/// <summary>
/// 0, my; 1, not my; -1, invalid
/// </summary>
/// <param name="mytime"></param>
/// <param name="nexttime"></param>
/// <param name="sp"></param>
/// <returns>0, my; 1, not my; 2, next</returns>
int IsMyTime(DateTimeSlice mytime, DateTimeSlice nexttime, DateTime sp)
{
if (nexttime != null)
{
if (mytime.EndTime < nexttime.BeginTime)
{
if (sp > mytime.EndTime && sp < nexttime.BeginTime)
{
TimeSpan ta = sp - mytime.EndTime;
TimeSpan tb = nexttime.BeginTime - sp;
if (tb < ta)
{
return(2);
}
return(0);
}
}
if (mytime.BeginTime <= sp && sp < nexttime.BeginTime)
{
return(0);
}
}
else
{
// 收盘5秒内的tick都计算
if (mytime.BeginTime <= sp && sp < mytime.EndTime.AddSeconds(100))
{
return(0);
}
}
return(1);
}
/// <summary>
///
/// </summary>
/// <param name="now"></param>
/// <param name="idx">需要移到的位置</param>
/// <returns>0,有效;-1无效;1,结束</returns>
int MoveTo(DateTime now, out int idx)
{
idx = _posTime;
#region -1 无效
DateTimeSlice currentT = _lstslice[_posTime];
if (now < currentT.BeginTime)
{
return(-1);
}
#endregion
#region 1 下一个
for (; idx < _prdinfo.Lstslice.Count - 1; ++idx)
{
DateTimeSlice mytime = _lstslice[idx];
DateTimeSlice nexttime = _lstslice[idx + 1];
int ir = IsMyTime(mytime, nexttime, now);
if (ir == 0)
{
return(0);
}
if (ir == 2)
{
++idx;
return(0);
}
}
int bmy = IsMyTime(_lstslice[idx], null, now);
if (bmy == 0)
{
return(0);
}
++idx;
#endregion
return(1);
}
public void AddBar(Bar newbar)
{
if (newbar == null)
{
ChangeState = 4;
return;
}
lock (_lockobj)
{
if (IsEnd)
{
ChangeState = 4;
return;
}
int idx;
int ir = MoveTo(newbar.BeginTime, out idx);
if (ir == -1)
{
ChangeState = 4;
return;
}
var baropencount = 0;
var barclosecount = 0;
for (; _posTime < idx; ++_posTime)
{
DateTimeSlice currentT = _lstslice[_posTime];
if (_posBar == _posTime)
{
}
else
{
#region 20150628 去掉空Bar
//Bar bar = new Bar();
//bar.BeginTime = _tradeDay + currentT.BeginTime;
//if (_posBar >= 0)
//{
// bar.Close = bar.PreClose = bar.Open = bar.High = bar.Low = _bars.Last.Close;
// bar.OpenInterest = _bars.Last.OpenInterest;
//}
//_bars.Add(bar);
//_bars.Last.CloseBar(_tradeDay + currentT.EndTime);
#endregion
++_posBar;
//OnBarClosed(_bars.Last);
}
}
if (ir == 0)
{
if (_posBar == _posTime)
{
Bar bar = _bars.Last;
bar.AddBar(newbar);
}
else
{
Bar bar = new Bar {
TradingDate = newbar.TradingDate
};
bar.OpenBar(newbar);
_bars.Add(bar);
++baropencount;
OnBarOpened(bar);
++_posBar;
}
//if (_posBar == _posTime)
{
DateTimeSlice currentT = _lstslice[_posTime];
if (newbar.EndTime >= currentT.EndTime)
{
++barclosecount;
_bars.Last.CloseBar(currentT.EndTime);
OnBarClosed(_bars.Last);
}
}
}
if (baropencount == 0 && barclosecount == 0)
{
ChangeState = 0;
return;
}
if (baropencount > barclosecount)
{
ChangeState = 2;
return;
}
if (barclosecount > baropencount)
{
ChangeState = 1;
return;
}
ChangeState = 3;
}
}
public void OnTimer(DateTime now)
{
if (IsEnd || _lasttick == null)
{
return;
}
int ir = 0;
DateTime extime = (now + _diff);
lock (_lockobj)
{
int idx;
ir = MoveTo(extime, out idx);
if (ir == -1)
{
return;
}
for (; _posTime < idx; ++_posTime)
{
DateTimeSlice currentT = _lstslice[_posTime];
if (_posBar == _posTime)
{
if (_bars.Count > 0)
{
_bars.Last.CloseBar(currentT.EndTime);
OnBarClosed(_bars.Last);
}
}
else
{
#region 20150628 去掉空Bar
//Bar bar = new Bar();
//bar.BeginTime = _tradeDay + currentT.BeginTime;
//if (_posBar >= 0)
//{
// bar.Close = bar.PreClose = bar.Open = bar.High = bar.Low = _bars.Last.Close;
// bar.OpenInterest = _bars.Last.OpenInterest;
//}
//else if (_lasttick != null)
//{
// if (_lasttick.PreSettlementPrice > 0)
// bar.Close = bar.PreClose = bar.Open = bar.High = bar.Low = _lasttick.PreSettlementPrice;
// else
// bar.Close = bar.PreClose = bar.Open = bar.High = bar.Low = _lasttick.PreClosePrice;
// bar.OpenInterest = _lasttick.PreOpenInterest;
//}
//_bars.Add(bar);
//_bars.Last.CloseBar(_tradeDay + currentT.EndTime);
#endregion
++_posBar;
//OnBarClosed(_bars.Last);
}
}
}
}
/// <summary>
/// 到来一个新的Tick，更新Bar
/// </summary>
/// <param name="tick"></param>
public void AddTick(Tick tick)
{
#region
if (tick == null)
{
ChangeState = 4;
return;
}
double turnover = 0;
double volume = 0;
lock (_lockobj)
{
// 第一个tick
if (_lasttick != null)
{
turnover = _lasttick.Turnover;
volume = _lasttick.Volume;
}
else
{
if (_blive)
{
_diff = tick.DateTime - DateTime.Now;
}
foreach (var bar in _bars)
{
if (bar.TradingDate == TradingDay)
{
turnover = turnover + bar.Turnover;
volume = volume + bar.Volume;
}
}
//for (int i = _bars.Count - 1; i >= _bars.Count - _posBar - 1; --i)
//{
// if (_bars[i].Open > 0)
// break;
// _bars[i].Open = _bars[i].High = _bars[i].Low = _bars[i].Close = _bars[i].PreClose = tick.OpenPrice;
// _bars[i].OpenInterest = tick.PreOpenInterest;
// if (i == _bars.Count - _posBar - 1)
// {
// if (tick.PreSettlementPrice > 0)
// _bars[i].PreClose = tick.PreSettlementPrice;
// else
// _bars[i].PreClose = tick.PreClosePrice;
// }
//}
}
if (IsEnd)
{
ChangeState = 4;
return;
}
int idx;
int ir = MoveTo(tick.DateTime, out idx);
if (ir == -1)
{
ChangeState = 4;
return;
}
_lasttick = tick;
var baropencount = 0;
var barclosecount = 0;
for (; _posTime < idx; ++_posTime)
{
DateTimeSlice currentT = _lstslice[_posTime];
if (_posBar == _posTime)
{
++barclosecount;
_bars.Last.CloseBar(currentT.EndTime);
OnBarClosed(_bars.Last);
}
else
{
#region 20150628 去掉空Bar
if (AllBlankBar)
{
++baropencount;
var bar = new Bar {
BeginTime = currentT.BeginTime
};
if (_posBar >= 0)
{
bar.Close = bar.PreClose = bar.Open = bar.High = bar.Low = _bars.Last.Close;
bar.OpenInterest = _bars.Last.OpenInterest;
}
else if (_lasttick != null)
{
if (_lasttick.PreSettlementPrice > 0)
{
bar.Close =
bar.PreClose = bar.Open = bar.High = bar.Low = _lasttick.PreSettlementPrice;
}
else
{
bar.Close = bar.PreClose = bar.Open = bar.High = bar.Low = _lasttick.PreClosePrice;
}
bar.OpenInterest = _lasttick.PreOpenInterest;
}
bar.TradingDate = tick.TradingDay;
_bars.Add(bar);
++barclosecount;
_bars.Last.CloseBar(currentT.EndTime);
OnBarClosed(_bars.Last);
}
#endregion
++_posBar;
}
}
if (ir == 0)
{
if (_posBar == _posTime)
{
Bar bar = _bars.Last;
bar.AddTick(tick);
bar.Turnover = bar.Turnover + tick.Turnover - turnover;
bar.Volume = bar.Volume + tick.Volume - volume;
}
else
{
Bar lastbar = _bars.Last;
Bar bar = new Bar {
TradingDate = TradingDay
};
bar.OpenBar(_lstslice[_posTime].BeginTime, tick, lastbar, _posTime == 0);
if (lastbar != null)
{
bar.Turnover = tick.Turnover - turnover;
bar.Volume = tick.Volume - volume;
}
else
{
bar.Turnover = tick.Turnover;
bar.Volume = tick.Volume;
}
_bars.Add(bar);
++baropencount;
OnBarOpened(bar);
++_posBar;
}
}
if (baropencount == 0 && barclosecount == 0)
{
ChangeState = 0;
return;
}
if (baropencount > barclosecount)
{
ChangeState = 2;
return;
}
if (barclosecount > baropencount)
{
ChangeState = 1;
return;
}
ChangeState = 3;
}
#endregion
}
