// private const string TableNameQuote = "QUOTE";
/// <summary>
/// получает котировки (свечи m1) по всем торгуемым активам на момент
/// времени t меньше либо равный time
/// </summary>
public static Dictionary<string, CandleData> GetCandlesOnTime(DateTime? time)
{
var candles = new Dictionary<string, CandleData>();
var cmdText =
time.HasValue ?
"WITH e AS ( select ticker, MAX([date]) as 'mxdate' from QUOTE where [date] <= '"
+ time.Value.ToString("yyyyMMdd HH:mm") +
"' group by ticker ) select q.* " +
"FROM e join QUOTE q on q.ticker = e.ticker and q.date = e.mxdate"
:
"WITH e AS ( select ticker, MAX([date]) as 'mxdate' from QUOTE group by ticker ) select q.* " +
"FROM e join QUOTE q on q.ticker = e.ticker and q.date = e.mxdate";
var cmd = new SqlCommand(cmdText);
var values = new object[4];
try
{
using (var conn = MakeSqlConnection())
{
cmd.Connection = conn;
conn.Open();
using (var reader = cmd.ExecuteReader())
{
while (reader.Read())
{
if (reader.GetValues(values) != values.Length) continue;
var ticker = (Int16) values[0];
var symbol = DalSpot.Instance.GetSymbolByFXICode(ticker);
if (string.IsNullOrEmpty(symbol)) continue;
var pointValue = DalSpot.Instance.GetPrecision10(symbol);
var candle = new CandleData
{
timeOpen = (DateTime)values[1],
open = (float)(double)values[2],
};
var hlc = (int)values[3];
candle.MakeHlcFromOffset(hlc, pointValue);
candles.Add(symbol, candle);
}
}
}
}
catch (Exception ex)
{
Logger.Error("GetCandlesOnTime() - ошибка доступа к БД котировок", ex);
}
return candles;
}
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)");
}