private static DateTime CalculateTimeStamp(ThostFtdcDepthMarketDataField field)
{
DateTime result = DateTime.MinValue;
TimeSpan updateTime = CTPMarketDataHelper.GetUpdateTime(field.UpdateTime);
if (updateTime > CTPMarketDataHelper.nightTimeSpan)
{
result = CTPMarketDataHelper.PreTradingDay.Add(updateTime).AddMilliseconds((double)field.UpdateMillisec);
}
else if (updateTime > CTPMarketDataHelper.dayTimeSpan)
{
result = CTPMarketDataHelper.GetDate(field.TradingDay).Add(updateTime).AddMilliseconds((double)field.UpdateMillisec);
}
else
{
result = CTPMarketDataHelper.PreTradingDay.AddDays(1.0).Add(updateTime).AddMilliseconds((double)field.UpdateMillisec);
}
return(result);
}
public static Tick ConvertToTick(ThostFtdcDepthMarketDataField field)
{
return(new Tick
{
InstrumentID = field.InstrumentID,
ExchangeID = field.ExchangeID,
ExchangeInstID = field.ExchangeID,
LastPrice = CTPMarketDataHelper.GetDoubleValue(field.LastPrice),
PreSettlementPrice = CTPMarketDataHelper.GetDoubleValue(field.PreSettlementPrice),
PreClosePrice = CTPMarketDataHelper.GetDoubleValue(field.PreClosePrice),
OpenPrice = CTPMarketDataHelper.GetDoubleValue(field.OpenPrice),
HighestPrice = CTPMarketDataHelper.GetDoubleValue(field.HighestPrice),
LowestPrice = CTPMarketDataHelper.GetDoubleValue(field.LowestPrice),
Volume = field.Volume,
Turnover = CTPMarketDataHelper.GetDoubleValue(field.Turnover),
OpenInterest = CTPMarketDataHelper.GetDoubleValue(field.OpenInterest),
ClosePrice = CTPMarketDataHelper.GetDoubleValue(field.ClosePrice),
SettlementPrice = CTPMarketDataHelper.GetDoubleValue(field.SettlementPrice),
// HighLimitedPrice = CTPMarketDataHelper.GetDoubleValue(field.UpperLimitPrice),
// LowLimitedPrice = CTPMarketDataHelper.GetDoubleValue(field.LowerLimitPrice),
PreDelta = CTPMarketDataHelper.GetDoubleValue(field.PreDelta),
CurrDelta = CTPMarketDataHelper.GetDoubleValue(field.CurrDelta),
UpdateTime = field.UpdateTime,
UpdateMillisec = field.UpdateMillisec,
BidPrice1 = CTPMarketDataHelper.GetDoubleValue(field.BidPrice1),
BidVolume1 = field.BidVolume1,
AskPrice1 = CTPMarketDataHelper.GetDoubleValue(field.AskPrice1),
AskVolume1 = field.AskVolume1,
AveragePrice = CTPMarketDataHelper.GetDoubleValue(field.AveragePrice),
PreOpenInterest = field.PreOpenInterest,
// LastVolume = (long)field.Volume - lastVolume,
// TimeStamp = CTPMarketDataHelper.CalculateTimeStamp(field)
});
}