private void FireTrade(SortedSet <int> Ids, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
//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
double volume = pDepthMarketData.Volume - DepthMarket.Volume;
// 以前第一条会导致集合竞价后的第一条没有成交量，这种方法就明确了上一笔是空数据
if (0 == DepthMarket.TradingDay && 0 == DepthMarket.ActionDay)
{
//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;
}
foreach (var _id in Ids)
{
// 使用新的类,保存更多信息
var trade = new TradeEx(
_dateTime,
_exchangeDateTime,
id,
_id,
pDepthMarketData.LastPrice,
(int)volume)
{
DepthMarketData = pDepthMarketData
};
// 启用底层数据上传
EmitData(trade);
}
}
public void OutputSeries(out IDataSeries trades, out IDataSeries bids, out IDataSeries asks)
{
trades = new TickSeries();
bids = new TickSeries();
asks = new TickSeries();
PbTickCodec codec = new PbTickCodec();
int TradingDay = -1;
int _lastTradeSize = 0;
foreach (var s in Series)
{
if (TradingDay != s.TradingDay)
{
_lastTradeSize = 0;
TradingDay = s.TradingDay;
}
var dateTime = codec.GetDateTime(s.ActionDay == 0 ? s.TradingDay : s.ActionDay).Add(codec.GetUpdateTime(s));
var tick = PbTick2DepthMarketDataNClass(codec, s);
if (SubscribeExternData)
{
var trade = new TradeEx(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = tick;
trades.Add(trade);
}
else
{
var trade = new Trade(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trades.Add(trade);
}
if (tick.Bids != null && tick.Bids.Length > 0)
{
var bid = new Bid(dateTime, 0, _InstrumentId, tick.Bids[0].Price, tick.Bids[0].Size);
bids.Add(bid);
}
if (tick.Asks != null && tick.Asks.Length > 0)
{
var ask = new Ask(dateTime, 0, _InstrumentId, tick.Asks[0].Price, tick.Asks[0].Size);
asks.Add(ask);
}
_lastTradeSize = (int)tick.Volume;
}
}
public bool Enqueue()
{
if (EventQueue.IsFull() || EndOfSeries)
{
return(false);
}
if (_current == null || !_current.HasNext && _files.Count > 0)
{
OpenReader();
_lastTradeSize = 0;
}
// 这种每次只取一个数据方式比较慢，下一阶段可以改成一次读完一个文件
if (_current != null && _current.HasNext)
{
var tick = _current.Next();
var dateTime = _current.Codec.GetDateTime(tick.ActionDay == 0?tick.TradingDay:tick.ActionDay).Add(_current.Codec.GetUpdateTime(tick));
var marketData = PbTick2DepthMarketDataField(_current.Codec, tick);
// 在这个地方式可以试着生成自己的TradeEx，这样在策略中，模拟与实盘的效果就完全一样了
if (_info.SubscribeTrade)
{
var trade = new TradeEx(dateTime, 0, _info.InstrumentId, marketData.LastPrice, (int)marketData.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = marketData;
EventQueue.Enqueue(trade);
_lastTradeSize = (int)marketData.Volume;
}
if (_info.SubscribeBidAsk)
{
if (marketData.BidVolume1 > 0)
{
var bid = new Bid(dateTime, 0, _info.InstrumentId, marketData.BidPrice1, marketData.BidVolume1);
EventQueue.Write(bid);
}
if (marketData.AskVolume1 > 0)
{
var ask = new Ask(dateTime, 0, _info.InstrumentId, marketData.AskPrice1, marketData.AskVolume1);
EventQueue.Write(ask);
}
}
_completed += _current.Setp;
if (_completed >= _progressCount)
{
_progressCount += _progressDelta;
_progressPercent++;
EventQueue.Enqueue(new OnSimulatorProgress(_progressCount, _progressPercent));
}
return(true);
}
else
{
EndOfSeries = true;
return(false);
}
}
