public virtual TickQueue[] SetupTickWriters()
{
List <TickQueue> queueList = new List <TickQueue>();
SymbolInfo[] symbols = ProjectProperties.Starter.SymbolProperties;
for (int i = 0; i < symbols.Length; i++)
{
TickWriter tickWriter = Factory.TickUtil.TickWriter(false);
tickWriter.Initialize(DataFolder, symbols[i].Symbol);
queueList.Add(tickWriter.WriteQueue);
}
return(queueList.ToArray());
}
protected override void OnStart(string[] args)
{
try
{
config = ConfigurationsManager.ConfigurationsManager.GetConfigurations();
hsConfig = config.HistoricalTicksConfiguration;
var appSettings = ConfigurationManager.AppSettings;
var serviceTcpBinding = CreateTcpBinding();
tickWriterServiceHost = CreateServiceHost(typeof(TickWriter), typeof(ITickWriter), serviceTcpBinding, appSettings[TickWriterEn.AppSettings.Address.ToString()], "TickWriter Service");
//tickWriterServiceHost = new ServiceHost(new TickWriter(), new Uri(appSettings[TickWriterEn.AppSettings.Address.ToString()]));
provider = (TickWriter)tickWriterServiceHost.SingletonInstance;
_logger.Info("Start TickWriter service");
Console.WriteLine("Start TickWriter service");
//var builder = new ContainerBuilder();
//builder.Register(c => new TickWriter()).As<ITickWriter>();
#region create client for ticks
connectToPЕClient(appSettings[TickWriterEn.AppSettings.AddressToPE.ToString()], appSettings[TickWriterEn.AppSettings.AddressToPE.ToString()]);
#endregion
#region create threads list that will deserialize ticks
int countDeserializedThread = 0;
if (!int.TryParse(appSettings[TickWriterEn.AppSettings.CountDeserializeThread.ToString()], out countDeserializedThread))
{
countDeserializedThread = 1;
}
CreateDesirializedThreads(countDeserializedThread);
#endregion
#region start Save Tick thread
int saveIntervalInMiliseconds = 0;
if (!int.TryParse(appSettings[TickWriterEn.AppSettings.SaveIntervalInMiliseconds.ToString()], out saveIntervalInMiliseconds))
{
saveIntervalInMiliseconds = 1000;
}
CreateSaveTicksThread(saveIntervalInMiliseconds);
#endregion
}
catch (Exception ex)
{
_logger.ErrorFormat("{0} {1}", ex.ToString(), ex.InnerException == null ? "" : ex.InnerException.ToString());
throw;
}
}
private void writeATick(double insertPrice, int volume)
{
if (tsBits[1].Length <= 3)
{
tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1] + ":00");
}
else
{
tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1]);
}
utcTime = tickTime;
utcTime.AddSeconds(-GetUtcOffset(tickTime));
double price = insertPrice;
tickIO.SetTime(utcTime);
if (volume >= 1)
{
tickIO.SetTrade(price, volume);
}
else
{
// tickIO.SetQuote(price, price);
tickIO.SetTrade(price, volume);
}
if (tickWriter == null)
{
tickWriter = Factory.TickUtil.TickWriter(true);
tickWriter.KeepFileOpen = true;
string folder = "DataCache";
tickWriter.Initialize(folder, symbol.Symbol);
}
// Console.WriteLine(tickIO);
tickWriter.Add(tickIO);
countTicksOut++;
}
private void FilterFile(string symbol, string inputPath, string outputPath, TimeStamp startTime, TimeStamp endTime)
{
TickReader reader = Factory.TickUtil.TickReader();
TickWriter writer = Factory.TickUtil.TickWriter(true);
writer.KeepFileOpen = true;
writer.Initialize(outputPath, symbol);
reader.Initialize(inputPath, symbol);
TickQueue inputQueue = reader.ReadQueue;
TickIO firstTick = Factory.TickUtil.TickIO();
TickIO lastTick = Factory.TickUtil.TickIO();
TickIO prevTick = Factory.TickUtil.TickIO();
long count = 0;
long fast = 0;
long dups = 0;
TickIO tickIO = Factory.TickUtil.TickIO();
TickBinary tickBinary = new TickBinary();
inputQueue.Dequeue(ref tickBinary);
tickIO.Inject(tickBinary);
count++;
firstTick.Copy(tickIO);
firstTick.IsSimulateTicks = true;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
if (tickIO.Time >= startTime)
{
writer.Add(firstTick);
}
try {
while (true)
{
while (!inputQueue.TryDequeue(ref tickBinary))
{
Thread.Sleep(1);
}
tickIO.Inject(tickBinary);
count++;
if (tickIO.Time >= startTime)
{
if (tickIO.Time > endTime)
{
break;
}
// if( tickIO.Bid == prevTick.Bid && tickIO.Ask == prevTick.Ask) {
// dups++;
// } else {
// Elapsed elapsed = tickIO.Time - prevTick.Time;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
// if( elapsed.TotalMilliseconds < 5000) {
// fast++;
// } else {
while (!writer.TryAdd(prevTick))
{
Thread.Sleep(1);
}
// }
// }
}
}
} catch (QueueException ex) {
if (ex.EntryType != EventType.EndHistorical)
{
throw new ApplicationException("Unexpected QueueException: " + ex);
}
}
lastTick.Copy(tickIO);
Console.WriteLine(reader.Symbol + ": " + count + " ticks from " + firstTick.Time + " to " + lastTick.Time + " " + dups + " duplicates, " + fast + " less than 50 ms");
Factory.TickUtil.TickReader().CloseAll();
writer.Close();
}
