public void BatchWriteOutData(OutPutType outPutMode, OutPutMktMode mktMode, string filePath, int cutOffHour)
{
switch (outPutMode)
{
case OutPutType.FlatFile:
WriteOutFlatFile(mktMode, filePath, cutOffHour);
break;
case OutPutType.Xml:
break;
case OutPutType.Binary:
break;
case OutPutType.SqlTable:
break;
default:
throw new ArgumentOutOfRangeException("outPutMode");
}
}
private void WriteOutFlatFile(OutPutMktMode mktMode, string filePath, int cutOffHour)
{
bool headerCreated = false;
Dictionary<Security, MktOutput> MktsOutPut = new Dictionary<Security, MktOutput>();
foreach (var dataFactory in _securitites)
{
MktsOutPut.Add(dataFactory.SecurityObj, new MktOutput()
{
basePath = filePath,
baseExtension = ".csv",
security = dataFactory.SecurityObj
});
}
DateTime date = DateTime.MinValue;
List<string> dataCacheAll = new List<string>();
Dictionary<Security, string> dataCacheByMkt = new Dictionary<Security, string>();
StringBuilder fileName = new StringBuilder();
StringBuilder allMktsHeader = new StringBuilder();
foreach (var timeStamp in Markets)
{
// calculate the header using the tickdata's built-in funnction
if (!headerCreated)
{
foreach (var security in timeStamp.Value)
{
MarketState marketState = security.Value[0];
string mktHeaderString = marketState.GetHeadersString() + marketState.GetTradesHeaderString(5);
allMktsHeader.Append(mktHeaderString);
MktsOutPut[security.Key].header = mktHeaderString;
}
Console.WriteLine(allMktsHeader.ToString());
dataCacheAll.Add(allMktsHeader.ToString());
headerCreated = true;
}
StringBuilder data = new StringBuilder();
bool resetDate = false;
foreach (var security in timeStamp.Value)
{
MktOutput mktOutPut = MktsOutPut[security.Key];
// Output a new file for each day. The end of each day is defined by a cutOffHour
DateTime current = timeStamp.Key;
if (date == DateTime.MinValue || ((current.Day != date.Day) && (current.Hour >= cutOffHour)))
{
if (resetDate == false)
{
resetDate = true;
if (mktMode == OutPutMktMode.AggregatedMkts)
if (dataCacheAll.Count > 0)
{
writeCacheToFile(fileName.ToString(), dataCacheAll);
dataCacheAll.Add(allMktsHeader.ToString());
}
}
if ((mktMode == OutPutMktMode.SeperateMkts) || (mktMode == OutPutMktMode.BothMkts))
{
// output each of the individual markets data
if (mktOutPut.dataCache.Count > 0)
writeCacheToFile(mktOutPut.filePath.ToString(), mktOutPut.dataCache);
}
// construct the new file name
fileName.Clear();
fileName.Append(filePath);
string dateStr = current.Year.ToString() +
current.Month.ToString("00") +
current.Day.ToString("00");
switch (mktMode)
{
case OutPutMktMode.SeperateMkts:
mktOutPut.SetFilePath(dateStr);
break;
case OutPutMktMode.BothMkts:
mktOutPut.SetFilePath(dateStr);
fileName.Append("All_Mkts_");
break;
case OutPutMktMode.AggregatedMkts:
default:
fileName.Append("All_Mkts_");
break;
}
fileName.Append(dateStr);
fileName.Append(".csv");
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
MarketState lastTick = security.Value[(uint)(security.Value.Count - 1)];
data.Append(MarketStateToString(lastTick) + ",");
}
else
{
foreach (var mktStates in security.Value)
{
mktOutPut.dataCache.Add(MarketStateToString(mktStates.Value) + ",");
}
}
}
if (resetDate) date = timeStamp.Key; // reset the date if we moved passed the cut off for a new day
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
dataCacheAll.Add(data.ToString());
}
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
if (dataCacheAll.Count > 0)
writeCacheToFile(fileName.ToString(), dataCacheAll);
}
if ((mktMode == OutPutMktMode.SeperateMkts) || (mktMode == OutPutMktMode.BothMkts))
{
// output each of the individual markets final data set
foreach (var mktOutPut in MktsOutPut.Values)
{
if (mktOutPut.dataCache.Count > 0)
writeCacheToFile(mktOutPut.filePath.ToString(), mktOutPut.dataCache);
}
}
}
public void BatchWriteOutData(OutPutType outPutMode, OutPutMktMode mktMode, string filePath, int cutOffHour)
{
switch (outPutMode)
{
case OutPutType.FlatFile:
WriteOutFlatFile(mktMode, filePath, cutOffHour);
break;
case OutPutType.Xml:
break;
case OutPutType.Binary:
break;
case OutPutType.SqlTable:
break;
default:
throw new ArgumentOutOfRangeException("outPutMode");
}
}
private void WriteOutFlatFile(OutPutMktMode mktMode, string filePath, int cutOffHour)
{
bool headerCreated = false;
Dictionary <Security, MktOutput> MktsOutPut = new Dictionary <Security, MktOutput>();
foreach (var dataFactory in _securitites)
{
MktsOutPut.Add(dataFactory.SecurityObj, new MktOutput()
{
basePath = filePath,
baseExtension = ".csv",
security = dataFactory.SecurityObj
});
}
DateTime date = DateTime.MinValue;
List <string> dataCacheAll = new List <string>();
Dictionary <Security, string> dataCacheByMkt = new Dictionary <Security, string>();
StringBuilder fileName = new StringBuilder();
StringBuilder allMktsHeader = new StringBuilder();
foreach (var timeStamp in Markets)
{
// calculate the header using the tickdata's built-in funnction
if (!headerCreated)
{
foreach (var security in timeStamp.Value)
{
MarketState marketState = security.Value[0];
string mktHeaderString = marketState.GetHeadersString() + marketState.GetTradesHeaderString(5);
allMktsHeader.Append(mktHeaderString);
MktsOutPut[security.Key].header = mktHeaderString;
}
Console.WriteLine(allMktsHeader.ToString());
dataCacheAll.Add(allMktsHeader.ToString());
headerCreated = true;
}
StringBuilder data = new StringBuilder();
bool resetDate = false;
foreach (var security in timeStamp.Value)
{
MktOutput mktOutPut = MktsOutPut[security.Key];
// Output a new file for each day. The end of each day is defined by a cutOffHour
DateTime current = timeStamp.Key;
if (date == DateTime.MinValue || ((current.Day != date.Day) && (current.Hour >= cutOffHour)))
{
if (resetDate == false)
{
resetDate = true;
if (mktMode == OutPutMktMode.AggregatedMkts)
{
if (dataCacheAll.Count > 0)
{
writeCacheToFile(fileName.ToString(), dataCacheAll);
dataCacheAll.Add(allMktsHeader.ToString());
}
}
}
if ((mktMode == OutPutMktMode.SeperateMkts) || (mktMode == OutPutMktMode.BothMkts))
{
// output each of the individual markets data
if (mktOutPut.dataCache.Count > 0)
{
writeCacheToFile(mktOutPut.filePath.ToString(), mktOutPut.dataCache);
}
}
// construct the new file name
fileName.Clear();
fileName.Append(filePath);
string dateStr = current.Year.ToString() +
current.Month.ToString("00") +
current.Day.ToString("00");
switch (mktMode)
{
case OutPutMktMode.SeperateMkts:
mktOutPut.SetFilePath(dateStr);
break;
case OutPutMktMode.BothMkts:
mktOutPut.SetFilePath(dateStr);
fileName.Append("All_Mkts_");
break;
case OutPutMktMode.AggregatedMkts:
default:
fileName.Append("All_Mkts_");
break;
}
fileName.Append(dateStr);
fileName.Append(".csv");
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
MarketState lastTick = security.Value[(uint)(security.Value.Count - 1)];
data.Append(MarketStateToString(lastTick) + ",");
}
else
{
foreach (var mktStates in security.Value)
{
mktOutPut.dataCache.Add(MarketStateToString(mktStates.Value) + ",");
}
}
}
if (resetDate)
{
date = timeStamp.Key; // reset the date if we moved passed the cut off for a new day
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
dataCacheAll.Add(data.ToString());
}
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
if (dataCacheAll.Count > 0)
{
writeCacheToFile(fileName.ToString(), dataCacheAll);
}
}
if ((mktMode == OutPutMktMode.SeperateMkts) || (mktMode == OutPutMktMode.BothMkts))
{
// output each of the individual markets final data set
foreach (var mktOutPut in MktsOutPut.Values)
{
if (mktOutPut.dataCache.Count > 0)
{
writeCacheToFile(mktOutPut.filePath.ToString(), mktOutPut.dataCache);
}
}
}
}
