private static void MergeSeries(SeriesSymbolData target, DateTime period, double open, double high, double low, double close, double volume, bool isNewBars, bool isRealtime) {
if (isNewBars) {
target.AddSeries(period, open, high, low, close, volume, isRealtime);
} else {
target.SetSeries(open, high, low, close, volume, isRealtime);
}
}
private static int __iLastSeriesId = 0; //存放最後一個 Series Id(此 Id 會一直遞增, 每次使用 new 產生此類別時就會自動遞增)
private static void MergeSeries(SeriesSymbolData target, DateTime period, double open, double high, double low, double close, double volume, bool isNewBars, bool isRealtime) {
if (isNewBars) {
target.AddSeries(period, open, high, low, close, volume, isRealtime);
} else {
target.SetSeries(open, high, low, close, volume, isRealtime);
}
}
internal DataAdapter(InstrumentDataRequest request) {
__cCookies = new CookieContainer();
int iCount = request.Range.Count;
__cSeries = new SeriesSymbolData(request);
__cSeries.onRequest += SeriesSymbolData_onRequest;
__cSeries.OnRequest(new DataRequestEvent(iCount, iCount, 1)); //請求歷史資料
__cSeries.MergeTicks(); //合併即時Tick資訊
}
/// <summary>
/// 取得指定的總秒數週期 SeriesSymbolData 列表
/// </summary>
/// <param name="hashKey">可以為時間週期總秒數或是 Identify</param>
internal SeriesSymbolData GetSeries(int hashKey) {
int iIndex = 0;
SeriesSymbolData cSeries = null;
lock (__cIndexs) {
if (__cIndexs.TryGetValue(hashKey, out iIndex)) {
cSeries = __cSeries[iIndex];
}
}
return cSeries;
}
internal void MergeTick(ITick tick) {
lock (__cIndexs) {
int iCount = __cSeries.Count;
Parallel.For(0, iCount, (i) => {
SeriesSymbolData cSeries = __cSeries[i];
if (cSeries.Initialized) {
cSeries.Merge(tick);
}
});
}
}
/// <summary>
/// 處理清盤重置
/// </summary>
/// <param name="dataSource">即時報價來源名稱</param>
internal void Reset(string dataSource) {
lock (__cIndexs) {
int iCount = __cSeries.Count;
Parallel.For(0, iCount, (i) => {
SeriesSymbolData cSeries = __cSeries[i];
string sDataFeed = cSeries.DataRequest.DataFeed;
if (sDataFeed.Equals(dataSource)) {
cSeries.Reset();
}
});
}
}
/// <summary>
/// 加入 SeriesSymbolData 列表
/// </summary>
/// <param name="series">SeriesSymbolData 列表</param>
internal void Add(SeriesSymbolData series) {
int iTotalSeconds = series.DataRequest.Resolution.TotalSeconds;
lock (__cIndexs) {
if (!__cIndexs.ContainsKey(iTotalSeconds)) {
int iIndex = __cSeries.Count;
__cSeries.Add(series);
__cIndexs.Add(iTotalSeconds, iIndex);
bool bBase = (iTotalSeconds == Resolution.MIN_BASE_TOTALSECONDS || iTotalSeconds == Resolution.MAX_BASE_TOTALSECONDS);
if (!bBase) {
series.onRequest += SeriesSymbolData_onRequest;
}
}
}
}
private void SeriesSymbolData_onRequest(object sender, DataRequestEvent e) {
SeriesSymbolData cTargetSeries = sender as SeriesSymbolData;
if (!cTargetSeries.DataRequest.Range.IsAlreadyRequestAllData) {
int iTotalSeconds = cTargetSeries.DataRequest.Resolution.TotalSeconds;
SeriesSymbolData cBaseSeries = GetSeries(((iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? Resolution.MIN_BASE_TOTALSECONDS : Resolution.MAX_BASE_TOTALSECONDS));
if (cBaseSeries.DataRequest.Range.IsAlreadyRequestAllData) {
e.IsAlreadyRequestAllData = true;
e.Count = cBaseSeries.DataRequest.Range.Count / e.Rate;
} else {
DataRequestEvent cRequestEvent = null;
lock (__oLock) { //需要鎖定資源(因為有可能多個策略同時請求基礎序列類別資料, 如果不鎖定會重複請求資料)
if (e.Totals == 0) { //檢查是否資料總個數為0(0=使用 InstrumentDataRequest 請求歷史資料)
cRequestEvent = e.Clone(); //直接複製
} else { //如果不為0(表示使用者取得資料時超過目前已下載歷史資料的區間, 經過基礎週期比率計算之後再向伺服器請求歷史資料)
int iTotals = e.Totals * e.Rate; //資料總個數 * 縮放比率 = 基礎週期需要請求的資料總個數
int iRequestCount = iTotals - cBaseSeries.DataRequest.Range.Count; //計算後的資料總個數 - 基礎週期目前已下載後的資料個數 = 欲請求的的個數
cRequestEvent = new DataRequestEvent(iRequestCount, iTotals, cBaseSeries.DataRequest.Resolution.Rate);
}
cBaseSeries.OnRequest(cRequestEvent); //回補歷史資訊
}
if (cRequestEvent.Result == 0) {
e.Result = cRequestEvent.Result;
e.Ranges = cRequestEvent.Ranges;
e.Count = cRequestEvent.Count / e.Rate;
e.IsAlreadyRequestAllData = cRequestEvent.IsAlreadyRequestAllData;
}
}
if (e.IsAlreadyRequestAllData) { //如果已經全部讀取完畢就取消事件
cTargetSeries.RemoveRequest();
}
lock (__oLock) { //須鎖定資源(將基礎序列資料合併至目標序列時需要鎖定, 避免合併的時候多執行緒導致合併資料產生問題)
int iTargetCount = cTargetSeries.Indexer.Count;
int iAllocSize = e.Count - cTargetSeries.DataRequest.Range.Count;
if (iTargetCount == 0 || iAllocSize > 0) {
if (iAllocSize > 0) {
++iAllocSize; //多預留一個空間(避免陣列空間不足)
cTargetSeries.AdjustSize(iAllocSize, true);
}
cBaseSeries.Merge(cTargetSeries); //合併資料
}
}
}
}
/// <summary>
/// 建構子
/// </summary>
/// <param name="source">SeriesSymbolData 商品資料類別</param>
/// <param name="request">資料請求結構</param>
internal SeriesSymbolDataRand(SeriesSymbolData source, InstrumentDataRequest request) {
__cSource = source;
__cSource.onRequestCompleted += SeriesSymbolData_onRequestCompleted; //附掛請求歷史資料完成的事件通知
__cIndexer = source.Indexer;
__iBaseAdjustTotal = __cIndexer.AdjustTotalCount;
source.Clone(out __cTimes, out __cOpens, out __cHighs, out __cLows, out __cCloses, out __cVolumes);
__iHistoryIndex = __cCloses.Count - (request.Range.Count + source.RealtimeCount);
this.Current = 1; //預設值索引從 1 開始(內部會自動計算對應至 SeriesSymbolData 序列資料的正確索引位置)
string sDataSource = source.DataRequest.DataFeed;
AbstractQuoteService cService = QuoteManager.Manager.GetQuoteService(sDataSource);
if (cService != null) {
__cQuoteStorage = cService.Storage;
}
}
/// <summary>
/// 加入 SeriesSymbolData 列表
/// </summary>
/// <param name="series">SeriesSymbolData 列表</param>
/// <param name="useIdentify">是否使用 Identify 當作 Hash 值(true=使用 Identify 作為 Hash 值, false=使用時間週期總秒數當作 Hash 值)</param>
internal void Add(SeriesSymbolData series, bool useIdentify = false) {
int iHash = (useIdentify) ? series.Id : series.DataRequest.Resolution.TotalSeconds;
lock (__cIndexs) {
if (!__cIndexs.ContainsKey(iHash)) {
int iIndex = __cSeries.Count;
__cSeries.Add(series);
__cIndexs.Add(iHash, iIndex);
if (!useIdentify) {
series.Id = iHash; //將 Id 改為 iHash(iHash=時間週期總秒數, 當存入 SeriesStorage 後都以 Id 當作 Hash 存取)
bool bBase = (iHash == Resolution.MIN_BASE_TOTALSECONDS || iHash == Resolution.MAX_BASE_TOTALSECONDS);
if (!bBase) {
series.onRequest += SeriesSymbolData_onRequest;
}
}
}
}
}
internal void Merge(SeriesSymbolData target)
{
int iTargetCount = target.Count;
int iFirstIndex = target.Indexer.GetBaseIndex(__cDataRequest.Range.Count);
DateTime cFrom = __cTimes[Indexer.HistoryIndex];
DateTime cTo = __cTimes[iFirstIndex];
List <DateTime> cPeriods = target.__cDataRequest.Resolution.CalculatePeriods(cFrom, cTo);
for (int i = iFirstIndex; i >= Indexer.HistoryIndex; i--)
{
DateTime cBaseTime = __cTimes[i];
bool bNewBars = Resolution.GetNearestPeriod(cPeriods, ref cBaseTime);
MergeSeries(target, cBaseTime, __cTimes[i], __cOpens[i], __cHighs[i], __cLows[i], __cCloses[i], __cVolumes[i], bNewBars, false);
if (bNewBars)
{
target.Indexer.SetBaseIndex(i);
}
}
}
/// <summary>
/// 移除 SeriesSymbolData 列表
/// </summary>
/// <param name="seriesId">SeriesSymbolData id</param>
internal void Remove(int seriesId) {
int iIndex = 0;
lock (__cIndexs) {
if (__cIndexs.TryGetValue(seriesId, out iIndex)) {
SeriesSymbolData cTarget = __cSeries[iIndex];
cTarget.Dispose();
int iLast = __cSeries.Count - 1;
if (iLast > 0 && iLast > iIndex) {
SeriesSymbolData cLast = __cSeries[iLast];
int iLastSeriesId = cLast.Id;
__cIndexs[iLastSeriesId] = iIndex;
__cSeries[iIndex] = cLast;
}
__cIndexs.Remove(seriesId);
__cSeries.RemoveAt(iLast);
}
}
}
internal void Merge(SeriesSymbolData target) {
int iTargetCount = target.Indexer.Count;
int iFirstIndex = target.Indexer.GetBaseIndex(__cDataRequest.Range.Count);
DateTime cFrom = __cTimes[Indexer.HistoryIndex];
DateTime cTo = __cTimes[iFirstIndex];
List<DateTime> cPeriods = target.__cDataRequest.Resolution.CalculatePeriods(cFrom, cTo);
for (int i = iFirstIndex; i >= Indexer.HistoryIndex; i--) {
DateTime cBaseTime = __cTimes[i];
bool bNewBars = Resolution.GetNearestPeriod(cPeriods, ref cBaseTime);
MergeSeries(target, cBaseTime, __cOpens[i], __cHighs[i], __cLows[i], __cCloses[i], __cVolumes[i], bNewBars, false);
if (bNewBars) {
target.Indexer.SetBaseIndex(i);
}
}
if (iTargetCount == 0) {
target.__cDataRequest.Range.To = __cDataRequest.Range.To;
Queue<DateTime> cQueue = target.CreateRealtimePeriods();
for (int i = __cDataRequest.Range.Count; i <= Indexer.RealtimeIndex; i++) {
DateTime cBaseTime = __cTimes[i];
bool bCreate = Resolution.GetNearestPeriod(cQueue, ref cBaseTime);
MergeSeries(target, cBaseTime, __cOpens[i], __cHighs[i], __cLows[i], __cCloses[i], __cVolumes[i], bCreate, true);
}
}
target.__cUpdateTime = __cUpdateTime; //更新目標資訊的最後更新時間(最後更新時間會牽涉到 Bars 的狀態 Close or Inside)
target.Initialized = true;
}
internal SeriesSymbolDataRand(SeriesSymbolData source, int maxBarsReferance) {
__cIndexer = source.Indexer;
__iBaseAdjustTotal = __cIndexer.AdjustTotalCount;
source.Clone(out __cTimes, out __cOpens, out __cHighs, out __cLows, out __cCloses, out __cVolumes);
if (maxBarsReferance > 0) {
__iIgnoreBarsCount = __cCloses.Count - source.RealtimeCount - maxBarsReferance;
if (__iIgnoreBarsCount < 0) {
__iIgnoreBarsCount = 0;
}
}
}
/// <summary>
/// 建構子
/// </summary>
/// <param name="source">SeriesSymbolData 類別</param>
/// <param name="maxBarsReferance">最大 Bars count 參考值(如果不需要很多歷史資訊計算則可以設定小一點, 設定數量不可以超過歷史資料載入總數量)</param>
public Instrument(SeriesSymbolData source, int maxBarsReferance) {
__cSource = source;
__cFullSymbolData = new SeriesSymbolDataRand(source, maxBarsReferance);
this.CurrentBar = 1; //預設值
string sDataSource = __cSource.DataRequest.DataFeed;
AbstractQuoteService cService = QuoteManager.Manager.GetQuoteService(sDataSource);
if (cService != null) {
__cQuoteStorage = cService.Storage;
}
}