public static bool TryConvert(OpenQuant.API.Trade trade, ref StructRcvReport DepthMarketData)
{
if (tradeField == null)
{
tradeField = typeof(OpenQuant.API.Trade).GetField("trade", BindingFlags.NonPublic | BindingFlags.Instance);
}
TongShiTrade t = tradeField.GetValue(trade) as TongShiTrade;
if (null != t)
{
DepthMarketData = t.DepthMarketData;
return true;
}
return false;
}
void StockService_OnRcvReport(object sender, RcvReportEventArgs e)
{
_dateTime = Clock.Now;
lock (_dictDepthMarketData)
{
for (int i = 0; i < e.RcvReports.Length; ++i)
{
StructRcvReport pDepthMarketData = e.RcvReports[i];
StructRcvReport DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.MarketStockCode, out DepthMarket);
_dictDepthMarketData[pDepthMarketData.MarketStockCode] = pDepthMarketData;
DataRecord record;
if (_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.MarketStockCode, out record))
{
if (record.TradeRequested)
{
if (DepthMarket.NewPrice == pDepthMarketData.NewPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
float 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;
}
TongShiTrade trade = new TongShiTrade(_dateTime,
pDepthMarketData.NewPrice,
(int)volume);
EmitNewTradeEvent(record.Instrument, trade);
}
}
if (record.QuoteRequested)
{
TongShiQuote quote = new TongShiQuote(_dateTime,
(double)pDepthMarketData.BuyPrice1,
(int)pDepthMarketData.BuyVolume1,
(double)pDepthMarketData.SellPrice1,
(int)pDepthMarketData.SellVolume1
);
quote.DepthMarketData = pDepthMarketData;
EmitNewQuoteEvent(record.Instrument, quote);
}
if (record.MarketDepthRequested)
{
bool bAsk = true;
bool bBid = true;
if(bAsk)
bAsk = EmitNewMarketDepth(record.Instrument, _dateTime, 0, MDSide.Ask, (double)pDepthMarketData.SellPrice1, (int)pDepthMarketData.SellVolume1);
if(bBid)
bBid = EmitNewMarketDepth(record.Instrument, _dateTime, 0, MDSide.Bid, (double)pDepthMarketData.BuyPrice1, (int)pDepthMarketData.BuyVolume1);
if (bAsk)
bAsk = EmitNewMarketDepth(record.Instrument, _dateTime, 1, MDSide.Ask, (double)pDepthMarketData.SellPrice2, (int)pDepthMarketData.SellVolume2);
if (bBid)
bBid = EmitNewMarketDepth(record.Instrument, _dateTime, 1, MDSide.Bid, (double)pDepthMarketData.BuyPrice2, (int)pDepthMarketData.BuyVolume2);
if (bAsk)
bAsk = EmitNewMarketDepth(record.Instrument, _dateTime, 2, MDSide.Ask, (double)pDepthMarketData.SellPrice3, (int)pDepthMarketData.SellVolume3);
if (bBid)
bBid = EmitNewMarketDepth(record.Instrument, _dateTime, 2, MDSide.Bid, (double)pDepthMarketData.BuyPrice3, (int)pDepthMarketData.BuyVolume3);
if (bAsk)
bAsk = EmitNewMarketDepth(record.Instrument, _dateTime, 3, MDSide.Ask, (double)pDepthMarketData.SellPrice4, (int)pDepthMarketData.SellVolume4);
if (bBid)
bBid = EmitNewMarketDepth(record.Instrument, _dateTime, 3, MDSide.Bid, (double)pDepthMarketData.BuyPrice4, (int)pDepthMarketData.BuyVolume4);
if (bAsk)
bAsk = EmitNewMarketDepth(record.Instrument, _dateTime, 4, MDSide.Ask, (double)pDepthMarketData.SellPrice5, (int)pDepthMarketData.SellVolume5);
if (bBid)
bBid = EmitNewMarketDepth(record.Instrument, _dateTime, 4, MDSide.Bid, (double)pDepthMarketData.BuyPrice5, (int)pDepthMarketData.BuyVolume5);
}
}
}
}
}