/// <summary>
/// Writes the entire matrix table
/// </summary>
/// <typeparam name="T"></typeparam>
/// <param name="matName"></param>
/// <param name="rowIndex"></param>
/// <returns></returns>
public void SetMatrix <T>(string matName, T[,] data)
{
// check that matrix exists
if (tables.ContainsKey(matName))
{
H5DataSetId matId;
tables.TryGetValue(matName, out matId);
H5DataTypeId matDataId = H5D.getType(matId);
H5DataSpaceId spaceId = H5S.create_simple(2, Shape);
long[] start = { 0, 0 };
long[] count = { Shape[0], Shape[1] };
var h5matrix = new H5Array <T>(data);
H5S.selectHyperslab(spaceId, H5S.SelectOperator.SET, start, count);
H5DataSpaceId readSpaceId = H5S.create_simple(2, count);
H5D.write(matId, matDataId, readSpaceId, spaceId, H5P.create(H5P.PropertyListClass.DATASET_XFER), h5matrix);
H5S.close(spaceId);
H5S.close(readSpaceId);
}
else
{
Console.WriteLine("table {0} not found in matrix file", matName);
}
return;
}
// Matrix Specific Methods
// TODO:
// 1. add handling for matrix title
// 2. add specification of NA values
// 3. other attributes: pa-format flag, year int, source string
/// <summary>
/// Returns a row of the matrix
/// </summary>
/// <typeparam name="T"></typeparam>
/// <param name="matName"></param>
/// <param name="rowIndex"></param>
/// <returns></returns>
public T[] GetMatrixRow <T>(string matName, int rowIndex)
{
var rowData = new T[Shape[1]];
// check that matrix exists
if (tables.ContainsKey(matName))
{
H5DataSetId matId;
tables.TryGetValue(matName, out matId);
H5DataTypeId matDataId = H5D.getType(matId);
H5DataSpaceId spaceId = H5S.create_simple(2, Shape);
var h5matrix = new H5Array <T>(rowData);
long[] start = { rowIndex, 0 };
long[] count = { 1, Shape[1] };
H5S.selectHyperslab(spaceId, H5S.SelectOperator.SET, start, count);
H5DataSpaceId readSpaceId = H5S.create_simple(2, count);
H5D.read(matId, matDataId, readSpaceId, spaceId, H5P.create(H5P.PropertyListClass.DATASET_XFER), h5matrix);
H5S.close(spaceId);
H5S.close(readSpaceId);
}
else
{
Console.WriteLine("table {0} not found in matrix file", matName);
}
return(rowData);
}
/// <summary>
/// 暂时不用
/// </summary>
/// <typeparam name="T"></typeparam>
/// <param name="fileId"></param>
/// <param name="datasetName"></param>
/// <param name="groupName"></param>
/// <param name="datasetOut"></param>
/// <param name="rowIndex"></param>
/// <param name="rowcount"></param>
/// <param name="colcount"></param>
public void GetDataset <T>(H5FileId fileId, string datasetName, string groupName, T[,] datasetOut, int rowIndex, int rowcount, int colcount)
{
H5GroupId groupId = H5G.open(fileId, groupName);
H5DataSetId dataSetId = H5D.open(groupId, datasetName /*"EV_Emissive"*/);
H5DataTypeId tid0 = H5D.getType(dataSetId);
H5DataSpaceId spaceid = H5D.getSpace(dataSetId);
long[] start = new long[2];
start[0] = rowIndex;
start[1] = 0;
long[] count = new long[2];
count[0] = rowcount;
count[1] = colcount;
H5S.selectHyperslab(spaceid, H5S.SelectOperator.SET, start, count);
//long[] dimes = new long[2];
//dimes[0] = 1;
//dimes[1] = 8192;
H5DataSpaceId simpleSpaceid = H5S.create_simple(2, count);
H5PropertyListId listid = new H5PropertyListId(H5P.Template.DEFAULT);
H5DataTypeId tid1 = new H5DataTypeId(H5T.H5Type.NATIVE_INT);//数据类型
// Read the array back
//int[,] dataSet = new int[cout[0], cout[1]];
H5D.read(dataSetId, tid1, simpleSpaceid, spaceid, listid, new H5Array <T>(datasetOut));
H5S.close(simpleSpaceid);
H5S.close(spaceid);
H5T.close(tid0);
H5D.close(dataSetId);
H5G.close(groupId);
}
void WriteDataToNewFile <T>(H5FileId fileId, string datasetName, T[,] barsData, long count, long parametersNumber, H5DataTypeId datatypeId)
{
H5DataSpaceId dataspaceId = H5S.create_simple(2, new long[] { count, parametersNumber }, new long[] { (long)H5S.H5SType.UNLIMITED, parametersNumber });
H5PropertyListId createChunked = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaults = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaults = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunked, new long[] { 1, parametersNumber });
H5DataSetId datasetId = H5D.create(fileId, datasetName, datatypeId, dataspaceId, linkCreationDefaults, createChunked, accessCreationDefaults);
H5D.setExtent(datasetId, new long[] { count, parametersNumber });
H5DataSpaceId newSpace = H5D.getSpace(datasetId);
H5S.selectHyperslab(newSpace, H5S.SelectOperator.SET, new long[] { 0, 0 }, new long[] { count, parametersNumber });
H5D.write(datasetId, datatypeId, new H5Array <T>(barsData));
H5P.close(createChunked);
H5P.close(linkCreationDefaults);
H5P.close(accessCreationDefaults);
H5S.close(newSpace);
H5S.close(dataspaceId);
H5D.close(datasetId);
}
/// <summary>
/// Method to read an individual cell or block of data from a matrix
/// rowIndex and colIndex are the zero-based offsets into the matrix
/// rowLength and colLength are the size of the arrays (min 1)
/// </summary>
/// <typeparam name="T"></typeparam>
/// <param name="matName"></param>
/// <param name="rowIndex"></param>
/// <param name="colIndex"></param>
/// <param name="rowLength"></param>
/// <param name="colLength"></param>
/// <returns></returns>
public T[,] GetMatrixBlock <T>(string matName, int rowIndex, int colIndex, int rowLength, int colLength)
{
// check that block parameters are legit
if ((rowLength < 1 | colLength < 1) | (rowIndex + rowLength > Shape[0] | colIndex + colLength > Shape[1]))
{
Console.WriteLine("invalid block size and/or index, must be non-zero in both dimensions and within matrix size");
return(null);
}
var blockData = new T[rowLength, colLength];
// check that matrix exists
if (tables.ContainsKey(matName))
{
H5DataSetId matId;
tables.TryGetValue(matName, out matId);
H5DataTypeId matDataId = H5D.getType(matId);
H5DataSpaceId spaceId = H5S.create_simple(2, Shape);
var h5matrix = new H5Array <T>(blockData);
long[] start = { rowIndex, colIndex };
long[] count = { rowLength, colLength };
H5S.selectHyperslab(spaceId, H5S.SelectOperator.SET, start, count);
H5DataSpaceId readSpaceId = H5S.create_simple(2, count);
H5D.read(matId, matDataId, readSpaceId, spaceId, H5P.create(H5P.PropertyListClass.DATASET_XFER), h5matrix);
H5S.close(spaceId);
H5S.close(readSpaceId);
}
else
{
Console.WriteLine("table {0} not found in matrix file", matName);
}
return(blockData);
}
void DownloadQuotes()
{
QuoteDepth marketDepth = includeLevel2 ? QuoteDepth.Level2 : QuoteDepth.Top;
DownloadQuotesEnumerator enumerator = quoteClient.DownloadQuotes(symbol, marketDepth, from, to, -1);
if (outputType == "csv")
{
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.csv", symbol, includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd"), to.ToString(" yyyyMMdd")));
using (StreamWriter file = File.CreateText(path))
{
file.WriteLine("date_time,bid_price,bid_volume,ask_price,ask_volume");
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(quote.CreatingTime.ToString("yyyy-MM-dd HH:mm:ss.fff,", CultureInfo.InvariantCulture));
foreach (QuoteEntry entry in quote.Bids)
{
builder.AppendFormat("{0},{1},", entry.Price, entry.Volume);
}
foreach (QuoteEntry entry in quote.Asks)
{
builder.AppendFormat("{0},{1}", entry.Price, entry.Volume);
}
file.WriteLine(builder);
}
}
this.Log("Quotes are downloaded successfully");
}
else if (outputType == "hdf5")
{
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.h5", symbol, includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd"), to.ToString(" yyyyMMdd")));
H5FileId fileId = H5F.create(path, H5F.CreateMode.ACC_TRUNC);
H5DataTypeId quotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_DOUBLE);
H5DataSpaceId quotesSpaceId = H5S.create_simple(3, new long[] { 1, 2, 2 }, new long[] { (long)H5S.H5SType.UNLIMITED, 2, 2 });
H5PropertyListId createChunkedQuotes = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedQuotes, new long[] { 1, 2, 2 });
H5DataSetId quotesSetId = H5D.create(fileId, "Quotes", quotesTypeId, quotesSpaceId, linkCreationDefaultsQuotes, createChunkedQuotes, accessCreationDefaultsQuotes);
H5DataTypeId dateQuotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_LLONG);
H5DataSpaceId dateQuotesSpaceId = H5S.create_simple(1, new long[] { 1 }, new long[] { (long)H5S.H5SType.UNLIMITED });
H5PropertyListId createChunkedDate = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsDate = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsDate = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedDate, new long[] { 1 });
H5DataSetId dateQuotesSetId = H5D.create(fileId, "DateQuotes", dateQuotesTypeId, dateQuotesSpaceId, linkCreationDefaultsDate, createChunkedDate, accessCreationDefaultsDate);
int count = 0;
int chunkCount = 0;
double[,,] quotesArr = new double[chunkSize, 2, 2];
long[] datesArr = new long[chunkSize];
H5DataSpaceId memSpace;
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
int j = 0;
foreach (QuoteEntry entry in quote.Bids)
{
quotesArr[chunkCount, 0, j] = entry.Price;
quotesArr[chunkCount, 0, j + 1] = entry.Volume;
j += 2;
}
j = 0;
foreach (QuoteEntry entry in quote.Asks)
{
quotesArr[chunkCount, 1, j] = entry.Price;
quotesArr[chunkCount, 1, j + 1] = entry.Volume;
j += 2;
}
datesArr[chunkCount] =
(long)quote.CreatingTime.Subtract(new DateTime(1970, 1, 1)).TotalMilliseconds;
chunkCount++;
count++;
if (chunkCount == chunkSize)
{
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize, 0, 0 },
new long[] { chunkSize, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { chunkSize, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize },
new long[] { chunkSize });
memSpace = H5S.create_simple(1, new long[] { chunkSize });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
chunkCount = 0;
}
}
if (count % chunkSize != 0)
{
int delta = count % chunkSize;
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta, 0, 0 },
new long[] { delta, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { delta, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta },
new long[] { delta });
memSpace = H5S.create_simple(1, new long[] { delta });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
}
H5P.close(createChunkedQuotes);
H5P.close(linkCreationDefaultsQuotes);
H5P.close(accessCreationDefaultsQuotes);
H5P.close(createChunkedDate);
H5P.close(linkCreationDefaultsDate);
H5P.close(accessCreationDefaultsDate);
H5S.close(quotesSpaceId);
H5D.close(quotesSetId);
H5S.close(dateQuotesSpaceId);
H5D.close(dateQuotesSetId);
H5F.close(fileId);
this.Log("Quotes are downloaded successfully");
}
}
static void make_table()
{
try
{
Console.Write("Making a table for testing");
uint ii, nn;
long[] offsets = { 0, 1, 5 };
long[] count = { N_RECORDS };
string[] field_names = { "c", "i", "l" };
// Allocate space for the points array
s1[] points = new s1[DIM0];
// Initialize the dataset
for (ii = nn = 0; ii < DIM0; ii++)
{
points[ii].c = 't';
points[ii].i = nn++;
points[ii].l = (ii * 10) * nn;
}
// Create the file.
H5FileId fileId = H5F.create(FILE_NAME, H5F.CreateMode.ACC_TRUNC);
hssize_t[] dims = { N_RECORDS };
H5DataSpaceId spaceId = H5S.create_simple(1, dims);
// Create the memory data type.
H5DataTypeId typeId = H5T.create(H5T.CreateClass.COMPOUND, 16);
// Insert members.
H5T.insert(typeId, field_names[0], 0, H5T.H5Type.STD_U8LE);
H5T.insert(typeId, field_names[1], 1, H5T.H5Type.STD_U32LE);
H5T.insert(typeId, field_names[2], 5, H5T.H5Type.STD_I64BE);
// Create the dataset.
H5DataSetId dsetId = H5D.create(fileId, TABLE_NAME, typeId, spaceId);
// Define a hyperslab in the dataset of the size of the records */
H5S.selectHyperslab(spaceId, H5S.SelectOperator.SET, offsets, count);
// Write the dataset.
H5D.write(dsetId, typeId, spaceId, spaceId, new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <s1>(points));
// Close resources.
H5D.close(dsetId);
H5S.close(spaceId);
H5T.close(typeId);
H5F.close(fileId);
Console.WriteLine("\t\t\t\tPASSED");
} // end try block
catch (HDFException anyHDF5E)
{
Console.WriteLine(anyHDF5E.Message);
nerrors++;
}
catch (System.Exception sysE)
{
Console.WriteLine(sysE.TargetSite);
Console.WriteLine(sysE.Message);
nerrors++;
}
} // make_table
void DownloadQuotes()
{
QuoteDepth marketDepth = includeLevel2 ? QuoteDepth.Level2 : QuoteDepth.Top;
DownloadQuotesEnumerator enumerator = quoteClient.DownloadQuotes(symbol, marketDepth, from, to, -1);
enumeratorTicks = enumerator;
if (outputType == "csv")
{
if (includeVWAP)
{
throw new ArgumentException("VWAP is not supported for hdf5 and csv format.");
}
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.csv", symbol.Replace("/", "%2F"), includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd-HH-mm-ss"), to.ToString(" yyyyMMdd-HH-mm-ss")));
using (StreamWriter file = File.CreateText(path))
{
file.WriteLine("date_time;bid_price;bid_volume;ask_price;ask_volume");
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(quote.CreatingTime.ToString("yyyy-MM-dd HH:mm:ss.fff;", CultureInfo.InvariantCulture));
foreach (QuoteEntry entry in quote.Bids)
{
if (quote.TickType.HasFlag(TickTypes.IndicativeBid) || quote.TickType.HasFlag(TickTypes.IndicativeBidAsk))
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal) - entry.Volume);
}
else
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal)entry.Volume);
}
}
foreach (QuoteEntry entry in quote.Asks)
{
if (quote.TickType.HasFlag(TickTypes.IndicativeAsk) || quote.TickType.HasFlag(TickTypes.IndicativeBidAsk))
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal) - entry.Volume);
}
else
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal)entry.Volume);
}
}
builder.Remove(builder.Length - 1, 1);
file.WriteLine(builder);
}
}
if (includeLevel2)
{
this.Log($"level2 {symbol} are downloaded successfully");
}
else if (includeVWAP)
{
this.Log($"VWAP {symbol} are downloaded successfully");
}
else
{
this.Log($"Ticks {symbol} are downloaded successfully");
}
}
else if (outputType == "hdf5")
{
if (includeVWAP)
{
throw new ArgumentException("VWAP is not supported for hdf5 and csv format.");
}
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.h5", symbol.Replace("/", "%2F"), includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd-HH-mm-ss"), to.ToString(" yyyyMMdd-HH-mm-ss")));
H5FileId fileId = H5F.create(path, H5F.CreateMode.ACC_TRUNC);
H5DataTypeId quotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_DOUBLE);
H5DataSpaceId quotesSpaceId = H5S.create_simple(3, new long[] { 1, 2, 2 }, new long[] { (long)H5S.H5SType.UNLIMITED, 2, 2 });
H5PropertyListId createChunkedQuotes = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedQuotes, new long[] { 1, 2, 2 });
H5DataSetId quotesSetId = H5D.create(fileId, "Quotes", quotesTypeId, quotesSpaceId, linkCreationDefaultsQuotes, createChunkedQuotes, accessCreationDefaultsQuotes);
H5DataTypeId dateQuotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_LLONG);
H5DataSpaceId dateQuotesSpaceId = H5S.create_simple(1, new long[] { 1 }, new long[] { (long)H5S.H5SType.UNLIMITED });
H5PropertyListId createChunkedDate = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsDate = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsDate = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedDate, new long[] { 1 });
H5DataSetId dateQuotesSetId = H5D.create(fileId, "DateQuotes", dateQuotesTypeId, dateQuotesSpaceId, linkCreationDefaultsDate, createChunkedDate, accessCreationDefaultsDate);
int count = 0;
int chunkCount = 0;
double[,,] quotesArr = new double[chunkSize, 2, 2];
long[] datesArr = new long[chunkSize];
H5DataSpaceId memSpace = null;
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
int j = 0;
foreach (QuoteEntry entry in quote.Bids)
{
quotesArr[chunkCount, 0, j] = entry.Price;
quotesArr[chunkCount, 0, j + 1] = entry.Volume;
j += 2;
}
j = 0;
foreach (QuoteEntry entry in quote.Asks)
{
quotesArr[chunkCount, 1, j] = entry.Price;
quotesArr[chunkCount, 1, j + 1] = entry.Volume;
j += 2;
}
datesArr[chunkCount] =
(long)quote.CreatingTime.Subtract(new DateTime(1970, 1, 1)).TotalMilliseconds;
chunkCount++;
count++;
if (chunkCount == chunkSize)
{
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize, 0, 0 },
new long[] { chunkSize, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { chunkSize, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5S.close(memSpace);
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize },
new long[] { chunkSize });
memSpace = H5S.create_simple(1, new long[] { chunkSize });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
H5S.close(memSpace);
chunkCount = 0;
}
}
if (count % chunkSize != 0)
{
int delta = count % chunkSize;
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta, 0, 0 },
new long[] { delta, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { delta, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5S.close(memSpace);
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta },
new long[] { delta });
memSpace = H5S.create_simple(1, new long[] { delta });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
H5S.close(memSpace);
}
H5P.close(createChunkedQuotes);
H5P.close(linkCreationDefaultsQuotes);
H5P.close(accessCreationDefaultsQuotes);
H5P.close(createChunkedDate);
H5P.close(linkCreationDefaultsDate);
H5P.close(accessCreationDefaultsDate);
H5S.close(quotesSpaceId);
H5D.close(quotesSetId);
H5S.close(dateQuotesSpaceId);
H5D.close(dateQuotesSetId);
//H5S.close(memSpace);
H5F.close(fileId);
if (includeLevel2)
{
this.Log($"level2 {symbol} are downloaded successfully");
}
else if (includeVWAP)
{
this.Log($"VWAP {symbol} are downloaded successfully");
}
else
{
this.Log($"Ticks {symbol} are downloaded successfully");
}
GC.Collect();
GC.WaitForPendingFinalizers();
}
else if (outputType == "csv_zip")
{
string quoteType = "Ticks";
if (includeVWAP)
{
quoteType = "VWAP";
}
if (includeLevel2)
{
quoteType = "TicksLevel2";
}
string path = Path.Combine(location, $"{symbol.Replace("/", "%2F")}_{quoteType}_{from.ToString("yyyy-MM-dd-HH-mm-ss")}_{to.ToString("yyyy-MM-dd-HH-mm-ss")}.zip");
Console.WriteLine(path);
using (ZipOutputStream zs = new ZipOutputStream(File.Create(path)))
{
if (includeVWAP)
{
DownloadVWAPCSVNew(zs);
}
else if (includeLevel2)
{
DownloadLevel2CSVNew(enumerator, zs);
}
else
{
DownloadTicksCSVNew(enumerator, zs);
}
}
if (includeLevel2)
{
this.Log($"level2 {symbol} are downloaded successfully");
}
else if (includeVWAP)
{
this.Log($"VWAP {symbol} are downloaded successfully");
}
else
{
this.Log($"Ticks {symbol} are downloaded successfully");
}
}
}
