market_data_snapshot.hpp

Go to the documentation of this file.

 
#pragma once
 
#include <string>
#include <cstdint>
#include <chrono>
 
namespace fix40 {
 
// ============================================================================
// 行情快照结构
// ============================================================================
 
struct MarketDataSnapshot {
    // -------------------------------------------------------------------------
    // 标识符
    // -------------------------------------------------------------------------
    std::string instrumentId;   
 
    // -------------------------------------------------------------------------
    // 价格信息
    // -------------------------------------------------------------------------
    double lastPrice;           
    double bidPrice1;           
    int32_t bidVolume1;         
    double askPrice1;           
    int32_t askVolume1;         
 
    // -------------------------------------------------------------------------
    // 涨跌停价格
    // -------------------------------------------------------------------------
    double upperLimitPrice;     
    double lowerLimitPrice;     
 
    // -------------------------------------------------------------------------
    // 时间戳
    // -------------------------------------------------------------------------
    std::chrono::system_clock::time_point updateTime;  
 
    // -------------------------------------------------------------------------
    // 构造函数
    // -------------------------------------------------------------------------
 
    MarketDataSnapshot()
        : lastPrice(0.0)
        , bidPrice1(0.0)
        , bidVolume1(0)
        , askPrice1(0.0)
        , askVolume1(0)
        , upperLimitPrice(0.0)
        , lowerLimitPrice(0.0)
        , updateTime(std::chrono::system_clock::now())
    {}
 
    explicit MarketDataSnapshot(const std::string& instId)
        : instrumentId(instId)
        , lastPrice(0.0)
        , bidPrice1(0.0)
        , bidVolume1(0)
        , askPrice1(0.0)
        , askVolume1(0)
        , upperLimitPrice(0.0)
        , lowerLimitPrice(0.0)
        , updateTime(std::chrono::system_clock::now())
    {}
 
    // -------------------------------------------------------------------------
    // 验证方法
    // -------------------------------------------------------------------------
 
    bool isValid() const {
        return bidPrice1 > 0 || askPrice1 > 0;
    }
 
    bool hasBid() const {
        return bidPrice1 > 0 && bidVolume1 > 0;
    }
 
    bool hasAsk() const {
        return askPrice1 > 0 && askVolume1 > 0;
    }
 
    double getSpread() const {
        if (bidPrice1 > 0 && askPrice1 > 0) {
            return askPrice1 - bidPrice1;
        }
        return 0.0;
    }
 
    double getMidPrice() const {
        if (bidPrice1 > 0 && askPrice1 > 0) {
            return (bidPrice1 + askPrice1) / 2.0;
        }
        return lastPrice;
    }
 
    // -------------------------------------------------------------------------
    // 比较操作符（用于测试）
    // -------------------------------------------------------------------------
 
    bool operator==(const MarketDataSnapshot& other) const {
        return instrumentId == other.instrumentId &&
               lastPrice == other.lastPrice &&
               bidPrice1 == other.bidPrice1 &&
               bidVolume1 == other.bidVolume1 &&
               askPrice1 == other.askPrice1 &&
               askVolume1 == other.askVolume1 &&
               upperLimitPrice == other.upperLimitPrice &&
               lowerLimitPrice == other.lowerLimitPrice;
    }
 
    bool operator!=(const MarketDataSnapshot& other) const {
        return !(*this == other);
    }
};
 
} // namespace fix40