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(PbTickView.ToCsvHeader());
foreach (var l in _list)
{
stream.WriteLine(l);
}
stream.Close();
}
}
public PbTickView Int2Double(PbTick tick, bool descending)
{
if (tick == null)
{
return(null);
}
var view = new PbTickView();
// 利用此机会设置TickSize
if (Codec == null)
{
Codec = new PbTickCodec();
}
view.Config = Int2Double(tick.Config);
Codec.Config = tick.Config;
view.Turnover = Codec.GetTurnover(tick);
view.AveragePrice = Codec.GetAveragePrice(tick);
view.LastPrice = Codec.TickToPrice(tick.LastPrice);
view.AskPrice1 = Codec.TickToPrice(tick.AskPrice1);
view.Volume = tick.Volume;
view.OpenInterest = tick.OpenInterest;
view.TradingDay = tick.TradingDay;
view.ActionDay = tick.ActionDay;
view.Time_HHmm = tick.Time_HHmm;
view.Time_____ssf__ = tick.Time_____ssf__;
view.Time________ff = tick.Time________ff;
view.Bar = Int2Double(tick.Bar);
view.Static = Int2Double(tick.Static);
view.Split = Int2Double(tick.Split);
view.LocalTime_Msec = tick.LocalTime_Msec;
view.DepthList = Int2Double(tick.DepthList, descending);
view.LoadQuote(descending);
return(view);
}
public PbTick Double2Int(PbTickView tick, bool descending)
{
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.AskPrice1 = Codec.PriceToTick(tick.AskPrice1);
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);
field.LocalTime_Msec = tick.LocalTime_Msec;
field.DepthList = Double2Int(tick.DepthList, descending);
return(field);
}
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 TimeSpan GetUpdateTime(PbTickView tickView)
{
return(GetUpdateTime(tickView.Time_HHmm, tickView.Time_____ssf__, tickView.Time________ff, 0));
}
public void GetUpdateTime(PbTickView tickView, out int time, out int ms)
{
GetUpdateTime(tickView.Time_HHmm, tickView.Time_____ssf__, tickView.Time________ff, out time, out ms);
}
public PbTickView Int2Double(PbTick tick, bool descending)
{
if (tick == null)
return null;
var view = new PbTickView();
// 利用此机会设置TickSize
if (Codec == null) {
Codec = new PbTickCodec();
}
view.Config = Int2Double(tick.Config);
Codec.Config = tick.Config;
view.Turnover = Codec.GetTurnover(tick);
view.AveragePrice = Codec.GetAveragePrice(tick);
view.LastPrice = Codec.TickToPrice(tick.LastPrice);
view.AskPrice1 = Codec.TickToPrice(tick.AskPrice1);
view.Volume = tick.Volume;
view.OpenInterest = tick.OpenInterest;
view.TradingDay = tick.TradingDay;
view.ActionDay = tick.ActionDay;
view.Time_HHmm = tick.Time_HHmm;
view.Time_____ssf__ = tick.Time_____ssf__;
view.Time________ff = tick.Time________ff;
view.Bar = Int2Double(tick.Bar);
view.Static = Int2Double(tick.Static);
view.Split = Int2Double(tick.Split);
view.LocalTime_Msec = tick.LocalTime_Msec;
view.DepthList = Int2Double(tick.DepthList, descending);
view.LoadQuote(descending);
return view;
}
public TimeSpan GetUpdateTime(PbTickView tickView)
{
return GetUpdateTime(tickView.Time_HHmm, tickView.Time_____ssf__, tickView.Time________ff, 0);
}
public void GetUpdateTime(PbTickView tickView, out int time, out int ms)
{
GetUpdateTime(tickView.Time_HHmm, tickView.Time_____ssf__, tickView.Time________ff, out time, out ms);
}
private DepthMarketDataNClass PbTick2DepthMarketDataNClass(PbTickCodec codec, PbTickView tickView)
{
DepthMarketDataNClass marketData = new DepthMarketDataNClass();
codec.GetUpdateTime(tickView, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
if (SubscribeExternData)
{
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum<ExchangeType>.Parse(tickView.Static.Exchange);
}
marketData.PreClosePrice = tickView.Static.PreClosePrice;
marketData.PreSettlementPrice = tickView.Static.PreSettlementPrice;
marketData.PreOpenInterest = tickView.Static.PreOpenInterest;
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int BidCount = BidPos + 1;
int AskCount = count - AskPos;
marketData.Bids = new DepthField[0];
marketData.Asks = new DepthField[0];
if(SubscribeBid)
{
if(BidCount>0)
{
marketData.Bids = new DepthField[BidCount];
int j = 0;
for (int i = BidPos; i >= 0; --i)
{
marketData.Bids[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
if (SubscribeAsk)
{
if (AskCount > 0)
{
marketData.Asks = new DepthField[AskCount];
int j = 0;
for (int i = AskPos; i < count; ++i)
{
marketData.Asks[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
}
return marketData;
}
public PbTick Double2Int(PbTickView tick, bool descending)
{
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.AskPrice1 = Codec.PriceToTick(tick.AskPrice1);
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);
field.LocalTime_Msec = tick.LocalTime_Msec;
field.DepthList = Double2Int(tick.DepthList, descending);
return field;
}
private static string getTime(PbTickView pbTickView)
{
return String.Format("{0}:{1}:{2}.{3}",
(pbTickView.Time_HHmm/100).ToString("D2"),
(pbTickView.Time_HHmm%100).ToString("D2"),
(pbTickView.Time_____ssf__ / 10).ToString("D2"),
((pbTickView.Time_____ssf__ % 10) * 100 + pbTickView.Time________ff).ToString("D3")
);
}
