public static void MakeBars(IDataSeries tradeSeries, IDataSeries barSeries, BarType barType, long barSize)
{
switch (barType)
{
case BarType.Time:
Bar bar1 = (Bar)null;
foreach (Trade trade in tradeSeries)
{
if (bar1 == null || bar1.EndTime <= trade.DateTime)
{
if (bar1 != null)
{
barSeries.Add(bar1.DateTime, bar1);
}
DateTime beginTime = BarMaker.qtghhEheM(trade.DateTime, barSize);
bar1 = new Bar(BarType.Time, barSize, beginTime, beginTime.AddSeconds((double)barSize), trade.Price, trade.Price, trade.Price, trade.Price, (long)trade.Size, 0L);
}
else
{
if (trade.Price > bar1.High)
{
bar1.High = trade.Price;
}
if (trade.Price < bar1.Low)
{
bar1.Low = trade.Price;
}
bar1.Close = trade.Price;
bar1.Volume += (long)trade.Size;
}
}
if (bar1 != null)
{
barSeries.Add(bar1.DateTime, bar1);
}
barSeries.Flush();
break;
case BarType.Tick:
Bar bar2 = (Bar)null;
int num = 0;
foreach (Trade trade in tradeSeries)
{
if (bar2 == null)
{
bar2 = new Bar(BarType.Tick, barSize, trade.DateTime, trade.DateTime, trade.Price, trade.Price, trade.Price, trade.Price, (long)trade.Size, 0L);
num = 1;
}
else
{
bar2.EndTime = trade.DateTime;
if (trade.Price > bar2.High)
{
bar2.High = trade.Price;
}
if (trade.Price < bar2.Low)
{
bar2.Low = trade.Price;
}
bar2.Close = trade.Price;
bar2.Volume += (long)trade.Size;
++num;
}
if ((long)num == barSize)
{
barSeries.Add(bar2.DateTime, bar2);
bar2 = (Bar)null;
}
}
if (bar2 != null)
{
barSeries.Add(bar2.DateTime, bar2);
}
barSeries.Flush();
break;
case BarType.Volume:
Bar bar3 = (Bar)null;
foreach (Trade trade in tradeSeries)
{
if (bar3 == null)
{
bar3 = new Bar(BarType.Volume, barSize, trade.DateTime, trade.DateTime, trade.Price, trade.Price, trade.Price, trade.Price, (long)trade.Size, 0L);
}
else
{
bar3.EndTime = trade.DateTime;
if (trade.Price > bar3.High)
{
bar3.High = trade.Price;
}
if (trade.Price < bar3.Low)
{
bar3.Low = trade.Price;
}
bar3.Close = trade.Price;
bar3.Volume += (long)trade.Size;
}
if (bar3.Volume >= barSize)
{
barSeries.Add(bar3.DateTime, bar3);
bar3 = (Bar)null;
}
}
if (bar3 != null)
{
barSeries.Add(bar3.DateTime, bar3);
}
barSeries.Flush();
break;
case BarType.Range:
Bar bar4 = (Bar)null;
foreach (Trade trade in tradeSeries)
{
DateTime dateTime = trade.DateTime;
double price = trade.Price;
long volume = (long)trade.Size;
if (bar4 == null)
{
bar4 = new Bar(BarType.Range, barSize, dateTime, dateTime, price, price, price, price, volume, 0L);
}
else
{
bar4.EndTime = dateTime;
if (price > bar4.High)
{
bar4.High = price;
}
if (price < bar4.Low)
{
bar4.Low = price;
}
bar4.Volume += volume;
bool flag = false;
while (!flag)
{
if (10000.0 * (bar4.High - bar4.Low) >= (double)barSize)
{
Bar bar5 = new Bar(BarType.Range, barSize, dateTime, dateTime, price, price, price, price, 0L, 0L);
if (bar4.High == price)
{
bar4.High = bar4.Low + barSize / 10000.0;
bar4.Close = bar4.High;
bar5.Low = bar4.High;
}
if (bar4.Low == price)
{
bar4.Low = bar4.High - barSize / 10000.0;
bar4.Close = bar4.Low;
bar5.High = bar4.Low;
}
barSeries.Add(bar4.DateTime, bar4);
bar4 = bar5;
flag = 10000.0 * (bar5.High - bar5.Low) < (double)barSize;
}
else
{
flag = true;
}
}
}
}
if (bar4 != null)
{
barSeries.Add(bar4.DateTime, bar4);
}
barSeries.Flush();
break;
default:
throw new NotImplementedException("BarType Invalid: " + barType);
}
}
private void PerformTask(CompressorTaskItem item)
{
this.SetCurrentTaskTitle(item.Title);
this.SetCurrentProgress(0);
item.Status = CompressorTaskStatus.Processing;
this.UpdateTaskViewItem(item);
try
{
string str;
if (item.Task.BarTypeSize.BarType == BarType.Time && item.Task.BarTypeSize.BarSize == 86400)
{
str = string.Format("{0}{1}{2}", (object)((FIXInstrument)item.Task.Instrument).Symbol, '.', "Daily");
}
else
{
str = string.Format("{0}{1}{2}{1}{3}{1}{4}", (object)((FIXInstrument)item.Task.Instrument).Symbol, '.', "Bar", item.Task.BarTypeSize.BarType, item.Task.BarTypeSize.BarSize);
}
IDataSeries barSeries = DataManager.Server.GetDataSeries(str);
if (barSeries == null)
{
barSeries = DataManager.Server.AddDataSeries(str);
}
else
{
switch (item.Task.ExistentDataSeries)
{
case ExistentDataSeries.Overwrite:
barSeries.Clear();
break;
case ExistentDataSeries.Skip:
item.Status = CompressorTaskStatus.Done;
item.Message = "Bar series already exists - task aborted.";
return;
}
}
int compressedBars = 0;
BarCompressor compressor = BarCompressor.GetCompressor(item.Task.BarTypeSize, item.Task.DataSource);
compressor.NewCompressedBar += (EventHandler <CompressedBarEventArgs>)((sender, args) =>
{
barSeries.Update(args.Bar.DateTime, args.Bar);
++compressedBars;
});
int count = item.Task.InputSeries.Count;
int num1 = 0;
for (int index = 0; index < count; ++index)
{
IDataObject idataObject = (IDataObject)item.Task.InputSeries[index];
BarDataItemList items = new BarDataItemList();
switch (item.Task.DataSource.Input)
{
case DataSourceInput.Trade:
Trade trade = (Trade)idataObject;
items.Add(new BarDataItem(trade.Price, (long)trade.Size));
break;
case DataSourceInput.Bid:
Quote quote1 = (Quote)idataObject;
items.Add(new BarDataItem(quote1.Bid, (long)quote1.BidSize));
break;
case DataSourceInput.Ask:
Quote quote2 = (Quote)idataObject;
items.Add(new BarDataItem(quote2.Ask, (long)quote2.AskSize));
break;
case DataSourceInput.BidAsk:
Quote quote3 = (Quote)idataObject;
items.Add(new BarDataItem(quote3.Bid, (long)quote3.BidSize));
items.Add(new BarDataItem(quote3.Ask, (long)quote3.AskSize));
break;
case DataSourceInput.Middle:
Quote quote4 = (Quote)idataObject;
items.Add(new BarDataItem((quote4.Bid + quote4.Ask) / 2.0, (long)((quote4.BidSize + quote4.AskSize) / 2)));
break;
case DataSourceInput.Spread:
Quote quote5 = (Quote)idataObject;
items.Add(new BarDataItem(quote5.Ask - quote5.Bid));
break;
case DataSourceInput.Bar:
Bar bar = (Bar)idataObject;
items.Add(new BarDataItem(bar.Open, bar.Volume, bar.OpenInt));
items.Add(new BarDataItem(bar.High));
items.Add(new BarDataItem(bar.Low));
items.Add(new BarDataItem(bar.Close));
break;
}
compressor.Add(new CompressorDataItem(idataObject.DateTime, items));
int num2 = (index + 1) * 100 / count;
if (num2 > num1)
{
num1 = num2;
this.SetCurrentProgress(num2);
}
if (this.doStop)
{
break;
}
}
compressor.Flush();
barSeries.Flush();
if (this.doStop)
{
item.Status = CompressorTaskStatus.Done;
item.Result = CompressorTaskResult.Error;
item.Message = "Aborted by user.";
}
else
{
item.Status = CompressorTaskStatus.Done;
item.Result = CompressorTaskResult.Success;
item.Message = string.Format("Compressed: {0} - > {1}", (object)count.ToString("n0"), (object)compressedBars.ToString("n0"));
}
}
catch (Exception ex)
{
item.Status = CompressorTaskStatus.Done;
item.Result = CompressorTaskResult.Error;
item.Message = ex.Message;
}
finally
{
this.UpdateTaskViewItem(item);
}
}
public static void MakeBars(IDataSeries tradeSeries, IDataSeries barSeries, BarType barType, long barSize)
{
switch (barType)
{
case BarType.Time:
Bar bar1 = (Bar)null;
foreach (Trade trade in tradeSeries)
{
if (bar1 == null || bar1.EndTime <= trade.DateTime)
{
if (bar1 != null)
barSeries.Add(bar1.DateTime, bar1);
DateTime beginTime = BarMaker.qtghhEheM(trade.DateTime, barSize);
bar1 = new Bar(BarType.Time, barSize, beginTime, beginTime.AddSeconds((double)barSize), trade.Price, trade.Price, trade.Price, trade.Price, (long)trade.Size, 0L);
}
else
{
if (trade.Price > bar1.High)
bar1.High = trade.Price;
if (trade.Price < bar1.Low)
bar1.Low = trade.Price;
bar1.Close = trade.Price;
bar1.Volume += (long)trade.Size;
}
}
if (bar1 != null)
barSeries.Add(bar1.DateTime, bar1);
barSeries.Flush();
break;
case BarType.Tick:
Bar bar2 = (Bar)null;
int num = 0;
foreach (Trade trade in tradeSeries)
{
if (bar2 == null)
{
bar2 = new Bar(BarType.Tick, barSize, trade.DateTime, trade.DateTime, trade.Price, trade.Price, trade.Price, trade.Price, (long)trade.Size, 0L);
num = 1;
}
else
{
bar2.EndTime = trade.DateTime;
if (trade.Price > bar2.High)
bar2.High = trade.Price;
if (trade.Price < bar2.Low)
bar2.Low = trade.Price;
bar2.Close = trade.Price;
bar2.Volume += (long)trade.Size;
++num;
}
if ((long)num == barSize)
{
barSeries.Add(bar2.DateTime, bar2);
bar2 = (Bar)null;
}
}
if (bar2 != null)
barSeries.Add(bar2.DateTime, bar2);
barSeries.Flush();
break;
case BarType.Volume:
Bar bar3 = (Bar)null;
foreach (Trade trade in tradeSeries)
{
if (bar3 == null)
{
bar3 = new Bar(BarType.Volume, barSize, trade.DateTime, trade.DateTime, trade.Price, trade.Price, trade.Price, trade.Price, (long)trade.Size, 0L);
}
else
{
bar3.EndTime = trade.DateTime;
if (trade.Price > bar3.High)
bar3.High = trade.Price;
if (trade.Price < bar3.Low)
bar3.Low = trade.Price;
bar3.Close = trade.Price;
bar3.Volume += (long)trade.Size;
}
if (bar3.Volume >= barSize)
{
barSeries.Add(bar3.DateTime, bar3);
bar3 = (Bar)null;
}
}
if (bar3 != null)
barSeries.Add(bar3.DateTime, bar3);
barSeries.Flush();
break;
case BarType.Range:
Bar bar4 = (Bar)null;
foreach (Trade trade in tradeSeries)
{
DateTime dateTime = trade.DateTime;
double price = trade.Price;
long volume = (long)trade.Size;
if (bar4 == null)
{
bar4 = new Bar(BarType.Range, barSize, dateTime, dateTime, price, price, price, price, volume, 0L);
}
else
{
bar4.EndTime = dateTime;
if (price > bar4.High)
bar4.High = price;
if (price < bar4.Low)
bar4.Low = price;
bar4.Volume += volume;
bool flag = false;
while (!flag)
{
if (10000.0 * (bar4.High - bar4.Low) >= (double)barSize)
{
Bar bar5 = new Bar(BarType.Range, barSize, dateTime, dateTime, price, price, price, price, 0L, 0L);
if (bar4.High == price)
{
bar4.High = bar4.Low + barSize / 10000.0;
bar4.Close = bar4.High;
bar5.Low = bar4.High;
}
if (bar4.Low == price)
{
bar4.Low = bar4.High - barSize / 10000.0;
bar4.Close = bar4.Low;
bar5.High = bar4.Low;
}
barSeries.Add(bar4.DateTime, bar4);
bar4 = bar5;
flag = 10000.0 * (bar5.High - bar5.Low) < (double)barSize;
}
else
flag = true;
}
}
}
if (bar4 != null)
barSeries.Add(bar4.DateTime, bar4);
barSeries.Flush();
break;
default:
throw new NotImplementedException("BarType Invalid: " + barType);
}
}
