public IEnumerable<Tick> CalculateSpread(CThostFtdcDepthMarketDataField pDepthMarketData)
{
List<Tick> list = new List<Tick>();
_dict[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (pDepthMarketData.InstrumentID == "IF1305"
|| pDepthMarketData.InstrumentID == "IF1306")
{
CThostFtdcDepthMarketDataField pMD1, pMD2;
if (_dict.TryGetValue("IF1305", out pMD1)
&& _dict.TryGetValue("IF1306", out pMD2))
{
Tick t1 = new Tick("IF1305-IF1306",
pMD1.LastPrice - pMD2.LastPrice,
0);
Tick t2 = new Tick("IF1305-IF1306*2",
pMD1.LastPrice - pMD2.LastPrice * 2,
0);
list.Add(t1);
list.Add(t2);
}
}
return list;
}
public void FireOnRspQryDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (null != OnRspQryDepthMarketData)
{
OnRspQryDepthMarketData(pDepthMarketData);
}
}
void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
Console.WriteLine("==取深度行情");
Console.WriteLine(pDepthMarketData.InstrumentID);
Console.WriteLine(pDepthMarketData.LastPrice);
Console.WriteLine(pDepthMarketData.UpperLimitPrice);
Console.WriteLine(pDepthMarketData.LowerLimitPrice);
}
public static bool TryConvert(Quote quote, ref CThostFtdcDepthMarketDataField DepthMarketData)
{
#if OQ
if (quoteField == null)
{
quoteField = typeof(Quote).GetField("quote", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPQuote q = quoteField.GetValue(quote) as CTPQuote;
#elif QD
CTPQuote q = quote as CTPQuote;
#endif
if (null != q)
{
DepthMarketData = q.DepthMarketData;
return true;
}
return false;
}
public static bool TryConvert(Trade trade, ref CThostFtdcDepthMarketDataField DepthMarketData)
{
#if OQ
if (tradeField == null)
{
tradeField = typeof(Trade).GetField("trade", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPTrade t = tradeField.GetValue(trade) as CTPTrade;
#elif QD
CTPTrade t = trade as CTPTrade;
#endif
if (null != t)
{
DepthMarketData = t.DepthMarketData;
return true;
}
return false;
}
public void OnRspQryDepthMarketData(IntPtr pTraderApi, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (0 == pRspInfo.ErrorID)
{
CThostFtdcDepthMarketDataField DepthMarket;
if (!_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
//没找到此元素，保存一下
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
}
tdlog.Info("已经接收查询深度行情 {0}", pDepthMarketData.InstrumentID);
//通知单例
CTPAPI.GetInstance().FireOnRspQryDepthMarketData(pDepthMarketData);
}
else
{
tdlog.Error("nRequestID:{0},ErrorID:{1},OnRspQryDepthMarketData:{2}", nRequestID, pRspInfo.ErrorID, pRspInfo.ErrorMsg);
EmitError(nRequestID, pRspInfo.ErrorID, "OnRspQryDepthMarketData:" + pRspInfo.ErrorMsg);
}
}
private void OnRtnDepthMarketData_callback(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (null != OnRtnDepthMarketData)
{
OnRtnDepthMarketData(this, new OnRtnDepthMarketDataArgs(pMdUserApi, ref pDepthMarketData));
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//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
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
Instrument instrument = _dictAltSymbol2Instrument[pDepthMarketData.InstrumentID];
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != MarketDataFilter)
{
Trade t = MarketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
}
else
{
EmitNewTradeEvent(instrument, trade);
}
}
if (
DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
)
{ }
else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != MarketDataFilter)
{
Quote q = MarketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
}
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
lock (this)
{
switch (request.SubscriptionRequestType)
{
case DataManager.MARKET_DATA_SUBSCRIBE:
if (!_bMdConnected)
{
EmitError(-1, -1, "行情服务器没有连接,无法订阅行情");
mdlog.ErrorFormat("行情服务器没有连接,无法订阅行情");
return;
}
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
//通过订阅的方式，由平台传入合约对象，在行情接收处将要使用到合约
CThostFtdcDepthMarketDataField DepthMarket;
Instrument inst = InstrumentManager.Instruments[group.Symbol];
string altSymbol = inst.GetSymbol(Name);
if (!_dictDepthMarketData.TryGetValue(altSymbol, out DepthMarket))
{
DepthMarket = new CThostFtdcDepthMarketDataField();
_dictDepthMarketData.Add(altSymbol, DepthMarket);
}
_dictAltSymbol2Instrument[altSymbol] = inst;
mdlog.InfoFormat("订阅合约 {0}", altSymbol);
MdApi.MD_Subscribe(m_pMdApi, altSymbol);
}
if (!_bTdConnected)
{
return;
}
TraderApi.TD_ReqQryInvestorPosition(m_pTdApi, null);
timerPonstion.Enabled = false;
timerPonstion.Enabled = true;
break;
case DataManager.MARKET_DATA_UNSUBSCRIBE:
if (!_bMdConnected)
{
mdlog.ErrorFormat("行情服务器没有连接，退订合约无效");
return;
}
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup group = request.GetRelatedSymGroup(i);
Instrument inst = InstrumentManager.Instruments[group.Symbol];
string altSymbol = inst.GetSymbol(Name);
_dictDepthMarketData.Remove(altSymbol);
mdlog.InfoFormat("取消订阅 {0}", altSymbol);
MdApi.MD_Unsubscribe(m_pMdApi, altSymbol);
}
break;
default:
throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType);
}
}
}
public OnRtnDepthMarketDataArgs(IntPtr pMdUserApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
this.pMdUserApi = pMdUserApi;
this.pDepthMarketData = pDepthMarketData;
}
public void CopyFrom(CThostFtdcDepthMarketDataField pDepthMarketData)
{
InstrumentId = pDepthMarketData.InstrumentID;
TradingDay = pDepthMarketData.TradingDay;
LastPrice = pDepthMarketData.LastPrice;
BidPrice1 = pDepthMarketData.BidPrice1;
BidVolume1 = pDepthMarketData.BidVolume1;
AskPrice1 = pDepthMarketData.AskPrice1;
AskVolume1 = pDepthMarketData.AskVolume1;
PreSettlementPrice = pDepthMarketData.PreSettlementPrice;
PreClosePrice = pDepthMarketData.PreClosePrice;
PreOpenInterest = pDepthMarketData.PreOpenInterest;
OpenPrice = pDepthMarketData.OpenPrice;
HighestPrice = pDepthMarketData.HighestPrice;
LowestPrice = pDepthMarketData.LowestPrice;
Volume = pDepthMarketData.Volume;
Turnover = pDepthMarketData.Turnover;
OpenInterest = pDepthMarketData.OpenInterest;
ClosePrice = pDepthMarketData.ClosePrice;
SettlementPrice = pDepthMarketData.SettlementPrice;
UpperLimitPrice = pDepthMarketData.UpperLimitPrice;
LowerLimitPrice = pDepthMarketData.LowerLimitPrice;
UpdateMillisec = pDepthMarketData.UpdateMillisec;
AveragePrice = pDepthMarketData.AveragePrice;
//ExchangeID = pDepthMarketData.ExchangeID;
UpdateTime = pDepthMarketData.UpdateTime;
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pDepthMarketData.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//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
{
// 只有使用交易所行情时才需要处理跨天的问题
ChangeTradingDay(pDepthMarketData.TradingDay);
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
catch (Exception)
{
_dateTime = Clock.Now;
}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
// 价差生成功能
do
{
if (null == CTPAPI.GetInstance().SpreadMarketData)
break;
ISpreadMarketData SpreadMarketData = CTPAPI.GetInstance().SpreadMarketData;
var ticks = SpreadMarketData.CalculateSpread(pDepthMarketData);
if (null == ticks)
break;
foreach (var tick in ticks)
{
Instrument inst = InstrumentManager.Instruments[tick.Symbol];
if (null == inst)
continue;
if (!double.IsNaN(tick.Price))
{
Trade trade = new Trade(_dateTime, tick.Price, tick.Size);
trade.ProviderId = tick.ProviderId;
EmitNewTradeEvent(inst, trade);
}
if (!double.IsNaN(tick.Ask) && !double.IsNaN(tick.Bid))
{
Quote quote = new Quote(_dateTime,
tick.Bid, tick.BidSize,
tick.Ask, tick.AskSize);
quote.ProviderId = tick.ProviderId;
EmitNewQuoteEvent(inst, quote);
}
}
} while (false);
// 直接回报CTP的行情信息
if (EmitOnRtnDepthMarketData)
{
CTPAPI.GetInstance().FireOnRtnDepthMarketData(pDepthMarketData);
}
}
public void AddSimData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
marketQueue.Enqueue(pDepthMarketData);
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pDepthMarketData.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//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
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != MarketDataFilter)
{
Trade t = MarketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
}
else
{
EmitNewTradeEvent(instrument, trade);
}
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != MarketDataFilter)
{
Quote q = MarketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
}
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
}
private void radMenuItem8_Click(object sender, EventArgs e)
{
if (openFileDialog1.ShowDialog() != DialogResult.OK) return;
Task.Factory.StartNew(() =>
{
string filename = openFileDialog1.FileName;
foreach (string line in File.ReadAllLines(filename))
{
string[] datas = line.Split(',');
var data = new CThostFtdcDepthMarketDataField();
data.InstrumentID = datas[0];
data.LastPrice = Double.Parse(datas[1]);
data.AveragePrice = Double.Parse(datas[2])*300;
data.UpdateTime = datas[3];
data.UpdateMillisec = Convert.ToInt32(datas[4]);
data.ExchangeID = "CZCE";
MarketManager.AddSimData(data);
Thread.Sleep(100);
}
}
);
}
//void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
//{
// Console.WriteLine("==取深度行情");
// Console.WriteLine(pDepthMarketData.InstrumentID);
// Console.WriteLine(pDepthMarketData.LastPrice);
// Console.WriteLine(pDepthMarketData.UpperLimitPrice);
// Console.WriteLine(pDepthMarketData.LowerLimitPrice);
//}
void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
// 得打开EmitOnRtnDepthMarketData开关
Console.WriteLine("++订阅深度行情");
Console.WriteLine(pDepthMarketData.InstrumentID);
Console.WriteLine(pDepthMarketData.LastPrice);
Console.WriteLine(pDepthMarketData.OpenInterest);
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
#if CTP
string symbol = pDepthMarketData.InstrumentID;
#elif CTPZQ
string symbol = GetYahooSymbol(pDepthMarketData.InstrumentID, pDepthMarketData.ExchangeID);
#endif
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(symbol, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", symbol);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(symbol, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[symbol] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//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
{
// 只有使用交易所行情时才需要处理跨天的问题
#if CTP
ChangeActionDay(pDepthMarketData.ActionDay);
#else
ChangeActionDay(pDepthMarketData.TradingDay);
#endif
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
catch (Exception)
{
_dateTime = Clock.Now;
}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
// 使用新的类,保存更多信息
CTPTrade trade = new CTPTrade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
// 记录深度数据
trade.DepthMarketData = pDepthMarketData;
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
CTPQuote quote = new CTPQuote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
quote.DepthMarketData = pDepthMarketData;
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
bool bAsk = true;
bool bBid = true;
if (bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
if (bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
#if CTPZQ
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
if(bAsk)
bAsk = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
if(bBid)
bBid = EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
#endif
}
}
public OnRspQryDepthMarketDataArgs(IntPtr pTraderApi, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
this.pTraderApi = pTraderApi;
this.pDepthMarketData = pDepthMarketData;
this.pRspInfo = pRspInfo;
this.nRequestID = nRequestID;
this.bIsLast = bIsLast;
}
private void OnRspQryDepthMarketData_callback(IntPtr pTraderApi, ref CThostFtdcDepthMarketDataField pDepthMarketData, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
if (null != OnRspQryDepthMarketData)
{
OnRspQryDepthMarketData(this, new OnRspQryDepthMarketDataArgs(pTraderApi, ref pDepthMarketData, ref pRspInfo, nRequestID, bIsLast));
}
}
public MarketData(CThostFtdcDepthMarketDataField pDepthMarketData)
{
CopyFrom(pDepthMarketData);
}
