ctp_quote.py 文件源码

def __OnRtnDepthMarketData(
            self, pDepthMarketData=CThostFtdcDepthMarketDataField):
        """"""
        tick = Tick()
        tick.AskPrice = pDepthMarketData.getAskPrice1()
        tick.AskVolume = pDepthMarketData.getAskVolume1()
        tick.AveragePrice = pDepthMarketData.getAveragePrice()
        tick.BidPrice = pDepthMarketData.getBidPrice1()
        tick.BidVolume = pDepthMarketData.getBidVolume1()
        tick.Instrument = pDepthMarketData.getInstrumentID()
        tick.LastPrice = pDepthMarketData.getLastPrice()
        tick.OpenInterest = pDepthMarketData.getOpenInterest()
        tick.Volume = pDepthMarketData.getVolume()

        day = pDepthMarketData.getTradingDay()
        str = day + ' ' + pDepthMarketData.getUpdateTime()
        if day is None or day == ' ':
            str = time.strftime('%Y%m%d %H:%M:%S', time.localtime())
        tick.UpdateTime = str  # time.strptime(str, '%Y%m%d %H:%M:%S')
        self.DicTick[tick.Instrument] = tick
        _thread.start_new_thread(self.OnRtnTick, (tick, ))
        # self.OnRtnTick(tick)