internal void InitTIKReader(int Index, string filepath, bool saveticks, int interval)
{
tr = new TikReader(filepath);
if (_saveticks)
{
ticks = new List <Tick>(tr.ApproxTicks);
}
else
{
ticks = new List <Tick>();
}
_saveticks = saveticks;
idx = Index;
if (interval == 0)
{
tr.gotTick += new TickDelegate(tr_gotTick);
}
else
{
bl = new BarListImpl(tr.Symbol, interval, BarInterval.CustomTime);
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
tr.gotTick += new TickDelegate(tr_gotTick2);
}
}
/// <summary>
/// load a security from a historical tick file
/// </summary>
/// <param name="filename"></param>
/// <returns></returns>
public static SecurityImpl FromTIK(string filename)
{
TikReader tr = new TikReader(filename);
SecurityImpl s = (SecurityImpl)tr.ToSecurity();
if (s.isValid && tr.isValid)
{
s._hashist = true;
s.HistSource = tr;
s._approxticks = s.HistSource.ApproxTicks;
}
return(s);
}
internal static void ThreadPoolGo(object info)
{
tickreader reader = (tickreader)info;
reader.IsBusy = true;
TikReader tr = reader.tr;
//int i = 0;
while (!reader.Cancel && tr.NextTick())
{
;
}
//if (i++ % 10 == 0)
// Console.WriteLine("i:" + reader.idx + " c:" + i + " f:"+reader.file) ;
reader.count = tr.Count;
reader.finished = !reader.Cancel;
tr.Close();
reader.IsBusy = false;
}
public void CreateRead()
{
readdata.Clear();
readdata2.Clear();
FILE = TikWriter.SafeFilename(SYM, PATH, DATE);
TestTikWriterReader.removefile(FILE);
{
Tick[] data = RandomTicks.GenerateSymbol(SYM, MAXTICKS);
TickArchiver ta = new TickArchiver(Environment.CurrentDirectory);
for (int i = 0; i < data.Length; i++)
{
data[i].date = DATE;
data[i].time = Util.DT2FT(DateTime.Now);
ta.newTick(data[i]);
}
ta.Stop();
// read file back in from file
TikReader tr = new TikReader(FILE);
tr.gotTick += new TickDelegate(tr_gotTick);
while (tr.NextTick()) ;
// verify length
Assert.AreEqual(data.Length, readdata.Count);
// verify content
bool equal = true;
for (int i = 0; i < MAXTICKS; i++)
equal &= data[i].trade == readdata[i].trade;
tr.Close();
readdata.Clear();
Assert.IsTrue(equal, "ticks did not matched archive.");
TestTikWriterReader.removefile(FILE);
}
}
internal tickreader(int Index, string filepath, bool saveticks, int interval)
{
_int = interval;
file = filepath;
finished = false;
count = 0;
Cancel = false;
IsBusy = false;
_saveticks = false;
datetimes = new List <long>(EXPECTTICKS);
index = new List <int>(EXPECTTICKS);
tr = new TikReader(filepath);
if (_saveticks)
{
ticks = new List <Tick>(tr.ApproxTicks);
}
else
{
ticks = new List <Tick>();
}
_saveticks = saveticks;
idx = Index;
if (interval == 0)
{
tr.gotTick += new TickDelegate(tr_gotTick);
}
else
{
bl = new BarListImpl(tr.Symbol, interval, BarInterval.CustomTime);
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
tr.gotTick += new TickDelegate(tr_gotTick2);
}
ThreadPool.QueueUserWorkItem(new WaitCallback(ThreadPoolGo), this);
IsBusy = true;
}
/// <summary>
/// play simulation until specified day/time is hit
/// </summary>
/// <param name="datetime"></param>
virtual public void PlayTo(long datetime)
{
// check for event
if (GotTick == null)
{
debug("Not handling ticks, quitting...");
return;
}
// handle non binary indicies
if (!myhsi.isBinaryIndex)
{
// make sure inited
if (!hsipinited)
{
Initialize();
// wait a moment
System.Threading.Thread.Sleep(WaitRead * 2);
}
// ensure reader is done
while (_reader.IsBusy)
{
_reader.CancelAsync();
}
// start reading
_reader.RunWorkerAsync(datetime);
stopwatch();
// start writing
while (hsipplay && (hsip_nexttime <= datetime))
{
if (_buf.hasItems)
{
Tick k = _buf.Read();
gotnewtick(k);
}
else if (!_reader.IsBusy)
break;
System.Threading.Thread.Sleep(_writewait);
}
stopwatch();
}
else
{
debug("Playing index containing " + myhsi.TicksPresent.ToString("N0") + " ticks.");
TikReader tw = new TikReader(myhsi.BinaryIndex);
// reset counters
br = 0;
tw.gotTick += new TickDelegate(tw_gotTick);
// get symbols for every toc
string[] syms = new string[myhsi.TOCTicks.Length];
for (int i = 0; i < syms.Length; i++)
syms[i] = SecurityImpl.SecurityFromFileName(myhsi.TOCTicks[i]).symbol;
// get symbol for every tick
symidx = new string[TicksPresent];
for (int i = 0; i < symidx.Length; i++)
symidx[i] = syms[myhsi.Playindex[i]];
// playback ticks
stopwatch();
while (hsipplay && (hsip_nexttime <= datetime) && tw.NextTick())
{
}
stopwatch();
}
}
/// <summary>
/// load a security from a historical tick file
/// </summary>
/// <param name="filename"></param>
/// <returns></returns>
public static SecurityImpl FromTIK(string filename)
{
TikReader tr = new TikReader(filename);
SecurityImpl s = (SecurityImpl)tr.ToSecurity();
if (s.isValid && tr.isValid)
{
s._hashist = true;
s.HistSource = tr;
s._approxticks = s.HistSource.ApproxTicks;
}
return s;
}
/// <summary>
/// play simulation until specified day/time is hit
/// </summary>
/// <param name="datetime"></param>
virtual public void PlayTo(long datetime)
{
// check for event
if (GotTick == null)
{
debug("Not handling ticks, quitting...");
return;
}
// handle non binary indicies
if (!myhsi.isBinaryIndex)
{
// make sure inited
if (!hsipinited)
{
Initialize();
// wait a moment
System.Threading.Thread.Sleep(WaitRead * 2);
}
// ensure reader is done
while (_reader.IsBusy)
{
_reader.CancelAsync();
}
// start reading
_reader.RunWorkerAsync(datetime);
stopwatch();
// start writing
while (hsipplay && (hsip_nexttime <= datetime))
{
if (_buf.hasItems)
{
Tick k = _buf.Read();
gotnewtick(k);
}
else if (!_reader.IsBusy)
{
break;
}
System.Threading.Thread.Sleep(_writewait);
}
stopwatch();
}
else
{
debug("Playing index containing " + myhsi.TicksPresent.ToString("N0") + " ticks.");
TikReader tw = new TikReader(myhsi.BinaryIndex);
// reset counters
br = 0;
tw.gotTick += new TickDelegate(tw_gotTick);
// get symbols for every toc
string[] syms = new string[myhsi.TOCTicks.Length];
for (int i = 0; i < syms.Length; i++)
{
syms[i] = SecurityImpl.SecurityFromFileName(myhsi.TOCTicks[i]).symbol;
}
// get symbol for every tick
symidx = new string[TicksPresent];
for (int i = 0; i < symidx.Length; i++)
{
symidx[i] = syms[myhsi.Playindex[i]];
}
// playback ticks
stopwatch();
while (hsipplay && (hsip_nexttime <= datetime) && tw.NextTick())
{
}
stopwatch();
}
}
double writeandread(Tick[] data, int date, bool printperf)
{
// clear out the read buffer
readdata.Clear();
// keep track of time
double elapms;
System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
// write new file from data
TikWriter tw = new TikWriter(PATH,data[0].symbol,date==0 ? data[0].date: date);
string FILE = tw.Filepath;
sw.Start();
foreach (Tick k in data)
tw.newTick(k);
sw.Stop();
tw.Close();
elapms = (double)sw.ElapsedMilliseconds;
if (printperf)
Console.WriteLine("write speed (ticks/sec): " + (data.Length / (elapms / 1000)).ToString("n0"));
// read file back in from file
TikReader tr = new TikReader(FILE);
tr.gotTick += new TickDelegate(tr_gotTick);
sw.Reset();
sw.Start();
while (tr.NextTick()) ;
sw.Stop();
tr.Close();
elapms = (double)sw.ElapsedMilliseconds;
if (printperf)
Console.WriteLine("read speed (ticks/sec): " + (data.Length/(elapms/1000)).ToString("n0"));
// remove file
removefile(FILE);
return elapms;
}
public void Multiday()
{
readdata.Clear();
readdata2.Clear();
int d = 20100223;
int t = 235900;
int t1 = 0;
const decimal p = 50;
int s = 100;
string FILE1 = TikWriter.SafeFilename(SYM, PATH, d);
TestTikWriterReader.removefile(FILE1);
string FILE2 = TikWriter.SafeFilename(SYM, PATH, d+1);
TestTikWriterReader.removefile(FILE2);
Tick[] data = new Tick[]
{
TickImpl.NewTrade(SYM,d,t++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t++,p,s,string.Empty),
// day two
TickImpl.NewTrade(SYM,++d,t1++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t1++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t1++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t1++,p,s,string.Empty),
TickImpl.NewTrade(SYM,d,t1++,p,s,string.Empty),
};
TickArchiver ta = new TickArchiver(Environment.CurrentDirectory);
for (int i = 0; i < data.Length; i++)
{
ta.newTick(data[i]);
}
ta.Stop();
// read file back in from files
if (System.IO.File.Exists(FILE1))
{
TikReader tr = new TikReader(FILE1);
tr.gotTick += new TickDelegate(tr_gotTick);
while (tr.NextTick()) ;
tr.Close();
}
if (System.IO.File.Exists(FILE2))
{
TikReader tr2 = new TikReader(FILE2);
tr2.gotTick += new TickDelegate(tr2_gotTick);
while (tr2.NextTick()) ;
tr2.Close();
}
// verify length
Assert.AreEqual(5,readdata2.Count);
Assert.AreEqual(5, readdata.Count);
TestTikWriterReader.removefile(FILE1);
TestTikWriterReader.removefile(FILE2);
}
internal tickreader(int Index, string filepath, bool saveticks, int interval)
{
_int = interval;
file = filepath;
finished = false;
count = 0;
Cancel = false;
IsBusy = false;
_saveticks = false;
datetimes = new List<long>(EXPECTTICKS);
index = new List<int>(EXPECTTICKS);
tr = new TikReader(filepath);
if (_saveticks)
ticks = new List<Tick>(tr.ApproxTicks);
else
ticks = new List<Tick>();
_saveticks = saveticks;
idx = Index;
if (interval == 0)
tr.gotTick += new TickDelegate(tr_gotTick);
else
{
bl = new BarListImpl(tr.Symbol, interval, BarInterval.CustomTime);
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
tr.gotTick += new TickDelegate(tr_gotTick2);
}
ThreadPool.QueueUserWorkItem(new WaitCallback(ThreadPoolGo), this);
IsBusy = true;
}
