)
{
foreach (var d in pDepthMarketData.Bids)
{
Bid bid = new Bid(
_dateTime,
_exchangeDateTime,
id,
_id,
d.Price,
d.Size);
bids.Add(bid);
}
}
List <Ask> asks = new List <Ask>();
if (pDepthMarketData.Asks != null)
{
foreach (var d in pDepthMarketData.Asks)
{
Ask ask = new Ask(
_dateTime,
_exchangeDateTime,
id,
_id,
d.Price,
d.Size);
asks.Add(ask);
}
}
var l2s = new Level2Snapshot(_dateTime, _exchangeDateTime, id, _id, bids.ToArray(), asks.ToArray())
{
};
// 启用底层数据上传
EmitData(l2s);
}
}
public void OnLevel2(Level2Snapshot snapshot)
{
var list = _orders[snapshot.InstrumentId];
if (FillOnLevel2 && list != null)
{
for (int i = 0; i < list.Count; i++)
{
var order = list[i];
OnLevel2(order, snapshot);
}
RemoveDoneOrders();
}
}
private bool OnAucFill(Order order)
{
if (order.Type == OrderType.Limit)
{
int instrumentId = order.Instrument.Id;
if (FillOnQuote)
{
Ask ask = framework.DataManager.GetAsk(instrumentId);
if (ask != null && OnAsk(order, ask))
{
return(true);
}
Bid bid = framework.DataManager.GetBid(instrumentId);
if (bid != null && OnBid(order, bid))
{
return(true);
}
}
if (FillOnTrade)
{
Trade trade = framework.DataManager.GetTrade(instrumentId);
if (trade != null && OnTrade(order, trade))
{
return(true);
}
}
if (FillOnBar)
{
Bar bar = framework.DataManager.GetBar(instrumentId);
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return(false);
}
if (bar != null && OnBar(order, bar))
{
return(true);
}
}
if (FillOnLevel2)
{
Level2Snapshot snapshot = framework.DataManager.GetAggregatedSnapshot(instrumentId);
if (snapshot != null)
{
return(OnLevel2(order, snapshot));
}
}
}
return(false);
}
internal void method_10(Level2Snapshot level2Snapshot_0)
{
if (this.strategy__0 != null && this.Status == StrategyStatus.Running)
{
List <Strategy> list;
if (this.Mode == StrategyMode.Backtest)
{
list = this.idArray_2[level2Snapshot_0.int_0];
}
else
{
list = this.idArray_3[level2Snapshot_0.int_0][(int)level2Snapshot_0.byte_0];
}
for (int i = 0; i < list.Count; i++)
{
list[i].vmethod_13(level2Snapshot_0);
}
}
}
private bool OnLevel2(Order order, Level2Snapshot snapshot)
{
if (CheckDataProvider && !IsProviderPassed(order, snapshot.ProviderId))
{
return(false);
}
bool result = false;
if (order.Side == OrderSide.Sell)
{
for (int i = 0; i < snapshot.Bids.Length; i++)
{
bool flag = false;
if (order.LeavesQty > 0.0)
{
flag = OnBid(order, snapshot.Bids[i]);
}
if (!flag)
{
break;
}
result = true;
}
}
else if (order.Side == OrderSide.Buy)
{
for (int i = 0; i < snapshot.Asks.Length; i++)
{
bool flag2 = false;
if (order.LeavesQty > 0.0)
{
flag2 = OnAsk(order, snapshot.Asks[i]);
}
if (!flag2)
{
break;
}
result = true;
}
}
return(result);
}
internal void method_10(Level2Snapshot level2Snapshot_0)
{
if (this.strategy__0 != null && this.Status == StrategyStatus.Running)
{
List<Strategy> list;
if (this.Mode == StrategyMode.Backtest)
{
list = this.idArray_2[level2Snapshot_0.int_0];
}
else
{
list = this.idArray_3[level2Snapshot_0.int_0][(int)level2Snapshot_0.byte_0];
}
for (int i = 0; i < list.Count; i++)
{
list[i].vmethod_13(level2Snapshot_0);
}
}
}
