public static Dictionary<DateTime, string> ConvertToHighFreqData(this DataSet data, List<string> columnMapping, DateTimeRoundSolutions roundSolution)
{
DateTime currentDate = DateTime.MinValue;
var result = new Dictionary<DateTime, string>();
var table = data.Tables["DefaultTable"];
DateTime timeTemp = DateTime.MinValue;
List<double[]> dataTemp = new List<double[]>();
StringBuilder sb = new StringBuilder();
foreach (var obj in table.Rows)
{
var row = obj as DataRow;
double[] rowData;
var dateTime = ConvertRow(columnMapping, row, out rowData);
var date = RoundDateTime(dateTime, DateTimeRoundSolutions.day);
var dateTimeRounded = RoundDateTime(dateTime, roundSolution);
if (currentDate == DateTime.MinValue)
{
currentDate = date;
}
if (timeTemp == DateTime.MinValue)
{
timeTemp = dateTimeRounded;
}
if (timeTemp != dateTimeRounded)
{
double open, close, low, high, quant;
ConsolidateData(dataTemp, out open, out high, out low, out close, out quant);
sb.AppendLine(string.Format("{0},{1},{2},{3},{4},{5}", (dateTimeRounded - currentDate).Milliseconds, open, high, low, close, quant));
dataTemp.Clear();
}
if (date != currentDate)
{
result.Add(currentDate, sb.ToString());
sb.Clear();
currentDate = date;
}
}
return result;
}
public static string ConvertToDailyHourData(this DataSet data, List<string> columnMapping, DateTimeRoundSolutions roundSolution = DateTimeRoundSolutions.day)
{
StringBuilder sb = new StringBuilder();
var table = data.Tables["DefaultTable"];
List<double[]> dataCache = new List<double[]>();
DateTime currentDate = DateTime.MinValue;
foreach (var obj in table.Rows)
{
var row = obj as DataRow;
double[] valueTemp;
DateTime dateTime = ConvertRow(columnMapping, row, out valueTemp);
dataCache.Add(valueTemp);
var date = RoundDateTime(dateTime, roundSolution);
if (currentDate == DateTime.MinValue)
{
currentDate = date;
}
if (date != currentDate)
{
//Consolidate the data
double open, high, low, close, quant;
ConsolidateData(dataCache, out open, out high, out low, out close, out quant);
sb.AppendLine(string.Format("{0},{1},{2},{3},{4},{5}", currentDate.ToString("yyyyMMdd HH:mm"), open, high, low, close, quant));
currentDate = date;
dataCache.Clear();
}
}
if (dataCache.Count > 0)
{
double open, high, low, close, quant;
ConsolidateData(dataCache, out open, out high, out low, out close, out quant);
sb.AppendLine(string.Format("{0},{1},{2},{3},{4},{5}", currentDate.ToString("yyyMMdd HH:mm"), open, high, low, close, quant));
}
return sb.ToString();
}
private static DateTime RoundDateTime(DateTime dateTime, DateTimeRoundSolutions roundSolution)
{
var date = dateTime.Date;
switch (roundSolution)
{
case DateTimeRoundSolutions.day:
return date;
case DateTimeRoundSolutions.hour:
return date.AddHours(dateTime.Hour);
case DateTimeRoundSolutions.minute:
return date.AddHours(dateTime.Hour).AddMinutes(dateTime.Minute);
case DateTimeRoundSolutions.second:
return date.AddHours(dateTime.Hour).AddMinutes(dateTime.Minute).AddSeconds(dateTime.Second);
default:
return dateTime;
};
}
