public QuantBox.Data.Serializer.V2.PbTick Next()
{
if (HasNext)
{
var tick = Serializer.ReadOne(_stream);
SetStep();
Codec.Config = tick.Config;
Codec.TickSize = tick.Config.GetTickSize();
return(tick);
}
return(null);
}
public void ReadFile(int instrumentId, string path)
{
Bars = new BarSeries();
Trades = new TickSeries();
Asks = new TickSeries();
Bids = new TickSeries();
PbTickSerializer pts = new PbTickSerializer();
PbTick restore = null;
using (Stream stream = File.OpenRead(path))
{
while (true)
{
restore = pts.ReadOne(stream);
if (restore == null)
{
break;
}
Trade t = new Trade();
t.InstrumentId = instrumentId;
t.DateTime = pts.Codec.GetActionDayDateTime(restore);
t.Price = pts.Codec.GetLastPrice(restore);
t.Size = (int)pts.Codec.GetVolume(restore);
Trades.Add(t);
Bid b = new Bid();
b.InstrumentId = instrumentId;
b.DateTime = t.DateTime;
b.Price = pts.Codec.GetBidPrice(restore, 1);
b.Size = pts.Codec.GetBidSize(restore, 1);
Bids.Add(b);
Ask a = new Ask();
a.InstrumentId = instrumentId;
a.DateTime = t.DateTime;
a.Price = pts.Codec.GetAskPrice(restore, 1);
a.Size = pts.Codec.GetAskSize(restore, 1);
Asks.Add(a);
}
stream.Close();
}
}