private static void ProcessUnzippedFile(string path)
{
//L,EUR,GBP,CHF,JPY,EURGBP,EURCHF,EURJPY,GBPCHF,GBPJPY,CHFJPY,CAD,EURCAD,AUD,AUDJPY,NZD,NZDJPY,XAU,XAG
//S,EUR
//D,41275
//1,1.3184,1.3184,1.3184,1.3184
using (var sr = new StreamReader(path, Encoding.ASCII))
{
var firstLine = sr.ReadLine();
var tickers = firstLine.Split(new[] { ',' }, StringSplitOptions.RemoveEmptyEntries).Skip(1).Select(
GetTickerFullName).ToList();
var streams = tickers.ToDictionary(t => t, t => new StreamWriter(
path + "." + t, false, Encoding.ASCII));
try
{
StreamWriter currentStream = null;
var curDay = new DateTime();
DateTime? lastSavedDate = null;
while (!sr.EndOfStream)
{
var line = sr.ReadLine();
if (string.IsNullOrEmpty(line)) continue;
if (line.StartsWith("S,"))
{
var currentTicker = GetTickerFullName(line.Substring("S,".Length));
currentStream = streams[currentTicker];
continue;
}
if (line.StartsWith("D,"))
{
var dayPart = line.Substring("D,".Length).ToInt();
curDay = new DateTime(1900, 1, 1).AddDays(dayPart);
lastSavedDate = null;
continue;
}
if (currentStream == null) continue;
var lineParts = line.Split(new[] {','}, StringSplitOptions.RemoveEmptyEntries);
var time = curDay.AddMinutes(lineParts[0].ToInt());
var open = lineParts[1].ToFloatUniform();
var high = lineParts[2].ToFloatUniform();
var low = lineParts[3].ToFloatUniform();
var close = lineParts[4].ToFloatUniform();
var candle = new CandleData(open, high, low, close, time, time.AddMinutes(1));
var pointCost = open < 20 ? 10000 : open < 70 ? 1000 : 100;
if (lastSavedDate == null || lastSavedDate.Value != curDay)
{
lastSavedDate = curDay;
currentStream.WriteLine(lastSavedDate.Value.ToString("ddMMyyyy"), curDay);
}
currentStream.WriteLine("{0} {1} {2}",
candle.timeOpen.ToString("HHmm"),
candle.open.ToStringUniformPriceFormat(true),
candle.GetHlcOffsetHEX16(pointCost));
}
}
finally
{
foreach (var stream in streams)
stream.Value.Close();
}
}
}
public void TestHlcFormat()
{
var candleData = new CandleData
{
open = (float) 1.2345,
high = (float) 1.2355,
low = (float) 1.2335,
close = (float) 1.2344
};
var offset = candleData.GetHlcOffset(VersePointValue);
Assert.AreEqual(0x7E7589, offset, "TestHlcFormat: GetHlcOffset error");
var line = candleData.GetHlcOffsetHEX(VersePointValue);
Assert.AreEqual("7E7589", line, "TestHlcFormat: GetHlcOffsetHEX error");
var offset16 = candleData.GetHlcOffset16(VersePointValue);
Assert.AreEqual(0x7F9B8063, offset16, "TestHlcFormat: GetHlcOffset16 error");
var line16 = candleData.GetHlcOffsetHEX16(VersePointValue);
Assert.AreEqual("7F9B8063", line16, "TestHlcFormat: GetHlcOffsetHEX16 error");
var candle = new CandleData {open = candleData.open};
candle.MakeHlcFromOffset(offset, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffset error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffset error (low)");
Assert.AreEqual(candleData.close, candle.close, 0.00001, "TestHlcFormat: MakeHlcFromOffset error (close)");
candle.MakeHlcFromOffsetHEX(line, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffsetHEX error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffsetHEX error (low)");
Assert.AreEqual(candleData.close, candle.close, 0.00001, "TestHlcFormat: MakeHlcFromOffsetHEX error (close)");
candle.MakeHlcFromOffset16(offset16, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (low)");
candle.MakeHlcFromOffsetHEX16(line16, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (low)");
}