Automate download of Realtime Trade and MarketDepth stocks demonstration-优快云博客

本文展示了一个使用SmartQuant库连接Interactive Brokers (IB) 并订阅市场数据（包括成交、报价和K线数据）的C#示例。示例中还包括了如何设置不同周期的K线数据、订阅及取消订阅市场数据等操作。

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using System;
using System.Windows.Forms;

using SmartQuant.FIX;
using SmartQuant.Data;
using SmartQuant.Instruments;
using SmartQuant.Providers;

public class Script
{
static void Main()
{
   // connect provider
   IMarketDataProvider provider = ProviderManager.MarketDataProviders[ProviderId.IB];

   provider.Connect(10 * 1000);

   if (!provider.IsConnected)
   {
      MessageBox.Show("Cannot connect to provider!");

      return;
   }

   // setup bar factory if needed
   provider.BarFactory.Reset();

   provider.BarFactory.Items.Clear();

   provider.BarFactory.Items.Add(BarType.Time, 60, true); // 1min bars
   provider.BarFactory.Items.Add(BarType.Time, 300, true); // 5min bars

   provider.BarFactory.Enabled = true;

   // subscribe to events
   provider.NewTrade += new TradeEventHandler(OnNewTrade);
   provider.NewQuote += new QuoteEventHandler(OnNewQuote);
   provider.NewBar += new BarEventHandler (OnNewBar );

   // get instruments
   InstrumentList instruments = new InstrumentList();

   foreach (Instrument instrument in InstrumentManager.Instruments)
   {
      if (instrument.SecurityType == SecurityType.CommonStock)
         instruments.Add(instrument);
   }

   // request market data
   foreach (Instrument instrument in instruments)
   {
      instrument.RequestMarketData(
         provider,
         MarketDataType.Trade | MarketDataType.Quote);
   }

   // wait
   MessageBox.Show("Press Ok button to stop.");

   // unsubscribe from events
   provider.NewTrade -= new TradeEventHandler(OnNewTrade);
   provider.NewQuote -= new QuoteEventHandler(OnNewQuote);
   provider.NewBar -= new BarEventHandler (OnNewBar );

   // cancel market data
   foreach (Instrument instrument in instruments)
   {
      instrument.CancelMarketData(
         provider,
         MarketDataType.Trade | MarketDataType.Quote);
   }

   // reset bar factory
   provider.BarFactory.Enabled = false;
   provider.BarFactory.Reset();

   // disconnect provider
   provider.Disconnect();

   // flush memory data
   DataManager.Server.Flush();
}

static void OnNewTrade(object sender, TradeEventArgs args)
{
   Instrument instrument = args.Instrument as Instrument;

   instrument.Add(args.Trade);
}

static void OnNewQuote(object sender, QuoteEventArgs args)
{
   Instrument instrument = args.Instrument as Instrument;

   instrument.Add(args.Quote);
}

static void OnNewBar(object sender, BarEventArgs args)
{
   Instrument instrument = args.Instrument as Instrument;

   instrument.Add(args.Bar);
}
}

转载于:https://www.cnblogs.com/shalang/archive/2009/07/12/1522035.html