public override void OnTick(TickData td)
{
// -------------------------------------------------------------------
// 测试未成交的挂单
m_iTickCount++;
PrintLine("TickCoount = " + m_iTickCount);
// 买入测试头寸
if (m_iTickCount == 20)
{
double dOpenPrice = td.AskPrice1;
int lots = 1;
PrintLine("开仓");
OpenOrder(dOpenPrice, lots, 0, INSTRUMENT.PriceTick, EnumDirectionType.Buy);
}
// 平仓
if (m_iTickCount == 40)
{
double dClosePrice = 4007;
PrintLine("平仓");
CloseLongPosition(dClosePrice, 1, 0, INSTRUMENT.PriceTick);
}
// 检查是否有超时未成交的挂单（平仓单）
CheckAllOrder_Timeout();
// -------------------------------------------------------------------
}
public Policy(SecurityInfo si, Parameter rpp, PolicyProperties pp)
{
this.isSim = pp.IsSim;
this.SecInfo = si;
this.stockAccount = pp.Account;
this.parameter = rpp;
this.policyName = string.Format("{0}%{1}%{2}%{3}", PName, si.Code, parameter.Bz1, parameter.Bz2);
this.startDate = rpp.StartDate;
this.endDate = rpp.EndDate;
this.inteval = rpp.Inteval;
this.isReal = rpp.IsReal;
this.policyguid = Guid.NewGuid();
initialDataReceiver();
InitialDataProcessor();
currentDay = DateTime.MinValue.Date;
openPoints = new List <OpenPoint>();
IsSimulateFinished = false;
//isOpened = false;
if (rpp.save)
{
SaveParameter(rpp);
}
currentTick = new TickData();
lockObject = new object();
this.isLiveDataProcessor = true;
MomList = new List <double>();
MomAbsList = new List <double>();
DieBars = new List <DieBar>();
tps = new List <TradePoints>();
lock_tps = new object();
eosusdtsi = GlobalValue.GetFutureByCodeAndMarket(parameter.Bz1, si.Market);
eosbtcsi = GlobalValue.GetFutureByCodeAndMarket(parameter.Bz2, si.Market);
}
public IKLineData GetKLineDataByTick(string code, DataReaderFactory dataReaderFactory, KLinePeriod period, IList <int> dates)
{
IKLineData lastKLineData = null;
float lastPrice = -1;
List <IKLineData> klineDataList = new List <IKLineData>();
for (int i = 0; i < dates.Count; i++)
{
int openDate = dates[i];
TickData tickdata = dataReaderFactory.TickDataReader.GetTickData(code, openDate);
List <double[]> openTimes = dataProvider.GetOpenTime(code, openDate);
KLineData klineData;
if (tickdata != null)
{
klineData = DataTransfer_Tick2KLine.Transfer(tickdata, period, openTimes, lastPrice);
klineDataList.Add(klineData);
lastPrice = klineData.arr_end[klineData.Length - 1];
}
else
{
klineData = GetEmptyDayKLineData(code, openDate, openTimes, dataReaderFactory.OpenDateReader, lastKLineData);
klineDataList.Add(klineData);
}
lastKLineData = klineData;
}
if (klineDataList.Count == 0)
{
return(null);
}
IKLineData data = KLineData.Merge(klineDataList);
return(data);
}
public string Proceed()
{
string path = dataUpdateHelper.GetPath_KLineData(codeInfo.Code, date, klinePeriod);
//if (!(codeInfo.Code.EndsWith("0000") || codeInfo.Code.EndsWith("MI")))
//if (!overwrite && File.Exists(path))
// return codeInfo.Code + "-" + date + "的K线数据已存在";
TickData tickData = (TickData)dataUpdateHelper.GetUpdatedTickData(codeInfo.Code, date);
if (tickData == null)
{
tickData = (TickData)dataUpdateHelper.GetNewTickData(codeInfo.ServerCode, date);
}
//tick数据没有，则不生成对应K线数据
if (tickData == null)
{
string msg = codeInfo.Code + "-" + date + "的tick数据不存在";
LogHelper.Warn(GetType(), msg);
return(msg);
}
IList <double[]> tradingPeriod = dataUpdateHelper.GetTradingTime(codeInfo.Code, date).TradingPeriods;
//List<double[]> klineTimes = TradingTimeUtils.GetKLineTimeList_Full(tradingPeriod, KLinePeriod.KLinePeriod_1Minute);
//timeListGetter.GetKLineTimeList(code, date, klinePeriod);
this.klineData = DataTransfer_Tick2KLine.Transfer(tickData, tradingPeriod, KLinePeriod.KLinePeriod_1Minute, lastEndPrice, lastEndHold);
CsvUtils_KLineData.Save(path, klineData);
return("更新" + codeInfo.Code + "-" + date + "的" + klinePeriod + "K线完成");
}
public Policy(SecurityInfo si, Parameter rpp, PolicyProperties pp)
{
this.isSim = pp.IsSim;
this.SecInfo = si;
this.stockAccount = pp.Account;
this.parameter = rpp;
string name = PName;
this.policyName = name;
this.startDate = rpp.StartDate;
this.endDate = rpp.EndDate;
this.inteval = rpp.Inteval;
this.isReal = rpp.IsReal;
this.policyguid = Guid.NewGuid();
initialDataReceiver();
InitialDataProcessor();
currentDay = DateTime.Now;
openPoints = new List <OpenPoint>();
IsSimulateFinished = false;
if (rpp.save)
{
SaveParameter(rpp);
}
currentTick = new TickData();
this.isLiveDataProcessor = true;
tps = new ConcurrentDictionary <Guid, PTradePoints>();
if (!parameter.DebugModel)
{
InitArgs();
}
}
public Policy(SecurityInfo si, Parameter rpp, PolicyProperties pp)
{
this.isSim = pp.IsSim;
this.SecInfo = si;
this.stockAccount = pp.Account;
this.parameter = rpp;
this.policyName = PName + "-" + parameter.BarInteval + "-" + parameter.BarCount + "-" + parameter.TimeCycle.ToString() + "-" + parameter.ZhiYingBeiShu.ToString();
this.startDate = rpp.StartDate;
this.endDate = rpp.EndDate;
this.inteval = rpp.Inteval;
this.isReal = rpp.IsReal;
this.policyguid = Guid.NewGuid();
initialDataReceiver();
InitialDataProcessor();
currentDay = DateTime.Now;
openPoints = new List <OpenPoint>();
IsSimulateFinished = false;
//isOpened = false;
if (rpp.save)
{
SaveParameter(rpp);
}
currentTick = new TickData();
this.isLiveDataProcessor = true;
tps = new ConcurrentDictionary <Guid, PTradePoints>();
}
/// <summary>
/// Tick method called on new tick of a TickerService
/// </summary>
/// <param name="exchange">Exchange that provided this tick</param>
/// <param name="tickData">Information regarding tick</param>
public void OnTick(Exchange exchange, TickData tickData)
{
Preconditions.CheckNotNull(exchange);
Preconditions.CheckNotNull(tickData);
Task.Run(() => ProcessTick(exchange, tickData));
}
private void Open(double price, double qty, OpenType ot, SecurityInfo si, TickData td, string tr)
{
PolicyResultEventArgs arg = new PolicyResultEventArgs();
arg.PolicyName1 = this.policyName;
arg.SecInfo = si;
arg.IsReal = currentTick.IsReal;
OpenPoint op = new OpenPoint();
op.SecInfo = si;
op.OpenTime = td.Time;
op.OpenPrice = price;
op.OpenType = ot;
op.OpenQty = qty;
op.DealQty = 0;
op.Openop = true;
op.FirstTradePriceType = parameter.EnterOrderPriceType;
op.CancelLimitTime = parameter.EnterOrderWaitSecond;
op.ReEnterPecentage = parameter.ReEnterPercent;
TradePoints tp = new TradePoints(op, 0);
tp.Fee = parameter.Fee;
tp.TpRemark = tr;
/////////////add//////////////////////
tp.IsReal = arg.IsReal;
this.tps.TryAdd(tp.TradeGuid, tp);
arg.PairePoint = tp;
arg.PolicyObject = this;
arg.Tickdata = td;
RaiseResult(arg);
}
/// <summary>
/// 预处理：
/// 1.处理掉一些肯定不正确的数据，如提前3分钟开盘，然后到开盘都没有数据了。
///
/// 三种调整算法：
/// 1.开始时间和结束时间都向前或向后移了基本相同的时间，整体迁移。
/// 2.开始时间或者结束时间出现大量重复，分两种情况：1.如果另一头出现了时间偏差，那么整体迁移；2.如果没有，则稀释
/// </summary>
/// <param name="data"></param>
/// <param name="openTime"></param>
public void Adjust(TickData data, List <double[]> openTime)
{
//小于500条数据就不调整了
if (data.Length < 500)
{
return;
}
//2013年以后数据就不调整了
if (data.TradingDay > 20120000)
{
return;
}
//郑州20140827开始1分钟4个tick
List <TickInfo_Period> periods = TickDataAnalysis.Analysis(data, openTime);
if (periods[0].StartIndex == -1)
{
Adjust_Special(data, periods);
return;
}
for (int i = 0; i < periods.Count; i++)
{
TickInfo_Period period = periods[i];
Adjust(data, period);
}
}
/// <summary>
/// 调整规则：
/// 1.如果该开始和结束
///
/// 逻辑：
/// 1.是否有repeat，如果没有repeat直接移动时间
/// 2.
/// </summary>
/// <param name="data"></param>
/// <param name="period"></param>
private void Adjust(TickData data, TickInfo_Period period)
{
TickPeriodAdjustInfo adjustInfo = period.adjustInfo;
if (!adjustInfo.StartRepeat && !adjustInfo.EndRepeat)
{
Adjust_NoRepeat(data, period, adjustInfo);
Console.WriteLine("NoRepeat");
}
else if (adjustInfo.StartRepeat && adjustInfo.EndRepeat)
{
Adjust_AllRepeat(data, period, adjustInfo);
Console.WriteLine("AllRepeat");
}
//有时间偏移，首先根据偏移位置移正，再处理repeat
else if (adjustInfo.HasTimeOffset())
{
Adjust_HasTimeOffsetAndRepeat(data, period, adjustInfo);
Console.WriteLine("TimeOffset");
}
//起始位置repeat，末尾offset，且正好合拍
else if (adjustInfo.HasRepeatOffset())
{
Adjust_HasRepeatOffset(data, period, adjustInfo);
}
//该数据段没有偏移，只有repeat
else
{
Adjust_NoOffsetOnlyRepeat(data, period, adjustInfo);
}
}
private void AdjustTime(TickData data, int startIndex, int endIndex, int offSecond)
{
for (int i = startIndex; i <= endIndex; i++)
{
data.arr_time[i] = TimeUtils.AddSeconds(data.arr_time[i], offSecond);
}
}
public Policy(SecurityInfo si, Parameter rpp, PolicyProperties pp)
{
this.isSim = pp.IsSim;
this.SecInfo = si;
this.stockAccount = pp.Account;
this.parameter = rpp;
this.policyName = PName;
this.startDate = rpp.StartDate;
this.endDate = rpp.EndDate;
this.inteval = rpp.Inteval;
this.isReal = rpp.IsReal;
this.policyguid = Guid.NewGuid();
initialDataReceiver();
InitialDataProcessor();
currentDay = DateTime.Now;
openPoints = new List <OpenPoint>();
IsSimulateFinished = false;
//isOpened = false;
if (rpp.save)
{
SaveParameter(rpp);
}
currentTick = new TickData();
this.isLiveDataProcessor = true;
tps = new ConcurrentDictionary <Guid, TradePoints>();
SecondSi = GlobalValue.GetFutureByCodeAndMarket(parameter.SecondCode, parameter.SecondMarket);
SecondTick = new TickData();
}
private void frm_TickReview_KeyDown(object sender, KeyEventArgs e)
{
if (e.KeyCode == Keys.Left || e.KeyCode == Keys.Right)
{
if (doubleClicked && dataget)
{
if (e.KeyCode == Keys.Left)
{
if (lastindex >= 2)
{
lastindex--;
chart_tick.ChartAreas[0].CursorX.Position = lastindex;
}
}
else if (e.KeyCode == Keys.Right)
{
if (lastindex < this.chart_tick.Series["PointSerial"].Points.Count)
{
lastindex++;
}
chart_tick.ChartAreas[0].CursorX.Position = lastindex;
}
DataPoint dp = this.chart_tick.Series["PointSerial"].Points[lastindex - 1];
TimeSpan ts = TimeSpan.Parse(dp.AxisLabel);
TickData td = th.ticks[ts];
this.uc_stockdetail.Update(td);
this.lb_select.Text = string.Format("价格:{0},时间:{1},量:{2}", td.Last.ToString("0.00"), ts.ToString(), td.Volume);
}
}
}
public void TestTickDataStore_Append()
{
TickData data = (TickData)MockDataLoader.GetTickData("m1005", 20100108);
String path = TestCaseManager.GetTestCasePath(GetType(), "output_");
TickData d1 = data.SubData(0, 100);
TickData d2 = data.SubData(101, data.Length - 1);
TickDataStore_File_Single store = new TickDataStore_File_Single(path);
store.Save(d1);
TickDataStore_File_Single store2 = new TickDataStore_File_Single(path);
store2.Append(d2);
TickDataStore_File_Single store3 = new TickDataStore_File_Single(path);
TickData data2 = store3.Load();
for (int i = 0; i < data.Length; i++)
{
data.BarPos = i;
data2.BarPos = i;
Assert.AreEqual(data.ToString(), data2.ToString());
}
File.Delete(path);
}
private async Task ProcessTick(Exchange exchange, TickData tickData)
{
try
{
// Update instruments
var instrument = await _instrumentManager.Update(tickData);
foreach (var botStrategy in _botStrategies)
{
// Verify if bot strategy was created for this exchange
if (botStrategy.Exchange != exchange)
{
continue;
}
// Verify currency pair used by this bot strategy
if (!botStrategy.CurrencyPair.Equals(tickData.CurrencyPair))
{
continue;
}
// Send tick and other relevant information to strategy
var marketApi = _marketApis.First(m => m.Exchange == botStrategy.Exchange);
botStrategy.HandleTick(tickData, instrument, marketApi);
}
}
catch (Exception e)
{
Logger.Error("Uncaught exception during tick processing.", e);
}
}
public void Run()
{
var timer = new Timer(1000);
var current = 10.2;
const int deltaChange = 50;
const int maxRange = 400;
var time = DateTime.Now;
timer.Elapsed += (s, a) =>
{
_lastTick = TickData.RandomATicks2(current, deltaChange, maxRange, 60, 30, time);
var msg = BuildTransferMessage(_lastTick);
SendToAll(msg);
var msg2 =
BuildTransferMessage(new ChatMessage
{
From = "System",
To = "AllClients",
Content = "Welcome",
Time = DateTime.Now
});
SendToAll(msg2);
current = Math.Max(Math.Min(TickData.Random.NextDouble() > 0.5 ? -TickData.Random.NextDouble() * deltaChange + current :
TickData.Random.NextDouble() * deltaChange + current, maxRange), 0);
time = time.AddSeconds(20);
};
timer.Start();
}
void LateUpdate()
{
if (_tickDataPool.Count == 0)
{
enabled = false;
Debug.LogError("TimeAnalyzerEnd has worked for " + Time.frameCount + " frames. NOW STOP.");
return;
}
int fps = (int)(1f / Time.deltaTime);
// 超过 30 的，都按31处理。
if (fps > 30)
{
fps = 31;
}
float delta = Time.realtimeSinceStartup - TimeAnalyzerStart.Instance.LateUpdateTime;
delta *= 1000;
_currentTickData.LateUpdateCost = delta;
_currentTickData.Fps = fps;
_currentTickData.FrameCount = Time.frameCount;
_currentTickData.TimeSinceLevelStartUp = Time.timeSinceLevelLoad;
if (Time.deltaTime > 0)
{
TimeAnalyzerData.Instance.Save(fps, _currentTickData);
}
// 给下一帧准备 data。
_currentTickData = _tickDataPool.Dequeue();
}
public void LiveDataUpdate(TickData tickdata)
{
if (LiveData_Arrival != null)
{
LiveData_Arrival(this, LiveDataEventArgs.ConvertFromTickData(tickdata));
}
}
public override Style SelectStyle(object item, DependencyObject container, ViewDefinitionBase activeViewDefinition)
{
TickData tickData = item as TickData;
TimeRulerItem timeRulerItem = container as TimeRulerItem;
if (tickData != null && timeRulerItem != null)
{
if (tickData.Type == TickType.Major)
{
if (tickData.Offset == TimeSpan.FromTicks(0))
{
return(this.CustomMajorHorizontalTimeRulerItemStyle);
}
}
}
TimeRulerLine timeRulerLine = container as TimeRulerLine;
if (timeRulerLine != null)
{
if (tickData.Offset == TimeSpan.FromTicks(0))
{
return(this.CustomTimeRulerLineStyle);
}
}
return(base.SelectStyle(item, container, activeViewDefinition));
}
public override void QueryQuote5(JObject jomsg)
{
#region 全量
TickData t = new TickData();
JObject jtick_depth = jomsg;
string[] s = jtick_depth["ch"].ToString().Split(new char[] { '.' });
SecurityInfo si = DicSi[s[1]];
t.SecInfo = si;
System.DateTime startTime = TimeZone.CurrentTimeZone.ToLocalTime(new System.DateTime(1970, 1, 1));
t.Time = startTime.AddMilliseconds(System.Convert.ToDouble(jtick_depth["ts"].ToString()));
t.Name = si.Name;
t.Code = si.Code;
t.IsReal = true;
t.Bid = System.Convert.ToDouble(jtick_depth["tick"]["bids"][0][0].ToString());
t.Ask = System.Convert.ToDouble(jtick_depth["tick"]["asks"][0][0].ToString());
double last = CurrentTicker.getCurrentTickerPrice(market + s[1]);
t.Last = last == 0 ? (t.Bid + t.Ask) / 2 : last;
for (int i = 0; i < 10; i++)
{
t.Bids[i] = System.Convert.ToDouble(jtick_depth["tick"]["bids"][i][0].ToString());
t.Bidsizes[i] = System.Convert.ToDouble(jtick_depth["tick"]["bids"][i][1].ToString());
t.Asks[i] = System.Convert.ToDouble(jtick_depth["tick"]["asks"][i][0].ToString());
t.Asksizes[i] = System.Convert.ToDouble(jtick_depth["tick"]["asks"][i][1].ToString());
}
RaiseQueryData(t);
if (si.Code == this._querySi.Code && si.Market == market)
{
RaiseTradeQueryData(t);
}
#endregion
}
void api_tickdataArrived(TickData data, string instrument)
{
if (pairData.ContainsKey(instrument) == false)
{
pairData.Add(instrument, new TradingAPIPairData());
}
int pos = api.getMarketPosition(instrument);
if (pos != 0)
{
if (pos < 0 && pairData[instrument].lastShortPosition == null)
{
pairData[instrument].lastShortPosition = new TradePosition(0, data.bid, TradePosition.PositionType.shortPosition, instrument);
}
if (pos > 0 && pairData[instrument].lastLongPosition == null)
{
pairData[instrument].lastLongPosition = new TradePosition(0, data.ask, TradePosition.PositionType.longPosition, instrument);
}
}
else // 0 = flat
{
pairData[instrument].lastShortPosition = null;
pairData[instrument].lastLongPosition = null;
}
pairData[instrument].lastTickData = data;
}
/// <summary>
/// 行情返回回调
/// </summary>
/// <param name="pDepthMarketData"></param>
public void HandleOnRtnDepthMarketData(ThostFtdcDepthMarketDataField pDepthMarketData)
{
var tick = new TickData();
tick.gatewayName = this.Gateway.gatewayName;
tick.symbol = pDepthMarketData.InstrumentID;
tick.vtSymbol = pDepthMarketData.InstrumentID;
tick.exchange = "";
tick.lastPrice = pDepthMarketData.LastPrice;
tick.volume = pDepthMarketData.Volume;
tick.openInterest = (int)pDepthMarketData.OpenInterest;
tick.time = pDepthMarketData.UpdateTime;
tick.openPrice = pDepthMarketData.OpenPrice;
tick.highPrice = pDepthMarketData.HighestPrice;
tick.lowPrice = pDepthMarketData.LowestPrice;
tick.preClosePrice = pDepthMarketData.PreClosePrice;
tick.upperLimit = pDepthMarketData.UpperLimitPrice;
tick.lowerLimit = pDepthMarketData.LowerLimitPrice;
tick.bidPrice1 = pDepthMarketData.BidPrice1;
tick.bidVolume1 = pDepthMarketData.BidVolume1;
tick.bidPrice2 = pDepthMarketData.BidPrice2;
tick.bidVolume2 = pDepthMarketData.BidVolume2;
tick.bidPrice3 = pDepthMarketData.BidPrice3;
tick.bidVolume3 = pDepthMarketData.BidVolume3;
tick.bidPrice4 = pDepthMarketData.BidPrice4;
tick.bidVolume4 = pDepthMarketData.BidVolume4;
tick.bidPrice5 = pDepthMarketData.BidPrice5;
tick.bidVolume5 = pDepthMarketData.BidVolume5;
///行情推送
this.Gateway.MainController.MainEvent._OnTick.Invoke(tick);
}
//鼠标放在chart中，会出现一个十字线
private void chart_Tick_MouseMove(object sender, MouseEventArgs e)
{
if (doubleClicked && dataget)
{
this.SuspendLayout();
int CursorX = e.X;
//自定义
int CursorY = e.Y;
//显示X轴的线
chart_tick.ChartAreas[0].CursorX.SetCursorPixelPosition(new PointF(CursorX, CursorY), true);
//与Y轴的间隔
chart_tick.ChartAreas[0].CursorY.Interval = 0.01;
//显示Y轴的线
chart_tick.ChartAreas[0].CursorY.SetCursorPixelPosition(new PointF(CursorX, CursorY), true);
//获取X轴光标的位置
int index = System.Convert.ToInt32(chart_tick.ChartAreas[0].CursorX.Position);
lastindex = index;
DataPoint dp = this.chart_tick.Series["PointSerial"].Points[index - 1];
TimeSpan ts = TimeSpan.Parse(dp.AxisLabel);
TickData td = th.ticks[ts];
//chart1.ChartAreas[0].AxisX.CustomLabels.Add(new CustomLabel(index, index, ts.ToString(), 0, LabelMarkStyle.Box));
this.uc_stockdetail.Update(td);
this.lb_select.Text = string.Format("价格:{0},时间:{1},量:{2}", td.Last.ToString("0.00"), ts.ToString(), td.Volume);
this.ResumeLayout();
}
}
private static void setEndAdjustInfo(TickInfo_Period period, TickData data, int countEverySecond)
{
TickPeriodAdjustInfo adjustInfo = period.adjustInfo;
int endIndex = period.EndIndex;
int endRepeatIndex = FindEndTimeIndex(period, data);
if (endRepeatIndex > 0)
{
int endRepeatTimes = FindEndRepeatTimes(endRepeatIndex, data);
if (endRepeatTimes > countEverySecond)
{
adjustInfo.EndRepeatIndex = endRepeatIndex;
adjustInfo.EndRepeatTimes = endRepeatTimes;
adjustInfo.EndRepeat = true;
}
}
double time = Math.Round(period.EndTime + data.TradingDay, 6);
TimeSpan span = TimeUtils.Substract(data.arr_time[endIndex], time);
int timeDif = span.Minutes * 60 + span.Seconds;
//收盘晚收超过1分钟，认为该收盘时间可能有误
if (timeDif > 60)
{
adjustInfo.EndErrorData = true;
}
adjustInfo.EndOffset = timeDif;
}
public void TestTickDataStore_Append(string uri)
{
string code = "m1005";
int day = 20100108;
IDataStore dataStore = DataStoreFactory.CreateDataStore(uri);
ITickDataStore tickDataStore = dataStore.CreateTickDataStore();
try
{
TickData data = (TickData)MockDataLoader.GetTickData(code, day);
TickData d1 = data.SubData(0, 100);
TickData d2 = data.SubData(101, data.Length - 1);
tickDataStore.Save(code, day, d1);
tickDataStore.Append(code, day, d2);
TickData data2 = tickDataStore.Load(code, day);
AssertUtils.AssertEqual_TickData(data, data2);
}
finally
{
tickDataStore.Delete(code, day);
}
}
private static void setAdjustInfo(List <TickInfo_Period> periods, TickData data, int countEverySecond)
{
for (int i = 0; i < periods.Count; i++)
{
setAdjustInfo(periods[i], data, countEverySecond);
}
}
private static void setStartAdjustInfo(TickInfo_Period period, TickData data, int countEverySecond)
{
TickPeriodAdjustInfo adjustInfo = period.adjustInfo;
int startIndex = period.StartIndex;
if (period.StartTime == 0.09 || period.StartTime == 0.21)
{
startIndex++;
adjustInfo.IsOpen = true;
}
int startRepeatIndex = FindStartTimeIndex(period, data, startIndex);
if (startRepeatIndex >= 0)
{
int startRepeatTimes = FindStartRepeatTimes(startRepeatIndex, data);
if (startRepeatTimes > countEverySecond)
{
adjustInfo.StartRepeatIndex = startRepeatIndex;
adjustInfo.StartRepeatTimes = startRepeatTimes;
adjustInfo.StartRepeat = true;
}
}
double time = Math.Round(period.StartTime + data.TradingDay, 6);
TimeSpan span = TimeUtils.Substract(data.arr_time[startIndex], time);
int timeDif = span.Minutes * 60 + span.Seconds;
//开盘提前超过1分钟，认为该开盘时间可能有误
if (timeDif < -60)
{
adjustInfo.StartErrorData = true;
}
adjustInfo.StartOffset = timeDif;
}
public Deal CalcDeal(Stock stock, TickData tickData)
{
Deal deal = new Deal(stock, Deal.ENone);
if (mEStrategy == EMacd)
{
maBreak.CalcDeal(stock, tickData, deal);
}
else if (mEStrategy == EGrid)
{
grid.CalcDeal(stock, tickData, deal);
}
if (deal.eType == Deal.EBuy)
{
if (deal.buy_price <= 0 || deal.buy_shares <= 0)
{
Utility.Assert("Wrong Deal! deal.buy_price <= 0 || deal.buy_shares <= 0");
}
}
else if (deal.eType == Deal.ESell)
{
if (deal.sell_price <= 0 || deal.sell_shares <= 0)
{
Utility.Assert("Wrong Deal! deal.sell_price <= 0 || deal.sell_shares <= 0");
}
if (deal.sell_shares > stock.position.shares_available)
{
Utility.Assert("Wrong Deal! deal.sell_shares > stock.position.shares_available");
}
}
return(deal);
}
//定义一个带有参数的方法
public void DataArrival(TickData tickdata)
{
if (Data_Arrival != null)
{
Data_Arrival(this, tickdata);
}
}
public static List <TickInfo_Period> Analysis(TickData data, List <double[]> openTime, int countEverySecond)
{
List <TickInfo_Period> periods = GetPeriods(data, openTime);
setAdjustInfo(periods, data, countEverySecond);
return(periods);
}
private void InsertTick(OleDbConnection dbConnection, OleDbTransaction transaction, TickData tick, string symbolId)
{
//DateTime
long ticksPerSecond = 10000000;
long ticks = tick.time.Ticks % ticksPerSecond;
double seconds = ticks / (double)ticksPerSecond;
string insertCommand = "INSERT INTO TickData ([SymbolId], [Time], [Seconds], [TickType], [Value], [Size]) VALUES (" +
"'" + symbolId + "', " +
"#" + tick.time.ToString() + "#, " +
seconds.ToString() + ", " +
((int)tick.tickType).ToString() + ", " +
tick.price.ToString() + ", " +
tick.size.ToString() + ")";
OleDbCommand command = new OleDbCommand(insertCommand, dbConnection, transaction);
command.ExecuteNonQuery();
}
public void SaveTick(Symbol symbol, TickData tick)
{
OleDbConnection dbConnection = new OleDbConnection(connectionString);
dbConnection.Open();
InsertTick(dbConnection, null, tick, symbol.ToUniqueId());
if (dbConnection.State == ConnectionState.Open)
{
dbConnection.Close();
}
}
public List<TickData> LoadTicks(Symbol symbol, DateTime startDate, DateTime endDate)
{
List<TickData> ret = new List<TickData>();
OleDbConnection dbConnection = new OleDbConnection(connectionString);
dbConnection.Open();
string query = "SELECT * FROM TickData WHERE SymbolId = '" + symbol.ToUniqueId() + "' ";
if (startDate != DateTime.MinValue)
{
query += "AND Time >= #" + startDate.ToShortDateString() + " " + startDate.ToShortTimeString() + "# ";
}
if (endDate != DateTime.MaxValue)
{
query += "AND Time <= #" + endDate.ToShortDateString() + " " + endDate.ToShortTimeString() + "# ";
}
query += "ORDER BY Time ASC, Seconds ASC";
OleDbCommand command = new OleDbCommand(query, dbConnection);
OleDbDataReader reader = command.ExecuteReader();
while (reader.Read())
{
TickData tick = new TickData();
tick.time = Convert.ToDateTime(reader["Time"]);
tick.time = tick.time.AddSeconds(Convert.ToDouble(reader["Seconds"]));
tick.tickType = (TickType)Convert.ToInt32(reader["TickType"]);
tick.price = Convert.ToDouble(reader["Price"]);
tick.size = Convert.ToUInt64(reader["Size"]);
if (tick.time >= startDate)
{
ret.Add(tick);
}
}
if (dbConnection.State == ConnectionState.Open)
{
dbConnection.Close();
}
return ret;
}
public void CEL_InstrumentSubscribed(string symbol1, ICQGInstrument instrument)
{
var sdata = new SymbolData();
try
{
var symbol = symbol1;
var symbolLen = symbol.Length;
sdata = new SymbolData("DM_" + symbol.Substring(5, symbolLen - 5).ToUpper()) { Instrument = instrument, Depth = GetDepthForSymbol(instrument.FullName) };
sdata.SymbolName = symbol;
if (_addSybolsList.Count == 0) return;
sdata.MsgObject = _addSybolsList[symbol];
var tdata = new TickData("TS_" + symbol.Substring(5, symbol.Length - 5).ToUpper(), symbol);
DatabaseManager.DoSqlLive(QueryBuilder.createTable_tick(tdata.TableName));
DatabaseManager.DoSqlLive(QueryBuilder.createTable_dom(sdata.TableName));
if (_isMoreInfo)
{
sdata.MsgObject.Text = @"Subscribed. Waiting for data...";
sdata.MsgObject.ForeColor = Color.Green;
}
else
{
sdata.MsgObject.Text = @"Subscribed";
sdata.MsgObject.ForeColor = Color.Green;
}
instrument.DataSubscriptionLevel = eDataSubscriptionLevel.dsQuotesAndDOM;
sdata.GroupId = 0;
Console.WriteLine(@"dom:" + sdata.GroupId);
if (!_symbolsTable.ContainsKey(instrument.FullName))
_symbolsTable.Add(instrument.FullName, sdata);
tdata.GroupID = 0;
if (!_tickTable.ContainsKey(instrument.FullName))
_tickTable.Add(instrument.FullName, tdata);
if (!_subscribedSymbols.Exists(oo => oo == symbol1))
_subscribedSymbols.Add(symbol1);
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
if (sdata.MsgObject != null)
{
sdata.MsgObject.ForeColor = Color.OrangeRed;
sdata.MsgObject.Text = ex.Message;
}
}
}
void iqFeed_IQUpdateMessage(object sender, IQSummaryEventArgs e)
{
if (!connected)
{
return;
}
TickData tick = new TickData();
List<TickData> ticks = new List<TickData>();
if (e.SummaryMessage.Level1.LastTradeTime == DateTime.MinValue)
{
Console.WriteLine("UpdateMessage DateTime.MinValue encountered for tickType " + e.SummaryMessage.Level1.UpdateType.ToString());
}
switch (e.SummaryMessage.Level1.UpdateType)
{
case UpdateType.AskUpdate:
tick.tickType = TickType.Ask;
tick.size = (ulong)e.SummaryMessage.Level1.AskSize;
tick.price = e.SummaryMessage.Level1.Ask;
tick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(tick);
break;
case UpdateType.BidUpdate:
tick.tickType = TickType.Bid;
tick.size = (ulong)e.SummaryMessage.Level1.BidSize;
tick.price = e.SummaryMessage.Level1.Bid;
tick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(tick);
// I never get an "AskUpdate" it appears, so I'm going to update
// the bid and ask here
TickData askTick = new TickData();
askTick.tickType = TickType.Ask;
askTick.size = (ulong)e.SummaryMessage.Level1.AskSize;
askTick.price = e.SummaryMessage.Level1.Ask;
askTick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(askTick);
break;
case UpdateType.TradeUpdate:
tick.tickType = TickType.Trade;
tick.size = e.SummaryMessage.Level1.LastSize;
tick.price = e.SummaryMessage.Level1.LastPrice;
tick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(tick);
break;
default:
break;
}
if (ticks.Count > 0)
{
Symbol symbol = symbolMapping[e.SummaryMessage.Level1.SymbolString];
ProcessTicks(symbol, ticks);
}
}
void oecClient_OnPriceChanged(OEC.API.Contract Contract, OEC.API.Price Price)
{
Symbol symbol = GetSymbolFromContract(Contract);
if (symbol != null)
{
Trace.WriteLine(Contract.ToString() + " Price (" + symbol.ToString() + ")");
SymbolPrice symbolPrice = null;
if (!_symbolPrices.TryGetValue(symbol, out symbolPrice))
{
symbolPrice = new SymbolPrice();
symbolPrice.symbol = symbol;
symbolPrice.TotalVol = Price.TotalVol;
_symbolPrices[symbol] = symbolPrice;
}
TickData data;
if (symbolPrice.AskPrice != Price.AskPrice || symbolPrice.AskSize != Price.AskVol)
{
symbolPrice.AskPrice = Price.AskPrice;
symbolPrice.AskSize = Price.AskVol;
data = new TickData();
data.time = Price.LastDateTime;
data.tickType = TickType.Ask;
data.price = Price.AskPrice;
data.size = (UInt64)Price.AskVol;
if (tickListener != null)
{
tickListener(symbol, data);
}
}
if (symbolPrice.BidPrice != Price.BidPrice || symbolPrice.BidSize != Price.BidVol)
{
symbolPrice.BidPrice = Price.BidPrice;
symbolPrice.BidSize = Price.BidVol;
data = new TickData();
data.time = Price.LastDateTime;
data.tickType = TickType.Bid;
data.price = Price.BidPrice;
data.size = (UInt64)Price.BidVol;
if (tickListener != null)
{
tickListener(symbol, data);
}
}
if (symbolPrice.TotalVol != Price.TotalVol || symbolPrice.LastPrice != Price.LastPrice)
{
data = new TickData();
data.time = Price.LastDateTime;
data.tickType = TickType.Trade;
data.price = Price.LastPrice;
if (symbolPrice.TotalVol > Price.TotalVol)
{
data.size = 0;
}
else
{
data.size = (UInt64)(Price.TotalVol - symbolPrice.TotalVol);
}
symbolPrice.LastPrice = Price.LastPrice;
symbolPrice.TotalVol = Price.TotalVol;
if (tickListener != null)
{
tickListener(symbol, data);
}
}
//data = new TickData();
//data.time = DateTime.Now;
//data.tickType = TickType.LastSize;
//data.value = Price.LastVol;
//if (tickListener != null)
//{
// tickListener(symbol, data);
//}
if (symbolPrice.LowPrice != Price.LowPrice)
{
symbolPrice.LowPrice = Price.LowPrice;
data = new TickData();
data.time = Price.LastDateTime;
data.tickType = TickType.LowPrice;
data.price = Price.LowPrice;
if (tickListener != null)
{
tickListener(symbol, data);
}
}
if (symbolPrice.HighPrice != Price.HighPrice)
{
symbolPrice.HighPrice = Price.HighPrice;
data = new TickData();
data.time = Price.LastDateTime;
data.tickType = TickType.HighPrice;
data.price = Price.HighPrice;
if (tickListener != null)
{
tickListener(symbol, data);
}
}
//data = new TickData();
//data.time = DateTime.Now;
//data.tickType = TickType.OpenPrice;
//data.value = Price.OpenPrice;
//if (tickListener != null)
//{
// tickListener(symbol, data);
//}
//data = new TickData();
//data.time = DateTime.Now;
//data.tickType = TickType.AskSize;
//data.value = Price.AskVol;
//if (tickListener != null)
//{
// tickListener(symbol, data);
//}
//data = new TickData();
//data.time = DateTime.Now;
//data.tickType = TickType.BidSize;
//data.value = Price.BidVol;
//if (tickListener != null)
//{
// tickListener(symbol, data);
//}
//data = new TickData();
//data.time = DateTime.Now;
//data.tickType = TickType.Change;
//data.value = Price.Change;
//if (tickListener != null)
//{
// tickListener(symbol, data);
//}
}
else
{
//Trace.WriteLine(Contract.ToString() + " Price (unwatched)");
}
}
private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
if (!_symbolsTable.Keys.Contains(instrument.FullName)) return;
lock (_waitingLocker)
{
SymbolData symbolData = _symbolsTable[instrument.FullName];
if (symbolData.IsCanceled)
{
RemoveSymbol(instrument.FullName);
return;
}
if (!(_cel.IsValid(instrument.DOMBids) && _cel.IsValid(instrument.DOMAsks))) return;
if (!symbolData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - symbolData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - symbolData.PrevTradeVol) > epsilon))
{
symbolData.IsNewTrade = true;
if (_isMoreInfo)
{
if (symbolData.MsgObject.Parent.Parent != null)
symbolData.MsgObject.Parent.Parent.BeginInvoke(
new Action(
() =>
symbolData.MsgObject.Text =
@"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
instrument.DOMAsks.Count));
}
}
else
{
symbolData.IsNewTrade = false;
}
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
else
{
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
symbolData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(symbolData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++symbolData.GroupId,
symbolData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
return;
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = symbolData.SymbolName,
Timestamp = serverTimestamp,
GroupID = symbolData.GroupId
};
if (_onSymbolsList.Contains(instrument.FullName))
{
DatabaseManager.AddToBuffer(query, true, tickDomData);
if (_allowedSymbols.ContainsKey(_symbolsTable[instrument.FullName].SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])
return;
DatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
_symbolsTable[instrument.FullName] = symbolData;
}
}
void client_TickSize(object sender, TickSizeEventArgs e)
{
Symbol symbol = null;
TickData data;
GotTickData listener = null;
lock (_lockObject)
{
symbol = idToSymbol(e.TickerId);
if (symbol == null)
{
// Not a watched symbol
return;
}
data = new TickData();
data.time = GetAccountTime("size tick");
data.size = AdjustVolume(symbol, (UInt64)e.Size);
if (e.TickType == KRSTickType.BidSize)
{
// Bid size
data.tickType = TickType.Bid;
lastBidPrices.TryGetValue(symbol, out data.price);
lastBidSizes[symbol] = data.size;
}
else if (e.TickType == KRSTickType.AskSize)
{
// Ask size
data.tickType = TickType.Ask;
lastAskPrices.TryGetValue(symbol, out data.price);
lastAskSizes[symbol] = data.size;
}
else if (e.TickType == KRSTickType.LastSize)
{
// Last Size
return;
//data.tickType = TickType.LastSize;
}
else if (e.TickType == KRSTickType.Volume)
{
// Volume
bool bSend = true;
UInt64 lastVolume;
TickData tradeTick = new TickData();
if (!lastVolumes.TryGetValue(symbol, out lastVolume))
{
bSend = false;
}
else if ((UInt64)e.Size <= lastVolume)
{
bSend = false;
}
else if (!lastPrices.TryGetValue(symbol, out tradeTick.price))
{
bSend = false;
}
//if (lastVolume == -1 || data.value <= lastVolume)
//{
// bSend = false;
//}
if (bSend)
{
tradeTick.time = data.time;
tradeTick.tickType = TickType.Trade;
tradeTick.size = AdjustVolume(symbol, (UInt64)e.Size - lastVolume);
//lastVolume = e.size * 100;
if (tickListener != null)
{
tickListener(symbol, tradeTick);
}
}
if (e.Size > 0)
{
lastVolumes[symbol] = (UInt64)e.Size;
}
data.tickType = TickType.DailyVolume;
}
else
{
// Unknown tick type
return;
}
listener = tickListener;
}
if (listener != null)
{
listener(symbol, data);
}
}
static void Cel_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null) return;
lock (_waitingLocker)
{
var domData = symbolData.DomData;
if (!(Cel.IsValid(instrument.DOMBids) && Cel.IsValid(instrument.DOMAsks))) return;
if (!domData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - domData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - domData.PrevTradeVol) > epsilon))
{
domData.IsNewTrade = true;
//if (_isMoreInfo)
//{
// if (symbolData.MsgObject.Parent.Parent != null)
// symbolData.MsgObject.Parent.Parent.BeginInvoke(
// new Action(
// () =>
// symbolData.MsgObject.Text =
// @"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
// instrument.DOMAsks.Count));
//}
}
else
{
domData.IsNewTrade = false;
}
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
else
{
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
domData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(domData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++domData.GroupId,
domData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
return;
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = domData.SymbolName,
Timestamp = serverTimestamp,
GroupID = domData.GroupId
};
ClientDatabaseManager.AddToBuffer(query, true, tickDomData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
symbolData.DomData = domData;
}
}
void iqFeed_IQSummaryMessage(object sender, IQSummaryEventArgs e)
{
if (!connected)
{
return;
}
TickData bid = new TickData();
TickData ask = new TickData();
List<TickData> ticks = new List<TickData>();
bid.tickType = TickType.Bid;
ask.tickType = TickType.Ask;
bid.price = e.SummaryMessage.Level1.Bid;
ask.price = e.SummaryMessage.Level1.Ask;
bid.size = (ulong)e.SummaryMessage.Level1.BidSize;
ask.size = (ulong)e.SummaryMessage.Level1.AskSize;
if (e.SummaryMessage.Level1.LastTradeTime == DateTime.MinValue)
{
Console.WriteLine("Summary Message DateTime.MinValue encountered for tickType " + e.SummaryMessage.Level1.UpdateType.ToString());
}
if (e.SummaryMessage.Level1.LastTradeTime != DateTime.MinValue)
{
bid.time = ask.time = e.SummaryMessage.Level1.LastTradeTime;
lastGoodTickTime = e.SummaryMessage.Level1.LastTradeTime;
}
else
{
bid.time = ask.time = lastGoodTickTime;
}
TickData totalVolume = new TickData();
totalVolume.size = e.SummaryMessage.Level1.TotalVolume;
totalVolume.time = lastGoodTickTime;
totalVolume.tickType = TickType.DailyVolume;
TickData lastPrice = new TickData();
lastPrice.tickType = TickType.Trade;
lastPrice.time = lastGoodTickTime;
lastPrice.price = e.SummaryMessage.Level1.LastPrice;
TickData prevClose = new TickData();
prevClose.tickType = TickType.PreviousClose;
prevClose.time = lastGoodTickTime;
prevClose.price = e.SummaryMessage.Level1.LastPrice - e.SummaryMessage.Level1.TodaysChange;
TickData open = new TickData();
open.tickType = TickType.OpenPrice;
open.time = lastGoodTickTime;
open.price = e.SummaryMessage.Level1.Open;
TickData high = new TickData();
high.tickType = TickType.HighPrice;
high.time = lastGoodTickTime;
high.price = e.SummaryMessage.Level1.High;
TickData low = new TickData();
low.tickType = TickType.LowPrice;
low.price = e.SummaryMessage.Level1.Low;
low.time = lastGoodTickTime;
ticks.Add(bid);
ticks.Add(ask);
ticks.Add(totalVolume);
ticks.Add(lastPrice);
ticks.Add(prevClose);
ticks.Add(open);
ticks.Add(high);
ticks.Add(low);
Symbol symbol = symbolMapping[e.SummaryMessage.Level1.SymbolString];
ProcessTicks(symbol, ticks);
}
public void SaveTick(Symbol symbol, TickData tick)
{
SqlConnection dbConnection = null;
try
{
dbConnection = new SqlConnection(ConnectionString);
dbConnection.Open();
InsertTick(dbConnection, null, tick, symbol.ToUniqueId());
}
finally
{
if (dbConnection != null)
{
dbConnection.Close();
}
}
}
void client_TickPrice(object sender, TickPriceEventArgs e)
{
Symbol symbol = null;
TickData data;
GotTickData listener = null;
lock (_lockObject)
{
symbol = idToSymbol(e.TickerId);
if (symbol == null)
{
// Not a watched symbol
return;
}
data = new TickData();
data.time = GetAccountTime("price tick");
data.price = (double)e.Price;
if (data.price <= 0 &&
symbol.AssetClass != AssetClass.Future &&
symbol.AssetClass != AssetClass.Option &&
symbol.AssetClass != AssetClass.FuturesOption)
{
// GBP/USD was getting bid and ask ticks with a price of zero, so ignore these.
// 4/20/2010 - A user reported various forex symbols were getting negative prices, so these will also be ignored
return;
}
if (e.TickType == KRSTickType.BidPrice)
{
// Bid price
data.tickType = TickType.Bid;
lastBidSizes.TryGetValue(symbol, out data.size);
lastBidPrices[symbol] = (double)e.Price;
}
else if (e.TickType == KRSTickType.AskPrice)
{
// Ask price
data.tickType = TickType.Ask;
lastAskSizes.TryGetValue(symbol, out data.size);
lastAskPrices[symbol] = (double)e.Price;
}
else if (e.TickType == KRSTickType.LastPrice)
{
// Last price;
lastPrices[symbol] = (double)e.Price;
if (symbol.AssetClass == AssetClass.Index)
{
// Indexes don't come with volume ticks, so we can
// force this tick through instead of trying to match
// it up with a volume tick.
data.tickType = TickType.Trade;
}
else
{
return;
}
}
else if (e.TickType == KRSTickType.HighPrice)
{
// High price
data.tickType = TickType.HighPrice;
}
else if (e.TickType == KRSTickType.LowPrice)
{
// Low price
data.tickType = TickType.LowPrice;
}
else if (e.TickType == KRSTickType.ClosePrice)
{
// Close price
data.tickType = TickType.PreviousClose;
}
else if (e.TickType == Krs.Ats.IBNet.TickType.OpenPrice)
{
data.tickType = TickType.OpenPrice;
}
else
{
// Unknown tick type
return;
}
listener = tickListener;
}
if (data.tickType != TickType.NotSet && listener != null)
{
listener(symbol, data);
}
}
public List<TickData> LoadTicks(Symbol symbol, DateTime startDate, DateTime endDate)
{
List<TickData> ret = new List<TickData>();
SqlConnection dbConnection = null;
try
{
dbConnection = new SqlConnection(ConnectionString);
dbConnection.Open();
string query = "SELECT * FROM TickData WHERE SymbolId = @SymbolId";
// Can't check for DateTime.MinValue because they may ask for DateTime.MinValue + their frequency
// in which case, the previous check would fail. See bug ID 1135.
if (startDate > new DateTime(1, 1, 1753))
{
query += " AND [Time] >= @StartDate ";
}
if (endDate != DateTime.MaxValue)
{
query += " AND [Time] <= @EndDate ";
}
query += " ORDER BY Time ASC, Seconds ASC";
SqlCommand command = new SqlCommand(query, dbConnection);
SqlParameter symbolIdParam = new SqlParameter("@SymbolID", SqlDbType.NVarChar, 50);
symbolIdParam.Value = symbol.ToUniqueId();
command.Parameters.Add(symbolIdParam);
if (startDate.Year > 1)
{
SqlParameter param = new SqlParameter("@StartDate", SqlDbType.DateTime);
param.Value = startDate;
command.Parameters.Add(param);
}
if (endDate != DateTime.MaxValue)
{
SqlParameter param = new SqlParameter("@EndDate", SqlDbType.DateTime);
param.Value = endDate;
command.Parameters.Add(param);
}
SqlDataReader reader = command.ExecuteReader();
while (reader.Read())
{
TickData tick = new TickData();
tick.time = Convert.ToDateTime(reader["Time"]);
tick.time = tick.time.AddSeconds(Convert.ToDouble(reader["Seconds"]));
tick.tickType = (TickType)Convert.ToInt32(reader["TickType"]);
tick.price = Convert.ToDouble(reader["Price"]);
tick.size = Convert.ToUInt64(reader["Size"]);
if (tick.time >= startDate)
{
ret.Add(tick);
}
}
}
finally
{
if (dbConnection != null)
{
dbConnection.Close();
}
}
return ret;
}
private void InsertTick(SqlConnection dbConnection, SqlTransaction transaction, TickData tick, string symbolId)
{
// Looks like sometimes we got a MinValue on the date ??
// Not sure if its us or the data provider, but maybe we should
// handle it gracefully if it gets to this point.
if (tick.time == DateTime.MinValue)
{
tick.time = DateTime.Now;
}
long ticksPerSecond = 10000000;
long ticks = tick.time.Ticks % ticksPerSecond;
double seconds = ticks / (double)ticksPerSecond;
string insertCommand = "INSERT INTO TickData ([SymbolId], [Time], [Seconds], [TickType], [Price], [Size]) VALUES (@SymbolID, @Time, @Seconds, @TickType, @Price, @Size)";
SqlCommand command = new SqlCommand(insertCommand, dbConnection, transaction);
SqlParameter param = new SqlParameter("@SymbolID", SqlDbType.NVarChar, 50);
param.Value = symbolId;
command.Parameters.Add(param);
param = new SqlParameter("@Time", SqlDbType.DateTime);
param.Value = tick.time;
command.Parameters.Add(param);
param = new SqlParameter("@Seconds", SqlDbType.BigInt);
param.Value = seconds;
command.Parameters.Add(param);
param = new SqlParameter("@TickType", SqlDbType.Int);
param.Value = tick.tickType;
command.Parameters.Add(param);
param = new SqlParameter("@Price", SqlDbType.Float);
param.Value = tick.price;
command.Parameters.Add(param);
param = new SqlParameter("@Size", SqlDbType.BigInt);
param.Value = tick.size;
command.Parameters.Add(param);
command.ExecuteNonQuery();
}
