private void FilterFile(string symbol, string inputPath, string outputPath, TimeStamp startTime, TimeStamp endTime)
{
TickReader reader = Factory.TickUtil.TickReader();
TickWriter writer = Factory.TickUtil.TickWriter(true);
writer.KeepFileOpen = true;
writer.Initialize(outputPath, symbol);
reader.Initialize(inputPath, symbol);
TickQueue inputQueue = reader.ReadQueue;
TickIO firstTick = Factory.TickUtil.TickIO();
TickIO lastTick = Factory.TickUtil.TickIO();
TickIO prevTick = Factory.TickUtil.TickIO();
long count = 0;
long fast = 0;
long dups = 0;
TickIO tickIO = Factory.TickUtil.TickIO();
TickBinary tickBinary = new TickBinary();
inputQueue.Dequeue(ref tickBinary);
tickIO.Inject(tickBinary);
count++;
firstTick.Copy(tickIO);
firstTick.IsSimulateTicks = true;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
if (tickIO.Time >= startTime)
{
writer.Add(firstTick);
}
try {
while (true)
{
while (!inputQueue.TryDequeue(ref tickBinary))
{
Thread.Sleep(1);
}
tickIO.Inject(tickBinary);
count++;
if (tickIO.Time >= startTime)
{
if (tickIO.Time > endTime)
{
break;
}
// if( tickIO.Bid == prevTick.Bid && tickIO.Ask == prevTick.Ask) {
// dups++;
// } else {
// Elapsed elapsed = tickIO.Time - prevTick.Time;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
// if( elapsed.TotalMilliseconds < 5000) {
// fast++;
// } else {
while (!writer.TryAdd(prevTick))
{
Thread.Sleep(1);
}
// }
// }
}
}
} catch (QueueException ex) {
if (ex.EntryType != EventType.EndHistorical)
{
throw new ApplicationException("Unexpected QueueException: " + ex);
}
}
lastTick.Copy(tickIO);
Console.WriteLine(reader.Symbol + ": " + count + " ticks from " + firstTick.Time + " to " + lastTick.Time + " " + dups + " duplicates, " + fast + " less than 50 ms");
Factory.TickUtil.TickReader().CloseAll();
writer.Close();
}
public void TSConverter(SymbolInfo symbolParam)
// public void TSConverter(SymbolInfo symbolParam, string from, string to, TimeStamp startTime, TimeStamp endTime, bool fromMinute)
{
// this.symbol = symbolInfo;
symbol = symbolParam;
string path = Factory.Settings["AppDataFolder"] + @"\DataCache\"; // *** specify the path to the input file here
// SymbolInfo symbol; // take user input symbol
string ext = ".txt"; // *** specify input file extension here
// double utcOffset = TimeStamp.UtcOffset;
String tsLine; // the raw price data line
double tickOpen;
double tickHigh;
double tickLow;
double tickClose;
int tickVolume;
ArrayList ticksOut = new ArrayList();
// int ticksOutCount = 0;
// bool fromMinute;
char[] delimiterChars = { ',' };
// Do all the work here.
// fromMinute = isFromMinute;
int countLines = 0;
try
{
using (StreamReader sr = new StreamReader(fromFile))
{
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
while ((tsLine = sr.ReadLine()) != null)
{
countLines++;
if (countLines > 1)
{
tsBits = tsLine.Split(delimiterChars, StringSplitOptions.RemoveEmptyEntries);
if (fromMinute)
{
tickOpen = double.Parse(tsBits[2]);
tickHigh = double.Parse(tsBits[3]);
tickLow = double.Parse(tsBits[4]);
tickClose = double.Parse(tsBits[5]);
tickVolume = int.Parse(tsBits[6]);
if (tickOpen == tickHigh && tickOpen == tickLow && tickOpen == tickClose)
{
writeATick(tickOpen, tickVolume);
}
else
{
writeATick(tickOpen, 0);
if (tickHigh - tickClose >= tickClose - tickOpen)
{
writeATick(tickHigh, 0);
writeATick(tickLow, 0);
writeATick(tickHigh, 0);
}
else
{
writeATick(tickLow, 0);
writeATick(tickHigh, 0);
writeATick(tickLow, 0);
}
writeATick(tickClose, tickVolume);
}
}
}
}
}
}
catch (Exception ex)
{
throw new ApplicationException("Error on line " + countLines + ": " + ex.Message, ex);
}
finally {
if (tickWriter != null)
{
tickWriter.Close();
}
}
using (StreamWriter sw = new StreamWriter(path + symbol + "_log" + ext)) {
for (int i = 0; i < ticksOut.Count; i++)
{
sw.WriteLine(ticksOut[i]);
}
}
}