private void OnNewBar(object sender, BarEventArgs args)
{
if (NewBar != null)
{
CThostFtdcDepthMarketDataField DepthMarket;
Instrument inst = InstrumentManager.Instruments[args.Instrument.Symbol];
string altSymbol = inst.GetSymbol(Name);
Bar bar = args.Bar;
if (_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket))
{
bar = new Bar(args.Bar);
bar.OpenInt = (long)DepthMarket.OpenInterest;
}
#if OQ
if (null != MarketDataFilter)
{
Bar b = MarketDataFilter.FilterBar(bar, args.Instrument.Symbol);
if (null != b)
{
NewBar(this, new BarEventArgs(b, args.Instrument, this));
}
}
else
#endif
{
NewBar(this, new BarEventArgs(bar, args.Instrument, this));
}
}
}
// 很悲剧，EmitBar对混淆的Simulator无效，不产生OnBar事件，但OnBarOpen事件没有问题
public override Bar FilterBar(Bar bar, string symbol)
{
string key = string.Format("{0}.{1}.{2}", symbol, bar.Type, bar.Size);
_bars[key] = bar;
// 在这之前可以做自己的过滤
Bar b = bar;
if (filter != null)
{
b = filter.FilterBar(bar, symbol);
}
if (b != null)
{
EmitBar(symbol, b.DateTime, b.Open, b.High, b.Low, b.Close, b.Volume, b.OpenInt, b.Size);
}
else
{
return(null);
}
Bar b1, b2;
string key1 = string.Format("{0}.{1}.{2}", "l1405", bar.Type, bar.Size);
string key2 = string.Format("{0}.{1}.{2}", "v1405", bar.Type, bar.Size);
if ("l1405-v1405".Contains(symbol))
{
if (_bars.TryGetValue(key1, out b1) &&
_bars.TryGetValue(key2, out b2))
{
// 这个地方一定要注意!!!!b1.High与b2.High由于发生的时间点不同，相减得到的High是不正确的
// 如果还用他来计算TR和ATR指标的话，那就更加有问题了,Low原理也是一样
// 如果没有用到High/Low，直接用0也不合适，图表显示会乱
EmitBar("l1405-v1405", bar.DateTime,
b1.Open - b2.Open,
Math.Max(b1.Open - b2.Open, b1.Close - b2.Close),
Math.Min(b1.Open - b2.Open, b1.Close - b2.Close),
b1.Close - b2.Close,
0, 0, bar.Size);
}
}
// 注意，这个地方一定要返回null
// 这实际上是让插件内部的Emit不调用
return(null);
}
private void OnNewBar(object sender, BarEventArgs args)
{
if (NewBar != null)
{
Bar bar = args.Bar;
if (null != MarketDataFilter)
{
Bar b = MarketDataFilter.FilterBar(bar, args.Instrument.Symbol);
if (null != b)
{
NewBar(this, new BarEventArgs(b, args.Instrument, this));
}
}
else
{
NewBar(this, new BarEventArgs(bar, args.Instrument, this));
}
}
}
