public MarketDataType(DateTime t, TickTypeEnum tt, double p, int v)
{
Time = t;
TickType = tt;
Price = p;
Volume = v;
}
public override void RecordTickGMT(DateTime time, TickTypeEnum tickType, double price, int volume)
{
bool newMinuteHappened = false;
int newMinute = Int32.Parse(time.ToString("yyMMddHHmm"));
if (newMinute != lastMinute)
{
sw.WriteLine(newMinute.ToString("D10") + "\t" + price.ToString("G10", CultureInfo.InvariantCulture));
lastMinute = newMinute;
pivotPrice = price;
newMinuteHappened = true;
}
if ((time.Second != lastSecond) || newMinuteHappened)
{
sw.WriteLine(time.Second.ToString("D2") + "\t" + (int)tickType + "\t" + Convert.ToInt32((price - pivotPrice) / _tickSize) + "\t" + volume);
lastSecond = time.Second;
}
else
sw.WriteLine((int)tickType + "\t" + Convert.ToInt32((price - pivotPrice) / _tickSize) + "\t" + volume);
#if FORCEFLUSH
sw.Flush();
#endif
}
public MarketDataType(DateTime t, TickTypeEnum tt, double p, int v, TimeStampStatus b)
{
Time = t;
TickType = tt;
Price = p;
Volume = v;
IsNewTimeStamp = b;
}
public override void RecordTickGMT(DateTime time, TickTypeEnum tickType, double price, int volume)
{
sw.WriteLine(time.ToString((_useMillisec)?dateformatmillisec:dateformat) + "\t" + (int)tickType + "\t" + price.ToString("G10", CultureInfo.InvariantCulture) + "\t" + volume);
#if FORCEFLUSH
sw.Flush();
#endif
}
public MarketDataType(DateTime t, TickTypeEnum tt, double p, int v,TimeStampStatus b)
{
Time = t;
TickType = tt;
Price = p;
Volume = v;
IsNewTimeStamp=b;
}
//Helpers
#region Helpers
public bool RecordTick(DateTime date, TickTypeEnum tickType, double price, int volume)
{
DateTime newDateTimeGMT = date.ToUniversalTime();
newDateGMTTicks = newDateTimeGMT.Date.Ticks;
if (((_fileMode == Gom.FileModeType.OnePerDay) && (_writeOK) && (newDateGMTTicks > curDateGMTTicks)) || (curDateGMTTicks == 0))
{
curDateGMTTicks = newDateGMTTicks;
initWrite();
}
if ((_writeOK)&&(newDateTimeGMT.Ticks > _lastTimeInFile))
RecordTickGMT(newDateTimeGMT, tickType, price, volume);
return _writeOK;
}
public override void RecordTickGMT(DateTime time, TickTypeEnum tickType, double price, int volume)
{
bool newMinuteHappened = false;
int newMinute = Int32.Parse(time.ToString("yyMMddHHmm"));
if (newMinute != lastMinute)
{
Byte n1 = checked ((Byte)1 << 6);
n1 += checked ((Byte)(newMinute % 61));
bw.Write(n1);
UInt32 n2 = checked ((UInt32)newMinute);
bw.Write(n2);
UInt32 n3 = checked (Convert.ToUInt32(price / _tickSize));
bw.Write(n3);
lastMinute = newMinute;
pivotPrice = price;
newMinuteHappened = true;
}
int nextTimeStamp = time.Second * 1000 + time.Millisecond;
if ((nextTimeStamp != lastTimeStamp) || newMinuteHappened)
{
writedata(nextTimeStamp, tickType, price, volume, true);
lastTimeStamp = nextTimeStamp;
}
else
{
writedata(nextTimeStamp, tickType, price, volume, false);
}
#if FORCEFLUSH
bw.Flush();
#endif
}
//LEGACY METHODS : DO NOT USE
#region Legacy Methods
protected virtual void GomOnMarketData(TickTypeEnum tickType, double price, int volume)
{
}
private int CalcDelta(TickTypeEnum tickType, double price, int volume, GomCDCalculationModeType calcmode, bool backupmode, int filtersize, GomFilterModeType filtermode)
{
int delta = 0;
int direction = lastdirection;
if ((calcmode == GomCDCalculationModeType.BidAsk) && (tickType != TickTypeEnum.Unknown) && (tickType != TickTypeEnum.BetweenBidAsk))
{
if ((tickType == TickTypeEnum.BelowBid) || (tickType == TickTypeEnum.AtBid))
delta = -volume;
else if ((tickType == TickTypeEnum.AboveAsk) || (tickType == TickTypeEnum.AtAsk))
delta = volume;
}
else if (calcmode == GomCDCalculationModeType.UpDownTick)
{
if (lastprice != 0)
{
if (price > lastprice) delta = volume;
if (price < lastprice) delta = -volume;
}
}
else if ((calcmode == GomCDCalculationModeType.UpDownTickWithContinuation) ||(calcmode == GomCDCalculationModeType.UpDownOneTickWithContinuation)|| ((calcmode == GomCDCalculationModeType.BidAsk) && (backupmode == true)))
{
if (price > lastprice) //normal uptick/dn tick
direction = 1;
else if (price < lastprice)
direction = -1;
if (calcmode == GomCDCalculationModeType.UpDownOneTickWithContinuation)
delta=direction;
else
delta = direction * volume;
}
// added
else if ((calcmode == GomCDCalculationModeType.Hybrid))
{
if (price > lastprice) //normal uptick/dn tick
{
direction = 1;
//price changed, we reinit the startlookingforreversal bool.
startlookingforreversal = false;
}
else if (price < lastprice)
{
direction = -1;
startlookingforreversal = false;
}
if (!startlookingforreversal)
if (direction == 1)
//if going up, we want to be hitting bid to be able to start to spot reversals (hitting the ask)
startlookingforreversal = (tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BelowBid);
else
startlookingforreversal = (tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.AboveAsk);
//what happens when price is same
if (price == lastprice)
{
//if going up, and we have already hit the bid (startlookingforreversal is true) at a price level,
// and start hitting the ask, let's reverse
if ((direction == 1) && startlookingforreversal && ((tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.BetweenBidAsk)))
direction = -1;
else if ((direction == -1) && startlookingforreversal && ((tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BetweenBidAsk)))
direction = 1; //buyers take control of ask
}
delta = direction * volume;
}
lastprice = price;
lastdirection = direction;
if ((filtermode == GomFilterModeType.OnlyLargerThan) && (volume <= filtersize))
delta = 0;
if ((filtermode == GomFilterModeType.OnlySmallerThan) && (volume >= filtersize))
delta = 0;
return delta;
}
protected int CalcDelta(TickTypeEnum tickType, double price, int volume)
{
return CalcDelta(tickType, price, volume, calcMode, backupMode, filterSize, filterMode);
}
public override void RecordTickGMT(DateTime time, TickTypeEnum tickType, double price, int volume)
{
bool newMinuteHappened = false;
//int newMinute = Int32.Parse(time.ToString("yyMMddHHmm"));
int newMinute = (time.Year - 2000) * 100000000 + time.Month * 1000000 + time.Day * 10000 + time.Hour * 100 + time.Minute;
if (newMinute != lastMinute)
{
Byte n1 = checked((Byte)1 << 6);
n1 += checked((Byte)(newMinute % 61));
bw.Write(n1);
UInt32 n2 = checked((UInt32)newMinute);
bw.Write(n2);
UInt32 n3 = checked(Convert.ToUInt32(price / _tickSize));
bw.Write(n3);
lastMinute = newMinute;
pivotPrice = price;
newMinuteHappened = true;
}
if ((time.Second != lastSecond) || newMinuteHappened)
{
writedata(time.Second, tickType, price, volume, true);
lastSecond = time.Second;
}
else
writedata(time.Second, tickType, price, volume, false);
#if FORCEFLUSH
bw.Flush();
#endif
}
protected virtual void GomOnMarketDataWithTime(DateTime tickTime, TickTypeEnum tickType, double price, int volume, bool firstTickOfBar)
{ }
// Virtual Methods
virtual public void RecordTickGMT(DateTime date, TickTypeEnum tickType, double price, int volume)
{ }
private int CalcDelta(TickTypeEnum tickType, double price, int volume, GomCDCalculationModeType calcmode, bool backupmode, int filtersize, GomFilterModeType filtermode)
{
int delta = 0;
int direction = lastdirection;
if ((calcmode == GomCDCalculationModeType.BidAsk) && (tickType != TickTypeEnum.Unknown) && (tickType != TickTypeEnum.BetweenBidAsk))
{
if ((tickType == TickTypeEnum.BelowBid) || (tickType == TickTypeEnum.AtBid))
{
delta = -volume;
}
else if ((tickType == TickTypeEnum.AboveAsk) || (tickType == TickTypeEnum.AtAsk))
{
delta = volume;
}
}
else if (calcmode == GomCDCalculationModeType.UpDownTick)
{
if (lastprice != 0)
{
if (price > lastprice)
{
delta = volume;
}
if (price < lastprice)
{
delta = -volume;
}
}
}
else if ((calcmode == GomCDCalculationModeType.UpDownTickWithContinuation) || ((calcmode == GomCDCalculationModeType.BidAsk) && (backupmode == true)))
{
if (price > lastprice) //normal uptick/dn tick
{
direction = 1;
}
else if (price < lastprice)
{
direction = -1;
}
delta = direction * volume;
}
// added
else if ((calcmode == GomCDCalculationModeType.Hybrid))
{
if (price > lastprice) //normal uptick/dn tick
{
direction = 1;
//price changed, we reinit the startlookingforreversal bool.
startlookingforreversal = false;
}
else if (price < lastprice)
{
direction = -1;
startlookingforreversal = false;
}
if (!startlookingforreversal)
{
if (direction == 1)
{
//if going up, we want to be hitting bid to be able to start to spot reversals (hitting the ask)
startlookingforreversal = (tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BelowBid);
}
else
{
startlookingforreversal = (tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.AboveAsk);
}
}
//what happens when price is same
if (price == lastprice)
{
//if going up, and we have already hit the bid (startlookingforreversal is true) at a price level,
// and start hitting the ask, let's reverse
if ((direction == 1) && startlookingforreversal && ((tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.BetweenBidAsk)))
{
direction = -1;
}
else if ((direction == -1) && startlookingforreversal && ((tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BetweenBidAsk)))
{
direction = 1; //buyers take control of ask
}
}
delta = direction * volume;
}
lastprice = price;
lastdirection = direction;
if ((filtermode == GomFilterModeType.OnlyLargerThan) && (volume <= filtersize))
{
delta = 0;
}
if ((filtermode == GomFilterModeType.OnlySmallerThan) && (volume >= filtersize))
{
delta = 0;
}
return(delta);
}
protected int CalcDelta(TickTypeEnum tickType, double price, int volume)
{
return(CalcDelta(tickType, price, volume, calcMode, backupMode, filterSize, filterMode));
}
protected virtual void GomOnMarketDataWithTime(DateTime tickTime, TickTypeEnum tickType, double price, int volume, bool firstTickOfBar)
{
}
public void writedata(int second, TickTypeEnum tickType, double price, int volume, bool withsecond)
{
Byte statbyte;
Byte sec;
int diff;
if (withsecond)
statbyte = 3 << 6;
else
statbyte = 2 << 6;
statbyte += checked((Byte)((int)tickType << 3));
diff = Convert.ToInt32(((price - pivotPrice) / _tickSize));
if (diff >= -8 && diff <= +7 && volume <= 15)
statbyte += 7;
else
{
if ((diff > SByte.MaxValue) || (diff < SByte.MinValue))
statbyte += 1 << 2;
if (volume > UInt16.MaxValue)
statbyte += 2;
else if (volume > Byte.MaxValue)
statbyte += 1;
}
bw.Write(statbyte);
if (withsecond)
{
sec = checked((Byte)second);
bw.Write(sec);
}
// bw.Write((byte)0);
if (diff >= -8 && diff <= +7 && volume <= 15)
{
SByte res = checked((SByte)((SByte)(diff << 4) + volume));
bw.Write(res);
}
else
{
if ((diff > SByte.MaxValue) || (diff < SByte.MinValue))
{
Int16 res = checked((Int16)diff);
bw.Write(res);
}
else
{
SByte res = checked((SByte)diff);
bw.Write(res);
}
if (volume > UInt16.MaxValue)
{
Int32 res = checked((Int32)volume);
bw.Write(res);
}
else if (volume > Byte.MaxValue)
{
UInt16 res = checked((UInt16)volume);
bw.Write(res);
}
else
{
Byte res = checked((Byte)volume);
bw.Write(res);
}
}
}
//LEGACY METHODS : DO NOT USE
#region Legacy Methods
protected virtual void GomOnMarketData(TickTypeEnum tickType, double price, int volume)
{ }
