private void writeATick(double insertPrice, int volume)
{
if (tsBits[1].Length <= 3)
{
tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1] + ":00");
}
else
{
tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1]);
}
utcTime = tickTime;
utcTime.AddSeconds(-GetUtcOffset(tickTime));
double price = insertPrice;
tickIO.SetTime(utcTime);
if (volume >= 1)
{
tickIO.SetTrade(price, volume);
}
else
{
// tickIO.SetQuote(price, price);
tickIO.SetTrade(price, volume);
}
if (tickWriter == null)
{
tickWriter = Factory.TickUtil.TickWriter(true);
tickWriter.KeepFileOpen = true;
string folder = "DataCache";
tickWriter.Initialize(folder, symbol.Symbol);
}
// Console.WriteLine(tickIO);
tickWriter.Add(tickIO);
countTicksOut++;
}
private void FilterFile(string symbol, string inputPath, string outputPath, TimeStamp startTime, TimeStamp endTime)
{
TickReader reader = Factory.TickUtil.TickReader();
TickWriter writer = Factory.TickUtil.TickWriter(true);
writer.KeepFileOpen = true;
writer.Initialize(outputPath, symbol);
reader.Initialize(inputPath, symbol);
TickQueue inputQueue = reader.ReadQueue;
TickIO firstTick = Factory.TickUtil.TickIO();
TickIO lastTick = Factory.TickUtil.TickIO();
TickIO prevTick = Factory.TickUtil.TickIO();
long count = 0;
long fast = 0;
long dups = 0;
TickIO tickIO = Factory.TickUtil.TickIO();
TickBinary tickBinary = new TickBinary();
inputQueue.Dequeue(ref tickBinary);
tickIO.Inject(tickBinary);
count++;
firstTick.Copy(tickIO);
firstTick.IsSimulateTicks = true;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
if (tickIO.Time >= startTime)
{
writer.Add(firstTick);
}
try {
while (true)
{
while (!inputQueue.TryDequeue(ref tickBinary))
{
Thread.Sleep(1);
}
tickIO.Inject(tickBinary);
count++;
if (tickIO.Time >= startTime)
{
if (tickIO.Time > endTime)
{
break;
}
// if( tickIO.Bid == prevTick.Bid && tickIO.Ask == prevTick.Ask) {
// dups++;
// } else {
// Elapsed elapsed = tickIO.Time - prevTick.Time;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
// if( elapsed.TotalMilliseconds < 5000) {
// fast++;
// } else {
while (!writer.TryAdd(prevTick))
{
Thread.Sleep(1);
}
// }
// }
}
}
} catch (QueueException ex) {
if (ex.EntryType != EventType.EndHistorical)
{
throw new ApplicationException("Unexpected QueueException: " + ex);
}
}
lastTick.Copy(tickIO);
Console.WriteLine(reader.Symbol + ": " + count + " ticks from " + firstTick.Time + " to " + lastTick.Time + " " + dups + " duplicates, " + fast + " less than 50 ms");
Factory.TickUtil.TickReader().CloseAll();
writer.Close();
}