private void CTPOnRspSubMarketData(ref CThostFtdcSpecificInstrumentField pSpecificInstrument, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
{
String ID = pSpecificInstrument.InstrumentID;
String ERROR = pRspInfo.ErrorMsg;
int R_ID = nRequestID;
bool IsL = bIsLast;
HaiFeng.MarketData tick = DicTick.GetOrAdd(ID, new HaiFeng.MarketData
{
InstrumentID = ID,
});
if (_OnRtnTick == null)
{
return;
}
_OnRtnTick(this, new TickEventArgs
{
Tick = tick
});
}
/// <summary>
/// 深度行情通知，当SubscribeMarketData订阅行情后，行情通知由此推送
/// </summary>
/// <param name="pDepthMarketData"></param>
private void CTPOnRtnDepthMarketData(ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField f = pDepthMarketData;
if (string.IsNullOrEmpty(f.InstrumentID) || string.IsNullOrEmpty(f.UpdateTime) || double.IsInfinity(f.UpperLimitPrice)) //过滤无穷大/小
{
return;
}
//修正last=double.max
if (Math.Abs(f.LastPrice - double.MaxValue) < double.Epsilon)
{
if (Math.Abs(f.AskPrice1 - double.MaxValue) > double.Epsilon)
{
f.LastPrice = f.AskPrice1;
}
else if (Math.Abs(f.BidPrice1 - double.MaxValue) > double.Epsilon)
{
f.LastPrice = f.BidPrice1;
}
else
{
return;
}
}
//去掉tradingday字段
//if (string.IsNullOrEmpty(f.TradingDay))
//{
// f.TradingDay = this.TradingDay; //日期:实盘中某些交易所,此字段为空
//}
//if (string.IsNullOrEmpty(f.ActionDay)) //此字段可能为空
//{
// f.ActionDay = this.TradingDay;
//}
//f.ExchangeID = instrument.ExchangeID;
//处理,单边有挂边的情况
if (f.AskPrice1 > f.UpperLimitPrice) //未赋值的数据
{
f.AskPrice1 = f.LastPrice;
}
if (f.BidPrice1 > f.UpperLimitPrice)
{
f.BidPrice1 = f.LastPrice;
}
//修最高/最低
if (Math.Abs(f.HighestPrice - double.MaxValue) < double.Epsilon)
{
f.HighestPrice = f.AskPrice1;
}
if (Math.Abs(f.LowestPrice - double.MaxValue) < double.Epsilon)
{
f.LowestPrice = f.BidPrice1;
}
HaiFeng.MarketData tick = DicTick.GetOrAdd(f.InstrumentID, new HaiFeng.MarketData
{
InstrumentID = f.InstrumentID,
});
if (f.UpdateMillisec == 0 && f.UpdateTime == tick.UpdateTime && tick.UpdateMillisec < 990) //某些交易所(如郑商所)相同秒数的ms均为0
{
f.UpdateMillisec = tick.UpdateMillisec + 10;
}
tick.AskPrice = f.AskPrice1;
tick.AskVolume = f.AskVolume1;
tick.AveragePrice = f.AveragePrice;
tick.BidPrice = f.BidPrice1;
tick.BidVolume = f.BidVolume1;
tick.LastPrice = f.LastPrice;
tick.OpenInterest = f.OpenInterest;
tick.UpdateMillisec = f.UpdateMillisec;
tick.UpdateTime = f.UpdateTime;
tick.Volume = f.Volume;
tick.UpperLimitPrice = f.UpperLimitPrice;
tick.LowerLimitPrice = f.LowerLimitPrice;
//避免突然的波动
bool crack = false;
if (tick.LastPrice != 0) //非首tick
{
crack = Math.Abs(this.DicTick[tick.InstrumentID].LastPrice - tick.LastPrice) > 100 * (f.AskPrice1 - f.BidPrice1);
}
this.DicTick[tick.InstrumentID] = tick;
if (_OnRtnTick == null || crack)
{
return; //剧烈波动过滤掉
}
_OnRtnTick(this, new TickEventArgs
{
Tick = tick
});
}