private void PushBarArrivalEvent(LiveBar bar)
{
if (LiveBar_Arrival != null)
{
LiveBar_Arrival(this, new LiveBarArrivalEventArgs(bar, this._inteval));
}
}
internal void Reset()
{
List <TimeSpan> t = new List <TimeSpan>();
t.AddRange(Bars.Keys);
foreach (TimeSpan tm in t)
{
_bars[tm].Reset();
}
_currentOpenTimeSpan = _dayOpenTime;
_currentBar = _bars[_currentOpenTimeSpan];
_closePriceQueue = new List <double>();
_tickAverageQueue = new List <double>();
_barTickPriceQueue = new List <double>();
_lastVolumn = 0;
}
public LiveBars(int inteval, MarketTimeRange timeRange, DateTime?firstBarTime = null)
{
_dayOpenTime = timeRange.StartTime;
_bars = new Dictionary <TimeSpan, LiveBar>();
_lastBar = new LiveBar();
_lastBar.BarOpenTime = _dayOpenTime;
TimeSpan open = _dayOpenTime;
_tickInteval = timeRange.TickInteval;
foreach (var range in timeRange.TimeRanges)
{
TimeSpan close = range.End;
while (open < close)
{
LiveBar bar = new LiveBar();
bar.BarOpenTime = open;
_bars.Add(bar.BarOpenTime, bar);
bar.PreBar = _lastBar;
_lastBar = bar;
open = open.Add(TimeSpan.FromSeconds(inteval));
if (open < close)
{
bar.BarCloseTime = open.Add(TimeSpan.FromMilliseconds(-timeRange.MinTickTime));
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromMilliseconds(-timeRange.TickInteval));
bar.NextOpenTime = open;
}
else if (open == close)
{
bar.BarCloseTime = close.Add(TimeSpan.FromMilliseconds(-timeRange.MinTickTime));
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromMilliseconds(-timeRange.TickInteval));
open = open.Add(TimeSpan.FromHours(range.ToNextOpenHour));
bar.NextOpenTime = open;
}
else
{
open = open.Add(TimeSpan.FromHours(range.ToNextOpenHour));
bar.BarCloseTime = open.Add(TimeSpan.FromSeconds(-timeRange.MinTickTime));
if (bar.BarCloseTime < close)
{
bar.BarCloseTime = bar.BarCloseTime.Add(TimeSpan.FromHours(-range.ToNextOpenHour));
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromSeconds(-timeRange.TickInteval));
}
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromSeconds(-timeRange.TickInteval));
if (bar.LastTickTime < close)
{
bar.LastTickTime = bar.LastTickTime.Add(TimeSpan.FromHours(-range.ToNextOpenHour));
}
bar.NextOpenTime = open;
}
}
}
//while (open < close)
//{
// LiveBar bar = new LiveBar();
// if (open >= new TimeSpan(11, 30, 0))
// {
// bar.BarTime = open.Add(TimeSpan.FromHours(1.5));
// }
// else
// {
// bar.BarTime = open;
// }
// _bars.Add(bar.BarTime, bar);
// bar.PreBar = _lastBar;
// _lastBar = bar;
// open = open.Add(TimeSpan.FromSeconds(inteval));
//}
_currentOpenTimeSpan = _dayOpenTime;
_currentBar = _bars[_currentOpenTimeSpan];
_inteval = inteval;
_closePriceQueue = new List <double>();
_tickAverageQueue = new List <double>();
_barTickPriceQueue = new List <double>();
_lastVolumn = 0;
}
public void ReceiveTick(TickData tickdata)
{
if (_lastDayClose == 0)
{
_lastDayClose = tickdata.Preclose;
_todayOpen = tickdata.Open;
}
if (_currentHigh < tickdata.Last)
{
_currentHigh = tickdata.Last;
_reachHigh = true;
}
//TimeSpan closeTimeSpan = getNextCloseTimeSpan(_currentOpenTimeSpan);
//TimeSpan closeTimeSpan = _currentBar.BarCloseTime;
//TimeSpan LastTickTime = _currentBar.LastTickTime;
TimeSpan CurrentTickTime = tickdata.Time.TimeOfDay;
//TimeSpan NextTickTime = tickdata.Time.TimeOfDay.Add(TimeSpan.FromSeconds(_tickInteval));
//.Log(string.Format("{0}-{1}",currentTickTime,closeTimeSpan));
if (CurrentTickTime <= _currentBar.BarCloseTime) //当前时间小于等于本根bar的收盘时间
{
UpdateCurrentBar(tickdata, CurrentTickTime);
//if (CurrentTickTime > _currentBar.LastTickTime)
//{
// _currentBar.EstVolumn = _currentBar.Volumn;
// _lastVolumn += _currentBar.Volumn;
// CalcuateBar();
// PushBarArrivalEvent(_currentBar);
// _currentOpenTimeSpan = _currentBar.NextOpenTime;
// if (Bars.ContainsKey(_currentOpenTimeSpan))
// {
// _currentBar = Bars[_currentOpenTimeSpan];
// }
//}
//PushBarArrivalEvent(_currentBar);
}
else //当前时间大于本根bar收盘时间
{
while (CurrentTickTime > _currentBar.BarCloseTime)
{
LiveBar nextBar;
if (_currentBar.Open == 0)
{
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
}
//_lastVolumn += _currentBar.Volumn;
//_currentBar.EstVolumn = _currentBar.Volumn;
//CalcuateBar();
//MakeRaiseType();
//PushBarArrivalEvent(_currentBar);
_currentOpenTimeSpan = _currentBar.NextOpenTime;
if (Bars.ContainsKey(_currentOpenTimeSpan))
{
nextBar = Bars[_currentOpenTimeSpan];
}
else
{
return;
}
//LastTickTime = Bars[_currentOpenTimeSpan].LastTickTime;
//closeTimeSpan = getNextCloseTimeSpan(closeTimeSpan);
if (CurrentTickTime <= nextBar.BarCloseTime) //当前时间小于等于下一根bar收盘时间
{
if (CurrentTickTime > nextBar.LastTickTime) //当前时间大于最后tick时间
{
//push nextbar
CalcuateBar();
MakeRaiseType();
_lastVolumn += _currentBar.Volumn;
_currentBar = Bars[_currentOpenTimeSpan];
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
_currentBar.EstVolumn = _currentBar.Volumn;
CalcuateBar();
MakeRaiseType();
_currentBar.Finish = true;
PushBarArrivalEvent(_currentBar);
_currentOpenTimeSpan = _currentBar.NextOpenTime;
if (Bars.ContainsKey(_currentOpenTimeSpan))
{
_currentBar = Bars[_currentOpenTimeSpan];
}
}
else // 当前时间小于最后tick时间
{
//push currentbar
CalcuateBar();
MakeRaiseType();
_lastVolumn += _currentBar.Volumn;
_currentBar.Finish = true;
PushBarArrivalEvent(_currentBar);
_currentBar = Bars[_currentOpenTimeSpan];
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
}
}
else
{
CalcuateBar();
MakeRaiseType();
_currentBar = Bars[_currentOpenTimeSpan];
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
_currentBar.EstVolumn = _currentBar.Volumn;
CalcuateBar();
MakeRaiseType();
_lastVolumn += _currentBar.Volumn;
//PushBarArrivalEvent(_currentBar);
_currentOpenTimeSpan = _currentBar.NextOpenTime;
if (Bars.ContainsKey(_currentOpenTimeSpan))
{
_currentBar = Bars[_currentOpenTimeSpan];
}
}
}
}
}