/// <summary>
/// 行情更新。
/// </summary>
/// <remarks>行情数据。</remarks>
/// <returns></returns>
public override void UpdateMarketData(USeMarketData marketData)
{
Debug.Assert(m_kLine != null);
Debug.Assert(m_componentDic.ContainsKey(marketData.Instrument.InstrumentCode));
if (m_componentDic.ContainsKey(marketData.Instrument.InstrumentCode))
{
m_componentDic[marketData.Instrument.InstrumentCode] = marketData;
}
else
{
return;
}
if (m_allowCalc == false)
{
CheckIsAllowCalc();
}
if (m_allowCalc == false)
{
return;
}
CalcIndexKLine();
if (DateTime.Now >= m_nextPublishTime || m_kLine.SettlementPrice > 0m)
{
m_publisher.PublishKLine(m_kLine.Clone());
m_nextPublishTime = DateTime.Now.AddTicks(m_publishInterval.Ticks);
}
}
/// <summary>
/// 行情更新。
/// </summary>
/// <remarks>行情数据。</remarks>
/// <returns></returns>
public override void UpdateMarketData(USeMarketData marketData)
{
if (m_kLine == null)
{
m_kLine = CreateFirstKLine(marketData);
}
else
{
if (marketData.Volume < m_kLine.Volumn)
{
return;
}
if (GetCycleTime(marketData.UpdateTime) == m_kLine.DateTime)
{
int volumeDiff = marketData.Volume - m_kLine.Volumn;
USeActiveSide activeSide = GetActiveSide(marketData);
int askVolume = 0;
int bidVolume = 0;
if (activeSide == USeActiveSide.Ask)
{
askVolume = volumeDiff;
}
else if (activeSide == USeActiveSide.Bid)
{
bidVolume = volumeDiff;
}
else
{
Debug.Assert(activeSide == USeActiveSide.None);
askVolume = (int)(volumeDiff / 2);
bidVolume = volumeDiff - askVolume;
}
m_kLine.Open = marketData.OpenPrice;
m_kLine.High = marketData.HighPrice;
m_kLine.Low = marketData.LowPrice;
m_kLine.Close = marketData.LastPrice;
m_kLine.Volumn = marketData.Volume;
m_kLine.Turnover = marketData.Turnover;
m_kLine.OpenInterest = marketData.OpenInterest;
m_kLine.SettlementPrice = marketData.SettlementPrice;
m_kLine.PreSettlementPrice = marketData.PreSettlementPrice;
m_kLine.BidVolumn += bidVolume;
m_kLine.AskVolumn += askVolume;
m_kLine.AvgPrice = marketData.AvgPrice;
if (marketData.OpenInterest != 0m)
{
m_kLine.SpeculateRadio = marketData.Volume / marketData.OpenInterest;
}
else
{
m_kLine.SpeculateRadio = 0m;
}
Debug.Assert(m_kLine.BidVolumn + m_kLine.AskVolumn == m_kLine.Volumn);
//计算资金总沉淀(盘中就用最新价计算资金沉淀，待下午结算价出来之后，按照结算价再更新一次)
int perSharesContract = GetInstrumentPerSharesContract(marketData.Instrument.InstrumentCode); //合约规模
decimal exchangeLongMarginRatio = GetExchangeLongMarginRatio(marketData.Instrument.InstrumentCode); //保证金
m_kLine.SendimentaryMoney = marketData.OpenInterest * marketData.LastPrice * perSharesContract * exchangeLongMarginRatio; //资金沉淀
}
else
{
m_eventLogger.WriteError(string.Format("[YM]{0} receive different data,Code:{3},KLindDate:{1},MarketData:{2}",
ToString(), m_kLine.DateTime.ToString("yyyy-MM-dd HH:mm:ss"),
marketData.UpdateTime.ToString("yyyy-MM-dd HH:mm:ss"),
m_instrument.InstrumentCode.ToString()));
//Debug.Assert(false);
m_publisher.PublishKLine(m_kLine.Clone());
//如果是检查到该合约属于主力合约，重新克隆发送一遍存在day_kline里面作为**9999
if (m_isMainContract)
{
USeKLine mainKLine = m_kLine.Clone();
mainKLine.InstrumentCode = m_mainContractCode.InstrumentCode;
m_publisher.PublishKLine(mainKLine);
}
m_nextPublishTime = DateTime.Now.AddTicks(m_publishInterval.Ticks);
m_kLine = CreateFirstKLine(marketData);
return;
}
}
if (DateTime.Now >= m_nextPublishTime || m_kLine.SettlementPrice > 0m)
{
m_publisher.PublishKLine(m_kLine.Clone());
//如果是检查到该合约属于主力合约，重新克隆发送一遍存在day_kline里面作为**9999
if (m_isMainContract)
{
USeKLine mainKLine = m_kLine.Clone();
mainKLine.InstrumentCode = m_mainContractCode.InstrumentCode;
m_publisher.PublishKLine(mainKLine);
}
m_nextPublishTime = DateTime.Now.AddTicks(m_publishInterval.Ticks);
}
}
/// <summary>
/// 行情更新。
/// </summary>
/// <remarks>行情数据。</remarks>
/// <returns></returns>
public override void UpdateMarketData(USeMarketData marketData)
{
Debug.Assert(marketData.Instrument.InstrumentCode == m_instrument.InstrumentCode);
DateTime updateTime = marketData.UpdateTime;
//if(m_lastUpdateTime.HasValue)
//{
// Debug.Assert(m_lastUpdateTime.Value <= updateTime);
//}
//Debug.Assert(m_volume <= marketData.Volume);
//m_lastUpdateTime = updateTime;
//m_volume = marketData.Volume;
if (m_tradeRange.IsTradeTime(updateTime.TimeOfDay) == false)
{
//非交易时间行情忽略
return;
}
if (m_kLine == null)
{
if (m_tradeRange.IsEndTime(updateTime.TimeOfDay) == false)
{
m_kLine = CreateFirstKLine(marketData);
}
}
else
{
if (m_tradeRange.IsEndTime(updateTime.TimeOfDay))
{
//交易时段结束时间行情,发布KLine并且清空
UpdateKLine(m_kLine, marketData);
m_publisher.PublishKLine(m_kLine.Clone());
if (m_isMainContract)
{
USeKLine mainKLine = m_kLine.Clone();
mainKLine.InstrumentCode = m_mainContract.InstrumentCode;
m_publisher.PublishKLine(mainKLine);
}
m_kLine = null;
}
else
{
DateTime cycelTime = GetCycleTime(marketData.UpdateTime);
if (IsSameCycle(m_kLine.DateTime, cycelTime))
{
UpdateKLine(m_kLine, marketData);
}
else
{
m_publisher.PublishKLine(m_kLine.Clone());
if (m_isMainContract)
{
USeKLine mainKLine = m_kLine.Clone();
mainKLine.InstrumentCode = m_mainContract.InstrumentCode;
m_publisher.PublishKLine(mainKLine);
}
m_kLine = CreateFirstKLine(marketData);
}
}
}
}
/// <summary>
/// 行情更新。
/// </summary>
/// <remarks>行情数据。</remarks>
/// <returns></returns>
public override void UpdateMarketData(USeMarketData marketData)
{
Debug.Assert(m_componentDic.ContainsKey(marketData.Instrument.InstrumentCode));
if (m_componentDic.ContainsKey(marketData.Instrument.InstrumentCode) == false)
{
return;
}
m_componentDic[marketData.Instrument.InstrumentCode] = marketData;
if (m_allowCalc == false)
{
CheckIsAllowCalc();
}
if (m_allowCalc == false)
{
return;
}
DateTime updateTime = marketData.UpdateTime;
if (m_tradeRange.IsTradeTime(updateTime.TimeOfDay) == false)
{
//非交易时间行情忽略
return;
}
if (m_kLine == null)
{
if (m_tradeRange.IsEndTime(updateTime.TimeOfDay) == false)
{
//if (marketData.Instrument.InstrumentCode.StartsWith("j"))
//{
// Debug.WriteLine(string.Format("PublishKLine,FirstKline{0},{1}",
// marketData.Instrument.InstrumentCode, marketData.UpdateTime.ToString("yyyy-MM-dd HH:mm:ss")));
//}
m_kLine = CreateNewKLine(updateTime);
}
}
else
{
if (m_tradeRange.IsEndTime(updateTime.TimeOfDay))
{
//交易时段结束时间行情,发布KLine并且清空
CalcIndexKLine();
m_publisher.PublishKLine(m_kLine.Clone());
m_kLine = null;
}
else
{
DateTime cycelTime = GetCycleTime(marketData.UpdateTime);
if (IsSameCycle(m_kLine.DateTime, cycelTime) == false)
{
if (cycelTime > m_kLine.DateTime)
{
m_publisher.PublishKLine(m_kLine.Clone());
//if (m_kLine.InstrumentCode.StartsWith("j"))
//{
// Debug.WriteLine(string.Format("PublishKLine,{0},{1},{2},{3}",
// m_kLine.InstrumentCode, m_kLine.DateTime.ToString("yyyy-MM-dd HH:mm:ss"),
// marketData.Instrument.InstrumentCode, marketData.UpdateTime.ToString("yyyy-MM-dd HH:mm:ss")));
//}
m_kLine = CreateNewKLine(cycelTime);
}
}
CalcIndexKLine();
}
}
}