public static List<Candle> Get(string instrumentID, DateTime fromTradingDay)
{
var table = new DataTable();
var command = new SQLiteCommand("SELECT * FROM candle WHERE instrumentid=@InstrumentID AND tradingday>=@TradingDay", DALUtil.Connection);
command.Parameters.AddWithValue("@InstrumentID", instrumentID);
command.Parameters.AddWithValue("@TradingDay", fromTradingDay);
var adapter = new SQLiteDataAdapter(command);
adapter.Fill(table);
var candles = new List<Candle>();
foreach (var item in table.Rows)
{
var row = item as DataRow;
var candle = new Candle();
candle.InstrumentID = row.Field<string>(0);
candle.TradingDay = row.Field<DateTime>(1);
candle.CandleTime = row.Field<DateTime>(2);
candle.Open = DALUtil.GetDouble(row[3]);
candle.Close = DALUtil.GetDouble(row[4]);
candle.High = DALUtil.GetDouble(row[5]);
candle.Low = DALUtil.GetDouble(row[6]);
candle.Volume = row.Field<int>(7);
candle.OpenInterest = DALUtil.GetDouble(row[8]);
candles.Add(candle);
}
return candles;
}
public bool ProcessQuotation(Quotation quotation, int volume)
{
DateTime newCandleTime = CandleHelper.GetCandleTime(quotation.Time, quotation.TradingDay, this.type);
if (this.LastData == null || this.LastData.CandleTime != newCandleTime)
{
this.LastData = new Candle(quotation, newCandleTime, volume);
return true;
}
else
{
this.LastData.UpdateCandle(quotation, volume);
return false;
}
}
private static Candle CombineCandle(List<Candle> candles, DateTime candleTime)
{
Candle first = candles[0];
Candle last = candles[candles.Count - 1];
Candle result = new Candle()
{
InstrumentID = first.InstrumentID,
TradingDay = first.TradingDay,
CandleTime = candleTime,
Open = first.Open,
Close = last.Close,
High = candles.Max(p => p.High),
Low = candles.Min(p => p.Low),
Volume = candles.Sum(p => p.Volume),
OpenInterest = last.OpenInterest
};
return result;
}
public static Candle GetLast(string instrumentID)
{
var command = new SQLiteCommand("SELECT * FROM candle WHERE instrumentid=@InstrumentID order by candletime desc limit 1", DALUtil.Connection);
command.Parameters.AddWithValue("@InstrumentID", instrumentID);
SQLiteDataReader reader = command.ExecuteReader();
if (!reader.Read())
{
return null;
}
var candle = new Candle();
candle.InstrumentID = reader.GetString(0);
candle.TradingDay = reader.GetDateTime(1);
candle.CandleTime = reader.GetDateTime(2);
candle.Open = DALUtil.GetDouble(reader[3]);
candle.Close = DALUtil.GetDouble(reader[4]);
candle.High = DALUtil.GetDouble(reader[5]);
candle.Low = DALUtil.GetDouble(reader[6]);
candle.Volume = reader.GetInt32(7);
candle.OpenInterest = DALUtil.GetDouble(reader[8]);
return candle;
}
public static void AddCandle(Candle candle)
{
candleQueue.Enqueue(candle);
}
public CandleBuilder(Candle lastData, CandleType type)
{
this.LastData = lastData;
this.type = type;
}