public Price(CqlQuote cql)
{
this.Bid = cql.b.Value;
this.Offer = cql.o.Value;
this.Volume = cql.v;
}
public string GetJSON(DateTime startTime, DateTime stopTime, string type, string id, bool auto_select)
{
bool isVolume = id.Contains(".Volume");
id = id.Replace(".Volume", "");
var ids = new List <string> {
id
};
var rowSets = PublisherConnection.Instance.Database.GetRows(startTime, stopTime, type, ids);
if (rowSets == null)
{
return(@"[]");
}
if (rowSets.Count() == 0)
{
return(@"[]");
}
foreach (var quoteSet in rowSets)
{
quoteSet.Value.Reverse();
}
List <CqlQuote> filteredQuotes = new List <CqlQuote>();
decimal? prevQuoteValue = null;
CqlQuote prevQuote = new CqlQuote();
bool? trendUp = null;
// find local minima
List <Gap> gaps = new List <Gap>();
SortedList <decimal, CqlQuote> buffer = new SortedList <decimal, CqlQuote>();
decimal min = 1000000;
decimal max = 0;
List <CqlQuote> quotes = new List <CqlQuote>();
try
{
foreach (CqlQuote cqlQuote in rowSets[id])
{
if (cqlQuote.b < min)
{
min = cqlQuote.b.Value;
}
if (cqlQuote.b > max)
{
max = cqlQuote.b.Value;
}
quotes.Add(cqlQuote);
}
}
catch
{
return(@"[]");
}
string keyAvg = id.Split('_').Last() + "_" + startTime.ToShortDateString();
if (quotes.Count == 0)
{
return(@"[]");
}
else if (quotes.Count == 1)
{
if (quotes[0].n.StartsWith("LVL") || quotes[0].n.StartsWith("High") || quotes[0].n.StartsWith("Low") || quotes[0].n.StartsWith("Close"))
{
var newQuotes = new List <CqlQuote>();
newQuotes.Add(new CqlQuote(quotes[0].s, startTime, quotes[0].n, quotes[0].b, quotes[0].o, quotes[0].v));
newQuotes.Add(new CqlQuote(quotes[0].s, stopTime, quotes[0].n, quotes[0].b, quotes[0].o, quotes[0].v));
quotes = newQuotes;
if (!_avg.ContainsKey(keyAvg))
{
_avg[keyAvg] = _avg[id.Split('_').Last() + "_" + startTime.AddDays(1).ToShortDateString()];
}
if (!_scale.ContainsKey(keyAvg))
{
_scale[keyAvg] = _scale[id.Split('_').Last() + "_" + startTime.AddDays(1).ToShortDateString()];
}
}
else if (quotes[0].GetType() == typeof(CqlQuote))
{
quotes.Add(new CqlQuote(quotes[0].s, quotes[0].t.AddSeconds(30), quotes[0].n, quotes[0].b, quotes[0].o, quotes[0].v));
}
}
DateTime ts = new DateTime(quotes.Last().t.Ticks);
DateTime te = new DateTime(quotes.First().t.Ticks);
startTime = startTime > te ? startTime : ts;
stopTime = stopTime < te ? stopTime : te;
double intervalSeconds = Math.Max(1, Math.Ceiling((stopTime - startTime).TotalSeconds) / 250);
double intervalSecondsLarge = Math.Max(1, Math.Ceiling((stopTime - startTime).TotalSeconds) / 100);
if (type == PublisherConnection.DATATYPE_STOCK)
{
_avg[keyAvg] = (min + max) / 2m;
_scale[keyAvg] = (max - min) / 2m;
}
if (quotes[0].n.StartsWith("Rob") && !quotes[0].n.StartsWith("Rob_"))
{
filteredQuotes = quotes;
}
else
{
foreach (CqlQuote cqlQuote in quotes)
{
decimal quoteValue = _avg.ContainsKey(keyAvg) ? cqlQuote.ScaleValue(_avg[keyAvg], _scale[keyAvg]) : cqlQuote.MidPrice();
if (!prevQuoteValue.HasValue)
{
filteredQuotes.Add(cqlQuote);
prevQuoteValue = quoteValue;
prevQuote = cqlQuote;
continue;
}
if (!trendUp.HasValue)
{
trendUp = quoteValue > prevQuoteValue;
prevQuoteValue = quoteValue;
prevQuote = cqlQuote;
if (auto_select && (prevQuote.t - cqlQuote.t).TotalSeconds < intervalSeconds)
{
buffer.Add(quoteValue, cqlQuote);
}
else
{
filteredQuotes.Add(cqlQuote);
}
continue;
}
if (((quoteValue < prevQuoteValue) && trendUp.Value) ||
((quoteValue > prevQuoteValue) && !trendUp.Value))
{
if (auto_select && (prevQuote.t - cqlQuote.t).TotalSeconds < intervalSeconds)
{
if (!buffer.ContainsKey(quoteValue))
{
buffer.Add(quoteValue, cqlQuote);
}
continue;
}
if (buffer.Count > 1)
{
if (buffer.First().Value.t > buffer.Last().Value.t)
{
filteredQuotes.Add(buffer.First().Value);
filteredQuotes.Add(buffer.Last().Value);
}
else
{
filteredQuotes.Add(buffer.Last().Value);
filteredQuotes.Add(buffer.First().Value);
}
}
else if (buffer.Count == 1)
{
filteredQuotes.Add(buffer.First().Value);
}
buffer.Clear();
trendUp = !trendUp;
}
else
{
if (auto_select && (prevQuote.t - cqlQuote.t).TotalSeconds < intervalSecondsLarge)
{
if (!buffer.ContainsKey(quoteValue))
{
buffer.Add(quoteValue, cqlQuote);
}
continue;
}
if (buffer.Count > 1)
{
if (buffer.First().Value.t > buffer.Last().Value.t)
{
filteredQuotes.Add(buffer.First().Value);
filteredQuotes.Add(buffer.Last().Value);
}
else
{
filteredQuotes.Add(buffer.Last().Value);
filteredQuotes.Add(buffer.First().Value);
}
}
else if (buffer.Count == 1)
{
filteredQuotes.Add(buffer.First().Value);
}
buffer.Clear();
}
buffer.Add(quoteValue, cqlQuote);
prevQuoteValue = quoteValue;
prevQuote = cqlQuote;
}
if (filteredQuotes.Last() != prevQuote)
{
filteredQuotes.Add(prevQuote);
}
}
if (isVolume)
{
foreach (var quote in filteredQuotes)
{
quote.b = quote.o = quote.v;
}
}
string json = "[";
foreach (var row in filteredQuotes)
{
json += JsonConvert.SerializeObject(row) + ",";
}
return(json.Substring(0, json.Length - 1) + "]");
}
public ReplayUpdateInfo(CqlQuote quote)
{
if (quote != null)
{
_name = quote.n;
_id = quote.s;
_time = quote.t;
_itemData["MID_OPEN"] = "0";
_itemData["HIGH"] = "0";
_itemData["LOW"] = "0";
_itemData["CHANGE"] = "0";
_itemData["CHANGE_PCT"] = "0";
_itemData["UPDATE_TIME"] = string.Format("{0}-{1}-{2} {3}:{4}:{5}.{6}", quote.t.Year, quote.t.Month,
quote.t.Day, quote.t.Hour, quote.t.Minute, quote.t.Second, quote.t.Millisecond);
_itemData["MARKET_DELAY"] = "0";
_itemData["MARKET_STATE"] = "REPLAY";
_itemData["BID"] = quote.b.ToString();
_itemData["OFFER"] = quote.o.ToString();
_itemData["VOLUME"] = quote.v.ToString();
}
}