public void TestConvertDateTime()
{
var span = new TimeSpan(0, 12, 34, 56, 789);
int time = 123456;
int ms = 789;
int hhmm_____ = 0;
int ____ssf__ = 0;
int _______ff = 0;
var codec = new PbTickCodec();
codec.SetUpdateTime(span, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual <int>(1234, hhmm_____);
Assert.AreEqual <int>(567, ____ssf__);
Assert.AreEqual <int>(89, _______ff);
codec.SetUpdateTime(time, ms, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual <int>(1234, hhmm_____);
Assert.AreEqual <int>(567, ____ssf__);
Assert.AreEqual <int>(89, _______ff);
codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff, out time, out ms);
Assert.AreEqual <int>(123456, time);
Assert.AreEqual <int>(789, ms);
span = codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff);
Assert.AreEqual <int>(0, span.Days);
Assert.AreEqual <int>(12, span.Hours);
Assert.AreEqual <int>(34, span.Minutes);
Assert.AreEqual <int>(56, span.Seconds);
Assert.AreEqual <int>(789, span.Milliseconds);
var date1 = 20141104;
var date2 = 20141105;
var tick = new PbTick();
codec.SetActionDay(tick, new DateTime(2014, 11, 4));
codec.SetTradingDay(tick, new DateTime(2014, 11, 5));
Assert.AreEqual <int>(date1, tick.ActionDay);
Assert.AreEqual <int>(date2, tick.TradingDay);
Assert.AreEqual <DateTime>(new DateTime(2014, 11, 4), codec.GetDateTime(tick.ActionDay));
Assert.AreEqual <DateTime>(new DateTime(2014, 11, 5), codec.GetDateTime(tick.TradingDay));
}
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);
}
public void OutputSeries(out IDataSeries trades, out IDataSeries bids, out IDataSeries asks)
{
trades = new TickSeries();
bids = new TickSeries();
asks = new TickSeries();
PbTickCodec codec = new PbTickCodec();
int TradingDay = -1;
int _lastTradeSize = 0;
foreach (var s in Series)
{
if (TradingDay != s.TradingDay)
{
_lastTradeSize = 0;
TradingDay = s.TradingDay;
}
var dateTime = codec.GetDateTime(s.ActionDay == 0 ? s.TradingDay : s.ActionDay).Add(codec.GetUpdateTime(s));
var tick = PbTick2DepthMarketDataNClass(codec, s);
if (SubscribeExternData)
{
var trade = new TradeEx(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = tick;
trades.Add(trade);
}
else
{
var trade = new Trade(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trades.Add(trade);
}
if (tick.Bids != null && tick.Bids.Length > 0)
{
var bid = new Bid(dateTime, 0, _InstrumentId, tick.Bids[0].Price, tick.Bids[0].Size);
bids.Add(bid);
}
if (tick.Asks != null && tick.Asks.Length > 0)
{
var ask = new Ask(dateTime, 0, _InstrumentId, tick.Asks[0].Price, tick.Asks[0].Size);
asks.Add(ask);
}
_lastTradeSize = (int)tick.Volume;
}
}
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);
}
