public PbTick Restore(PbTick prev, PbTick diff)
{
if (prev == null)
{
if (diff.Config == null)
{
throw new Exception("快照的配置不能为空");
}
// 记下配置，要用到
Config = diff.Config;
// 是快照，直接返回
return(diff);
}
var tick = new PbTick();
#region 配置数据
if (diff.Config == null)
{
// 使用上条的配置
tick.Config = prev.Config;
}
else
{
// 新配置
_config = diff.Config;
// 是快照，直接返回
return(diff);
}
#endregion
Config = tick.Config;
tick.LastPrice = prev.LastPrice + diff.LastPrice;
tick.AskPrice1 = prev.AskPrice1 + diff.AskPrice1;
// 前一个是完整的，后一个是做过Size和Price的调整，如何还原
var newPrevList = new List <DepthItem>();
var newDiffList = new List <DepthItem>();
// 换成同长度
DepthListHelper.ExpandTwoListsToSameLength(
prev.DepthList, diff.DepthList,
int.MinValue, int.MaxValue,
newPrevList, newDiffList);
tick.DepthList = new List <DepthItem>();
DepthListHelper.SizeAddInTwoLists(newPrevList, newDiffList, tick.DepthList);
#region 常用行情信息
tick.Volume = prev.Volume + diff.Volume;
tick.OpenInterest = prev.OpenInterest + diff.OpenInterest;
tick.Turnover = prev.Turnover + diff.Turnover;
tick.AveragePrice = prev.AveragePrice + diff.AveragePrice;
tick.TradingDay = prev.TradingDay + diff.TradingDay;
tick.ActionDay = prev.ActionDay + diff.ActionDay;
tick.Time_HHmm = prev.Time_HHmm + diff.Time_HHmm;
tick.Time________ff = prev.Time________ff + diff.Time________ff;
// 还原时间
tick.Time_____ssf__ = prev.Time_____ssf__ + diff.Time_____ssf__ + _config.Time_ssf_Diff;
tick.LocalTime_Msec = prev.LocalTime_Msec + diff.LocalTime_Msec;
#endregion
#region Bar数据
if (prev.Bar != null || diff.Bar != null)
{
tick.Bar = new BarInfo();
if (prev.Bar == null)
{
prev.Bar = new BarInfo();
}
if (diff.Bar == null)
{
diff.Bar = new BarInfo();
}
tick.Bar.Open = prev.Bar.Open + diff.Bar.Open;
tick.Bar.High = prev.Bar.High + diff.Bar.High;
tick.Bar.Low = prev.Bar.Low + diff.Bar.Low;
tick.Bar.Close = prev.Bar.Close + diff.Bar.Close;
tick.Bar.BarSize = prev.Bar.BarSize + diff.Bar.BarSize;
}
#endregion
#region 静态数据
if (prev.Static != null || diff.Static != null)
{
tick.Static = new StaticInfo();
if (prev.Static == null)
{
prev.Static = new StaticInfo();
}
if (diff.Static == null)
{
diff.Static = new StaticInfo();
}
tick.Static.LowerLimitPrice = prev.Static.LowerLimitPrice + diff.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = prev.Static.UpperLimitPrice + diff.Static.UpperLimitPrice;
tick.Static.SettlementPrice = prev.Static.SettlementPrice + diff.Static.SettlementPrice;
tick.Static.Symbol = string.IsNullOrWhiteSpace(diff.Static.Symbol) ? prev.Static.Symbol : diff.Static.Symbol;
tick.Static.Exchange = string.IsNullOrWhiteSpace(diff.Static.Exchange) ? prev.Static.Exchange : diff.Static.Exchange;
}
#endregion
#region 除权除息数据
// 没有做过差分，所以直接返回
if (diff.Split != null)
{
tick.Split = diff.Split;
}
#endregion
return(tick);
}
/// <summary>
/// 传入两个tick得到tick的差分
/// </summary>
/// <param name="prev"></param>
/// <param name="current"></param>
/// <returns></returns>
public PbTick Diff(PbTick prev, PbTick current)
{
if (prev == null)
{
if (current.Config == null)
{
throw new Exception("快照的配置不能为空");
}
return(current);
}
var tick = new PbTick();
#region 配置数据
// 当前数据为空或前后相同，表示
if (current.Config == null || prev.Config.IsSame(current.Config))
{
tick.Config = null;
// 可以继续下去
}
else
{
// 是新数据，返回快照
Config = current.Config;
return(current);
}
#endregion
// 先取最关键的数据，因为前一条的config总会补成有效
Config = prev.Config;
tick.LastPrice = current.LastPrice - prev.LastPrice;
tick.AskPrice1 = current.AskPrice1 - prev.AskPrice1;
// 在这假定两个数据都是完整的
var newPrevList = new List <DepthItem>();
var newCurrList = new List <DepthItem>();
// 先将两个队列变成同长
DepthListHelper.ExpandTwoListsToSameLength(
prev.DepthList, current.DepthList,
int.MinValue, int.MaxValue,//这个截断工作没有做
newPrevList, newCurrList);
// 然后做减法,变动Size
tick.DepthList = new List <DepthItem>();
DepthListHelper.SizeMinusInTwoLists(newPrevList, newCurrList, tick.DepthList);
#region 常用行情信息
tick.Volume = current.Volume - prev.Volume;
tick.OpenInterest = current.OpenInterest - prev.OpenInterest;
tick.Turnover = current.Turnover - prev.Turnover;
tick.AveragePrice = current.AveragePrice - prev.AveragePrice;
tick.TradingDay = current.TradingDay - prev.TradingDay;
tick.ActionDay = current.ActionDay - prev.ActionDay;
tick.Time_HHmm = current.Time_HHmm - prev.Time_HHmm;
tick.Time________ff = current.Time________ff - prev.Time________ff;
// 这个地方有区别要减去一个差，将时间再缩小
tick.Time_____ssf__ = current.Time_____ssf__ - prev.Time_____ssf__ - _config.Time_ssf_Diff;
tick.LocalTime_Msec = current.LocalTime_Msec - prev.LocalTime_Msec;
#endregion
#region Bar数据
// Bar数据要进行差分计算
if (current.Bar != null || prev.Bar != null)
{
tick.Bar = new BarInfo();
if (current.Bar == null)
{
current.Bar = new BarInfo();
}
if (prev.Bar == null)
{
prev.Bar = new BarInfo();
}
tick.Bar.Open = current.Bar.Open - prev.Bar.Open;
tick.Bar.High = current.Bar.High - prev.Bar.High;
tick.Bar.Low = current.Bar.Low - prev.Bar.Low;
tick.Bar.Close = current.Bar.Close - prev.Bar.Close;
tick.Bar.BarSize = current.Bar.BarSize - prev.Bar.BarSize;
if (tick.Bar.IsZero)
{
tick.Bar = null;
}
}
#endregion
#region 静态数据
if (current.Static != null || prev.Static != null)
{
tick.Static = new StaticInfo();
if (current.Static == null)
{
current.Static = new StaticInfo();
}
if (prev.Static == null)
{
prev.Static = new StaticInfo();
}
tick.Static.LowerLimitPrice = current.Static.LowerLimitPrice - prev.Static.LowerLimitPrice;
tick.Static.UpperLimitPrice = current.Static.UpperLimitPrice - prev.Static.UpperLimitPrice;
tick.Static.SettlementPrice = current.Static.SettlementPrice - prev.Static.SettlementPrice;
if (!string.Equals(current.Static.Exchange, prev.Static.Exchange))
{
tick.Static.Exchange = current.Static.Exchange;
}
if (!string.Equals(current.Static.Symbol, prev.Static.Symbol))
{
tick.Static.Symbol = current.Static.Symbol;
}
if (tick.Static.IsZero)
{
tick.Static = null;
}
}
#endregion
#region 除权除息数据
// 除权除息数据本来就是稀疏矩阵，不需要做差分
if (current.Split != null)
{
tick.Split = current.Split;
if (tick.Split.IsZero)
{
tick.Split = null;
}
}
#endregion
return(tick);
}