public void OutputSeries(out IDataSeries trades, out IDataSeries bids, out IDataSeries asks)
{
trades = new TickSeries();
bids = new TickSeries();
asks = new TickSeries();
PbTickCodec codec = new PbTickCodec();
int TradingDay = -1;
int _lastTradeSize = 0;
foreach (var s in Series)
{
if (TradingDay != s.TradingDay)
{
_lastTradeSize = 0;
TradingDay = s.TradingDay;
}
var dateTime = codec.GetDateTime(s.ActionDay == 0 ? s.TradingDay : s.ActionDay).Add(codec.GetUpdateTime(s));
var tick = PbTick2DepthMarketDataNClass(codec, s);
if (SubscribeExternData)
{
var trade = new TradeEx(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = tick;
trades.Add(trade);
}
else
{
var trade = new Trade(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trades.Add(trade);
}
if (tick.Bids != null && tick.Bids.Length > 0)
{
var bid = new Bid(dateTime, 0, _InstrumentId, tick.Bids[0].Price, tick.Bids[0].Size);
bids.Add(bid);
}
if (tick.Asks != null && tick.Asks.Length > 0)
{
var ask = new Ask(dateTime, 0, _InstrumentId, tick.Asks[0].Price, tick.Asks[0].Size);
asks.Add(ask);
}
_lastTradeSize = (int)tick.Volume;
}
}
public void TestGetIndex()
{
var ts = new TickSeries("test");
for (int i = 0; i < 10; ++i)
ts.Add(new Tick { DateTime = new DateTime(2000, 1, 1, 10, i, 30) });
var firstDt = new DateTime(2000, 1, 1, 10, 3, 30);
var firstTick = new Tick { DateTime = firstDt };
var lastDt = new DateTime(2000, 1, 1, 10, 9, 30);
var lastTick = new Tick { DateTime = lastDt };
// DateTime is in the middle;
Assert.Equal(3, ts.GetIndex(firstDt, IndexOption.Null));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Null));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 30), IndexOption.Null));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 30), IndexOption.Prev));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 30), IndexOption.Next));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Null));
Assert.Equal(3, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Prev));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Next));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Null));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Prev));
Assert.Equal(5, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Next));
// DateTime > LastDateTime
Assert.Equal(5, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Next));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 11, 30), IndexOption.Null));
Assert.Equal(9, ts.GetIndex(new DateTime(2000, 1, 1, 10, 11, 30), IndexOption.Prev));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 11, 30), IndexOption.Next));
// DateTime < FirstDateTime
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 9, 31, 30), IndexOption.Null));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 9, 31, 30), IndexOption.Prev));
Assert.Equal(0, ts.GetIndex(new DateTime(2000, 1, 1, 9, 31, 30), IndexOption.Next));
}
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();
}
}
public void TestGetIndex()
{
var ts = new TickSeries("test");
for (int i = 0; i < 10; ++i)
{
ts.Add(new Tick {
DateTime = new DateTime(2000, 1, 1, 10, i, 30)
});
}
var firstDt = new DateTime(2000, 1, 1, 10, 3, 30);
var firstTick = new Tick {
DateTime = firstDt
};
var lastDt = new DateTime(2000, 1, 1, 10, 9, 30);
var lastTick = new Tick {
DateTime = lastDt
};
// DateTime is in the middle;
Assert.Equal(3, ts.GetIndex(firstDt, IndexOption.Null));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Null));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 30), IndexOption.Null));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 30), IndexOption.Prev));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 30), IndexOption.Next));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Null));
Assert.Equal(3, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Prev));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 25), IndexOption.Next));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Null));
Assert.Equal(4, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Prev));
Assert.Equal(5, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Next));
// DateTime > LastDateTime
Assert.Equal(5, ts.GetIndex(new DateTime(2000, 1, 1, 10, 4, 40), IndexOption.Next));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 11, 30), IndexOption.Null));
Assert.Equal(9, ts.GetIndex(new DateTime(2000, 1, 1, 10, 11, 30), IndexOption.Prev));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 10, 11, 30), IndexOption.Next));
// DateTime < FirstDateTime
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 9, 31, 30), IndexOption.Null));
Assert.Equal(-1, ts.GetIndex(new DateTime(2000, 1, 1, 9, 31, 30), IndexOption.Prev));
Assert.Equal(0, ts.GetIndex(new DateTime(2000, 1, 1, 9, 31, 30), IndexOption.Next));
}
/// <summary>
/// 下载 Tick 数据，返回值（ask,bid,trade）
/// </summary>
/// <param name="manager"></param>
/// <param name="inst"></param>
/// <param name="dateTime1"></param>
/// <param name="dateTime2"></param>
/// <returns></returns>
public static (TickSeries asks, TickSeries bids, TickSeries trades) DownloadTicks(this DataManager manager, Instrument inst, DateTime dateTime1, DateTime dateTime2)
{
var asks = new TickSeries();
var bids = new TickSeries();
var trades = new TickSeries();
var request = new HistoricalDataRequest()
{
RequestId = Guid.NewGuid().ToString("N"),
DataType = DataObjectType.Tick,
Instrument = inst,
DateTime1 = dateTime1,
DateTime2 = dateTime2
};
DownloadDataRequest(manager.GetFramework(), request, OnHistoricalData);
return(asks, bids, trades);
void OnHistoricalData(HistoricalData data)
{
foreach (var item in data.Objects)
{
switch (item.TypeId)
{
case DataObjectType.Ask:
asks.Add((Ask)item);
break;
case DataObjectType.Bid:
bids.Add((Bid)item);
break;
case DataObjectType.Trade:
trades.Add((Trade)item);
break;
default:
break;
}
}
}
}
public static (TickSeries, TickSeries, TickSeries) MarketDataToTick(IEnumerable <DepthMarketDataField> items, Instrument inst)
{
var asks = new TickSeries();
var bids = new TickSeries();
var trades = new TickSeries();
var last = EmptyMarketData;
foreach (var item in items)
{
var dateTime = item.ExchangeDateTime();
var size = item.Volume - last.Volume;
//var openInterest = item.OpenInterest - last.OpenInterest;
var turnover = double.NaN;
if (item.Turnover > last.Turnover)
{
turnover = item.Turnover - last.Turnover;
}
else
{
turnover = (item.Turnover / item.Volume) * size;
}
var trade = new Trade(dateTime, dateTime, QuantBoxConst.PIdCtp, inst.Id, item.LastPrice, (int)size);
trade.SetMarketData(turnover, item.OpenInterest);
trades.Add(trade);
if (item.Asks?.Length > 0)
{
asks.Add(new Ask(dateTime, dateTime, QuantBoxConst.PIdCtp, inst.Id, item.Asks[0].Price, item.Asks[0].Size));
}
if (item.Bids?.Length > 0)
{
bids.Add(new Bid(dateTime, dateTime, QuantBoxConst.PIdCtp, inst.Id, item.Bids[0].Price, item.Bids[0].Size));
}
last = item;
}
return(asks, bids, trades);
}
static void _Main(string[] args)
{
CsvDataImport cdi = new CsvDataImport();
string symbol = "AAPL2";
Framework framework = Framework.Current;
Instrument instrument = framework.InstrumentManager.Get(symbol);
if (instrument == null)
{
instrument = new Instrument(SmartQuant.InstrumentType.Stock, symbol, "", CurrencyId.CNY);
framework.InstrumentManager.Add(instrument);
}
TickSeries trades = new TickSeries();
TickSeries bids = new TickSeries();
TickSeries asks = new TickSeries();
BarSeries bars = new BarSeries();
//using (StreamReader file = File.OpenText(@"d:\wukan\Desktop\AAPL.Bar Time 86400.csv"))
FileInfo fi = new FileInfo(@"D:\AAPL.BarTime86400.csv");
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
Trade trade = null;
Bid bid = null;
Ask ask = null;
Bar bar = null;
//cdi.ReadLine(arr, instrument.Id, out trade, out bid, out ask);
cdi.ReadLine(arr, instrument.Id, SmartQuant.BarType.Time, 86400, out bar);
if (trade != null)
{
trades.Add(trade);
}
if (bid != null)
{
bids.Add(bid);
}
if (ask != null)
{
asks.Add(ask);
}
if (bar != null)
{
bars.Add(bar);
}
} while (str != null);
file.Close();
}
if (trades.Count > 0)
{
framework.DataManager.Save(trades);
}
if (bids.Count > 0)
{
framework.DataManager.Save(bids);
}
if (asks.Count > 0)
{
framework.DataManager.Save(asks);
}
if (bars.Count > 0)
{
framework.DataManager.Save(bars);
}
framework.Dispose();
}
public void OutputSeries(out IDataSeries trades, out IDataSeries bids, out IDataSeries asks)
{
trades = new TickSeries();
bids = new TickSeries();
asks = new TickSeries();
PbTickCodec codec = new PbTickCodec();
int TradingDay = -1;
int _lastTradeSize = 0;
foreach (var s in Series)
{
if(TradingDay != s.TradingDay)
{
_lastTradeSize = 0;
TradingDay = s.TradingDay;
}
var dateTime = codec.GetDateTime(s.ActionDay == 0 ? s.TradingDay : s.ActionDay).Add(codec.GetUpdateTime(s));
var tick = PbTick2DepthMarketDataNClass(codec, s);
if(SubscribeExternData)
{
var trade = new TradeEx(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = tick;
trades.Add(trade);
}
else
{
var trade = new Trade(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trades.Add(trade);
}
if (tick.Bids != null && tick.Bids.Length > 0)
{
var bid = new Bid(dateTime, 0, _InstrumentId, tick.Bids[0].Price, tick.Bids[0].Size);
bids.Add(bid);
}
if (tick.Asks != null && tick.Asks.Length > 0)
{
var ask = new Ask(dateTime, 0, _InstrumentId, tick.Asks[0].Price, tick.Asks[0].Size);
asks.Add(ask);
}
_lastTradeSize = (int)tick.Volume;
}
}
public TickSeries GetHistoricalTicks(IHistoricalDataProvider provider, TickType type, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
provider.Connect();
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
HistoricalDataRequest request = null;
switch (type)
{
case TickType.Bid:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Bid);
break;
case TickType.Ask:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Ask);
break;
case TickType.Trade:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Trade);
break;
}
request.RequestId = text;
provider.Send(request);
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var ts = new TickSeries("", "");
foreach (var data in @class.Data)
{
var objs = data.Objects;
foreach (var tick in objs)
ts.Add((Tick)tick);
}
return ts;
}
public TickSeries GetHistoricalTicks(TickType type, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
DataSeries ds = null;
switch (type)
{
case TickType.Bid:
ds = GetDataSeries(instrument, DataObjectType.Bid, BarType.Time, 60);
break;
case TickType.Ask:
ds = GetDataSeries(instrument, DataObjectType.Ask, BarType.Time, 60);
break;
case TickType.Trade:
ds = GetDataSeries(instrument, DataObjectType.Trade, BarType.Time, 60);
break;
}
var ts = new TickSeries();
if (ds != null && ds.Count != 0)
{
var index1 = ds.GetIndex(dateTime1, SearchOption.Next);
var index2 = ds.GetIndex(dateTime2, SearchOption.Prev);
for (long i = index1; i <= index2; i++)
{
var obj = ds[i];
switch (type)
{
case TickType.Bid:
if (obj.TypeId == DataObjectType.Bid)
ts.Add((Bid)obj);
else
Console.WriteLine($"DataManager::GetHistoricalTicks Error, object type is not Bid {obj}");
break;
case TickType.Ask:
if (obj.TypeId == DataObjectType.Ask)
ts.Add((Ask)obj);
else
Console.WriteLine($"DataManager::GetHistoricalTicks Error, object type is not Ask {obj}");
break;
case TickType.Trade:
if (obj.TypeId == DataObjectType.Trade)
ts.Add((Trade)obj);
else
Console.WriteLine($"DataManager::GetHistoricalTicks Error, object type is not Trade {obj}");
break;
}
}
}
return ts;
}
public TickSeries GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
HistoricalDataRequest request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, 4);
provider.Send(request);
this.handle = new ManualResetEventSlim(false);
this.handle.Wait();
TickSeries tickSeries = new TickSeries("");
if (this.historicalData != null)
{
foreach (HistoricalData current in this.historicalData)
{
DataObject[] objects = current.Objects;
for (int i = 0; i < objects.Length; i++)
{
DataObject dataObject = objects[i];
tickSeries.Add((Trade)dataObject);
}
}
}
this.historicalData = null;
return tickSeries;
}
