量化交易平台之行情数据获取方式

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：
using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Runtime.InteropServices;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
using static RndInvest.DataPlatform.Ctp.ctp_quote;

namespace RndInvest.DataPlatform.Ctp
{
public abstract class CTPQuote : Quote
{
ctp_quote _q = null;
private readonly List _listDele = new List();
public Thread _doHeartBeatThread;

    /// <summary>
    /// 
    /// </summary>
    public CTPQuote()
    {
        _q = new ctp_quote();
        SetCallBack();
        _doHeartBeatThread = new Thread(new ThreadStart(HeartBeat));
        _doHeartBeatThread.IsBackground = true;
        _doHeartBeatThread.Start();
    }

    /// <summary>
    /// 前置地址端口
    /// </summary>
    public override string FrontAddr { get; set; }

    /// <summary>
    /// 帐号 guweng22346
    /// </summary>
    public override string Investor { get; set; }

    /// <summary>
    /// 密码
    /// </summary>
    public override string Password { get; set; }

    /// <summary>
    /// 经纪商代码
    /// </summary>
    public override string Broker { get; set; }

    Delegate AddDele(Delegate d) { _listDele.Add(d); return d; }

    void SetCallBack()
    {
        _q.SetOnFrontConnected((DeleOnFrontConnected)AddDele(new DeleOnFrontConnected(CTPOnFrontConnected)));
        _q.SetOnRspUserLogin((DeleOnRspUserLogin)AddDele(new DeleOnRspUserLogin(CTPOnRspUserLogin)));
        _q.SetOnFrontDisconnected((DeleOnFrontDisconnected)AddDele(new DeleOnFrontDisconnected(CTPOnFrontDisconnected)));
        _q.SetOnRspSubMarketData((DeleOnRspSubMarketData)AddDele(new DeleOnRspSubMarketData(CTPOnRspSubMarketData)));
        _q.SetOnRtnDepthMarketData((DeleOnRtnDepthMarketData)AddDele(new DeleOnRtnDepthMarketData(CTPOnRtnDepthMarketData)));
        _q.SetOnRspError((DeleOnRspError)AddDele(new DeleOnRspError(CTPOnRspError)));
    }

    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;
}

        MarketData tick = DicTick.GetOrAdd(f.InstrumentID, new 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;
        }

完整下续