/// <summary>
/// 將設定檔轉換為 InstrumentDataRequest 列表的格式
/// </summary>
/// <param name="requests">RequestSetting 陣列</param>
/// <returns>返回值: InstrumentDataRequest 列表</returns>
public static List<InstrumentDataRequest> Convert(RequestSetting[] requests) {
List<InstrumentDataRequest> cResult = new List<InstrumentDataRequest>();
foreach (RequestSetting cRequest in requests) {
string[] sPeriods = cRequest.DataPeriod.Split(',');
int iPeriodSize = int.Parse(sPeriods[0]);
EResolution cResolution = (EResolution) Enum.Parse(typeof(EResolution), sPeriods[1]);
InstrumentDataRequest cDataRequest = new InstrumentDataRequest() {
Exchange = cRequest.Exchange,
DataFeed = cRequest.DataFeed,
Resolution = new Resolution(cResolution, iPeriodSize),
Symbol = cRequest.SymbolId
};
string[] sParams = cRequest.Range.Split(',');
string sMode = sParams[0];
string[] sArgs = sParams[1].Split(';');
switch (sMode) {
case "barsBack":
cDataRequest.Range = DataRequest.CreateBarsBack(DateTime.Parse(sArgs[0]), int.Parse(sArgs[1]));
break;
case "daysBack":
cDataRequest.Range = DataRequest.CreateDaysBack(DateTime.Parse(sArgs[0]), int.Parse(sArgs[1]));
break;
case "fromTo":
cDataRequest.Range = DataRequest.CreateFromTo(DateTime.Parse(sArgs[0]), DateTime.Parse(sArgs[1]));
break;
}
cResult.Add(cDataRequest);
}
return cResult;
}
internal DataAdapter(InstrumentDataRequest request) {
__cCookies = new CookieContainer();
int iCount = request.Range.Count;
__cSeries = new SeriesSymbolData(request);
__cSeries.onRequest += SeriesSymbolData_onRequest;
__cSeries.OnRequest(new DataRequestEvent(iCount, iCount, 1)); //請求歷史資料
__cSeries.MergeTicks(); //合併即時Tick資訊
}
/// <summary>
/// 建立指定的時間週期 SeriesSymbolData 列表
/// </summary>
/// <param name="dataRequest">InstrumentDataRequest 類別</param>
/// <returns>返回值: SeriesSymbolData 類別</returns>
internal SeriesSymbolData Create(InstrumentDataRequest dataRequest) {
int iTotalSeconds = dataRequest.Resolution.TotalSeconds;
SeriesSymbolData cBaseSeries = GetSeries(((iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? Resolution.MIN_BASE_TOTALSECONDS : Resolution.MAX_BASE_TOTALSECONDS));
SeriesSymbolData cTargetSeries = cBaseSeries.CreateSeries(dataRequest);
this.Add(cTargetSeries);
int iCount = dataRequest.Range.Count;
cTargetSeries.OnRequest(new DataRequestEvent(iCount, iCount, cTargetSeries.DataRequest.Resolution.Rate));
return cTargetSeries;
}
/// <summary>
/// 取得開高低收資訊列表
/// </summary>
/// <param name="dataRequest">資料請求結構</param>
/// <returns>返回值: SeriesSymbolData 類別</returns>
public SeriesSymbolData GetSeries(InstrumentDataRequest dataRequest) {
SeriesStorage cStorage = null;
string sLSymbolId = dataRequest.Symbol.ToLower();
lock (__cStorages) {
if (!__cStorages.TryGetValue(sLSymbolId, out cStorage)) {
DataAdapter cAdapter = LoadAdapter(dataRequest);
if (cAdapter.Series == null) {
return null; //表示沒有檔案
} else {
cStorage = new SeriesStorage(16);
cStorage.Add(cAdapter.Series);
__cStorages.Add(sLSymbolId, cStorage);
}
}
}
int iTotalSeconds = dataRequest.Resolution.TotalSeconds;
SeriesSymbolData cSeries = cStorage.GetSeries(iTotalSeconds);
if (cSeries == null) {
int iBaseSeconds = (iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? Resolution.MIN_BASE_TOTALSECONDS : Resolution.MAX_BASE_TOTALSECONDS;
cSeries = cStorage.GetSeries(iBaseSeconds);
if (cSeries == null) {
DataAdapter cAdapter = LoadAdapter(dataRequest);
if (cAdapter.Series != null) {
cSeries = cAdapter.Series;
cStorage.Add(cSeries);
}
}
if (iBaseSeconds != iTotalSeconds) {
cSeries = cStorage.Create(dataRequest);
}
}
return cSeries;
}
private DataAdapter LoadAdapter(InstrumentDataRequest dataRequest) {
dataRequest.Resolution = Resolution.GetBaseValue(dataRequest.Resolution);
DataAdapter cAdapter = new DataAdapter(dataRequest);
SeriesSymbolData cSeries = cAdapter.Series;
if (cSeries == null) {
return null;
}
if (!cSeries.DataRequest.Range.IsAlreadyRequestAllData) {
cAdapter.onCompleted += DataAdapter_onCompleted;
string sLSymbolId = dataRequest.Symbol.ToLower();
int iTotalSeconds = cSeries.DataRequest.Resolution.TotalSeconds;
if (iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) {
lock (__cMinBases) {
if (!__cMinBases.ContainsKey(sLSymbolId)) {
__cMinBases.Add(sLSymbolId, cAdapter);
}
}
} else {
lock (__cDayBases) {
if (!__cDayBases.ContainsKey(sLSymbolId)) {
__cDayBases.Add(sLSymbolId, cAdapter);
}
}
}
}
return cAdapter;
}
internal SeriesSymbolData CreateSeries(InstrumentDataRequest dataRequest) {
return new SeriesSymbolData(dataRequest, __cSettings);
}
internal SeriesSymbolData(InstrumentDataRequest dataRequest, InstrumentSettings settings = null) {
this.Indexer = new SeriesIndexer();
__cDataRequest = dataRequest;
__cSettings = ((settings == null) ? new InstrumentSettings(ref __cDataRequest) : settings.Create(ref __cDataRequest));
__cUpdateTime = DateTime.UtcNow.AddHours(__cSettings.TimeZone);
SessionObject cSession = __cSettings.GetSessionFromToday();
__iRealtimeCount = (int) ((cSession.GetCloseTimeForDaylight() - cSession.GetStartTimeForDaylight()).TotalSeconds / dataRequest.Resolution.TotalSeconds + 1);
Indexer.HistoryIndex = 0;
Indexer.RealtimeIndex = -1;
__cOpens = new Series<double>(__iRealtimeCount);
__cOpens.onRequest += Series_onRequest;
__cHighs = new Series<double>(__iRealtimeCount);
__cHighs.onRequest += Series_onRequest;
__cLows = new Series<double>(__iRealtimeCount);
__cLows.onRequest += Series_onRequest;
__cCloses = new Series<double>(__iRealtimeCount);
__cCloses.onRequest += Series_onRequest;
__cTimes = new Series<DateTime>(__iRealtimeCount);
__cTimes.onRequest += Series_onRequest;
__cVolumes = new Series<double>(__iRealtimeCount);
__cVolumes.onRequest += Series_onRequest;
__cDataRequest.Range.Count = 0; //將資料筆數設定為0(因為一開始沒有請求任何資訊)
}
/// <summary>
/// 根據設定資訊調整 InstrumentDataRequest 設定並回傳目前的設定類別
/// </summary>
/// <param name="request">InstrumentDataRequest類別</param>
/// <returns>回傳值: 目前的 InstrumentSettings類別</returns>
public InstrumentSettings Create(ref InstrumentDataRequest request) {
SessionObject cSession = GetSessionFromToday();
DataRequestType cRequestType = request.Range.RequestType;
request.Resolution.CalculateRate(cSession.GetStartTimeForDaylight(), cSession.GetCloseTimeForDaylight(), __cProperty.Sessions.Count);
if (cRequestType == DataRequestType.DaysBack || cRequestType == DataRequestType.FromTo) {
request.Range.Count = request.Resolution.ConvertDaysToBars(request.Range.Count);
}
return this;
}
/// <summary>
/// 建構子
/// </summary>
/// <param name="request">InstrumentDataRequest類別</param>
public InstrumentSettings(ref InstrumentDataRequest request) {
AbstractExchange cExchange = ProductManager.Manager.GetExchange(request.Exchange);
__sSymbolId = request.Symbol;
__sExchange = request.Exchange;
__sDataSource = request.DataFeed;
__dTimeZone = cExchange.TimeZone;
__cProduct = cExchange.GetProduct(__sSymbolId);
__cProperty = cExchange.GetProperty(__sSymbolId, __sDataSource);
if (__cProperty != null) {
__cOptionType = __cProperty.GetCallOrPut(__cProduct); //取得選擇權 Call or Put 類型
__dStrikePrice = __cProperty.GetStrikePrice(__cProduct); //取得選擇權履約價格
//取得合約到期日索引值
IContractTime cContractTime = __cProperty.ContractRule as IContractTime;
if (cContractTime != null) {
__iContractIndex = cContractTime.GetContractIndex(__sSymbolId);
}
}
this.Create(ref request);
__cResolution = request.Resolution;
}