protected void Emit(DataObject obj)
{
if (!this.emitter.queue.IsFull())
this.emitter.queue.Write(obj);
else
Console.WriteLine($"DataProcessor::Emit Can not write data object. Data queue is full. Data queue size = {this.emitter.queue.Size}");
}
internal void Process(DataObject obj)
{
if (this.providerId != -1 && ((Tick)obj).ProviderId != this.providerId)
return;
if (!InSession(obj.DateTime))
return;
OnData(obj);
}
public void Add(DataObject obj)
{
lock (Sync)
{
if (obj.DateTime.Ticks == 0)
{
Console.WriteLine("DataSeries::Add Error: can not add object with DateTime = 0");
return;
}
if (!this.writeOpened)
OpenWrite();
if (Count == 0)
{
DateTime1 = obj.DateTime;
DateTime2 = obj.DateTime;
}
else
{
if (obj.DateTime < DateTime2)
{
Insert(obj);
return;
}
DateTime2 = obj.DateTime;
}
Count++;
this.writeKey.AddObject(obj);
if (this.writeKey.count == this.writeKey.size)
{
WriteKey(this.writeKey);
if (!CacheObjects && this.writeKey != this.readKey && this.writeKey != this.insertKey && this.writeKey != this.deleteKey)
this.writeKey.objects = null;
this.writeKey = new DataKey(this.file, null, this.writeKey.position, -1);
this.writeKey.number = this.bufferCount;
this.writeKey.index1 = Count - 1;
this.writeKey.index2 = Count - 1;
this.writeKey.changed = true;
this.bufferCount++;
this.cache[this.writeKey.number] = this.writeKey;
}
this.changed = true;
this.file.isModified = true;
}
}
protected virtual DataObject OnData(DataObject obj)
{
if (obj.TypeId == DataObjectType.Bar)
{
var bar = (Bar)obj;
if (EmitBarOpen)
Emit(new Bar(bar.OpenDateTime, bar.OpenDateTime, bar.InstrumentId, bar.Type, bar.Size, bar.Open, 0, 0, 0, 0, 0));
if (EmitBarOpenTrade)
Emit(new Trade(bar.DateTime, 0, bar.InstrumentId, bar.Open, (int)(bar.Volume / 4)));
if (EmitBarHighTrade && EmitBarLowTrade)
{
if (bar.Close > bar.Open)
{
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 3), 0, bar.InstrumentId, bar.Low, (int)(bar.Volume / 4)));
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) * 2 / 3), 0, bar.InstrumentId, bar.High, (int)(bar.Volume / 4)));
}
else
{
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 3), 0, bar.InstrumentId, bar.High, (int)(bar.Volume / 4L)));
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) * 2 / 3), 0, bar.InstrumentId, bar.Low, (int)(bar.Volume / 4)));
}
}
else
{
if (EmitBarHighTrade)
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 2), 0, bar.InstrumentId, bar.High, (int)(bar.Volume / 4)));
if (EmitBarLowTrade)
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 2), 0, bar.InstrumentId, bar.Low, (int)(bar.Volume / 4)));
}
if (EmitBarCloseTrade)
Emit(new Trade(bar.CloseDateTime, 0, bar.InstrumentId, bar.Close, (int)(bar.Volume / 4)));
if (!EmitBar)
return null;
}
return obj;
}
protected override DateTime GetBarCloseDateTime(DataObject obj)
{
return GetDataObjectDateTime(obj, this.type).Date.Add(this.session2);
}
protected override void OnData(DataObject obj)
{
base.OnData(obj);
if (this.bar.Volume >= this.barSize)
EmitBar();
}
protected override DateTime GetBarCloseDateTime(DataObject obj)
{
return GetBarOpenDateTime(obj).AddSeconds(this.barSize);
}
protected virtual DateTime GetDataObjectDateTime(DataObject obj, ClockType type)
{
return type == ClockType.Local ? obj.DateTime : ((Tick)obj).ExchangeDateTime;
}
protected virtual DateTime GetBarOpenDateTime(DataObject obj) => obj.DateTime;
public void Log(DataObject data, int groupId)
{
EventServer.OnLog(new GroupEvent(data, GroupManager.GroupById[groupId]));
}
public DataObject(DataObject obj) : base(obj.DateTime)
{
}
private void SyncLocalClockWithDataObject(DataObject obj)
{
if (this.framework.Clock.Mode == ClockMode.Simulation)
this.framework.Clock.DateTime = obj.DateTime;
else
obj.DateTime = this.framework.Clock.DateTime;
}
public override void Save(Instrument instrument, DataObject obj, SaveMode option = SaveMode.Add)
{
throw new NotImplementedException();
}
public void OnData(DataObject data)=> OnEvent(data);
protected internal void EmitData(DataObject data, bool queued = true)
{
if (queued && this.dataQueue != null)
this.dataQueue.Enqueue(data);
else
this.framework.EventServer.OnData(data);
}
public void UpdateObject(int index, DataObject obj)
{
this.objects[index] = obj;
this.changed = true;
}
public void Serialize(BinaryWriter writer, DataObject obj)
{
var streamer = this.streamsById[obj.TypeId];
writer.Write(streamer.typeId);
writer.Write(streamer.GetVersion(obj));
streamer.Write(writer, obj);
}
public void Log(DataObject data, Group group)
{
EventServer.OnLog(new GroupEvent(data, group));
}
public void Save(Instrument instrument, DataObject obj, SaveMode option = SaveMode.Add) => Server.Save(instrument, obj, option);
public DataObject(DataObject obj) : base(obj.DateTime)
{
}
public void Save(int instrumentId, DataObject obj, SaveMode option = SaveMode.Add)
{
var i = this.framework.InstrumentManager.GetById(instrumentId);
if (i != null)
Server.Save(i, obj, option);
else
Console.WriteLine($"DataManager::Save Instrument with id does not exist in the framework id = {instrumentId}");
}
protected virtual DateTime GetBarCloseDateTime(DataObject obj) => obj.DateTime;
public void Save(string symbol, DataObject obj, SaveMode option = SaveMode.Add)
{
var i = this.framework.InstrumentManager[symbol];
if (i != null)
Server.Save(i, obj, option);
else
Console.WriteLine($"DataManager::Save Instrument with symbol does not exist in the framework {symbol}");
}
protected override DateTime GetBarOpenDateTime(DataObject obj)
{
var t = GetDataObjectDateTime(obj, this.type);
long seconds = (long)t.TimeOfDay.TotalSeconds / this.barSize * this.barSize;
return t.Date.AddSeconds(seconds);
}
public virtual void Save(Instrument instrument, DataObject obj, SaveMode option = SaveMode.Add)
{
// no-op
}
protected override void OnData(DataObject obj)
{
var tick = (Tick)obj;
if (this.bar != null) // when the bar is not new
{
if ((tick.Price > this.bar.High || tick.Price < this.bar.Low) && 10000 * (this.bar.High - this.bar.Low) >= this.barSize)
{
this.bar.DateTime = tick.DateTime;
EmitBar();
}
}
base.OnData(obj);
}
public void OnData(DataObject data) => OnEvent(data);
protected override void OnData(DataObject obj)
{
bool barOpen = this.bar == null;
base.OnData(obj);
if (barOpen)
{
if (!AddReminder(GetBarCloseDateTime(obj), this.type))
{
if (!(obj is Tick))
Console.WriteLine($"SessionBarFactoryItem::OnData Can not add reminder. Object is not tick! Clock = {this.type} local datetime = {this.factory.Framework.Clock.DateTime} exchange datetime = {this.factory.Framework.ExchangeClock.DateTime} object = {obj} reminder datetime = {GetBarCloseDateTime(obj)}");
else
Console.WriteLine($"SessionBarFactoryItem::OnData Can not add reminder. Clock = {this.type} local datetime = {this.factory.Framework.Clock.DateTime} exchange dateTime = {this.factory.Framework.ExchangeClock.DateTime} object = {obj} object exchange datetime = {((Tick)obj).ExchangeDateTime} reminder datetime = {GetBarCloseDateTime(obj)}");
}
}
//bool barOpen = this.bar == null;
//base.OnData(obj);
//if (!barOpen || AddReminder(GetBarCloseDateTime(obj), this.type))
// return;
//if (!(obj is Tick))
// Console.WriteLine($"SessionBarFactoryItem::OnData Can not add reminder. Object is not tick! Clock = {this.type} local datetime = {this.factory.Framework.Clock.DateTime} exchange datetime = {this.factory.Framework.ExchangeClock.DateTime} object = {obj} reminder datetime = {GetBarCloseDateTime(obj)}");
//else
// Console.WriteLine($"SessionBarFactoryItem::OnData Can not add reminder. Clock = {this.type} local datetime = {this.factory.Framework.Clock.DateTime} exchange dateTime = {this.factory.Framework.ExchangeClock.DateTime} object = {obj} object exchange datetime = {((Tick)obj).ExchangeDateTime} reminder datetime = {GetBarCloseDateTime(obj)}");
}
public virtual void Update(long index, DataObject obj)
{
lock (Sync)
{
var dataObject = Get(index);
if (dataObject.DateTime != obj.DateTime)
{
Console.WriteLine("DataSeries::Update Can not update object with different datetime");
return;
}
bool changed = this.readKey.changed;
this.readKey.UpdateObject((int) (index - this.readKey.index1), obj);
if (!changed)
WriteKey(this.readKey);
this.file.isModified = true;
}
}
// TODO: rewrite it using goto statement!!!
internal void OnData(DataObject obj)
{
/*
var tick = (Tick)obj;
var items = ItemLists[tick.InstrumentId];
if (items == null)
return;
int i = 0;
while (i < items.Count)
{
var item = items[i];
switch (item.barInput)
{
case BarInput.Trade:
if (tick.TypeId == DataObjectType.Trade)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Bid:
if (tick.TypeId == DataObjectType.Bid)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Ask:
if (tick.TypeId == DataObjectType.Ask)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Middle:
switch (tick.TypeId)
{
case DataObjectType.Bid:
{
var ask = this.framework.DataManager.GetAsk(tick.InstrumentId);
if (ask == null)
{
i++;
continue;
}
tick = new Tick(obj.DateTime, tick.ProviderId, tick.InstrumentId, (ask.Price + tick.Price) / 2.0, (ask.Size + tick.Size) / 2);
break;
}
case DataObjectType.Ask:
{
Bid bid = this.framework.DataManager.GetBid(tick.InstrumentId);
if (bid == null)
{
i++;
continue;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId, (bid.Price + tick.Price) / 2.0, (bid.Size + tick.Size) / 2);
break;
}
case DataObjectType.Trade:
i++;
continue;
}
if (obj.TypeId != DataObjectType.Ask)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Tick:
{
item.Process(tick);
i++;
continue;
}
case BarInput.BidAsk:
if (tick.TypeId != DataObjectType.Trade)
{
item.Process(tick);
i++;
continue;
}
break;
default:
Console.WriteLine($"BarFactory::OnData BarInput is not supported : {item.barInput}");
break;
}
i++;
}
*/
var tick = (Tick) obj;
var items = ItemLists[tick.InstrumentId];
if (items != null)
{
int i = 0;
while (i < items.Count)
{
var item = items[i];
switch (item.barInput)
{
case BarInput.Trade:
if (tick.TypeId == DataObjectType.Trade)
{
goto IL_19C;
}
break;
case BarInput.Bid:
if (tick.TypeId == DataObjectType.Bid)
{
goto IL_19C;
}
break;
case BarInput.Ask:
if (tick.TypeId == DataObjectType.Ask)
{
goto IL_19C;
}
break;
case BarInput.Middle:
switch (tick.TypeId)
{
case DataObjectType.Bid:
{
var ask = this.framework.DataManager.GetAsk(tick.InstrumentId);
if (ask == null)
{
goto IL_1A3;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId,
(ask.Price + tick.Price)/2.0, (ask.Size + tick.Size)/2);
break;
}
case DataObjectType.Ask:
{
var bid = this.framework.DataManager.GetBid(tick.InstrumentId);
if (bid == null)
{
goto IL_1A3;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId,
(bid.Price + tick.Price)/2.0, (bid.Size + tick.Size)/2);
break;
}
case DataObjectType.Trade:
goto IL_1A3;
}
if (obj.TypeId != DataObjectType.Ask)
{
goto IL_19C;
}
break;
case BarInput.Tick:
goto IL_19C;
case BarInput.BidAsk:
if (tick.TypeId != DataObjectType.Trade)
{
goto IL_19C;
}
break;
default:
Console.WriteLine($"BarFactory::OnData BarInput is not supported : {item.barInput}");
break;
}
IL_1A3:
i++;
continue;
IL_19C:
item.Process(tick);
goto IL_1A3;
}
}
}
private void Insert(DataObject obj)
{
Count++;
if (this.writeKey.dateTime1 <= obj.DateTime && obj.DateTime <= this.writeKey.dateTime2)
{
this.writeKey.AddObject(obj);
if (this.writeKey.count >= this.writeKey.size)
{
WriteKey(this.writeKey);
this.writeKey = new DataKey(this.file, null, this.writeKey.position, -1L)
{
number = this.bufferCount,
index1 = Count,
index2 = Count,
changed = true
};
this.bufferCount++;
this.cache[this.writeKey.number] = this.writeKey;
}
else
{
this.changed = true;
}
this.file.isModified = true;
return;
}
var key = GetKey(obj.DateTime, this.insertKey, IndexOption.Prev);
if (this.insertKey == null)
{
this.insertKey = key;
}
else if (this.insertKey != key)
{
if (this.insertKey.changed)
WriteKey(this.insertKey);
if (!CacheObjects && this.insertKey != this.readKey && this.insertKey != this.writeKey && this.insertKey != this.deleteKey)
this.insertKey.objects = null;
this.insertKey = key;
}
this.insertKey.GetObjects();
if (this.insertKey.count < this.insertKey.size)
{
this.insertKey.AddObject(obj);
if (this.insertKey.count == this.insertKey.size)
WriteKey(this.insertKey);
}
else
{
key = new DataKey(this.file, null, -1L, -1L);
int num = this.insertKey.GetIndex(obj.DateTime, SearchOption.Next);
if (num == -1)
{
key.AddObject(obj);
}
else
{
for (int i = num; i < this.insertKey.count; i++)
{
key.AddObject(this.insertKey.objects[i]);
this.insertKey.objects[i] = null;
}
this.insertKey.count = num;
this.insertKey.index2 = this.insertKey.index1 + this.insertKey.count - 1;
if (this.insertKey.count != 0)
this.insertKey.dateTime2 = this.insertKey.objects[this.insertKey.count - 1].DateTime;
this.insertKey.AddObject(obj);
}
InsertKey(key, this.insertKey);
}
if (this.readKey != null && this.readKey.number > this.insertKey.number)
{
this.readKey.index1 += 1;
this.readKey.index2 += 1;
}
if (this.writeKey != null && this.writeKey.number > this.insertKey.number)
{
this.writeKey.index1 += 1;
this.writeKey.index2 += 1;
}
if (this.deleteKey != null && this.deleteKey.number > this.insertKey.number)
{
this.deleteKey.index1 += 1;
this.deleteKey.index2 += 1;
}
this.insertKey.changed = true;
this.changed = true;
this.file.isModified = true;
}
protected virtual void OnData(DataObject obj)
{
var tick = obj as Tick;
if (this.bar == null)
{
// new bar begins!
this.bar = new Bar
{
InstrumentId = tick.InstrumentId,
Type = this.barType,
Size = this.barSize,
OpenDateTime = GetBarOpenDateTime(obj),
DateTime = this.GetDataObjectDateTime(obj, ClockType.Local),
Open = tick.Price,
High = tick.Price,
Low = tick.Price,
Close = tick.Price,
Volume = tick.Size,
Status = BarStatus.Open
};
this.factory.Framework.EventServer.OnEvent(this.bar);
}
else
{
// update it!
if (tick.Price > this.bar.High)
this.bar.High = tick.Price;
if (tick.Price < this.bar.Low)
this.bar.Low = tick.Price;
this.bar.Close = tick.Price;
this.bar.Volume += tick.Size;
this.bar.DateTime = GetDataObjectDateTime(obj, ClockType.Local);
}
++this.bar.N;
}
public virtual void Save(Instrument instrument, DataObject obj, SaveMode option = SaveMode.Add)
{
// no-op
}