public PbTickView Int2Double(PbTick tick, bool descending)
{
if (tick == null)
{
return(null);
}
var view = new PbTickView();
// 利用此机会设置TickSize
if (Codec == null)
{
Codec = new PbTickCodec();
}
view.Config = Int2Double(tick.Config);
Codec.Config = tick.Config;
view.Turnover = Codec.GetTurnover(tick);
view.AveragePrice = Codec.GetAveragePrice(tick);
view.LastPrice = Codec.TickToPrice(tick.LastPrice);
view.AskPrice1 = Codec.TickToPrice(tick.AskPrice1);
view.Volume = tick.Volume;
view.OpenInterest = tick.OpenInterest;
view.TradingDay = tick.TradingDay;
view.ActionDay = tick.ActionDay;
view.Time_HHmm = tick.Time_HHmm;
view.Time_____ssf__ = tick.Time_____ssf__;
view.Time________ff = tick.Time________ff;
view.Bar = Int2Double(tick.Bar);
view.Static = Int2Double(tick.Static);
view.Split = Int2Double(tick.Split);
view.LocalTime_Msec = tick.LocalTime_Msec;
view.DepthList = Int2Double(tick.DepthList, descending);
view.LoadQuote(descending);
return(view);
}
public void SetClose(PbTick tick, double price)
{
if (tick.Bar == null)
{
tick.Bar = new BarInfo();
}
SetClose(tick.Bar, price);
}
public void SetBarSize(PbTick tick, int barSize)
{
if (tick.Bar == null)
{
tick.Bar = new BarInfo();
}
SetBarSize(tick.Bar, barSize);
}
public void SetUpperLimitPrice(PbTick tick, double price)
{
if (tick.Static == null)
{
tick.Static = new StaticInfo();
}
SetUpperLimitPrice(tick.Static, price);
}
public void SetPreSettlementPrice(PbTick tick, double price)
{
if (tick.Static == null)
{
tick.Static = new StaticInfo();
}
SetPreSettlementPrice(tick.Static, price);
}
public void SetPreOpenInterest(PbTick tick, long val)
{
if (tick.Static == null)
{
tick.Static = new StaticInfo();
}
SetPreOpenInterest(tick.Static, val);
}
public string GetSymbol(PbTick tick)
{
if (tick.Static == null)
{
return(null);
}
return(tick.Static.Symbol);
}
public string GetExchange(PbTick tick)
{
if (tick.Static == null)
{
return(null);
}
return(tick.Static.Exchange);
}
public PbTickView Data2View(PbTick tick, bool descending)
{
if (tick == null)
{
return(null);
}
var converter = new Int2DoubleConverter();
return(converter.Int2Double(tick, descending));
}
public PbTick Write(PbTick data, Stream dest)
{
PbTick diff = Codec.Diff(_lastWrite, data);
_lastWrite = data;
diff.PrepareObjectBeforeWrite(Codec.Config);
ProtoBuf.Serializer.SerializeWithLengthPrefix<PbTick>(dest, diff, PrefixStyle.Base128);
return diff;
}
public void Write(WriterDataItem item, PbTick tick)
{
// 对于换交易日，应当将前一天的关闭
if (item.TradingDay != tick.TradingDay)
{
item.Close();
item.TradingDay = tick.TradingDay;
}
item.Tick = tick;
item.Write();
}
public bool Write(PbTick tick)
{
WriterDataItem item;
if (Items.TryGetValue(tick.Static.Symbol, out item))
{
Write(item, tick);
return(true);
}
return(false);
}
public PbTick Write(PbTick data, Stream dest)
{
var diff = Codec.Diff(_lastWrite, data);
_lastWrite = data;
diff.PrepareObjectBeforeWrite(Codec.Config);
ProtoBuf.Serializer.SerializeWithLengthPrefix(dest, diff, PrefixStyle.Base128);
return(diff);
}
public void SetExchange(PbTick tick, string val)
{
if (string.IsNullOrWhiteSpace(val))
{
return;
}
if (tick.Static == null)
{
tick.Static = new StaticInfo();
}
tick.Static.Exchange = val;
}
public List <PbTick> Restore(IEnumerable <PbTick> list)
{
if (list == null)
{
return(null);
}
var _list = new List <PbTick>();
PbTick last = null;
foreach (var item in list)
{
last = Restore(last, item);
_list.Add(last);
}
return(_list);
}
/// <summary>
/// 可以同时得到原始的raw和解码后的数据
/// </summary>
/// <param name="source"></param>
/// <param name="raw"></param>
/// <returns></returns>
public PbTick ReadOne(Stream source)
{
PbTick raw = ProtoBuf.Serializer.DeserializeWithLengthPrefix <PbTick>(source, PrefixStyle.Base128);
if (raw == null)
{
return(null);
}
raw.PrepareObjectAfterRead(Codec.Config);
_lastRead = Codec.Restore(_lastRead, raw);
if (_lastRead.Config.Version != 2)
{
throw new ProtobufDataZeroException("only support pd0 file version 2", _lastRead.Config.Version, 2);
}
return(_lastRead);
}
public List <PbTick> Diff(IEnumerable <PbTick> list)
{
if (list == null)
{
return(null);
}
var _list = new List <PbTick>();
PbTick last = null;
foreach (var item in list)
{
var diff = Diff(last, item);
last = item;
_list.Add(diff);
}
return(_list);
}
public List <PbTick> Read(Stream stream)
{
PbTick resotre = null;
List <PbTick> _list = new List <PbTick>();
while (true)
{
resotre = ReadOne(stream);
if (resotre == null)
{
break;
}
_list.Add(resotre);
}
stream.Close();
return(_list);
}
public PbTick Double2Int(PbTickView tick, bool descending)
{
if (tick == null)
{
return(null);
}
var field = new PbTick();
// 利用此机会设置TickSize
if (Codec == null)
{
Codec = new PbTickCodec();
}
field.Config = Double2Int(tick.Config);
Codec.Config = field.Config;
Codec.SetTurnover(field, tick.Turnover);
Codec.SetAveragePrice(field, tick.AveragePrice);
field.LastPrice = Codec.PriceToTick(tick.LastPrice);
field.AskPrice1 = Codec.PriceToTick(tick.AskPrice1);
field.Volume = tick.Volume;
field.OpenInterest = tick.OpenInterest;
field.TradingDay = tick.TradingDay;
field.ActionDay = tick.ActionDay;
field.Time_HHmm = tick.Time_HHmm;
field.Time_____ssf__ = tick.Time_____ssf__;
field.Time________ff = tick.Time________ff;
field.Bar = Double2Int(tick.Bar);
field.Static = Double2Int(tick.Static);
field.Split = Double2Int(tick.Split);
field.LocalTime_Msec = tick.LocalTime_Msec;
field.DepthList = Double2Int(tick.DepthList, descending);
return(field);
}
public void Write()
{
lock (locker)
{
if (Tick == null)
{
return;
}
if (Stream == null)
{
Stream = File.Open(FullPath, FileMode.Append, FileAccess.Write, FileShare.Read);
// 换天时，必须重置记录器，不然记录的数据是差分后数据，导致新文件无法解读
Serializer.Reset();
}
Serializer.Write(Tick, Stream);
Tick = null;
FlushInWriter();
}
}
public void Write()
{
lock (locker)
{
if (Tick == null)
return;
if (Stream == null)
{
// 换天时，必须重置记录器，不然记录的数据是差分后数据，导致新文件无法解读
Serializer.Reset();
Stream = File.Open(FullPath, FileMode.Append, FileAccess.Write, FileShare.Read);
}
Serializer.Write(Tick, Stream);
Tick = null;
//HasData = true;
FlushInWriter();
}
}
public void SetOpenInterest(PbTick tick, long val)
{
tick.OpenInterest = val;
}
public void SetTurnover(PbTick tick, double val)
{
tick.Turnover = (long)(val / _config.TurnoverMultiplier);
}
public double GetAveragePrice(PbTick tick)
{
return(TickToPrice(tick.AveragePrice) / _config.AveragePriceMultiplier);
}
public void SetAskPrice1(PbTick tick, double price)
{
tick.AskPrice1 = PriceToTick(price);
}
public void SetLastPrice(PbTick tick, double price)
{
tick.LastPrice = PriceToTick(price);
}
public double GetLastPrice(PbTick tick)
{
return TickToPrice(tick.LastPrice);
}
public void SetActionDay(PbTick tick, DateTime date)
{
tick.ActionDay = SetDateTime(date);
}
public void SetOpen(PbTick tick, double price)
{
if (tick.Bar == null)
tick.Bar = new BarInfo();
SetOpen(tick.Bar, price);
}
public PbTickView Data2View(PbTick tick, bool descending)
{
if (tick == null)
return null;
var converter = new Int2DoubleConverter();
return converter.Int2Double(tick, descending);
}
public long GetVolume(PbTick tick)
{
return tick.Volume;
}
public void SetVolume(PbTick tick, long val)
{
tick.Volume = val;
}
public long GetOpenInterest(PbTick tick)
{
return tick.OpenInterest;
}
public void SetOpenInterest(PbTick tick, long val)
{
tick.OpenInterest = val;
}
public PbTick Restore(PbTick prev, PbTick diff)
{
if (prev == null) {
if (diff.Config == null)
throw new Exception("快照的配置不能为空");
// 记下配置，要用到
Config = diff.Config;
// 是快照，直接返回
return diff;
}
var tick = new PbTick();
#region 配置数据
if (diff.Config == null) {
// 使用上条的配置
tick.Config = prev.Config;
}
else {
// 新配置
_config = diff.Config;
// 是快照，直接返回
return diff;
}
#endregion
Config = tick.Config;
tick.LastPrice = prev.LastPrice + diff.LastPrice;
tick.AskPrice1 = prev.AskPrice1 + diff.AskPrice1;
// 前一个是完整的，后一个是做过Size和Price的调整，如何还原
var newPrevList = new List<DepthItem>();
var newDiffList = new List<DepthItem>();
// 换成同长度
DepthListHelper.ExpandTwoListsToSameLength(
prev.DepthList, diff.DepthList,
int.MinValue, int.MaxValue,
newPrevList, newDiffList);
tick.DepthList = new List<DepthItem>();
DepthListHelper.SizeAddInTwoLists(newPrevList, newDiffList, tick.DepthList);
#region 常用行情信息
tick.Volume = prev.Volume + diff.Volume;
tick.OpenInterest = prev.OpenInterest + diff.OpenInterest;
tick.Turnover = prev.Turnover + diff.Turnover;
tick.AveragePrice = prev.AveragePrice + diff.AveragePrice;
tick.TradingDay = prev.TradingDay + diff.TradingDay;
tick.ActionDay = prev.ActionDay + diff.ActionDay;
tick.Time_HHmm = prev.Time_HHmm + diff.Time_HHmm;
tick.Time________ff = prev.Time________ff + diff.Time________ff;
// 还原时间
tick.Time_____ssf__ = prev.Time_____ssf__ + diff.Time_____ssf__ + _config.Time_ssf_Diff;
tick.LocalTime_Msec = prev.LocalTime_Msec + diff.LocalTime_Msec;
#endregion
#region Bar数据
if (prev.Bar != null || diff.Bar != null) {
tick.Bar = new BarInfo();
if (prev.Bar == null)
prev.Bar = new BarInfo();
if (diff.Bar == null)
diff.Bar = new BarInfo();
tick.Bar.Open = prev.Bar.Open + diff.Bar.Open;
tick.Bar.High = prev.Bar.High + diff.Bar.High;
tick.Bar.Low = prev.Bar.Low + diff.Bar.Low;
tick.Bar.Close = prev.Bar.Close + diff.Bar.Close;
tick.Bar.BarSize = prev.Bar.BarSize + diff.Bar.BarSize;
}
#endregion
#region 静态数据
if (prev.Static != null || diff.Static != null) {
tick.Static = new StaticInfo();
if (prev.Static == null)
prev.Static = new StaticInfo();
if (diff.Static == null)
diff.Static = new StaticInfo();
tick.Static.LowerLimitPrice = prev.Static.LowerLimitPrice + diff.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = prev.Static.UpperLimitPrice + diff.Static.UpperLimitPrice;
tick.Static.SettlementPrice = prev.Static.SettlementPrice + diff.Static.SettlementPrice;
tick.Static.Symbol = string.IsNullOrWhiteSpace(diff.Static.Symbol) ? prev.Static.Symbol : diff.Static.Symbol;
tick.Static.Exchange = string.IsNullOrWhiteSpace(diff.Static.Exchange) ? prev.Static.Exchange : diff.Static.Exchange;
}
#endregion
#region 除权除息数据
// 没有做过差分，所以直接返回
if (diff.Split != null) {
tick.Split = diff.Split;
}
#endregion
return tick;
}
public long GetOpenInterest(PbTick tick)
{
return(tick.OpenInterest);
}
public double GetTurnover(PbTick tick)
{
return tick.Turnover * _config.TurnoverMultiplier;
}
public double GetAveragePrice(PbTick tick)
{
return (TickToPrice(tick.AveragePrice) / _config.AveragePriceMultiplier);
}
public DateTime GetActionDayDateTime(PbTick tick)
{
return GetDateTime(tick.ActionDay) + GetUpdateTime(tick);
}
/// <summary>
/// 传入两个tick得到tick的差分
/// </summary>
/// <param name="prev"></param>
/// <param name="current"></param>
/// <returns></returns>
public PbTick Diff(PbTick prev, PbTick current)
{
if (prev == null) {
if (current.Config == null)
throw new Exception("快照的配置不能为空");
return current;
}
var tick = new PbTick();
#region 配置数据
// 当前数据为空或前后相同，表示
if (current.Config == null || prev.Config.IsSame(current.Config)) {
tick.Config = null;
// 可以继续下去
}
else {
// 是新数据，返回快照
Config = current.Config;
return current;
}
#endregion
// 先取最关键的数据，因为前一条的config总会补成有效
Config = prev.Config;
tick.LastPrice = current.LastPrice - prev.LastPrice;
tick.AskPrice1 = current.AskPrice1 - prev.AskPrice1;
// 在这假定两个数据都是完整的
var newPrevList = new List<DepthItem>();
var newCurrList = new List<DepthItem>();
// 先将两个队列变成同长
DepthListHelper.ExpandTwoListsToSameLength(
prev.DepthList, current.DepthList,
int.MinValue, int.MaxValue,//这个截断工作没有做
newPrevList, newCurrList);
// 然后做减法,变动Size
tick.DepthList = new List<DepthItem>();
DepthListHelper.SizeMinusInTwoLists(newPrevList, newCurrList, tick.DepthList);
#region 常用行情信息
tick.Volume = current.Volume - prev.Volume;
tick.OpenInterest = current.OpenInterest - prev.OpenInterest;
tick.Turnover = current.Turnover - prev.Turnover;
tick.AveragePrice = current.AveragePrice - prev.AveragePrice;
tick.TradingDay = current.TradingDay - prev.TradingDay;
tick.ActionDay = current.ActionDay - prev.ActionDay;
tick.Time_HHmm = current.Time_HHmm - prev.Time_HHmm;
tick.Time________ff = current.Time________ff - prev.Time________ff;
// 这个地方有区别要减去一个差，将时间再缩小
tick.Time_____ssf__ = current.Time_____ssf__ - prev.Time_____ssf__ - _config.Time_ssf_Diff;
tick.LocalTime_Msec = current.LocalTime_Msec - prev.LocalTime_Msec;
#endregion
#region Bar数据
// Bar数据要进行差分计算
if (current.Bar != null || prev.Bar != null) {
tick.Bar = new BarInfo();
if (current.Bar == null)
current.Bar = new BarInfo();
if (prev.Bar == null)
prev.Bar = new BarInfo();
tick.Bar.Open = current.Bar.Open - prev.Bar.Open;
tick.Bar.High = current.Bar.High - prev.Bar.High;
tick.Bar.Low = current.Bar.Low - prev.Bar.Low;
tick.Bar.Close = current.Bar.Close - prev.Bar.Close;
tick.Bar.BarSize = current.Bar.BarSize - prev.Bar.BarSize;
if (tick.Bar.IsZero)
tick.Bar = null;
}
#endregion
#region 静态数据
if (current.Static != null || prev.Static != null) {
tick.Static = new StaticInfo();
if (current.Static == null)
current.Static = new StaticInfo();
if (prev.Static == null)
prev.Static = new StaticInfo();
tick.Static.LowerLimitPrice = current.Static.LowerLimitPrice - prev.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = current.Static.UpperLimitPrice - prev.Static.UpperLimitPrice;
tick.Static.SettlementPrice = current.Static.SettlementPrice - prev.Static.SettlementPrice;
if (!string.Equals(current.Static.Exchange, prev.Static.Exchange))
tick.Static.Exchange = current.Static.Exchange;
if (!string.Equals(current.Static.Symbol, prev.Static.Symbol))
tick.Static.Symbol = current.Static.Symbol;
if (tick.Static.IsZero)
tick.Static = null;
}
#endregion
#region 除权除息数据
// 除权除息数据本来就是稀疏矩阵，不需要做差分
if (current.Split != null) {
tick.Split = current.Split;
if (tick.Split.IsZero)
tick.Split = null;
}
#endregion
return tick;
}
public DateTime GetTradingDayDateTime(PbTick tick)
{
return GetDateTime(tick.TradingDay) + GetUpdateTime(tick);
}
public PbTickView Int2Double(PbTick tick, bool descending)
{
if (tick == null)
return null;
var view = new PbTickView();
// 利用此机会设置TickSize
if (Codec == null) {
Codec = new PbTickCodec();
}
view.Config = Int2Double(tick.Config);
Codec.Config = tick.Config;
view.Turnover = Codec.GetTurnover(tick);
view.AveragePrice = Codec.GetAveragePrice(tick);
view.LastPrice = Codec.TickToPrice(tick.LastPrice);
view.AskPrice1 = Codec.TickToPrice(tick.AskPrice1);
view.Volume = tick.Volume;
view.OpenInterest = tick.OpenInterest;
view.TradingDay = tick.TradingDay;
view.ActionDay = tick.ActionDay;
view.Time_HHmm = tick.Time_HHmm;
view.Time_____ssf__ = tick.Time_____ssf__;
view.Time________ff = tick.Time________ff;
view.Bar = Int2Double(tick.Bar);
view.Static = Int2Double(tick.Static);
view.Split = Int2Double(tick.Split);
view.LocalTime_Msec = tick.LocalTime_Msec;
view.DepthList = Int2Double(tick.DepthList, descending);
view.LoadQuote(descending);
return view;
}
public void SetAveragePrice(PbTick tick, double price)
{
tick.AveragePrice = PriceToTick(price * _config.AveragePriceMultiplier);
}
public double GetAskPrice1(PbTick tick)
{
return TickToPrice(tick.AskPrice1);
}
public double GetAskPrice1(PbTick tick)
{
return(TickToPrice(tick.AskPrice1));
}
public void SetAskPrice1(PbTick tick, double price)
{
tick.AskPrice1 = PriceToTick(price);
}
/// <summary>
/// 传入两个tick得到tick的差分
/// </summary>
/// <param name="prev"></param>
/// <param name="current"></param>
/// <returns></returns>
public PbTick Diff(PbTick prev, PbTick current)
{
if (prev == null)
{
if (current.Config == null)
{
throw new Exception("快照的配置不能为空");
}
return(current);
}
var tick = new PbTick();
#region 配置数据
// 当前数据为空或前后相同，表示
if (current.Config == null || prev.Config.IsSame(current.Config))
{
tick.Config = null;
// 可以继续下去
}
else
{
// 是新数据，返回快照
Config = current.Config;
return(current);
}
#endregion
// 先取最关键的数据，因为前一条的config总会补成有效
Config = prev.Config;
tick.LastPrice = current.LastPrice - prev.LastPrice;
tick.AskPrice1 = current.AskPrice1 - prev.AskPrice1;
// 在这假定两个数据都是完整的
var newPrevList = new List <DepthItem>();
var newCurrList = new List <DepthItem>();
// 先将两个队列变成同长
DepthListHelper.ExpandTwoListsToSameLength(
prev.DepthList, current.DepthList,
int.MinValue, int.MaxValue,//这个截断工作没有做
newPrevList, newCurrList);
// 然后做减法,变动Size
tick.DepthList = new List <DepthItem>();
DepthListHelper.SizeMinusInTwoLists(newPrevList, newCurrList, tick.DepthList);
#region 常用行情信息
tick.Volume = current.Volume - prev.Volume;
tick.OpenInterest = current.OpenInterest - prev.OpenInterest;
tick.Turnover = current.Turnover - prev.Turnover;
tick.AveragePrice = current.AveragePrice - prev.AveragePrice;
tick.TradingDay = current.TradingDay - prev.TradingDay;
tick.ActionDay = current.ActionDay - prev.ActionDay;
tick.Time_HHmm = current.Time_HHmm - prev.Time_HHmm;
tick.Time________ff = current.Time________ff - prev.Time________ff;
// 这个地方有区别要减去一个差，将时间再缩小
tick.Time_____ssf__ = current.Time_____ssf__ - prev.Time_____ssf__ - _config.Time_ssf_Diff;
tick.LocalTime_Msec = current.LocalTime_Msec - prev.LocalTime_Msec;
#endregion
#region Bar数据
// Bar数据要进行差分计算
if (current.Bar != null || prev.Bar != null)
{
tick.Bar = new BarInfo();
if (current.Bar == null)
{
current.Bar = new BarInfo();
}
if (prev.Bar == null)
{
prev.Bar = new BarInfo();
}
tick.Bar.Open = current.Bar.Open - prev.Bar.Open;
tick.Bar.High = current.Bar.High - prev.Bar.High;
tick.Bar.Low = current.Bar.Low - prev.Bar.Low;
tick.Bar.Close = current.Bar.Close - prev.Bar.Close;
tick.Bar.BarSize = current.Bar.BarSize - prev.Bar.BarSize;
if (tick.Bar.IsZero)
{
tick.Bar = null;
}
}
#endregion
#region 静态数据
if (current.Static != null || prev.Static != null)
{
tick.Static = new StaticInfo();
if (current.Static == null)
{
current.Static = new StaticInfo();
}
if (prev.Static == null)
{
prev.Static = new StaticInfo();
}
tick.Static.LowerLimitPrice = current.Static.LowerLimitPrice - prev.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = current.Static.UpperLimitPrice - prev.Static.UpperLimitPrice;
tick.Static.SettlementPrice = current.Static.SettlementPrice - prev.Static.SettlementPrice;
if (!string.Equals(current.Static.Exchange, prev.Static.Exchange))
{
tick.Static.Exchange = current.Static.Exchange;
}
if (!string.Equals(current.Static.Symbol, prev.Static.Symbol))
{
tick.Static.Symbol = current.Static.Symbol;
}
if (tick.Static.IsZero)
{
tick.Static = null;
}
}
#endregion
#region 除权除息数据
// 除权除息数据本来就是稀疏矩阵，不需要做差分
if (current.Split != null)
{
tick.Split = current.Split;
if (tick.Split.IsZero)
{
tick.Split = null;
}
}
#endregion
return(tick);
}
public TimeSpan GetLocalTime(PbTick tick)
{
return GetUpdateTime(tick.Time_HHmm, tick.Time_____ssf__, tick.Time________ff, tick.LocalTime_Msec);
}
public double GetTurnover(PbTick tick)
{
return(tick.Turnover * _config.TurnoverMultiplier);
}
public void SetUpdateTime(PbTick tick, TimeSpan span)
{
SetUpdateTime(span, out tick.Time_HHmm, out tick.Time_____ssf__, out tick.Time________ff);
}
public PbTick Restore(PbTick prev, PbTick diff)
{
if (prev == null)
{
if (diff.Config == null)
{
throw new Exception("快照的配置不能为空");
}
// 记下配置，要用到
Config = diff.Config;
// 是快照，直接返回
return(diff);
}
var tick = new PbTick();
#region 配置数据
if (diff.Config == null)
{
// 使用上条的配置
tick.Config = prev.Config;
}
else
{
// 新配置
_config = diff.Config;
// 是快照，直接返回
return(diff);
}
#endregion
Config = tick.Config;
tick.LastPrice = prev.LastPrice + diff.LastPrice;
tick.AskPrice1 = prev.AskPrice1 + diff.AskPrice1;
// 前一个是完整的，后一个是做过Size和Price的调整，如何还原
var newPrevList = new List <DepthItem>();
var newDiffList = new List <DepthItem>();
// 换成同长度
DepthListHelper.ExpandTwoListsToSameLength(
prev.DepthList, diff.DepthList,
int.MinValue, int.MaxValue,
newPrevList, newDiffList);
tick.DepthList = new List <DepthItem>();
DepthListHelper.SizeAddInTwoLists(newPrevList, newDiffList, tick.DepthList);
#region 常用行情信息
tick.Volume = prev.Volume + diff.Volume;
tick.OpenInterest = prev.OpenInterest + diff.OpenInterest;
tick.Turnover = prev.Turnover + diff.Turnover;
tick.AveragePrice = prev.AveragePrice + diff.AveragePrice;
tick.TradingDay = prev.TradingDay + diff.TradingDay;
tick.ActionDay = prev.ActionDay + diff.ActionDay;
tick.Time_HHmm = prev.Time_HHmm + diff.Time_HHmm;
tick.Time________ff = prev.Time________ff + diff.Time________ff;
// 还原时间
tick.Time_____ssf__ = prev.Time_____ssf__ + diff.Time_____ssf__ + _config.Time_ssf_Diff;
tick.LocalTime_Msec = prev.LocalTime_Msec + diff.LocalTime_Msec;
#endregion
#region Bar数据
if (prev.Bar != null || diff.Bar != null)
{
tick.Bar = new BarInfo();
if (prev.Bar == null)
{
prev.Bar = new BarInfo();
}
if (diff.Bar == null)
{
diff.Bar = new BarInfo();
}
tick.Bar.Open = prev.Bar.Open + diff.Bar.Open;
tick.Bar.High = prev.Bar.High + diff.Bar.High;
tick.Bar.Low = prev.Bar.Low + diff.Bar.Low;
tick.Bar.Close = prev.Bar.Close + diff.Bar.Close;
tick.Bar.BarSize = prev.Bar.BarSize + diff.Bar.BarSize;
}
#endregion
#region 静态数据
if (prev.Static != null || diff.Static != null)
{
tick.Static = new StaticInfo();
if (prev.Static == null)
{
prev.Static = new StaticInfo();
}
if (diff.Static == null)
{
diff.Static = new StaticInfo();
}
tick.Static.LowerLimitPrice = prev.Static.LowerLimitPrice + diff.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = prev.Static.UpperLimitPrice + diff.Static.UpperLimitPrice;
tick.Static.SettlementPrice = prev.Static.SettlementPrice + diff.Static.SettlementPrice;
tick.Static.Symbol = string.IsNullOrWhiteSpace(diff.Static.Symbol) ? prev.Static.Symbol : diff.Static.Symbol;
tick.Static.Exchange = string.IsNullOrWhiteSpace(diff.Static.Exchange) ? prev.Static.Exchange : diff.Static.Exchange;
}
#endregion
#region 除权除息数据
// 没有做过差分，所以直接返回
if (diff.Split != null)
{
tick.Split = diff.Split;
}
#endregion
return(tick);
}
public void SetUpdateTime(PbTick tick, int Time, int Millisec)
{
SetUpdateTime(Time, Millisec, out tick.Time_HHmm, out tick.Time_____ssf__, out tick.Time________ff);
}
public void SetVolume(PbTick tick, long val)
{
tick.Volume = val;
}
public void SetTurnover(PbTick tick, double val)
{
tick.Turnover = (long)(val / _config.TurnoverMultiplier);
}
public long GetVolume(PbTick tick)
{
return(tick.Volume);
}
public void Reset()
{
_lastWrite = null;
_lastRead = null;
}
public void GetUpdateTime(PbTick tick, out int time, out int ms)
{
GetUpdateTime(tick.Time_HHmm, tick.Time_____ssf__, tick.Time________ff, out time, out ms);
}
/// <summary>
/// 可以同时得到原始的raw和解码后的数据
/// </summary>
/// <param name="source"></param>
/// <param name="raw"></param>
/// <returns></returns>
public PbTick ReadOne(Stream source)
{
PbTick raw = ProtoBuf.Serializer.DeserializeWithLengthPrefix<PbTick>(source, PrefixStyle.Base128);
if (raw == null)
return null;
raw.PrepareObjectAfterRead(Codec.Config);
_lastRead = Codec.Restore(_lastRead, raw);
if (_lastRead.Config.Version != 2)
{
throw new ProtobufDataZeroException("only support pd0 file version 2", _lastRead.Config.Version, 2);
}
return _lastRead;
}
// 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;
}
public TimeSpan GetUpdateTime(PbTick tick)
{
return GetUpdateTime(tick.Time_HHmm, tick.Time_____ssf__, tick.Time________ff, 0);
}