public void TZConverter(string file, string symbol)
{
TickReader reader = Factory.TickUtil.TickReader();
reader.Initialize(file, symbol);
TickQueue queue = reader.ReadQueue;
TickBinary tickBinary = new TickBinary();
if (!TryGetNextTick(queue, ref tickBinary))
{
}
}
public SymbolQueue(SymbolInfo symbol, Provider provider, TimeStamp startTime)
{
this.symbol = symbol;
this.provider = provider;
this.tickQueue = Factory.TickUtil.TickQueue(typeof(SymbolQueue));
this.tickQueue.StartEnqueue = Start;
this.startTime = startTime;
NextTick = new TickBinary();
NextTick.Symbol = symbol.BinaryIdentifier;
if (captureEvents)
{
receiverId = Factory.Provider.EventLog.GetReceiverId(this);
}
provider.SendEvent(this, null, (int)EventType.Connect, null);
}
private bool TryGetNextTick(TickQueue queue, ref TickBinary binary)
{
bool result = false;
do
{
try {
result = queue.TryDequeue(ref binary);
} catch (QueueException ex) {
// Ignore any other events.
if (ex.EntryType == EventType.EndHistorical)
{
throw;
}
}
} while(!result);
return(result);
}
public TickWriterDefault(bool eraseFileToStart)
{
this.eraseFileToStart = eraseFileToStart;
writeQueue = Factory.TickUtil.TickQueue(typeof(TickWriter));
writeQueue.StartEnqueue = Start;
var property = "PriceDataFolder";
priceDataFolder = Factory.Settings[property];
if (priceDataFolder == null)
{
throw new ApplicationException("Must set " + property + " property in app.config");
}
property = "AppDataFolder";
appDataFolder = Factory.Settings[property];
if (appDataFolder == null)
{
throw new ApplicationException("Must set " + property + " property in app.config");
}
}
private void FilterFile(string symbol, string inputPath, string outputPath, TimeStamp startTime, TimeStamp endTime)
{
TickReader reader = Factory.TickUtil.TickReader();
TickWriter writer = Factory.TickUtil.TickWriter(true);
writer.KeepFileOpen = true;
writer.Initialize(outputPath, symbol);
reader.Initialize(inputPath, symbol);
TickQueue inputQueue = reader.ReadQueue;
TickIO firstTick = Factory.TickUtil.TickIO();
TickIO lastTick = Factory.TickUtil.TickIO();
TickIO prevTick = Factory.TickUtil.TickIO();
long count = 0;
long fast = 0;
long dups = 0;
TickIO tickIO = Factory.TickUtil.TickIO();
TickBinary tickBinary = new TickBinary();
inputQueue.Dequeue(ref tickBinary);
tickIO.Inject(tickBinary);
count++;
firstTick.Copy(tickIO);
firstTick.IsSimulateTicks = true;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
if (tickIO.Time >= startTime)
{
writer.Add(firstTick);
}
try {
while (true)
{
while (!inputQueue.TryDequeue(ref tickBinary))
{
Thread.Sleep(1);
}
tickIO.Inject(tickBinary);
count++;
if (tickIO.Time >= startTime)
{
if (tickIO.Time > endTime)
{
break;
}
// if( tickIO.Bid == prevTick.Bid && tickIO.Ask == prevTick.Ask) {
// dups++;
// } else {
// Elapsed elapsed = tickIO.Time - prevTick.Time;
prevTick.Copy(tickIO);
prevTick.IsSimulateTicks = true;
// if( elapsed.TotalMilliseconds < 5000) {
// fast++;
// } else {
while (!writer.TryAdd(prevTick))
{
Thread.Sleep(1);
}
// }
// }
}
}
} catch (QueueException ex) {
if (ex.EntryType != EventType.EndHistorical)
{
throw new ApplicationException("Unexpected QueueException: " + ex);
}
}
lastTick.Copy(tickIO);
Console.WriteLine(reader.Symbol + ": " + count + " ticks from " + firstTick.Time + " to " + lastTick.Time + " " + dups + " duplicates, " + fast + " less than 50 ms");
Factory.TickUtil.TickReader().CloseAll();
writer.Close();
}
public DataReceiverQueueWrapper(SymbolInfo symbol, Pool <TickBinaryBox> pool, TickQueue queue)
{
this.symbol = symbol;
tickPool = pool;
tickQueue = queue;
}
public void Setup()
{
queue = Factory.Parallel.TickQueue(typeof(TickQueueTest));
}
public void Setup()
{
queue = Factory.TickUtil.TickQueue(typeof(TickQueueTest));
}
public void ReadFile()
{
TickQueue queue = reader.ReadQueue;
TickIO firstTick = Factory.TickUtil.TickIO();
TickIO lastTick = Factory.TickUtil.TickIO();
TickIO prevTick = Factory.TickUtil.TickIO();
long count = 0;
long dups = 0;
long quotes = 0;
long trades = 0;
long quotesAndTrades = 0;
TickIO tickIO = Factory.TickUtil.TickIO();
TickBinary tickBinary = new TickBinary();
try {
while (true)
{
if (!TryGetNextTick(queue, ref tickBinary))
{
break;
}
tickIO.Inject(tickBinary);
if (count == 0)
{
firstTick.Copy(tickIO);
}
if (tickIO.IsQuote && tickIO.IsTrade)
{
quotesAndTrades++;
}
else if (tickIO.IsQuote)
{
quotes++;
}
else
{
trades++;
}
if (count > 0)
{
bool quoteDup = tickIO.IsQuote && prevTick.IsQuote && tickIO.Bid == prevTick.Bid && tickIO.Ask == prevTick.Ask;
bool tradeDup = tickIO.IsTrade && prevTick.IsTrade && tickIO.Price == prevTick.Price;
if (tickIO.IsQuote && tickIO.IsTrade)
{
if (quoteDup && tradeDup)
{
dups++;
}
}
else if (tickIO.IsQuote)
{
if (quoteDup)
{
dups++;
}
}
else
{
if (tradeDup)
{
dups++;
}
}
}
count++;
prevTick.Copy(tickIO);
}
} catch (QueueException) {
// Terminated.
}
lastTick.Copy(tickIO);
stringBuilder.AppendLine("Symbol: " + reader.Symbol);
stringBuilder.AppendLine("Version: " + reader.DataVersion);
stringBuilder.AppendLine("Ticks: " + count);
if (quotes > 0)
{
stringBuilder.AppendLine("Quote Only: " + quotes);
}
if (trades > 0)
{
stringBuilder.AppendLine("Trade Only: " + trades);
}
if (quotesAndTrades > 0)
{
stringBuilder.AppendLine("Quote and Trade: " + quotesAndTrades);
}
stringBuilder.AppendLine("From: " + firstTick.Time + "." + firstTick.Time.Microsecond);
stringBuilder.AppendLine("To: " + lastTick.Time + "." + lastTick.Time.Microsecond);
if (dups > 0)
{
stringBuilder.AppendLine("Prices duplicates: " + dups);
}
Factory.TickUtil.TickReader().CloseAll();
}
