数据类

Tick - Tick结构

逐笔行情数据

public class Tick
{
    public string symbol;                  //symbol
    public DateTime createdAt;             //时间
    public float price;                    //最新价
    public float open;                     //开盘价
    public float high;                     //最高价
    public float low;                      //最低价
    public double cumVolume;               //成交总量
    public double cumAmount;               //成交总金额/最新成交额，累计值
    public System.Int64 cumPosition;       //合约持仓量（期），累计值
    public double lastAmount;              //瞬时成交额
    public int lastVolume;                 //瞬时成交量
    public int tradeType;                  //交易类型，对应多开，多平等类型
    public double iopv;                    //基金份额参考净值
    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
};

报价Quote

public class Quote
{
    public float bidPrice;            //本档委买价
    public System.Int64 bidVolume;    //本档委买量
    public float askPrice;            //本档委卖价
    public System.Int64 askVolume;    //本档委卖量
};

Bar - Bar结构

bar数据是指各种频率的行情数据

public class Bar
{
    public string symbol;
    public DateTime bob;            //bar的开始时间
    public DateTime eob;            //bar的结束时间
    public float open;              //开盘价
    public float close;             //收盘价
    public float high;              //最高价
    public float low;               //<最低价
    public double volume;           //成交量
    public double amount;           //成交金额
    public float preClose;          //昨收盘价，只有日频数据赋值
    public System.Int64 position;   //持仓量
    public string frequency;        //bar频度
};