public static void Write(IEnumerable <PbTick> list, Stream stream)
{
if (list == null)
{
return;
}
foreach (var item in list)
{
PbTickSerializer.WriteOne(item, stream);
}
}
//[TestMethod]
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();
}
}
}
//[TestMethod]
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;
//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 PbTickSerializer GetSerializer(string symbol)
{
PbTickSerializer list;
if (!dict2.TryGetValue(symbol, out list))
{
list = new PbTickSerializer();
dict2.Add(symbol, list);
}
return list;
}
//[TestMethod]
//public void TestDataFile()
//{
// //var stream = new MemoryStream(File.ReadAllBytes("test.data"));
// //var serializer = new PbTickSerializer();
// //PbTick raw;
// //var tick = serializer.Read(stream, out raw);
// //Assert.AreNotEqual(null, tick);
//}
//[TestMethod]
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.TickSize = pts.Codec.Config.GetTickSize();
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");
}
