public DepthTick GetLevelObject(PbTick tick, int level)
{
if (level <= 0)
{
throw new InvalidOperationException("the level must be gt zero");
}
DepthTick from_last = null;
DepthTick from_next = null;
from_last = null;
from_next = tick.Depth1_3;
while (level > 0)
{
if (from_next == null)
{
return(null);
}
from_last = from_next;
from_next = from_next.Next;
level -= 3;
}
return(from_last);
}
public void SetClose(PbTick tick, double price)
{
if (tick.Bar == null)
{
tick.Bar = new BarInfo();
}
SetClose(tick.Bar, price);
}
public void SetBarSize(PbTick tick, int barSize)
{
if (tick.Bar == null)
{
tick.Bar = new BarInfo();
}
SetBarSize(tick.Bar, barSize);
}
public void SetSettlementPrice(PbTick tick, double price)
{
if (tick.Static == null)
{
tick.Static = new StaticInfo();
}
SetSettlementPrice(tick.Static, price);
}
public void SetUpperLimitPrice(PbTick tick, double price)
{
if (tick.Static == null)
{
tick.Static = new StaticInfo();
}
SetUpperLimitPrice(tick.Static, price);
}
public string GetSymbol(PbTick tick)
{
if (tick.Static == null)
{
return(null);
}
return(tick.Static.Symbol);
}
public string GetExchange(PbTick tick)
{
if (tick.Static == null)
{
return(null);
}
return(tick.Static.Exchange);
}
/// <summary>
/// 支持同时写向多个Stream
/// 这样，只要有Tick来了，可以将转码后的小数据同时放在FileStream和MemoryStream.
/// MemoryStream可以用来网络传输
/// </summary>
/// <param name="data"></param>
/// <param name="dest"></param>
public PbTick Write(PbTick data, params Stream[] dest)
{
PbTick diff = Codec.Diff(_lastWrite, data);
_lastWrite = data;
foreach (var d in dest)
{
ProtoBuf.Serializer.SerializeWithLengthPrefix<PbTick>(d, diff, PrefixStyle.Base128);
}
return diff;
}
/// <summary>
/// 支持同时写向多个Stream
/// 这样，只要有Tick来了，可以将转码后的小数据同时放在FileStream和MemoryStream.
/// MemoryStream可以用来网络传输
/// </summary>
/// <param name="data"></param>
/// <param name="dest"></param>
public PbTick Write(PbTick data, params Stream[] dest)
{
var diff = Codec.Diff(_lastWrite, data);
_lastWrite = data;
foreach (var d in dest)
{
ProtoBuf.Serializer.SerializeWithLengthPrefix <PbTick>(d, diff, PrefixStyle.Base128);
}
return(diff);
}
/// <summary>
/// 可以同时得到原始的raw和解码后的数据
/// </summary>
/// <param name="source"></param>
/// <param name="raw"></param>
/// <returns></returns>
public PbTick ReadOne(Stream source)
{
PbTick raw = ProtoBuf.Serializer.DeserializeWithLengthPrefix<PbTick>(source, PrefixStyle.Base128);
if (raw == null)
return null;
_lastRead = Codec.Restore(_lastRead, raw);
if (_lastRead.Config.Version != 1)
{
throw new ProtobufDataZeroException("only support pd0 file version 1", _lastRead.Config.Version, 1);
}
return _lastRead;
}
public void SetExchange(PbTick tick, string val)
{
if (string.IsNullOrWhiteSpace(val))
{
return;
}
if (tick.Static == null)
{
tick.Static = new StaticInfo();
}
tick.Static.Exchange = val;
}
/// <summary>
/// 可以同时得到原始的raw和解码后的数据
/// </summary>
/// <param name="source"></param>
/// <param name="raw"></param>
/// <returns></returns>
public PbTick ReadOne(Stream source, bool unpackDepth = true)
{
var raw = ProtoBuf.Serializer.DeserializeWithLengthPrefix <PbTick>(source, PrefixStyle.Base128);
if (raw == null)
{
return(null);
}
_lastRead = Codec.Restore(_lastRead, raw, unpackDepth);
if (_lastRead.Config.Version != 1)
{
throw new ProtobufDataZeroException("only support pd0 file version 1", _lastRead.Config.Version, 1);
}
return(_lastRead);
}
public void TestGetSetPrice()
{
var codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
PbTick tick = new PbTick();
Assert.AreEqual(0, codec.GetBidPrice(tick, 1));
Assert.AreEqual(0, codec.GetBidPrice(tick, 4));
Assert.AreEqual(0, codec.GetBidPrice(tick, 10));
codec.SetBidPrice(tick, 1, 1.0);
codec.SetBidPrice(tick, 4, 2.4);
codec.SetBidPrice(tick, 10, 5.8);
Assert.AreEqual(1, codec.GetBidPrice(tick, 1));
Assert.AreEqual(2.4, codec.GetBidPrice(tick, 4));
Assert.AreEqual(5.8, codec.GetBidPrice(tick, 10));
Assert.AreEqual(0, codec.GetAskPrice(tick, 1));
Assert.AreEqual(0, codec.GetAskPrice(tick, 4));
Assert.AreEqual(0, codec.GetAskPrice(tick, 10));
codec.SetAskPrice(tick, 1, -1.0);
codec.SetAskPrice(tick, 4, 2.4);
codec.SetAskPrice(tick, 10, -5.8);
Assert.AreEqual(-1.0, codec.GetAskPrice(tick, 1));
Assert.AreEqual(2.4, codec.GetAskPrice(tick, 4));
Assert.AreEqual(-5.8, codec.GetAskPrice(tick, 10));
codec.SetAskCount(tick, 1, 4);
codec.SetAskCount(tick, 4, 5);
codec.SetAskCount(tick, 10, -9);
Assert.AreEqual<double>(4, codec.GetAskCount(tick, 1));
Assert.AreEqual<double>(5, codec.GetAskCount(tick, 4));
Assert.AreEqual<double>(-9, codec.GetAskCount(tick, 10));
codec.SetSettlementPrice(tick, 1234.56);
Assert.AreEqual(1234.56, codec.GetSettlementPrice(tick), "SettlementPrice");
codec.SetTurnover(tick, 4567.8);
Assert.AreEqual(4567.8, codec.GetTurnover(tick), "Turnover");
}
public List <PbTick> Restore(IEnumerable <PbTick> list, bool unpackDepth = true)
{
if (list == null)
{
return(null);
}
var _list = new List <PbTick>();
PbTick last = null;
foreach (var item in list)
{
last = Restore(last, item, unpackDepth);
_list.Add(last);
}
return(_list);
}
public List <PbTick> Restore(IEnumerable <PbTick> list)
{
if (list == null)
{
return(null);
}
List <PbTick> _list = new List <PbTick>();
PbTick last = null;
foreach (var item in list)
{
last = Restore(last, item);
_list.Add(last);
}
return(_list);
}
public void TestConvertDateTime()
{
var span = new TimeSpan(0, 12, 34, 56, 789);
int time = 123456;
int ms = 789;
int hhmm_____ = 0;
int ____ssf__ = 0;
int _______ff = 0;
var codec = new PbTickCodec();
codec.SetUpdateTime(span, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual(1234, hhmm_____);
Assert.AreEqual(567, ____ssf__);
Assert.AreEqual(89, _______ff);
codec.SetUpdateTime(time, ms, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual(1234, hhmm_____);
Assert.AreEqual(567, ____ssf__);
Assert.AreEqual(89, _______ff);
codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff, out time, out ms);
Assert.AreEqual(123456, time);
Assert.AreEqual(789, ms);
span = codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff);
Assert.AreEqual(0, span.Days);
Assert.AreEqual(12, span.Hours);
Assert.AreEqual(34, span.Minutes);
Assert.AreEqual(56, span.Seconds);
Assert.AreEqual(789, span.Milliseconds);
var date1 = 20141104;
var date2 = 20141105;
var tick = new PbTick();
codec.SetActionDay(tick, new DateTime(2014, 11, 4));
codec.SetTradingDay(tick, new DateTime(2014, 11, 5));
Assert.AreEqual(date1, tick.ActionDay);
Assert.AreEqual(date2, tick.TradingDay);
Assert.AreEqual(new DateTime(2014, 11, 4), codec.GetDateTime(tick.ActionDay));
Assert.AreEqual(new DateTime(2014, 11, 5), codec.GetDateTime(tick.TradingDay));
}
public List <PbTick> Diff(IEnumerable <PbTick> list)
{
if (list == null)
{
return(null);
}
List <PbTick> _list = new List <PbTick>();
PbTick last = null;
foreach (var item in list)
{
PbTick diff = Diff(last, item);
last = item;
_list.Add(diff);
}
return(_list);
}
public void SetAskPrice(PbTick tick, int level, double price)
{
var next = CreateLevelObject(tick, level);
switch (level % 3)
{
case 1:
next.AskPrice1 = PriceToTick(price);
break;
case 2:
next.AskPrice2 = PriceToTick(price);
break;
case 0:
next.AskPrice3 = PriceToTick(price);
break;
}
}
public void SetAskSize(PbTick tick, int level, int size)
{
var next = CreateLevelObject(tick, level);
switch (level % 3)
{
case 1:
next.AskSize1 = size;
break;
case 2:
next.AskSize2 = size;
break;
case 0:
next.AskSize3 = size;
break;
}
}
public void SetAskCount(PbTick tick, int level, int count)
{
var next = CreateLevelObject(tick, level);
switch (level % 3)
{
case 1:
next.AskCount1 = count;
break;
case 2:
next.AskCount2 = count;
break;
case 0:
next.AskCount3 = count;
break;
}
}
public PbTick Double2Int(PbTickView tick)
{
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.Depth1_3 = Double2Int(tick.Depth1_3);
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);
return(field);
}
public int GetAskCount(PbTick tick, int level)
{
var next = GetLevelObject(tick, level);
if (next == null)
{
return(0);
}
switch (level % 3)
{
case 1:
return(next.AskCount1);
case 2:
return(next.AskCount2);
case 0:
return(next.AskCount3);
}
return(0);
}
public int GetBidSize(PbTick tick, int level)
{
var next = GetLevelObject(tick, level);
if (next == null)
{
return(0);
}
switch (level % 3)
{
case 1:
return(next.BidSize1);
case 2:
return(next.BidSize2);
case 0:
return(next.BidSize3);
}
return(0);
}
public PbTickView Int2Double(PbTick tick)
{
if (tick == null)
{
return(null);
}
var field = new PbTickView();
// 利用此机会设置TickSize
if (Codec == null)
{
Codec = new PbTickCodec();
}
field.Config = Int2Double(tick.Config);
Codec.Config = tick.Config;
field.Turnover = Codec.GetTurnover(tick);
field.AveragePrice = Codec.GetAveragePrice(tick);
field.LastPrice = Codec.TickToPrice(tick.LastPrice);
field.Depth1_3 = Int2Double(tick.Depth1_3);
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 = Int2Double(tick.Bar);
field.Static = Int2Double(tick.Static);
field.Split = Int2Double(tick.Split);
return(field);
}
public double GetAskPrice(PbTick tick, int level)
{
var next = GetLevelObject(tick, level);
if (next == null)
{
return(0);
}
switch (level % 3)
{
case 1:
return(TickToPrice(next.AskPrice1));
case 2:
return(TickToPrice(next.AskPrice2));
case 0:
return(TickToPrice(next.AskPrice3));
}
return(0);
}
public void SetAveragePrice(PbTick tick, double price)
{
tick.AveragePrice = PriceToTick(price * _config.AveragePriceMultiplier);
}
public void SetTurnover(PbTick tick, double val)
{
tick.Turnover = (long)(val / _config.TurnoverMultiplier);
}
public long GetVolume(PbTick tick)
{
return(tick.Volume);
}
public void GetUpdateTime(PbTick tick, out int time, out int ms)
{
GetUpdateTime(tick.Time_HHmm, tick.Time_____ssf__, tick.Time________ff, out time, out ms);
}
public void SetLastPrice(PbTick tick, double price)
{
tick.LastPrice = PriceToTick(price);
}
public DateTime GetTradingDayDateTime(PbTick tick)
{
return GetDateTime(tick.TradingDay) + GetUpdateTime(tick);
}
public double GetAskPrice(PbTick tick, int level)
{
var next = GetLevelObject(tick, level);
if (next == null)
return 0;
switch (level % 3)
{
case 1:
return TickToPrice(next.AskPrice1);
case 2:
return TickToPrice(next.AskPrice2);
case 0:
return TickToPrice(next.AskPrice3);
}
return 0;
}
public int GetAskCount(PbTick tick, int level)
{
var next = GetLevelObject(tick, level);
if (next == null)
return 0;
switch (level % 3)
{
case 1:
return next.AskCount1;
case 2:
return next.AskCount2;
case 0:
return next.AskCount3;
}
return 0;
}
public long GetOpenInterest(PbTick tick)
{
return tick.OpenInterest;
}
/// <summary>
/// 传入两个tick得到tick的差分
/// </summary>
/// <param name="prev"></param>
/// <param name="current"></param>
/// <returns></returns>
public PbTick Diff(PbTick prev, PbTick current)
{
if (prev == null)
{
if (current.Config == null)
throw new Exception("快照的配置不能为空");
// 是快照，直接返回
return current;
}
PbTick tick = new PbTick();
#region 配置数据
// 当前数据为空或前后相同，表示
if(current.Config == null || prev.Config.IsSame(current.Config))
{
tick.Config = null;
// 可以继续下去
}
else
{
// 是新数据，返回快照
_config = current.Config;
TickSize = _config.GetTickSize();
return current;
}
#endregion
// 先取最关键的数据，因为前一条的config总会补成有效
_config = prev.Config;
TickSize = _config.GetTickSize();
tick.LastPrice = current.LastPrice - prev.LastPrice;
DepthTick from_last = null;
DepthTick from_next = null;
DepthTick to_last = null;
DepthTick to_next = null;
DepthTick last_last = null;
DepthTick last_next = null;
#region 买1到买N
from_last = null;
from_next = current.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
break;
// 每节的循环
if (from_next.BidSize1 == 0)
break;
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.BidPrice1 = current.LastPrice - from_next.BidPrice1;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.BidPrice1 = from_last.BidPrice3 - from_next.BidPrice1 - 1;
}
if (last_next == null)
{
to_next.BidSize1 = from_next.BidSize1;
to_next.BidCount1 = from_next.BidCount1;
}
else
{
to_next.BidSize1 = from_next.BidSize1 - last_next.BidSize1;
to_next.BidCount1 = from_next.BidCount1 - last_next.BidCount1;
}
if (from_next.BidSize2 == 0)
break;
to_next.BidPrice2 = from_next.BidPrice1 - from_next.BidPrice2 - 1;
if (last_next == null)
{
to_next.BidSize2 = from_next.BidSize2;
to_next.BidCount2 = from_next.BidCount2;
}
else
{
to_next.BidSize2 = from_next.BidSize2 - last_next.BidSize2;
to_next.BidCount2 = from_next.BidCount2 - last_next.BidCount2;
}
if (from_next.BidSize3 == 0)
break;
to_next.BidPrice3 = from_next.BidPrice2 - from_next.BidPrice3 - 1;
if (last_next == null)
{
to_next.BidSize3 = from_next.BidSize3;
to_next.BidCount3 = from_next.BidCount3;
}
else
{
to_next.BidSize3 = from_next.BidSize3 - last_next.BidSize3;
to_next.BidCount3 = from_next.BidCount3 - last_next.BidCount3;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
last_next = last_next.Next;
}
#endregion
#region 卖1到卖N
from_last = null;
from_next = current.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
break;
// 每节的循环
if (from_next.AskSize1 == 0)
break;
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.AskPrice1 = from_next.AskPrice1 - current.LastPrice;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.AskPrice1 = from_next.AskPrice1 - from_last.AskPrice3 - 1;
}
if (last_next == null)
{
to_next.AskSize1 = from_next.AskSize1;
to_next.AskCount1 = from_next.AskCount1;
}
else
{
to_next.AskSize1 = from_next.AskSize1 - last_next.AskSize1;
to_next.AskCount1 = from_next.AskCount1 - last_next.AskCount1;
}
if (from_next.AskSize2 == 0)
break;
to_next.AskPrice2 = from_next.AskPrice2 - from_next.AskPrice1 - 1;
if (last_next == null)
{
to_next.AskSize2 = from_next.AskSize2;
to_next.AskCount2 = from_next.AskCount2;
}
else
{
to_next.AskSize2 = from_next.AskSize2 - last_next.AskSize2;
to_next.AskCount2 = from_next.AskCount2 - last_next.AskCount2;
}
if (from_next.AskSize3 == 0)
break;
to_next.AskPrice3 = from_next.AskPrice3 - from_next.AskPrice2 - 1;
if (last_next == null)
{
to_next.AskSize3 = from_next.AskSize3;
to_next.AskCount3 = from_next.AskCount3;
}
else
{
to_next.AskSize3 = from_next.AskSize3 - last_next.AskSize3;
to_next.AskCount3 = from_next.AskCount3 - last_next.AskCount3;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
last_next = last_next.Next;
}
#endregion
#region 常用行情信息
tick.Volume = current.Volume - prev.Volume;
tick.OpenInterest = current.OpenInterest - prev.OpenInterest;
tick.Turnover = current.Turnover - prev.Turnover;
tick.AveragePrice = current.AveragePrice - prev.AveragePrice;
tick.TradingDay = current.TradingDay - prev.TradingDay;
tick.ActionDay = current.ActionDay - prev.ActionDay;
tick.Time_HHmm = current.Time_HHmm - prev.Time_HHmm;
tick.Time________ff = current.Time________ff - prev.Time________ff;
// 这个地方有区别要减去一个差，将时间再缩小
tick.Time_____ssf__ = current.Time_____ssf__ - prev.Time_____ssf__ - _config.Time_ssf_Diff;
#endregion
#region Bar数据
// Bar数据要进行差分计算
if (current.Bar != null || prev.Bar != null)
{
tick.Bar = new BarInfo();
if (current.Bar == null)
current.Bar = new BarInfo();
if (prev.Bar == null)
prev.Bar = new BarInfo();
tick.Bar.Open = current.Bar.Open - prev.Bar.Open;
tick.Bar.High = current.Bar.High - prev.Bar.High;
tick.Bar.Low = current.Bar.Low - prev.Bar.Low;
tick.Bar.Close = current.Bar.Close - prev.Bar.Close;
tick.Bar.BarSize = current.Bar.BarSize - prev.Bar.BarSize;
if (tick.Bar.IsZero)
tick.Bar = null;
}
#endregion
#region 静态数据
if (current.Static != null || prev.Static != null)
{
tick.Static = new StaticInfo();
if (current.Static == null)
current.Static = new StaticInfo();
if (prev.Static == null)
prev.Static = new StaticInfo();
tick.Static.LowerLimitPrice = current.Static.LowerLimitPrice - prev.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = current.Static.UpperLimitPrice - prev.Static.UpperLimitPrice;
tick.Static.SettlementPrice = current.Static.SettlementPrice - prev.Static.SettlementPrice;
if (!string.Equals(current.Static.Exchange,prev.Static.Exchange))
tick.Static.Exchange = current.Static.Exchange;
if (!string.Equals(current.Static.Symbol, prev.Static.Symbol))
tick.Static.Symbol = current.Static.Symbol;
if (tick.Static.IsZero)
tick.Static = null;
}
#endregion
#region 除权除息数据
// 除权除息数据本来就是稀疏矩阵，不需要做差分
if (current.Split != null)
{
tick.Split = current.Split;
if (tick.Split.IsZero)
tick.Split = null;
}
#endregion
return tick;
}
public void SetOpenInterest(PbTick tick, long val)
{
tick.OpenInterest = val;
}
public double GetLastPrice(PbTick tick)
{
return TickToPrice(tick.LastPrice);
}
public void SetAskSize(PbTick tick, int level, int size)
{
var next = CreateLevelObject(tick, level);
switch (level % 3)
{
case 1:
next.AskSize1 = size;
break;
case 2:
next.AskSize2 = size;
break;
case 0:
next.AskSize3 = size;
break;
}
}
public int GetBidSize(PbTick tick, int level)
{
var next = GetLevelObject(tick, level);
if (next == null)
return 0;
switch (level % 3)
{
case 1:
return next.BidSize1;
case 2:
return next.BidSize2;
case 0:
return next.BidSize3;
}
return 0;
}
public void SetOpen(PbTick tick, double price)
{
if (tick.Bar == null)
tick.Bar = new BarInfo();
SetOpen(tick.Bar, price);
}
public void SetAskPrice(PbTick tick, int level, double price)
{
var next = CreateLevelObject(tick, level);
switch (level % 3)
{
case 1:
next.AskPrice1 = PriceToTick(price);
break;
case 2:
next.AskPrice2 = PriceToTick(price);
break;
case 0:
next.AskPrice3 = PriceToTick(price);
break;
}
}
public void SetUpdateTime(PbTick tick, int Time, int Millisec)
{
SetUpdateTime(Time, Millisec, out tick.Time_HHmm, out tick.Time_____ssf__, out tick.Time________ff);
}
public void SetUpdateTime(PbTick tick, TimeSpan span)
{
SetUpdateTime(span, out tick.Time_HHmm, out tick.Time_____ssf__, out tick.Time________ff);
}
public TimeSpan GetUpdateTime(PbTick tick)
{
return GetUpdateTime(tick.Time_HHmm, tick.Time_____ssf__, tick.Time________ff);
}
public TimeSpan GetUpdateTime(PbTick tick)
{
return(GetUpdateTime(tick.Time_HHmm, tick.Time_____ssf__, tick.Time________ff));
}
public void SetActionDay(PbTick tick, DateTime date)
{
tick.ActionDay = SetDateTime(date);
}
public long GetOpenInterest(PbTick tick)
{
return(tick.OpenInterest);
}
public double GetTurnover(PbTick tick)
{
return tick.Turnover * _config.TurnoverMultiplier;
}
public void GetUpdateTime(PbTick tick, out int time, out int ms)
{
GetUpdateTime(tick.Time_HHmm, tick.Time_____ssf__, tick.Time________ff, out time, out ms);
}
/// <summary>
/// 传入两个tick得到tick的差分
/// </summary>
/// <param name="prev"></param>
/// <param name="current"></param>
/// <returns></returns>
public PbTick Diff(PbTick prev, PbTick current)
{
if (prev == null)
{
if (current.Config == null)
{
throw new Exception("快照的配置不能为空");
}
// 是快照，直接返回
return(current);
}
PbTick tick = new PbTick();
#region 配置数据
// 当前数据为空或前后相同，表示
if (current.Config == null || prev.Config.IsSame(current.Config))
{
tick.Config = null;
// 可以继续下去
}
else
{
// 是新数据，返回快照
_config = current.Config;
TickSize = _config.GetTickSize();
return(current);
}
#endregion
// 先取最关键的数据，因为前一条的config总会补成有效
_config = prev.Config;
TickSize = _config.GetTickSize();
tick.LastPrice = current.LastPrice - prev.LastPrice;
DepthTick from_last = null;
DepthTick from_next = null;
DepthTick to_last = null;
DepthTick to_next = null;
DepthTick last_last = null;
DepthTick last_next = null;
#region 买1到买N
from_last = null;
from_next = current.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
{
break;
}
// 每节的循环
if (from_next.BidSize1 == 0)
{
break;
}
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.BidPrice1 = current.LastPrice - from_next.BidPrice1;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.BidPrice1 = from_last.BidPrice3 - from_next.BidPrice1 - 1;
}
if (last_next == null)
{
to_next.BidSize1 = from_next.BidSize1;
to_next.BidCount1 = from_next.BidCount1;
}
else
{
to_next.BidSize1 = from_next.BidSize1 - last_next.BidSize1;
to_next.BidCount1 = from_next.BidCount1 - last_next.BidCount1;
}
if (from_next.BidSize2 == 0)
{
break;
}
to_next.BidPrice2 = from_next.BidPrice1 - from_next.BidPrice2 - 1;
if (last_next == null)
{
to_next.BidSize2 = from_next.BidSize2;
to_next.BidCount2 = from_next.BidCount2;
}
else
{
to_next.BidSize2 = from_next.BidSize2 - last_next.BidSize2;
to_next.BidCount2 = from_next.BidCount2 - last_next.BidCount2;
}
if (from_next.BidSize3 == 0)
{
break;
}
to_next.BidPrice3 = from_next.BidPrice2 - from_next.BidPrice3 - 1;
if (last_next == null)
{
to_next.BidSize3 = from_next.BidSize3;
to_next.BidCount3 = from_next.BidCount3;
}
else
{
to_next.BidSize3 = from_next.BidSize3 - last_next.BidSize3;
to_next.BidCount3 = from_next.BidCount3 - last_next.BidCount3;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
{
last_next = last_next.Next;
}
}
#endregion
#region 卖1到卖N
from_last = null;
from_next = current.Depth1_3;
to_last = null;
to_next = tick.Depth1_3;
last_last = null;
last_next = prev.Depth1_3;
while (true)
{
// 如果下一步没有数据，直接跳过
if (from_next == null)
{
break;
}
// 每节的循环
if (from_next.AskSize1 == 0)
{
break;
}
// 如果没有上一笔，这个地方就比较特殊
if (from_last == null)
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
tick.Depth1_3 = to_next;
}
to_next.AskPrice1 = from_next.AskPrice1 - current.LastPrice;
}
else
{
// 需要考察目标是否有数据
if (to_next == null)
{
to_next = new DepthTick();
to_last.Next = to_next;
}
to_next.AskPrice1 = from_next.AskPrice1 - from_last.AskPrice3 - 1;
}
if (last_next == null)
{
to_next.AskSize1 = from_next.AskSize1;
to_next.AskCount1 = from_next.AskCount1;
}
else
{
to_next.AskSize1 = from_next.AskSize1 - last_next.AskSize1;
to_next.AskCount1 = from_next.AskCount1 - last_next.AskCount1;
}
if (from_next.AskSize2 == 0)
{
break;
}
to_next.AskPrice2 = from_next.AskPrice2 - from_next.AskPrice1 - 1;
if (last_next == null)
{
to_next.AskSize2 = from_next.AskSize2;
to_next.AskCount2 = from_next.AskCount2;
}
else
{
to_next.AskSize2 = from_next.AskSize2 - last_next.AskSize2;
to_next.AskCount2 = from_next.AskCount2 - last_next.AskCount2;
}
if (from_next.AskSize3 == 0)
{
break;
}
to_next.AskPrice3 = from_next.AskPrice3 - from_next.AskPrice2 - 1;
if (last_next == null)
{
to_next.AskSize3 = from_next.AskSize3;
to_next.AskCount3 = from_next.AskCount3;
}
else
{
to_next.AskSize3 = from_next.AskSize3 - last_next.AskSize3;
to_next.AskCount3 = from_next.AskCount3 - last_next.AskCount3;
}
// 移动到下一个数据块
from_last = from_next;
from_next = from_next.Next;
to_last = to_next;
to_next = to_next.Next;
last_last = last_next;
if (last_next != null)
{
last_next = last_next.Next;
}
}
#endregion
#region 常用行情信息
tick.Volume = current.Volume - prev.Volume;
tick.OpenInterest = current.OpenInterest - prev.OpenInterest;
tick.Turnover = current.Turnover - prev.Turnover;
tick.AveragePrice = current.AveragePrice - prev.AveragePrice;
tick.TradingDay = current.TradingDay - prev.TradingDay;
tick.ActionDay = current.ActionDay - prev.ActionDay;
tick.Time_HHmm = current.Time_HHmm - prev.Time_HHmm;
tick.Time________ff = current.Time________ff - prev.Time________ff;
// 这个地方有区别要减去一个差，将时间再缩小
tick.Time_____ssf__ = current.Time_____ssf__ - prev.Time_____ssf__ - _config.Time_ssf_Diff;
#endregion
#region Bar数据
// Bar数据要进行差分计算
if (current.Bar != null || prev.Bar != null)
{
tick.Bar = new BarInfo();
if (current.Bar == null)
{
current.Bar = new BarInfo();
}
if (prev.Bar == null)
{
prev.Bar = new BarInfo();
}
tick.Bar.Open = current.Bar.Open - prev.Bar.Open;
tick.Bar.High = current.Bar.High - prev.Bar.High;
tick.Bar.Low = current.Bar.Low - prev.Bar.Low;
tick.Bar.Close = current.Bar.Close - prev.Bar.Close;
tick.Bar.BarSize = current.Bar.BarSize - prev.Bar.BarSize;
if (tick.Bar.IsZero)
{
tick.Bar = null;
}
}
#endregion
#region 静态数据
if (current.Static != null || prev.Static != null)
{
tick.Static = new StaticInfo();
if (current.Static == null)
{
current.Static = new StaticInfo();
}
if (prev.Static == null)
{
prev.Static = new StaticInfo();
}
tick.Static.LowerLimitPrice = current.Static.LowerLimitPrice - prev.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = current.Static.UpperLimitPrice - prev.Static.UpperLimitPrice;
tick.Static.SettlementPrice = current.Static.SettlementPrice - prev.Static.SettlementPrice;
if (!string.Equals(current.Static.Exchange, prev.Static.Exchange))
{
tick.Static.Exchange = current.Static.Exchange;
}
if (!string.Equals(current.Static.Symbol, prev.Static.Symbol))
{
tick.Static.Symbol = current.Static.Symbol;
}
if (tick.Static.IsZero)
{
tick.Static = null;
}
}
#endregion
#region 除权除息数据
// 除权除息数据本来就是稀疏矩阵，不需要做差分
if (current.Split != null)
{
tick.Split = current.Split;
if (tick.Split.IsZero)
{
tick.Split = null;
}
}
#endregion
return(tick);
}
public void SetLastPrice(PbTick tick, double price)
{
tick.LastPrice = PriceToTick(price);
}
public DateTime GetActionDayDateTime(PbTick tick)
{
return GetDateTime(tick.ActionDay) + GetUpdateTime(tick);
}
public double GetLastPrice(PbTick tick)
{
return(TickToPrice(tick.LastPrice));
}
public double GetAveragePrice(PbTick tick)
{
return (TickToPrice(tick.AveragePrice) / _config.AveragePriceMultiplier);
}
public void SetVolume(PbTick tick, long val)
{
tick.Volume = val;
}
public void SetAskCount(PbTick tick, int level, int count)
{
var next = CreateLevelObject(tick, level);
switch (level % 3)
{
case 1:
next.AskCount1 = count;
break;
case 2:
next.AskCount2 = count;
break;
case 0:
next.AskCount3 = count;
break;
}
}
public void SetVolume(PbTick tick, long val)
{
tick.Volume = val;
}
public void SetTradingDay(PbTick tick, DateTime date)
{
tick.TradingDay = SetDateTime(date);
}
public static void WriteOne(PbTick tick, Stream stream)
{
ProtoBuf.Serializer.SerializeWithLengthPrefix <PbTick>(stream, tick, PrefixStyle.Base128);
}
public long GetVolume(PbTick tick)
{
return tick.Volume;
}
