def on_market_rtn_depth_market_data_n(self, p_api, p_depth_market_data_n):
"""
callback on market server when receive market data
:param p_api: c_void_p
:param p_depth_market_data_n: DepthMarketDataNField
:return:
"""
depth_market_data = get_depth_market_data(p_depth_market_data_n)
bids = get_all_bids(p_depth_market_data_n)
asks = get_all_asks(p_depth_market_data_n)
self._do_log({
"p_api": p_api,
"depth_market_data": depth_market_data,
"bids": bids,
"asks": asks
})
def on_market_rtn_depth_market_data_n(self, p_api, p_depth_market_data_n):
"""
callback on market server when receive market data
:param p_api: c_void_p
:param p_depth_market_data_n: DepthMarketDataNField
:return:
"""
depth_market_data = get_depth_market_data(p_depth_market_data_n)
bids = get_all_bids(p_depth_market_data_n)
asks = get_all_asks(p_depth_market_data_n)
self._do_log({
"p_api": p_api,
"depth_market_data": depth_market_data,
"bids": bids,
"asks": asks
})
def on_market_rtn_depth_market_data_n(self, p_api, p_depth_market_data_n):
depth_market_data = get_depth_market_data(p_depth_market_data_n)
if not self.market_data.get(str(depth_market_data.InstrumentID)):
self.market_data[str(depth_market_data.InstrumentID)] = []
self.market_data[str(depth_market_data.InstrumentID)].append(depth_market_data)
print(str(depth_market_data.InstrumentID) + " " + str(depth_market_data.UpdateTime))
# 循环获取各买档
bid_count = get_bid_count(p_depth_market_data_n)
print u"买档：%s" % bid_count
for i in range(1, bid_count + 1):
dp = get_bid(p_depth_market_data_n, i)
print u"买%s：%s %s" % (i, dp.Price, dp.Size)
# 一次获取所有卖档数据
asks = get_all_asks(p_depth_market_data_n)
print u"卖档：%s" % len(asks)
for i in range(0, len(asks)):
dp = asks[i]
print u"卖%s：%s %s" % (i + 1, dp.Price, dp.Size)
