public override void RecordTickGMT(DateTime time, GTickTypeEnum tickType, double price, int volume)
{
sw.WriteLine(time.ToString((useMillisec) ? dateFormatMillisec : dateFormat) + "\t" + (int)tickType + "\t" + price.ToString("G10", CultureInfo.InvariantCulture) + "\t" + volume);
#if FORCEFLUSH
sw.Flush();
#endif
}
public GMarketDataType(DateTime t, GTickTypeEnum tt, double p, int v, GTimeStampStatus b)
{
time = t;
tickType = tt;
price = p;
volume = v;
isNewTimeStamp = b;
}
public bool RecordTick(DateTime dt, GTickTypeEnum tickType, double price, int volume)
{
DateTime newDateTimeGMT = dt.ToUniversalTime();
newDateGMTTicks = newDateTimeGMT.Date.Ticks;
if (((_fileMode == GFileModeType.OnePerDay) && (_writeOK) && (newDateGMTTicks > curDateGMTTicks)) || (curDateGMTTicks == 0))
{
curDateGMTTicks = newDateGMTTicks;
_initWrite();
}
if ((_writeOK) && (newDateTimeGMT.Ticks > _lastTimeInFile))
{
RecordTickGMT(newDateTimeGMT, tickType, price, volume);
}
return(_writeOK);
}
public override void RecordTickGMT(DateTime time, GTickTypeEnum tickType, double price, int volume)
{
bool newMinuteHappened = false;
int newMinute = Int32.Parse(time.ToString("yyMMddHHmm"));
if (newMinute != _lastMinute)
{
Byte n1 = checked ((Byte)1 << 6);
n1 += checked ((Byte)(newMinute % 61));
bw.Write(n1);
UInt32 n2 = checked ((UInt32)newMinute);
bw.Write(n2);
UInt32 n3 = checked (Convert.ToUInt32(price / tickSize));
bw.Write(n3);
_lastMinute = newMinute;
_pivotPrice = price;
newMinuteHappened = true;
}
int nextTimeStamp = time.Second * 1000 + time.Millisecond;
if ((nextTimeStamp != _lastTimeStamp) || newMinuteHappened)
{
WriteData(nextTimeStamp, tickType, price, volume, true);
_lastTimeStamp = nextTimeStamp;
}
else
{
WriteData(nextTimeStamp, tickType, price, volume, false);
}
#if FORCEFLUSH
bw.Flush();
#endif
}
public override void RecordTickGMT(DateTime time, GTickTypeEnum tickType, double price, int volume)
{
bool newMinuteHappened = false;
int newMinute = (time.Year - 2000) * 100000000 + time.Month * 1000000 + time.Day * 10000 + time.Hour * 100 + time.Minute;
if (newMinute != _lastMinute)
{
Byte n1 = checked ((Byte)1 << 6);
n1 += checked ((Byte)(newMinute % 61));
bw.Write(n1);
UInt32 n2 = checked ((UInt32)newMinute);
bw.Write(n2);
UInt32 n3 = checked (Convert.ToUInt32(price / tickSize));
bw.Write(n3);
_lastMinute = newMinute;
_pivotPrice = price;
newMinuteHappened = true;
}
if ((time.Second != _lastSecond) || newMinuteHappened)
{
WriteData(time.Second, tickType, price, volume, true);
_lastSecond = time.Second;
}
else
{
WriteData(time.Second, tickType, price, volume, false);
}
#if FORCEFLUSH
bw.Flush();
#endif
}
public void WriteData(int timestamp, GTickTypeEnum tickType, double price, int volume, bool withsecond)
{
Byte statbyte;
ushort sec;
int diff;
if (withsecond)
{
statbyte = 3 << 6;
}
else
{
statbyte = 2 << 6;
}
statbyte += checked ((Byte)((int)tickType << 3));
diff = Convert.ToInt32(((price - _pivotPrice) / tickSize));
if (diff >= -8 && diff <= +7 && volume <= 15)
{
statbyte += 7;
}
else
{
if ((diff > SByte.MaxValue) || (diff < SByte.MinValue))
{
statbyte += 1 << 2;
}
if (volume > UInt16.MaxValue)
{
statbyte += 2;
}
else if (volume > Byte.MaxValue)
{
statbyte += 1;
}
}
bw.Write(statbyte);
if (withsecond)
{
sec = checked ((UInt16)(timestamp));
bw.Write(sec);
}
if (diff >= -8 && diff <= +7 && volume <= 15)
{
SByte res = checked ((SByte)((SByte)(diff << 4) + volume));
bw.Write(res);
}
else
{
if ((diff > SByte.MaxValue) || (diff < SByte.MinValue))
{
Int16 res = checked ((Int16)diff);
bw.Write(res);
}
else
{
SByte res = checked ((SByte)diff);
bw.Write(res);
}
if (volume > UInt16.MaxValue)
{
Int32 res = checked ((Int32)volume);
bw.Write(res);
}
else if (volume > Byte.MaxValue)
{
UInt16 res = checked ((UInt16)volume);
bw.Write(res);
}
else
{
Byte res = checked ((Byte)volume);
bw.Write(res);
}
}
_pivotPrice = price;
}
virtual public void RecordTickGMT(DateTime date, GTickTypeEnum tickType, double price, int volume)
{
}
protected virtual void GOnMarketDataWithTime(DateTime tickTime, GTickTypeEnum tickType, double price, int volume, bool firstTickOfBar)
{
}
protected virtual void GOnMarketData(GTickTypeEnum tickType, double price, int volume, bool firstTickOfBar)
{
}
protected virtual void GOnMarketData(GTickTypeEnum tickType, double price, int volume)
{
}
private int _CalcDelta(GTickTypeEnum tickType, double price, int volume, GCDCalculationModeType calcmode, bool backupmode, int filtersize, GFilterModeType filtermode)
{
int delta = 0;
int direction = _lastDirection;
if ((calcmode == GCDCalculationModeType.BidAsk) && (tickType != GTickTypeEnum.Unknown) && (tickType != GTickTypeEnum.BetweenBidAsk))
{
if ((tickType == GTickTypeEnum.BelowBid) || (tickType == GTickTypeEnum.AtBid))
{
delta = -volume;
}
else if ((tickType == GTickTypeEnum.AboveAsk) || (tickType == GTickTypeEnum.AtAsk))
{
delta = volume;
}
}
else if (calcmode == GCDCalculationModeType.UpDownTick)
{
if (_lastPrice != 0)
{
if (price > _lastPrice)
{
delta = volume;
}
if (price < _lastPrice)
{
delta = -volume;
}
}
}
else if ((calcmode == GCDCalculationModeType.UpDownTickWithContinuation) || (calcmode == GCDCalculationModeType.UpDownOneTickWithContinuation) || ((calcmode == GCDCalculationModeType.BidAsk) && (backupmode == true)))
{
if (price > _lastPrice) //normal uptick/dn tick
{
direction = 1;
}
else if (price < _lastPrice)
{
direction = -1;
}
if (calcmode == GCDCalculationModeType.UpDownOneTickWithContinuation)
{
delta = direction;
}
else
{
delta = direction * volume;
}
}
// added
else if ((calcmode == GCDCalculationModeType.Hybrid))
{
if (price > _lastPrice) //normal uptick/dn tick
{
direction = 1;
//price changed, we reinit the startlookingforreversal bool.
_startLookingForReversal = false;
}
else if (price < _lastPrice)
{
direction = -1;
_startLookingForReversal = false;
}
if (!_startLookingForReversal)
{
if (direction == 1)
{
//if going up, we want to be hitting bid to be able to start to spot reversals (hitting the ask)
_startLookingForReversal = (tickType == GTickTypeEnum.AtBid) || (tickType == GTickTypeEnum.BelowBid);
}
else
{
_startLookingForReversal = (tickType == GTickTypeEnum.AtAsk) || (tickType == GTickTypeEnum.AboveAsk);
}
}
//what happens when price is same
if (price == _lastPrice)
{
//if going up, and we have already hit the bid (startlookingforreversal is true) at a price level,
// and start hitting the ask, let's reverse
if ((direction == 1) && _startLookingForReversal && ((tickType == GTickTypeEnum.AtAsk) || (tickType == GTickTypeEnum.BetweenBidAsk)))
{
direction = -1;
}
else if ((direction == -1) && _startLookingForReversal && ((tickType == GTickTypeEnum.AtBid) || (tickType == GTickTypeEnum.BetweenBidAsk)))
{
direction = 1; //buyers take control of ask
}
}
delta = direction * volume;
}
_lastPrice = price;
_lastDirection = direction;
if ((filtermode == GFilterModeType.OnlyLargerThan) && (volume <= filtersize))
{
delta = 0;
}
if ((filtermode == GFilterModeType.OnlySmallerThan) && (volume >= filtersize))
{
delta = 0;
}
return(delta);
}
protected int CalcDelta(GTickTypeEnum tickType, double price, int volume)
{
return(_CalcDelta(tickType, price, volume, _calcMode, _backupMode, _filterSize, _filterMode));
}
