// **********************************************************************
public OrdersStream(DataWriter dw, int sid, Security s)
{
this.dw = dw;
this.sid = sid;
dw.Write((byte)StreamType.Orders);
dw.Write(s.Entry);
}
// **********************************************************************
public StockStream(DataWriter dw, int sid, Security s)
{
this.dw = dw;
this.sid = sid;
dw.Write((byte)StreamType.Stock);
dw.Write(s.Entry);
}
// **********************************************************************
public AuxInfoStream(DataWriter dw, int sid, Security s)
{
this.dw = dw;
this.sid = sid;
dw.Write((byte)StreamType.AuxInfo);
dw.Write(s.Entry);
}
// **********************************************************************
public DealsStream(DataWriter dw, int sid, Security s)
{
this.dw = dw;
this.sid = sid;
this.s = s;
dw.Write((byte)StreamType.Deals);
dw.Write(s.Entry);
}
// **********************************************************************
public MessagesStream(DataWriter dw, int sid)
{
this.dw = dw;
this.sid = sid;
dw.Write((byte)StreamType.Messages);
}
// **********************************************************************
public QshWriter(string path, bool compress, string appName,
string comment, DateTime recDateTime, int streamCount)
{
if(streamCount < 0)
throw new ArgumentOutOfRangeException("streamCount");
if(streamCount > byte.MaxValue)
throw new OverflowException("Слишком много потоков для записи");
fs = QshFile.Create(path, compress, fileVersion);
dw = new DataWriter(fs, recDateTime, streamCount > 1);
dw.Write(appName);
dw.Write(comment);
dw.Write(recDateTime.Ticks);
dw.Write((byte)streamCount);
}
// **********************************************************************
public void Write(DateTime dateTime, AuxInfo auxInfo)
{
dw.WriteRecHeader(sid, dateTime);
// --------------------------------------------------
long milliseconds = DateTimeHelper.ToMs(auxInfo.DateTime);
AuxInfoFlags flags = AuxInfoFlags.None;
// --------------------------------------------------
if (lastMilliseconds != milliseconds)
{
flags |= AuxInfoFlags.DateTime;
}
if (lastAskTotal != auxInfo.AskTotal)
{
flags |= AuxInfoFlags.AskTotal;
}
if (lastBidTotal != auxInfo.BidTotal)
{
flags |= AuxInfoFlags.BidTotal;
}
if (lastOI != auxInfo.OI)
{
flags |= AuxInfoFlags.OI;
}
if (lastPrice != auxInfo.Price)
{
flags |= AuxInfoFlags.Price;
}
if (lastHiLimit != auxInfo.HiLimit ||
lastLoLimit != auxInfo.LoLimit ||
lastDeposit != auxInfo.Deposit)
{
flags |= AuxInfoFlags.SessionInfo;
}
if (lastRate != auxInfo.Rate)
{
flags |= AuxInfoFlags.Rate;
}
if (auxInfo.Message != null)
{
flags |= AuxInfoFlags.Message;
}
// --------------------------------------------------
dw.Write((byte)flags);
// --------------------------------------------------
if ((flags & AuxInfoFlags.DateTime) != 0)
{
dw.WriteGrowing(milliseconds, ref lastMilliseconds);
}
if ((flags & AuxInfoFlags.AskTotal) != 0)
{
dw.WriteLeb128(auxInfo.AskTotal - lastAskTotal);
lastAskTotal = auxInfo.AskTotal;
}
if ((flags & AuxInfoFlags.BidTotal) != 0)
{
dw.WriteLeb128(auxInfo.BidTotal - lastBidTotal);
lastBidTotal = auxInfo.BidTotal;
}
if ((flags & AuxInfoFlags.OI) != 0)
{
dw.WriteLeb128(auxInfo.OI - lastOI);
lastOI = auxInfo.OI;
}
if ((flags & AuxInfoFlags.Price) != 0)
{
dw.WriteLeb128(auxInfo.Price - lastPrice);
lastPrice = auxInfo.Price;
}
if ((flags & AuxInfoFlags.SessionInfo) != 0)
{
dw.WriteLeb128(auxInfo.HiLimit);
dw.WriteLeb128(auxInfo.LoLimit);
dw.Write(auxInfo.Deposit);
lastHiLimit = auxInfo.HiLimit;
lastLoLimit = auxInfo.LoLimit;
lastDeposit = auxInfo.Deposit;
}
if ((flags & AuxInfoFlags.Rate) != 0)
{
dw.Write(auxInfo.Rate);
lastRate = auxInfo.Rate;
}
if ((flags & AuxInfoFlags.Message) != 0)
{
dw.Write(auxInfo.Message);
}
// --------------------------------------------------
}
// **********************************************************************
public void Write(DateTime dateTime, OrdLogEntry entry)
{
dw.WriteRecHeader(sid, dateTime);
// ------------------------------------------------------------
long milliseconds = DateTimeHelper.ToMs(entry.DateTime);
OrdLogEntryFlags flags = OrdLogEntryFlags.None;
// ------------------------------------------------------------
if (lastMilliseconds != milliseconds)
{
flags |= OrdLogEntryFlags.DateTime;
}
if (lastOrderId != entry.OrderId)
{
flags |= OrdLogEntryFlags.OrderId;
}
if (lastPrice != entry.Price)
{
flags |= OrdLogEntryFlags.Price;
}
if (lastAmount != entry.Amount)
{
flags |= OrdLogEntryFlags.Amount;
}
if ((entry.Flags & OrdLogFlags.Fill) != 0)
{
if (lastAmountRest != entry.AmountRest)
{
flags |= OrdLogEntryFlags.AmountRest;
}
if (lastDealId != entry.DealId)
{
flags |= OrdLogEntryFlags.DealId;
}
if (lastDealPrice != entry.DealPrice)
{
flags |= OrdLogEntryFlags.DealPrice;
}
if (lastOI != entry.OI)
{
flags |= OrdLogEntryFlags.OI;
}
}
// ------------------------------------------------------------
dw.Write((byte)flags);
// ------------------------------------------------------------
dw.Write((ushort)entry.Flags);
if ((flags & OrdLogEntryFlags.DateTime) != 0)
{
dw.WriteGrowing(milliseconds, ref lastMilliseconds);
}
if ((flags & OrdLogEntryFlags.OrderId) != 0)
{
if ((entry.Flags & OrdLogFlags.Add) != 0)
{
dw.WriteGrowing(entry.OrderId, ref lastOrderId);
}
else
{
dw.WriteLeb128(entry.OrderId - lastOrderId);
}
}
if ((flags & OrdLogEntryFlags.Price) != 0)
{
dw.WriteLeb128(entry.Price - lastPrice);
lastPrice = entry.Price;
}
if ((flags & OrdLogEntryFlags.Amount) != 0)
{
dw.WriteLeb128(entry.Amount);
lastAmount = entry.Amount;
}
if ((flags & OrdLogEntryFlags.AmountRest) != 0)
{
dw.WriteLeb128(entry.AmountRest);
lastAmountRest = entry.AmountRest;
}
if ((flags & OrdLogEntryFlags.DealId) != 0)
{
dw.WriteGrowing(entry.DealId, ref lastDealId);
}
if ((flags & OrdLogEntryFlags.DealPrice) != 0)
{
dw.WriteLeb128(entry.DealPrice - lastDealPrice);
lastDealPrice = entry.DealPrice;
}
if ((flags & OrdLogEntryFlags.OI) != 0)
{
dw.WriteLeb128(entry.OI - lastOI);
lastOI = entry.OI;
}
// ------------------------------------------------------------
}
