public void AddBid(AAA b)
{
// 由大到小
if (Bids.Count > 1)
{
double diff = Bids[Bids.Count - 1].price - b.price;
if (diff > 0)
{
TickSize = Codec.gcd(TickSize, diff);
}
}
else
{
TickSize = Codec.gcd(TickSize, b.price);
}
Bids.Add(b);
}
public void AddAsk(AAA a)
{
// 由小到大
if (Asks.Count > 1)
{
double diff = a.price - Asks[Asks.Count - 1].price;
if (diff > 0)
{
TickSize = Codec.gcd(TickSize, diff);
}
}
else
{
TickSize = Codec.gcd(TickSize, a.price);
}
Asks.Add(a);
}
public void TestReadCsvLeve3()
{
FileInfo fi = new FileInfo(@"d:\wukan\Desktop\DepthDataShow\20150120.txt");
//FileInfo fo = new FileInfo(@"F:\BaiduYunDownload\DepthDataShow\20150120.pd0");
PbTickSerializer pts = new PbTickSerializer();
CCC ccc = new CCC();
CCC last_ccc = new CCC();
AAA last = new AAA();
last.buy = false;
string last_symbol = "XXX";
List <AAA> list = new List <AAA>();
//using (Stream stream = File.Open(@"F:\BaiduYunDownload\DepthDataShow\20150120.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str;
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
AAA a = new AAA();
a.symbol = arr[1];
a.buy = arr[2] == "0";
a.price = double.Parse(arr[3]);
a.size = int.Parse(arr[4]);
if (last.buy == false && a.buy == true)
{
// 快照的切换点，把上次的存储都取出来，进行保存
// sell里先存的数字大的，后存的数字小的,最后的是卖一
// buy里也是先存数字大的，后存数字小的，最前的买一
//
foreach (var kv in ccc.dict)
{
kv.Value.MakeTick();
ccc.GetSerializer(kv.Key).Write(kv.Value.tick,
new Stream[] { ccc.GetStream(kv.Key) });
}
ccc.dict.Clear();
}
BBB bbb = ccc.Get(a.symbol);
bbb.symbol = a.symbol;
bbb.time = arr[0];
if (bbb.symbol == "cu1502")
{
int nTest = 1;
}
if (a.buy)
{
bbb.AddBid(a);
}
else
{
bbb.AddAsk(a);
}
last = a;
last_symbol = a.symbol;
//if (i < 4000)
// Console.WriteLine(str);
//if (i > 4000)
// break;
} while (str != null);
file.Close();
}
}
}
