public void AddQuoteBasic(IQuoteBasicBase qb, bool isAddToAll, bool isTriggerEvent)
{
lock (this)
{
if (qb != null && qb.Count > 0 && Intervals.Contains(qb.Interval))
{
if (isAddToAll)
{
var index = this.Intervals.FindIndex(i => i == qb.Interval);
var interval = this.Intervals[index];
var quoteId = this.CreateQuote(qb.Symbol, interval);
var num = Quotes[quoteId].Append(qb, isTriggerEvent); //trigger OnQuoteBasicDataAddedOrUpdated
//var num = Quotes[quoteId].Append(qb, false); //do not trigger OnQuoteBasicDataAddedOrUpdated until we add to all quotes
if (num >= 0)
{
var d = this.AddToOtherQuotes(Quotes[quoteId], index + 1, isTriggerEvent);
//QuoteStore_OnDataAddedOrUpdated(this, this.Quotes[quoteId], num);
//foreach (var qId in d.Keys) QuoteStore_OnDataAddedOrUpdated(this, this.Quotes[qId], d[qId]);
}
}
else
{
var quoteId = this.CreateQuote(qb.Symbol, qb.Interval);
var num = Quotes[quoteId].Append(qb, isTriggerEvent);
}
}
}
}
public static void SaveToFile(this IQuoteBasicBase quote, string filename)
{
var writestream = new FileStream(filename, FileMode.Create);
quote.AppendStream(writestream);
writestream.Close();
}
void QuoteStore_OnDataAddedOrUpdated(object sender, IQuoteBasicBase qb, int numAppended)
{
OnQuoteBasicDataAddedOrUpdated?.Invoke(sender, this.Exchange, qb, numAppended);
if (qb.Count > MaxNumCandles * 2)
{
qb.Clear(0, qb.Count - MaxNumCandles - 1);
}
}
public static IQuoteBasicBase LoadFile(this IQuoteBasicBase quote, string filename)
{
var readtream = new FileStream(filename, FileMode.Open);
quote = QuoteBasicBase.InitByStream(readtream);
readtream.Close();
return(quote);
}
/// <summary>
/// 复制IQuoteBasic的内容
/// </summary>
/// <param name="q"></param>
public QuoteBasicBase(IQuoteBasicBase q)
{
Symbol = q.Symbol;
Interval = q.Interval;
Time = new List <long>(q.Time);
Open = new List <double>(q.Open);
Close = new List <double>(q.Close);
High = new List <double>(q.High);
Low = new List <double>(q.Low);
Volume = new List <double>(q.Volume);
}
private Dictionary <string, int> AddToOtherQuotes(IQuoteBasicBase prevQuote, int sindex, bool isTriggerEvent)
{
var addedNumber = new Dictionary <string, int>();
var originQuoteId = prevQuote.QuoteID;
var interval = prevQuote.Interval;
for (int i = sindex; i < this.Intervals.Count; i++)
{
var interv = this.Intervals[i];
if (interv < interval || interv % interval != 0)
{
continue;
}
var quoteId = this.CreateQuote(prevQuote.Symbol, interv);
var num = Quotes[quoteId].Append(prevQuote, isTriggerEvent);
if (num == -1)
{
break;
}
addedNumber.Add(quoteId, num);
prevQuote = Quotes[quoteId];
interval = interv;
}
var q = this.Quotes[originQuoteId];
interval = q.Interval;
for (int i = sindex; i < this.Intervals.Count; i++)
{
var interv = this.Intervals[i];
if (interv <= interval || interv % interval != 0)
{
continue;
}
var quoteId = this.CreateQuote(q.Symbol, interv);
var num = Quotes[quoteId].Append(q, isTriggerEvent);
if (num >= 0)
{
if (!addedNumber.ContainsKey(quoteId))
{
addedNumber.Add(quoteId, 0);
}
addedNumber[quoteId] += num;
}
}
return(addedNumber);
}
private int AddItemByQuoteBasic(IQuoteBasicBase q, int sindex, int eindex)
{
var len = eindex - sindex + 1;
var open = q.Open[sindex];
var close = q.Close[eindex];
var high = q.High.GetRange(sindex, len).Max();
var low = q.Low.GetRange(sindex, len).Min();
var volume = q.Volume.GetRange(sindex, len).Sum();
var time = q.Time[sindex] / this.Interval * this.Interval;
//repeat quote to fill gap
//FillGap(isFillGap, endTime, ref numAddedElement);
return(this.AddUpdate(time, open, high, low, close, volume)); //add the data
}
//file naming convention: exchange_symbol_interval_index.txt
public bool Save(IQuoteBasicBase quote, int numBarsToRemoveGap = -1)
{
lock (this)
{
if (quote == null || quote.Count == 0)
{
return(false);
}
var files = this.FindQuoteFiles(quote.Symbol, quote.Interval);
if (files != null && files.Count > 0)
{
files.Sort();
var q1 = QuoteBasicExension.LoadFile(files.Last());
if (numBarsToRemoveGap > 0)
{
for (int i = Math.Max(0, q1.Count - numBarsToRemoveGap); i < q1.Count - 1; i++)
{
if (q1.Time[i + 1] - q1.Time[i] > q1.Interval)
{
q1.Clear(i + 1, q1.Count - 1);
break;
}
}
}
//var readtream = new FileStream(files.Last(), FileMode.Open);
//var q1 = QuoteBasicBase.InitByStream(readtream);
//readtream.Close();
if (quote.LastTime <= q1.LastTime)
{
return(false);
}
if (q1.Count < _maxNumBarsInFile)
{
var fn = files.Last();
q1.Append(quote);
q1.SaveToFile(fn);
//var writestream = new FileStream(files.Last(), FileMode.Truncate);
//q1.AppendStream(writestream);
//writestream.Close();
OnQuoteSaved?.Invoke(this, this.Exchange, fn);
}
else
{
var last = files.Last().Split('_').Last();
var index = int.Parse(last.Split('.')[0]);
var fn = this.GetQuoteFileName(quote.Symbol, quote.Interval, index + 1);
//var writestream = new FileStream(fn, FileMode.OpenOrCreate);
if (q1.LastTime >= quote.FirstTime) //remove redundant sticks from new files
{
var sind = quote.FindIndexForGivenTime(q1.LastTime);
var q2 = new QuoteBasicBase(quote);
q2.Clear(0, sind);
q2.SaveToFile(fn);
//q2.AppendStream(writestream);
}
else
{
quote.SaveToFile(fn);
//quote.AppendStream(writestream);
}
//writestream.Close();
OnQuoteSaved?.Invoke(this, this.Exchange, fn);
}
}
else
{
var fn = this.GetQuoteFileName(quote.Symbol, quote.Interval, 0);
quote.SaveToFile(fn);
//var writestream = new FileStream(fn, FileMode.OpenOrCreate);
//quote.AppendStream(writestream);
//writestream.Close();
OnQuoteSaved?.Invoke(this, this.Exchange, fn);
}
return(true);
}
}
private void _qbStore_OnQuoteBasicDataAddedOrUpdated(object sender, string exchange, IQuoteBasicBase quote, int numAppended)
{
OnQuoteBasicDataAddedOrUpated?.Invoke(sender, this.Exchange, quote, numAppended);
//var j = quote.Count - numAppended;
//var lst = new List<OHLC>();
//for (int i = j; i < quote.Count; i++)
//{
// var ohlc = new OHLC
// {
// Symbol = quote.Symbol,
// Interval = quote.Interval,
// Time = quote.Time[i],
// Open = quote.Open[i],
// Close = quote.Close[i],
// High = quote.High[i],
// Low = quote.Low[i],
// Volume = quote.Volume[i]
// };
// lst.Add(ohlc);
//}
//OnCandleListReceived?.Invoke(this, this.Exchange, lst);
// save quote
if (!_quoteIdToSave.Contains(quote.QuoteID))
{
_quoteIdToSave.Enqueue(quote.QuoteID);
}
//var utcnow = DateTime.UtcNow.GetUnixTimeFromUTC();
//if (!_lastSaveTime.ContainsKey(quote.QuoteID))
//{
// var t = quote.Interval <= 900 ? utcnow + _random.Next(900) : 0;
// _lastSaveTime.TryAdd(quote.QuoteID, t);
//}
//if (utcnow - _lastSaveTime[quote.QuoteID] > _saveInterval)
//{
// _quoteIdToSave.Enqueue(quote.QuoteID);
// _lastSaveTime[quote.QuoteID] = utcnow;
//}
//if (_quoteIdToSave.Count > 0)
// this.ProcessSaveQuoteBasicQueue();
}
private void TestAddEventInternal(object sender, IQuoteBasicBase quote, int numAppended)
{
throw new Exception();
}
//[0,1,2,4,5)
public int Append(IQuoteBasicBase q, bool isTriggerDataUpdated = false)
{
//no data to add
if (q == null || q.Count <= 0 || q.LastTime < this.LastTime || this.Symbol != q.Symbol || this.Interval < q.Interval || this.Interval % q.Interval != 0)
{
return(0);
}
//search backward for quotes to be added. the found time should be >= this.LastTime
int indexStartSearch = -1;
for (int i = q.Count - 1; i >= 0; i--)
{
if (q.Time[i] < this.LastTime)
{
break;
}
indexStartSearch = i;
}
if (indexStartSearch == -1)
{
return(0);
}
/////////////////////////////////////////////////////////////////////////////////
var numBeforeAdd = this.Count;
var isDataChanged = false;
var numAddedElement = 0;
int sindex = indexStartSearch; // interval区间的开始索引
var eindex = -1;
var endTime = q.Time[sindex] / this.Interval * this.Interval + this.Interval; //use the first time as the data bar time
for (int i = indexStartSearch; i <= q.Count - 1; i++)
{
if (q.Time[i] >= endTime)
{
eindex = i - 1; // interval区间的结束索引
var num = this.AddItemByQuoteBasic(q, sindex, eindex);
if (num >= 0)
{
numAddedElement += num;
isDataChanged = true;
}
sindex = i;
endTime = q.Time[sindex] / this.Interval * this.Interval + this.Interval;
}
}
//add last element
if (sindex > eindex)
{
var num = this.AddItemByQuoteBasic(q, sindex, q.Count - 1);
if (num >= 0)
{
numAddedElement += num;
isDataChanged = true;
}
}
if (isTriggerDataUpdated && isDataChanged)
{
OnDataAddedOrUpdated?.Invoke(this, this, numAddedElement);
}
return(isDataChanged? numAddedElement : -1); //-1 means nothing changed, 0 means updated, >=1 means added
}
