//public SecurityInfo()
//{
// name = string.Empty;
// code = string.Empty;
// Market = 0;
//}
public SecurityInfo(string _code, string _name, string _market, double _minQty, int _jingdu, double _priceJingDu, string _type, string _contractVal)
{
this.name = _name;
this.code = _code;
this.market = _market;
this.minQty = _minQty;
this.jingDu = _jingdu;
this.priceJingDu = _priceJingDu;
this.type = _type;
this.contractVal = _contractVal;
timeRange = MarketTimeRange.getTimeRange(_market);
}
public static MarketTimeRange getTimeRange(string market)
{
MarketTimeRange mtr = new MarketTimeRange();
if (market == "future")
{
mtr._market = market;
mtr._hourShift = 0;
List <TimeRange> _t = new List <TimeRange>();
_t.Add(new TimeRange(new TimeSpan(09, 30, 0), new TimeSpan(15, 00, 00), 0));
mtr._startTime = new TimeSpan(09, 30, 0);
mtr._endTime = new TimeSpan(15, 00, 00);
mtr._tradeEndTime = new TimeSpan(14, 57, 0);
mtr._policyOpenStartTime = new TimeSpan(9, 31, 0);
mtr._policyOpenEndTime = new TimeSpan(15, 0, 0);
mtr._forceCloseTime = new TimeSpan(14, 56, 0);
mtr._mintickTime = 1;
mtr._tickInteval = 1;
mtr._timeRanges = _t;
}
else
{
mtr._market = market;
mtr._hourShift = 0;
List <TimeRange> _t = new List <TimeRange>();
_t.Add(new TimeRange(new TimeSpan(0, 0, 0), new TimeSpan(23, 59, 59), 0));
mtr._startTime = new TimeSpan(0, 0, 0);
mtr._endTime = new TimeSpan(23, 59, 59);
mtr._tradeEndTime = new TimeSpan(14, 57, 0);
mtr._policyOpenStartTime = new TimeSpan(9, 31, 0);
mtr._policyOpenEndTime = new TimeSpan(15, 0, 0);
mtr._forceCloseTime = new TimeSpan(14, 56, 0);
mtr._mintickTime = 1;
mtr._tickInteval = 1;
mtr._timeRanges = _t;
}
return(mtr);
}
public LiveBars(int inteval, MarketTimeRange timeRange, DateTime?firstBarTime = null)
{
_dayOpenTime = timeRange.StartTime;
_bars = new Dictionary <TimeSpan, LiveBar>();
_lastBar = new LiveBar();
_lastBar.BarOpenTime = _dayOpenTime;
TimeSpan open = _dayOpenTime;
_tickInteval = timeRange.TickInteval;
foreach (var range in timeRange.TimeRanges)
{
TimeSpan close = range.End;
while (open < close)
{
LiveBar bar = new LiveBar();
bar.BarOpenTime = open;
_bars.Add(bar.BarOpenTime, bar);
bar.PreBar = _lastBar;
_lastBar = bar;
open = open.Add(TimeSpan.FromSeconds(inteval));
if (open < close)
{
bar.BarCloseTime = open.Add(TimeSpan.FromMilliseconds(-timeRange.MinTickTime));
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromMilliseconds(-timeRange.TickInteval));
bar.NextOpenTime = open;
}
else if (open == close)
{
bar.BarCloseTime = close.Add(TimeSpan.FromMilliseconds(-timeRange.MinTickTime));
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromMilliseconds(-timeRange.TickInteval));
open = open.Add(TimeSpan.FromHours(range.ToNextOpenHour));
bar.NextOpenTime = open;
}
else
{
open = open.Add(TimeSpan.FromHours(range.ToNextOpenHour));
bar.BarCloseTime = open.Add(TimeSpan.FromSeconds(-timeRange.MinTickTime));
if (bar.BarCloseTime < close)
{
bar.BarCloseTime = bar.BarCloseTime.Add(TimeSpan.FromHours(-range.ToNextOpenHour));
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromSeconds(-timeRange.TickInteval));
}
bar.LastTickTime = bar.BarCloseTime.Add(TimeSpan.FromSeconds(-timeRange.TickInteval));
if (bar.LastTickTime < close)
{
bar.LastTickTime = bar.LastTickTime.Add(TimeSpan.FromHours(-range.ToNextOpenHour));
}
bar.NextOpenTime = open;
}
}
}
//while (open < close)
//{
// LiveBar bar = new LiveBar();
// if (open >= new TimeSpan(11, 30, 0))
// {
// bar.BarTime = open.Add(TimeSpan.FromHours(1.5));
// }
// else
// {
// bar.BarTime = open;
// }
// _bars.Add(bar.BarTime, bar);
// bar.PreBar = _lastBar;
// _lastBar = bar;
// open = open.Add(TimeSpan.FromSeconds(inteval));
//}
_currentOpenTimeSpan = _dayOpenTime;
_currentBar = _bars[_currentOpenTimeSpan];
_inteval = inteval;
_closePriceQueue = new List <double>();
_tickAverageQueue = new List <double>();
_barTickPriceQueue = new List <double>();
_lastVolumn = 0;
}
