Tick - Tick结构
逐笔行情数据
struct Tick{char symbol[LEN_SYMBOL];double created_at; ///<utc时间，精确到毫秒float price; ///<最新价float open; ///<开盘价float high; ///<最高价float low; ///<最低价double cum_volume; ///<成交总量double cum_amount; ///<成交总金额/最新成交额,累计值long long cum_position; ///<合约持仓量(期),累计值double last_amount; ///<瞬时成交额int last_volume; ///<瞬时成交量int trade_type; ///(保留)交易类型,对应多开,多平等类型Quote quotes[DEPTH_OF_QUOTE]; ///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
struct Quote{float bid_price; ///本档委买价long long bid_volume; ///本档委买量float ask_price; ///本档委卖价long long ask_volume; ///本档委卖量};
Bar - Bar结构
bar数据是指各种频率的行情数据
struct Bar{char symbol[LEN_SYMBOL];double bob; ///bar的开始时间double eob; ///bar的结束时间float open; ///<开盘价float close; ///<收盘价float high; ///<最高价float low; ///<最低价double volume; ///<成交量double amount; ///<成交金额float pre_close; ///昨收盘价，只有日频数据赋值long long position; ///<持仓量char frequency[LEN_FREQUENCY]; ///bar频度};
L2Transaction - L2Transaction结构
L2行情的逐笔成交
struct L2Transaction{char symbol[LEN_SYMBOL];double created_at; ///成交时间，utc时间float price; ///成交价long long volume; ///成交量char side; ///内外盘标记char exec_type; ///成交类型};
L2Order - L2Order结构
L2行情的逐笔委托
struct L2Order{char symbol[LEN_SYMBOL];double created_at; ///委托时间，utc时间float price; ///委托价long long volume; ///委托量char side; ///买卖方向char order_type; ///委托类型};
L2OrderQueue - L2OrderQueue结构
L2行情的委托队列
struct L2OrderQueue{char symbol[LEN_SYMBOL];double created_at; ///行情时间，utc时间float price; ///最优委托价long long volume; ///委托量char side; ///买卖方向int queue_orders; ///委托量队列中元素个数(最多50)int queue_volumes[LEN_MAX_ORDER_QUEUE]; ///委托量队列(最多50个，有可能小于50, 有效数据长度取决于queue_orders)};
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