public static bool HasOption(this TickMask1Flags mask1, TickMask1Flags checkflag)
{
return((mask1 & checkflag) == checkflag);
}
private TickRecord ReadNextTickRecord()
{
TickMask1Flags mask1 = (TickMask1Flags)_br.ReadByte();
TickMask2Flags mask2 = (TickMask2Flags)_br.ReadByte();
// Inputs
UInt64 timeDelta;
uint priceDelta = 0;
UInt64 volumeDelta;
uint priceDeltaOffset = 0;
// Outputs
DateTime barDateTime;
Double barPrice;
Double barBid;
Double barAsk;
long barVolume;
//
// check the Time flag
//
if (mask1.HasOption(TickMask1Flags.Time1Secs))
{
timeDelta = _br.ReadByte();
barDateTime = _lastDateTime.AddTicks((long)(timeDelta * 10000000));
}
else if (mask1.HasOption(TickMask1Flags.Time8))
{
long bigTimeDelta = (long)_br.ReadUInt64BE();
barDateTime = _lastDateTime.AddTicks(bigTimeDelta);
}
else
{
if (mask1.HasOption(TickMask1Flags.Time4))
{
timeDelta = /*(int)*/ _br.ReadUInt32BE();
}
else if (mask1.HasOption(TickMask1Flags.Time2))
{
timeDelta = _br.ReadUInt16BE();
}
else if (mask1.HasOption(TickMask1Flags.Time1))
{
timeDelta = _br.ReadByte();
}
else if (mask1.HasOption(TickMask1Flags.NoTime))
{
timeDelta = 0;
}
else
{
throw new Exception($"Unrecognized Time Flag in Mask1: {Convert.ToString((short)mask1, 2)}\n" +
$"Mask2: {Convert.ToString((short)mask2, 2)}\n" +
$"FileName: {FileName}\n" +
$"Position: {_br.BaseStream.Position}");
}
barDateTime = _lastDateTime.AddTicks((long)timeDelta);
}
//
// check the Price flag
//
// There are two price markers in the top two high order bits in Mask1.
// If either is set then a price must be calculated because it's not the same as the previous bar otherwise there is no price
// change and the price is the same as the previous bar.
//
// There are three options...
//
// (1) If only the first bit is set then the Price Delta must be read as a single byte following the Time Delta if applicable and
// an offset of 128 applied.
//
// b10xxxxxx
//
// (2) If both are set the Price Delta must be read as a 4 byte unsigned integer following the Time Delta if applicable and
// an offset of 0x80000000 applied.
//
// b11xxxxxx
//
// (3) If only the 2nd bit is set then the Price Delta is embedded in the 4 low order bits of Mask2.
//
// If a value exists within the low 4 bits of Mask2 then you may use Mask 2 as the Price Delta.
//
// b01xxxxxx
//
// Mask2 - bxxxxpppp
// Price delta = b0000pppp
// Price delta Offset = bxxxx0000
//
if (mask1.HasOption(TickMask1Flags.Price4))
{
priceDelta = _br.ReadUInt32BE();
priceDeltaOffset = 2147483648; // 0x80000000
}
else if (mask1.HasOption(TickMask1Flags.Price1))
{
priceDelta = _br.ReadByte();
priceDeltaOffset = 128; // 0x80
}
else if (mask1.HasOption(TickMask1Flags.PriceEmbeddedInMask2))
{
if (mask2.HasOption(TickMask2Flags.PriceDeltaBit1) || mask2.HasOption(TickMask2Flags.PriceDeltaBit2) || mask2.HasOption(TickMask2Flags.PriceDeltaBit3) || mask2.HasOption(TickMask2Flags.PriceDeltaBit4))
{
priceDelta = (byte)mask2;
if (mask2.HasOption(TickMask2Flags.Volume8))
{
priceDeltaOffset = 240;
}
else if (mask2.HasOption(TickMask2Flags.Volume4))
{
priceDeltaOffset = 208;
}
else if (mask2.HasOption(TickMask2Flags.Volume2))
{
priceDeltaOffset = 176;
}
else if (mask2.HasOption(TickMask2Flags.Volume1X1000))
{
priceDeltaOffset = 142;
}
else if (mask2.HasOption(TickMask2Flags.Volume1X500))
{
priceDeltaOffset = 112;
}
else if (mask2.HasOption(TickMask2Flags.Volume1))
{
priceDeltaOffset = 48;
}
else if (mask2.HasOption(TickMask2Flags.Volume1X100))
{
priceDeltaOffset = 80; // x30
}
else
{
throw new Exception($"Unknown Volume Flag in Mask2: {Convert.ToString((short)mask2, 2)}\n" +
$"Mask1: {Convert.ToString((short)mask1, 2)}\n" +
$"FileName: {FileName}\n" +
$"Position: {_br.BaseStream.Position}");
}
}
else
{
throw new Exception($"No expected Price Delta embedded in Mask2: {Convert.ToString((short)mask2, 2)}\n" +
$"Mask1: {Convert.ToString((short)mask1, 2)}\n" +
$"FileName: {FileName}\n" +
$"Position: {_br.BaseStream.Position}");
}
}
else if (mask2.HasOption(TickMask2Flags.PriceDeltaBit1) || mask2.HasOption(TickMask2Flags.PriceDeltaBit2) || mask2.HasOption(TickMask2Flags.PriceDeltaBit3) || mask2.HasOption(TickMask2Flags.PriceDeltaBit4))
{
throw new Exception($"Price Delta embedded in Mask2 where none expected: {Convert.ToString((short)mask2, 2)}\n" +
$"Mask1: {Convert.ToString((short)mask1, 2)}\n" +
$"FileName: {FileName}\n" +
$"Position: {_br.BaseStream.Position}");
}
barPrice = Math.Round(_lastPrice + ((int)(priceDelta - priceDeltaOffset) * _tickSizePrice), 2);
//
// check the Bid/Ask flag
//
int spreadMultiplier;
bool bidTrade;
if (mask1.HasOption(TickMask1Flags.Spread2))
{
spreadMultiplier = _br.ReadUInt16BE();
if (spreadMultiplier < 256)
{
bidTrade = true;
}
else
{
bidTrade = false;
spreadMultiplier /= 256;
}
}
else if (mask1.HasOption(TickMask1Flags.Spread1))
{
spreadMultiplier = _br.ReadByte();
if (spreadMultiplier < 16)
{
bidTrade = true;
}
else
{
bidTrade = false;
spreadMultiplier /= 16;
}
}
else
{
if (mask1.HasOption(TickMask1Flags.DefaultSpreadX3))
{
spreadMultiplier = 3;
}
else if (mask1.HasOption(TickMask1Flags.DefaultSpreadX2))
{
spreadMultiplier = 2;
}
else
{
spreadMultiplier = 1;
}
if (mask1.HasOption(TickMask1Flags.Ask))
{
bidTrade = false;
}
else
{
bidTrade = true;
}
}
if (bidTrade)
{
barBid = barPrice;
barAsk = barBid + (spreadMultiplier * _defaultSpread);
}
else
{
barAsk = barPrice;
barBid = barAsk - (spreadMultiplier * _defaultSpread);
}
//
// check the Volume flag
//
int volumeMultiplier = 1;
if (mask2.HasOption(TickMask2Flags.Volume8))
{
volumeDelta = _br.ReadUInt64BE();
}
else if (mask2.HasOption(TickMask2Flags.Volume4))
{
volumeDelta = _br.ReadUInt32BE();
}
else if (mask2.HasOption(TickMask2Flags.Volume2))
{
volumeDelta = _br.ReadUInt16BE();
}
else if (mask2.HasOption(TickMask2Flags.Volume1X1000))
{
volumeDelta = _br.ReadByte();
volumeMultiplier = 1000;
}
else if (mask2.HasOption(TickMask2Flags.Volume1X500))
{
volumeDelta = _br.ReadByte();
volumeMultiplier = 500;
}
else if (mask2.HasOption(TickMask2Flags.Volume1))
{
volumeDelta = _br.ReadByte();
}
else if (mask2.HasOption(TickMask2Flags.Volume1X100))
{
volumeDelta = _br.ReadByte();
volumeMultiplier = 100;
}
else
{
throw new Exception($"Unknown Volume Flag in Mask2: {Convert.ToString((short)mask2, 2)}\n" +
$"Mask1: {Convert.ToString((short)mask1, 2)}\n" +
$"FileName: {FileName}\n" +
$"Position: {_br.BaseStream.Position}");
}
barVolume = (long)volumeDelta * volumeMultiplier;
_lastDateTime = barDateTime;
_lastPrice = barPrice;
_lastBid = barBid;
_lastAsk = barAsk;
_lastVolume = barVolume;
_lastMask1 = mask1;
_lastMask2 = mask2;
return(new TickRecord(barDateTime, barPrice, barBid, barAsk, barVolume));
}
