public List <DZHExDividend> RequestExDividends(DZHSymbol symbol)
{
SetMarket(symbol.Market);
long pos = GetIndex(symbol);
if (pos == -1)
{
return(null);
}
else
{
List <DZHExDividend> results = new List <DZHExDividend>();
fileStream.Position = pos + 10;
byte x = reader.ReadByte();
if (x > 0)
{
for (int i = 0; i < x; i++)
{
fileStream.Position = pos + 248 + i * 20;
DZHExDividend aEx = new DZHExDividend();
aEx.Time = date19700101.AddSeconds(reader.ReadUInt32());
aEx.RateForPresented = reader.ReadSingle() * 10;
aEx.RateForPlacement = reader.ReadSingle() * 10;
aEx.PriceForPlacement = reader.ReadSingle();
aEx.Dividend = reader.ReadSingle() * 10;
results.Add(aEx);
}
}
results.Sort();//大智慧除权除息数据是倒序放置的，故而排序了下
return(results);
}
}
protected void SetSymbol(DZHSymbol symbol)
{
if ((currentSymbol == null) || (!currentSymbol.Equals(symbol)))
{
currentSymbol = symbol;
OnSymbolChanged();
}
}
//以下两个重写的方法是为了symbol能在字典上做主键，实现主键的查找
public override bool Equals(object obj)
{
if (obj is DZHSymbol)
{
DZHSymbol other = (DZHSymbol)obj;
return((this.Market == other.Market && this.Code == other.Code) ? true : false);
}
else
{
return(false);
}
}
public DZHQuote RequestQuote(DZHSymbol symbol)
{
SetMarket(symbol.Market);
long pos = GetIndex(symbol);
if (pos == -1)
{
return(null);
}
else
{
return(ReadARecord(pos));
}
}
public List <DZHTick> RequestLastTicks(DZHSymbol symbol)
{
if (symbol.Equals(currentSymbol))
{
long pos = indexBuffer[symbol.Market][symbol.Code];
fileStream.Position = pos + 10;
recordCount = reader.ReadInt32();
if (recordCount > recordCountReaded)//有新记录
{
int recordsPerBlock = dataBlockSize / dataRecordSize;
if (recordCount / recordsPerBlock > blockNumberReaded)//有新块号
{
fileStream.Position += blockNumberReaded * 2;
for (int j = blockNumberReaded; j < 25; j++)
{
blocks[j] = reader.ReadInt16();
}
}
int iRecord = 0; //记录
int iBlock = 0; //第iBlock块
iRecord = recordCountReaded;
iBlock = iRecord / recordsPerBlock;
List <DZHTick> results = new List <DZHTick>();
while (iBlock < 25 && blocks[iBlock] != -1)
{
int r = iRecord % recordsPerBlock;//块内记录号
while (iRecord < recordCount && r < recordsPerBlock)
{
results.Add(ReadARecord(dataStartOffset + blocks[iBlock] * dataBlockSize + r * dataRecordSize));
r = r + 1;
iRecord = iRecord + 1;
}
iBlock = iBlock + 1;
}
recordCountReaded = recordCount;
blockNumberReaded = iBlock;
return(results);
}
else
{
return(null);
}
}
else
{
return(RequestTicks(symbol));
}
}
protected long GetIndex(DZHSymbol symbol)
{
Dictionary <string, long> indexs = indexBuffer[symbol.Market];
long pos = 0;
bool find = false;
if (indexs.ContainsKey(symbol.Code))
{
pos = indexs[symbol.Code];
find = true;
}
else
{
int indexCount = indexs.Count;
pos = indexStartOffset + indexCount * indexRecordSize;
while (pos + indexRecordSize < indexStartOffset + securityCount * indexRecordSize)
{
if (pos <= fileStream.Length)
{
fileStream.Position = pos;
//大智慧用10个字节保存代码，一般用8个字节
string code0 = System.Text.Encoding.Default.GetString(reader.ReadBytes(10));
code0 = code0.Replace("\0", "");
indexs.Add(code0, pos);
if (symbol.Code == code0)
{
find = true;
break;
}
else
{
pos += indexRecordSize;
}
}
}
}
if (find)
{
return(pos);
}
else
{
return(-1);
}
}
public List <DZHTick> RequestTicks(DZHSymbol symbol, DateTime?startTime, DateTime?endTime)
{
SetMarket(symbol.Market);
SetSymbol(symbol);
currentSymbol = symbol;
int iRecord = 0; //记录
int iBlock = 0; //第iBlock块
int recordsPerBlock = dataBlockSize / dataRecordSize;
int iEndRecord = recordCount - 1;
if (startTime.HasValue)
{
iRecord = GetStartIRecord(startTime.Value);
iBlock = iRecord / recordsPerBlock;
}
if (endTime.HasValue)
{
iEndRecord = GetEndIRecord(endTime.Value);
}
List <DZHTick> results = new List <DZHTick>();
while (iBlock < 25 && blocks[iBlock] != -1)
{
int r = iRecord % recordsPerBlock;//块内记录号
while (iRecord <= iEndRecord && r < recordsPerBlock)
{
results.Add(ReadARecord(dataStartOffset + blocks[iBlock] * dataBlockSize + r * dataRecordSize));
r = r + 1;
iRecord = iRecord + 1;
}
iBlock = iBlock + 1;
}
recordCountReaded = iEndRecord + 1;
blockNumberReaded = iBlock;
//Debug.WriteLine(results.Count.ToString());
return(results);
}
public List <ISeriesObject> GetHistoricalData(Instrument instrument, HistoricalDataType dataType, int barSize, DateTime startTime, DateTime endTime)
{
List <ISeriesObject> results = new List <ISeriesObject>();
DZHSymbol symbol = new DZHSymbol(instrument.SecurityExchange, instrument.SecurityID);
List <DZHBar> bars;
List <DZHTick> ticks;
switch (dataType)
{
case HistoricalDataType.Bar:
if (barSize == 300)
{
if (min5Reader == null)
{
min5Reader = new DZHMin5BarReader(dzhDataPath);
}
bars = min5Reader.RequestBars(symbol, startTime, endTime);
}
else if (barSize == 60)
{
if (min1Reader == null)
{
min1Reader = new DZHMin1BarReader(dzhDataPath);
}
bars = min1Reader.RequestBars(symbol, startTime, endTime);
}
else
{
throw new ArgumentException("Unknowm bar size:" + barSize.ToString());
}
if ((bars != null) && (bars.Count > 0))
{
/*前复权调整*/
if (forwardAdjust)
{
if (financeReader == null)
{
financeReader = new DZHFinanceReader(dzhDataPath);
}
List <DZHExDividend> exDivs = financeReader.RequestExDividends(symbol);
financeReader.ForwardAdjustedPrice(bars, exDivs);
}
foreach (DZHBar aBar in bars)
{
results.Add(new Bar(aBar.Time, aBar.Open, aBar.High, aBar.Low, aBar.Close, (long)aBar.Volume, barSize));
}
}
break;
case HistoricalDataType.Daily:
if (dayReader == null)
{
dayReader = new DZHDayBarReader(dzhDataPath);
}
bars = dayReader.RequestBars(symbol, startTime, endTime);
if ((bars != null) && (bars.Count > 0))
{
/*前复权调整*/
if (forwardAdjust)
{
if (financeReader == null)
{
financeReader = new DZHFinanceReader(dzhDataPath);
}
List <DZHExDividend> exDivs = financeReader.RequestExDividends(symbol);
financeReader.ForwardAdjustedPrice(bars, exDivs);
}
foreach (DZHBar aBar in bars)
{
results.Add(new Daily(aBar.Time, aBar.Open, aBar.High, aBar.Low, aBar.Close, (long)aBar.Volume));
}
}
break;
case HistoricalDataType.Trade:
if (tickReader == null)
{
tickReader = new DZHTickReader(dzhDataPath);
}
ticks = tickReader.RequestTicks(symbol, startTime, endTime);
if ((ticks != null) && (ticks.Count > 0))
{
int prevVol = 0;
foreach (DZHTick aTick in ticks)
{
results.Add(new Trade(aTick.Time, aTick.Price, (int)aTick.Volume - prevVol));
prevVol = (int)aTick.Volume;
}
}
break;
default:
throw new ArgumentException("Unknown data type: " + dataType.ToString());
}
return(results);
}
/*定时器执行更新报价*/
private void tickTimer_Elapsed(object sender, ElapsedEventArgs e)
{
/*如果只在开市时读数据，在非开市时间直接退出*/
if (onlyReadInMarket && (DateTime.Now < DateTime.Today.Add(beginTime) || DateTime.Now > DateTime.Today.Add(endTime)))
{
return;
}
/*当运行到第二天时，清空报价缓存*/
if (lastDateOfQuote < DateTime.Today)
{
lastDateOfQuote = DateTime.Today;
lastQuotes.Clear();
}
if (quoteReader == null)
{
quoteReader = new DZHQuoteReader(dzhDataPath);
}
try
{
foreach (string symbol in subscribedSymbols.ToArray())
{
if (!subscribedSymbols.Contains(symbol))
{
continue;
}
Instrument curInstrument = InstrumentManager.Instruments[symbol];
if (curInstrument == null)
{
this.EmitError(-1, -1, "Symbol " + symbol + " was not found in list of requested symbols.");
}
else
{
DZHSymbol dzhSymbol = new DZHSymbol(curInstrument.SecurityExchange, curInstrument.SecurityID);
DZHQuote newQuote = quoteReader.RequestQuote(dzhSymbol);
bool flag1 = false;
bool flag2 = false;
bool first = false;//是否是请求的第一笔数据
if (this.lastQuotes.ContainsKey(symbol))
{
DZHQuote oldQuote = this.lastQuotes[symbol];
/*这里注释掉和下面一样，大智慧发送来的数据存在同一时刻多笔交易的现象
* 所以不能用时间来排除
*/
//if (newQuote.Time != oldQuote.Time)
//{
if ((newQuote.Bid1 != oldQuote.Bid1) || (newQuote.Bid1Vol != oldQuote.Bid1Vol) ||
(newQuote.Ask1 != oldQuote.Ask1) || (newQuote.Ask1Vol != oldQuote.Ask1Vol))
{
flag1 = true;
}
if ((newQuote.TotalVolume != oldQuote.TotalVolume) || (newQuote.Price != oldQuote.Price))
{
flag2 = true;
}
// }
this.lastQuotes[symbol] = newQuote;
}
else
{
first = true;
if ((newQuote.Ask1 > 0.0) || (newQuote.Bid1 > 0.0))
{
flag1 = true;
}
if ((newQuote.Price > 0.0) || (newQuote.Volume > 0.0))
{
flag2 = true;
}
this.lastQuotes.Add(symbol, newQuote);
}
/*这里注释掉是，不做时间检查，因为不使用市场数据提供者存储数据，市场数据提供者只用于实时交易
*而要获取过去的数据存储起来，使用历史数据提供者
*/
//if ((flag1) && ((curInstrument.GetQuoteArray(newQuote.Time, newQuote.Time)).Count == 0))
if (flag1)
{
this.EmitNewQuote(new Quote(newQuote.Time, newQuote.Bid1, (int)newQuote.Bid1Vol, newQuote.Ask1, (int)newQuote.Ask1Vol), curInstrument);
}
/*大智慧有可能在同一时刻有多笔交易，QD不允许这样，所以有可能丢失某些笔交易
* 如果不作同一时刻的检查，则有可能在数据中保存重复的交易
* 这里注释掉是，不做时间检查，因为不使用市场数据提供者存储数据，市场数据提供者只用于实时交易
*而要获取过去的数据存储起来，使用历史数据提供者
*/
//if ((flag2) && ((curInstrument.GetTradeArray(newQuote.Time, newQuote.Time)).Count == 0))
if (flag2)
{
this.EmitNewTrade(new Trade(newQuote.Time, newQuote.Price, (int)newQuote.Volume), curInstrument);
/*以下代码是为了产生日线*/
if (first && buildDailyBar)
{
lock (this)
{
DateTime barDateTime = newQuote.Time.Date;
if (!dailyBars.ContainsKey(curInstrument))
{
dailyBars.Add(curInstrument, new Dictionary <DateTime, Daily>());
}
Dictionary <DateTime, Daily> dailyBox = dailyBars[curInstrument];
if (!dailyBox.ContainsKey(barDateTime))
{
Daily daily = new Daily(barDateTime, newQuote.Open, newQuote.High, newQuote.Low, newQuote.Price, (long)newQuote.TotalVolume);
dailyBox.Add(barDateTime, daily);
((DZHBarFactory)this.factory).EmitNewBarOpen(daily, curInstrument);
}
DateTime realyEndTime = Clock.Now.Add(this.endTime - newQuote.Time.TimeOfDay);
Clock.AddReminder(new ReminderEventHandler(OnReminder), realyEndTime, null);
}
}
}
}
}
}
catch (Exception exception)
{
this.EmitError(-1, -1, exception.ToString());
}
}
public List <DZHTick> RequestTicks(DZHSymbol symbol)
{
return(this.RequestTicks(symbol, null, null));
}
public List <DZHBar> RequestBars(DZHSymbol symbol)
{
return(this.RequestBars(symbol, null, null));
}
protected long GetIndex(DZHSymbol symbol)
{
Dictionary <string, long> indexs = indexBuffer[symbol.Market];
long pos = 0;
bool find = false;
if (indexs.ContainsKey(symbol.Code))
{
pos = indexs[symbol.Code];
find = true;
}
else
{
if (indexs.Count == 0)
{
pos = indexStartOffset;
}
else
{
KeyValuePair <string, long> lastVP = indexs.Last <KeyValuePair <string, long> >();
pos = lastVP.Value;
}
while (indexs.Count <= securityCount)
{
if (pos + 11 < fileStream.Length)
{
fileStream.Position = pos;
//这文件中好像只用8个字节表示代码
string code0 = System.Text.Encoding.Default.GetString(reader.ReadBytes(8));
code0 = code0.Replace("\0", "");
if (!indexs.ContainsKey(code0))
{
indexs.Add(code0, pos);
}
if (symbol.Code == code0)
{
find = true;
break;
}
else
{
fileStream.Position = pos + 11;
Byte flag = reader.ReadByte();
byte x;
switch (flag)
{
case 0x80:
pos = pos + 216;
break;
case 0xc0:
fileStream.Position = pos + 10;
x = reader.ReadByte();
pos = pos + 216 + 32 + x * 20;
break;
case 0x40:
fileStream.Position = pos + 10;
x = reader.ReadByte();
pos = pos + 12 + 32 + x * 20;
break;
case 0x00:
pos = pos + 12;
break;
default:
//Debug.WriteLine(pos.ToString());
throw new Exception("invalid flag in reading finance data:" + flag.ToString("D"));
}
}
}
else
{
break;
}
}
}
if (find)
{
return(pos);
}
else
{
return(-1);
}
}
protected bool GetBlocks(DZHSymbol symbol)
{
Dictionary <string, long> indexs = indexBuffer[symbol.Market];
long pos = 0;
bool find = false;
if (indexs.ContainsKey(symbol.Code))
{
pos = indexs[symbol.Code];
find = true;
}
else
{
int indexCount = indexs.Count;
pos = indexStartOffset + indexCount * indexRecordSize;
while (pos + indexRecordSize < indexStartOffset + securityCount * indexRecordSize)
{
if (pos < fileStream.Length)
{
fileStream.Position = pos;
//大智慧用10个字节保存代码，一般用8个字节
string code0 = System.Text.Encoding.Default.GetString(reader.ReadBytes(10));
code0 = code0.Replace("\0", "");
if (!indexs.ContainsKey(code0))
{
indexs.Add(code0, pos);
}
if (symbol.Code == code0)
{
find = true;
break;
}
else
{
pos += indexRecordSize;
}
}
}
}
if (!find)
{
for (int j = 0; j < 25; j++)
{
blocks[j] = -1; //块号记录清空
}
return(false);
}
else
{
fileStream.Position = pos + 10;
recordCount = reader.ReadInt32();
for (int j = 0; j < 25; j++)
{
blocks[j] = reader.ReadInt16();
}
return(true);
}
}