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__);
}
// 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);
}
// 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);
}
