public TickReader(FileInfo file)
{
Serializer = new PbTickSerializer();
Codec = new QuantBox.Data.Serializer.V2.PbTickCodec();
_stream = new MemoryStream();
_originalLength = (int)file.Length;
// 加载文件，支持7z解压
var fileStream = file.Open(FileMode.Open, FileAccess.Read, FileShare.ReadWrite);
{
try
{
using (var zip = new SevenZipExtractor(fileStream))
{
zip.ExtractFile(0, _stream);
_stream.Seek(0, SeekOrigin.Begin);
}
}
catch
{
_stream = fileStream;
_stream.Seek(0, SeekOrigin.Begin);
}
}
}
private void Do(DirectoryInfo di, SearchOption searchOption)
{
foreach (var f in di.GetFiles("*", searchOption))
{
// 处理
string s = f.FullName.Replace(strInput, strOutput) + ".csv";
AppendText(s + " - ");
if (bSkip)
{
if (new FileInfo(s).Exists)
{
AppendText("存在" + Environment.NewLine);
continue;
}
}
try
{
PbTickSerializer.WriteCsv(PbTickSerializer.Read(f.FullName), s);
AppendText("成功" + Environment.NewLine);
}
catch (Exception ex)
{
AppendText("失败" + Environment.NewLine);
}
}
}
private void ReadFromFile(string pathChosen)
{
Tuple <Stream, string, double> tuple = ReadToStream(pathChosen);
if (tuple == null)
{
return;
}
Stream stream = tuple.Item1;
try
{
listTickData = PbTickSerializer.Read(stream);
strCurrentFileName = string.Format("{0} ({1}/{2}={3})",
tuple.Item2, tuple.Item3, listTickData.Count(), tuple.Item3 / listTickData.Count());
ValueChanged(false);
PbTickCodec Codec = new PbTickCodec();
listTickView = Codec.Data2View(this.listTickData, true);
dgvTick.DataSource = this.listTickView;
SingleCheck(menuView_Diff);
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
public PbTickSerializer GetSerializer(string symbol)
{
PbTickSerializer list;
if (!dict2.TryGetValue(symbol, out list))
{
list = new PbTickSerializer();
dict2.Add(symbol, list);
}
return(list);
}
public void ReadFile(int instrumentId, string path)
{
Bars = new BarSeries();
Trades = new TickSeries();
Asks = new TickSeries();
Bids = new TickSeries();
PbTickSerializer pts = new PbTickSerializer();
PbTick restore = null;
using (Stream stream = File.OpenRead(path))
{
while (true)
{
restore = pts.ReadOne(stream);
if (restore == null)
{
break;
}
Trade t = new Trade();
t.InstrumentId = instrumentId;
t.DateTime = pts.Codec.GetActionDayDateTime(restore);
t.Price = pts.Codec.GetLastPrice(restore);
t.Size = (int)pts.Codec.GetVolume(restore);
Trades.Add(t);
Bid b = new Bid();
b.InstrumentId = instrumentId;
b.DateTime = t.DateTime;
b.Price = pts.Codec.GetBidPrice(restore, 1);
b.Size = pts.Codec.GetBidSize(restore, 1);
Bids.Add(b);
Ask a = new Ask();
a.InstrumentId = instrumentId;
a.DateTime = t.DateTime;
a.Price = pts.Codec.GetAskPrice(restore, 1);
a.Size = pts.Codec.GetAskSize(restore, 1);
Asks.Add(a);
}
stream.Close();
}
}
private void menuFile_Export_Click(object sender, EventArgs e)
{
SaveFileDialog saveFileDialog = new SaveFileDialog();
saveFileDialog.Filter = "CSV文件|*.csv";
DialogResult result = saveFileDialog.ShowDialog();
if (result == DialogResult.OK)
{
string pathChosen = saveFileDialog.FileName;
// 将界面数据生成差分数据
ViewToDataByViewType();
PbTickSerializer.WriteCsv(this.listTickData, pathChosen);
}
}
private void SaveChanges()
{
SaveFileDialog saveFileDialog = new SaveFileDialog();
saveFileDialog.Filter = "Portable Data Zero files (*.pd0)|*.pd0|All files (*.*)|*.*";
DialogResult result = saveFileDialog.ShowDialog();
if (result == DialogResult.OK)
{
string pathChosen = saveFileDialog.FileName;
ViewToDataByViewType();
PbTickSerializer.Write(this.listTickData, pathChosen);
ValueChanged(false);
}
}
public static void _Main(string[] args)
{
string symbol = "AAPL";
Framework framework = Framework.Current;
Instrument instrument = framework.InstrumentManager.Get(symbol);
DataSeries ds = framework.DataManager.GetDataSeries(instrument, DataObjectType.Trade);
PbTickSerializer pts = new PbTickSerializer();
// 最关键的部分，需要提前设置
pts.Codec.Config.SetTickSize(0.01);
PbTick last = new PbTick();
using (Stream stream = File.OpenWrite(@"D:\1.data"))
{
for (int i = 0; i < ds.Count; ++i)
{
var d = ds[i];
Trade t = d as Trade;
PbTick tick = new PbTick();
// 必须设置数据中的TickSize
tick.Config = pts.Codec.Config;
pts.Codec.SetLastPrice(tick, t.Price);
pts.Codec.SetVolume(tick, t.Size);
pts.Codec.SetSymbol(tick, symbol);
// 时间设置也很关键
pts.Codec.SetActionDay(tick, t.DateTime.Date);
pts.Codec.SetUpdateTime(tick, t.DateTime - t.DateTime.Date);
// 写入流
pts.Write(tick, new Stream[] { stream });
}
stream.Close();
}
}
public void TestReadCsvLeve3()
{
FileInfo fi = new FileInfo(@"d:\wukan\Desktop\DepthDataShow\20150120.txt");
//FileInfo fo = new FileInfo(@"F:\BaiduYunDownload\DepthDataShow\20150120.pd0");
PbTickSerializer pts = new PbTickSerializer();
CCC ccc = new CCC();
CCC last_ccc = new CCC();
AAA last = new AAA();
last.buy = false;
string last_symbol = "XXX";
List <AAA> list = new List <AAA>();
//using (Stream stream = File.Open(@"F:\BaiduYunDownload\DepthDataShow\20150120.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str;
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
AAA a = new AAA();
a.symbol = arr[1];
a.buy = arr[2] == "0";
a.price = double.Parse(arr[3]);
a.size = int.Parse(arr[4]);
if (last.buy == false && a.buy == true)
{
// 快照的切换点，把上次的存储都取出来，进行保存
// sell里先存的数字大的，后存的数字小的,最后的是卖一
// buy里也是先存数字大的，后存数字小的，最前的买一
//
foreach (var kv in ccc.dict)
{
kv.Value.MakeTick();
ccc.GetSerializer(kv.Key).Write(kv.Value.tick,
new Stream[] { ccc.GetStream(kv.Key) });
}
ccc.dict.Clear();
}
BBB bbb = ccc.Get(a.symbol);
bbb.symbol = a.symbol;
bbb.time = arr[0];
if (bbb.symbol == "cu1502")
{
int nTest = 1;
}
if (a.buy)
{
bbb.AddBid(a);
}
else
{
bbb.AddAsk(a);
}
last = a;
last_symbol = a.symbol;
//if (i < 4000)
// Console.WriteLine(str);
//if (i > 4000)
// break;
} while (str != null);
file.Close();
}
}
}
public void TestReadCsvLeve2()
{
FileInfo fi = new FileInfo(@"F:\BaiduYunDownload\20141225\20141225.csv");
FileInfo fo = new FileInfo(@"F:\BaiduYunDownload\20141225\20141225.pd0");
PbTickSerializer pts = new PbTickSerializer();
using (Stream stream = File.Open(@"F:\BaiduYunDownload\20141225\20141225.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
PbTick tick = new PbTick();
pts.Codec.SetSymbol(tick, arr[0]);
tick.Config = new ConfigInfo().Default();
if (arr[0].StartsWith("TF"))
{
tick.Config.SetTickSize(0.002);
tick.Config.ContractMultiplier = 10000;
}
else
{
tick.Config.SetTickSize(0.2);
tick.Config.ContractMultiplier = 300;
}
tick.Config.Time_ssf_Diff = 5;
pts.Codec.Config = tick.Config;
pts.Codec.UseFlat(false);
//if(i == 1)
//{
// tick.Split = new StockSplitInfo();
// tick.Split.StockDividend = 10;
//}
//if(i == 2)
//{
// tick.Split = new StockSplitInfo();
// tick.Split.CashDividend = 10;
//}
tick.ActionDay = int.Parse(arr[5]);
int time = int.Parse(arr[6]);
tick.Time_HHmm = time / 100000;
tick.Time_____ssf__ = time % 100000 / 100;
tick.Time________ff = time % 100;
pts.Codec.SetLastPrice(tick, double.Parse(arr[8]));
pts.Codec.SetHigh(tick, double.Parse(arr[9]));
pts.Codec.SetLow(tick, double.Parse(arr[10]));
pts.Codec.SetVolume(tick, int.Parse(arr[11]));
pts.Codec.SetTurnover(tick, int.Parse(arr[12]));
pts.Codec.SetOpenInterest(tick, int.Parse(arr[16]));
pts.Codec.SetAskPrice(tick, 1, double.Parse(arr[17]));
pts.Codec.SetAskPrice(tick, 2, double.Parse(arr[18]));
pts.Codec.SetAskPrice(tick, 3, double.Parse(arr[19]));
pts.Codec.SetAskPrice(tick, 4, double.Parse(arr[20]));
pts.Codec.SetAskPrice(tick, 5, double.Parse(arr[21]));
pts.Codec.SetAskSize(tick, 1, int.Parse(arr[22]));
pts.Codec.SetAskSize(tick, 2, int.Parse(arr[23]));
pts.Codec.SetAskSize(tick, 3, int.Parse(arr[24]));
pts.Codec.SetAskSize(tick, 4, int.Parse(arr[25]));
pts.Codec.SetAskSize(tick, 5, int.Parse(arr[26]));
pts.Codec.SetBidPrice(tick, 1, double.Parse(arr[27]));
pts.Codec.SetBidPrice(tick, 2, double.Parse(arr[28]));
pts.Codec.SetBidPrice(tick, 3, double.Parse(arr[29]));
pts.Codec.SetBidPrice(tick, 4, double.Parse(arr[30]));
pts.Codec.SetBidPrice(tick, 5, double.Parse(arr[31]));
pts.Codec.SetBidSize(tick, 1, int.Parse(arr[32]));
pts.Codec.SetBidSize(tick, 2, int.Parse(arr[33]));
pts.Codec.SetBidSize(tick, 3, int.Parse(arr[34]));
pts.Codec.SetBidSize(tick, 4, int.Parse(arr[35]));
pts.Codec.SetBidSize(tick, 5, int.Parse(arr[36]));
pts.Write(tick, new Stream[] { stream });
} while (str != null);
file.Close();
}
}
}
public void TestReadCsvLeve1()
{
FileInfo fi = new FileInfo(@"F:\BaiduYunDownload\IF1406\IF1406.csv");
FileInfo fo = new FileInfo(@"F:\BaiduYunDownload\IF1406\IF1406.pd0");
PbTickSerializer pts = new PbTickSerializer();
pts.Codec.Config.SetTickSize(0.2);
pts.Codec.Config.Time_ssf_Diff = 5;
using (Stream stream = File.Open(@"F:\BaiduYunDownload\IF1406\IF1406.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
DateTime dt = DateTime.Parse(arr[0]).AddMilliseconds(int.Parse(arr[1]));
string symbol = arr[2];
double price = double.Parse(arr[3]);
int vol = int.Parse(arr[4]);
int openint = int.Parse(arr[5]);
double bid = double.Parse(arr[6]);
int bidSize = int.Parse(arr[7]);
double ask = double.Parse(arr[8]);
int askSize = int.Parse(arr[9]);
PbTick tick = new PbTick();
tick.Config = pts.Codec.Config;
pts.Codec.SetLastPrice(tick, price);
pts.Codec.SetVolume(tick, vol);
pts.Codec.SetSymbol(tick, symbol);
pts.Codec.SetActionDay(tick, dt.Date);
pts.Codec.SetUpdateTime(tick, dt - dt.Date);
pts.Codec.SetBidPrice(tick, 1, bid);
pts.Codec.SetBidSize(tick, 1, bidSize);
pts.Codec.SetAskPrice(tick, 1, ask);
pts.Codec.SetAskSize(tick, 1, askSize);
pts.Write(tick, new Stream[] { stream });
//if (i == 1000000)
// break;
} while (str != null);
file.Close();
}
}
Console.WriteLine("结束了");
}
static void Main2(string[] args)
{
//读五档行情，然后存盘
FileInfo fi = new FileInfo(@"d:\wukan\Desktop\20141225.csv");
//FileInfo fo = new FileInfo(@"d:\wukan\Desktop\20141225.pd0");
PbTickSerializer pts = new PbTickSerializer();
using (Stream stream = File.Open(@"d:\wukan\Desktop\20141225_1.pd0", FileMode.Create))
{
using (StreamReader file = new StreamReader(fi.OpenRead()))
{
int i = 0;
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
PbTick tick = new PbTick();
pts.Codec.SetSymbol(tick, arr[0]);
tick.Config = new ConfigInfo().Default();
if (arr[0].StartsWith("TF"))
{
tick.Config.SetTickSize(0.002);
tick.Config.ContractMultiplier = 10000;
}
else
{
tick.Config.SetTickSize(0.2);
tick.Config.ContractMultiplier = 300;
}
tick.Config.Time_ssf_Diff = 5;
pts.Codec.Config = tick.Config;
tick.ActionDay = int.Parse(arr[5]);
int time = int.Parse(arr[6]);
tick.Time_HHmm = time / 100000;
tick.Time_____ssf__ = time % 100000 / 100;
tick.Time________ff = time % 100;
pts.Codec.SetLastPrice(tick, double.Parse(arr[8]));
pts.Codec.SetHigh(tick, double.Parse(arr[9]));
pts.Codec.SetLow(tick, double.Parse(arr[10]));
pts.Codec.SetVolume(tick, int.Parse(arr[11]));
pts.Codec.SetTurnover(tick, int.Parse(arr[12]));
pts.Codec.SetOpenInterest(tick, int.Parse(arr[16]));
tick.DepthList = new List <DepthItem>();
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[31])), int.Parse(arr[36]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[30])), int.Parse(arr[35]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[29])), int.Parse(arr[34]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[28])), int.Parse(arr[33]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[27])), int.Parse(arr[32]), 0));
pts.Codec.SetAskPrice1(tick, double.Parse(arr[17]));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[17])), int.Parse(arr[22]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[18])), int.Parse(arr[23]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[19])), int.Parse(arr[24]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[20])), int.Parse(arr[25]), 0));
tick.DepthList.Add(new DepthItem(pts.Codec.PriceToTick(double.Parse(arr[21])), int.Parse(arr[26]), 0));
pts.Write(tick, stream);
} while (str != null);
file.Close();
}
}
}
