///深度行情通知
private void NativeOnRtnDepthMarketData(CtpDepthMarketData depthMarketData)
{
var rsp = new CtpResponse();
rsp.TypeId = CtpResponseType.OnRtnDepthMarketData;
rsp.Item1 = new CtpAny(depthMarketData);
ProcessResponse(ref rsp);
}
public static DateTime GetExchangeTime(CtpDepthMarketData data)
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
try {
// 模拟时TradingDay周五晚上收的日期是周一,ActionDay为空
// 20140310 想来想去，时间的确定还是使用TradingDay，使用实际日期
// 20140315 TradingDay在夜盘时是第二天的时间，在行情去重Block会出错，使0点后的行情全无法传出
var span = GetSpan(data.UpdateTime);
// 夜盘时间，从TradingDay中取的交易时间与日历不对，特别是周五晚到周六早上
// 本想取ActionDay，但模拟中目前为空
DateTime date;
var dayText = data.ActionDay;
// 除了有取出为“”的情况，还有取去为“$4”的情况，好吧，只能这样了
if (dayText.Length != 8)
{
// 如何证明慢了一天或快了一天呢？
date = DateTime.Today;
if (span.Hours >= 23)
{
if (date.Hour <= 1)
{
// 表示行情时间慢了，系统日期减一天即可
date = date.AddDays(-1);
}
}
else if (span.Hours <= 1)
{
if (date.Hour >= 23)
{
// 表示本地时间慢了，本地时间加一天即可
date = date.AddDays(1);
}
}
// !!!! 这种处理方法的后果是，如果你周日登录了
// 行情本是周六凌晨的最后一笔，变成了周日凌晨有一笔了
// 无所谓，这个错误数据由用户自己来过滤
}
else
{
// 取的是ActionDay，这是最简单的结果
date = GetDate(dayText);
}
return(date.Add(span).AddMilliseconds(data.UpdateMillisec));
}
catch (Exception) {
// 这个地方到底是用哪个时间比较好，
//return framework.Clock.DateTime;
return(DateTime.Now);
}
}
public static void SetExchangeTime(CtpDepthMarketData data, DepthMarketDataField market)
{
market.TradingDay = GetDate(data.TradingDay);
market.UpdateTime = GetTime(data.UpdateTime);
market.UpdateMillisec = data.UpdateMillisec;
if (market.UpdateTime < 60000)
{
market.ActionDay = market.TradingDay;
}
else
{
var now = DateTime.Today;
market.ActionDay = now.Year * 10000 + now.Month * 100 + now.Day;
}
}
public static void SetExchangeTime(CtpDepthMarketData data, DepthMarketDataField market)
{
market.TradingDay = GetDate(data.TradingDay);
market.UpdateTime = GetTime(data.UpdateTime);
market.UpdateMillisec = data.UpdateMillisec;
if (!string.IsNullOrEmpty(data.ActionDay) &&
data.ActionDay.Length == 8)
{
market.ActionDay = GetDate(data.ActionDay);
}
else
{
market.ActionDay = GetActionDay(market.UpdateTime);
}
}
private void OnRtnDepthMarketData(object sender, CtpDepthMarketData data)
{
var market = new DepthMarketDataField();
market.InstrumentID = data.InstrumentID;
market.ExchangeID = data.ExchangeID;
market.Exchange = CtpConvert.GetExchangeType(data.ExchangeID);
switch (market.Exchange)
{
case ExchangeType.CZCE:
CtpConvert.SetCzceExchangeTime(data, market);
break;
case ExchangeType.DCE:
CtpConvert.SetDceExchangeTime(data, market);
break;
default:
CtpConvert.SetExchangeTime(data, market);
break;
}
market.LastPrice = CtpConvert.IsMax(data.LastPrice) ? 0 : data.LastPrice;
market.Volume = data.Volume;
market.OpenInterest = data.OpenInterest;
market.Turnover = data.Turnover;
market.AveragePrice = data.AveragePrice;
if (CtpConvert.IsMax(data.OpenPrice))
{
market.OpenPrice = 0;
market.HighestPrice = 0;
market.LowestPrice = 0;
market.TradingPhase = TradingPhaseType.BeforeTrading;
}
else
{
market.OpenPrice = data.OpenPrice;
market.HighestPrice = data.HighestPrice;
market.LowestPrice = data.LowestPrice;
market.TradingPhase = TradingPhaseType.Continuous;
}
if (CtpConvert.IsMax(data.ClosePrice))
{
market.ClosePrice = 0;
}
else
{
market.ClosePrice = data.ClosePrice;
market.TradingPhase = TradingPhaseType.Closed;
}
market.SettlementPrice = CtpConvert.IsMax(data.SettlementPrice) ? 0 : data.SettlementPrice;
market.UpperLimitPrice = data.UpperLimitPrice;
market.LowerLimitPrice = data.LowerLimitPrice;
market.PreClosePrice = data.PreClosePrice;
market.PreSettlementPrice = data.PreSettlementPrice;
market.PreOpenInterest = data.PreOpenInterest;
if (!CtpConvert.IsMax(data.AskPrice1))
{
market.Asks = new[] { new DepthField {
Price = data.AskPrice1, Size = data.AskVolume1
} };
}
else
{
market.Asks = new DepthField[0];
}
if (!CtpConvert.IsMax(data.BidPrice1))
{
market.Bids = new[] { new DepthField {
Price = data.BidPrice1, Size = data.BidVolume1
} };
}
else
{
market.Bids = new DepthField[0];
}
_spi.ProcessDepthMarketData(market);
}
public static void SetCzceExchangeTime(CtpDepthMarketData data, DepthMarketDataField market)
{
SetExchangeTime(data, market);
}
private void OnRtnDepthMarketData(object sender, CtpDepthMarketData data)
{
//Thread.Sleep(5000);
var market = new DepthMarketDataField();
market.InstrumentID = data.InstrumentID;
market.ExchangeID = data.ExchangeID;
//market.Exchange = CtpConvert.GetExchangeType(data.ExchangeID);
CtpConvert.SetExchangeTime(data, market);
market.LastPrice = CtpConvert.IsInvalid(data.LastPrice) ? 0 : data.LastPrice;
market.Volume = data.Volume;
market.OpenInterest = data.OpenInterest;
market.Turnover = data.Turnover;
market.AveragePrice = data.AveragePrice;
if (CtpConvert.IsInvalid(data.OpenPrice))
{
market.OpenPrice = 0;
market.HighestPrice = 0;
market.LowestPrice = 0;
//market.TradingPhase = TradingPhaseType.BeforeTrading;
}
else
{
market.OpenPrice = data.OpenPrice;
market.HighestPrice = data.HighestPrice;
market.LowestPrice = data.LowestPrice;
//market.TradingPhase = TradingPhaseType.Continuous;
}
if (CtpConvert.IsInvalid(data.ClosePrice))
{
market.ClosePrice = 0;
}
else
{
market.ClosePrice = data.ClosePrice;
//market.TradingPhase = TradingPhaseType.Closed;
}
market.SettlementPrice = CtpConvert.IsInvalid(data.SettlementPrice) ? 0 : data.SettlementPrice;
market.UpperLimitPrice = data.UpperLimitPrice;
market.LowerLimitPrice = data.LowerLimitPrice;
market.PreClosePrice = data.PreClosePrice;
market.PreSettlementPrice = data.PreSettlementPrice;
market.PreOpenInterest = data.PreOpenInterest;
market.Asks = new DepthField[5];
market.Bids = new DepthField[5];
if (!CtpConvert.IsInvalid(data.AskPrice1))
{
market.Asks[0].Price = data.AskPrice1;
market.Asks[0].Size = data.AskVolume1;
if (!CtpConvert.IsInvalid(data.AskPrice2))
{
market.Asks[1].Price = data.AskPrice2;
market.Asks[1].Size = data.AskVolume2;
if (!CtpConvert.IsInvalid(data.AskPrice3))
{
market.Asks[2].Price = data.AskPrice3;
market.Asks[2].Size = data.AskVolume3;
if (!CtpConvert.IsInvalid(data.AskPrice4))
{
market.Asks[3].Price = data.AskPrice4;
market.Asks[3].Size = data.AskVolume4;
if (!CtpConvert.IsInvalid(data.AskPrice5))
{
market.Asks[4].Price = data.AskPrice5;
market.Asks[4].Size = data.AskVolume5;
}
}
}
}
}
if (!CtpConvert.IsInvalid(data.BidPrice1))
{
market.Bids[0].Price = data.BidPrice1;
market.Bids[0].Size = data.BidVolume1;
if (!CtpConvert.IsInvalid(data.BidPrice2))
{
market.Bids[1].Price = data.BidPrice2;
market.Bids[1].Size = data.BidVolume2;
if (!CtpConvert.IsInvalid(data.BidPrice3))
{
market.Bids[2].Price = data.BidPrice3;
market.Bids[2].Size = data.BidVolume3;
if (!CtpConvert.IsInvalid(data.BidPrice4))
{
market.Bids[3].Price = data.BidPrice4;
market.Bids[3].Size = data.BidVolume4;
if (!CtpConvert.IsInvalid(data.BidPrice5))
{
market.Bids[4].Price = data.BidPrice5;
market.Bids[4].Size = data.BidVolume5;
}
}
}
}
}
_spi.ProcessDepthMarketData(market);
}
