/// <summary>
/// 获取某个证券的某段时间的历史数据
/// </summary>
/// <param name="instrument"></param>
/// <param name="dataType"></param>
/// <param name="barSize"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
/// <returns></returns>
public List <ISeriesObject> GetHistoricalData(Instrument instrument, HistoricalDataType dataType, int barSize, string beginTime, string endTime)
{
switch (dataType)
{
case HistoricalDataType.Bar:
List <GMSDK.Bar> gskBars = new List <GMSDK.Bar>();
gskBars = _md.GetBars(instrument.Symbol, barSize, beginTime, endTime);
return(GSKToGM.ConvertBars(gskBars));
case HistoricalDataType.Daily:
List <GMSDK.DailyBar> gskDailys = new List <GMSDK.DailyBar>();
gskDailys = _md.GetDailyBars(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertDailys(gskDailys));
case HistoricalDataType.Trade:
this.gskTicksCache = _md.GetTicks(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertTrades(this.gskTicksCache));
case HistoricalDataType.Quote:
this.gskTicksCache = _md.GetTicks(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertQuotes(this.gskTicksCache));
default:
throw new ArgumentException("Unknown data type: " + dataType.ToString());
}
}
public Dictionary <string, Trade> GetLastTrades(List <string> symbols, bool useCached = true)
{
List <GMSDK.Tick> gskTicks = new List <GMSDK.Tick>();
if (useCached)
{
foreach (string symbol in symbols.ToArray())
{
GMSDK.Tick gskTick;
if (this.tickCache.TryGetValue(symbol, out gskTick))
{
gskTicks.Add(gskTick);
symbols.Remove(symbol);
}
}
}
if (symbols.Count > 0)
{
gskTicks.AddRange(this.GetLastTicks(symbols));
}
Dictionary <string, Trade> tradeDict = new Dictionary <string, Trade>();
foreach (GMSDK.Tick gskTick in gskTicks)
{
string symbol = gskTick.exchange + "." + gskTick.sec_id;
tradeDict.Add(symbol, GSKToGM.ConvertTrade(gskTick));
}
return(tradeDict);
}
private void setNewBar(GMSDK.Bar gskBar)
{
string symbol = gskBar.exchange + "." + gskBar.sec_id;
Instrument curInstrument = InstrumentManager.Instruments[symbol];
if (curInstrument == null)
{
this.EmitError(2, "Symbol " + symbol + " was not found in InstrumentManager.");
return;
}
GMBar gmBar = GSKToGM.ConvertBar(gskBar);
this.OnNewBar(this, new BarEventArgs(gmBar, curInstrument, this));
}
public List <Bar> GetBars(string symbol, int barSize, string beginTimeString, string endTimeString)
{
List <GMSDK.Bar> gskBars;
lock (this._md)
{
gskBars = this._md.GetBars(symbol, barSize, beginTimeString, endTimeString);
}
List <Bar> bars = new List <Bar>();
foreach (GMSDK.Bar gskBar in gskBars)
{
bars.Add(GSKToGM.ConvertBar(gskBar));
}
return(bars);
}
public List <Daily> GetDailys(string symbol, string beginDateString, string endDateString)
{
List <GMSDK.DailyBar> gskDailys;
lock (this._md)
{
gskDailys = this._md.GetDailyBars(symbol, beginDateString, endDateString);
}
List <Daily> dailys = new List <Daily>();
foreach (GMSDK.DailyBar gskDaily in gskDailys)
{
dailys.Add(GSKToGM.ConvertDaily(gskDaily));
}
return(dailys);
}
public List <Trade> GetTrades(string symbol, string beginTimeString, string endTimeString)
{
List <GMSDK.Tick> gskTicks;
lock (this._md)
{
gskTicks = this._md.GetTicks(symbol, beginTimeString, endTimeString);
}
List <Trade> trades = new List <Trade>();
foreach (GMSDK.Tick gskTick in gskTicks)
{
trades.Add(GSKToGM.ConvertTrade(gskTick));
}
return(trades);
}
public List <Bar> GetLastNBars(string symbol, int barSize, int n, string lastTimeString)
{
List <GMSDK.Bar> gskBars;
lock (this._md)
{
gskBars = this._md.GetLastNBars(symbol, barSize, n, lastTimeString);
}
gskBars.Reverse();
List <Bar> bars = new List <Bar>();
foreach (GMSDK.Bar gskBar in gskBars)
{
bars.Add(GSKToGM.ConvertBar(gskBar));
}
return(bars);
}
public List <Daily> GetLastNDailys(string symbol, int n, string lastDateString)
{
List <GMSDK.DailyBar> gskDailys;
lock (this._md)
{
gskDailys = this._md.GetLastNDailyBars(symbol, n, lastDateString);
}
gskDailys.Reverse();
List <Daily> dailys = new List <Daily>();
foreach (GMSDK.DailyBar gskDaily in gskDailys)
{
dailys.Add(GSKToGM.ConvertDaily(gskDaily));
}
return(dailys);
}
public List <Trade> GetLastNTrades(string symbol, string lastTimeString, int n)
{
List <GMSDK.Tick> gskTicks;
lock (this._md)
{
gskTicks = this._md.GetLastNTicks(symbol, n, lastTimeString);
}
gskTicks.Reverse();
List <Trade> trades = new List <Trade>();
foreach (GMSDK.Tick gskTick in gskTicks)
{
trades.Add(GSKToGM.ConvertTrade(gskTick));
}
return(trades);
}
private void setNewTick(GMSDK.Tick tick, bool isPush = false)
{
string symbol = tick.exchange + "." + tick.sec_id;
if (isPush)
{
this.symbolsOfPush.Add(symbol);
}
if (!subscribedSymbols.Contains(symbol))
{
return;
}
Instrument curInstrument = InstrumentManager.Instruments[symbol];
if (curInstrument == null)
{
this.EmitError(2, "Symbol " + symbol + " was not found in InstrumentManager.");
return;
}
GMSDK.Tick prevTick = null;
if (!this.tickCache.TryGetValue(symbol, out prevTick))
{
this.EmitNewTrade(GSKToGM.ConvertTrade(tick), curInstrument);
this.EmitNewQuote(GSKToGM.ConvertQuote(tick), curInstrument);
}
else
{
if (tick.utc_time > prevTick.utc_time)
{
if (tick.last_volume > 0 || tick.last_price != prevTick.last_price)
{
this.EmitNewTrade(GSKToGM.ConvertTrade(tick), curInstrument);
}
this.EmitNewQuote(GSKToGM.ConvertQuote(tick), curInstrument);
}
}
this.tickCache[symbol] = tick;
}
private List <GMSDK.Tick> gskTicksCache = new List <GMSDK.Tick>();//trade和quote都由GMSDK.tick产生,为了历史数据提供者在导入trade和quote时不用读取两遍的tick,故而用此变量缓存tick
public void SendHistoricalDataRequest(HistoricalDataRequest request)
{
if (!this.IsConnected)
{
this.EmitError(1, "The current historical data provider not connected.");
return;
}
Instrument instrument = (Instrument)request.Instrument;
this.historicalDataIds.Add(request.RequestId, request);
string beginTime = request.BeginDate.ToString("yyyy-MM-dd HH:mm:ss");
string endTime = request.EndDate.ToString("yyyy-MM-dd HH:mm:ss");
List <ISeriesObject> list = this.GetHistoricalData(instrument, request.DataType, (int)request.BarSize, beginTime, endTime);
bool flag = false;
if ((list.Count < 1) || (flag = this.historicalPendingCancels.ContainsKey(request.RequestId)))
{
if (flag)
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
else
{
this.historicalDataIds.Remove(request.RequestId);
this.EmitHistoricalDataRequestCompleted(request.RequestId, request.Instrument);
}
}
else
{
if (request.DataType == HistoricalDataType.Trade)
{
foreach (ISeriesObject obj1 in list)
{
this.EmitHistoricalTrade(request.RequestId, request.Instrument, obj1 as Trade);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
if (this.tradeAndQuote)//Quote与Trade一起导入
{
List <ISeriesObject> listOther = GSKToGM.ConvertQuotes(this.gskTicksCache);
foreach (ISeriesObject obj2 in listOther)
{
this.EmitHistoricalQuote(request.RequestId, request.Instrument, obj2 as Quote);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
}
}
else if (request.DataType == HistoricalDataType.Quote)
{
foreach (ISeriesObject obj2 in list)
{
this.EmitHistoricalQuote(request.RequestId, request.Instrument, obj2 as Quote);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
if (this.tradeAndQuote)//Trade与Quote一起导入
{
List <ISeriesObject> listOther = GSKToGM.ConvertTrades(this.gskTicksCache);
foreach (ISeriesObject obj1 in listOther)
{
this.EmitHistoricalTrade(request.RequestId, request.Instrument, obj1 as Trade);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
}
}
else
{
foreach (ISeriesObject obj3 in list)
{
this.EmitHistoricalBar(request.RequestId, request.Instrument, obj3 as Bar);
if (this.historicalPendingCancels.ContainsKey(request.RequestId))
{
this.historicalPendingCancels.Remove(request.RequestId);
this.EmitHistoricalDataRequestCancelled(request.RequestId, request.Instrument);
}
}
}
this.EmitHistoricalDataRequestCompleted(request.RequestId, request.Instrument);
}
}