private void FireTrade(int InstrumentId,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;
}
// 使用新的类,保存更多信息
var trade = new TradeEx(
_dateTime,
_exchangeDateTime,
this.id,
InstrumentId,
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;
}
}
