public List <TickDTO> GetTickRaw(int securityId, int count = 200)
{
List <Tick> ticks;
using (var redisTypedClient = RedisClient.As <Tick>())
{
var list = redisTypedClient.Lists[Ticks.GetTickListNamePrefix(TickSize.Raw) + securityId];
//ticks = list.GetAll();
var listSize = list.Count;
ticks = list.GetRange(listSize - count, listSize);
}
List <TickDTO> result;
if (ticks.Count == 0)
{
result = new List <TickDTO>();
}
else
{
//var lastTickTime = ticks.Last().T;
//result = ticks.Where(o => lastTickTime - o.T <= TimeSpan.FromMinutes(30)).Select(o => Mapper.Map<TickDTO>(o)).ToList();
result = ticks.Select(o => Mapper.Map <TickDTO>(o)).ToList();
}
return(result);
}
private static void UpdateRedisTick(IRedisTypedClient <Tick> redisTickClient, int secId, DateTime dtAyondoNow, IList <Quote> quotes, TickSize tickSize)
{
//redis tick list
var list = redisTickClient.Lists[Ticks.GetTickListNamePrefix(tickSize) + secId];
if (quotes.Count == 0) //fill in non-changing ticks
{
if (list.Count > 0)
{
var last = list[list.Count - 1];
//redis last tick is newer
if (last.T >= dtAyondoNow)
{
return;//impossible
}
//update last tick in redis
if (Ticks.IsTickEqual(last.T, dtAyondoNow, tickSize))
{
//do nothing
}
else //append new tick with the same price as redis last
{
list.Add(new Tick()
{
P = last.P, T = dtAyondoNow
});
}
}
}
else
{
var lastQuote = quotes.OrderByDescending(o => o.Time).First();
var newTick = new Tick {
P = Quotes.GetLastPrice(lastQuote), T = dtAyondoNow
};
if (list.Count == 0) //new products coming
{
list.Add(newTick);
return;
}
var last = list[list.Count - 1];
//redis last tick is newer
if (last.T >= dtAyondoNow)
{
return;//impossible
}
//update last tick in redis
if (Ticks.IsTickEqual(last.T, dtAyondoNow, tickSize))
{
////last price dominate
//list[list.Count - 1] = newTick;
//first price dominate
//do nothing
}
else //append new last tick
{
list.Add(newTick);
}
}
//clear history/prevent data increasing for good
var clearWhenSize = Ticks.GetClearWhenSize(tickSize);
var clearToSize = Ticks.GetClearToSize(tickSize);
if (list.Count > clearWhenSize) //data count at most possible size (in x days )
{
YJYGlobal.LogLine("Tick " + tickSize + " " + secId + " Clearing data from " + list.Count + " to " + clearToSize);
var ticks = list.GetAll();
var newTicks = ticks.Skip(ticks.Count - clearToSize);
list.RemoveAll();
list.AddRange(newTicks);
}
}
private static void SaveRawTicks(object state)
{
while (true)
{
try
{
IList <Quote> quotes = new List <Quote>();
while (!myApp.QueueQuotesForRawTick.IsEmpty)
{
Quote obj;
var tryDequeue = myApp.QueueQuotesForRawTick.TryDequeue(out obj);
quotes.Add(obj);
}
if (quotes.Count > 0)
{
var quoteGroups = quotes.GroupBy(o => o.Id).ToList();
var dtBeginSave = DateTime.Now;
var count = 0;
//var entitiesToSaveToDB = new List<QuoteHistory>();
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisTickClient = redisClient.As <Tick>();
foreach (var quoteGroup in quoteGroups)
{
if (!myApp.ProdDefs.ContainsKey(quoteGroup.Key)) //no product definition
{
YJYGlobal.LogLine("SaveRawTicks: no prodDef. tick ignored " + quoteGroup.Key);
continue;
}
var prodDef = myApp.ProdDefs[quoteGroup.Key];
if (prodDef.QuoteType != enmQuoteType.Open &&
prodDef.QuoteType != enmQuoteType.PhoneOnly) //not open not phoneOnly
{
YJYGlobal.LogLine("\tSaveRawTicks: prod not opening. tick ignored. " + prodDef.Id + " " +
prodDef.Name);
continue;
}
var list =
redisTickClient.Lists[Ticks.GetTickListNamePrefix(TickSize.Raw) + quoteGroup.Key];
var ticksToAdd =
quoteGroup.Select(o => new Tick {
P = Quotes.GetLastPrice(o), T = o.Time
})
.OrderBy(o => o.T)
.ToList();
list.AddRange(ticksToAdd);
count++;
//clear history to prevent data size get too big
var clearWhenSize = Ticks.GetClearWhenSize(TickSize.Raw);
var clearToSize = Ticks.GetClearToSize(TickSize.Raw);
if (list.Count > clearWhenSize)
{
YJYGlobal.LogLine("Raw Ticks " + quoteGroup.Key + " Clearing data from " +
list.Count + " to " + clearToSize);
var ticks = list.GetAll();
var newTicks = ticks.Skip(ticks.Count - clearToSize);
list.RemoveAll();
list.AddRange(newTicks);
}
}
}
YJYGlobal.LogLine("\t" + TickSize.Raw + " Ticks " + count + "/" + quoteGroups.Count + "/" +
quotes.Count + " " + " Time: " +
quotes.Min(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) + " ~ " +
quotes.Max(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) +
" Saved to Redis " + (DateTime.Now - dtBeginSave).TotalMilliseconds);
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
Thread.Sleep(_intervalRawTicks);
}
}