/// <summary>
/// 插入資訊
/// </summary>
/// <param name="series">SeriesSymbolData 類別</param>
/// <param name="date">欲插入的日期(資料會被插入至該指定的日期前)</param>
internal void Insert(SeriesSymbolData series, DateTime date)
{
try {
string sFile = string.Format("{0}\\{1}\\{2}", __sPath, (series.DataRequest.Resolution.TotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? "mins" : "days", series.DataRequest.Symbol);
using (FileStream cStream = new FileStream(sFile, (__bCreate) ? FileMode.Create : FileMode.OpenOrCreate, FileAccess.ReadWrite, FileShare.ReadWrite)) {
bool bFind = false;
if (!__bCreate)
{
long lCount = cStream.Length / MAX_BLOCK_SIZE;
bFind = FileSearchUtil.BinaryNearSearch(cStream, lCount, MAX_BLOCK_SIZE, date);
}
if (bFind)
{
long lCurrentP = cStream.Position;
//先保留後面的資料以便插入時不會被覆蓋
long lRevSize = cStream.Length - lCurrentP;
ZBuffer cTemp = new ZBuffer((int)lRevSize);
cStream.Read(cTemp.Data, 0, (int)lRevSize);
cTemp.Length = (int)lRevSize;
cStream.SetLength(lCurrentP + 1);
cStream.Position = lCurrentP; //移動置固定位置
ZBuffer cBuffer = new ZBuffer(64);
int iHistoryIndex = series.Indexer.HistoryIndex;
int iCount = series.Count;
for (int i = 0; i < iCount; i++)
{
int iIndex = iHistoryIndex + i;
cBuffer.Length = 0;
cBuffer.Add(series.Time[iIndex]);
cBuffer.Add(series.Open[iIndex]);
cBuffer.Add(series.High[iIndex]);
cBuffer.Add(series.Low[iIndex]);
cBuffer.Add(series.Close[iIndex]);
cBuffer.Add(series.Volume[iIndex]);
cStream.Write(cBuffer.Data, 0, cBuffer.Length);
}
cStream.Write(cTemp.Data, 0, cTemp.Length); //再將後面的資料合併
}
}
if (logger.IsInfoEnabled)
{
logger.InfoFormat("[FileWrite] {0} insert completed... count={1}", sFile, series.Count);
}
} catch (Exception __errExcep) {
if (logger.IsErrorEnabled)
{
logger.ErrorFormat("[FileWrite] '{0}' insert error...", series.DataRequest.Symbol, series.Count);
}
if (logger.IsErrorEnabled)
{
logger.ErrorFormat("{0}/r/n{1}", __errExcep.Message, __errExcep.StackTrace);
}
}
}
internal DataAdapter(InstrumentDataRequest request)
{
__cSeries = new SeriesSymbolData(request);
__cSeries.onRequest += SeriesSymbolData_onRequest;
__cDevice = __cDeviceCreator.Create();
__cDevice.SetSeries(__cSeries);
__cSeries.OnRequest(new DataRequestEvent(request)); //請求歷史資料
__cSeries.MergeTicks(); //合併即時Tick資訊
}
private void CreateIndexOptions(DateTime date)
{
if (logger.IsInfoEnabled)
{
logger.Info("開始轉換指數型選擇權資料...");
}
List <string> cStocks = __cExchange.GetProductClassify(ESymbolCategory.IndexOption);
foreach (string sStock in cStocks)
{
int iIndex = sStock.LastIndexOf(".");
if (iIndex > -1)
{
iIndex -= 2;
if (sStock[iIndex] >= 'A')
{
continue; //沒有轉換代號的選擇權全部都不要轉換
}
}
AbstractProductProperty cProperty = __cExchange.GetProperty(sStock, "Mitake");
if (cProperty != null)
{
IQuote cQuote = MitakeStorage.Storage.GetQuote(sStock);
if (cQuote != null)
{
SeriesSymbolData cMSeries = CreateSeries(sStock, EResolution.Minute, date);
SeriesSymbolData cDSeries = CreateSeries(sStock, EResolution.Day, date);
int iLast = cQuote.TickCount - 1;
if (iLast >= 0)
{
for (int i = iLast; i >= 0; i--)
{
ITick cTick = cQuote.GetTick(i);
if (cTick != null)
{
cMSeries.Merge(cTick);
cDSeries.Merge(cTick);
}
}
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
System.Console.Write("Convert... {0} ", sStock);
System.Console.CursorLeft = 0;
}
}
}
}
}
private static void ConvertCSV(string csvFile)
{
string[] sData = LoadCSV(csvFile);
if (sData == null)
{
return;
}
bool bConvert = false;
SeriesSymbolData cMSeries = null, cDSeries = null;
if (logger.IsInfoEnabled)
{
logger.Info("[Convert] 開始轉換 CSV 期貨檔案資訊...");
}
string[] sItems = sData[0].Split(',');
string sSymbolId = null;
bConvert = cTargetSymbols.TryGetValue(Path.GetFileNameWithoutExtension(csvFile), out sSymbolId);
if (bConvert)
{
int iLength = sData.Length;
cMSeries = CreateSeries(sSymbolId, EResolution.Minute);
cMSeries.SetRange(iLength);
cMSeries.AdjustSize(iLength, true);
for (int i = iLength - 1; i >= 0; i--)
{
sItems = sData[i].Split(',');
DateTime cTime = DateTime.Parse(sItems[0]);
double dOpen = double.Parse(sItems[1]);
double dHigh = double.Parse(sItems[2]);
double dLow = double.Parse(sItems[3]);
double dClose = double.Parse(sItems[4]);
double dVolume = double.Parse(sItems[5]);
cMSeries.AddSeries(cTime, dOpen, dHigh, dLow, dClose, dVolume, false);
}
cDSeries = CreateSeries(sSymbolId, EResolution.Day);
cMSeries.Merge(cDSeries);
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, true);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
cMSeries.Dispose();
cDSeries.Dispose();
}
}
/// <summary>
/// 移除商品資訊(如果 GetSeries 不是使用 useCache 模式都需要移除)
/// </summary>
/// <param name="seriesSymbolDataRand">商品資訊類別</param>
internal void RemoveSeries(SeriesSymbolDataRand seriesSymbolDataRand) {
SeriesSymbolData cSeries = seriesSymbolDataRand.Source;
SeriesStorage cStorage = null;
string sLSymbolId = cSeries.DataRequest.Symbol.ToLower();
lock (__cStorages) {
__cStorages.TryGetValue(sLSymbolId, out cStorage);
}
if (cStorage != null) {
if (cSeries.Id > 0x40000000) { //Id 編號從 0x40000001 開始編號(如果低於表示使用時間週期總秒數當作 Hash, 使用時間週期總秒數都是 Cache 資料所以不能移除)
cStorage.Remove(cSeries.Id);
}
}
}
private static SeriesSymbolData CreateSeries(string symbolId, EResolution type, DateTime date)
{
InstrumentDataRequest cRequest = new InstrumentDataRequest()
{
Exchange = "TWSE",
DataFeed = "Mitake",
Range = DataRequest.CreateBarsBack(DateTime.Now, 1),
Resolution = new Resolution(type, 1),
Symbol = symbolId
};
SeriesSymbolData cSeries = new SeriesSymbolData(cRequest);
cSeries.CreateRealtimePeriods(date);
return(cSeries);
}
internal void Write(SeriesSymbolData series)
{
try {
string sFile = string.Format("{0}\\{1}\\{2}", __sPath, (series.DataRequest.Resolution.TotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? "mins" : "days", series.DataRequest.Symbol);
using (FileStream cStream = new FileStream(sFile, (__bCreate) ? FileMode.Create : FileMode.OpenOrCreate, FileAccess.ReadWrite, FileShare.ReadWrite)) {
if (!__bCreate)
{
long lCount = cStream.Length / MAX_BLOCK_SIZE;
if (lCount > 0)
{
FileSearchUtil.BinarySearch(cStream, lCount, MAX_BLOCK_SIZE, series.Time[0]);
}
}
ZBuffer cBuffer = new ZBuffer(64);
int iHistoryIndex = series.Indexer.HistoryIndex;
int iCount = series.Count;
for (int i = 0; i < iCount; i++)
{
int iIndex = iHistoryIndex + i;
cBuffer.Length = 0;
cBuffer.Add(series.Time[iIndex]);
cBuffer.Add(series.Open[iIndex]);
cBuffer.Add(series.High[iIndex]);
cBuffer.Add(series.Low[iIndex]);
cBuffer.Add(series.Close[iIndex]);
cBuffer.Add(series.Volume[iIndex]);
cStream.Write(cBuffer.Data, 0, cBuffer.Length);
}
}
if (logger.IsInfoEnabled)
{
logger.InfoFormat("[FileWrite] {0} write completed... count={1}", sFile, series.Count);
}
} catch (Exception __errExcep) {
if (logger.IsErrorEnabled)
{
logger.ErrorFormat("[FileWrite] '{0}' write error...", series.DataRequest.Symbol, series.Count);
}
if (logger.IsErrorEnabled)
{
logger.ErrorFormat("{0}/r/n{1}", __errExcep.Message, __errExcep.StackTrace);
}
}
}
private SeriesSymbolDataRand InternalGetSeries(InstrumentDataRequest dataRequest, bool useCache) {
SeriesStorage cStorage = null;
string sLSymbolId = dataRequest.Symbol.ToLower();
lock (__cStorages) {
if (!__cStorages.TryGetValue(sLSymbolId, out cStorage)) {
cStorage = new SeriesStorage(16);
__cStorages.Add(sLSymbolId, cStorage);
}
}
SeriesSymbolDataRand cSeriesRand = null;
int iTotalSeconds = dataRequest.Resolution.TotalSeconds;
if (useCache) { //是否使用快取
lock (cStorage) { //需要 lock 這個區塊(避免非同步讀取資料時發生問題)
int iBaseSeconds = (iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? Resolution.MIN_BASE_TOTALSECONDS : Resolution.MAX_BASE_TOTALSECONDS;
SeriesSymbolData cSeries = cStorage.GetSeries(iTotalSeconds);
if (cSeries == null) {
cSeries = cStorage.GetSeries(iBaseSeconds);
if (cSeries == null) {
DataAdapter cAdapter = LoadAdapter(ref dataRequest);
cSeries = cAdapter.Series;
cStorage.Add(cSeries);
}
}
if (iBaseSeconds == iTotalSeconds) {
dataRequest = cSeries.DataRequest;
goto exit;
} else {
cSeries = cSeries.CreateSeries(dataRequest); //利用基礎周期建立其他的資料周期
cStorage.Add(cSeries); //加入至 SeriesStorage
}
dataRequest.Resolution = cSeries.DataRequest.Resolution; //將目標的週期結構更新至傳入的 InstrumentDataRequest 週期結構
DataRequestEvent cRequestEvent = new DataRequestEvent(dataRequest);
cSeries.OnRequest(cRequestEvent); //如果已經存在則請求使用者需要的歷史資料區間(請求方法會檢查目前已下載的歷史資料區間是否足夠, 如果使用者需要的歷史資料區間比較大會向伺服器請求)
dataRequest.Range.Count = cRequestEvent.Count; //將請求後的正確數量傳入至結構內
exit:
cSeriesRand = new SeriesSymbolDataRand(cSeries, dataRequest);
}
} else {
DataAdapter cAdapter = LoadAdapter(ref dataRequest, false); //重新建立新的基礎週期序列資料(不使用快取, 不保存至快取內, 使用完畢之後立即 Dispose)
SeriesSymbolData cSeries = cAdapter.Series; //取得新的基礎周期序列資料
int iBaseSeconds = (iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? Resolution.MIN_BASE_TOTALSECONDS : Resolution.MAX_BASE_TOTALSECONDS;
if (iBaseSeconds == iTotalSeconds) {
dataRequest = cSeries.DataRequest;
} else {
SeriesSymbolData cTargetSeries = cSeries.CreateSeries(dataRequest); //使用 InstrumentDataRequest 建立新的其他週期序列資料
cSeries.Merge(cTargetSeries); //將基礎周期序列資料合併至新的其他週期序列資料
cSeries.Dispose(); //釋放基礎周期序列資料
cSeries = cTargetSeries;
}
cSeriesRand = new SeriesSymbolDataRand(cSeries, dataRequest);
cStorage.Add(cSeries, true); //保存序列資料(存放在 SeriesStorage 內的序列資料才會自動合併最新的即時資訊報價)
cAdapter.Dispose(); //釋放資料配置者類別
}
return cSeriesRand;
}
internal static void Convert(DateTime date, bool isDownload = true)
{
string[] sData = LoadRPT(date, isDownload);
if (sData == null)
{
return;
}
double dVolume = 0;
bool bConvert = false;
string sEDate = string.Empty;
string sOSymbolId = string.Empty;
string sDate = date.ToString("yyyyMMdd");
SeriesSymbolData cMSeries = null, cDSeries = null;
if (logger.IsInfoEnabled)
{
logger.Info("[Convert] 開始轉換期交所的期貨資訊...");
}
int iLength = sData.Length;
for (int i = 1; i < iLength; i++)
{
string[] sItems = sData[i].Split(',');
if (sItems.Length == 9)
{
string sFutureDate = sItems[0].Trim();
if (!sFutureDate.Equals(sDate)) //檢查日期是否為欲轉換的日期
{
continue;
}
string sSymbolId = sItems[1].Trim();
if (!sSymbolId.Equals(sOSymbolId))
{
if (bConvert)
{
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
}
dVolume = 0;
sOSymbolId = sSymbolId;
string sTWSymbolId = null;
bConvert = cTargetSymbols.TryGetValue(sSymbolId, out sTWSymbolId);
if (bConvert)
{
cMSeries = CreateSeries(sTWSymbolId, EResolution.Minute, date);
cDSeries = CreateSeries(sTWSymbolId, EResolution.Day, date);
if (ConvertParameter.強制今日為期權到期日)
{
sEDate = DateTime.Now.Year.ToString() + ConvertParameter.自訂期權合約月份.ToString("0#");
}
else
{
AbstractExchange cExchange = ProductManager.Manager.GetExchange("TWSE");
AbstractProductProperty cProperty = cExchange.GetProperty(sTWSymbolId);
IContractTime cContractTime = cProperty.ContractRule as IContractTime;
ContractTime cContract = cContractTime.GetContractTime(date);
sEDate = cContract.MaturityDate.ToString("yyyyMM");
}
}
}
if (bConvert)
{
string sEndDate = sItems[2].Trim();
if (sEndDate.Length == 6 && sEndDate.Equals(sEDate))
{
Tick cTick = new Tick();
cTick.Time = DateTimeParser.Parse(sItems[0], sItems[3]);
cTick.Price = double.Parse(sItems[4]);
cTick.Single = double.Parse(sItems[5]) / 2; //Buy + Sell(需要除以2)
dVolume += cTick.Single;
cTick.Volume = dVolume;
cMSeries.Merge(cTick);
cDSeries.Merge(cTick);
}
}
}
}
if (bConvert)
{
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
}
}
internal void SetSeries(SeriesSymbolData series)
{
__cSeries = series;
}
