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 static void WriteCsv(IEnumerable <PbTick> list, string output)
{
if (list == null)
{
return;
}
var Codec = new PbTickCodec();
// 将差分数据生成界面数据
IEnumerable <PbTickView> _list = Codec.Data2View(Codec.Restore(list), false);
// 保存
using (TextWriter stream = new StreamWriter(output))
{
var t = new PbTickView();
stream.WriteLine(PbTickView.ToCsvHeader());
foreach (var l in _list)
{
stream.WriteLine(l);
}
stream.Close();
}
}
public void TestRead()
{
var file = new FileInfo("TickDataV1_1");
using (var stream = new MemoryStream())
using (var fileStream = file.Open(FileMode.Open, FileAccess.Read, FileShare.ReadWrite))
using (var zip = new SevenZipExtractor(fileStream)) {
zip.ExtractFile(0, stream);
stream.Seek(0, SeekOrigin.Begin);
var serializer = new PbTickSerializer();
var codec = new PbTickCodec();
foreach (var tick in serializer.Read(stream)) {
}
}
}
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 static void WriteCsv(IEnumerable<PbTick> list, string output)
{
if (list == null)
return;
PbTickCodec Codec = new PbTickCodec();
// 将差分数据生成界面数据
IEnumerable<PbTickView> _list = Codec.Data2View(Codec.Restore(list), false);
// 保存
using (TextWriter stream = new StreamWriter(output))
{
PbTickView t = new PbTickView();
stream.WriteLine(t.ToCsvHeader());
foreach (var l in _list)
{
stream.WriteLine(l);
}
stream.Close();
}
}
public PbTickSerializer()
{
Codec = new PbTickCodec();
}
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;
}
// 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 PbTickSerializer()
{
Codec = new PbTickCodec();
}
private void ViewToDataByViewType()
{
PbTickCodec Codec = new PbTickCodec();
this.listTickData = Codec.View2Data(this.listTickView, true);
}
private void ReadFromFile(string pathChosen)
{
strCurrentFilePath = pathChosen;
Tuple<Stream, string, double> tuple = ReadToStream(strCurrentFilePath);
if (tuple == null)
{
return;
}
Stream stream = tuple.Item1;
try
{
QuantBox.Data.Serializer.PbTickSerializer pts = new QuantBox.Data.Serializer.PbTickSerializer();
listTickData = pts.Read(stream).ToList();
strCurrentFileName = string.Format("{0} ({1}/{2}={3})",
tuple.Item2, tuple.Item3, listTickData.Count(), tuple.Item3 / listTickData.Count());
ValueChanged(false);
PbTickCodec Codec = new PbTickCodec();
listTickView = Codec.Data2View(this.listTickData, true);
dgvTick.DataSource = this.listTickView;
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
public void OutputSeries(out IDataSeries trades, out IDataSeries bids, out IDataSeries asks)
{
trades = new TickSeries();
bids = new TickSeries();
asks = new TickSeries();
PbTickCodec codec = new PbTickCodec();
int TradingDay = -1;
int _lastTradeSize = 0;
foreach (var s in Series)
{
if(TradingDay != s.TradingDay)
{
_lastTradeSize = 0;
TradingDay = s.TradingDay;
}
var dateTime = codec.GetDateTime(s.ActionDay == 0 ? s.TradingDay : s.ActionDay).Add(codec.GetUpdateTime(s));
var tick = PbTick2DepthMarketDataNClass(codec, s);
if(SubscribeExternData)
{
var trade = new TradeEx(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = tick;
trades.Add(trade);
}
else
{
var trade = new Trade(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trades.Add(trade);
}
if (tick.Bids != null && tick.Bids.Length > 0)
{
var bid = new Bid(dateTime, 0, _InstrumentId, tick.Bids[0].Price, tick.Bids[0].Size);
bids.Add(bid);
}
if (tick.Asks != null && tick.Asks.Length > 0)
{
var ask = new Ask(dateTime, 0, _InstrumentId, tick.Asks[0].Price, tick.Asks[0].Size);
asks.Add(ask);
}
_lastTradeSize = (int)tick.Volume;
}
}
private DepthMarketDataNClass PbTick2DepthMarketDataNClass(PbTickCodec codec, PbTickView tickView)
{
DepthMarketDataNClass marketData = new DepthMarketDataNClass();
codec.GetUpdateTime(tickView, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
if (SubscribeExternData)
{
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);
}
marketData.PreClosePrice = tickView.Static.PreClosePrice;
marketData.PreSettlementPrice = tickView.Static.PreSettlementPrice;
marketData.PreOpenInterest = tickView.Static.PreOpenInterest;
}
}
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 BidCount = BidPos + 1;
int AskCount = count - AskPos;
marketData.Bids = new DepthField[0];
marketData.Asks = new DepthField[0];
if(SubscribeBid)
{
if(BidCount>0)
{
marketData.Bids = new DepthField[BidCount];
int j = 0;
for (int i = BidPos; i >= 0; --i)
{
marketData.Bids[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
if (SubscribeAsk)
{
if (AskCount > 0)
{
marketData.Asks = new DepthField[AskCount];
int j = 0;
for (int i = AskPos; i < count; ++i)
{
marketData.Asks[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
}
return marketData;
}
public PbTick Double2Int(PbTickView tick, bool descending)
{
if (tick == null)
return null;
PbTick 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;
}
private static List<PbTickView> ReadFromFile(string pathChosen)
{
Tuple<Stream, string, double> tuple = ReadToStream(pathChosen);
IEnumerable<PbTick> listTickData;
List<PbTickView> listTickView;
if (tuple == null)
{
return null;
}
Stream stream = tuple.Item1;
try
{
QuantBox.Data.Serializer.PbTickSerializer pts = new QuantBox.Data.Serializer.PbTickSerializer();
listTickData = pts.Read(stream);
PbTickCodec Codec = new PbTickCodec();
listTickView = Codec.Data2View(listTickData, true);
return listTickView;
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
return null;
}
}
private void ExportToList(FileInfo file_input,FileInfo file_output)
{
Stream _stream = new MemoryStream();
// 加载文件，支持7z解压
var fileStream = file_input.Open(FileMode.Open, FileAccess.Read, FileShare.ReadWrite);
{
try
{
using (var zip = new SevenZipExtractor(fileStream))
{
// 只解压了第0个，如果有多个也只解压第一个
zip.ExtractFile(0, _stream);
_stream.Seek(0, SeekOrigin.Begin);
}
}
catch
{
_stream = fileStream;
_stream.Seek(0, SeekOrigin.Begin);
}
}
PbTickCodec codec = new PbTickCodec();
QuantBox.Data.Serializer.PbTickSerializer Serializer = new QuantBox.Data.Serializer.PbTickSerializer();
List<PbTickView> list = Serializer.Read2View(_stream);
ListToCSV(list, file_output);
}
