如何利用量化交易平台获取实时行情数据进行分析之代码分享

量化交易平台之行情数据获取方式续

通过开放的方式提供全球股票（A股、港股、美股）、期货（国内期货、国际期货）等历史数据查询及实盘实时行情订阅

平台特色：

全球大多数行情一次购买即可享受全部数据行情订阅。

历史数据可以提供下载服务方便使用

云端自定义指数合成能力

自定义品种的支持（如不同品种的价差K线等）

实时行情部分时效性强

行情数据接口，分享代码如下：

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;
			tick.Turnover = f.Turnover;
			tick.HighestPrice = f.HighestPrice;
			tick.LowestPrice = f.LowestPrice;
tick.SettlementPrice = f.SettlementPrice;
tick.OpenPrice = f.OpenPrice;
tick.ClosePrice = f.ClosePrice;
			tick.PreClosePrice = f.PreClosePrice;

this.DicTick[tick.InstrumentID] = tick;

			if (_OnRtnTick == null) return;
			_OnRtnTick(this, new TickEventArgs
			{
				Tick = tick
			});
		}

		private void CTPOnRspSubMarketData(ref CThostFtdcSpecificInstrumentField pSpecificInstrument, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
		{
		}

		private void CTPOnFrontDisconnected(int nReason)
		{
			this.IsLogin = false;
			_OnRspUserLogout?.Invoke(this, new IntEventArgs { Value = nReason });
			//SetCallBack();
		}
private void HeartBeat()
{
			int threeMinutes = 1000 * 60 * 3;
while (_doHeartBeatThread.IsBackground)
{
				if (!this.IsLogin)
				{
					//SetCallBack();
				}
				Thread.Sleep(threeMinutes);
}
}

private void CTPOnRspError(ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
		{
			_OnRtnError?.Invoke(this, new ErrorEventArgs { ErrorID = pRspInfo.ErrorID, ErrorMsg = pRspInfo.ErrorMsg });
		}

		private void CTPOnRspUserLogin(ref CThostFtdcRspUserLoginField pRspUserLogin, ref CThostFtdcRspInfoField pRspInfo, int nRequestID, bool bIsLast)
		{
			//避免登录错误后不断重连
			//if (pRspInfo.ErrorID != 0)
			//	_q.SetOnFrontConnected(null);
			//else //正常登录时注册连接事件(后续自动重连时可自行登录)
			//{
			//	this.IsLogin = true;
//             _q.SetOnFrontConnected((DeleOnFrontConnected)AddDele(new DeleOnFrontConnected(CTPOnFrontConnected)));
//         }
this.IsLogin = true;

_OnRspUserLogin?.Invoke(this, new IntEventArgs { Value = pRspInfo.ErrorID });
		}

		private void CTPOnFrontConnected()
		{
			_OnFrontConnected?.Invoke(this, new EventArgs());
		}

		public override bool IsLogin { get; protected set; }

		public override int ReqConnect()
		{
			_q.RegisterFront(this.FrontAddr);
			return (int)_q.Init();
			//_q.Init();			
			//return (int)_q.Join(); //会造成阻塞
		}

		public override int ReqSubscribeMarketData(params string[] pInstrument)
		{
			int size = Marshal.SizeOf(typeof(IntPtr));
			IntPtr insts = Marshal.AllocHGlobal(size * pInstrument.Length);
			var tmp = insts;
			for (int i = 0; i < pInstrument.Length; i++, tmp += size)
			{
				Marshal.StructureToPtr(Marshal.StringToHGlobalAnsi(pInstrument[i]), tmp, false);
			}
			return (int)_q.SubscribeMarketData(insts, pInstrument.Length);
		}

		public override int ReqUnSubscribeMarketData(params string[] pInstrument)
		{
			int size = Marshal.SizeOf(typeof(IntPtr));
			IntPtr insts = Marshal.AllocHGlobal(size * pInstrument.Length);
			var tmp = insts;
			for (int i = 0; i < pInstrument.Length; i++, tmp += size)
			{
				Marshal.StructureToPtr(Marshal.StringToHGlobalAnsi(pInstrument[i]), tmp, false);
			}
			return (int)_q.UnSubscribeMarketData(insts, pInstrument.Length);
		}

		public override int ReqUserLogin()
		{
			return (int)_q.ReqUserLogin(BrokerID: this.Broker, UserID: this.Investor, Password: this.Password);
		}

		public override void ReqUserLogout()
		{
			this.IsLogin = false;
			//上面的disconnect注销掉,需要主动调用此回调函数
			_OnRspUserLogout?.Invoke(this, new IntEventArgs { Value = 0 });
			//取消连接响应,避免重连后的再登录.（release中已处理）
			//_q.SetOnFrontDisconnected(null);
			//_q.SetOnFrontConnected(null);
			_q.Release();
		}
	}
}