/// <summary>
/// 内外盘方向描述。
/// </summary>
/// <param name="side"></param>
/// <returns></returns>
public static string ToDescription(this USeActiveSide side)
{
switch (side)
{
case USeActiveSide.Ask: return("内盘");
case USeActiveSide.Bid: return("外盘");
default: return("未知");
}
}
/// <summary>
/// 更新K线。
/// </summary>
/// <param name="kLine"></param>
/// <param name="marketData"></param>
private void UpdateKLine(USeKLine kLine, USeMarketData marketData)
{
if (marketData.Volume < kLine.Volumn)
{
return;
}
int volumeDiff = marketData.Volume - 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;
}
//更新
if (kLine.High < marketData.LastPrice)
{
kLine.High = marketData.LastPrice;
}
if (kLine.Low > marketData.LastPrice)
{
kLine.Low = marketData.LastPrice;
}
kLine.Close = marketData.LastPrice;
kLine.Volumn = marketData.Volume;
kLine.Turnover = marketData.Turnover;
kLine.OpenInterest = marketData.OpenInterest;
kLine.AskVolumn += askVolume;
kLine.BidVolumn += bidVolume;
kLine.AvgPrice = marketData.AvgPrice;
}
/// <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);
}
}
