private void ListToKdb(List <PbTickView> list, bool SaveQuote)
{
foreach (var l in list)
{
string date = getDate(l.ActionDay);
string time = getTime(l);
string trade_str = string.Format("`trade insert({0}T{1};`$\"{2}\";{3}f;{4}j;{5}j)", date, time, l.Static.Symbol, l.LastPrice, l.Volume, l.OpenInterest);
c.ks(trade_str);
if (!SaveQuote)
{
continue;
}
double bid = 0;
double ask = 0;
int bsize = 0;
int asize = 0;
int count = l.DepthList == null ? 0 : l.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(l.DepthList, l.AskPrice1);
int BidPos = AskPos - 1;
if (BidPos >= 0)
{
bid = l.DepthList[BidPos].Price;
bsize = l.DepthList[BidPos].Size;
}
if (AskPos < count)
{
ask = l.DepthList[AskPos].Price;
asize = l.DepthList[AskPos].Size;
}
}
string quote_str = string.Format("`quote insert({0}T{1};`$\"{2}\";{3}f;{4}f;{5};{6})", date, time, l.Static.Symbol, bid, ask, bsize, asize);
c.ks(quote_str);
}
}
private void ListToCSV(List <PbTickView> list, FileInfo file_output)
{
using (TextWriter stream = new StreamWriter(file_output.FullName))
{
StringBuilder data = new StringBuilder();
// 头行第一部分
for (int i = 0; i < CSVHeaderLine.Length; ++i)
{
data.Append(CSVHeaderLine[i]);
data.Append(",");
}
// 第二部分根据档位计算
for (int i = 1; i <= numericUpDown_DepthLevel.Value; ++i)
{
foreach (var s in CSVHeaderLineEx)
{
data.Append(s);
data.Append(i);
data.Append(",");
}
}
stream.WriteLine(data);
foreach (var l in list)
{
stream.Write(string.Format("{0},{1},{2},{3},{4},{5},{6},{7},",
l.TradingDay,
l.ActionDay,
getTime(l),
l.LastPrice,
l.Volume,
l.OpenInterest,
l.Turnover,
l.AveragePrice
));
StringBuilder s = new StringBuilder();
for (int i = 0; i < numericUpDown_DepthLevel.Value; ++i)
{
int count = l.DepthList == null ? 0 : l.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(l.DepthList, l.AskPrice1);
int BidPos = AskPos - 1;
if (BidPos - i >= 0)
{
s.Append(l.DepthList[BidPos - i].Price);
s.Append(",");
s.Append(l.DepthList[BidPos - i].Size);
s.Append(",");
}
else
{
s.Append(",,");
}
if (AskPos + i < count)
{
s.Append(l.DepthList[AskPos + i].Price);
s.Append(",");
s.Append(l.DepthList[AskPos + i].Size);
s.Append(",");
}
else
{
s.Append(",,");
}
}
else
{
s.Append(",,,,");
}
}
stream.WriteLine(s);
}
stream.Close();
}
}
private DepthMarketDataField PbTick2DepthMarketDataField(PbTickCodec codec, PbTick tick)
{
PbTickView tickView = codec.Data2View(tick, false);
DepthMarketDataField marketData = default(DepthMarketDataField);
codec.GetUpdateTime(tick, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum <ExchangeType> .Parse(tickView.Static.Exchange);
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int _BidPos = BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice1 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume1 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice2 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume2 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice3 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume3 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice4 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume4 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice5 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume5 = tickView.DepthList[_BidPos].Size;
}
}
}
}
}
int _AskPos = AskPos;
if (_AskPos < count)
{
marketData.AskPrice1 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume1 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice2 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume2 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice3 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume3 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice4 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume4 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice5 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume5 = tickView.DepthList[_AskPos].Size;
}
}
}
}
}
}
return(marketData);
}
public static PbTickStruct5 toStruct(PbTickView input)
{
var o = default(PbTickStruct5);
codec.GetUpdateTime(input, out o.UpdateTime, out o.UpdateMillisec);
o.TradingDay = input.TradingDay;
o.ActionDay = input.ActionDay;
o.LastPrice = (float)input.LastPrice;
o.Volume = input.Volume;
o.Turnover = (float)input.Turnover;
o.OpenInterest = (float)input.OpenInterest;
o.AveragePrice = (float)input.AveragePrice;
if (input.Bar != null)
{
o.OpenPrice = (float)input.Bar.Open;
o.HighestPrice = (float)input.Bar.High;
o.LowestPrice = (float)input.Bar.Low;
o.ClosePrice = (float)input.Bar.Close;
}
if (input.Static != null)
{
o.LowerLimitPrice = (float)input.Static.LowerLimitPrice;
o.UpperLimitPrice = (float)input.Static.UpperLimitPrice;
o.SettlementPrice = (float)input.Static.SettlementPrice;
o.Symbol = input.Static.Symbol;
o.Exchange = input.Static.Exchange;
//o.Symbol = "IF";
//o.Exchange = "CFFEX";
o.PreClosePrice = (float)input.Static.PreClosePrice;
o.PreSettlementPrice = (float)input.Static.PreSettlementPrice;
o.PreOpenInterest = input.Static.PreOpenInterest;
}
o.Price = new float[10];
o.Size = new int[10];
int count = input.DepthList == null ? 0 : input.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(input.DepthList, input.AskPrice1); // 卖一位置
int BidPos = AskPos - 1; // 买一位置，在数组中的位置
int BidCount = BidPos + 1;
int AskCount = count - AskPos;
if (BidCount > 0)
{
int j = 0;
for (int i = BidPos; i >= 0; --i)
{
o.Price[4 - j] = (float)input.DepthList[i].Price;
o.Size[4 - j] = input.DepthList[i].Size;
++j;
}
}
if (AskCount > 0)
{
int j = 0;
for (int i = AskPos; i < count; ++i)
{
o.Price[5 + j] = (float)input.DepthList[i].Price;
o.Size[5 + j] = input.DepthList[i].Size;
++j;
}
}
}
return(o);
}
static void Main(string[] args)
{
List <DepthItem> oldPrevList = new List <DepthItem>();
List <DepthItem> oldCurrList = new List <DepthItem>();
List <DepthItem> newPrevList = new List <DepthItem>();
List <DepthItem> newCurrList = new List <DepthItem>();
DepthListHelper test = new DepthListHelper();
// 处理老的多一条
oldPrevList.Add(new DepthItem(1, 100, 0));
oldPrevList.Add(new DepthItem(7, 100, 0));
oldPrevList.Add(new DepthItem(12, 100, 0));
int j11 = DepthListHelper.FindAsk1Position(oldPrevList, 0);
int j12 = DepthListHelper.FindAsk1Position(oldPrevList, 1);
int j13 = DepthListHelper.FindAsk1Position(oldPrevList, 12);
int j14 = DepthListHelper.FindAsk1Position(oldPrevList, 15);
List <DepthItemView> oldPrevListV = new List <DepthItemView>();
oldPrevListV.Add(new DepthItemView()
{
Price = 10
});
oldPrevListV.Add(new DepthItemView()
{
Price = 5
});
oldPrevListV.Add(new DepthItemView()
{
Price = 1
});
int j21 = DepthListHelper.FindAsk1PositionDescending(oldPrevListV, 12);
int j22 = DepthListHelper.FindAsk1PositionDescending(oldPrevListV, 10);
int j23 = DepthListHelper.FindAsk1PositionDescending(oldPrevListV, 1);
int j24 = DepthListHelper.FindAsk1PositionDescending(oldPrevListV, 0);
//oldCurrList.Add(new DepthItem(5, 100, 0));
//oldCurrList.Add(new DepthItem(8, 100, 0));
//oldCurrList.Add(new DepthItem(13, 100, 0));
DepthListHelper.ExpandTwoListsToSameLength(oldPrevList, oldCurrList, 5, 13, newPrevList, newCurrList);
List <DepthItem> newList = new List <DepthItem>();
DepthListHelper.SizeMinusInTwoLists(newPrevList, newCurrList, newList);
List <DepthItem> newList2 = new List <DepthItem>();
DepthListHelper.SizeAddInTwoLists(newPrevList, newList, newList2);
List <DepthItem> newList3 = new List <DepthItem>();
DepthListHelper.PriceMinusInOneList(newList2, newList3);
List <DepthItem> newList4 = new List <DepthItem>();
DepthListHelper.PriceAddInOneList(newList3, newList4);
DepthTick tick = new DepthTick();
DepthListHelper.SetDepthTick(tick, 4, 100);
DepthListHelper.SetDepthTick(tick, 10, 200);
DepthListHelper.SetDepthTick(tick, 15, 300);
DepthListHelper.SetDepthTick(tick, 28, 400);
DepthListHelper.SetDepthTick(tick, 30, 500);
int i1 = DepthListHelper.GetDepthTick(tick, 4);
int i2 = DepthListHelper.GetDepthTick(tick, 10);
int i3 = DepthListHelper.GetDepthTick(tick, 15);
int i4 = DepthListHelper.GetDepthTick(tick, 28);
int i5 = DepthListHelper.GetDepthTick(tick, 30);
int i6 = DepthListHelper.GetDepthTick(tick, 45);
DepthTick tick2 = new DepthTick();
DepthListHelper.ListToStruct(newPrevList, 2, tick2);
List <DepthItem> newList5 = new List <DepthItem>();
DepthListHelper.StructToList(tick2, 2, newList5);
//int j1 = test.FindAsk1Position(oldCurrList, 5);
//int j2 = test.FindAsk1Position(oldCurrList, 8);
//int j3 = test.FindAsk1Position(oldCurrList, 12);
//int j4 = test.FindAsk1Position(oldCurrList, 13);
//int j5 = test.FindAsk1Position(oldCurrList, 14);
//int j6 = test.FindAsk1Position(oldCurrList, 15);
//int j7 = test.FindAsk1Position(oldCurrList, 4);
//int j8 = test.FindAsk1Position(oldCurrList, 7);
//oldPrevList = new List<DepthItem>();
//oldPrevList.Add(new DepthItem(3, 100, 0));
//oldPrevList.Add(new DepthItem(7, 100, 0));
//oldPrevList.Add(new DepthItem(12, 100, 0));
//int x1 = test.FindAsk1Position(oldPrevList, 3);
//int x2 = test.FindAsk1Position(oldPrevList, 7);
//int x3 = test.FindAsk1Position(oldPrevList, 12);
//int x4 = test.FindAsk1Position(oldPrevList, 5);
//int x5 = test.FindAsk1Position(oldPrevList, 13);
//int x6 = test.FindAsk1Position(oldPrevList, 2);
// 处理新的多一条
//oldPrevList.Add(new DepthItem(1, 100, 0));
//oldCurrList.Add(new DepthItem(1, 100, 0));
//oldCurrList.Add(new DepthItem(5, 100, 0));
//test.Do(oldPrevList, oldCurrList, newPrevList, newCurrList);
//test.
}
private DepthMarketDataNClass PbTick2DepthMarketDataNClass(PbTickCodec codec, PbTickView tickView)
{
DepthMarketDataNClass marketData = new DepthMarketDataNClass();
codec.GetUpdateTime(tickView, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
if (SubscribeExternData)
{
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum <ExchangeType> .Parse(tickView.Static.Exchange);
}
marketData.PreClosePrice = tickView.Static.PreClosePrice;
marketData.PreSettlementPrice = tickView.Static.PreSettlementPrice;
marketData.PreOpenInterest = tickView.Static.PreOpenInterest;
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int BidCount = BidPos + 1;
int AskCount = count - AskPos;
marketData.Bids = new DepthField[0];
marketData.Asks = new DepthField[0];
if (SubscribeBid)
{
if (BidCount > 0)
{
marketData.Bids = new DepthField[BidCount];
int j = 0;
for (int i = BidPos; i >= 0; --i)
{
marketData.Bids[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
if (SubscribeAsk)
{
if (AskCount > 0)
{
marketData.Asks = new DepthField[AskCount];
int j = 0;
for (int i = AskPos; i < count; ++i)
{
marketData.Asks[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
}
return(marketData);
}
public bool Enqueue()
{
if (EventQueue.IsFull() || EndOfSeries)
{
return(false);
}
if (_current == null || !_current.HasNext && _files.Count > 0)
{
OpenReader();
_lastTradeSize = 0;
}
// 这种每次只取一个数据方式比较慢，下一阶段可以改成一次读完一个文件
if (_current != null && _current.HasNext)
{
var tick = _current.Next();
var dateTime = _current.Codec.GetDateTime(tick.ActionDay == 0?tick.TradingDay:tick.ActionDay).Add(_current.Codec.GetUpdateTime(tick));
// 在这个地方式可以试着生成自己的TradeEx，这样在策略中，模拟与实盘的效果就完全一样了
if (_info.SubscribeBidAsk)
{
int count = tick.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tick.DepthList, tick.AskPrice1);
int BidPos = AskPos - 1;
if (BidPos >= 0 && BidPos < count)
{
var bid = new Bid(dateTime, 0, _info.InstrumentId, _current.Codec.TickToPrice(tick.DepthList[BidPos].Price), tick.DepthList[BidPos].Size);
EventQueue.Enqueue(bid);
}
if (AskPos >= 0 && AskPos < count)
{
var ask = new Ask(dateTime, 0, _info.InstrumentId, _current.Codec.TickToPrice(tick.DepthList[AskPos].Price), tick.DepthList[AskPos].Size);
EventQueue.Enqueue(ask);
}
}
}
if (_info.SubscribeTrade)
{
var trade = new Trade(dateTime, 0, _info.InstrumentId, _current.Codec.GetLastPrice(tick), (int)_current.Codec.GetVolume(tick));
trade.Size -= _lastTradeSize;
EventQueue.Enqueue(trade);
_lastTradeSize = (int)_current.Codec.GetVolume(tick);
}
_completed += _current.Setp;
if (_completed >= _progressCount)
{
_progressCount += _progressDelta;
_progressPercent++;
EventQueue.Enqueue(new OnSimulatorProgress(_progressCount, _progressPercent));
}
return(true);
}
else
{
EndOfSeries = true;
return(false);
}
}