private static List <PbTickView> ReadFromFile(string pathChosen)
{
Tuple <Stream, string, double> tuple = ReadToStream(pathChosen);
IEnumerable <PbTick> listTickData;
List <PbTickView> listTickView;
if (tuple == null)
{
return(null);
}
Stream stream = tuple.Item1;
try
{
QuantBox.Data.Serializer.PbTickSerializer pts = new QuantBox.Data.Serializer.PbTickSerializer();
listTickData = pts.Read(stream);
PbTickCodec Codec = new PbTickCodec();
listTickView = Codec.Data2View(listTickData, true);
return(listTickView);
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
return(null);
}
}
public void TestTickMultiplier()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.Config.ContractMultiplier = 50000;
codec.Config.Time_ssf_Diff = 5;
codec.UseFlat(false);
PbTick tick1 = new PbTick();
codec.SetAveragePrice(tick1, 123.45);
codec.SetSettlementPrice(tick1, 123.45);
codec.SetTurnover(tick1, 1234567890123456);
codec.SetOpenInterest(tick1, 9123456789012345678);
codec.SetVolume(tick1, 1234567890);
Assert.AreEqual <double>(123.45, codec.GetAveragePrice(tick1));
Assert.AreEqual <double>(123.45, codec.GetSettlementPrice(tick1));
Assert.AreEqual <double>(1234567890120000, codec.GetTurnover(tick1));
Assert.AreEqual <long>(9123456789012345678, codec.GetOpenInterest(tick1));
Assert.AreEqual <long>(1234567890, codec.GetVolume(tick1));
codec.Config.ContractMultiplier = 5;
codec.SetTurnover(tick1, 1234567890123456);
Assert.AreEqual <double>(1234567890123456, codec.GetTurnover(tick1));
codec.Config.ContractMultiplier = 0.1;
codec.SetTurnover(tick1, 12345678901234.56);
Assert.AreEqual <double>(12345678901234.56, codec.GetTurnover(tick1));
}
private void ReadFromFile(string pathChosen)
{
strCurrentFilePath = pathChosen;
Tuple <Stream, string, double> tuple = ReadToStream(strCurrentFilePath);
if (tuple == null)
{
return;
}
Stream stream = tuple.Item1;
try
{
QuantBox.Data.Serializer.PbTickSerializer pts = new QuantBox.Data.Serializer.PbTickSerializer();
listTickData = pts.Read(stream).ToList();
strCurrentFileName = string.Format("{0} ({1}/{2}={3})",
tuple.Item2, tuple.Item3, listTickData.Count(), tuple.Item3 / listTickData.Count());
ValueChanged(false);
PbTickCodec Codec = new PbTickCodec();
listTickView = Codec.Data2View(this.listTickData, true);
dgvTick.DataSource = this.listTickView;
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
public void TestTick2Price()
{
PbTickCodec ptc = new PbTickCodec();
ptc.Config.SetTickSize(0.2);
ptc.TickSize = ptc.Config.GetTickSize();
Assert.AreEqual(5, ptc.PriceToTick(1));
Assert.AreEqual(6, ptc.PriceToTick(1.2));
Assert.AreEqual(7, ptc.PriceToTick(1.4));
Assert.AreEqual(8, ptc.PriceToTick(1.6));
Assert.AreEqual(9, ptc.PriceToTick(1.8));
Assert.AreEqual(10, ptc.PriceToTick(2.0));
Assert.AreEqual(-5, ptc.PriceToTick(-1));
Assert.AreEqual(-6, ptc.PriceToTick(-1.2));
Assert.AreEqual(-7, ptc.PriceToTick(-1.4));
Assert.AreEqual(-8, ptc.PriceToTick(-1.6));
Assert.AreEqual(-9, ptc.PriceToTick(-1.8));
Assert.AreEqual(-10, ptc.PriceToTick(-2.0));
Assert.AreEqual(0.2, ptc.TickToPrice(1));
Assert.AreEqual(0.4, ptc.TickToPrice(2));
Assert.AreEqual(-0.2, ptc.TickToPrice(-1));
Assert.AreEqual(-0.4, ptc.TickToPrice(-2));
Assert.AreEqual(-2, ptc.TickToPrice(-10));
}
private void ExportToList(FileInfo file_input, FileInfo file_output)
{
Stream _stream = new MemoryStream();
// 加载文件，支持7z解压
var fileStream = file_input.Open(FileMode.Open, FileAccess.Read, FileShare.ReadWrite);
{
try
{
using (var zip = new SevenZipExtractor(fileStream))
{
// 只解压了第0个，如果有多个也只解压第一个
zip.ExtractFile(0, _stream);
_stream.Seek(0, SeekOrigin.Begin);
}
}
catch
{
_stream = fileStream;
_stream.Seek(0, SeekOrigin.Begin);
}
}
PbTickCodec codec = new PbTickCodec();
QuantBox.Data.Serializer.PbTickSerializer Serializer = new QuantBox.Data.Serializer.PbTickSerializer();
List <PbTickView> list = Serializer.Read2View(_stream);
ListToCSV(list, file_output);
}
public void TestTick2Price()
{
PbTickCodec ptc = new PbTickCodec();
ptc.Config.SetTickSize(0.2);
ptc.UseFlat(false);
Assert.AreEqual <int>(5, ptc.PriceToTick(1));
Assert.AreEqual <int>(6, ptc.PriceToTick(1.2));
Assert.AreEqual <int>(7, ptc.PriceToTick(1.4));
Assert.AreEqual <int>(8, ptc.PriceToTick(1.6));
Assert.AreEqual <int>(9, ptc.PriceToTick(1.8));
Assert.AreEqual <int>(10, ptc.PriceToTick(2.0));
Assert.AreEqual <int>(-5, ptc.PriceToTick(-1));
Assert.AreEqual <int>(-6, ptc.PriceToTick(-1.2));
Assert.AreEqual <int>(-7, ptc.PriceToTick(-1.4));
Assert.AreEqual <int>(-8, ptc.PriceToTick(-1.6));
Assert.AreEqual <int>(-9, ptc.PriceToTick(-1.8));
Assert.AreEqual <int>(-10, ptc.PriceToTick(-2.0));
Assert.AreEqual <double>(0.2, ptc.TickToPrice(1));
Assert.AreEqual <double>(0.4, ptc.TickToPrice(2));
Assert.AreEqual <double>(-0.2, ptc.TickToPrice(-1));
Assert.AreEqual <double>(-0.4, ptc.TickToPrice(-2));
Assert.AreEqual <double>(-2, ptc.TickToPrice(-10));
}
public void CalcTickSize()
{
if (Bids.Count > 1 && Asks.Count > 1)
{
double ts3 = Asks[0].price - Bids[Bids.Count - 1].price;
if (ts3 > 0)
{
TickSize = PbTickCodec.gcd(TickSize, ts3);
}
}
}
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 TestGetSetPrice()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.UseFlat(false);
PbTick tick = new PbTick();
Assert.AreEqual <double>(0, codec.GetBidPrice(tick, 1));
Assert.AreEqual <double>(0, codec.GetBidPrice(tick, 4));
Assert.AreEqual <double>(0, codec.GetBidPrice(tick, 10));
codec.SetBidPrice(tick, 1, 1.0);
codec.SetBidPrice(tick, 4, 2.4);
codec.SetBidPrice(tick, 10, 5.8);
Assert.AreEqual <double>(1, codec.GetBidPrice(tick, 1));
Assert.AreEqual <double>(2.4, codec.GetBidPrice(tick, 4));
Assert.AreEqual <double>(5.8, codec.GetBidPrice(tick, 10));
Assert.AreEqual <double>(0, codec.GetAskPrice(tick, 1));
Assert.AreEqual <double>(0, codec.GetAskPrice(tick, 4));
Assert.AreEqual <double>(0, codec.GetAskPrice(tick, 10));
codec.SetAskPrice(tick, 1, -1.0);
codec.SetAskPrice(tick, 4, 2.4);
codec.SetAskPrice(tick, 10, -5.8);
Assert.AreEqual <double>(-1.0, codec.GetAskPrice(tick, 1));
Assert.AreEqual <double>(2.4, codec.GetAskPrice(tick, 4));
Assert.AreEqual <double>(-5.8, codec.GetAskPrice(tick, 10));
codec.SetAskCount(tick, 1, 4);
codec.SetAskCount(tick, 4, 5);
codec.SetAskCount(tick, 10, -9);
Assert.AreEqual <double>(4, codec.GetAskCount(tick, 1));
Assert.AreEqual <double>(5, codec.GetAskCount(tick, 4));
Assert.AreEqual <double>(-9, codec.GetAskCount(tick, 10));
codec.SetSettlementPrice(tick, 1234.56);
Assert.AreEqual <double>(1234.56, codec.GetSettlementPrice(tick), "SettlementPrice");
codec.SetTurnover(tick, 4567.8);
Assert.AreEqual <double>(4567.8, codec.GetTurnover(tick), "Turnover");
}
public void TestGcdTickSize()
{
PbTickCodec codec = new PbTickCodec();
Assert.AreEqual <double>(0.00001, codec.gcd());
Assert.AreEqual <double>(0.3, codec.gcd(100.3f - 100.0f));
Assert.AreEqual <double>(0.2, codec.gcd(100.3f - 100.1f));
Assert.AreEqual <double>(0.1, codec.gcd(100.3f - 100.0f, 100.2f - 100.0f));
Assert.AreEqual <double>(0.1, codec.gcd(100.3f - 100.0f, 100.2f - 100.0f, 100.1f - 100.0f));
Assert.AreEqual <double>(0.05, codec.gcd(100.3f - 100.0f, 100.2f - 100.0f, 100.1f - 100.0f, 100.1f - 100.05f));
Assert.AreEqual <double>(0.1, codec.gcd(100.0f - 100.3f, 100.0f - 100.2f));
Assert.AreEqual <double>(0.05, codec.gcd(100.0f - 100.3f, 100.0f - 100.2f, 100.0f - 100.1f, 100.05f - 100.1f));
Assert.AreEqual <double>(10, codec.gcd(1000, 41430));
}
public void TestRead()
{
var file = new FileInfo("TickDataV1_1");
using (var stream = new MemoryStream())
using (var fileStream = file.Open(FileMode.Open, FileAccess.Read, FileShare.ReadWrite))
using (var zip = new SevenZipExtractor(fileStream)) {
zip.ExtractFile(0, stream);
stream.Seek(0, SeekOrigin.Begin);
var serializer = new PbTickSerializer();
var codec = new PbTickCodec();
foreach (var tick in serializer.Read(stream))
{
}
}
}
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 = PbTickCodec.gcd(TickSize, diff);
}
}
else
{
TickSize = PbTickCodec.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 = PbTickCodec.gcd(TickSize, diff);
}
}
else
{
TickSize = PbTickCodec.gcd(TickSize, a.price);
}
Asks.Add(a);
}
private void ExportToList(FileInfo file_input, FileInfo file_output, bool toCsv, bool toKdb, bool saveQuote)
{
// 都没选，跳过
if (toCsv || toKdb)
{
}
else
{
return;
}
Stream _stream = new MemoryStream();
// 加载文件，支持7z解压
var fileStream = file_input.Open(FileMode.Open, FileAccess.Read, FileShare.ReadWrite);
{
try
{
using (var zip = new SevenZipExtractor(fileStream))
{
// 只解压了第0个，如果有多个也只解压第一个
zip.ExtractFile(0, _stream);
_stream.Seek(0, SeekOrigin.Begin);
}
}
catch
{
_stream = fileStream;
_stream.Seek(0, SeekOrigin.Begin);
}
}
PbTickCodec codec = new PbTickCodec();
QuantBox.Data.Serializer.PbTickSerializer Serializer = new QuantBox.Data.Serializer.PbTickSerializer();
List <PbTickView> list = Serializer.Read2View(_stream);
if (toCsv)
{
ListToCSV(list, file_output);
}
// 得加入kdb+支持
if (toKdb)
{
ListToKdb(list, saveQuote);
}
}
public void TestConvertDateTime()
{
var span = new TimeSpan(0, 12, 34, 56, 789);
int time = 123456;
int ms = 789;
int hhmm_____ = 0;
int ____ssf__ = 0;
int _______ff = 0;
var codec = new PbTickCodec();
codec.SetUpdateTime(span, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual <int>(1234, hhmm_____);
Assert.AreEqual <int>(567, ____ssf__);
Assert.AreEqual <int>(89, _______ff);
codec.SetUpdateTime(time, ms, out hhmm_____, out ____ssf__, out _______ff);
Assert.AreEqual <int>(1234, hhmm_____);
Assert.AreEqual <int>(567, ____ssf__);
Assert.AreEqual <int>(89, _______ff);
codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff, out time, out ms);
Assert.AreEqual <int>(123456, time);
Assert.AreEqual <int>(789, ms);
span = codec.GetUpdateTime(hhmm_____, ____ssf__, _______ff);
Assert.AreEqual <int>(0, span.Days);
Assert.AreEqual <int>(12, span.Hours);
Assert.AreEqual <int>(34, span.Minutes);
Assert.AreEqual <int>(56, span.Seconds);
Assert.AreEqual <int>(789, span.Milliseconds);
var date1 = 20141104;
var date2 = 20141105;
var tick = new PbTick();
codec.SetActionDay(tick, new DateTime(2014, 11, 4));
codec.SetTradingDay(tick, new DateTime(2014, 11, 5));
Assert.AreEqual <int>(date1, tick.ActionDay);
Assert.AreEqual <int>(date2, tick.TradingDay);
Assert.AreEqual <DateTime>(new DateTime(2014, 11, 4), codec.GetDateTime(tick.ActionDay));
Assert.AreEqual <DateTime>(new DateTime(2014, 11, 5), codec.GetDateTime(tick.TradingDay));
}
private void menuView_Convert_Click(object sender, EventArgs e)
{
ViewToDataByViewType();
SingleCheck(sender);
PbTickCodec Codec = new PbTickCodec();
listTickView = Codec.Data2View(Codec.Restore(this.listTickData), false);
dgvTick.DataSource = listTickView;
dgvTick.CurrentCell = dgvTick.Rows[RowIndex].Cells[ColumnIndex];
if (Selected)
{
dgvTick.CurrentRow.Selected = Selected;
}
dgvTick.FirstDisplayedScrollingRowIndex = FirstDisplayedScrollingRowIndex;
dgvTick.HorizontalScrollingOffset = HorizontalScrollingOffset;
}
private void ViewToDataByViewType()
{
PbTickCodec Codec = new PbTickCodec();
List <PbTick> tempList;
switch (eViewType)
{
case ViewType.Diff:
this.listTickData = Codec.View2Data(this.listTickView, true);
break;
case ViewType.Restore:
tempList = Codec.View2Data(this.listTickView, true);
this.listTickData = Codec.Diff(tempList);
break;
case ViewType.Convert:
tempList = Codec.View2Data(this.listTickView, false);
this.listTickData = Codec.Diff(tempList);
break;
}
}
public void TestStatic()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
PbTick tick1 = new PbTick();
tick1.Config = codec.Config;
codec.SetSymbol(tick1, "ABC");
codec.SetExchange(tick1, "DEF");
PbTick tick2 = new PbTick();
codec.SetSymbol(tick2, "ABC");
codec.SetExchange(tick2, "DEF");
var diff = codec.Diff(tick1, tick2);
Assert.AreEqual(null, diff.Static);
}
// 目前先不处理港股的tickSize变化的那种行情
PbTick CreateTick(ref DepthMarketDataNClass pDepthMarketData, PbTickCodec codec)
{
var tick = new PbTick();
tick.DepthList = new List <DepthItem>();
tick.Config = codec.Config;
tick.TradingDay = pDepthMarketData.TradingDay;
tick.ActionDay = pDepthMarketData.ActionDay;
tick.Time_HHmm = pDepthMarketData.UpdateTime / 100;
tick.Time_____ssf__ = pDepthMarketData.UpdateTime % 100 * 10 + pDepthMarketData.UpdateMillisec / 100;
tick.Time________ff = pDepthMarketData.UpdateMillisec % 100;
// 数据接收器时计算本地与交易所的行情时间差
// 1.这个地方是否保存？
// 2.到底是XAPI中提供还是由接收器提供？
//tick.LocalTime_Msec = (int)(DateTime.Now - codec.GetActionDayDateTime(tick)).TotalMilliseconds;
codec.SetSymbol(tick, pDepthMarketData.Symbol);
if (pDepthMarketData.Exchange != ExchangeType.Undefined)
{
codec.SetExchange(tick, Enum <ExchangeType> .ToString(pDepthMarketData.Exchange));
}
codec.SetLowerLimitPrice(tick, pDepthMarketData.LowerLimitPrice);
codec.SetUpperLimitPrice(tick, pDepthMarketData.UpperLimitPrice);
codec.SetOpen(tick, pDepthMarketData.OpenPrice);
codec.SetHigh(tick, pDepthMarketData.HighestPrice);
codec.SetLow(tick, pDepthMarketData.LowestPrice);
codec.SetClose(tick, pDepthMarketData.ClosePrice);
codec.SetVolume(tick, (long)pDepthMarketData.Volume);
codec.SetOpenInterest(tick, (long)pDepthMarketData.OpenInterest);
codec.SetTurnover(tick, pDepthMarketData.Turnover);//一定要设置合约乘数才能最优保存
codec.SetAveragePrice(tick, pDepthMarketData.AveragePrice);
codec.SetLastPrice(tick, pDepthMarketData.LastPrice);
codec.SetSettlementPrice(tick, pDepthMarketData.SettlementPrice);
codec.SetPreClosePrice(tick, pDepthMarketData.PreClosePrice);
codec.SetPreSettlementPrice(tick, pDepthMarketData.PreSettlementPrice);
codec.SetPreOpenInterest(tick, (long)pDepthMarketData.PreOpenInterest);
for (int i = pDepthMarketData.Bids.Length - 1; i >= 0; --i)
{
var bid = pDepthMarketData.Bids[i];
if (bid.Size == 0)
{
break;
}
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, bid.Price);
tick.AskPrice1 += 1;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(bid.Price), bid.Size, bid.Count));
}
for (int i = 0; i < pDepthMarketData.Asks.Length; ++i)
{
var ask = pDepthMarketData.Asks[i];
if (ask.Size == 0)
{
break;
}
// 记录卖一价
if (i == 0)
{
codec.SetAskPrice1(tick, ask.Price);
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(ask.Price), ask.Size, ask.Count));
}
return(tick);
}
private void ViewToDataByViewType()
{
PbTickCodec Codec = new PbTickCodec();
this.listTickData = Codec.View2Data(this.listTickView, true);
}
private DepthMarketDataField PbTick2DepthMarketDataField(PbTickCodec codec, PbTick tick)
{
PbTickView tickView = codec.Data2View(tick, false);
DepthMarketDataField marketData = default(DepthMarketDataField);
codec.GetUpdateTime(tick, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum <ExchangeType> .Parse(tickView.Static.Exchange);
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int _BidPos = BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice1 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume1 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice2 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume2 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice3 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume3 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice4 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume4 = tickView.DepthList[_BidPos].Size;
--_BidPos;
if (_BidPos >= 0)
{
marketData.BidPrice5 = tickView.DepthList[_BidPos].Price;
marketData.BidVolume5 = tickView.DepthList[_BidPos].Size;
}
}
}
}
}
int _AskPos = AskPos;
if (_AskPos < count)
{
marketData.AskPrice1 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume1 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice2 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume2 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice3 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume3 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice4 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume4 = tickView.DepthList[_AskPos].Size;
++_AskPos;
if (_AskPos < count)
{
marketData.AskPrice5 = tickView.DepthList[_AskPos].Price;
marketData.AskVolume5 = tickView.DepthList[_AskPos].Size;
}
}
}
}
}
}
return(marketData);
}
// 目前先不处理港股的tickSize变化的那种行情
PbTick CreateTick(ref DepthMarketDataField pDepthMarketData, PbTickCodec codec)
{
var tick = new PbTick();
tick.DepthList = new List <DepthItem>();
tick.Config = codec.Config;
tick.TradingDay = pDepthMarketData.TradingDay;
tick.ActionDay = pDepthMarketData.ActionDay;
tick.Time_HHmm = pDepthMarketData.UpdateTime / 100;
tick.Time_____ssf__ = pDepthMarketData.UpdateTime % 100 * 10 + pDepthMarketData.UpdateMillisec / 100;
tick.Time________ff = pDepthMarketData.UpdateMillisec % 100;
// 数据接收器时计算本地与交易所的行情时间差
// 1.这个地方是否保存？
// 2.到底是XAPI中提供还是由接收器提供？
//tick.LocalTime_Msec = (int)(DateTime.Now - codec.GetActionDayDateTime(tick)).TotalMilliseconds;
codec.SetSymbol(tick, pDepthMarketData.Symbol);
if (pDepthMarketData.Exchange != ExchangeType.Undefined)
{
codec.SetExchange(tick, Enum <ExchangeType> .ToString(pDepthMarketData.Exchange));
}
codec.SetLowerLimitPrice(tick, pDepthMarketData.LowerLimitPrice);
codec.SetUpperLimitPrice(tick, pDepthMarketData.UpperLimitPrice);
codec.SetOpen(tick, pDepthMarketData.OpenPrice);
codec.SetHigh(tick, pDepthMarketData.HighestPrice);
codec.SetLow(tick, pDepthMarketData.LowestPrice);
codec.SetClose(tick, pDepthMarketData.ClosePrice);
codec.SetVolume(tick, (long)pDepthMarketData.Volume);
codec.SetOpenInterest(tick, (long)pDepthMarketData.OpenInterest);
codec.SetTurnover(tick, pDepthMarketData.Turnover);//一定要设置合约乘数才能最优保存
codec.SetAveragePrice(tick, pDepthMarketData.AveragePrice);
codec.SetLastPrice(tick, pDepthMarketData.LastPrice);
codec.SetSettlementPrice(tick, pDepthMarketData.SettlementPrice);
do
{
if (pDepthMarketData.BidVolume1 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice1), pDepthMarketData.BidVolume1, 0));
// 先记录一个假的，防止只有买价没有卖价的情况
codec.SetAskPrice1(tick, pDepthMarketData.BidPrice1);
tick.AskPrice1 += 1;
if (pDepthMarketData.BidVolume2 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice2), pDepthMarketData.BidVolume2, 0));
if (pDepthMarketData.BidVolume3 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice3), pDepthMarketData.BidVolume3, 0));
if (pDepthMarketData.BidVolume4 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice4), pDepthMarketData.BidVolume4, 0));
if (pDepthMarketData.BidVolume5 == 0)
{
break;
}
tick.DepthList.Insert(0, new DepthItem(codec.PriceToTick(pDepthMarketData.BidPrice5), pDepthMarketData.BidVolume5, 0));
} while (false);
do
{
if (pDepthMarketData.AskVolume1 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice1), pDepthMarketData.AskVolume1, 0));
// 记录卖一价
codec.SetAskPrice1(tick, pDepthMarketData.AskPrice1);
if (pDepthMarketData.AskVolume2 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice2), pDepthMarketData.AskVolume2, 0));
if (pDepthMarketData.AskVolume3 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice3), pDepthMarketData.AskVolume3, 0));
if (pDepthMarketData.AskVolume4 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice4), pDepthMarketData.AskVolume4, 0));
if (pDepthMarketData.AskVolume5 == 0)
{
break;
}
tick.DepthList.Add(new DepthItem(codec.PriceToTick(pDepthMarketData.AskPrice5), pDepthMarketData.AskVolume5, 0));
} while (false);
return(tick);
}
private DepthMarketDataNClass PbTick2DepthMarketDataNClass(PbTickCodec codec, PbTickView tickView)
{
DepthMarketDataNClass marketData = new DepthMarketDataNClass();
codec.GetUpdateTime(tickView, out marketData.UpdateTime, out marketData.UpdateMillisec);
marketData.TradingDay = tickView.TradingDay;
marketData.ActionDay = tickView.ActionDay;
marketData.LastPrice = tickView.LastPrice;
marketData.Volume = tickView.Volume;
if (SubscribeExternData)
{
marketData.Turnover = tickView.Turnover;
marketData.OpenInterest = tickView.OpenInterest;
marketData.AveragePrice = tickView.AveragePrice;
if (tickView.Bar != null)
{
marketData.OpenPrice = tickView.Bar.Open;
marketData.HighestPrice = tickView.Bar.High;
marketData.LowestPrice = tickView.Bar.Low;
marketData.ClosePrice = tickView.Bar.Close;
}
if (tickView.Static != null)
{
marketData.LowerLimitPrice = tickView.Static.LowerLimitPrice;
marketData.UpperLimitPrice = tickView.Static.UpperLimitPrice;
marketData.SettlementPrice = tickView.Static.SettlementPrice;
marketData.Symbol = tickView.Static.Symbol;
if (!string.IsNullOrWhiteSpace(tickView.Static.Exchange))
{
marketData.Exchange = Enum <ExchangeType> .Parse(tickView.Static.Exchange);
}
marketData.PreClosePrice = tickView.Static.PreClosePrice;
marketData.PreSettlementPrice = tickView.Static.PreSettlementPrice;
marketData.PreOpenInterest = tickView.Static.PreOpenInterest;
}
}
int count = tickView.DepthList == null ? 0 : tickView.DepthList.Count;
if (count > 0)
{
int AskPos = DepthListHelper.FindAsk1Position(tickView.DepthList, tickView.AskPrice1);
int BidPos = AskPos - 1;
int BidCount = BidPos + 1;
int AskCount = count - AskPos;
marketData.Bids = new DepthField[0];
marketData.Asks = new DepthField[0];
if (SubscribeBid)
{
if (BidCount > 0)
{
marketData.Bids = new DepthField[BidCount];
int j = 0;
for (int i = BidPos; i >= 0; --i)
{
marketData.Bids[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
if (SubscribeAsk)
{
if (AskCount > 0)
{
marketData.Asks = new DepthField[AskCount];
int j = 0;
for (int i = AskPos; i < count; ++i)
{
marketData.Asks[j] = new DepthField()
{
Price = tickView.DepthList[i].Price,
Size = tickView.DepthList[i].Size,
Count = tickView.DepthList[i].Count,
};
++j;
}
}
}
}
return(marketData);
}
public void TestTickDiff()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.Config.Time_ssf_Diff = 5;
codec.UseFlat(false);
PbTick tick1 = new PbTick();
tick1.Config = codec.Config;
codec.SetLastPrice(tick1, 1234);
codec.SetVolume(tick1, 1);
codec.SetActionDay(tick1, DateTime.Today);
codec.SetTradingDay(tick1, DateTime.Today.AddDays(-1));
//codec.Set
codec.SetAskPrice(tick1, 1, 1234.2);
codec.SetAskSize(tick1, 1, 1);
//codec.SetAskPrice(tick1, 2, 1234.4);
//codec.SetAskSize(tick1, 2, 1);
//codec.SetAskPrice(tick1, 3, 1234.6);
//codec.SetAskSize(tick1, 3, 3);
//codec.SetAskPrice(tick1, 4, 1234.8);
//codec.SetAskSize(tick1, 4, 4);
//codec.SetAskPrice(tick1, 5, 1235.0);
//codec.SetAskSize(tick1, 5, 5);
//codec.SetAskPrice(tick1, 6, 1235.2);
//codec.SetAskSize(tick1, 6, 6);
codec.SetBidPrice(tick1, 1, 1234);
codec.SetBidSize(tick1, 1, 1);
//codec.SetBidPrice(tick1, 2, 1233.8);
//codec.SetBidSize(tick1, 2, 2);
//codec.SetBidPrice(tick1, 3, 1233.6);
//codec.SetBidSize(tick1, 3, 3);
//codec.SetBidPrice(tick1, 4, 1233.4);
//codec.SetBidSize(tick1, 4, 4);
//codec.SetBidPrice(tick1, 5, 1233.2);
//codec.SetBidSize(tick1, 5, 5);
//codec.SetBidPrice(tick1, 6, 1232.0);
//codec.SetBidSize(tick1, 6, 6);
codec.SetLowerLimitPrice(tick1, 123.4);
codec.SetUpperLimitPrice(tick1, 567.8);
codec.SetSettlementPrice(tick1, 123.4);
codec.SetOpen(tick1, 10);
codec.SetHigh(tick1, 10);
codec.SetLow(tick1, 10);
codec.SetClose(tick1, 10);
codec.SetBarSize(tick1, 10);
tick1.Time_HHmm = 1234;
tick1.Time_____ssf__ = 567;
tick1.Time________ff = 0;
PbTick tick2 = new PbTick();
codec.SetLastPrice(tick2, 1234.2);
codec.SetVolume(tick2, 2);
codec.SetActionDay(tick2, DateTime.Today);
codec.SetTradingDay(tick2, DateTime.Today.AddDays(-1));
codec.SetAskPrice(tick2, 1, 1234.2);
codec.SetAskSize(tick2, 1, 1);
codec.SetAskPrice(tick2, 2, 1234.4);
codec.SetAskSize(tick2, 2, 2);
codec.SetAskPrice(tick2, 3, 1234.6);
codec.SetAskSize(tick2, 3, 3);
codec.SetBidPrice(tick2, 1, 1234);
codec.SetBidSize(tick2, 1, 1);
codec.SetBidPrice(tick2, 2, 1233.8);
codec.SetBidSize(tick2, 2, 2);
codec.SetBidPrice(tick2, 3, 1233.6);
codec.SetBidSize(tick2, 3, 3);
codec.SetLowerLimitPrice(tick2, 123.4);
codec.SetUpperLimitPrice(tick2, 567.8);
codec.SetSettlementPrice(tick2, 123.4);
codec.SetOpen(tick2, 10);
codec.SetHigh(tick2, 10);
codec.SetLow(tick2, 10);
codec.SetClose(tick2, 10);
codec.SetBarSize(tick2, 10);
tick2.Time_HHmm = 1234;
tick2.Time_____ssf__ = 572;
tick2.Time________ff = 0;
var diff = codec.Diff(tick1, tick2);
Assert.AreEqual <int>(0, diff.ActionDay);
Assert.AreEqual <int>(0, diff.TradingDay);
Assert.AreEqual(null, diff.Static);
Assert.AreEqual(null, diff.Bar);
Assert.AreEqual <int>(0, diff.Depth1_3.AskPrice1, "AskPrice1");
Assert.AreEqual <int>(0, diff.Depth1_3.AskSize1, "AskSize1");
Assert.AreEqual <int>(0, diff.Depth1_3.AskPrice2, "AskPrice2");
Assert.AreEqual <int>(2, diff.Depth1_3.AskSize2, "AskSize2");
Assert.AreEqual <int>(0, diff.Depth1_3.AskPrice3, "AskPrice3");
Assert.AreEqual <int>(3, diff.Depth1_3.AskSize3, "AskSize3");
Assert.AreEqual <int>(0, diff.Time_____ssf__);
var tick3 = codec.Restore(tick1, diff);
Assert.AreEqual <int>(tick2.Depth1_3.AskPrice1, tick3.Depth1_3.AskPrice1);
Assert.AreEqual <int>(tick2.Depth1_3.AskPrice2, tick3.Depth1_3.AskPrice2);
Assert.AreEqual <int>(tick2.Depth1_3.AskPrice3, tick3.Depth1_3.AskPrice3);
Assert.AreEqual <int>(tick2.Depth1_3.AskSize1, tick3.Depth1_3.AskSize1);
Assert.AreEqual <int>(tick2.Depth1_3.AskSize2, tick3.Depth1_3.AskSize2);
Assert.AreEqual <int>(tick2.Depth1_3.AskSize3, tick3.Depth1_3.AskSize3);
Assert.AreEqual <int>(tick2.Depth1_3.BidPrice1, tick3.Depth1_3.BidPrice1);
Assert.AreEqual <int>(tick2.Depth1_3.BidPrice2, tick3.Depth1_3.BidPrice2);
Assert.AreEqual <int>(tick2.Depth1_3.BidPrice3, tick3.Depth1_3.BidPrice3);
Assert.AreEqual <int>(tick2.Depth1_3.BidSize1, tick3.Depth1_3.BidSize1);
Assert.AreEqual <int>(tick2.Depth1_3.BidSize2, tick3.Depth1_3.BidSize2);
Assert.AreEqual <int>(tick2.Depth1_3.BidSize3, tick3.Depth1_3.BidSize3);
Assert.AreEqual <double>(codec.GetLowerLimitPrice(tick1), codec.GetLowerLimitPrice(tick3));
Assert.AreEqual <double>(codec.GetUpperLimitPrice(tick1), codec.GetUpperLimitPrice(tick3));
Assert.AreEqual <double>(codec.GetSettlementPrice(tick1), codec.GetSettlementPrice(tick3));
Assert.AreEqual <double>(codec.GetOpen(tick1), codec.GetOpen(tick3));
Assert.AreEqual <double>(codec.GetHigh(tick1), codec.GetHigh(tick3));
Assert.AreEqual <double>(codec.GetLow(tick1), codec.GetLow(tick3));
Assert.AreEqual <double>(codec.GetClose(tick1), codec.GetClose(tick3));
Assert.AreEqual <int>(572, tick3.Time_____ssf__);
}
