internal SummarySample(DateTime ts, Stream stream) : base(ts)
{
var flags = SecDBPrimitives.ReadByte(stream);
IsBidQty = (flags & (1)) != 0;
IsAskQty = (flags & (1 << 1)) != 0;
IsPositions = (flags & (1 << 2)) != 0;
IsRisk = (flags & (1 << 3)) != 0;
if (IsBidQty)
{
BidQty = SecDBPrimitives.ReadULEB128(stream);
}
if (IsAskQty)
{
AskQty = SecDBPrimitives.ReadULEB128(stream);
}
if (IsPositions)
{
Positions = SecDBPrimitives.ReadSLEB128(stream);
}
if (IsRisk)
{
RiskAmt = SecDBPrimitives.ReadDouble(stream);
}
}
internal InfoSample(DateTime ts, Stream stream) : base(ts)
{
var tp = SecDBPrimitives.ReadByte(stream);
if (tp == 0)
{
Body = SecDBPrimitives.ReadString(stream);
}
else
{
ResID = SecDBPrimitives.ReadULEB128(stream);
}
}
private void parseCandlesMeta(Stream stream)
{
var bt = SecDBPrimitives.ReadByte(stream);
if (bt != 0x03)//0x3 - Candles metadata header
{
throw new FinancialException("CandlesMeta.Header != 0x03");
}
//Filler
bt = SecDBPrimitives.ReadByte(stream);
//HdrCount
var icount = SecDBPrimitives.ReadUInt16(stream);
var chdrs = new CandleHeader[icount];
//CandleHeader
for (var i = 0; i < icount; i++)
{
bt = SecDBPrimitives.ReadByte(stream);
if (bt != 0x04)//0x4 - Candle Header
{
throw new FinancialException("CandleHeader.Header != 0x04");
}
//Filler
bt = SecDBPrimitives.ReadByte(stream);
var resolution = SecDBPrimitives.ReadUInt16(stream);
var starttime = SecDBPrimitives.ReadUInt32(stream);
var count = SecDBPrimitives.ReadUInt32(stream);
var offset = SecDBPrimitives.ReadUInt32(stream);
if (resolution == 0)
{
throw new FinancialException("CandleHeader.Resolution == 0x00");
}
var sdt = new DateTime(m_SystemHeader.Date.Year,
m_SystemHeader.Date.Month,
m_SystemHeader.Date.Day,
0, 0, 0, DateTimeKind.Utc).AddSeconds(starttime);
var ch = new CandleHeader(this, resolution, starttime, sdt, count, offset);
chdrs[i] = ch;
}
m_Candles_Meta = new CandlesMeta(this, chdrs);
}
internal QuoteSample(SecDBFileReader file, QuoteSample ps, DateTime ts, Stream stream) : base(ts)
{
var bt = SecDBPrimitives.ReadByte(stream);
BidCount = bt & 0xf;
AskCount = (bt & 0xf0) >> 4;
var cnt = BidCount + AskCount;
if (cnt == 0)
{
throw new FinancialException(StringConsts.SECDB_FILE_HEADER_ERROR + "QuoteSample: no px levels");
}
PriceLevels = new PxLevel[cnt];
var pxStep = file.SystemHeader.PriceStep;
var currentPrice = 0L;
for (var i = 0; i < cnt; i++)
{
var price = SecDBPrimitives.ReadSLEB128(stream);
if (i == 0)
{
if (ps == null)
{
currentPrice = price;
}
else
{
currentPrice = ps.PriceLevels[0].PriceStep;
currentPrice += price;
}
}
else
{
currentPrice += price;
}
var qty = SecDBPrimitives.ReadSLEB128(stream);
var pl = new PxLevel {
PriceStep = currentPrice, Price = currentPrice * pxStep, Quantity = qty
};
PriceLevels[i] = pl;
}
}
internal CandleData(SecDBFileReader file, int sampleNumber, DateTime timestamp, Stream stream)
{
File = file;
SampleNumber = sampleNumber;
TimeStamp = timestamp;
OpenSteps = SecDBPrimitives.ReadInt32(stream);
HighSteps = SecDBPrimitives.ReadInt32(stream);
LowSteps = SecDBPrimitives.ReadInt32(stream);
CloseSteps = SecDBPrimitives.ReadInt32(stream);
BuyVolume = SecDBPrimitives.ReadInt32(stream);
SellVolume = SecDBPrimitives.ReadInt32(stream);
FirstStreamOffset = SecDBPrimitives.ReadUInt64(stream);
}
internal OrderSample(SecDBFileReader file, OrderSample ps, DateTime ts, Stream stream) : base(ts)
{
var flags = SecDBPrimitives.ReadByte(stream);
InternalOrder = (flags & (1)) != 0;
CancelAll = (flags >> 1) != 0;
if (!CancelAll)
{
IsActive = (flags >> 2) != 0;
IsReplacement = (flags >> 3) != 0;
Side = (SideType)((flags >> 4) & 0x1);
IsTakeProfit = (flags >> 5) != 0;
IsStopLoss = (flags >> 6) != 0;
OrderID = SecDBPrimitives.ReadSLEB128(stream);
if (IsActive)
{
var price = SecDBPrimitives.ReadSLEB128(stream);
if (ps == null)
{
PriceStep = price;
}
else
{
PriceStep = ps.PriceStep + price;
}
Price = PriceStep * file.SystemHeader.PriceStep;
Qty = SecDBPrimitives.ReadSLEB128(stream);
}
if (IsReplacement)
{
OldOrderID = SecDBPrimitives.ReadSLEB128(stream);
}
}
}
internal TradeSample(SecDBFileReader file, TradeSample ps, DateTime ts, Stream stream) : base(ts)
{
var flags = SecDBPrimitives.ReadByte(stream);
InternalTrade = (flags & (1)) != 0;
Aggressor = (AggressorType)((flags >> 1) & 0x3);
Side = (SideType)((flags >> 3) & 0x1);
IsQty = (flags & (1 << 4)) != 0;
IsTradeID = (flags & (1 << 5)) != 0;
IsOrderID = (flags & (1 << 6)) != 0;
var price = SecDBPrimitives.ReadSLEB128(stream);
if (ps == null)
{
PriceStep = price;
}
else
{
PriceStep = ps.PriceStep + price;
}
Price = PriceStep * file.SystemHeader.PriceStep;
if (IsQty)
{
Qty = SecDBPrimitives.ReadSLEB128(stream);
}
if (IsTradeID)
{
TradeID = SecDBPrimitives.ReadULEB128(stream);
}
if (IsOrderID)
{
OrderID = SecDBPrimitives.ReadULEB128(stream);
}
}
private IEnumerable <StreamSample> enumerateStreamData(enumerateStreamDataArgs args, FileSystemFile file)
{
var candle = args.Candle;
using (var stream = file.FileStream)
{
//Stream data start per candle
if (candle.IsAssigned)
{
stream.Seek((long)candle.FirstStreamOffset, SeekOrigin.Begin);
}
else
{
stream.Seek((long)(m_Streams_DataOffset + sizeof(int)), SeekOrigin.Begin);
}
DateTime currentTS = candle.TimeStamp;
StreamSample[] prior = new StreamSample[(int)StreamID.MAX_ID + 1];
while (true)
{
var hdr = stream.ReadByte();
if (hdr == -1)
{
yield break; //END OF FILE
}
var isDelta = (hdr & 0x80) != 0;
var sid = hdr & 0x7f;
if ((StreamID)sid > StreamID.MAX_ID || sid >= STREAM_SAMPLE_FACTORIES.Length)
{
throw new FinancialException(StringConsts.SECDB_STREAM_CORRUPTED_ERROR + "enumerateStreamData(sid>StreamIS.MAX_ID)");
}
if (sid == (int)StreamID.Seconds)
{
int ts = SecDBPrimitives.ReadMidnightSecond(stream);
currentTS = new DateTime(m_SystemHeader.Date.Year,
m_SystemHeader.Date.Month,
m_SystemHeader.Date.Day,
0, 0, 0, DateTimeKind.Utc).AddSeconds(ts);
//Second resets all other
for (var i = 0; i < prior.Length; i++)
{
prior[i] = null;
}
}
else
{
var mcsDiff = SecDBPrimitives.ReadDiffTimeMcs(stream);
var ticks = mcsDiff * 10;
currentTS = currentTS.AddTicks((long)ticks);
}
var priorSampleOfThisType = prior[sid];
if (priorSampleOfThisType == null && isDelta)
{
throw new FinancialException(StringConsts.SECDB_STREAM_CORRUPTED_ERROR + "prior sample of '{0}' type is null, but IsDelta = 1".Args((StreamID)sid));
}
var priorSecond = prior[0] as SecondSample;
if (sid != 0 && priorSecond == null)
{
throw new FinancialException(StringConsts.SECDB_STREAM_CORRUPTED_ERROR + "missing SecondSample before '{0}' sample".Args((StreamID)sid));
}
var sample = STREAM_SAMPLE_FACTORIES[sid](this, priorSampleOfThisType, currentTS, stream);
yield return(sample);
prior[sid] = sample;
}
}//using stream
}
private void parseMetadata(Stream stream)
{
var bt = SecDBPrimitives.ReadByte(stream);
if (bt != 0x01)//0x1 - Streams header
{
throw new FinancialException("StreamsMeta.Header != 0x01");
}
//Compression
bt = SecDBPrimitives.ReadByte(stream);
if (bt == 0)
{
m_Streams_CompressionType = CompressionType.None;
}
else if (bt == 1)
{
m_Streams_CompressionType = CompressionType.GZip;
}
else
{
throw new FinancialException("StreamsMeta.Compression != 0 | 1");
}
//DataOffset
m_Streams_DataOffset = SecDBPrimitives.ReadUInt32(stream);
//Stream Count
var scount = SecDBPrimitives.ReadByte(stream);
m_Streams_Metas = new StreamMeta[scount + 1];
m_Streams_Metas[0] = new StreamMeta(StreamID.Seconds);
//StreamMeta
for (var i = 1; i <= scount; i++) //<= as scount does not include zeros element which is mandatory
{
bt = SecDBPrimitives.ReadByte(stream);
if (bt != 0x02)//0x2 - Stream header
{
throw new FinancialException("StreamMeta.Header != 0x02");
}
//StreamID
bt = SecDBPrimitives.ReadByte(stream);
if (bt > (byte)StreamID.MAX_ID)
{
throw new FinancialException("StreamMeta.StreamID {0} = invalid".Args(bt));
}
var sid = (StreamID)bt;
m_Streams_Metas[i] = new StreamMeta(sid);
}
//CandlesMeta
parseCandlesMeta(stream);
//Verify data start
//Beginning of Stream Data Marker
stream.Seek(m_Streams_DataOffset, SeekOrigin.Begin);
var magic = SecDBPrimitives.ReadUInt32(stream);
if (magic != 0xABBABABA)
{
throw new FinancialException("StreamDataMarker != 0xABBABABA");
}
}