private void OnReminder(ReminderEventArgs args)
{
lock (this)
{
foreach (KeyValuePair <Instrument, Dictionary <DateTime, Daily> > kvp1 in dailyBars.ToList())
{
Instrument instrument = kvp1.Key;
Dictionary <DateTime, Daily> dailyBox = kvp1.Value;
foreach (KeyValuePair <DateTime, Daily> kvp2 in dailyBox.ToList())
{
DateTime barDateTime = kvp2.Key;
Daily daily = kvp2.Value;
DZHQuote lastQuote = lastQuotes[instrument.Symbol];
if (lastQuote.Time.Date == barDateTime)
{
daily.High = lastQuote.High;
daily.Low = lastQuote.Low;
daily.Close = lastQuote.Price;
daily.Volume = (long)lastQuote.TotalVolume;
((DZHBarFactory)this.factory).EmitNewBar(daily, instrument);//必须使用barfactory激活事件
}
dailyBox.Remove(barDateTime);
}
if (dailyBox.Count == 0)
{
dailyBars.Remove(instrument);
}
}
((DZHBarFactory)this.factory).EmitNewBarSlice(BarSize.Day);
}
}
protected DZHQuote ReadARecord(long pos)
{
DZHQuote aQuote = new DZHQuote();
fileStream.Position = pos + 60;
aQuote.Time = date19700101.AddSeconds(reader.ReadUInt32());
fileStream.Position = pos + 68;
aQuote.LastClose = reader.ReadSingle();
aQuote.Open = reader.ReadSingle();
aQuote.High = reader.ReadSingle();
aQuote.Low = reader.ReadSingle();;
aQuote.Price = reader.ReadSingle();
aQuote.TotalVolume = reader.ReadSingle();
aQuote.TotalAmount = reader.ReadSingle();
aQuote.Volume = reader.ReadSingle();
fileStream.Position = pos + 100;
aQuote.Bid1 = reader.ReadSingle();
aQuote.Bid2 = reader.ReadSingle();
aQuote.Bid3 = reader.ReadSingle();
aQuote.Bid4 = reader.ReadSingle();
aQuote.Bid5 = reader.ReadSingle();
aQuote.Bid1Vol = reader.ReadSingle();
aQuote.Bid2Vol = reader.ReadSingle();
aQuote.Bid3Vol = reader.ReadSingle();
aQuote.Bid4Vol = reader.ReadSingle();
aQuote.Bid5Vol = reader.ReadSingle();
aQuote.Ask1 = reader.ReadSingle();
aQuote.Ask2 = reader.ReadSingle();
aQuote.Ask3 = reader.ReadSingle();
aQuote.Ask4 = reader.ReadSingle();
aQuote.Ask5 = reader.ReadSingle();
aQuote.Ask1Vol = reader.ReadSingle();
aQuote.Ask2Vol = reader.ReadSingle();
aQuote.Ask3Vol = reader.ReadSingle();
aQuote.Ask4Vol = reader.ReadSingle();
aQuote.Ask5Vol = reader.ReadSingle();
return(aQuote);
}
/*定时器执行更新报价*/
private void tickTimer_Elapsed(object sender, ElapsedEventArgs e)
{
/*如果只在开市时读数据，在非开市时间直接退出*/
if (onlyReadInMarket && (DateTime.Now < DateTime.Today.Add(beginTime) || DateTime.Now > DateTime.Today.Add(endTime)))
{
return;
}
/*当运行到第二天时，清空报价缓存*/
if (lastDateOfQuote < DateTime.Today)
{
lastDateOfQuote = DateTime.Today;
lastQuotes.Clear();
}
if (quoteReader == null)
{
quoteReader = new DZHQuoteReader(dzhDataPath);
}
try
{
foreach (string symbol in subscribedSymbols.ToArray())
{
if (!subscribedSymbols.Contains(symbol))
{
continue;
}
Instrument curInstrument = InstrumentManager.Instruments[symbol];
if (curInstrument == null)
{
this.EmitError(-1, -1, "Symbol " + symbol + " was not found in list of requested symbols.");
}
else
{
DZHSymbol dzhSymbol = new DZHSymbol(curInstrument.SecurityExchange, curInstrument.SecurityID);
DZHQuote newQuote = quoteReader.RequestQuote(dzhSymbol);
bool flag1 = false;
bool flag2 = false;
bool first = false;//是否是请求的第一笔数据
if (this.lastQuotes.ContainsKey(symbol))
{
DZHQuote oldQuote = this.lastQuotes[symbol];
/*这里注释掉和下面一样，大智慧发送来的数据存在同一时刻多笔交易的现象
* 所以不能用时间来排除
*/
//if (newQuote.Time != oldQuote.Time)
//{
if ((newQuote.Bid1 != oldQuote.Bid1) || (newQuote.Bid1Vol != oldQuote.Bid1Vol) ||
(newQuote.Ask1 != oldQuote.Ask1) || (newQuote.Ask1Vol != oldQuote.Ask1Vol))
{
flag1 = true;
}
if ((newQuote.TotalVolume != oldQuote.TotalVolume) || (newQuote.Price != oldQuote.Price))
{
flag2 = true;
}
// }
this.lastQuotes[symbol] = newQuote;
}
else
{
first = true;
if ((newQuote.Ask1 > 0.0) || (newQuote.Bid1 > 0.0))
{
flag1 = true;
}
if ((newQuote.Price > 0.0) || (newQuote.Volume > 0.0))
{
flag2 = true;
}
this.lastQuotes.Add(symbol, newQuote);
}
/*这里注释掉是，不做时间检查，因为不使用市场数据提供者存储数据，市场数据提供者只用于实时交易
*而要获取过去的数据存储起来，使用历史数据提供者
*/
//if ((flag1) && ((curInstrument.GetQuoteArray(newQuote.Time, newQuote.Time)).Count == 0))
if (flag1)
{
this.EmitNewQuote(new Quote(newQuote.Time, newQuote.Bid1, (int)newQuote.Bid1Vol, newQuote.Ask1, (int)newQuote.Ask1Vol), curInstrument);
}
/*大智慧有可能在同一时刻有多笔交易，QD不允许这样，所以有可能丢失某些笔交易
* 如果不作同一时刻的检查，则有可能在数据中保存重复的交易
* 这里注释掉是，不做时间检查，因为不使用市场数据提供者存储数据，市场数据提供者只用于实时交易
*而要获取过去的数据存储起来，使用历史数据提供者
*/
//if ((flag2) && ((curInstrument.GetTradeArray(newQuote.Time, newQuote.Time)).Count == 0))
if (flag2)
{
this.EmitNewTrade(new Trade(newQuote.Time, newQuote.Price, (int)newQuote.Volume), curInstrument);
/*以下代码是为了产生日线*/
if (first && buildDailyBar)
{
lock (this)
{
DateTime barDateTime = newQuote.Time.Date;
if (!dailyBars.ContainsKey(curInstrument))
{
dailyBars.Add(curInstrument, new Dictionary <DateTime, Daily>());
}
Dictionary <DateTime, Daily> dailyBox = dailyBars[curInstrument];
if (!dailyBox.ContainsKey(barDateTime))
{
Daily daily = new Daily(barDateTime, newQuote.Open, newQuote.High, newQuote.Low, newQuote.Price, (long)newQuote.TotalVolume);
dailyBox.Add(barDateTime, daily);
((DZHBarFactory)this.factory).EmitNewBarOpen(daily, curInstrument);
}
DateTime realyEndTime = Clock.Now.Add(this.endTime - newQuote.Time.TimeOfDay);
Clock.AddReminder(new ReminderEventHandler(OnReminder), realyEndTime, null);
}
}
}
}
}
}
catch (Exception exception)
{
this.EmitError(-1, -1, exception.ToString());
}
}
