void processSecBidAskLine(string line, int date, SecProduct product)
{
int lineNumber = int.Parse(line.Substring(0, 8).Trim());
int TIME = int.Parse(line.Substring(8, 9));
int sec = (TIME / 1000);
int millSec = TIME % 1000;
char type = line[17];
string[] arrVBar = line.Substring(19).Split(VBAR);
ProductEvent pEvent = null;
if (type == 'A' || type == 'B' || type == 'C')
{
//return;//hack for dayEndOnly
pEvent = new BidAskEvent(product, type, date, sec, millSec, 0);
}
else if (type == 'D' || type == 'E')
pEvent = new ProductEvent(product, date, sec, millSec);
else
return;
if (!eventSecondList.ContainsKey(sec))
eventSecondList.Add(sec, new EventInSecond());
eventSecondList[sec].events.Add(pEvent);
if (type == 'E')
{
pEvent.EnablesStatistics();
char ch = arrVBar[1][0];
float val = float.Parse(arrVBar[1].Substring(1));
if (ch == 'C')
pEvent.DayClose = val;
else
{
pEvent.PrevClose = val;
pEvent.Suspended = (ch == 'S') ? 'Y' : 'N';
}
return;
}
if (arrVBar[0].Length > 0)
{
string[] arr = arrVBar[0].Split(COMMA);
pEvent.EnablesStatistics();
pEvent.Day2SecHighest = float.Parse(arr[0]);
pEvent.Day2SecLowest = float.Parse(arr[1]);
pEvent.Day2SecTradedShare = float.Parse(arr[2]);
pEvent.Day2SecTradedVolume = float.Parse(arr[3]);
pEvent.LastPrice = (arr[4] == "-") ? float.NaN : float.Parse(arr[4]);
}
if (arrVBar.Length == 1)
return;
BidAskEvent baEvent = pEvent as BidAskEvent;
// handle first section
{
string[] arr1 = arrVBar[1].Split(COMMA);
int queueDepth1 = (arr1.Length - 1) / 2;
float price1 = float.Parse(arr1[0]);
List<PriceQty> pList1 = new List<PriceQty>();
float[] priceSpread = (type == BidAsk.ASK) ?
HKExPriceSpreadFunctions.getPriceLevel(price1, true, 10)
: HKExPriceSpreadFunctions.getPriceLevel(price1, false, 10);
for (int i = 0; i < queueDepth1; i++)
{
float price = priceSpread[i];
int qLen = int.Parse(arr1[i * 2 + 1]);
long LongQty = (int)(float.Parse(arr1[i * 2 + 2])*1000);
int qty = (LongQty > int.MaxValue) ? int.MaxValue - 1 :(int) (LongQty);
if (qLen > 0 || qty > 0)
pList1.Add(new PriceQty(price, qty, qLen));
}
if (type == 'A')
baEvent.asks = pList1.ToArray();
else
baEvent.bids = pList1.ToArray();
}
// handle 2nd section
if (type == BidAsk.BOTH)
{
string[] arr2 = arrVBar[2].Split(COMMA);
int queueDepth2 = (arr2.Length - 1) / 2;
float price2 = float.Parse(arr2[0]);
List<PriceQty> pList2 = new List<PriceQty>();
float[] priceSpread = HKExPriceSpreadFunctions.getPriceLevel(price2, true, 10);
for (int i = 0; i < queueDepth2; i++)
{
float price = priceSpread[i];
int qLen = int.Parse(arr2[i * 2 + 1]);
int qty = (int)(float.Parse(arr2[i * 2 + 2])*1000);
if (qLen > 0 || qty > 0)
pList2.Add(new PriceQty(price, qty, qLen));
}
baEvent.asks = pList2.ToArray();
}
}
void processDevBidAskLineList(List<string> lines, string[] strArgList, int[] intArgList, HashSet<string>[] filters, ConcurrentQueue<Object> queue2)
{
int date = intArgList[0];
bool readAll = (intArgList[1] == 1);
string seriesMain = strArgList[0];
HashSet<string> productFilter = filters[0];
for (int i = 0; i < lines.Count; i++)
{
string line = lines[i];
string[] val = line.Split(COMMA);
string prodkey = seriesMain + val[2];
if (!readAll && !productFilter.Contains(prodkey))
continue;
int TIME = int.Parse(val[0]);
int lineNum = int.Parse(val[1]);
char BID_ASK = val[3][0];
float PRICE = float.Parse(val[4]);
int QUANTITY = int.Parse(val[5]);
DevProduct product = ProductTable[prodkey] as DevProduct;
BidAskEvent bidAskEvent = new BidAskEvent(product, BID_ASK, date, TIME, 0, PRICE, QUANTITY);
bidAskEvent.lineNumber = lineNum;
if (!eventSecondList.ContainsKey(TIME))
eventSecondList.Add(TIME, new EventInSecond());
EventInSecond eis = eventSecondList[TIME];
eis.events.Add(bidAskEvent);
}
}
