void processSecBidAskLine(string line, int date, SecProduct product)
{
int lineNumber = int.Parse(line.Substring(0, 8).Trim());
int TIME = int.Parse(line.Substring(8, 9));
int sec = (TIME / 1000);
int millSec = TIME % 1000;
char type = line[17];
string[] arrVBar = line.Substring(19).Split(VBAR);
ProductEvent pEvent = null;
if (type == 'A' || type == 'B' || type == 'C')
{
//return;//hack for dayEndOnly
pEvent = new BidAskEvent(product, type, date, sec, millSec, 0);
}
else if (type == 'D' || type == 'E')
pEvent = new ProductEvent(product, date, sec, millSec);
else
return;
if (!eventSecondList.ContainsKey(sec))
eventSecondList.Add(sec, new EventInSecond());
eventSecondList[sec].events.Add(pEvent);
if (type == 'E')
{
pEvent.EnablesStatistics();
char ch = arrVBar[1][0];
float val = float.Parse(arrVBar[1].Substring(1));
if (ch == 'C')
pEvent.DayClose = val;
else
{
pEvent.PrevClose = val;
pEvent.Suspended = (ch == 'S') ? 'Y' : 'N';
}
return;
}
if (arrVBar[0].Length > 0)
{
string[] arr = arrVBar[0].Split(COMMA);
pEvent.EnablesStatistics();
pEvent.Day2SecHighest = float.Parse(arr[0]);
pEvent.Day2SecLowest = float.Parse(arr[1]);
pEvent.Day2SecTradedShare = float.Parse(arr[2]);
pEvent.Day2SecTradedVolume = float.Parse(arr[3]);
pEvent.LastPrice = (arr[4] == "-") ? float.NaN : float.Parse(arr[4]);
}
if (arrVBar.Length == 1)
return;
BidAskEvent baEvent = pEvent as BidAskEvent;
// handle first section
{
string[] arr1 = arrVBar[1].Split(COMMA);
int queueDepth1 = (arr1.Length - 1) / 2;
float price1 = float.Parse(arr1[0]);
List<PriceQty> pList1 = new List<PriceQty>();
float[] priceSpread = (type == BidAsk.ASK) ?
HKExPriceSpreadFunctions.getPriceLevel(price1, true, 10)
: HKExPriceSpreadFunctions.getPriceLevel(price1, false, 10);
for (int i = 0; i < queueDepth1; i++)
{
float price = priceSpread[i];
int qLen = int.Parse(arr1[i * 2 + 1]);
long LongQty = (int)(float.Parse(arr1[i * 2 + 2])*1000);
int qty = (LongQty > int.MaxValue) ? int.MaxValue - 1 :(int) (LongQty);
if (qLen > 0 || qty > 0)
pList1.Add(new PriceQty(price, qty, qLen));
}
if (type == 'A')
baEvent.asks = pList1.ToArray();
else
baEvent.bids = pList1.ToArray();
}
// handle 2nd section
if (type == BidAsk.BOTH)
{
string[] arr2 = arrVBar[2].Split(COMMA);
int queueDepth2 = (arr2.Length - 1) / 2;
float price2 = float.Parse(arr2[0]);
List<PriceQty> pList2 = new List<PriceQty>();
float[] priceSpread = HKExPriceSpreadFunctions.getPriceLevel(price2, true, 10);
for (int i = 0; i < queueDepth2; i++)
{
float price = priceSpread[i];
int qLen = int.Parse(arr2[i * 2 + 1]);
int qty = (int)(float.Parse(arr2[i * 2 + 2])*1000);
if (qLen > 0 || qty > 0)
pList2.Add(new PriceQty(price, qty, qLen));
}
baEvent.asks = pList2.ToArray();
}
}
public bool readProductInfoSecurities(string rootFolder, int date, string tempFolder = null)
{
// date 20110627
string subFolder = String.Format("{0:####-##}", date / 100);
string rawBidAskPath = rootFolder + RawDataFolder_SecuritiesBidAsk + "\\" + subFolder + "\\";
string rawBidAskFilename = rawBidAskPath + "ba_cm_" + date + ".zip";
// if already have parsed Zip file, use it directly
string parsedPath = rootFolder + ParsedDataFolder_Securities + "\\" + subFolder + "\\";
string parsedBAZipName = parsedPath + date + "_SecBA.zip";
string parsedTRZipName = parsedPath + date + "_SecTR.zip";
if (tempFolder != null && Directory.Exists(tempFolder) == false)
Directory.CreateDirectory(tempFolder);
if (File.Exists(parsedBAZipName) == false || File.Exists(parsedTRZipName) == false)
if (parseProductSecurities(rootFolder, date, tempFolder) == false) // raw file don't exist also?
return false;
// read info
string[] lines = File.ReadAllLines(parsedPath + date + "_mast.txt");
foreach (string line in lines)
{
string STKCODE = line.Substring(0, 5).Trim();
string STK_ID = line.Substring(6, 9).Trim();
int DATE = int.Parse(line.Substring(16, 8).Trim());
string FULL_ID = line.Substring(25, 12).Trim();
string FULL_NAME = line.Substring(40, 60).Trim();
char STATUS = line[101];
string MERGE_TO = line.Substring(106, 5).Trim();
int TRAD_CURR = int.Parse(line.Substring(103, 2).Trim());
int SE_TYPE = int.Parse(line.Substring(112, 4).Trim());
bool isMB = line[117]=='M';
char productType = ProductType.Share;
if (SE_TYPE >= 301 && SE_TYPE <= 307)
productType = ProductType.Warrants;
//else if (SE_TYPE == 308)
// productType = ProductType.BullBear;
else if (SE_TYPE == 401)
productType = ProductType.Debt;
else if (SE_TYPE == 501)
productType = ProductType.ETF;
SecProduct product = new SecProduct(STKCODE, productType, STK_ID, FULL_ID,
FULL_NAME, MERGE_TO, STATUS, TRAD_CURR, isMB);
ProductTable[STKCODE] = product;
}
return true;
}
