private bool ConvertFile(string strFile, string futureid, DateTime day)
{
try
{
if (_prgMq.EndTime(futureid) > day)
{
return(true);
}
var tickfile = DataFileFactory.CreateTickFile(Market);
tickfile.Init(Market, strFile, futureid, "");
var lasttick = tickfile.AgoTick(0);
if (lasttick == null)
{
_logger.Error("获取构造日k线的tick失败 : " + strFile);
return(false);
}
if (!_buffer.ContainsKey(futureid))
{
_buffer.Add(futureid, new BarSeries());
}
if (!_bufferFuture.ContainsKey(futureid))
{
_bufferFuture.Add(futureid, new BarSeries());
}
//构建一根日K线,
//如果Tick的成交量和成交额=0 （成交稀疏为0）（高开低=0）
//B 日线的高=开=低=收= Tick的最新价
//C 日线的量=0 成交额=0
var bar = new Bar
{
BeginTime = day,
EndTime = day,
Close = lasttick.LastPrice,
High = Math.Abs(lasttick.HighPrice) < 0.00001 ? lasttick.LastPrice : lasttick.HighPrice,
Low = Math.Abs(lasttick.LowPrice) < 0.00001 ? lasttick.LastPrice : lasttick.LowPrice,
Open = Math.Abs(lasttick.OpenPrice) < 0.00001 ? lasttick.LastPrice : lasttick.OpenPrice,
PreClose = Math.Abs(lasttick.PreSettlementPrice) > 0.00001
? lasttick.PreSettlementPrice
: lasttick.PreClosePrice,
Volume = lasttick.Volume,
Turnover = lasttick.Turnover,
OpenInterest = lasttick.OpenInterest,
TradingDate = lasttick.TradingDay
};
_buffer[futureid].Insert(0, bar);
_bufferFuture[futureid].Insert(0, bar);
// 更新
if (_beginlist.ContainsKey(futureid))
{
if (_beginlist[futureid] > day)
{
_beginlist[futureid] = day;
}
}
else
{
_beginlist.Add(futureid, day);
}
if (_endlist.ContainsKey(futureid))
{
if (_endlist[futureid] < day)
{
_endlist[futureid] = day;
}
}
else
{
_endlist.Add(futureid, day);
}
return(false);
}
catch (Exception ex)
{
_logger.Error(ex.ToString());
return(false);
}
}
private bool ConvertFile(string strFile, string futureid, DateTime day)
{
//由于夜盘的存在，最后一天需要重复转一次
if (_prgMq.EndTime(futureid) > day)
{
return(true);
}
// FutureTickFile tickfile = new FutureTickFile();
var tickfile = DataFileFactory.CreateTickFile(EnumMarket.期货);
tickfile.Init(EnumMarket.期货, strFile, futureid, "");
List <Tick> ticklist = new List <Tick>();
if (!tickfile.Read(ticklist, 0, int.MaxValue))
{
_logger.Error("读取文件失败(" + strFile + ")");
return(false);
}
if (!_buffer.ContainsKey(futureid))
{
_buffer.Add(futureid, new BarSeries());
}
//为了避免交易时间段的变化，每天都需要新建一个barproviderinfo
//if (!tslist.ContainsKey(futureid))
//{
// tslist.Add(futureid, BaseBarHelper.CreateBars(fmgr, futureid, 0, 1, EnumBarType.分钟, day));
//}
#region 如果夜盘没有tick,不补齐夜盘分钟线
bool isFillNight = true;
var nightTicks = from d in ticklist where d.DateTime.Hour > 20 || d.DateTime.Hour < 3 select d;
if (!nightTicks.Any())
{
isFillNight = false;
}
#endregion
var barproviderinfo = BaseBarHelper.CreateBars(_fmgr, futureid, 0, 1, EnumBarType.分钟, day, isFillNight);
//if (tslist.ContainsKey(futureid) && tslist[futureid] != null)
if (barproviderinfo != null)
{
BarProvider provider = new BarProvider(day, barproviderinfo)
{
AllBlankBar = AllBlankBar
};
#region
foreach (Tick tick in ticklist)
{
provider.AddTick(tick);//如果白盘没有tick，不需要过滤，因为不会加工
}
if (provider.Bars != null && provider.Bars.Count > 0)
{
//根据bar.volume来过滤夜盘的bar，不够严谨
// var bars = CheckIfNoNight(provider.Bars); //对于整个21：00-2：00夜盘bvolume为0的bar过滤掉
_buffer[futureid].InsertRange(0, provider.Bars);
// 更新
if (_beginlist.ContainsKey(futureid))
{
if (_beginlist[futureid] > day)
{
_beginlist[futureid] = day;
}
}
else
{
_beginlist.Add(futureid, day);
}
if (_endlist.ContainsKey(futureid))
{
if (_endlist[futureid] < day)
{
_endlist[futureid] = day;
}
}
else
{
_endlist.Add(futureid, day);
}
}
#endregion
}
else
{
_logger.Error("期货转化分钟线时发现合约[" + futureid + "]在Future.XML中不存在,导致BarProvider为空");
}
return(false);
}