public DepthTick GetLevelObject(PbTick tick, int level)
{
if (level <= 0)
{
throw new InvalidOperationException("the level must be gt zero");
}
DepthTick from_last = null;
DepthTick from_next = null;
from_last = null;
from_next = tick.Depth1_3;
while (level > 0)
{
if (from_next == null)
{
return(null);
}
from_last = from_next;
from_next = from_next.Next;
level -= 3;
}
return(from_last);
}
public DepthTickView Int2Double(DepthTick depthTick)
{
if (depthTick == null)
{
return(null);
}
DepthTickView field = new DepthTickView();
field.BidPrice1 = Codec.TickToPrice(depthTick.BidPrice1);
field.BidSize1 = depthTick.BidSize1;
field.AskPrice1 = Codec.TickToPrice(depthTick.AskPrice1);
field.AskSize1 = depthTick.AskSize1;
field.BidPrice2 = Codec.TickToPrice(depthTick.BidPrice2);
field.BidSize2 = depthTick.BidSize2;
field.AskPrice2 = Codec.TickToPrice(depthTick.AskPrice2);
field.AskSize2 = depthTick.AskSize2;
field.BidPrice3 = Codec.TickToPrice(depthTick.BidPrice3);
field.BidSize3 = depthTick.BidSize3;
field.AskPrice3 = Codec.TickToPrice(depthTick.AskPrice3);
field.AskSize3 = depthTick.AskSize3;
if (depthTick.Next != null)
{
field.Next = Int2Double(depthTick.Next);
}
field.BidCount1 = depthTick.BidCount1;
field.AskCount1 = depthTick.AskCount1;
field.BidCount2 = depthTick.BidCount2;
field.AskCount2 = depthTick.AskCount2;
field.BidCount3 = depthTick.BidCount3;
field.AskCount3 = depthTick.AskCount3;
return(field);
}
public DepthTick Double2Int(DepthTickView depthTick)
{
if (depthTick == null)
{
return(null);
}
DepthTick field = new DepthTick();
field.BidPrice1 = Codec.PriceToTick(depthTick.BidPrice1);
field.BidSize1 = depthTick.BidSize1;
field.AskPrice1 = Codec.PriceToTick(depthTick.AskPrice1);
field.AskSize1 = depthTick.AskSize1;
field.BidPrice2 = Codec.PriceToTick(depthTick.BidPrice2);
field.BidSize2 = depthTick.BidSize2;
field.AskPrice2 = Codec.PriceToTick(depthTick.AskPrice2);
field.AskSize2 = depthTick.AskSize2;
field.BidPrice3 = Codec.PriceToTick(depthTick.BidPrice3);
field.BidSize3 = depthTick.BidSize3;
field.AskPrice3 = Codec.PriceToTick(depthTick.AskPrice3);
field.AskSize3 = depthTick.AskSize3;
if (depthTick.Next != null)
{
field.Next = Double2Int(depthTick.Next);
}
field.BidCount1 = depthTick.BidCount1;
field.AskCount1 = depthTick.AskCount1;
field.BidCount2 = depthTick.BidCount2;
field.AskCount2 = depthTick.AskCount2;
field.BidCount3 = depthTick.BidCount3;
field.AskCount3 = depthTick.AskCount3;
return(field);
}
/// <summary>
/// 传入两个tick得到tick的差分
/// </summary>
/// <param name="prev"></param>
/// <param name="current"></param>
/// <returns></returns>
public PbTick Diff(PbTick prev, PbTick current)
{
if (prev == null)
{
if (current.Config == null)
{
throw new Exception("快照的配置不能为空");
}
// 是快照，直接返回
return(current);
}
PbTick tick = new PbTick();
#region 配置数据
// 当前数据为空或前后相同，表示
if (current.Config == null || prev.Config.IsSame(current.Config))
{
tick.Config = null;
// 可以继续下去
}
else
{
// 是新数据，返回快照
_config = current.Config;
TickSize = _config.GetTickSize();
return(current);
}
#endregion
// 先取最关键的数据，因为前一条的config总会补成有效
_config = prev.Config;
TickSize = _config.GetTickSize();
tick.LastPrice = current.LastPrice - prev.LastPrice;
DepthTick from_last = null;
DepthTick from_next = null;
DepthTick to_last = null;
DepthTick to_next = null;
DepthTick last_last = null;
DepthTick last_next = null;
#region 买1到买N
from_last = null;
from_next = current.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
{
break;
}
// 每节的循环
if (from_next.BidSize1 == 0)
{
break;
}
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.BidPrice1 = current.LastPrice - from_next.BidPrice1;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.BidPrice1 = from_last.BidPrice3 - from_next.BidPrice1 - 1;
}
if (last_next == null)
{
to_next.BidSize1 = from_next.BidSize1;
to_next.BidCount1 = from_next.BidCount1;
}
else
{
to_next.BidSize1 = from_next.BidSize1 - last_next.BidSize1;
to_next.BidCount1 = from_next.BidCount1 - last_next.BidCount1;
}
if (from_next.BidSize2 == 0)
{
break;
}
to_next.BidPrice2 = from_next.BidPrice1 - from_next.BidPrice2 - 1;
if (last_next == null)
{
to_next.BidSize2 = from_next.BidSize2;
to_next.BidCount2 = from_next.BidCount2;
}
else
{
to_next.BidSize2 = from_next.BidSize2 - last_next.BidSize2;
to_next.BidCount2 = from_next.BidCount2 - last_next.BidCount2;
}
if (from_next.BidSize3 == 0)
{
break;
}
to_next.BidPrice3 = from_next.BidPrice2 - from_next.BidPrice3 - 1;
if (last_next == null)
{
to_next.BidSize3 = from_next.BidSize3;
to_next.BidCount3 = from_next.BidCount3;
}
else
{
to_next.BidSize3 = from_next.BidSize3 - last_next.BidSize3;
to_next.BidCount3 = from_next.BidCount3 - last_next.BidCount3;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
{
last_next = last_next.Next;
}
}
#endregion
#region 卖1到卖N
from_last = null;
from_next = current.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
{
break;
}
// 每节的循环
if (from_next.AskSize1 == 0)
{
break;
}
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.AskPrice1 = from_next.AskPrice1 - current.LastPrice;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.AskPrice1 = from_next.AskPrice1 - from_last.AskPrice3 - 1;
}
if (last_next == null)
{
to_next.AskSize1 = from_next.AskSize1;
to_next.AskCount1 = from_next.AskCount1;
}
else
{
to_next.AskSize1 = from_next.AskSize1 - last_next.AskSize1;
to_next.AskCount1 = from_next.AskCount1 - last_next.AskCount1;
}
if (from_next.AskSize2 == 0)
{
break;
}
to_next.AskPrice2 = from_next.AskPrice2 - from_next.AskPrice1 - 1;
if (last_next == null)
{
to_next.AskSize2 = from_next.AskSize2;
to_next.AskCount2 = from_next.AskCount2;
}
else
{
to_next.AskSize2 = from_next.AskSize2 - last_next.AskSize2;
to_next.AskCount2 = from_next.AskCount2 - last_next.AskCount2;
}
if (from_next.AskSize3 == 0)
{
break;
}
to_next.AskPrice3 = from_next.AskPrice3 - from_next.AskPrice2 - 1;
if (last_next == null)
{
to_next.AskSize3 = from_next.AskSize3;
to_next.AskCount3 = from_next.AskCount3;
}
else
{
to_next.AskSize3 = from_next.AskSize3 - last_next.AskSize3;
to_next.AskCount3 = from_next.AskCount3 - last_next.AskCount3;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
{
last_next = last_next.Next;
}
}
#endregion
#region 常用行情信息
tick.Volume = current.Volume - prev.Volume;
tick.OpenInterest = current.OpenInterest - prev.OpenInterest;
tick.Turnover = current.Turnover - prev.Turnover;
tick.AveragePrice = current.AveragePrice - prev.AveragePrice;
tick.TradingDay = current.TradingDay - prev.TradingDay;
tick.ActionDay = current.ActionDay - prev.ActionDay;
tick.Time_HHmm = current.Time_HHmm - prev.Time_HHmm;
tick.Time________ff = current.Time________ff - prev.Time________ff;
// 这个地方有区别要减去一个差，将时间再缩小
tick.Time_____ssf__ = current.Time_____ssf__ - prev.Time_____ssf__ - _config.Time_ssf_Diff;
#endregion
#region Bar数据
// Bar数据要进行差分计算
if (current.Bar != null || prev.Bar != null)
{
tick.Bar = new BarInfo();
if (current.Bar == null)
{
current.Bar = new BarInfo();
}
if (prev.Bar == null)
{
prev.Bar = new BarInfo();
}
tick.Bar.Open = current.Bar.Open - prev.Bar.Open;
tick.Bar.High = current.Bar.High - prev.Bar.High;
tick.Bar.Low = current.Bar.Low - prev.Bar.Low;
tick.Bar.Close = current.Bar.Close - prev.Bar.Close;
tick.Bar.BarSize = current.Bar.BarSize - prev.Bar.BarSize;
if (tick.Bar.IsZero)
{
tick.Bar = null;
}
}
#endregion
#region 静态数据
if (current.Static != null || prev.Static != null)
{
tick.Static = new StaticInfo();
if (current.Static == null)
{
current.Static = new StaticInfo();
}
if (prev.Static == null)
{
prev.Static = new StaticInfo();
}
tick.Static.LowerLimitPrice = current.Static.LowerLimitPrice - prev.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = current.Static.UpperLimitPrice - prev.Static.UpperLimitPrice;
tick.Static.SettlementPrice = current.Static.SettlementPrice - prev.Static.SettlementPrice;
if (!string.Equals(current.Static.Exchange, prev.Static.Exchange))
{
tick.Static.Exchange = current.Static.Exchange;
}
if (!string.Equals(current.Static.Symbol, prev.Static.Symbol))
{
tick.Static.Symbol = current.Static.Symbol;
}
if (tick.Static.IsZero)
{
tick.Static = null;
}
}
#endregion
#region 除权除息数据
// 除权除息数据本来就是稀疏矩阵，不需要做差分
if (current.Split != null)
{
tick.Split = current.Split;
if (tick.Split.IsZero)
{
tick.Split = null;
}
}
#endregion
return(tick);
}
public PbTick Restore(PbTick prev, PbTick diff)
{
if (prev == null)
{
if (diff.Config == null)
{
throw new Exception("快照的配置不能为空");
}
// 记下配置，要用到
_config = diff.Config;
TickSize = _config.GetTickSize();
// 是快照，直接返回
return(diff);
}
var tick = new PbTick();
#region 配置数据
if (diff.Config == null)
{
// 使用上条的配置
tick.Config = prev.Config;
}
else
{
// 新配置
_config = diff.Config;
TickSize = _config.GetTickSize();
// 是快照，直接返回
return(diff);
}
#endregion
_config = tick.Config;
TickSize = _config.GetTickSize();
tick.LastPrice = prev.LastPrice + diff.LastPrice;
DepthTick from_last = null;
DepthTick from_next = null;
DepthTick to_last = null;
DepthTick to_next = null;
DepthTick last_last = null;
DepthTick last_next = null;
#region 买1到买N
from_last = null;
from_next = diff.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
{
break;
}
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.BidPrice1 = tick.LastPrice - from_next.BidPrice1;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.BidPrice1 = to_last.BidPrice3 - from_next.BidPrice1 - 1;
}
to_next.BidPrice2 = to_next.BidPrice1 - from_next.BidPrice2 - 1;
to_next.BidPrice3 = to_next.BidPrice2 - from_next.BidPrice3 - 1;
if (last_next == null)
{
to_next.BidSize1 = from_next.BidSize1;
to_next.BidSize2 = from_next.BidSize2;
to_next.BidSize3 = from_next.BidSize3;
to_next.BidCount1 = from_next.BidCount1;
to_next.BidCount2 = from_next.BidCount2;
to_next.BidCount3 = from_next.BidCount3;
}
else
{
to_next.BidSize1 = from_next.BidSize1 + last_next.BidSize1;
to_next.BidSize2 = from_next.BidSize2 + last_next.BidSize2;
to_next.BidSize3 = from_next.BidSize3 + last_next.BidSize3;
to_next.BidCount1 = from_next.BidCount1 + last_next.BidCount1;
to_next.BidCount2 = from_next.BidCount2 + last_next.BidCount2;
to_next.BidCount3 = from_next.BidCount3 + last_next.BidCount3;
}
// 太复杂了，简化为发现Size=0就设Price等为0
if (to_next.BidSize3 == 0)
{
to_next.BidCount3 = 0;
to_next.BidPrice3 = 0;
}
if (to_next.BidSize2 == 0)
{
to_next.BidCount2 = 0;
to_next.BidPrice2 = 0;
}
if (to_next.BidSize1 == 0)
{
to_next.BidCount1 = 0;
to_next.BidPrice1 = 0;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
{
last_next = last_next.Next;
}
}
#endregion
#region 卖1到卖N
from_last = null;
from_next = diff.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
{
break;
}
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.AskPrice1 = tick.LastPrice + from_next.AskPrice1;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.AskPrice1 = to_last.AskPrice3 + from_next.AskPrice1 + 1;
}
to_next.AskPrice2 = to_next.AskPrice1 + from_next.AskPrice2 + 1;
to_next.AskPrice3 = to_next.AskPrice2 + from_next.AskPrice3 + 1;
if (last_next == null)
{
to_next.AskSize1 = from_next.AskSize1;
to_next.AskSize2 = from_next.AskSize2;
to_next.AskSize3 = from_next.AskSize3;
to_next.AskCount1 = from_next.AskCount1;
to_next.AskCount2 = from_next.AskCount2;
to_next.AskCount3 = from_next.AskCount3;
}
else
{
to_next.AskSize1 = from_next.AskSize1 + last_next.AskSize1;
to_next.AskSize2 = from_next.AskSize2 + last_next.AskSize2;
to_next.AskSize3 = from_next.AskSize3 + last_next.AskSize3;
to_next.AskCount1 = from_next.AskCount1 + last_next.AskCount1;
to_next.AskCount2 = from_next.AskCount2 + last_next.AskCount2;
to_next.AskCount3 = from_next.AskCount3 + last_next.AskCount3;
}
// 太复杂了，简化为发现Size=0就设Price等为0
if (to_next.AskSize3 == 0)
{
to_next.AskCount3 = 0;
to_next.AskPrice3 = 0;
}
if (to_next.AskSize2 == 0)
{
to_next.AskCount2 = 0;
to_next.AskPrice2 = 0;
}
if (to_next.AskSize1 == 0)
{
to_next.AskCount1 = 0;
to_next.AskPrice1 = 0;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
{
last_next = last_next.Next;
}
}
#endregion
#region 常用行情信息
tick.Volume = prev.Volume + diff.Volume;
tick.OpenInterest = prev.OpenInterest + diff.OpenInterest;
tick.Turnover = prev.Turnover + diff.Turnover;
tick.AveragePrice = prev.AveragePrice + diff.AveragePrice;
tick.TradingDay = prev.TradingDay + diff.TradingDay;
tick.ActionDay = prev.ActionDay + diff.ActionDay;
tick.Time_HHmm = prev.Time_HHmm + diff.Time_HHmm;
tick.Time________ff = prev.Time________ff + diff.Time________ff;
// 还原时间
tick.Time_____ssf__ = prev.Time_____ssf__ + diff.Time_____ssf__ + _config.Time_ssf_Diff;
#endregion
#region Bar数据
if (prev.Bar != null || diff.Bar != null)
{
tick.Bar = new BarInfo();
if (prev.Bar == null)
{
prev.Bar = new BarInfo();
}
if (diff.Bar == null)
{
diff.Bar = new BarInfo();
}
tick.Bar.Open = prev.Bar.Open + diff.Bar.Open;
tick.Bar.High = prev.Bar.High + diff.Bar.High;
tick.Bar.Low = prev.Bar.Low + diff.Bar.Low;
tick.Bar.Close = prev.Bar.Close + diff.Bar.Close;
tick.Bar.BarSize = prev.Bar.BarSize + diff.Bar.BarSize;
}
#endregion
#region 静态数据
if (prev.Static != null || diff.Static != null)
{
tick.Static = new StaticInfo();
if (prev.Static == null)
{
prev.Static = new StaticInfo();
}
if (diff.Static == null)
{
diff.Static = new StaticInfo();
}
tick.Static.LowerLimitPrice = prev.Static.LowerLimitPrice + diff.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = prev.Static.UpperLimitPrice + diff.Static.UpperLimitPrice;
tick.Static.SettlementPrice = prev.Static.SettlementPrice + diff.Static.SettlementPrice;
tick.Static.Symbol = string.IsNullOrWhiteSpace(diff.Static.Symbol) ? prev.Static.Symbol : diff.Static.Symbol;
tick.Static.Exchange = string.IsNullOrWhiteSpace(diff.Static.Exchange) ? prev.Static.Exchange : diff.Static.Exchange;
}
#endregion
#region 除权除息数据
// 没有做过差分，所以直接返回
if (diff.Split != null)
{
tick.Split = diff.Split;
}
#endregion
return(tick);
}