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(t.ToCsvHeader());
foreach (var l in _list)
{
stream.WriteLine(l);
}
stream.Close();
}
}
public void TestGetSetPrice()
{
var codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
PbTick tick = new PbTick();
Assert.AreEqual(0, codec.GetBidPrice(tick, 1));
Assert.AreEqual(0, codec.GetBidPrice(tick, 4));
Assert.AreEqual(0, codec.GetBidPrice(tick, 10));
codec.SetBidPrice(tick, 1, 1.0);
codec.SetBidPrice(tick, 4, 2.4);
codec.SetBidPrice(tick, 10, 5.8);
Assert.AreEqual(1, codec.GetBidPrice(tick, 1));
Assert.AreEqual(2.4, codec.GetBidPrice(tick, 4));
Assert.AreEqual(5.8, codec.GetBidPrice(tick, 10));
Assert.AreEqual(0, codec.GetAskPrice(tick, 1));
Assert.AreEqual(0, codec.GetAskPrice(tick, 4));
Assert.AreEqual(0, codec.GetAskPrice(tick, 10));
codec.SetAskPrice(tick, 1, -1.0);
codec.SetAskPrice(tick, 4, 2.4);
codec.SetAskPrice(tick, 10, -5.8);
Assert.AreEqual(-1.0, codec.GetAskPrice(tick, 1));
Assert.AreEqual(2.4, codec.GetAskPrice(tick, 4));
Assert.AreEqual(-5.8, codec.GetAskPrice(tick, 10));
codec.SetAskCount(tick, 1, 4);
codec.SetAskCount(tick, 4, 5);
codec.SetAskCount(tick, 10, -9);
Assert.AreEqual<double>(4, codec.GetAskCount(tick, 1));
Assert.AreEqual<double>(5, codec.GetAskCount(tick, 4));
Assert.AreEqual<double>(-9, codec.GetAskCount(tick, 10));
codec.SetSettlementPrice(tick, 1234.56);
Assert.AreEqual(1234.56, codec.GetSettlementPrice(tick), "SettlementPrice");
codec.SetTurnover(tick, 4567.8);
Assert.AreEqual(4567.8, codec.GetTurnover(tick), "Turnover");
}
public void TestConvertDateTime()
{
var span = new TimeSpan(0, 12, 34, 56, 789);
int time = 123456;
int ms = 789;
int hhmm_____ = 0;
int ____ssf__ = 0;
int _______ff = 0;
var codec = new PbTickCodec();
codec.SetUpdateTime(span, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual(1234, hhmm_____);
Assert.AreEqual(567, ____ssf__);
Assert.AreEqual(89, _______ff);
codec.SetUpdateTime(time, ms, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual(1234, hhmm_____);
Assert.AreEqual(567, ____ssf__);
Assert.AreEqual(89, _______ff);
codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff, out time, out ms);
Assert.AreEqual(123456, time);
Assert.AreEqual(789, ms);
span = codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff);
Assert.AreEqual(0, span.Days);
Assert.AreEqual(12, span.Hours);
Assert.AreEqual(34, span.Minutes);
Assert.AreEqual(56, span.Seconds);
Assert.AreEqual(789, span.Milliseconds);
var date1 = 20141104;
var date2 = 20141105;
var tick = new PbTick();
codec.SetActionDay(tick, new DateTime(2014, 11, 4));
codec.SetTradingDay(tick, new DateTime(2014, 11, 5));
Assert.AreEqual(date1, tick.ActionDay);
Assert.AreEqual(date2, tick.TradingDay);
Assert.AreEqual(new DateTime(2014, 11, 4), codec.GetDateTime(tick.ActionDay));
Assert.AreEqual(new DateTime(2014, 11, 5), codec.GetDateTime(tick.TradingDay));
}
public PbTick Double2Int(PbTickView tick)
{
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.Depth1_3 = Double2Int(tick.Depth1_3);
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);
return(field);
}
public PbTickView Int2Double(PbTick tick)
{
if (tick == null)
{
return(null);
}
var field = new PbTickView();
// 利用此机会设置TickSize
if (Codec == null)
{
Codec = new PbTickCodec();
}
field.Config = Int2Double(tick.Config);
Codec.Config = tick.Config;
field.Turnover = Codec.GetTurnover(tick);
field.AveragePrice = Codec.GetAveragePrice(tick);
field.LastPrice = Codec.TickToPrice(tick.LastPrice);
field.Depth1_3 = Int2Double(tick.Depth1_3);
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 = Int2Double(tick.Bar);
field.Static = Int2Double(tick.Static);
field.Split = Int2Double(tick.Split);
return(field);
}
public PbTickSerializer()
{
Codec = new PbTickCodec();
}
public void TestStatic()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
PbTick tick1 = new PbTick();
tick1.Config = codec.Config;
codec.SetSymbol(tick1, "ABC");
codec.SetExchange(tick1, "DEF");
PbTick tick2 = new PbTick();
codec.SetSymbol(tick2, "ABC");
codec.SetExchange(tick2, "DEF");
var diff = codec.Diff(tick1, tick2);
Assert.AreEqual(null, diff.Static);
}
public void TestGcdTickSize()
{
PbTickCodec codec = new PbTickCodec();
Assert.AreEqual(0.00001, codec.gcd());
Assert.AreEqual(0.3, codec.gcd(100.3f - 100.0f));
Assert.AreEqual(0.2, codec.gcd(100.3f - 100.1f));
Assert.AreEqual(0.1, codec.gcd(100.3f - 100.0f, 100.2f - 100.0f));
Assert.AreEqual(0.1, codec.gcd(100.3f - 100.0f, 100.2f - 100.0f, 100.1f - 100.0f));
Assert.AreEqual(0.05, codec.gcd(100.3f - 100.0f, 100.2f - 100.0f, 100.1f - 100.0f, 100.1f - 100.05f));
Assert.AreEqual(0.1, codec.gcd(100.0f - 100.3f, 100.0f - 100.2f));
Assert.AreEqual(0.05, codec.gcd(100.0f - 100.3f, 100.0f - 100.2f, 100.0f - 100.1f, 100.05f - 100.1f));
Assert.AreEqual(10, codec.gcd(1000, 41430));
}
public void TestTickMultiplier()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.TickSize = codec.Config.GetTickSize();
codec.Config.ContractMultiplier = 50000;
codec.Config.Time_ssf_Diff = 5;
PbTick tick1 = new PbTick();
codec.SetAveragePrice(tick1, 123.45);
codec.SetSettlementPrice(tick1, 123.45);
codec.SetTurnover(tick1, 1234567890123456);
codec.SetOpenInterest(tick1, 9123456789012345678);
codec.SetVolume(tick1, 1234567890);
Assert.AreEqual(123.45, codec.GetAveragePrice(tick1));
Assert.AreEqual(123.45, codec.GetSettlementPrice(tick1));
Assert.AreEqual(1234567890120000, codec.GetTurnover(tick1));
Assert.AreEqual(9123456789012345678, codec.GetOpenInterest(tick1));
Assert.AreEqual(1234567890, codec.GetVolume(tick1));
codec.Config.ContractMultiplier = 5;
codec.SetTurnover(tick1, 1234567890123456);
Assert.AreEqual(1234567890123456, codec.GetTurnover(tick1));
codec.Config.ContractMultiplier = 0.1;
codec.SetTurnover(tick1, 12345678901234.56);
Assert.AreEqual(12345678901234.56, codec.GetTurnover(tick1));
}
public void TestTickDiff()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.TickSize = codec.Config.GetTickSize();
codec.Config.Time_ssf_Diff = 5;
PbTick tick1 = new PbTick();
tick1.Config = codec.Config;
codec.SetLastPrice(tick1, 1234);
codec.SetVolume(tick1, 1);
codec.SetActionDay(tick1, DateTime.Today);
codec.SetTradingDay(tick1, DateTime.Today.AddDays(-1));
//codec.Set
codec.SetAskPrice(tick1, 1, 1234.2);
codec.SetAskSize(tick1, 1, 1);
//codec.SetAskPrice(tick1, 2, 1234.4);
//codec.SetAskSize(tick1, 2, 1);
//codec.SetAskPrice(tick1, 3, 1234.6);
//codec.SetAskSize(tick1, 3, 3);
//codec.SetAskPrice(tick1, 4, 1234.8);
//codec.SetAskSize(tick1, 4, 4);
//codec.SetAskPrice(tick1, 5, 1235.0);
//codec.SetAskSize(tick1, 5, 5);
//codec.SetAskPrice(tick1, 6, 1235.2);
//codec.SetAskSize(tick1, 6, 6);
codec.SetBidPrice(tick1, 1, 1234);
codec.SetBidSize(tick1, 1, 1);
//codec.SetBidPrice(tick1, 2, 1233.8);
//codec.SetBidSize(tick1, 2, 2);
//codec.SetBidPrice(tick1, 3, 1233.6);
//codec.SetBidSize(tick1, 3, 3);
//codec.SetBidPrice(tick1, 4, 1233.4);
//codec.SetBidSize(tick1, 4, 4);
//codec.SetBidPrice(tick1, 5, 1233.2);
//codec.SetBidSize(tick1, 5, 5);
//codec.SetBidPrice(tick1, 6, 1232.0);
//codec.SetBidSize(tick1, 6, 6);
codec.SetLowerLimitPrice(tick1, 123.4);
codec.SetUpperLimitPrice(tick1, 567.8);
codec.SetSettlementPrice(tick1, 123.4);
codec.SetOpen(tick1, 10);
codec.SetHigh(tick1, 10);
codec.SetLow(tick1, 10);
codec.SetClose(tick1, 10);
codec.SetBarSize(tick1, 10);
tick1.Time_HHmm = 1234;
tick1.Time_____ssf__ = 567;
tick1.Time________ff = 0;
PbTick tick2 = new PbTick();
codec.SetLastPrice(tick2, 1234.2);
codec.SetVolume(tick2, 2);
codec.SetActionDay(tick2, DateTime.Today);
codec.SetTradingDay(tick2, DateTime.Today.AddDays(-1));
codec.SetAskPrice(tick2, 1, 1234.2);
codec.SetAskSize(tick2, 1, 1);
codec.SetAskPrice(tick2, 2, 1234.4);
codec.SetAskSize(tick2, 2, 2);
codec.SetAskPrice(tick2, 3, 1234.6);
codec.SetAskSize(tick2, 3, 3);
codec.SetBidPrice(tick2, 1, 1234);
codec.SetBidSize(tick2, 1, 1);
codec.SetBidPrice(tick2, 2, 1233.8);
codec.SetBidSize(tick2, 2, 2);
codec.SetBidPrice(tick2, 3, 1233.6);
codec.SetBidSize(tick2, 3, 3);
codec.SetLowerLimitPrice(tick2, 123.4);
codec.SetUpperLimitPrice(tick2, 567.8);
codec.SetSettlementPrice(tick2, 123.4);
codec.SetOpen(tick2, 10);
codec.SetHigh(tick2, 10);
codec.SetLow(tick2, 10);
codec.SetClose(tick2, 10);
codec.SetBarSize(tick2, 10);
tick2.Time_HHmm = 1234;
tick2.Time_____ssf__ = 572;
tick2.Time________ff = 0;
var diff = codec.Diff(tick1, tick2);
Assert.AreEqual(0, diff.ActionDay);
Assert.AreEqual(0, diff.TradingDay);
Assert.AreEqual(null, diff.Static);
Assert.AreEqual(null, diff.Bar);
Assert.AreEqual(0, diff.Depth1_3.AskPrice1, "AskPrice1");
Assert.AreEqual(0, diff.Depth1_3.AskSize1, "AskSize1");
Assert.AreEqual(0, diff.Depth1_3.AskPrice2, "AskPrice2");
Assert.AreEqual(2, diff.Depth1_3.AskSize2, "AskSize2");
Assert.AreEqual(0, diff.Depth1_3.AskPrice3, "AskPrice3");
Assert.AreEqual(3, diff.Depth1_3.AskSize3, "AskSize3");
Assert.AreEqual(0, diff.Time_____ssf__);
var tick3 = codec.Restore(tick1, diff);
Assert.AreEqual(tick2.Depth1_3.AskPrice1, tick3.Depth1_3.AskPrice1);
Assert.AreEqual(tick2.Depth1_3.AskPrice2, tick3.Depth1_3.AskPrice2);
Assert.AreEqual(tick2.Depth1_3.AskPrice3, tick3.Depth1_3.AskPrice3);
Assert.AreEqual(tick2.Depth1_3.AskSize1, tick3.Depth1_3.AskSize1);
Assert.AreEqual(tick2.Depth1_3.AskSize2, tick3.Depth1_3.AskSize2);
Assert.AreEqual(tick2.Depth1_3.AskSize3, tick3.Depth1_3.AskSize3);
Assert.AreEqual(tick2.Depth1_3.BidPrice1, tick3.Depth1_3.BidPrice1);
Assert.AreEqual(tick2.Depth1_3.BidPrice2, tick3.Depth1_3.BidPrice2);
Assert.AreEqual(tick2.Depth1_3.BidPrice3, tick3.Depth1_3.BidPrice3);
Assert.AreEqual(tick2.Depth1_3.BidSize1, tick3.Depth1_3.BidSize1);
Assert.AreEqual(tick2.Depth1_3.BidSize2, tick3.Depth1_3.BidSize2);
Assert.AreEqual(tick2.Depth1_3.BidSize3, tick3.Depth1_3.BidSize3);
Assert.AreEqual(codec.GetLowerLimitPrice(tick1), codec.GetLowerLimitPrice(tick3));
Assert.AreEqual(codec.GetUpperLimitPrice(tick1), codec.GetUpperLimitPrice(tick3));
Assert.AreEqual(codec.GetSettlementPrice(tick1), codec.GetSettlementPrice(tick3));
Assert.AreEqual(codec.GetOpen(tick1), codec.GetOpen(tick3));
Assert.AreEqual(codec.GetHigh(tick1), codec.GetHigh(tick3));
Assert.AreEqual(codec.GetLow(tick1), codec.GetLow(tick3));
Assert.AreEqual(codec.GetClose(tick1), codec.GetClose(tick3));
Assert.AreEqual(572, tick3.Time_____ssf__);
}
public void TestTick2Price()
{
PbTickCodec ptc = new PbTickCodec();
ptc.Config.SetTickSize(0.2);
ptc.TickSize = ptc.Config.GetTickSize();
Assert.AreEqual(5, ptc.PriceToTick(1));
Assert.AreEqual(6, ptc.PriceToTick(1.2));
Assert.AreEqual(7, ptc.PriceToTick(1.4));
Assert.AreEqual(8, ptc.PriceToTick(1.6));
Assert.AreEqual(9, ptc.PriceToTick(1.8));
Assert.AreEqual(10, ptc.PriceToTick(2.0));
Assert.AreEqual(-5, ptc.PriceToTick(-1));
Assert.AreEqual(-6, ptc.PriceToTick(-1.2));
Assert.AreEqual(-7, ptc.PriceToTick(-1.4));
Assert.AreEqual(-8, ptc.PriceToTick(-1.6));
Assert.AreEqual(-9, ptc.PriceToTick(-1.8));
Assert.AreEqual(-10, ptc.PriceToTick(-2.0));
Assert.AreEqual(0.2, ptc.TickToPrice(1));
Assert.AreEqual(0.4, ptc.TickToPrice(2));
Assert.AreEqual(-0.2, ptc.TickToPrice(-1));
Assert.AreEqual(-0.4, ptc.TickToPrice(-2));
Assert.AreEqual(-2, ptc.TickToPrice(-10));
}
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 PbTick Double2Int(PbTickView tick)
{
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.Depth1_3 = Double2Int(tick.Depth1_3);
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);
return field;
}
public PbTickView Int2Double(PbTick tick)
{
if (tick == null)
return null;
PbTickView field = new PbTickView();
// 利用此机会设置TickSize
if(Codec == null)
{
Codec = new PbTickCodec();
}
field.Config = Int2Double(tick.Config);
Codec.Config = tick.Config;
field.Turnover = Codec.GetTurnover(tick);
field.AveragePrice = Codec.GetAveragePrice(tick);
field.LastPrice = Codec.TickToPrice(tick.LastPrice);
field.Depth1_3 = Int2Double(tick.Depth1_3);
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 = Int2Double(tick.Bar);
field.Static = Int2Double(tick.Static);
field.Split = Int2Double(tick.Split);
return field;
}