public void TestTickMultiplier()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.Config.ContractMultiplier = 50000;
codec.Config.Time_ssf_Diff = 5;
codec.UseFlat(false);
PbTick tick1 = new PbTick();
codec.SetAveragePrice(tick1, 123.45);
codec.SetSettlementPrice(tick1, 123.45);
codec.SetTurnover(tick1, 1234567890123456);
codec.SetOpenInterest(tick1, 9123456789012345678);
codec.SetVolume(tick1, 1234567890);
Assert.AreEqual <double>(123.45, codec.GetAveragePrice(tick1));
Assert.AreEqual <double>(123.45, codec.GetSettlementPrice(tick1));
Assert.AreEqual <double>(1234567890120000, codec.GetTurnover(tick1));
Assert.AreEqual <long>(9123456789012345678, codec.GetOpenInterest(tick1));
Assert.AreEqual <long>(1234567890, codec.GetVolume(tick1));
codec.Config.ContractMultiplier = 5;
codec.SetTurnover(tick1, 1234567890123456);
Assert.AreEqual <double>(1234567890123456, codec.GetTurnover(tick1));
codec.Config.ContractMultiplier = 0.1;
codec.SetTurnover(tick1, 12345678901234.56);
Assert.AreEqual <double>(12345678901234.56, codec.GetTurnover(tick1));
}
public void TestGetSetPrice()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.UseFlat(false);
PbTick tick = new PbTick();
Assert.AreEqual <double>(0, codec.GetBidPrice(tick, 1));
Assert.AreEqual <double>(0, codec.GetBidPrice(tick, 4));
Assert.AreEqual <double>(0, codec.GetBidPrice(tick, 10));
codec.SetBidPrice(tick, 1, 1.0);
codec.SetBidPrice(tick, 4, 2.4);
codec.SetBidPrice(tick, 10, 5.8);
Assert.AreEqual <double>(1, codec.GetBidPrice(tick, 1));
Assert.AreEqual <double>(2.4, codec.GetBidPrice(tick, 4));
Assert.AreEqual <double>(5.8, codec.GetBidPrice(tick, 10));
Assert.AreEqual <double>(0, codec.GetAskPrice(tick, 1));
Assert.AreEqual <double>(0, codec.GetAskPrice(tick, 4));
Assert.AreEqual <double>(0, codec.GetAskPrice(tick, 10));
codec.SetAskPrice(tick, 1, -1.0);
codec.SetAskPrice(tick, 4, 2.4);
codec.SetAskPrice(tick, 10, -5.8);
Assert.AreEqual <double>(-1.0, codec.GetAskPrice(tick, 1));
Assert.AreEqual <double>(2.4, codec.GetAskPrice(tick, 4));
Assert.AreEqual <double>(-5.8, codec.GetAskPrice(tick, 10));
codec.SetAskCount(tick, 1, 4);
codec.SetAskCount(tick, 4, 5);
codec.SetAskCount(tick, 10, -9);
Assert.AreEqual <double>(4, codec.GetAskCount(tick, 1));
Assert.AreEqual <double>(5, codec.GetAskCount(tick, 4));
Assert.AreEqual <double>(-9, codec.GetAskCount(tick, 10));
codec.SetSettlementPrice(tick, 1234.56);
Assert.AreEqual <double>(1234.56, codec.GetSettlementPrice(tick), "SettlementPrice");
codec.SetTurnover(tick, 4567.8);
Assert.AreEqual <double>(4567.8, codec.GetTurnover(tick), "Turnover");
}
public void ReadFile(int instrumentId, string path)
{
Bars = new BarSeries();
Trades = new TickSeries();
Asks = new TickSeries();
Bids = new TickSeries();
PbTickSerializer pts = new PbTickSerializer();
PbTick restore = null;
using (Stream stream = File.OpenRead(path))
{
while (true)
{
restore = pts.ReadOne(stream);
if (restore == null)
{
break;
}
Trade t = new Trade();
t.InstrumentId = instrumentId;
t.DateTime = pts.Codec.GetActionDayDateTime(restore);
t.Price = pts.Codec.GetLastPrice(restore);
t.Size = (int)pts.Codec.GetVolume(restore);
Trades.Add(t);
Bid b = new Bid();
b.InstrumentId = instrumentId;
b.DateTime = t.DateTime;
b.Price = pts.Codec.GetBidPrice(restore, 1);
b.Size = pts.Codec.GetBidSize(restore, 1);
Bids.Add(b);
Ask a = new Ask();
a.InstrumentId = instrumentId;
a.DateTime = t.DateTime;
a.Price = pts.Codec.GetAskPrice(restore, 1);
a.Size = pts.Codec.GetAskSize(restore, 1);
Asks.Add(a);
}
stream.Close();
}
}
public void MakeTick()
{
tick = new PbTick();
tick.Config = new ConfigInfo().Default();
CalcTickSize();
tick.Config.SetTickSize(TickSize);
tick.Config.Time_ssf_Diff = 10;
Codec.Config = tick.Config;
int HH = int.Parse(time.Substring(0, 2));
int mm = int.Parse(time.Substring(3, 2));
int ss = int.Parse(time.Substring(6, 2));
tick.Time_HHmm = HH * 100 + mm;
tick.Time_____ssf__ = ss * 10;
tick.TradingDay = 20150120;
//if()
//{
//}
tick.DepthList = new List <DepthItem>();
int i = 0;
Bids.Reverse();
foreach (var b in Bids)
{
tick.DepthList.Add(new DepthItem(Codec.PriceToTick(b.price), b.size, 0));
}
foreach (var a in Asks)
{
tick.DepthList.Add(new DepthItem(Codec.PriceToTick(a.price), a.size, 0));
}
if (Asks.Count > 0)
{
Codec.SetAskPrice1(tick, Asks[0].price);
}
Codec.SetSymbol(tick, symbol);
}
public void MakeTick()
{
tick = new PbTick();
tick.Config = new ConfigInfo().Default();
CalcTickSize();
tick.Config.SetTickSize(TickSize);
tick.Config.Time_ssf_Diff = 10;
Codec.Config = tick.Config;
Codec.UseFlat(false);
int HH = int.Parse(time.Substring(0, 2));
int mm = int.Parse(time.Substring(3, 2));
int ss = int.Parse(time.Substring(6, 2));
tick.Time_HHmm = HH * 100 + mm;
tick.Time_____ssf__ = ss * 10;
tick.TradingDay = 20150120;
//if()
//{
//}
int i = 0;
foreach (var b in Bids)
{
++i;
Codec.SetBidPrice(tick, i, b.price);
Codec.SetBidSize(tick, i, b.size);
}
i = 0;
foreach (var a in Asks)
{
++i;
Codec.SetAskPrice(tick, i, a.price);
Codec.SetAskSize(tick, i, a.size);
}
Codec.SetSymbol(tick, symbol);
}
public void TestConvertDateTime()
{
var span = new TimeSpan(0, 12, 34, 56, 789);
int time = 123456;
int ms = 789;
int hhmm_____ = 0;
int ____ssf__ = 0;
int _______ff = 0;
var codec = new PbTickCodec();
codec.SetUpdateTime(span, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual <int>(1234, hhmm_____);
Assert.AreEqual <int>(567, ____ssf__);
Assert.AreEqual <int>(89, _______ff);
codec.SetUpdateTime(time, ms, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual <int>(1234, hhmm_____);
Assert.AreEqual <int>(567, ____ssf__);
Assert.AreEqual <int>(89, _______ff);
codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff, out time, out ms);
Assert.AreEqual <int>(123456, time);
Assert.AreEqual <int>(789, ms);
span = codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff);
Assert.AreEqual <int>(0, span.Days);
Assert.AreEqual <int>(12, span.Hours);
Assert.AreEqual <int>(34, span.Minutes);
Assert.AreEqual <int>(56, span.Seconds);
Assert.AreEqual <int>(789, span.Milliseconds);
var date1 = 20141104;
var date2 = 20141105;
var tick = new PbTick();
codec.SetActionDay(tick, new DateTime(2014, 11, 4));
codec.SetTradingDay(tick, new DateTime(2014, 11, 5));
Assert.AreEqual <int>(date1, tick.ActionDay);
Assert.AreEqual <int>(date2, tick.TradingDay);
Assert.AreEqual <DateTime>(new DateTime(2014, 11, 4), codec.GetDateTime(tick.ActionDay));
Assert.AreEqual <DateTime>(new DateTime(2014, 11, 5), codec.GetDateTime(tick.TradingDay));
}
public static void _Main(string[] args)
{
string symbol = "AAPL";
Framework framework = Framework.Current;
Instrument instrument = framework.InstrumentManager.Get(symbol);
DataSeries ds = framework.DataManager.GetDataSeries(instrument, DataObjectType.Trade);
PbTickSerializer pts = new PbTickSerializer();
// 最关键的部分，需要提前设置
pts.Codec.Config.SetTickSize(0.01);
PbTick last = new PbTick();
using (Stream stream = File.OpenWrite(@"D:\1.data"))
{
for (int i = 0; i < ds.Count; ++i)
{
var d = ds[i];
Trade t = d as Trade;
PbTick tick = new PbTick();
// 必须设置数据中的TickSize
tick.Config = pts.Codec.Config;
pts.Codec.SetLastPrice(tick, t.Price);
pts.Codec.SetVolume(tick, t.Size);
pts.Codec.SetSymbol(tick, symbol);
// 时间设置也很关键
pts.Codec.SetActionDay(tick, t.DateTime.Date);
pts.Codec.SetUpdateTime(tick, t.DateTime - t.DateTime.Date);
// 写入流
pts.Write(tick, new Stream[] { stream });
}
stream.Close();
}
}
public void TestStatic()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
PbTick tick1 = new PbTick();
tick1.Config = codec.Config;
codec.SetSymbol(tick1, "ABC");
codec.SetExchange(tick1, "DEF");
PbTick tick2 = new PbTick();
codec.SetSymbol(tick2, "ABC");
codec.SetExchange(tick2, "DEF");
var diff = codec.Diff(tick1, tick2);
Assert.AreEqual(null, diff.Static);
}
// 目前先不处理港股的tickSize变化的那种行情
PbTick CreateTick(ref DepthMarketDataNClass pDepthMarketData, PbTickCodec codec)
{
var tick = new PbTick();
tick.DepthList = new List <DepthItem>();
tick.Config = codec.Config;
tick.TradingDay = pDepthMarketData.TradingDay;
tick.ActionDay = pDepthMarketData.ActionDay;
tick.Time_HHmm = pDepthMarketData.UpdateTime / 100;
tick.Time_____ssf__ = pDepthMarketData.UpdateTime % 100 * 10 + pDepthMarketData.UpdateMillisec / 100;
tick.Time________ff = pDepthMarketData.UpdateMillisec % 100;
// 数据接收器时计算本地与交易所的行情时间差
// 1.这个地方是否保存？
// 2.到底是XAPI中提供还是由接收器提供？
//tick.LocalTime_Msec = (int)(DateTime.Now - codec.GetActionDayDateTime(tick)).TotalMilliseconds;
codec.SetSymbol(tick, pDepthMarketData.Symbol);
if (pDepthMarketData.Exchange != ExchangeType.Undefined)
{
codec.SetExchange(tick, Enum <ExchangeType> .ToString(pDepthMarketData.Exchange));
}
codec.SetLowerLimitPrice(tick, pDepthMarketData.LowerLimitPrice);
codec.SetUpperLimitPrice(tick, pDepthMarketData.UpperLimitPrice);
codec.SetOpen(tick, pDepthMarketData.OpenPrice);
codec.SetHigh(tick, pDepthMarketData.HighestPrice);
codec.SetLow(tick, pDepthMarketData.LowestPrice);
codec.SetClose(tick, pDepthMarketData.ClosePrice);
codec.SetVolume(tick, (long)pDepthMarketData.Volume);
codec.SetOpenInterest(tick, (long)pDepthMarketData.OpenInterest);
codec.SetTurnover(tick, pDepthMarketData.Turnover);//一定要设置合约乘数才能最优保存
codec.SetAveragePrice(tick, pDepthMarketData.AveragePrice);
codec.SetLastPrice(tick, pDepthMarketData.LastPrice);
codec.SetSettlementPrice(tick, pDepthMarketData.SettlementPrice);
codec.SetPreClosePrice(tick, pDepthMarketData.PreClosePrice);
codec.SetPreSettlementPrice(tick, pDepthMarketData.PreSettlementPrice);
codec.SetPreOpenInterest(tick, (long)pDepthMarketData.PreOpenInterest);
for (int i = pDepthMarketData.Bids.Length - 1; i >= 0; --i)
{
var bid = pDepthMarketData.Bids[i];
if (bid.Size == 0)
{
break;
}
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, bid.Price);
tick.AskPrice1 += 1;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(bid.Price), bid.Size, bid.Count));
}
for (int i = 0; i < pDepthMarketData.Asks.Length; ++i)
{
var ask = pDepthMarketData.Asks[i];
if (ask.Size == 0)
{
break;
}
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, ask.Price);
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(ask.Price), ask.Size, ask.Count));
}
return(tick);
}
private DepthMarketDataField PbTick2DepthMarketDataField(PbTickCodec codec, PbTick tick)
{
PbTickView tickView = codec.Data2View(tick, false);
DepthMarketDataField marketData = default(DepthMarketDataField);
codec.GetUpdateTime(tick, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum <ExchangeType> .Parse(tickView.Static.Exchange);
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int _BidPos = BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice1 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume1 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice2 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume2 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice3 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume3 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice4 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume4 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice5 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume5 = tickView.DepthList[_BidPos].Size;
}
}
}
}
}
int _AskPos = AskPos;
if (_AskPos < count)
{
marketData.AskPrice1 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume1 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice2 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume2 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice3 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume3 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice4 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume4 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice5 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume5 = tickView.DepthList[_AskPos].Size;
}
}
}
}
}
}
return(marketData);
}
public void TestReadCsvLeve2()
{
FileInfo fi = new FileInfo(@"F:\BaiduYunDownload\20141225\20141225.csv");
FileInfo fo = new FileInfo(@"F:\BaiduYunDownload\20141225\20141225.pd0");
PbTickSerializer pts = new PbTickSerializer();
using (Stream stream = File.Open(@"F:\BaiduYunDownload\20141225\20141225.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
PbTick tick = new PbTick();
pts.Codec.SetSymbol(tick, arr[0]);
tick.Config = new ConfigInfo().Default();
if (arr[0].StartsWith("TF"))
{
tick.Config.SetTickSize(0.002);
tick.Config.ContractMultiplier = 10000;
}
else
{
tick.Config.SetTickSize(0.2);
tick.Config.ContractMultiplier = 300;
}
tick.Config.Time_ssf_Diff = 5;
pts.Codec.Config = tick.Config;
pts.Codec.UseFlat(false);
//if(i == 1)
//{
// tick.Split = new StockSplitInfo();
// tick.Split.StockDividend = 10;
//}
//if(i == 2)
//{
// tick.Split = new StockSplitInfo();
// tick.Split.CashDividend = 10;
//}
tick.ActionDay = int.Parse(arr[5]);
int time = int.Parse(arr[6]);
tick.Time_HHmm = time / 100000;
tick.Time_____ssf__ = time % 100000 / 100;
tick.Time________ff = time % 100;
pts.Codec.SetLastPrice(tick, double.Parse(arr[8]));
pts.Codec.SetHigh(tick, double.Parse(arr[9]));
pts.Codec.SetLow(tick, double.Parse(arr[10]));
pts.Codec.SetVolume(tick, int.Parse(arr[11]));
pts.Codec.SetTurnover(tick, int.Parse(arr[12]));
pts.Codec.SetOpenInterest(tick, int.Parse(arr[16]));
pts.Codec.SetAskPrice(tick, 1, double.Parse(arr[17]));
pts.Codec.SetAskPrice(tick, 2, double.Parse(arr[18]));
pts.Codec.SetAskPrice(tick, 3, double.Parse(arr[19]));
pts.Codec.SetAskPrice(tick, 4, double.Parse(arr[20]));
pts.Codec.SetAskPrice(tick, 5, double.Parse(arr[21]));
pts.Codec.SetAskSize(tick, 1, int.Parse(arr[22]));
pts.Codec.SetAskSize(tick, 2, int.Parse(arr[23]));
pts.Codec.SetAskSize(tick, 3, int.Parse(arr[24]));
pts.Codec.SetAskSize(tick, 4, int.Parse(arr[25]));
pts.Codec.SetAskSize(tick, 5, int.Parse(arr[26]));
pts.Codec.SetBidPrice(tick, 1, double.Parse(arr[27]));
pts.Codec.SetBidPrice(tick, 2, double.Parse(arr[28]));
pts.Codec.SetBidPrice(tick, 3, double.Parse(arr[29]));
pts.Codec.SetBidPrice(tick, 4, double.Parse(arr[30]));
pts.Codec.SetBidPrice(tick, 5, double.Parse(arr[31]));
pts.Codec.SetBidSize(tick, 1, int.Parse(arr[32]));
pts.Codec.SetBidSize(tick, 2, int.Parse(arr[33]));
pts.Codec.SetBidSize(tick, 3, int.Parse(arr[34]));
pts.Codec.SetBidSize(tick, 4, int.Parse(arr[35]));
pts.Codec.SetBidSize(tick, 5, int.Parse(arr[36]));
pts.Write(tick, new Stream[] { stream });
} while (str != null);
file.Close();
}
}
}
public void TestReadCsvLeve1()
{
FileInfo fi = new FileInfo(@"F:\BaiduYunDownload\IF1406\IF1406.csv");
FileInfo fo = new FileInfo(@"F:\BaiduYunDownload\IF1406\IF1406.pd0");
PbTickSerializer pts = new PbTickSerializer();
pts.Codec.Config.SetTickSize(0.2);
pts.Codec.Config.Time_ssf_Diff = 5;
using (Stream stream = File.Open(@"F:\BaiduYunDownload\IF1406\IF1406.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
DateTime dt = DateTime.Parse(arr[0]).AddMilliseconds(int.Parse(arr[1]));
string symbol = arr[2];
double price = double.Parse(arr[3]);
int vol = int.Parse(arr[4]);
int openint = int.Parse(arr[5]);
double bid = double.Parse(arr[6]);
int bidSize = int.Parse(arr[7]);
double ask = double.Parse(arr[8]);
int askSize = int.Parse(arr[9]);
PbTick tick = new PbTick();
tick.Config = pts.Codec.Config;
pts.Codec.SetLastPrice(tick, price);
pts.Codec.SetVolume(tick, vol);
pts.Codec.SetSymbol(tick, symbol);
pts.Codec.SetActionDay(tick, dt.Date);
pts.Codec.SetUpdateTime(tick, dt - dt.Date);
pts.Codec.SetBidPrice(tick, 1, bid);
pts.Codec.SetBidSize(tick, 1, bidSize);
pts.Codec.SetAskPrice(tick, 1, ask);
pts.Codec.SetAskSize(tick, 1, askSize);
pts.Write(tick, new Stream[] { stream });
//if (i == 1000000)
// break;
} while (str != null);
file.Close();
}
}
Console.WriteLine("结束了");
}
public void TestTickDiff()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.Config.Time_ssf_Diff = 5;
codec.UseFlat(false);
PbTick tick1 = new PbTick();
tick1.Config = codec.Config;
codec.SetLastPrice(tick1, 1234);
codec.SetVolume(tick1, 1);
codec.SetActionDay(tick1, DateTime.Today);
codec.SetTradingDay(tick1, DateTime.Today.AddDays(-1));
//codec.Set
codec.SetAskPrice(tick1, 1, 1234.2);
codec.SetAskSize(tick1, 1, 1);
//codec.SetAskPrice(tick1, 2, 1234.4);
//codec.SetAskSize(tick1, 2, 1);
//codec.SetAskPrice(tick1, 3, 1234.6);
//codec.SetAskSize(tick1, 3, 3);
//codec.SetAskPrice(tick1, 4, 1234.8);
//codec.SetAskSize(tick1, 4, 4);
//codec.SetAskPrice(tick1, 5, 1235.0);
//codec.SetAskSize(tick1, 5, 5);
//codec.SetAskPrice(tick1, 6, 1235.2);
//codec.SetAskSize(tick1, 6, 6);
codec.SetBidPrice(tick1, 1, 1234);
codec.SetBidSize(tick1, 1, 1);
//codec.SetBidPrice(tick1, 2, 1233.8);
//codec.SetBidSize(tick1, 2, 2);
//codec.SetBidPrice(tick1, 3, 1233.6);
//codec.SetBidSize(tick1, 3, 3);
//codec.SetBidPrice(tick1, 4, 1233.4);
//codec.SetBidSize(tick1, 4, 4);
//codec.SetBidPrice(tick1, 5, 1233.2);
//codec.SetBidSize(tick1, 5, 5);
//codec.SetBidPrice(tick1, 6, 1232.0);
//codec.SetBidSize(tick1, 6, 6);
codec.SetLowerLimitPrice(tick1, 123.4);
codec.SetUpperLimitPrice(tick1, 567.8);
codec.SetSettlementPrice(tick1, 123.4);
codec.SetOpen(tick1, 10);
codec.SetHigh(tick1, 10);
codec.SetLow(tick1, 10);
codec.SetClose(tick1, 10);
codec.SetBarSize(tick1, 10);
tick1.Time_HHmm = 1234;
tick1.Time_____ssf__ = 567;
tick1.Time________ff = 0;
PbTick tick2 = new PbTick();
codec.SetLastPrice(tick2, 1234.2);
codec.SetVolume(tick2, 2);
codec.SetActionDay(tick2, DateTime.Today);
codec.SetTradingDay(tick2, DateTime.Today.AddDays(-1));
codec.SetAskPrice(tick2, 1, 1234.2);
codec.SetAskSize(tick2, 1, 1);
codec.SetAskPrice(tick2, 2, 1234.4);
codec.SetAskSize(tick2, 2, 2);
codec.SetAskPrice(tick2, 3, 1234.6);
codec.SetAskSize(tick2, 3, 3);
codec.SetBidPrice(tick2, 1, 1234);
codec.SetBidSize(tick2, 1, 1);
codec.SetBidPrice(tick2, 2, 1233.8);
codec.SetBidSize(tick2, 2, 2);
codec.SetBidPrice(tick2, 3, 1233.6);
codec.SetBidSize(tick2, 3, 3);
codec.SetLowerLimitPrice(tick2, 123.4);
codec.SetUpperLimitPrice(tick2, 567.8);
codec.SetSettlementPrice(tick2, 123.4);
codec.SetOpen(tick2, 10);
codec.SetHigh(tick2, 10);
codec.SetLow(tick2, 10);
codec.SetClose(tick2, 10);
codec.SetBarSize(tick2, 10);
tick2.Time_HHmm = 1234;
tick2.Time_____ssf__ = 572;
tick2.Time________ff = 0;
var diff = codec.Diff(tick1, tick2);
Assert.AreEqual <int>(0, diff.ActionDay);
Assert.AreEqual <int>(0, diff.TradingDay);
Assert.AreEqual(null, diff.Static);
Assert.AreEqual(null, diff.Bar);
Assert.AreEqual <int>(0, diff.Depth1_3.AskPrice1, "AskPrice1");
Assert.AreEqual <int>(0, diff.Depth1_3.AskSize1, "AskSize1");
Assert.AreEqual <int>(0, diff.Depth1_3.AskPrice2, "AskPrice2");
Assert.AreEqual <int>(2, diff.Depth1_3.AskSize2, "AskSize2");
Assert.AreEqual <int>(0, diff.Depth1_3.AskPrice3, "AskPrice3");
Assert.AreEqual <int>(3, diff.Depth1_3.AskSize3, "AskSize3");
Assert.AreEqual <int>(0, diff.Time_____ssf__);
var tick3 = codec.Restore(tick1, diff);
Assert.AreEqual <int>(tick2.Depth1_3.AskPrice1, tick3.Depth1_3.AskPrice1);
Assert.AreEqual <int>(tick2.Depth1_3.AskPrice2, tick3.Depth1_3.AskPrice2);
Assert.AreEqual <int>(tick2.Depth1_3.AskPrice3, tick3.Depth1_3.AskPrice3);
Assert.AreEqual <int>(tick2.Depth1_3.AskSize1, tick3.Depth1_3.AskSize1);
Assert.AreEqual <int>(tick2.Depth1_3.AskSize2, tick3.Depth1_3.AskSize2);
Assert.AreEqual <int>(tick2.Depth1_3.AskSize3, tick3.Depth1_3.AskSize3);
Assert.AreEqual <int>(tick2.Depth1_3.BidPrice1, tick3.Depth1_3.BidPrice1);
Assert.AreEqual <int>(tick2.Depth1_3.BidPrice2, tick3.Depth1_3.BidPrice2);
Assert.AreEqual <int>(tick2.Depth1_3.BidPrice3, tick3.Depth1_3.BidPrice3);
Assert.AreEqual <int>(tick2.Depth1_3.BidSize1, tick3.Depth1_3.BidSize1);
Assert.AreEqual <int>(tick2.Depth1_3.BidSize2, tick3.Depth1_3.BidSize2);
Assert.AreEqual <int>(tick2.Depth1_3.BidSize3, tick3.Depth1_3.BidSize3);
Assert.AreEqual <double>(codec.GetLowerLimitPrice(tick1), codec.GetLowerLimitPrice(tick3));
Assert.AreEqual <double>(codec.GetUpperLimitPrice(tick1), codec.GetUpperLimitPrice(tick3));
Assert.AreEqual <double>(codec.GetSettlementPrice(tick1), codec.GetSettlementPrice(tick3));
Assert.AreEqual <double>(codec.GetOpen(tick1), codec.GetOpen(tick3));
Assert.AreEqual <double>(codec.GetHigh(tick1), codec.GetHigh(tick3));
Assert.AreEqual <double>(codec.GetLow(tick1), codec.GetLow(tick3));
Assert.AreEqual <double>(codec.GetClose(tick1), codec.GetClose(tick3));
Assert.AreEqual <int>(572, tick3.Time_____ssf__);
}
static void Main2(string[] args)
{
//读五档行情，然后存盘
FileInfo fi = new FileInfo(@"d:\wukan\Desktop\20141225.csv");
//FileInfo fo = new FileInfo(@"d:\wukan\Desktop\20141225.pd0");
PbTickSerializer pts = new PbTickSerializer();
using (Stream stream = File.Open(@"d:\wukan\Desktop\20141225_1.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
PbTick tick = new PbTick();
pts.Codec.SetSymbol(tick, arr[0]);
tick.Config = new ConfigInfo().Default();
if (arr[0].StartsWith("TF"))
{
tick.Config.SetTickSize(0.002);
tick.Config.ContractMultiplier = 10000;
}
else
{
tick.Config.SetTickSize(0.2);
tick.Config.ContractMultiplier = 300;
}
tick.Config.Time_ssf_Diff = 5;
pts.Codec.Config = tick.Config;
tick.ActionDay = int.Parse(arr[5]);
int time = int.Parse(arr[6]);
tick.Time_HHmm = time / 100000;
tick.Time_____ssf__ = time % 100000 / 100;
tick.Time________ff = time % 100;
pts.Codec.SetLastPrice(tick, double.Parse(arr[8]));
pts.Codec.SetHigh(tick, double.Parse(arr[9]));
pts.Codec.SetLow(tick, double.Parse(arr[10]));
pts.Codec.SetVolume(tick, int.Parse(arr[11]));
pts.Codec.SetTurnover(tick, int.Parse(arr[12]));
pts.Codec.SetOpenInterest(tick, int.Parse(arr[16]));
tick.DepthList = new List <DepthItem>();
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[31])), int.Parse(arr[36]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[30])), int.Parse(arr[35]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[29])), int.Parse(arr[34]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[28])), int.Parse(arr[33]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[27])), int.Parse(arr[32]), 0));
pts.Codec.SetAskPrice1(tick, double.Parse(arr[17]));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[17])), int.Parse(arr[22]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[18])), int.Parse(arr[23]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[19])), int.Parse(arr[24]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[20])), int.Parse(arr[25]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[21])), int.Parse(arr[26]), 0));
pts.Write(tick, stream);
} while (str != null);
file.Close();
}
}
}
// 目前先不处理港股的tickSize变化的那种行情
PbTick CreateTick(ref DepthMarketDataField pDepthMarketData, PbTickCodec codec)
{
var tick = new PbTick();
tick.DepthList = new List <DepthItem>();
tick.Config = codec.Config;
tick.TradingDay = pDepthMarketData.TradingDay;
tick.ActionDay = pDepthMarketData.ActionDay;
tick.Time_HHmm = pDepthMarketData.UpdateTime / 100;
tick.Time_____ssf__ = pDepthMarketData.UpdateTime % 100 * 10 + pDepthMarketData.UpdateMillisec / 100;
tick.Time________ff = pDepthMarketData.UpdateMillisec % 100;
// 数据接收器时计算本地与交易所的行情时间差
// 1.这个地方是否保存？
// 2.到底是XAPI中提供还是由接收器提供？
//tick.LocalTime_Msec = (int)(DateTime.Now - codec.GetActionDayDateTime(tick)).TotalMilliseconds;
codec.SetSymbol(tick, pDepthMarketData.Symbol);
if (pDepthMarketData.Exchange != ExchangeType.Undefined)
{
codec.SetExchange(tick, Enum <ExchangeType> .ToString(pDepthMarketData.Exchange));
}
codec.SetLowerLimitPrice(tick, pDepthMarketData.LowerLimitPrice);
codec.SetUpperLimitPrice(tick, pDepthMarketData.UpperLimitPrice);
codec.SetOpen(tick, pDepthMarketData.OpenPrice);
codec.SetHigh(tick, pDepthMarketData.HighestPrice);
codec.SetLow(tick, pDepthMarketData.LowestPrice);
codec.SetClose(tick, pDepthMarketData.ClosePrice);
codec.SetVolume(tick, (long)pDepthMarketData.Volume);
codec.SetOpenInterest(tick, (long)pDepthMarketData.OpenInterest);
codec.SetTurnover(tick, pDepthMarketData.Turnover);//一定要设置合约乘数才能最优保存
codec.SetAveragePrice(tick, pDepthMarketData.AveragePrice);
codec.SetLastPrice(tick, pDepthMarketData.LastPrice);
codec.SetSettlementPrice(tick, pDepthMarketData.SettlementPrice);
do
{
if (pDepthMarketData.BidVolume1 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice1), pDepthMarketData.BidVolume1, 0));
// 先记录一个假的，防止只有买价没有卖价的情况
codec.SetAskPrice1(tick, pDepthMarketData.BidPrice1);
tick.AskPrice1 += 1;
if (pDepthMarketData.BidVolume2 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice2), pDepthMarketData.BidVolume2, 0));
if (pDepthMarketData.BidVolume3 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice3), pDepthMarketData.BidVolume3, 0));
if (pDepthMarketData.BidVolume4 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice4), pDepthMarketData.BidVolume4, 0));
if (pDepthMarketData.BidVolume5 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice5), pDepthMarketData.BidVolume5, 0));
} while (false);
do
{
if (pDepthMarketData.AskVolume1 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice1), pDepthMarketData.AskVolume1, 0));
// 记录卖一价
codec.SetAskPrice1(tick, pDepthMarketData.AskPrice1);
if (pDepthMarketData.AskVolume2 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice2), pDepthMarketData.AskVolume2, 0));
if (pDepthMarketData.AskVolume3 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice3), pDepthMarketData.AskVolume3, 0));
if (pDepthMarketData.AskVolume4 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice4), pDepthMarketData.AskVolume4, 0));
if (pDepthMarketData.AskVolume5 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice5), pDepthMarketData.AskVolume5, 0));
} while (false);
return(tick);
}
