public virtual void Append(IQuoteCapture q)
{
if (q == null || q.Count <= 0 || this.Symbol != q.Symbol)
{
return;
}
var sindex = q.Count - 1;
while (sindex >= 0 && q.Time[sindex] > this.LastTime)
{
--sindex;
}
if (sindex == -1)
{
this.Time.AddRange(q.Time);
this.Price.AddRange(q.Price);
this.Volume.AddRange(q.Volume);
}
else if (sindex < q.Count - 1)
{
++sindex;
this.Time.AddRange(q.Time.GetRange(sindex, q.Count - sindex));
this.Price.AddRange(q.Price.GetRange(sindex, q.Count - sindex));
this.Volume.AddRange(q.Volume.GetRange(sindex, q.Count - sindex));
}
}
private void Create(IQuoteCapture q)
{
if (q != null)
{
this.Create(q.Symbol, q.PipFactor, q.Time, q.Price, q.Volume);
}
}
static public IQuoteCapture Uncompress(IQuoteCapture qc)
{
if (qc == null)
{
throw new ArgumentNullException();
}
IQuoteCapture result = new QuoteCapture(qc.Symbol);
if (qc.Count == 0)
{
return(result);
}
//qc中至少有1个数据
bool isSegment = false;
result.Add(qc.FirstTime, qc.Price[0]);
//true则认为此时在处理分段 每处理完一次分段时置为false
isSegment = true;
for (var i = 1; i < qc.Count; ++i)
{//
//通常NO_USED_PRICE不会被使用
if (qc.Price[i] == NO_USED_PRICE && isSegment)
{//这是重复数据 要展开
var endTime = qc.Time[i];
var endPrice = qc.Price[i];
var startTime = qc.Time[i - 1];
var startPrice = qc.Price[i - 1];
var j = startTime + MIN_INTERVAL;
//用startPrice生成start到end之间的数据
while (j < endTime)
{
result.Add(j, startPrice);
j += MIN_INTERVAL;
}
//生成end数据(endtime 大则代表是正确的分段 小则意味不正确的分段 插入原来的数据
result.Add(endTime, endTime > startTime ? startPrice : endPrice);
//分段解压缩结束
isSegment = false;
}
else//非重复数据或者数据起始点 直接插入
{
result.Add(qc.Time[i], qc.Price[i]);
isSegment = true;
}
}
return(result);
}
static public IQuoteCapture Compress(IQuoteCapture qc)
{
if (qc == null)
{
throw new ArgumentNullException();
}
IQuoteCapture result = new QuoteCapture(qc.Symbol);
if (qc.Count == 0)
{
return(result);
}
//此时qc有值 先插入一个数据
result.Add(qc.Time[0], qc.Price[0]);
bool tail = false;
for (int i = 1; i < qc.Count; i++)
{
var time = qc.Time[i];
var price = qc.Price[i];
var lastTime = qc.Time[i - 1];
var lastPrice = qc.Price[i - 1];
if (time - lastTime == MIN_INTERVAL && price == lastPrice)
{//价格重复且时间递增那么该数据可以压缩
tail = true;
}
else
{//本次数据不能被压缩那么把该数据当作分段新的起始点
//添加上一个分段的末尾如果分段数据只有1个那么不需要添加结尾
//[start: price, start+1:price,..., end:price]=>[start : price, end:-1]
if (tail)
{
result.Add(lastTime, NO_USED_PRICE);
}
//分段新的起始点
result.Add(time, price);
tail = false;
}
}
//可能qc末尾是个分段但是此时还没能添加分段尾
if (tail)
{
result.Add(qc.Time.Last(), NO_USED_PRICE);
}
return(result);
}
private int AddItemByQuoteCapture(IQuoteCapture q, int sindex, int eindex)
{
var len = eindex - sindex + 1;
var price = q.Price.GetRange(sindex, len);
var volumnList = q.Volume.GetRange(sindex, len);
var time = q.Time[sindex] / this.Interval * this.Interval;
var open = this.Count > 0 ? this.Close.Last() : q.Price[sindex];
var close = q.Price[eindex];
var high = price.Max();
var low = price.Min();
var volumn = volumnList.Sum();
return(this.AddUpdate(time, open, high, low, close, volumn)); //add the data
}
public void AddQuoteCapture(IQuoteCapture qc, bool isTriggerEvent)
{
lock (this)
{
var interval = this.Intervals[0];
var quoteId = this.CreateQuote(qc.Symbol, interval);
var num = Quotes[quoteId].Append(qc, false);
if (num >= 0)
{
var d = this.AddToOtherQuotes(Quotes[quoteId], 1, isTriggerEvent);
//QuoteStore_OnDataAddedOrUpdated(this, this.Quotes[quoteId], num);
//foreach (var id in d.Keys) QuoteStore_OnDataAddedOrUpdated(this, this.Quotes[id], d[id]);
}
}
}
public void TestAppend()
{
IQuoteCapture qc = null;
// 测试null
_quoteCapture.Append(qc);
Assert.AreEqual(0, _quoteCapture.Count);
// 测试空
qc = new QuoteCapture();
_quoteCapture.Append(qc);
Assert.AreEqual(0, _quoteCapture.Count);
// 测试不同的symbol
qc = new QuoteCapture("symbol1");
qc.Add(10, 20, 30);
_quoteCapture.Append(qc);
Assert.AreEqual(0, _quoteCapture.Count);
// 测试_quoteCapter.LastTime < qc.LastTime
qc = new QuoteCapture("symbol0");
_quoteCapture.Add(10, 20, 15);
qc.Add(5, 20);
_quoteCapture.Append(qc);
Assert.AreEqual(1, _quoteCapture.Count);
Assert.AreEqual(10, _quoteCapture.Time[0]);
Assert.AreEqual(20, _quoteCapture.Price[0]);
Assert.AreEqual(15, _quoteCapture.Volume[0]);
// 测试不添加小于LastTime的数据
qc.Add(10, 18, 18);
qc.Add(20, 30, 17);
_quoteCapture.Append(qc);
Assert.AreEqual(2, _quoteCapture.Count);
Assert.AreEqual(10, _quoteCapture.Time[0]);
Assert.AreEqual(20, _quoteCapture.Time[1]);
Assert.AreEqual(20, _quoteCapture.Price[0]);
Assert.AreEqual(30, _quoteCapture.Price[1]);
Assert.AreEqual(15, _quoteCapture.Volume[0]);
Assert.AreEqual(17, _quoteCapture.Volume[1]);
}
public void TestExtract_LongLong()
{
_quoteCapture.Add(100, 10, 21);
_quoteCapture.Add(200, 20, 22);
_quoteCapture.Add(300, 30, 23);
_quoteCapture.Add(400, 40, 24);
_quoteCapture.Add(500, 50, 26);
IQuoteCapture qc = _quoteCapture.Extract(150L, 350L);
Assert.AreEqual(2, qc.Count);
Assert.AreEqual(200, qc.Time[0]);
Assert.AreEqual(300, qc.Time[1]);
Assert.AreEqual(20, qc.Price[0]);
Assert.AreEqual(30, qc.Price[1]);
Assert.AreEqual(30, qc.Price[1]);
Assert.AreEqual(22, qc.Volume[0]);
Assert.AreEqual(23, qc.Volume[1]);
qc = _quoteCapture.Extract(10L, 110L);
Assert.AreEqual(1, qc.Count);
Assert.AreEqual(100, qc.Time[0]);
qc = _quoteCapture.Extract(10L, 20L);
Assert.AreEqual(0, qc.Count);
qc = _quoteCapture.Extract(600L, 900L);
Assert.AreEqual(0, qc.Count);
qc = _quoteCapture.Extract(0L, 900L);
Assert.AreEqual(5, qc.Count);
_quoteCapture.Clear();
_quoteCapture.Add(100, 10);
qc = _quoteCapture.Extract(80L, 110L);
Assert.AreEqual(1, qc.Count);
}
public void TestExtract_IntInt()
{
IQuoteCapture qc = null;
// 测试sindex > eindex
TestHelper.AssertException(() => _quoteCapture.Extract(1, 0), typeof(ArgumentException));
// 测试sindex < 0
TestHelper.AssertException(() => _quoteCapture.Extract(-1, 0), typeof(ArgumentException));
// 测试eindex < 0
TestHelper.AssertException(() => _quoteCapture.Extract(0, -1), typeof(ArgumentException));
// 测试eindex > _quoteCapture.Count - 1;
_quoteCapture.Add(10, 12);
TestHelper.AssertException(() => _quoteCapture.Extract(0, 5), typeof(ArgumentException));
_quoteCapture = new QuoteCapture("xyz");
_quoteCapture.Add(100, 10, 23);
_quoteCapture.Add(200, 20, 24);
_quoteCapture.Add(300, 30, 26);
_quoteCapture.Add(400, 40, 27);
_quoteCapture.Add(500, 50, 28);
qc = _quoteCapture.Extract(1, 3);
Assert.AreEqual(3, qc.Count);
Assert.AreEqual(200, qc.Time[0]);
Assert.AreEqual(300, qc.Time[1]);
Assert.AreEqual(400, qc.Time[2]);
Assert.AreEqual(20, qc.Price[0]);
Assert.AreEqual(30, qc.Price[1]);
Assert.AreEqual(40, qc.Price[2]);
Assert.AreEqual(24, qc.Volume[0]);
Assert.AreEqual(26, qc.Volume[1]);
Assert.AreEqual(27, qc.Volume[2]);
}
public void Assign(IQuoteCapture q)
{
this.Create(q);
}
public QuoteCapture(IQuoteCapture q)
{
Create(q);
}
private async void _qcStore_OnQuoteCaptureDataAdded(object sender, string exchange, IQuoteCapture quote, int numAppended)
{
try
{
var symbol = quote.Symbol;
if (_symbolsInitialized.Contains(symbol))
{
_qbStore.AddQuoteCapture(quote, true);
}
else //initialize IQuoteBasicBase
{
this.InitQuoteBasic(symbol);
}
}
catch (Exception ex)
{
OnExceptionOccured?.Invoke(this, this.Exchange, ex);
}
}
public int Append(IQuoteCapture q, bool isTriggerDataUpdated = false)
{
if (q == null || q.Count <= 0 || q.LastTime <= this.LastTime || this.Symbol != q.Symbol)
{
return(0);
}
//search backward for the quotes. the found time should be >= lastTime
int indexStartSearch = -1;
for (int i = q.Count - 1; i >= 0; i--)
{
if (q.Time[i] < this.LastTime) //for basic quote we include price at previous interval for calculation
{
break;
}
indexStartSearch = i;
}
if (indexStartSearch == -1)
{
return(0);
}
////////////////////////////////////////////////////////////////////////////
var isDataChanged = false;
var numAddedElement = 0;
int sindex = indexStartSearch; // interval区间的开始索引
var eindex = -1;
var endTime = q.Time[sindex] / this.Interval * this.Interval + this.Interval; //use the first time as the data bar time
for (int i = indexStartSearch; i <= q.Count - 1; i++)
{
if (q.Time[i] >= endTime)
{
eindex = i - 1; // interval区间的结束索引
var num = this.AddItemByQuoteCapture(q, sindex, eindex);
if (num >= 0)
{
numAddedElement += num;
isDataChanged = true;
}
sindex = i;
endTime = q.Time[sindex] / this.Interval * this.Interval + this.Interval;
}
}
//add last element
if (sindex > eindex)
{
var num = this.AddItemByQuoteCapture(q, sindex, q.Count - 1);
if (num >= 0)
{
numAddedElement += num;
isDataChanged = true;
}
}
if (isTriggerDataUpdated && isDataChanged)
{
OnDataAddedOrUpdated?.Invoke(this, this, numAddedElement);
}
return(isDataChanged ? numAddedElement : -1); //-1 means nothing changed, 0 means updated, >=1 means added
}
