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Tick - Tick结构

逐笔行情数据

  1. public class Tick
  2. {
  3. public string symbol; //symbol
  4. public DateTime createdAt; //时间
  5. public float price; //最新价
  6. public float open; //开盘价
  7. public float high; //最高价
  8. public float low; //最低价
  9. public double cumVolume; //成交总量
  10. public double cumAmount; //成交总金额/最新成交额,累计值
  11. public System.Int64 cumPosition; //合约持仓量(期),累计值
  12. public double lastAmount; //瞬时成交额
  13. public int lastVolume; //瞬时成交量
  14. public int tradeType; //交易类型,对应多开,多平等类型
  15. public Quote[] quotes; //报价, 下标从0开始,0-表示第一档,1-表示第二档,依次类推
  16. };

报价Quote

  1. public class Quote
  2. {
  3. public float bidPrice; //本档委买价
  4. public System.Int64 bidVolume; //本档委买量
  5. public float askPrice; //本档委卖价
  6. public System.Int64 askVolume; //本档委卖量
  7. };

Bar - Bar结构

bar数据是指各种频率的行情数据

  1. public class Bar
  2. {
  3. public string symbol;
  4. public DateTime bob; //bar的开始时间
  5. public DateTime eob; //bar的结束时间
  6. public float open; //开盘价
  7. public float close; //收盘价
  8. public float high; //最高价
  9. public float low; //<最低价
  10. public double volume; //成交量
  11. public double amount; //成交金额
  12. public float preClose; //昨收盘价,只有日频数据赋值
  13. public System.Int64 position; //持仓量
  14. public string frequency; //bar频度
  15. };
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