private static StockBlockRelationship ParseLine(string line, StockBlockManager manager)
{
if (string.IsNullOrWhiteSpace(line))
{
return(null);
}
var fields = line.Split(_splitter);
if (fields.Length != FieldCount)
{
return(null);
}
StockBlock block = manager.GetStockBlockById(fields[2]);
if (block == null)
{
return(null);
}
return(new StockBlockRelationship
{
StockCode = StockName.NormalizeCode(fields[1]),
BlockName = block.Name
});
}
private static string NormalizeCode(string code)
{
StockExchangeId exchangeId = StockName.GetExchangeId(code);
string prefix = exchangeId == StockExchangeId.ShenzhenExchange ? "sz" : "sh";
return(prefix + code);
}
public TdxBinaryBlockDataReader(string file)
{
if (string.IsNullOrWhiteSpace(file))
{
throw new ArgumentNullException();
}
using (BinaryReader reader = new BinaryReader(new FileStream(file, FileMode.Open, FileAccess.Read)))
{
// skip header
reader.ReadBytes(HeaderSize);
// read the number of blocks
int blockNumber = reader.ReadInt16();
if (blockNumber <= 0)
{
throw new InvalidDataException("block number is not positive number");
}
for (int blockIndex = 0; blockIndex < blockNumber; ++blockIndex)
{
// read block name
var rawBlockName = reader.ReadBytes(BlockNameSize);
var blockName = ConvertRawBytesToString(rawBlockName);
// read # of stocks in the block
var stockNumber = reader.ReadInt16();
if (stockNumber > MaxNumberOfStockInBlock)
{
throw new InvalidDataException("stock number in block exceeds limit");
}
// skip the block level
reader.ReadInt16();
// now read stock code
for (int stockIndex = 0; stockIndex < stockNumber; ++stockIndex)
{
var rawCodes = reader.ReadBytes(StockCodeSize);
var stockCode = ConvertRawBytesToString(rawCodes);
_relationships.Add(
new StockBlockRelationship()
{
StockCode = StockName.NormalizeCode(stockCode),
BlockName = blockName
});
}
// skip empty spaces
if (stockNumber < MaxNumberOfStockInBlock)
{
reader.ReadBytes(StockCodeSize * (MaxNumberOfStockInBlock - stockNumber));
}
}
}
}
/// <summary>
/// Create stock name table from file
/// </summary>
/// <param name="fileName">file that contains the stock names.
/// The file must be UTF-8 encoded, and each line is formated as:
/// code|name1|name2|...
/// </param>
/// <param name="onError">function to handle invalid input line in the file. default value is null.
/// if the value is null, exception will be thrown out when invalid input line is encounted,
/// otherwise, the invalid input line will be passed to the function.
///
/// if the function returns false, no more input lines will be read from file.
/// </param>
public StockNameTable(string fileName, Func <string, bool> onError = null)
{
if (string.IsNullOrEmpty(fileName))
{
throw new ArgumentNullException("fileName");
}
using (StreamReader reader = new StreamReader(fileName, Encoding.UTF8))
{
HashSet <string> existingCodes = new HashSet <string>();
string line;
while ((line = reader.ReadLine()) != null)
{
if (string.IsNullOrWhiteSpace(line))
{
continue;
}
StockName stockName = null;
try
{
stockName = new StockName(line);
// avoid duplicated stock name (two stocks are treated as duplicated iff. their code are the same)
if (existingCodes.Add(stockName.Code))
{
_stockNames.Add(stockName);
}
}
catch
{
if (onError == null)
{
throw;
}
else
{
bool continueProcess = onError(line);
if (!continueProcess)
{
break;
}
}
}
}
}
}
/// <summary>
/// Create stock name table from file
/// </summary>
/// <param name="fileName">file that contains the stock names.
/// The file must be UTF-8 encoded, and each line is formated as:
/// code|name1|name2|...
/// </param>
/// <param name="onError">function to handle invalid input line in the file. default value is null.
/// if the value is null, exception will be thrown out when invalid input line is encounted,
/// otherwise, the invalid input line will be passed to the function.
///
/// if the function returns false, no more input lines will be read from file.
/// </param>
public StockNameTable(string fileName, Func <string, bool> onError = null)
{
if (string.IsNullOrEmpty(fileName))
{
throw new ArgumentNullException("fileName");
}
using (var reader = new StreamReader(fileName, Encoding.UTF8))
{
string line;
while ((line = reader.ReadLine()) != null)
{
if (string.IsNullOrWhiteSpace(line))
{
continue;
}
try
{
StockName stockName = StockName.Parse(line);
// avoid duplicated stock name (two stocks are treated as duplicated iff. their code are the same)
if (!ContainsStock(stockName.Code))
{
AddStock(stockName);
}
}
catch
{
if (onError == null)
{
throw;
}
var continueProcess = onError(line);
if (!continueProcess)
{
break;
}
}
}
}
}
public static StockName Parse(string stockName)
{
if (string.IsNullOrWhiteSpace(stockName))
{
throw new ArgumentNullException("stockName");
}
var fields = stockName.Trim().Split(new[] { '|' }, StringSplitOptions.RemoveEmptyEntries);
if (fields == null || fields.Length == 0)
{
throw new FormatException(string.Format("stock name [{0}] is invalid", stockName));
}
var name = new StockName
{
Code = NormalizeCode(fields[0]),
Names = fields.Length > 1 ? fields.Skip(1).ToArray() : new[] { string.Empty }
};
return(name);
}
public static StockHistoryData LoadFromFile(
string file,
DateTime startDate,
DateTime endDate,
StockNameTable nameTable = null,
long interval = 86400L)
{
if (string.IsNullOrEmpty(file))
{
throw new ArgumentNullException();
}
var inputData = Csv.Load(file, Encoding.UTF8, ",");
if (inputData.RowCount == 0)
{
return(null);
}
var code = StockName.NormalizeCode(inputData[0][0]);
var name =
nameTable != null && nameTable.ContainsStock(code)
? nameTable[code]
: new StockName(code, string.Empty);
// header is code,date,open,highest,lowest,close,volume,amount
var data = new List <Bar>(inputData.RowCount);
var lastInvalidBarTime = DateTime.MinValue;
foreach (var row in inputData.Rows)
{
var date = DateTime.Parse(row[1]);
if (date < startDate || date > endDate)
{
continue;
}
try
{
var dailyData = new Bar
{
Time = DateTime.Parse(row[1]),
OpenPrice = double.Parse(row[2]),
HighestPrice = double.Parse(row[3]),
LowestPrice = double.Parse(row[4]),
ClosePrice = double.Parse(row[5]),
Volume = double.Parse(row[6]),
Amount = double.Parse(row[7])
};
if (dailyData.OpenPrice > 0.0 &&
dailyData.ClosePrice > 0.0 &&
dailyData.HighestPrice > 0.0 &&
dailyData.LowestPrice > 0.0)
{
if (Math.Abs(dailyData.Volume) > 1e-6)
{
data.Add(dailyData);
}
}
else
{
if (dailyData.Time > lastInvalidBarTime)
{
lastInvalidBarTime = dailyData.Time;
}
}
}
catch (FormatException)
{
Console.WriteLine("Wrong format: {0} in file {1}", string.Join(",", inputData.Rows), file);
}
}
// remove all data that before last invalidate bar.
var filterData = data
.Where(b => b.Time > lastInvalidBarTime)
.OrderBy(b => b.Time)
.ToArray();
return(new StockHistoryData(name, interval, filterData));
}
public StockHistoryData(StockName name, long intervalInSecond, Bar[] dataOrderByTime)
{
_name = name;
_intervalInSecond = intervalInSecond;
_dataOrderedByTime = dataOrderByTime;
}
public void AddStock(StockName stock)
{
_stockNames.Add(stock);
}
static UntradableObject()
{
untradableObjects = untradableCodes.ToDictionary(s => StockName.NormalizeCode(s), s => new UntradableObject(s));
}
public static string GetBoardIndex(StockBoard board)
{
return(StockName.NormalizeCode(StockBoardIndex.GetBoardIndex(board)));
}
public string GetBoardIndex()
{
return(StockName.GetBoardIndex(Board));
}
public StockHistoryData(StockName name, long intervalInSecond, IEnumerable <Bar> data)
{
_name = name;
_intervalInSecond = intervalInSecond;
_data = data.ToList();
}
