从接收tick数据到生成1分钟K线的实时处理

Posted 2023-02-16

【中文标题】从接收tick数据到生成1分钟K线的实时处理

【英文标题】：the real-time processing from receiving tick data to generating 1-minute K-line

【发布时间】：2021-12-07 02:17:53

【问题描述】：

分时数据的结构与K线的数据结构不同。什么时候进行拦截转换，能说说大致的流程吗？

我目前收到滴答数据并已将其实时写入滴答（流数据表）。如果订阅，是否需要先接收（所有数据字段），然后转换成准备表（如交易者），其中只有几个必填字段，最后聚合生成烛台表。

【参考方案1】：

请参考以下代码：

tbColNames=`TradingDay`InstrumentID`ExchangeID`ExchangeInstID`LastPrice`Volume`Amount`OpenPosition`PreSettlementPrice`PreClosePrice`PreOpenInterest`OpenPrice`HighestPrice`LowestPrice`TotalVolume`TotalTurnover`OpenInterest`ClosePrice`SettlementPrice`UpperLimitPrice`LowerLimitPrice`ActionTime`RecvTime`BidPrice1`BidVolume1`AskPrice1`AskVolume1`BidPrice2`BidVolume2`AskPrice2`AskVolume2`BidPrice3`BidVolume3`AskPrice3`AskVolume3`BidPrice4`BidVolume4`AskPrice4`AskVolume4`BidPrice5`BidVolume5`AskPrice5`AskVolume5`AveragePrice`PreDelta`CurrDelta`RecordNo`TotalRecordNo`InDbTime

tbColTypes=[DATE,SYMBOL,SYMBOL,SYMBOL,DOUBLE,INT,DOUBLE,DOUBLE,DOUBLE,DOUBLE,DOUBLE,DOUBLE,DOUBLE,DOUBLE,INT,DOUBLE,DOUBLE,DOUBLE,DOUBLE,DOUBLE,DOUBLE,TIMESTAMP, TIMESTAMP,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,INT,DOUBLE,DOUBLE,DOUBLE,INT,INT,TIMESTAMP]

tbTicks = streamTable(100000:0,tbColNames,tbColTypes)


enableTableShareAndPersistence(table=tbTicks, tableName=`ticks, cacheSize=2000000, retentionMinutes=4320 )

barColNames=`UpdateTime`InstrumentID`Open`High`Low`Close`Volume`Amount`OpenPosition`TradingDay
barColTypes=[TIMESTAMP,SYMBOL,DOUBLE,DOUBLE,DOUBLE,DOUBLE,DOUBLE,INT,DOUBLE,DATE]
share streamTable(100:0, barColNames, barColTypes) as traders
metrics=<[
first(LastPrice),
max(LastPrice),
min(LastPrice),
last(LastPrice),
sum(Volume),
sum(Amount),
sum(OpenPosition),
last(TradingDay)]>

tsAggrKline = createTimeSeriesAggregator(name="aggr_kline_min01", windowSize=600000, step=600000, metrics=metrics, dummyTable=ticks, outputTable=traders, timeColumn=`InDbTime, keyColumn=`InstrumentID,updateTime=500, useWindowStartTime=true)

subscribeTable(tableName="ticks", actionName="act_tsaggr", offset=-1, handler=append!getStreamEngine("aggr_kline_min01"), batchSize=1000, throttle=1, hash=0, msgAsTable=true)