static void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Debugger.Log(0, null, "CTP:C#");
Console.WriteLine(marketData.InstrumentID);
Console.WriteLine(marketData.Exchange);
Console.WriteLine(marketData.LastPrice);
}
static void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Debugger.Log(0, null, "CTP:C#");
Console.WriteLine(marketData.InstrumentID);
Console.WriteLine(marketData.Exchange);
Console.WriteLine(marketData.LastPrice);
}
public static DateTime ExchangeDateTime([In] this DepthMarketDataNClass field)
{
int HH = field.UpdateTime / 10000;
int mm = field.UpdateTime % 10000 / 100;
int ss = field.UpdateTime % 100;
int yyyy = field.ActionDay / 10000;
int MM = field.ActionDay % 10000 / 100;
int dd = field.ActionDay % 100;
return(new DateTime(yyyy, MM, dd, HH, mm, ss, field.UpdateMillisec));
}
public static DepthMarketDataNClass GetDepthMarketDataNClass(IntPtr ptr)
{
DepthMarketDataNField obj = (DepthMarketDataNField)Marshal.PtrToStructure(ptr, typeof(DepthMarketDataNField));
DepthMarketDataNClass cls = new DepthMarketDataNClass();
//obj.Size;
cls.TradingDay = obj.TradingDay;
cls.ActionDay = obj.ActionDay;
cls.UpdateTime = obj.UpdateTime;
cls.UpdateMillisec = obj.UpdateMillisec;
cls.Exchange = obj.Exchange;
cls.Symbol = obj.Symbol;
cls.InstrumentID = obj.InstrumentID;
cls.LastPrice = obj.LastPrice;
cls.Volume = obj.Volume;
cls.Turnover = obj.Turnover;
cls.OpenInterest = obj.OpenInterest;
cls.AveragePrice = obj.AveragePrice;
cls.OpenPrice = obj.OpenPrice;
cls.HighestPrice = obj.HighestPrice;
cls.LowestPrice = obj.LowestPrice;
cls.ClosePrice = obj.ClosePrice;
cls.SettlementPrice = obj.SettlementPrice;
cls.UpperLimitPrice = obj.UpperLimitPrice;
cls.LowerLimitPrice = obj.LowerLimitPrice;
cls.PreSettlementPrice = obj.PreSettlementPrice;
cls.PreOpenInterest = obj.PreOpenInterest;
cls.TradingPhase = obj.TradingPhase;
//obj.BidCount;
int size = Marshal.SizeOf(typeof(DepthField));
IntPtr pBid = new IntPtr(ptr.ToInt64() + Marshal.SizeOf(typeof(DepthMarketDataNField)));
int AskCount = (obj.Size - Marshal.SizeOf(typeof(DepthMarketDataNField))) / size - obj.BidCount;
IntPtr pAsk = new IntPtr(ptr.ToInt64() + Marshal.SizeOf(typeof(DepthMarketDataNField)) + obj.BidCount * size);
cls.Bids = new DepthField[obj.BidCount];
cls.Asks = new DepthField[AskCount];
for (int i = 0; i < obj.BidCount; ++i)
{
cls.Bids[i] = (DepthField)Marshal.PtrToStructure(new IntPtr(pBid.ToInt64() + i * size), typeof(DepthField));
}
for (int i = 0; i < AskCount; ++i)
{
cls.Asks[i] = (DepthField)Marshal.PtrToStructure(new IntPtr(pAsk.ToInt64() + i * size), typeof(DepthField));
}
return(cls);
}
public static DateTime ExchangeDateTime_([In] this DepthMarketDataNClass field)
{
// 表示传回来的时间可能有问题，要检查一下
if (field.UpdateTime == 0)
{
DateTime now = DateTime.Now;
int HH = now.Hour;
int mm = now.Minute;
int ss = now.Second;
int datetime = HH * 10000 + mm * 100 + ss;
if (datetime > 1500 && datetime < 234500)
{
return(now);
}
}
{
int HH = field.UpdateTime / 10000;
int mm = field.UpdateTime % 10000 / 100;
int ss = field.UpdateTime % 100;
DateTime now = DateTime.Now;
if (HH >= 23)
{
if (now.Hour < 1)
{
// 表示行情时间慢了，系统日期减一天即可
now = now.AddDays(-1);
}
}
else if (HH < 1)
{
if (now.Hour >= 23)
{
// 表示本地时间慢了，本地时间加一天即可
now = now.AddDays(1);
}
}
return(now.Date.AddSeconds(HH * 3600 + mm * 60 + ss).AddMilliseconds(field.UpdateMillisec));
}
}
public static DateTime ExchangeDateTime([In] this DepthMarketDataNClass field)
{
// 大商所夜盘时，ActionDay可能已经是指向的第二天
int HH = field.UpdateTime / 10000;
// 这个功能写入到C层中
//if (HH > 20)
//{
// if (field.ExchangeID.CompareTo("DCE") == 0)
// {
// return field.ExchangeDateTime_();
// }
//}
int mm = field.UpdateTime % 10000 / 100;
int ss = field.UpdateTime % 100;
int yyyy = field.ActionDay / 10000;
int MM = field.ActionDay % 10000 / 100;
int dd = field.ActionDay % 100;
return(new DateTime(yyyy, MM, dd, HH, mm, ss, field.UpdateMillisec));
}
public void OnInputMarketData(DepthMarketDataNClass pDepthMarketData)
{
TickWriter.Write(ref pDepthMarketData);
}
private void OnRtnDepthMarketData(object sender, ref DepthMarketDataNClass marketData)
{
Input.Post(marketData);
}
private DepthMarketDataNClass PbTick2DepthMarketDataNClass(PbTickCodec codec, PbTickView tickView)
{
DepthMarketDataNClass marketData = new DepthMarketDataNClass();
codec.GetUpdateTime(tickView, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
if (SubscribeExternData)
{
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum<ExchangeType>.Parse(tickView.Static.Exchange);
}
marketData.PreClosePrice = tickView.Static.PreClosePrice;
marketData.PreSettlementPrice = tickView.Static.PreSettlementPrice;
marketData.PreOpenInterest = tickView.Static.PreOpenInterest;
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int BidCount = BidPos + 1;
int AskCount = count - AskPos;
marketData.Bids = new DepthField[0];
marketData.Asks = new DepthField[0];
if(SubscribeBid)
{
if(BidCount>0)
{
marketData.Bids = new DepthField[BidCount];
int j = 0;
for (int i = BidPos; i >= 0; --i)
{
marketData.Bids[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
if (SubscribeAsk)
{
if (AskCount > 0)
{
marketData.Asks = new DepthField[AskCount];
int j = 0;
for (int i = AskPos; i < count; ++i)
{
marketData.Asks[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
}
return marketData;
}
public static string ToFormattedStringExchangeDateTime([In] this DepthMarketDataNClass field)
{
return(string.Format("[TradingDay={0};ActionDay={1};UpdateTime={2},UpdateMillisec={3}]",
field.TradingDay, field.ActionDay, field.UpdateTime, field.UpdateMillisec));
}
public bool Write(ref DepthMarketDataNClass pDepthMarketData)
{
QuantBox.Data.Serializer.V2.TickWriter.WriterDataItem item;
if (Items.TryGetValue(pDepthMarketData.Symbol, out item))
{
item.Tick = CreateTick(ref pDepthMarketData, item.Serializer.Codec);
base.Write(item, item.Tick);
return true;
}
return false;
}
// 目前先不处理港股的tickSize变化的那种行情
PbTick CreateTick(ref DepthMarketDataNClass pDepthMarketData, PbTickCodec codec)
{
var tick = new PbTick();
tick.DepthList = new List<DepthItem>();
tick.Config = codec.Config;
tick.TradingDay = pDepthMarketData.TradingDay;
tick.ActionDay = pDepthMarketData.ActionDay;
tick.Time_HHmm = pDepthMarketData.UpdateTime / 100;
tick.Time_____ssf__ = pDepthMarketData.UpdateTime % 100 * 10 + pDepthMarketData.UpdateMillisec / 100;
tick.Time________ff = pDepthMarketData.UpdateMillisec % 100;
// 数据接收器时计算本地与交易所的行情时间差
// 1.这个地方是否保存？
// 2.到底是XAPI中提供还是由接收器提供？
//tick.LocalTime_Msec = (int)(DateTime.Now - codec.GetActionDayDateTime(tick)).TotalMilliseconds;
codec.SetSymbol(tick, pDepthMarketData.Symbol);
if (pDepthMarketData.Exchange != ExchangeType.Undefined)
codec.SetExchange(tick, Enum<ExchangeType>.ToString(pDepthMarketData.Exchange));
codec.SetLowerLimitPrice(tick, pDepthMarketData.LowerLimitPrice);
codec.SetUpperLimitPrice(tick, pDepthMarketData.UpperLimitPrice);
codec.SetOpen(tick, pDepthMarketData.OpenPrice);
codec.SetHigh(tick, pDepthMarketData.HighestPrice);
codec.SetLow(tick, pDepthMarketData.LowestPrice);
codec.SetClose(tick, pDepthMarketData.ClosePrice);
codec.SetVolume(tick, (long)pDepthMarketData.Volume);
codec.SetOpenInterest(tick, (long)pDepthMarketData.OpenInterest);
codec.SetTurnover(tick, pDepthMarketData.Turnover);//一定要设置合约乘数才能最优保存
codec.SetAveragePrice(tick, pDepthMarketData.AveragePrice);
codec.SetLastPrice(tick, pDepthMarketData.LastPrice);
codec.SetSettlementPrice(tick, pDepthMarketData.SettlementPrice);
codec.SetPreClosePrice(tick, pDepthMarketData.PreClosePrice);
codec.SetPreSettlementPrice(tick, pDepthMarketData.PreSettlementPrice);
codec.SetPreOpenInterest(tick, (long)pDepthMarketData.PreOpenInterest);
for(int i = pDepthMarketData.Bids.Length - 1;i>=0;--i)
{
var bid = pDepthMarketData.Bids[i];
if (bid.Size == 0)
break;
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, bid.Price);
tick.AskPrice1 += 1;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(bid.Price), bid.Size, bid.Count));
}
for (int i = 0; i < pDepthMarketData.Asks.Length; ++i)
{
var ask = pDepthMarketData.Asks[i];
if (ask.Size == 0)
break;
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, ask.Price);
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(ask.Price), ask.Size, ask.Count));
}
return tick;
}
