init

DDBLoader.py

@@ -0,0 +1,513 @@
+import importlib
+import gzip
+import pickle
+import functools
+
+from pprint import pprint
+from pathlib import Path
+from tqdm import tqdm
+#from tqdm.contrib.concurrent import process_map
+from multiprocessing import Pool
+
+import numpy as np
+import pandas as pd
+
+import dolphindb as ddb
+import dolphindb.settings as keys
+
+import sqlalchemy as sa
+
+import ProtoBuffEntitys
+
+
+def make_stock_daily_df(blob, type_name, stock_id):
+    blob = gzip.decompress(blob)
+    dataArray = eval(f"ProtoBuffEntitys.{type_name}Message_pb2.{type_name}Array()")
+    dataArray.ParseFromString(blob)
+
+    data_dict_list = [
+        {field.name : val for field, val in entry.ListFields()}
+        for entry in dataArray.dataArray
+    ]
+
+    array_type_list = [
+        field.name 
+        for field, val in dataArray.dataArray[0].ListFields()
+        if isinstance(field.default_value, list)
+    ]
+    #pprint(array_type_list)
+
+    df = pd.DataFrame(data_dict_list)
+    #df['code'] = make_symbol(df['code'])
+    df['code'] = stock_id
+    df['m_nDate'] = make_date(df['m_nDate'])
+    df['m_nTime'] = df['m_nDate'] + make_time(df['m_nTime'])
+    for field_name in array_type_list:
+        df[field_name] = make_nparray(df[field_name])
+
+    #print(f"Did create ddb table for dataframe of shape {df.shape}")
+    # self.make_table_skeleton(type_name, df.shape[0])
+    return df
+
+
+def dump_stock_daily_to_ddb(row, type_name, stock_id):
+    df_table_name = type_name
+    df = make_stock_daily_df(row[2], type_name, stock_id)
+
+    ddb_sess = ddb.session(DDBLoader.ddb_config['host'], 8848)
+    ddb_sess.login(DDBLoader.ddb_config['username'], DDBLoader.ddb_config['password'])
+
+    ddb_sess.upload({df_table_name : df})
+    ddb_sess.run("tableInsert(loadTable('{dbPath}', `{partitioned_table_name}), {df_table_name})".format(
+        dbPath = DDBLoader.ddb_path,
+        partitioned_table_name = type_name + DDBLoader.ddb_partition_table_suffix,
+        df_table_name = df_table_name
+    ))
+
+
+
+def make_symbol(series):
+    return series.astype('int32').astype('str')\
+        .apply(str.zfill, args=(6,))\
+        .apply(lambda code : \
+            code + '.SH' if code[0] == '6' \
+            else code + '.SZ')
+
+
+def make_date(series):
+    return pd.to_datetime(
+        series.astype(str), format='%Y%m%d')
+
+
+def make_nparray(series):
+    return series.apply(lambda x : np.array(x))
+
+
+def make_time(series):
+    s_hr = series // 10000000 * 3600000
+    s_min = series % 10000000 // 100000 * 60000
+    s_sec = series % 100000 // 1000
+    s_ms = series % 1000
+    return pd.to_timedelta(s_hr + s_min + s_sec + s_ms, unit='ms')
+
+
+class DDBLoader(object):
+    """
+    0. 从sql-server中读取calendar数据，并创建成员变量df_calendar，df_calendar可以保存在本地pickle作为缓存
+        |- `def make_calendar_df(self) -> df_calendar`
+
+    1. 创建ddb中的数据库，分区性质从calendar数据中获取
+        |- `def create_ddb_database(self, df_calendar) -> void`
+        |- `def load_ddb_database(self) -> void`
+
+    2. 在ddb数据库中创建calendar表
+        |- `def create_ddb_calendar(self, df_calendar) -> void`
+
+    3. 创建ddb的分布式表结构
+        |- `create_ddb_partition_table(self, hft_type_name)`
+            |- `_make_table_skeleton(self, hft_type_name, capacity) -> memory_table_name`
+    
+    4. 从sql server的高频数据转录到dolpindb数据库中
+        |- `dump_hft_to_ddb(self, type_name, stock_id, trade_date=None)`
+    """
+
+    hft_type_list = ['KLine', 'Order', 'Tick', 'TickQueue', 'Transe']
+    
+    protobuff_name_dict = {
+        name : f"{name}Message_pb2" for name in hft_type_list
+    }
+    
+    protobuff_module_dict = {
+        type_name : importlib.import_module(f".{module_name}", package='ProtoBuffEntitys') 
+        for type_name, module_name in protobuff_name_dict.items()
+    }
+
+    protobuff_desc_dict = {
+        type_name : eval(f"ProtoBuffEntitys.{module_name}.{type_name}Array.{type_name}Data.DESCRIPTOR")
+        for type_name, module_name in protobuff_name_dict.items()
+    }
+
+    mssql_name_dict = {
+        type_name : (
+            f"{type_name}" if type_name != 'TickQueue' \
+            else f"TickQue"
+        ) for type_name in hft_type_list
+    }
+    
+    # 数据库路径和数据库名可以不一致
+    ddb_path = "dfs://hft_stock_ts"
+    ddb_dbname = "db_stock_ts"
+    ddb_memory_table_suffix = "Memroy"
+    ddb_partition_table_suffix = "Partitioned"
+
+    # calendar表不需要分区，因此需要创建一个新的数据库
+    # 该数据库可以是一个简单的csv，现在还不清楚两者的差别
+    #ddb_calendar_path = "dfs://daily_calendar"
+    #ddb_calendar_dbname = "db_calendar"
+    ddb_calendar_table_name = "Calendar"
+
+    col_type_mapping = {
+        'code' : 'SYMBOL',
+        'm_nDate' : 'DATE',
+        'm_nTime' : 'TIME',
+        1 : 'FLOAT',
+        3 : 'INT',
+        5 : 'INT',
+        13 : 'INT',
+    }
+
+    mssql_config = {
+        'host' : '192.168.1.7',
+        'username' : 'sa',
+        'password' : 'passw0rd!'
+    }
+
+    ddb_config = {
+        'host' : '192.168.1.7',
+        'username' : 'admin',
+        'password' : '123456'
+    }
+
+    num_workers = 8
+    default_table_capacity = 10000
+    ddb_dump_journal_fname = 'ddb_dump_journal.csv'
+
+
+    def __init__(self):
+        self.mssql_engine = sa.create_engine(
+            "mssql+pyodbc://{username}:{password}@{host}/master?driver=ODBC+Driver+18+for+SQL+Server".format(**self.mssql_config),
+            connect_args = {
+                "TrustServerCertificate": "yes"
+            }, echo=False
+        )
+
+        self.ddb_sess = ddb.session(self.ddb_config['host'], 8848)
+        self.ddb_sess.login(self.ddb_config['username'], self.ddb_config['password'])
+
+
+    def init_ddb_database(self, df_calendar):
+        """
+        1. 创建ddb_database
+        2. 创建calendar表
+        3. 创建数据分区表
+        """
+        # df_calendar还是由外部输入比较方便
+        #df_calendar = self.make_calendar_df()
+        self.create_ddb_database(df_calendar)
+        self.create_ddb_calendar(df_calendar)
+        for hft_type_name in self.hft_type_list:
+            self.create_ddb_partition_table(hft_type_name)
+
+
+    def init_ddb_table_data(self, df_calendar, num_workers=None):
+        """
+        对每个股票进行循环，转录数据到分区表
+        """
+        stock_list = df_calendar['code'].unique().astype('str')
+
+        # 不能重复创建Pool对象，因此需要在循环的最外侧创建好Pool对象，然后传参进去
+        with Pool(self.num_workers if num_workers is None else num_workers) as pool:
+            for hft_type_name in self.hft_type_list:
+                print('Will work on hft type:', hft_type_name)
+                with tqdm(stock_list) as pbar:
+                    for stock_id in pbar:
+                        pbar.set_description(f"Working on stock {stock_id}")
+                        self.dump_hft_to_ddb(hft_type_name, stock_id, pbar=pbar, pool=pool)
+
+
+    def _get_stock_date_list(self, cache=False):
+        """
+        Deprecated: This function is replaced by `create_ddb_calendar()`. 
+        """
+        if cache:
+            with open('tmp.pkl', 'rb') as fin:
+                stock_list, date_list = pickle.load(fin)
+        else:
+            with self.mssql_engine.connect() as conn:
+                # 从KLine表查询，主要是因为KLine表最小
+                stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine"
+                rs = conn.execute(stat)
+                stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]
+            stock_list, date_list = zip(*stock_date_list)
+
+        # cache
+        #with open('tmp.pkl', 'wb') as fout:
+        #    pickle.dump((stock_list, date_list), fout)
+
+        return pd.Series(stock_list, dtype='str').unique(), \
+                pd.Series(date_list, dtype='datetime64[D]').unique()
+
+
+    def create_ddb_database(self, pd_calendar):
+        # 从`pd_calendar`中创建`stock_list`和`date_list`
+        stock_list = pd_calendar['code'].unique().astype('str')
+        date_list = pd_calendar['m_nDate'].unique().astype('datetime64[D]')
+
+        # 可以把所有股票高频数据放在一个数据库中不同的表
+        # 分区策略是跟数据库绑定的，因此需要保证同一个数据库中的表都使用同样的分区额策略
+        # 对于股票高频数据，我们可以使用COMPO的分区策略，并且两个子db的分区策略都是VALUE类型的code和m_nDate字段
+        if self.ddb_sess.existsDatabase(self.ddb_path):
+            print('Wiil drop database:', self.ddb_path)
+            self.ddb_sess.dropDatabase(self.ddb_path)
+
+        # 要创建一个COMPO分区的数据库，需要首先创建两个简单分区的子数据库
+        # 这里我们使用先按日期，然后按股票分区的子数据库
+        # Please note that when creating a DFS database with COMPO domain, 
+        # the parameter dbPath for each partition level must be either an empty string or unspecified.
+        db_date = self.ddb_sess.database('db_date', partitionType=keys.VALUE, partitions=date_list, dbPath='')
+
+        # 这里看起来直接使用dolphindb的脚本语句更方便一些
+        self.ddb_sess.run("""
+            db_stock = database("", 5, [SYMBOL, 50])
+        """)
+        #self.ddb_sess.run("""
+        #    db_stock = database("", 1, symbol({partitions}))
+        #""".format(
+        #    partitions = '`' + '`'.join(stock_list)
+        #))
+
+        self.ddb_sess.run("""
+            {dbName} = database(
+                directory = '{dbPath}', 
+                partitionType = COMPO, 
+                partitionScheme = [db_date, db_stock], 
+                engine = "TSDB")
+        """.format(
+            dbName = self.ddb_dbname,
+            dbPath = self.ddb_path
+        ))
+
+        self._load_ddb_dump_journal(recreate=True)
+
+
+    def load_ddb_database(self):
+        db_date = self.ddb_sess.database('db_date', dbPath='')
+        db_stock = self.ddb_sess.database('db_stock', dbPath='')
+        
+        self.ddb_sess.run("{dbName} = database(directory='{dbPath}')".format(
+            dbName = self.ddb_dbname,
+            dbPath = self.ddb_path
+        ))
+
+        self._load_ddb_dump_journal()
+
+        
+    def _load_ddb_dump_journal(self, recreate=False):
+        if recreate or not Path(self.ddb_dump_journal_fname).exists():
+            print('Will create new dump journal.')
+            self.dump_journal_writer =  open(self.ddb_dump_journal_fname, 'w')
+            self.dump_journal_writer.write("type_name,stock_id,status\n")
+            self.dump_journal_writer.flush()
+        else:
+            print('Will load previous dump journal.')
+            self.dump_journal_writer = open(self.ddb_dump_journal_fname, 'a')
+
+        self.dump_journal_df = pd.read_csv(self.ddb_dump_journal_fname)
+        self.dump_journal_df.set_index(['type_name', 'stock_id', 'status'], inplace=True)
+        # 因为dump_journal_df只会在创建的时候载入一次数据，之后不会在写入，因此可以在此时对index进行排序
+        self.dump_journal_df.sort_index(inplace=True)
+        print('Did load the dump journal, shape', self.dump_journal_df.shape)
+        #pprint(self.dump_journal_df.head())
+
+
+    def create_ddb_calendar(self, df_calendar):
+        mem_table = self.ddb_calendar_table_name + self.ddb_memory_table_suffix
+        per_table = self.ddb_calendar_table_name
+        # 1. 创建临时内存表
+        # calendar的行数大概是股票数量 * 交易日数量
+        self.ddb_sess.run("""
+            {table_name} = table({capacity}:0, {col_names}, [{col_types}]);
+        """.format(
+            table_name = mem_table,
+            capacity = 5000 * 1000,
+            col_names = '`code`m_nDate',
+            col_types = "SYMBOL, DATE"
+        ))
+        print('Did create the memory table')
+
+        # 2. 向内存表中插入所有(code, date)数据
+        appender = ddb.tableAppender(tableName=mem_table, ddbSession=self.ddb_sess)
+        num = appender.append(df_calendar)
+        print('Did append calendar data into ddb memory table, return code', num)
+
+        # 3. 创建持久化表格之前需要先根据路径创建一个database对象
+        # 但研究了一下，发现好像一个database里面可以同时存在分区表和非分区表，
+        # 所以在这里暂时就不创建新的database了
+        # 但因为原database设置成了TSDB，所以必须在createTable的时候指定sortKey
+        #self.ddb_sess.run("""
+        #    {db_name} = 
+        #""")
+
+        # 4. 直接从内存表创建一个持久化表格
+        if self.ddb_sess.existsTable(self.ddb_path, per_table):
+            self.ddb_sess.dropTable(self.ddb_path, per_table)
+        self.ddb_sess.run("""
+            tableInsert(createTable(
+                dbHandle={ddb_dbname},
+                table={mem_table}, 
+                tableName=`{per_table},
+                sortCOlumns=`code`m_nDate,
+                compressMethods={{"m_nDate":"delta"}}
+            ), {mem_table})
+        """.format(
+            ddb_dbname = self.ddb_dbname,
+            mem_table = mem_table,
+            per_table = per_table
+        ))
+        print('Did create the persistent table with the memory table')
+
+
+    def make_calendar_df(self):
+        print('Will create calendar dataframe from SQL Server')
+        # 从KLine表查询，主要是因为KLine表最小
+        with self.mssql_engine.connect() as conn:
+            stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine"
+            rs = conn.execute(stat)
+            stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]
+
+        df_calendar = pd.DataFrame(stock_date_list, columns=['code', 'm_nDate'])
+        df_calendar['m_nDate'] = make_date(df_calendar['m_nDate'])
+        print('Did make the DataFrame for calendar')
+        return df_calendar
+
+
+    def _make_table_skeleton(self, hft_type_name, table_capacity=default_table_capacity):
+
+        def _make_tbl_config(field_list):
+            """
+            根据ProtoBuffEntity对象的Descriptor.fields，创建ddb标准的列名列表和列类型列表。
+            """
+            col_name_list, col_type_list = [], []
+            for desc in field_list:
+                col_name_list.append(desc.name)
+                # 如果对列明有特殊设定，目前仅包括`code`m_nDate和`m_nTime三个字段
+                if desc.name in self.col_type_mapping:
+                    col_type_list.append(self.col_type_mapping[desc.name])
+                # 通过对ProtoBuffEntity的类型编号，映射到ddb的类型编号
+                # 如果默认值是一个数组，那么ddb类型要额外增加说明是数组
+                # ProtoBuffEntity的类型编号只针对基本类型，数组需要通过`default_value`来判断
+                else:
+                    col_type = self.col_type_mapping[desc.type]
+                    if isinstance(desc.default_value, list):
+                        col_type += '[]'
+                    col_type_list.append(col_type)
+            return col_name_list, col_type_list
+
+        desc_obj = self.protobuff_desc_dict[hft_type_name]
+        col_name_list, col_type_list = _make_tbl_config(desc_obj.fields)
+
+        table_name = hft_type_name + self.ddb_memory_table_suffix
+        print('-' * 80)
+        print('Will create table structure:', table_name)
+
+        self.ddb_sess.run("""
+            {table_name} = table({capacity}:0, {col_names}, [{col_types}]);
+        """.format(
+            table_name = table_name,
+            capacity = table_capacity,
+            col_names = '`' + '`'.join(col_name_list),
+            col_types = ', '.join([f"'{type_name}'" for type_name in col_type_list])
+        ))
+        res = self.ddb_sess.run(f"schema({table_name}).colDefs")
+        pprint(res)
+        print('-' * 80)
+        return table_name
+
+
+    def create_ddb_partition_table(self, hft_type_name):
+        memory_table_name = self._make_table_skeleton(hft_type_name, 10)
+        partition_table_name = hft_type_name + self.ddb_partition_table_suffix
+        
+        print('-' * 80)
+        print('Will create partitioned table:', partition_table_name)
+
+        self.ddb_sess.run("""
+            {ddb_dbname}.createPartitionedTable(
+                table = {memory_table_name}, 
+                tableName = `{partition_table_name}, 
+                partitionColumns = `m_nDate`code, 
+                sortColumns = `code`m_nDate`m_nTime,
+                compressMethods = {{m_nDate:"delta", m_nTime:"delta"}}
+            )
+        """.format(
+            ddb_dbname = self.ddb_dbname,
+            memory_table_name = memory_table_name,
+            partition_table_name = partition_table_name
+        ))
+
+        res = self.ddb_sess.run(f"schema(loadTable('{self.ddb_path}', '{partition_table_name}')).colDefs")
+        pprint(res)
+        print('-' * 80)
+
+    
+    def dump_hft_to_ddb(self, type_name, stock_id, trade_date=None, pbar=None, pool=None):
+        if (type_name, stock_id, 'OK') in self.dump_journal_df.index:
+            message = f"Wiil skip ({type_name}, {stock_id}) as it appears in the dump journal."
+            if pbar is None:
+                print(message)
+            else:
+                pbar.set_description(message)
+            return
+        
+        self.dump_journal_writer.write(f"{type_name},{stock_id},START\n")
+        self.dump_journal_writer.flush()
+        
+        # 经过尝试，按个股来做batch查询效率还是可以接受的
+        # mssql中，索引字段是(S_INFO_WINDCODE, TRADE_DT)
+        with self.mssql_engine.connect() as conn:
+            stat = """
+                select * from [Level2Bytes{mssql_type_name}].dbo.[{mssql_type_name}] 
+                where S_INFO_WINDCODE='{stock_id}'
+            """.format(
+                mssql_type_name = self.mssql_name_dict[type_name],
+                stock_id = stock_id
+            )
+            row_list = list(conn.execute(stat).fetchall())
+            num_rows = len(row_list)
+
+            if pbar:
+                #pbar.set_description(f"Did get the result set for stock {stock_id} from mssql")
+                pbar.set_description(f"Will work in paralle on dumping job on {stock_id} of len {num_rows}")
+            else:
+                print(f"Did get the result set for stock {stock_id} from mssql")
+
+            # 每一行是当个个股某一日的所有高频交易信息
+            # 使用多进程来加快速度
+            
+            #with Pool(self.num_workers if num_workers is None else num_workers) as pool:
+            if pool is None:
+                print("Will create new Pool object, but this is not encourage for large batch work.")
+                pool = Pool(self.num_worker)
+
+            with tqdm(total=num_rows, leave=False) as sub_pbar:
+                for _ in pool.imap_unordered(
+                    functools.partial(
+                        dump_stock_daily_to_ddb, 
+                        type_name = type_name,
+                        stock_id = stock_id
+                    ),
+                    row_list
+                ):
+                    sub_pbar.update()
+
+        self.dump_journal_writer.write(f"{type_name},{stock_id},OK\n")
+        self.dump_journal_writer.flush()
+
+
+def main():
+    loader = DDBLoader()
+    df_calendar = loader.make_calendar_df()
+
+    loader.init_ddb_database(df_calendar)
+    print('Did finish init_ddb_database')
+
+    #loader.load_ddb_database()
+    #print('Did load ddb database')
+
+    loader.init_ddb_table_data(df_calendar)
+    print('Did finish init_table_data')
+
+
+if __name__ == '__main__':
+    main()
+

ProtoBuffEntitys/HFDataTableMessage_pb2.py

@@ -0,0 +1,122 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: HFDataTableMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='HFDataTableMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x18HFDataTableMessage.proto\"\x86\x01\n\x10HFDataTableArray\x12\x34\n\tdataArray\x18\x01 \x03(\x0b\x32!.HFDataTableArray.HFDataTableData\x1a<\n\x0fHFDataTableData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\t\x12\x0c\n\x04\x64\x61te\x18\x02 \x02(\x05\x12\r\n\x05\x42ytes\x18\x03 \x02(\x0c'
+)
+
+
+
+
+_HFDATATABLEARRAY_HFDATATABLEDATA = _descriptor.Descriptor(
+  name='HFDataTableData',
+  full_name='HFDataTableArray.HFDataTableData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='HFDataTableArray.HFDataTableData.code', index=0,
+      number=1, type=9, cpp_type=9, label=2,
+      has_default_value=False, default_value=b"".decode('utf-8'),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='date', full_name='HFDataTableArray.HFDataTableData.date', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='Bytes', full_name='HFDataTableArray.HFDataTableData.Bytes', index=2,
+      number=3, type=12, cpp_type=9, label=2,
+      has_default_value=False, default_value=b"",
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=103,
+  serialized_end=163,
+)
+
+_HFDATATABLEARRAY = _descriptor.Descriptor(
+  name='HFDataTableArray',
+  full_name='HFDataTableArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='HFDataTableArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_HFDATATABLEARRAY_HFDATATABLEDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=29,
+  serialized_end=163,
+)
+
+_HFDATATABLEARRAY_HFDATATABLEDATA.containing_type = _HFDATATABLEARRAY
+_HFDATATABLEARRAY.fields_by_name['dataArray'].message_type = _HFDATATABLEARRAY_HFDATATABLEDATA
+DESCRIPTOR.message_types_by_name['HFDataTableArray'] = _HFDATATABLEARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+HFDataTableArray = _reflection.GeneratedProtocolMessageType('HFDataTableArray', (_message.Message,), {
+
+  'HFDataTableData' : _reflection.GeneratedProtocolMessageType('HFDataTableData', (_message.Message,), {
+    'DESCRIPTOR' : _HFDATATABLEARRAY_HFDATATABLEDATA,
+    '__module__' : 'HFDataTableMessage_pb2'
+    # @@protoc_insertion_point(class_scope:HFDataTableArray.HFDataTableData)
+    })
+  ,
+  'DESCRIPTOR' : _HFDATATABLEARRAY,
+  '__module__' : 'HFDataTableMessage_pb2'
+  # @@protoc_insertion_point(class_scope:HFDataTableArray)
+  })
+_sym_db.RegisterMessage(HFDataTableArray)
+_sym_db.RegisterMessage(HFDataTableArray.HFDataTableData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/IndexFutureKLineMessage_pb2.py

@@ -0,0 +1,178 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: IndexFutureKLineMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='IndexFutureKLineMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x1dIndexFutureKLineMessage.proto\"\xc0\x02\n\x15IndexFutureKLineArray\x12>\n\tdataArray\x18\x01 \x03(\x0b\x32+.IndexFutureKLineArray.IndexFutureKLineData\x1a\xe6\x01\n\x14IndexFutureKLineData\x12\x15\n\rm_strWindCode\x18\x01 \x02(\t\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nOpen\x18\x04 \x02(\x01\x12\x0f\n\x07m_nHigh\x18\x05 \x02(\x01\x12\x0e\n\x06m_nLow\x18\x06 \x02(\x01\x12\x10\n\x08m_nClose\x18\x07 \x02(\x01\x12\x11\n\tm_iVolume\x18\x08 \x02(\x03\x12\x12\n\nm_iTurover\x18\t \x02(\x03\x12\x15\n\rm_nMatchItems\x18\n \x02(\x05\x12\x13\n\x0bm_nInterest\x18\x0b \x02(\x05'
+)
+
+
+
+
+_INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA = _descriptor.Descriptor(
+  name='IndexFutureKLineData',
+  full_name='IndexFutureKLineArray.IndexFutureKLineData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='m_strWindCode', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_strWindCode', index=0,
+      number=1, type=9, cpp_type=9, label=2,
+      has_default_value=False, default_value=b"".decode('utf-8'),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOpen', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nOpen', index=3,
+      number=4, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nHigh', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nHigh', index=4,
+      number=5, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nLow', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nLow', index=5,
+      number=6, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nClose', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nClose', index=6,
+      number=7, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iVolume', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_iVolume', index=7,
+      number=8, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTurover', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_iTurover', index=8,
+      number=9, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nMatchItems', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nMatchItems', index=9,
+      number=10, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nInterest', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nInterest', index=10,
+      number=11, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=124,
+  serialized_end=354,
+)
+
+_INDEXFUTUREKLINEARRAY = _descriptor.Descriptor(
+  name='IndexFutureKLineArray',
+  full_name='IndexFutureKLineArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='IndexFutureKLineArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=34,
+  serialized_end=354,
+)
+
+_INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA.containing_type = _INDEXFUTUREKLINEARRAY
+_INDEXFUTUREKLINEARRAY.fields_by_name['dataArray'].message_type = _INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA
+DESCRIPTOR.message_types_by_name['IndexFutureKLineArray'] = _INDEXFUTUREKLINEARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+IndexFutureKLineArray = _reflection.GeneratedProtocolMessageType('IndexFutureKLineArray', (_message.Message,), {
+
+  'IndexFutureKLineData' : _reflection.GeneratedProtocolMessageType('IndexFutureKLineData', (_message.Message,), {
+    'DESCRIPTOR' : _INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA,
+    '__module__' : 'IndexFutureKLineMessage_pb2'
+    # @@protoc_insertion_point(class_scope:IndexFutureKLineArray.IndexFutureKLineData)
+    })
+  ,
+  'DESCRIPTOR' : _INDEXFUTUREKLINEARRAY,
+  '__module__' : 'IndexFutureKLineMessage_pb2'
+  # @@protoc_insertion_point(class_scope:IndexFutureKLineArray)
+  })
+_sym_db.RegisterMessage(IndexFutureKLineArray)
+_sym_db.RegisterMessage(IndexFutureKLineArray.IndexFutureKLineData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/IndexFutureL1TickMessage_pb2.py

@@ -0,0 +1,255 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: IndexFutureL1TickMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='IndexFutureL1TickMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x1eIndexFutureL1TickMessage.proto\"\xb5\x04\n\x16IndexFutureL1TickArray\x12@\n\tdataArray\x18\x01 \x03(\x0b\x32-.IndexFutureL1TickArray.IndexFutureL1TickData\x1a\xd8\x03\n\x15IndexFutureL1TickData\x12\x15\n\rm_strWindCode\x18\x01 \x02(\t\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nPrice\x18\x04 \x02(\x01\x12\x11\n\tm_iVolume\x18\x05 \x02(\x03\x12\x12\n\nm_iTurover\x18\x06 \x02(\x03\x12\x15\n\rm_nMatchItems\x18\x07 \x02(\x05\x12\x15\n\rm_chTradeFlag\x18\x08 \x02(\r\x12\x12\n\nm_chBSFlag\x18\t \x02(\r\x12\x14\n\x0cm_iAccVolume\x18\n \x02(\x03\x12\x15\n\rm_iAccTurover\x18\x0b \x02(\x03\x12\x0f\n\x07m_nHigh\x18\x0c \x02(\x01\x12\x0e\n\x06m_nLow\x18\r \x02(\x01\x12\x0f\n\x07m_nOpen\x18\x0e \x02(\x01\x12\x13\n\x0bm_nPreClose\x18\x0f \x02(\x01\x12\x13\n\x0bm_nAskPrice\x18\x10 \x02(\x01\x12\x14\n\x0cm_nAskVolume\x18\x11 \x02(\x05\x12\x13\n\x0bm_nBidPrice\x18\x12 \x02(\x01\x12\x14\n\x0cm_nBidVolume\x18\x13 \x02(\x05\x12\x13\n\x0bm_nPosition\x18\x14 \x02(\x05\x12\x14\n\x0cm_nPreSettle\x18\x15 \x02(\x01\x12\x16\n\x0em_nPrePosition\x18\x16 \x02(\x05'
+)
+
+
+
+
+_INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA = _descriptor.Descriptor(
+  name='IndexFutureL1TickData',
+  full_name='IndexFutureL1TickArray.IndexFutureL1TickData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='m_strWindCode', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_strWindCode', index=0,
+      number=1, type=9, cpp_type=9, label=2,
+      has_default_value=False, default_value=b"".decode('utf-8'),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPrice', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPrice', index=3,
+      number=4, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iVolume', index=4,
+      number=5, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTurover', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iTurover', index=5,
+      number=6, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nMatchItems', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nMatchItems', index=6,
+      number=7, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chTradeFlag', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_chTradeFlag', index=7,
+      number=8, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chBSFlag', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_chBSFlag', index=8,
+      number=9, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iAccVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iAccVolume', index=9,
+      number=10, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iAccTurover', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iAccTurover', index=10,
+      number=11, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nHigh', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nHigh', index=11,
+      number=12, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nLow', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nLow', index=12,
+      number=13, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOpen', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nOpen', index=13,
+      number=14, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPreClose', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPreClose', index=14,
+      number=15, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nAskPrice', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nAskPrice', index=15,
+      number=16, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nAskVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nAskVolume', index=16,
+      number=17, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nBidPrice', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nBidPrice', index=17,
+      number=18, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nBidVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nBidVolume', index=18,
+      number=19, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPosition', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPosition', index=19,
+      number=20, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPreSettle', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPreSettle', index=20,
+      number=21, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPrePosition', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPrePosition', index=21,
+      number=22, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=128,
+  serialized_end=600,
+)
+
+_INDEXFUTUREL1TICKARRAY = _descriptor.Descriptor(
+  name='IndexFutureL1TickArray',
+  full_name='IndexFutureL1TickArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='IndexFutureL1TickArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=35,
+  serialized_end=600,
+)
+
+_INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA.containing_type = _INDEXFUTUREL1TICKARRAY
+_INDEXFUTUREL1TICKARRAY.fields_by_name['dataArray'].message_type = _INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA
+DESCRIPTOR.message_types_by_name['IndexFutureL1TickArray'] = _INDEXFUTUREL1TICKARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+IndexFutureL1TickArray = _reflection.GeneratedProtocolMessageType('IndexFutureL1TickArray', (_message.Message,), {
+
+  'IndexFutureL1TickData' : _reflection.GeneratedProtocolMessageType('IndexFutureL1TickData', (_message.Message,), {
+    'DESCRIPTOR' : _INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA,
+    '__module__' : 'IndexFutureL1TickMessage_pb2'
+    # @@protoc_insertion_point(class_scope:IndexFutureL1TickArray.IndexFutureL1TickData)
+    })
+  ,
+  'DESCRIPTOR' : _INDEXFUTUREL1TICKARRAY,
+  '__module__' : 'IndexFutureL1TickMessage_pb2'
+  # @@protoc_insertion_point(class_scope:IndexFutureL1TickArray)
+  })
+_sym_db.RegisterMessage(IndexFutureL1TickArray)
+_sym_db.RegisterMessage(IndexFutureL1TickArray.IndexFutureL1TickData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/IndexKLineMessage_pb2.py

@@ -0,0 +1,164 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: IndexKLineMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='IndexKLineMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x17IndexKLineMessage.proto\"\xf3\x01\n\x0fIndexKLineArray\x12\x32\n\tdataArray\x18\x01 \x03(\x0b\x32\x1f.IndexKLineArray.IndexKLineData\x1a\xab\x01\n\x0eIndexKLineData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nOpen\x18\x04 \x02(\x01\x12\x0f\n\x07m_nHigh\x18\x05 \x02(\x01\x12\x0e\n\x06m_nLow\x18\x06 \x02(\x01\x12\x10\n\x08m_nClose\x18\x07 \x02(\x01\x12\x11\n\tm_iVolume\x18\x08 \x02(\x03\x12\x12\n\nm_iTurover\x18\t \x02(\x03'
+)
+
+
+
+
+_INDEXKLINEARRAY_INDEXKLINEDATA = _descriptor.Descriptor(
+  name='IndexKLineData',
+  full_name='IndexKLineArray.IndexKLineData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='IndexKLineArray.IndexKLineData.code', index=0,
+      number=1, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='IndexKLineArray.IndexKLineData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='IndexKLineArray.IndexKLineData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOpen', full_name='IndexKLineArray.IndexKLineData.m_nOpen', index=3,
+      number=4, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nHigh', full_name='IndexKLineArray.IndexKLineData.m_nHigh', index=4,
+      number=5, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nLow', full_name='IndexKLineArray.IndexKLineData.m_nLow', index=5,
+      number=6, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nClose', full_name='IndexKLineArray.IndexKLineData.m_nClose', index=6,
+      number=7, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iVolume', full_name='IndexKLineArray.IndexKLineData.m_iVolume', index=7,
+      number=8, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTurover', full_name='IndexKLineArray.IndexKLineData.m_iTurover', index=8,
+      number=9, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=100,
+  serialized_end=271,
+)
+
+_INDEXKLINEARRAY = _descriptor.Descriptor(
+  name='IndexKLineArray',
+  full_name='IndexKLineArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='IndexKLineArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_INDEXKLINEARRAY_INDEXKLINEDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=28,
+  serialized_end=271,
+)
+
+_INDEXKLINEARRAY_INDEXKLINEDATA.containing_type = _INDEXKLINEARRAY
+_INDEXKLINEARRAY.fields_by_name['dataArray'].message_type = _INDEXKLINEARRAY_INDEXKLINEDATA
+DESCRIPTOR.message_types_by_name['IndexKLineArray'] = _INDEXKLINEARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+IndexKLineArray = _reflection.GeneratedProtocolMessageType('IndexKLineArray', (_message.Message,), {
+
+  'IndexKLineData' : _reflection.GeneratedProtocolMessageType('IndexKLineData', (_message.Message,), {
+    'DESCRIPTOR' : _INDEXKLINEARRAY_INDEXKLINEDATA,
+    '__module__' : 'IndexKLineMessage_pb2'
+    # @@protoc_insertion_point(class_scope:IndexKLineArray.IndexKLineData)
+    })
+  ,
+  'DESCRIPTOR' : _INDEXKLINEARRAY,
+  '__module__' : 'IndexKLineMessage_pb2'
+  # @@protoc_insertion_point(class_scope:IndexKLineArray)
+  })
+_sym_db.RegisterMessage(IndexKLineArray)
+_sym_db.RegisterMessage(IndexKLineArray.IndexKLineData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/IndexTickMessage_pb2.py

@@ -0,0 +1,185 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: IndexTickMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='IndexTickMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x16IndexTickMessage.proto\"\xb1\x02\n\x0eIndexTickArray\x12\x30\n\tdataArray\x18\x01 \x03(\x0b\x32\x1d.IndexTickArray.IndexTickData\x1a\xec\x01\n\rIndexTickData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nPrice\x18\x04 \x02(\x01\x12\x11\n\tm_iVolume\x18\x05 \x02(\x03\x12\x12\n\nm_iTurover\x18\x06 \x02(\x03\x12\x14\n\x0cm_iAccVolume\x18\x07 \x02(\x03\x12\x15\n\rm_iAccTurover\x18\x08 \x02(\x03\x12\x0f\n\x07m_nHigh\x18\t \x02(\x01\x12\x0e\n\x06m_nLow\x18\n \x02(\x01\x12\x0f\n\x07m_nOpen\x18\x0b \x02(\x01\x12\x13\n\x0bm_nPreClose\x18\x0c \x02(\x01'
+)
+
+
+
+
+_INDEXTICKARRAY_INDEXTICKDATA = _descriptor.Descriptor(
+  name='IndexTickData',
+  full_name='IndexTickArray.IndexTickData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='IndexTickArray.IndexTickData.code', index=0,
+      number=1, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='IndexTickArray.IndexTickData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='IndexTickArray.IndexTickData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPrice', full_name='IndexTickArray.IndexTickData.m_nPrice', index=3,
+      number=4, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iVolume', full_name='IndexTickArray.IndexTickData.m_iVolume', index=4,
+      number=5, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTurover', full_name='IndexTickArray.IndexTickData.m_iTurover', index=5,
+      number=6, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iAccVolume', full_name='IndexTickArray.IndexTickData.m_iAccVolume', index=6,
+      number=7, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iAccTurover', full_name='IndexTickArray.IndexTickData.m_iAccTurover', index=7,
+      number=8, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nHigh', full_name='IndexTickArray.IndexTickData.m_nHigh', index=8,
+      number=9, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nLow', full_name='IndexTickArray.IndexTickData.m_nLow', index=9,
+      number=10, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOpen', full_name='IndexTickArray.IndexTickData.m_nOpen', index=10,
+      number=11, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPreClose', full_name='IndexTickArray.IndexTickData.m_nPreClose', index=11,
+      number=12, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=96,
+  serialized_end=332,
+)
+
+_INDEXTICKARRAY = _descriptor.Descriptor(
+  name='IndexTickArray',
+  full_name='IndexTickArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='IndexTickArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_INDEXTICKARRAY_INDEXTICKDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=27,
+  serialized_end=332,
+)
+
+_INDEXTICKARRAY_INDEXTICKDATA.containing_type = _INDEXTICKARRAY
+_INDEXTICKARRAY.fields_by_name['dataArray'].message_type = _INDEXTICKARRAY_INDEXTICKDATA
+DESCRIPTOR.message_types_by_name['IndexTickArray'] = _INDEXTICKARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+IndexTickArray = _reflection.GeneratedProtocolMessageType('IndexTickArray', (_message.Message,), {
+
+  'IndexTickData' : _reflection.GeneratedProtocolMessageType('IndexTickData', (_message.Message,), {
+    'DESCRIPTOR' : _INDEXTICKARRAY_INDEXTICKDATA,
+    '__module__' : 'IndexTickMessage_pb2'
+    # @@protoc_insertion_point(class_scope:IndexTickArray.IndexTickData)
+    })
+  ,
+  'DESCRIPTOR' : _INDEXTICKARRAY,
+  '__module__' : 'IndexTickMessage_pb2'
+  # @@protoc_insertion_point(class_scope:IndexTickArray)
+  })
+_sym_db.RegisterMessage(IndexTickArray)
+_sym_db.RegisterMessage(IndexTickArray.IndexTickData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/KLineMessage_pb2.py

@@ -0,0 +1,171 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: KLineMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='KLineMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x12KLineMessage.proto\"\xf6\x01\n\nKLineArray\x12(\n\tdataArray\x18\x01 \x03(\x0b\x32\x15.KLineArray.KLineData\x1a\xbd\x01\n\tKLineData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nOpen\x18\x04 \x02(\x01\x12\x0f\n\x07m_nHigh\x18\x05 \x02(\x01\x12\x0e\n\x06m_nLow\x18\x06 \x02(\x01\x12\x10\n\x08m_nClose\x18\x07 \x02(\x01\x12\x11\n\tm_iVolume\x18\x08 \x02(\x03\x12\x12\n\nm_iTurover\x18\t \x02(\x03\x12\x15\n\rm_nMatchItems\x18\n \x02(\x05'
+)
+
+
+
+
+_KLINEARRAY_KLINEDATA = _descriptor.Descriptor(
+  name='KLineData',
+  full_name='KLineArray.KLineData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='KLineArray.KLineData.code', index=0,
+      number=1, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='KLineArray.KLineData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='KLineArray.KLineData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOpen', full_name='KLineArray.KLineData.m_nOpen', index=3,
+      number=4, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nHigh', full_name='KLineArray.KLineData.m_nHigh', index=4,
+      number=5, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nLow', full_name='KLineArray.KLineData.m_nLow', index=5,
+      number=6, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nClose', full_name='KLineArray.KLineData.m_nClose', index=6,
+      number=7, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iVolume', full_name='KLineArray.KLineData.m_iVolume', index=7,
+      number=8, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTurover', full_name='KLineArray.KLineData.m_iTurover', index=8,
+      number=9, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nMatchItems', full_name='KLineArray.KLineData.m_nMatchItems', index=9,
+      number=10, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=80,
+  serialized_end=269,
+)
+
+_KLINEARRAY = _descriptor.Descriptor(
+  name='KLineArray',
+  full_name='KLineArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='KLineArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_KLINEARRAY_KLINEDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=23,
+  serialized_end=269,
+)
+
+_KLINEARRAY_KLINEDATA.containing_type = _KLINEARRAY
+_KLINEARRAY.fields_by_name['dataArray'].message_type = _KLINEARRAY_KLINEDATA
+DESCRIPTOR.message_types_by_name['KLineArray'] = _KLINEARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+KLineArray = _reflection.GeneratedProtocolMessageType('KLineArray', (_message.Message,), {
+
+  'KLineData' : _reflection.GeneratedProtocolMessageType('KLineData', (_message.Message,), {
+    'DESCRIPTOR' : _KLINEARRAY_KLINEDATA,
+    '__module__' : 'KLineMessage_pb2'
+    # @@protoc_insertion_point(class_scope:KLineArray.KLineData)
+    })
+  ,
+  'DESCRIPTOR' : _KLINEARRAY,
+  '__module__' : 'KLineMessage_pb2'
+  # @@protoc_insertion_point(class_scope:KLineArray)
+  })
+_sym_db.RegisterMessage(KLineArray)
+_sym_db.RegisterMessage(KLineArray.KLineData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/OrderMessage_pb2.py

@@ -0,0 +1,164 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: OrderMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='OrderMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x12OrderMessage.proto\"\xf8\x01\n\nOrderArray\x12(\n\tdataArray\x18\x01 \x03(\x0b\x32\x15.OrderArray.OrderData\x1a\xbf\x01\n\tOrderData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nIndex\x18\x04 \x02(\x05\x12\x10\n\x08m_nOrder\x18\x05 \x02(\x05\x12\x15\n\rm_chOrderKind\x18\x06 \x02(\r\x12\x18\n\x10m_chFunctionCode\x18\x07 \x02(\r\x12\x15\n\rm_nTradePrice\x18\x08 \x02(\x01\x12\x16\n\x0em_nTradeVolume\x18\t \x02(\x05'
+)
+
+
+
+
+_ORDERARRAY_ORDERDATA = _descriptor.Descriptor(
+  name='OrderData',
+  full_name='OrderArray.OrderData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='OrderArray.OrderData.code', index=0,
+      number=1, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='OrderArray.OrderData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='OrderArray.OrderData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nIndex', full_name='OrderArray.OrderData.m_nIndex', index=3,
+      number=4, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOrder', full_name='OrderArray.OrderData.m_nOrder', index=4,
+      number=5, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chOrderKind', full_name='OrderArray.OrderData.m_chOrderKind', index=5,
+      number=6, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chFunctionCode', full_name='OrderArray.OrderData.m_chFunctionCode', index=6,
+      number=7, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTradePrice', full_name='OrderArray.OrderData.m_nTradePrice', index=7,
+      number=8, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTradeVolume', full_name='OrderArray.OrderData.m_nTradeVolume', index=8,
+      number=9, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=80,
+  serialized_end=271,
+)
+
+_ORDERARRAY = _descriptor.Descriptor(
+  name='OrderArray',
+  full_name='OrderArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='OrderArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_ORDERARRAY_ORDERDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=23,
+  serialized_end=271,
+)
+
+_ORDERARRAY_ORDERDATA.containing_type = _ORDERARRAY
+_ORDERARRAY.fields_by_name['dataArray'].message_type = _ORDERARRAY_ORDERDATA
+DESCRIPTOR.message_types_by_name['OrderArray'] = _ORDERARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+OrderArray = _reflection.GeneratedProtocolMessageType('OrderArray', (_message.Message,), {
+
+  'OrderData' : _reflection.GeneratedProtocolMessageType('OrderData', (_message.Message,), {
+    'DESCRIPTOR' : _ORDERARRAY_ORDERDATA,
+    '__module__' : 'OrderMessage_pb2'
+    # @@protoc_insertion_point(class_scope:OrderArray.OrderData)
+    })
+  ,
+  'DESCRIPTOR' : _ORDERARRAY,
+  '__module__' : 'OrderMessage_pb2'
+  # @@protoc_insertion_point(class_scope:OrderArray)
+  })
+_sym_db.RegisterMessage(OrderArray)
+_sym_db.RegisterMessage(OrderArray.OrderData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/TickMessage_pb2.py

@@ -0,0 +1,262 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: TickMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='TickMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x11TickMessage.proto\"\x99\x04\n\tTickArray\x12&\n\tdataArray\x18\x01 \x03(\x0b\x32\x13.TickArray.TickData\x1a\xe3\x03\n\x08TickData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nPrice\x18\x04 \x02(\x01\x12\x11\n\tm_iVolume\x18\x05 \x02(\x03\x12\x12\n\nm_iTurover\x18\x06 \x02(\x03\x12\x15\n\rm_nMatchItems\x18\x07 \x02(\x05\x12\x15\n\rm_chTradeFlag\x18\x08 \x02(\r\x12\x12\n\nm_chBSFlag\x18\t \x02(\r\x12\x14\n\x0cm_iAccVolume\x18\n \x02(\x03\x12\x15\n\rm_iAccTurover\x18\x0b \x02(\x03\x12\x0f\n\x07m_nHigh\x18\x0c \x02(\x01\x12\x0e\n\x06m_nLow\x18\r \x02(\x01\x12\x0f\n\x07m_nOpen\x18\x0e \x02(\x01\x12\x13\n\x0bm_nPreClose\x18\x0f \x02(\x01\x12\x13\n\x0bm_nAskPrice\x18\x10 \x03(\x01\x12\x14\n\x0cm_nAskVolume\x18\x11 \x03(\x05\x12\x13\n\x0bm_nBidPrice\x18\x12 \x03(\x01\x12\x14\n\x0cm_nBidVolume\x18\x13 \x03(\x05\x12\x15\n\rm_nAskAvPrice\x18\x14 \x02(\x01\x12\x15\n\rm_nBidAvPrice\x18\x15 \x02(\x01\x12\x19\n\x11m_iTotalAskVolume\x18\x16 \x02(\x03\x12\x19\n\x11m_iTotalBidVolume\x18\x17 \x02(\x03'
+)
+
+
+
+
+_TICKARRAY_TICKDATA = _descriptor.Descriptor(
+  name='TickData',
+  full_name='TickArray.TickData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='TickArray.TickData.code', index=0,
+      number=1, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='TickArray.TickData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='TickArray.TickData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPrice', full_name='TickArray.TickData.m_nPrice', index=3,
+      number=4, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iVolume', full_name='TickArray.TickData.m_iVolume', index=4,
+      number=5, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTurover', full_name='TickArray.TickData.m_iTurover', index=5,
+      number=6, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nMatchItems', full_name='TickArray.TickData.m_nMatchItems', index=6,
+      number=7, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chTradeFlag', full_name='TickArray.TickData.m_chTradeFlag', index=7,
+      number=8, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chBSFlag', full_name='TickArray.TickData.m_chBSFlag', index=8,
+      number=9, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iAccVolume', full_name='TickArray.TickData.m_iAccVolume', index=9,
+      number=10, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iAccTurover', full_name='TickArray.TickData.m_iAccTurover', index=10,
+      number=11, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nHigh', full_name='TickArray.TickData.m_nHigh', index=11,
+      number=12, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nLow', full_name='TickArray.TickData.m_nLow', index=12,
+      number=13, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOpen', full_name='TickArray.TickData.m_nOpen', index=13,
+      number=14, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPreClose', full_name='TickArray.TickData.m_nPreClose', index=14,
+      number=15, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nAskPrice', full_name='TickArray.TickData.m_nAskPrice', index=15,
+      number=16, type=1, cpp_type=5, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nAskVolume', full_name='TickArray.TickData.m_nAskVolume', index=16,
+      number=17, type=5, cpp_type=1, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nBidPrice', full_name='TickArray.TickData.m_nBidPrice', index=17,
+      number=18, type=1, cpp_type=5, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nBidVolume', full_name='TickArray.TickData.m_nBidVolume', index=18,
+      number=19, type=5, cpp_type=1, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nAskAvPrice', full_name='TickArray.TickData.m_nAskAvPrice', index=19,
+      number=20, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nBidAvPrice', full_name='TickArray.TickData.m_nBidAvPrice', index=20,
+      number=21, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTotalAskVolume', full_name='TickArray.TickData.m_iTotalAskVolume', index=21,
+      number=22, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_iTotalBidVolume', full_name='TickArray.TickData.m_iTotalBidVolume', index=22,
+      number=23, type=3, cpp_type=2, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=76,
+  serialized_end=559,
+)
+
+_TICKARRAY = _descriptor.Descriptor(
+  name='TickArray',
+  full_name='TickArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='TickArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_TICKARRAY_TICKDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=22,
+  serialized_end=559,
+)
+
+_TICKARRAY_TICKDATA.containing_type = _TICKARRAY
+_TICKARRAY.fields_by_name['dataArray'].message_type = _TICKARRAY_TICKDATA
+DESCRIPTOR.message_types_by_name['TickArray'] = _TICKARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+TickArray = _reflection.GeneratedProtocolMessageType('TickArray', (_message.Message,), {
+
+  'TickData' : _reflection.GeneratedProtocolMessageType('TickData', (_message.Message,), {
+    'DESCRIPTOR' : _TICKARRAY_TICKDATA,
+    '__module__' : 'TickMessage_pb2'
+    # @@protoc_insertion_point(class_scope:TickArray.TickData)
+    })
+  ,
+  'DESCRIPTOR' : _TICKARRAY,
+  '__module__' : 'TickMessage_pb2'
+  # @@protoc_insertion_point(class_scope:TickArray)
+  })
+_sym_db.RegisterMessage(TickArray)
+_sym_db.RegisterMessage(TickArray.TickData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/TickQueueMessage_pb2.py

@@ -0,0 +1,157 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: TickQueueMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='TickQueueMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x16TickQueueMessage.proto\"\xe7\x01\n\x0eTickQueueArray\x12\x30\n\tdataArray\x18\x01 \x03(\x0b\x32\x1d.TickQueueArray.TickQueueData\x1a\xa2\x01\n\rTickQueueData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nSide\x18\x04 \x02(\r\x12\x10\n\x08m_nPrice\x18\x05 \x02(\x01\x12\x15\n\rm_nOrderItems\x18\x06 \x02(\x05\x12\x12\n\nm_nABItems\x18\x07 \x02(\x05\x12\x13\n\x0bm_nABVolume\x18\x08 \x03(\x05'
+)
+
+
+
+
+_TICKQUEUEARRAY_TICKQUEUEDATA = _descriptor.Descriptor(
+  name='TickQueueData',
+  full_name='TickQueueArray.TickQueueData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='TickQueueArray.TickQueueData.code', index=0,
+      number=1, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='TickQueueArray.TickQueueData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='TickQueueArray.TickQueueData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nSide', full_name='TickQueueArray.TickQueueData.m_nSide', index=3,
+      number=4, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nPrice', full_name='TickQueueArray.TickQueueData.m_nPrice', index=4,
+      number=5, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nOrderItems', full_name='TickQueueArray.TickQueueData.m_nOrderItems', index=5,
+      number=6, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nABItems', full_name='TickQueueArray.TickQueueData.m_nABItems', index=6,
+      number=7, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nABVolume', full_name='TickQueueArray.TickQueueData.m_nABVolume', index=7,
+      number=8, type=5, cpp_type=1, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=96,
+  serialized_end=258,
+)
+
+_TICKQUEUEARRAY = _descriptor.Descriptor(
+  name='TickQueueArray',
+  full_name='TickQueueArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='TickQueueArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_TICKQUEUEARRAY_TICKQUEUEDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=27,
+  serialized_end=258,
+)
+
+_TICKQUEUEARRAY_TICKQUEUEDATA.containing_type = _TICKQUEUEARRAY
+_TICKQUEUEARRAY.fields_by_name['dataArray'].message_type = _TICKQUEUEARRAY_TICKQUEUEDATA
+DESCRIPTOR.message_types_by_name['TickQueueArray'] = _TICKQUEUEARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+TickQueueArray = _reflection.GeneratedProtocolMessageType('TickQueueArray', (_message.Message,), {
+
+  'TickQueueData' : _reflection.GeneratedProtocolMessageType('TickQueueData', (_message.Message,), {
+    'DESCRIPTOR' : _TICKQUEUEARRAY_TICKQUEUEDATA,
+    '__module__' : 'TickQueueMessage_pb2'
+    # @@protoc_insertion_point(class_scope:TickQueueArray.TickQueueData)
+    })
+  ,
+  'DESCRIPTOR' : _TICKQUEUEARRAY,
+  '__module__' : 'TickQueueMessage_pb2'
+  # @@protoc_insertion_point(class_scope:TickQueueArray)
+  })
+_sym_db.RegisterMessage(TickQueueArray)
+_sym_db.RegisterMessage(TickQueueArray.TickQueueData)
+
+
+# @@protoc_insertion_point(module_scope)

ProtoBuffEntitys/TranseMessage_pb2.py

@@ -0,0 +1,178 @@
+# -*- coding: utf-8 -*-
+# Generated by the protocol buffer compiler.  DO NOT EDIT!
+# source: TranseMessage.proto
+
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from google.protobuf import reflection as _reflection
+from google.protobuf import symbol_database as _symbol_database
+# @@protoc_insertion_point(imports)
+
+_sym_db = _symbol_database.Default()
+
+
+
+
+DESCRIPTOR = _descriptor.FileDescriptor(
+  name='TranseMessage.proto',
+  package='',
+  syntax='proto2',
+  serialized_options=None,
+  serialized_pb=b'\n\x13TranseMessage.proto\"\xa8\x02\n\x0bTranseArray\x12*\n\tdataArray\x18\x01 \x03(\x0b\x32\x17.TranseArray.TranseData\x1a\xec\x01\n\nTranseData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nIndex\x18\x04 \x02(\x05\x12\x18\n\x10m_chFunctionCode\x18\x05 \x02(\r\x12\x15\n\rm_chOrderKind\x18\x06 \x02(\r\x12\x12\n\nm_chBSFlag\x18\x07 \x02(\r\x12\x15\n\rm_nTradePrice\x18\x08 \x02(\x01\x12\x16\n\x0em_nTradeVolume\x18\t \x02(\x05\x12\x13\n\x0bm_nAskOrder\x18\n \x02(\x05\x12\x13\n\x0bm_nBidOrder\x18\x0b \x02(\x05'
+)
+
+
+
+
+_TRANSEARRAY_TRANSEDATA = _descriptor.Descriptor(
+  name='TranseData',
+  full_name='TranseArray.TranseData',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='code', full_name='TranseArray.TranseData.code', index=0,
+      number=1, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nDate', full_name='TranseArray.TranseData.m_nDate', index=1,
+      number=2, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTime', full_name='TranseArray.TranseData.m_nTime', index=2,
+      number=3, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nIndex', full_name='TranseArray.TranseData.m_nIndex', index=3,
+      number=4, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chFunctionCode', full_name='TranseArray.TranseData.m_chFunctionCode', index=4,
+      number=5, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chOrderKind', full_name='TranseArray.TranseData.m_chOrderKind', index=5,
+      number=6, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_chBSFlag', full_name='TranseArray.TranseData.m_chBSFlag', index=6,
+      number=7, type=13, cpp_type=3, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTradePrice', full_name='TranseArray.TranseData.m_nTradePrice', index=7,
+      number=8, type=1, cpp_type=5, label=2,
+      has_default_value=False, default_value=float(0),
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nTradeVolume', full_name='TranseArray.TranseData.m_nTradeVolume', index=8,
+      number=9, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nAskOrder', full_name='TranseArray.TranseData.m_nAskOrder', index=9,
+      number=10, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+    _descriptor.FieldDescriptor(
+      name='m_nBidOrder', full_name='TranseArray.TranseData.m_nBidOrder', index=10,
+      number=11, type=5, cpp_type=1, label=2,
+      has_default_value=False, default_value=0,
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=84,
+  serialized_end=320,
+)
+
+_TRANSEARRAY = _descriptor.Descriptor(
+  name='TranseArray',
+  full_name='TranseArray',
+  filename=None,
+  file=DESCRIPTOR,
+  containing_type=None,
+  fields=[
+    _descriptor.FieldDescriptor(
+      name='dataArray', full_name='TranseArray.dataArray', index=0,
+      number=1, type=11, cpp_type=10, label=3,
+      has_default_value=False, default_value=[],
+      message_type=None, enum_type=None, containing_type=None,
+      is_extension=False, extension_scope=None,
+      serialized_options=None, file=DESCRIPTOR),
+  ],
+  extensions=[
+  ],
+  nested_types=[_TRANSEARRAY_TRANSEDATA, ],
+  enum_types=[
+  ],
+  serialized_options=None,
+  is_extendable=False,
+  syntax='proto2',
+  extension_ranges=[],
+  oneofs=[
+  ],
+  serialized_start=24,
+  serialized_end=320,
+)
+
+_TRANSEARRAY_TRANSEDATA.containing_type = _TRANSEARRAY
+_TRANSEARRAY.fields_by_name['dataArray'].message_type = _TRANSEARRAY_TRANSEDATA
+DESCRIPTOR.message_types_by_name['TranseArray'] = _TRANSEARRAY
+_sym_db.RegisterFileDescriptor(DESCRIPTOR)
+
+TranseArray = _reflection.GeneratedProtocolMessageType('TranseArray', (_message.Message,), {
+
+  'TranseData' : _reflection.GeneratedProtocolMessageType('TranseData', (_message.Message,), {
+    'DESCRIPTOR' : _TRANSEARRAY_TRANSEDATA,
+    '__module__' : 'TranseMessage_pb2'
+    # @@protoc_insertion_point(class_scope:TranseArray.TranseData)
+    })
+  ,
+  'DESCRIPTOR' : _TRANSEARRAY,
+  '__module__' : 'TranseMessage_pb2'
+  # @@protoc_insertion_point(class_scope:TranseArray)
+  })
+_sym_db.RegisterMessage(TranseArray)
+_sym_db.RegisterMessage(TranseArray.TranseData)
+
+
+# @@protoc_insertion_point(module_scope)

ReadTickFromDB.py

@@ -0,0 +1,108 @@
+import pymssql
+import gzip
+from ProtoBuffEntitys import TickMessage_pb2
+from ProtoBuffEntitys import OrderMessage_pb2
+from ProtoBuffEntitys import TranseMessage_pb2
+from ProtoBuffEntitys import TickQueueMessage_pb2
+from ProtoBuffEntitys import KLineMessage_pb2
+
+def ReadTick(ip,user,pw,dbName,code,date):
+    conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName)
+    cursor = conn.cursor()
+    sql = '''SELECT [S_INFO_WINDCODE]
+          ,[TRADE_DT]
+          ,[Bytes]
+          FROM [{0}].[dbo].[Tick]
+          WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code)
+    cursor.execute(sql) 
+    rs = cursor.fetchall()
+    if len(rs) == 0:
+        return []
+    f_all=rs[0][2]
+    f_all=gzip.decompress(f_all)
+    dataArray=TickMessage_pb2.TickArray()
+    dataArray.ParseFromString(f_all)
+    return dataArray.dataArray
+
+array=ReadTick('10.10.11.61','yuhaomiao','yhm9591','Level2BytesTick','000001.SZ',20200911)
+print('''Tick Code:{0}'''.format(array[0].code))
+def ReadTickQue(ip,user,pw,dbName,code,date):
+    conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName)
+    cursor = conn.cursor()
+    sql = '''SELECT [S_INFO_WINDCODE]
+          ,[TRADE_DT]
+          ,[Bytes]
+          FROM [{0}].[dbo].[TickQue]
+          WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code)
+    cursor.execute(sql) 
+    rs = cursor.fetchall()
+    if len(rs) == 0:
+        return []
+    f_all=rs[0][2]
+    f_all=gzip.decompress(f_all)
+    dataArray=TickQueueMessage_pb2.TickQueueArray()
+    dataArray.ParseFromString(f_all)
+    return dataArray.dataArray
+
+array=ReadTickQue('10.10.11.61','yuhaomiao','yhm9591','Level2BytesTickQue','000001.SZ',20200911)
+print('''TickQue Code:{0}'''.format(array[0].code))
+def ReadTranse(ip,user,pw,dbName,code,date):
+    conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName)
+    cursor = conn.cursor()
+    sql = '''SELECT [S_INFO_WINDCODE]
+          ,[TRADE_DT]
+          ,[Bytes]
+          FROM [{0}].[dbo].[Transe]
+          WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code)
+    cursor.execute(sql) 
+    rs = cursor.fetchall()
+    if len(rs) == 0:
+        return []
+    f_all=rs[0][2]
+    f_all=gzip.decompress(f_all)
+    dataArray=TranseMessage_pb2.TranseArray()
+    dataArray.ParseFromString(f_all)
+    return dataArray.dataArray
+
+array=ReadTranse('10.10.11.61','yuhaomiao','yhm9591','Level2BytesTranse','000001.SZ',20200911)
+print('''Transe Code:{0}'''.format(array[0].code))
+def ReadOrder(ip,user,pw,dbName,code,date):
+    conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName)
+    cursor = conn.cursor()
+    sql = '''SELECT [S_INFO_WINDCODE]
+          ,[TRADE_DT]
+          ,[Bytes]
+          FROM [{0}].[dbo].[Order]
+          WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code)
+    cursor.execute(sql) 
+    rs = cursor.fetchall()
+    if len(rs) == 0:
+        return []
+    f_all=rs[0][2]
+    f_all=gzip.decompress(f_all)
+    dataArray=OrderMessage_pb2.OrderArray()
+    dataArray.ParseFromString(f_all)
+    return dataArray.dataArray
+
+array=ReadOrder('10.10.11.61','yuhaomiao','yhm9591','Level2BytesOrder','000001.SZ',20200911)
+print('''Order Code:{0}'''.format(array[0].code))
+def ReadKLine(ip,user,pw,dbName,code,date):
+    conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName)
+    cursor = conn.cursor()
+    sql = '''SELECT [S_INFO_WINDCODE]
+          ,[TRADE_DT]
+          ,[Bytes]
+          FROM [{0}].[dbo].[KLine]
+          WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code)
+    cursor.execute(sql) 
+    rs = cursor.fetchall()
+    if len(rs) == 0:
+        return []
+    f_all=rs[0][2]
+    f_all=gzip.decompress(f_all)
+    dataArray=KLineMessage_pb2.KLineArray()
+    dataArray.ParseFromString(f_all)
+    return dataArray.dataArray
+
+array=ReadKLine('10.10.11.61','yuhaomiao','yhm9591','Level2BytesKLine','000001.SZ',20200911)
+print('''KLine Code:{0}'''.format(array[0].code))

Readme.txt

@@ -0,0 +1,3 @@
+Python语言从数据库中读取字节流程序并解码还原示例程序在ReadTickFromDB.py中。
+该函数需要pymssql、gzip、google.protobuf（可用pip install protobuf安装）三个外部依赖库需要在运行程序。
+成功读取后，每个标的会读出并解析成一个结构体数组的数据结构，可以对于该数据进行进一步操作。

dolphindb/demo.dos

@@ -0,0 +1,12 @@
+n=1000000
+date=take(2006.01.01..2006.01.31, n);
+x=rand(10.0, n); 
+t=table(date, x);
+
+login("admin","123456")
+db=database("dfs://valuedb", VALUE, 2006.01.01..2006.01.31)
+pt = db.createPartitionedTable(t, `pt, `date);
+pt.append!(t);
+
+pt=loadTable("dfs://valuedb","pt")
+select top 100 * from pt

dolphindb/demo2.dos

@@ -0,0 +1 @@
+db=database("dfs://L2_ORDER", VALUE, 2019.01.01..2022.01.31)

dolphindb/test.dos

@@ -0,0 +1,13 @@
+symbol = take(`AAPL, 6) join take(`FB, 5)
+time = 2019.02.27T09:45:01.000000000 + [146, 278, 412, 445, 496, 789, 212, 556, 598, 712, 989]
+price=173.27 173.26 173.24 173.25 173.26 173.27 161.51 161.50 161.49 161.50 161.51
+quotes=table(symbol, time, price)
+print(quotes)
+
+weights = dict(`AAPL`FB, 0.6 0.4)
+print(weights)
+
+ETF = select symbol, time, price*weights[symbol] as price from quotes;
+print(ETF)
+
+select rowSum(ffill(last(price))) from ETF pivot by time, symbol;

dolphindb/test1.dos

@@ -0,0 +1,10 @@
+
+login('admin', '123456')
+
+tt = table(100:0, `code`m_nDate`m_nTime`m_nSide`m_nPrice`m_nOrderItems`m_nABItems`m_nABVolume, [SYMBOL, DATE, TIME, INT, FLOAT, INT, INT, INT[]])
+
+share t as gt
+
+share tt as gtt
+
+dropStreamTable(gt)

dolphindb/test2.dos

@@ -0,0 +1,5 @@
+
+login("admin","123456")
+pt=loadTable("dfs://valuedb","pt")
+getTabletsMeta("/valuedb/%", `pt, true);
+select top 100 * from pt

make_hft.py

@@ -0,0 +1,439 @@
+import importlib
+import gzip
+import pickle
+
+from pprint import pprint
+from tqdm import tqdm
+from tqdm.contrib.concurrent import process_map
+
+import numpy as np
+import pandas as pd
+
+import dolphindb as ddb
+import dolphindb.settings as keys
+
+import sqlalchemy as sa
+
+import ProtoBuffEntitys
+
+
+def make_symbol(series):
+    return series.astype('int32').astype('str')\
+        .apply(str.zfill, args=(6,))\
+        .apply(lambda code : \
+            code + '.SH' if code[:2] == '60' \
+            else code + '.SZ')
+
+
+def make_date(series):
+    return pd.to_datetime(
+        series.astype(str), format='%Y%m%d')
+
+
+def make_nparray(series):
+    return series.apply(lambda x : np.array(x))
+
+
+def make_time(series):
+    s_hr = series // 10000000 * 3600000
+    s_min = series % 1000000 // 100000 * 60000
+    s_sec = series % 100000 // 1000
+    s_ms = series % 1000
+    return pd.to_timedelta(s_hr + s_min + s_sec + s_ms, unit='ms')
+
+
+class DDBLoader(object):
+    """
+    0. 从sql-server中读取calendar数据，并创建成员变量df_calendar，df_calendar可以保存在本地pickle作为缓存
+        |- `def make_calendar_df(self) -> df_calendar`
+
+    1. 创建ddb中的数据库，分区性质从calendar数据中获取
+        |- `def create_ddb_database(self, df_calendar) -> void`
+        |- `def load_ddb_database(self) -> void`
+
+    2. 在ddb数据库中创建calendar表
+        |- `def create_ddb_calendar(self, df_calendar) -> void`
+
+    3. 创建ddb的分布式表结构
+        |- `create_ddb_partition_table(self, hft_type_name)`
+            |- `_make_table_skeleton(self, hft_type_name, capacity) -> memory_table_name`
+    
+    4. 从sql server的高频数据转录到dolpindb数据库中
+        |- `dump_hft_to_ddb(self, type_name, stock_id, trade_date=None)`
+    """
+
+    hft_type_list = ['KLine', 'Order', 'Tick', 'TickQueue', 'Transe']
+    
+    protobuff_name_dict = {
+        name : f"{name}Message_pb2" for name in hft_type_list
+    }
+    
+    protobuff_module_dict = {
+        type_name : importlib.import_module(f".{module_name}", package='ProtoBuffEntitys') 
+        for type_name, module_name in protobuff_name_dict.items()
+    }
+
+    protobuff_desc_dict = {
+        type_name : eval(f"ProtoBuffEntitys.{module_name}.{type_name}Array.{type_name}Data.DESCRIPTOR")
+        for type_name, module_name in protobuff_name_dict.items()
+    }
+
+    mssql_name_dict = {
+        type_name : (
+            f"{type_name}" if type_name != 'TickQueue' \
+            else f"TickQue"
+        ) for type_name in hft_type_list
+    }
+    
+    # 数据库路径和数据库名可以不一致
+    ddb_path = "dfs://hft_ts_stock"
+    ddb_dbname = "db_ts_stock"
+    ddb_memory_table_suffix = "Memroy"
+    ddb_partition_table_suffix = "Partitioned"
+
+    # calendar表不需要分区，因此需要创建一个新的数据库
+    # 该数据库可以是一个简单的csv，现在还不清楚两者的差别
+    #ddb_calendar_path = "dfs://daily_calendar"
+    #ddb_calendar_dbname = "db_calendar"
+    ddb_calendar_table_name = "Calendar"
+
+    col_type_mapping = {
+        'code' : 'SYMBOL',
+        'm_nDate' : 'DATE',
+        'm_nTime' : 'TIME',
+        1 : 'FLOAT',
+        3 : 'INT',
+        5 : 'INT',
+        13 : 'INT',
+    }
+
+    mssql_config = {
+        'host' : '192.168.1.7',
+        'username' : 'sa',
+        'password' : 'passw0rd!'
+    }
+
+    ddb_config = {
+        'host' : '192.168.1.167',
+        'username' : 'admin',
+        'password' : '123456'
+    }
+
+    default_table_capacity = 10000
+
+    def __init__(self):
+        self.mssql_engine = sa.create_engine(
+            "mssql+pyodbc://{username}:{password}@{host}/master?driver=ODBC+Driver+18+for+SQL+Server".format(**self.mssql_config),
+            connect_args = {
+                "TrustServerCertificate": "yes"
+            }, echo=False
+        )
+
+        self.ddb_sess = ddb.session(self.ddb_config['host'], 8848)
+        self.ddb_sess.login(self.ddb_config['username'], self.ddb_config['password'])
+
+
+    def init_ddb_database(self, df_calendar):
+        """
+        1. 创建ddb_database
+        2. 创建calendar表
+        3. 创建数据分区表
+        """
+        # df_calendar还是由外部输入比较方便
+        #df_calendar = self.make_calendar_df()
+        self.create_ddb_database(df_calendar)
+        self.create_ddb_calendar(df_calendar)
+        for hft_type_name in self.hft_type_list:
+            self.create_ddb_partition_table(hft_type_name)
+
+
+    def init_ddb_table_data(self, df_calendar):
+        """
+        对每个股票进行循环，转录数据到分区表
+        """
+        stock_list = df_calendar['code'].unique().astype('str')
+        for hft_type_name in self.hft_type_list:
+            print('Will work on hft type:', hft_type_name)
+            with tqdm(stock_list) as pbar:
+                for stock_id in pbar:
+                    pbar.set_description(f"Working on stock {stock_id}")
+                    self.dump_hft_to_ddb(hft_type_name, stock_id, pbar=pbar)
+
+
+    def _get_stock_date_list(self, cache=False):
+        """
+        Deprecated: This function is replaced by `create_ddb_calendar()`. 
+        """
+        if cache:
+            with open('tmp.pkl', 'rb') as fin:
+                stock_list, date_list = pickle.load(fin)
+        else:
+            with self.mssql_engine.connect() as conn:
+                # 从KLine表查询，主要是因为KLine表最小
+                stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine"
+                rs = conn.execute(stat)
+                stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]
+            stock_list, date_list = zip(*stock_date_list)
+
+        # cache
+        #with open('tmp.pkl', 'wb') as fout:
+        #    pickle.dump((stock_list, date_list), fout)
+
+        return pd.Series(stock_list, dtype='str').unique(), \
+                pd.Series(date_list, dtype='datetime64[D]').unique()
+
+
+    def create_ddb_database(self, pd_calendar):
+        # 从`pd_calendar`中创建`stock_list`和`date_list`
+        stock_list = pd_calendar['code'].unique().astype('str')
+        date_list = pd_calendar['m_nDate'].unique().astype('datetime64[D]')
+
+        # 可以把所有股票高频数据放在一个数据库中不同的表
+        # 分区策略是跟数据库绑定的，因此需要保证同一个数据库中的表都使用同样的分区额策略
+        # 对于股票高频数据，我们可以使用COMPO的分区策略，并且两个子db的分区策略都是VALUE类型的code和m_nDate字段
+        if self.ddb_sess.existsDatabase(self.ddb_path):
+            print('Wiil drop database:', self.ddb_path)
+            self.ddb_sess.dropDatabase(self.ddb_path)
+
+        # 要创建一个COMPO分区的数据库，需要首先创建两个简单分区的子数据库
+        # 这里我们使用先按日期，然后按股票分区的子数据库
+        # Please note that when creating a DFS database with COMPO domain, 
+        # the parameter dbPath for each partition level must be either an empty string or unspecified.
+        db_date = self.ddb_sess.database('db_date', partitionType=keys.VALUE, partitions=date_list, dbPath='')
+
+        # 这里看起来直接使用dolphindb的脚本语句更方便一些
+        #db_stock = self.ddb_sess.database('db_stock', partitionType=keys.VALUE, partitions=stock_list, dbPath='')
+        self.ddb_sess.run("""
+            db_stock = database("", 1, symbol({partitions}))
+        """.format(
+            partitions = '`' + '`'.join(stock_list)
+        ))
+
+        self.ddb_sess.run("""
+            {dbName} = database(
+                directory = '{dbPath}', 
+                partitionType = COMPO, 
+                partitionScheme = [db_date, db_stock], 
+                engine = "TSDB")
+        """.format(
+            dbName = self.ddb_dbname,
+            dbPath = self.ddb_path
+        ))
+
+
+    def load_ddb_database(self):
+        db_date = self.ddb_sess.database('db_date', dbPath='')
+        db_stock = self.ddb_sess.database('db_stock', dbPath='')
+        
+        self.ddb_sess.run("{dbName} = database(directory='{dbPath}')".format(
+            dbName = self.ddb_dbname,
+            dbPath = self.ddb_path
+        ))
+
+
+    def create_ddb_calendar(self, df_calendar):
+        mem_table = self.ddb_calendar_table_name + self.ddb_memory_table_suffix
+        per_table = self.ddb_calendar_table_name
+        # 1. 创建临时内存表
+        # calendar的行数大概是股票数量 * 交易日数量
+        self.ddb_sess.run("""
+            {table_name} = table({capacity}:0, {col_names}, [{col_types}]);
+        """.format(
+            table_name = mem_table,
+            capacity = 5000 * 1000,
+            col_names = '`code`m_nDate',
+            col_types = "SYMBOL, DATE"
+        ))
+        print('Did create the memory table')
+
+        # 2. 向内存表中插入所有(code, date)数据
+        appender = ddb.tableAppender(tableName=mem_table, ddbSession=self.ddb_sess)
+        num = appender.append(df_calendar)
+        print('Did append calendar data into ddb memory table, return code', num)
+
+        # 3. 创建持久化表格之前需要先根据路径创建一个database对象
+        # 但研究了一下，发现好像一个database里面可以同时存在分区表和非分区表，
+        # 所以在这里暂时就不创建新的database了
+        # 但因为原database设置成了TSDB，所以必须在createTable的时候指定sortKey
+        #self.ddb_sess.run("""
+        #    {db_name} = 
+        #""")
+
+        # 4. 直接从内存表创建一个持久化表格
+        if self.ddb_sess.existsTable(self.ddb_path, per_table):
+            self.ddb_sess.dropTable(self.ddb_path, per_table)
+        self.ddb_sess.run("""
+            tableInsert(createTable(
+                dbHandle={ddb_dbname},
+                table={mem_table}, 
+                tableName=`{per_table},
+                sortCOlumns=`code`m_nDate,
+                compressMethods={{"m_nDate":"delta"}}
+            ), {mem_table})
+        """.format(
+            ddb_dbname = self.ddb_dbname,
+            mem_table = mem_table,
+            per_table = per_table
+        ))
+        print('Did create the persistent table with the memory table')
+
+
+    def make_calendar_df(self):
+        # 从KLine表查询，主要是因为KLine表最小
+        with self.mssql_engine.connect() as conn:
+            stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine"
+            rs = conn.execute(stat)
+            stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]
+
+        df_calendar = pd.DataFrame(stock_date_list, columns=['code', 'm_nDate'])
+        df_calendar['m_nDate'] = make_date(df_calendar['m_nDate'])
+        print('Did make the DataFrame for calendar')
+        return df_calendar
+
+
+    def _make_table_skeleton(self, hft_type_name, table_capacity=default_table_capacity):
+
+        def _make_tbl_config(field_list):
+            """
+            根据ProtoBuffEntity对象的Descriptor.fields，创建ddb标准的列名列表和列类型列表。
+            """
+            col_name_list, col_type_list = [], []
+            for desc in field_list:
+                col_name_list.append(desc.name)
+                # 如果对列明有特殊设定，目前仅包括`code`m_nDate和`m_nTime三个字段
+                if desc.name in self.col_type_mapping:
+                    col_type_list.append(self.col_type_mapping[desc.name])
+                # 通过对ProtoBuffEntity的类型编号，映射到ddb的类型编号
+                # 如果默认值是一个数组，那么ddb类型要额外增加说明是数组
+                # ProtoBuffEntity的类型编号只针对基本类型，数组需要通过`default_value`来判断
+                else:
+                    col_type = self.col_type_mapping[desc.type]
+                    if isinstance(desc.default_value, list):
+                        col_type += '[]'
+                    col_type_list.append(col_type)
+            return col_name_list, col_type_list
+
+        desc_obj = self.protobuff_desc_dict[hft_type_name]
+        col_name_list, col_type_list = _make_tbl_config(desc_obj.fields)
+
+        table_name = hft_type_name + self.ddb_memory_table_suffix
+        print('-' * 80)
+        print('Will create table structure:', table_name)
+
+        self.ddb_sess.run("""
+            {table_name} = table({capacity}:0, {col_names}, [{col_types}]);
+        """.format(
+            table_name = table_name,
+            capacity = table_capacity,
+            col_names = '`' + '`'.join(col_name_list),
+            col_types = ', '.join([f"'{type_name}'" for type_name in col_type_list])
+        ))
+        res = self.ddb_sess.run(f"schema({table_name}).colDefs")
+        pprint(res)
+        print('-' * 80)
+        return table_name
+
+
+    def create_ddb_partition_table(self, hft_type_name):
+        memory_table_name = self._make_table_skeleton(hft_type_name, 10)
+        partition_table_name = hft_type_name + self.ddb_partition_table_suffix
+        
+        print('-' * 80)
+        print('Will create partitioned table:', partition_table_name)
+
+        self.ddb_sess.run("""
+            db_ts_stock.createPartitionedTable(
+                table = {memory_table_name}, 
+                tableName = `{partition_table_name}, 
+                partitionColumns = `m_nDate`code, 
+                sortColumns = `code`m_nDate`m_nTime,
+                compressMethods = {{m_nDate:"delta", m_nTime:"delta"}}
+            )
+        """.format(
+            memory_table_name = memory_table_name,
+            partition_table_name = partition_table_name
+        ))
+
+        res = self.ddb_sess.run(f"schema(loadTable('{self.ddb_path}', '{partition_table_name}')).colDefs")
+        pprint(res)
+        print('-' * 80)
+
+
+    def _make_stock_daily_df(self, blob, type_name):
+        blob = gzip.decompress(blob)
+        dataArray = eval(f"ProtoBuffEntitys.{type_name}Message_pb2.{type_name}Array()")
+        dataArray.ParseFromString(blob)
+
+        data_dict_list = [
+            {field.name : val for field, val in entry.ListFields()}
+            for entry in dataArray.dataArray
+        ]
+
+        array_type_list = [
+            field.name 
+            for field, val in dataArray.dataArray[0].ListFields()
+            if isinstance(field.default_value, list)
+        ]
+        #pprint(array_type_list)
+
+        df = pd.DataFrame(data_dict_list)
+        df['code'] = make_symbol(df['code'])
+        df['m_nDate'] = make_date(df['m_nDate'])
+        df['m_nTime'] = df['m_nDate'] + make_time(df['m_nTime'])
+        for field_name in array_type_list:
+            df[field_name] = make_nparray(df[field_name])
+
+        #print(f"Did create ddb table for dataframe of shape {df.shape}")
+        # self.make_table_skeleton(type_name, df.shape[0])
+        self.ddb_sess.upload({type_name : df})
+        return type_name
+
+
+    def dump_hft_to_ddb(self, type_name, stock_id, trade_date=None, pbar=None, num_workers=4):
+        
+        def _dump_stock_daily(row):
+            df_table_name = self._make_stock_daily_df(row[2], type_name)
+            self.ddb_sess.run("tableInsert(loadTable('{dbPath}', `{partitioned_table_name}), {df_table_name})".format(
+                dbPath = self.ddb_path,
+                partitioned_table_name = type_name + self.ddb_partition_table_suffix,
+                df_table_name = df_table_name
+            ))
+
+
+        # 经过尝试，按个股来做batch查询效率还是可以接受的
+        # mssql中，索引字段是(S_INFO_WINDCODE, TRADE_DT)
+        with self.mssql_engine.connect() as conn:
+            stat = """
+                select * from [Level2Bytes{mssql_type_name}].dbo.[{mssql_type_name}] 
+                where S_INFO_WINDCODE='{stock_id}'
+            """.format(
+                mssql_type_name = self.mssql_name_dict[type_name],
+                stock_id = stock_id
+            )
+            rs = conn.execute(stat)
+            if pbar:
+                pbar.set_description(f"Did get the result set for stock {stock_id} from mssql")
+            else:
+                print(f"Did get the result set for stock {stock_id} from mssql")
+
+            # 每一行是当个个股某一日的所有高频交易信息
+            # 使用多进程来加快速度
+            #with tqdm(rs.fetchall(), leave=False) as pbar:
+            #    for row in pbar:
+            #        pbar.set_description(f"Working on {row[0]} {row[1]}")
+            process_map(_dump_stock_daily, rs.fetchall(), max_workers=num_workers)
+
+
+def main():
+    loader = DDBLoader()
+    df_calendar = loader.make_calendar_df()
+
+    loader.init_ddb_database(df_calendar)
+    print('Did finish init_ddb_database')
+    loader.init_ddb_table_data(df_calendar)
+    print('Did finish init_table_data')
+
+
+if __name__ == '__main__':
+    main()
+

mssql.ipynb

@@ -0,0 +1,829 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    " import sqlalchemy as sa\n",
+    " engine = sa.create_engine(\n",
+    "    'mssql+pyodbc://sa:passw0rd!@192.168.1.7/master?driver=ODBC+Driver+18+for+SQL+Server',\n",
+    "    connect_args = {\n",
+    "        \"TrustServerCertificate\": \"yes\"\n",
+    "    }, echo=False)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 39,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "with engine.connect() as conn:\n",
+    "    stat = \"select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKLine.dbo.KLine\"\n",
+    "    rs = conn.execute(stat)\n",
+    "    stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 40,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "stock_list, trade_list = zip(*stock_date_list)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 45,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "4843"
+      ]
+     },
+     "execution_count": 45,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "len(set(stock_list))"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [
+    {
+     "ename": "NameError",
+     "evalue": "name 'blob' is not defined",
+     "output_type": "error",
+     "traceback": [
+      "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
+      "\u001b[0;31mNameError\u001b[0m                                 Traceback (most recent call last)",
+      "\u001b[1;32m/home/guofu/Workspaces/dolphin-dev/mssql.ipynb Cell 3\u001b[0m in \u001b[0;36m<cell line: 4>\u001b[0;34m()\u001b[0m\n\u001b[1;32m      <a href='vscode-notebook-cell://ssh-remote%2B7b22686f73744e616d65223a2247756f66752d5043227d/home/guofu/Workspaces/dolphin-dev/mssql.ipynb#W2sdnNjb2RlLXJlbW90ZQ%3D%3D?line=0'>1</a>\u001b[0m \u001b[39mimport\u001b[39;00m \u001b[39mgzip\u001b[39;00m\n\u001b[1;32m      <a href='vscode-notebook-cell://ssh-remote%2B7b22686f73744e616d65223a2247756f66752d5043227d/home/guofu/Workspaces/dolphin-dev/mssql.ipynb#W2sdnNjb2RlLXJlbW90ZQ%3D%3D?line=1'>2</a>\u001b[0m \u001b[39mfrom\u001b[39;00m \u001b[39mProtoBuffEntitys\u001b[39;00m \u001b[39mimport\u001b[39;00m TranseMessage_pb2\n\u001b[0;32m----> <a href='vscode-notebook-cell://ssh-remote%2B7b22686f73744e616d65223a2247756f66752d5043227d/home/guofu/Workspaces/dolphin-dev/mssql.ipynb#W2sdnNjb2RlLXJlbW90ZQ%3D%3D?line=3'>4</a>\u001b[0m f_all \u001b[39m=\u001b[39m gzip\u001b[39m.\u001b[39mdecompress(blob)\n\u001b[1;32m      <a href='vscode-notebook-cell://ssh-remote%2B7b22686f73744e616d65223a2247756f66752d5043227d/home/guofu/Workspaces/dolphin-dev/mssql.ipynb#W2sdnNjb2RlLXJlbW90ZQ%3D%3D?line=4'>5</a>\u001b[0m dataArray \u001b[39m=\u001b[39m TranseMessage_pb2\u001b[39m.\u001b[39mTranseArray()\n\u001b[1;32m      <a href='vscode-notebook-cell://ssh-remote%2B7b22686f73744e616d65223a2247756f66752d5043227d/home/guofu/Workspaces/dolphin-dev/mssql.ipynb#W2sdnNjb2RlLXJlbW90ZQ%3D%3D?line=5'>6</a>\u001b[0m dataArray\u001b[39m.\u001b[39mParseFromString(f_all)\n",
+      "\u001b[0;31mNameError\u001b[0m: name 'blob' is not defined"
+     ]
+    }
+   ],
+   "source": [
+    "import gzip\n",
+    "from ProtoBuffEntitys import TranseMessage_pb2\n",
+    "\n",
+    "f_all = gzip.decompress(blob)\n",
+    "dataArray = TranseMessage_pb2.TranseArray()\n",
+    "dataArray.ParseFromString(f_all)\n",
+    "\n",
+    "print(dataArray.dataArray)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 29,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "code 600843\n",
+      "m_nDate 20130104\n",
+      "m_nTime 92506510\n",
+      "m_nIndex 0\n",
+      "m_chFunctionCode 0\n",
+      "m_chOrderKind 0\n",
+      "m_chBSFlag 83\n",
+      "m_nTradePrice 6.8\n",
+      "m_nTradeVolume 200\n",
+      "m_nAskOrder 0\n",
+      "m_nBidOrder 0\n"
+     ]
+    }
+   ],
+   "source": [
+    "for item in dataArray.dataArray:\n",
+    "    fields = item.ListFields()\n",
+    "    for desc, val in fields:\n",
+    "        print(desc.name, val)\n",
+    "    break\n",
+    "    "
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 62,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "<class 'sqlalchemy.engine.row.LegacyRow'>\n"
+     ]
+    }
+   ],
+   "source": [
+    "with engine.connect() as conn:\n",
+    "    stat = \"select top 1 * from Level2BytesTickQue.dbo.TickQue\"\n",
+    "    rs = conn.execute(stat)\n",
+    "\n",
+    "    for row in rs.fetchall():\n",
+    "        print(type(row))\n",
+    "        blob = row[2]\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 63,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "1499694"
+      ]
+     },
+     "execution_count": 63,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "import gzip\n",
+    "from ProtoBuffEntitys import TickQueueMessage_pb2\n",
+    "\n",
+    "f_all = gzip.decompress(blob)\n",
+    "dataArray = TickQueueMessage_pb2.TickQueueArray()\n",
+    "dataArray.ParseFromString(f_all)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 80,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]\n",
+      "<class 'google.protobuf.pyext._message.RepeatedScalarContainer'>\n",
+      "[0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0\n",
+      " 0 0 0 0 0 0 0 0 0 0 0 0 0]\n"
+     ]
+    }
+   ],
+   "source": [
+    "import numpy as np\n",
+    "print(dataArray.dataArray[0].m_nABVolume)\n",
+    "print(type(dataArray.dataArray[0].m_nABVolume))\n",
+    "print(np.array(dataArray.dataArray[0].m_nABVolume))"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import urllib\n",
+    "\n",
+    "server = 'serverName\\instanceName,port' # to specify an alternate port\n",
+    "database = 'mydb' \n",
+    "username = 'myusername' \n",
+    "password = 'mypassword'\n",
+    "\n",
+    "params = urllib.parse.quote_plus(\"'DRIVER={ODBC Driver 17 for SQL Server};SERVER='+server+';DATABASE='+database+';UID='+username+';PWD='+ password\")\n",
+    "\n",
+    "engine = sa.ceate_engine(\"mssql+pyodbc:///?odbc_connect=%s\" % params)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 25,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from ProtoBuffEntitys import KLineMessage_pb2, OrderMessage_pb2, TickMessage_pb2, TickQueueMessage_pb2, TranseMessage_pb2"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 33,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "HFT_TYPE_LIST = [\n",
+    "    'KLine', 'Order', 'Tick', 'TickQueue', 'Transe'\n",
+    "]\n",
+    "PROTOBUFF_NAME_LIST = [f\"{name}Message_pb2\" for name in PROTOBUFF_NAME_LIST]\n",
+    "\n",
+    "import importlib\n",
+    "\n",
+    "PROTOBUFF_MODULE_LIST = [importlib.import_module(f\".{name}\", package='ProtoBuffEntitys') for name in PROTOBUFF_MODULE_LIST]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 34,
+   "metadata": {},
+   "outputs": [
+    {
+     "ename": "SyntaxError",
+     "evalue": "invalid syntax (99226286.py, line 1)",
+     "output_type": "error",
+     "traceback": [
+      "\u001b[0;36m  Input \u001b[0;32mIn [35]\u001b[0;36m\u001b[0m\n\u001b[0;31m    from ProtoBuffEntitys import KLineMessage_pb2.KLineArray.KLineData.DESCRIPTOR\u001b[0m\n\u001b[0m                                                 ^\u001b[0m\n\u001b[0;31mSyntaxError\u001b[0m\u001b[0;31m:\u001b[0m invalid syntax\n"
+     ]
+    }
+   ],
+   "source": [
+    "import ProtoBuffEntitys.KLineMessage_pb2.KLineArray.KLineData.DESCRIPTOR    "
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 22,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "'code'\n",
+      "'m_nDate'\n",
+      "'m_nTime'\n",
+      "'m_nOpen'\n",
+      "'m_nHigh'\n",
+      "'m_nLow'\n",
+      "'m_nClose'\n",
+      "'m_iVolume'\n",
+      "'m_iTurover'\n",
+      "'m_nMatchItems'\n"
+     ]
+    }
+   ],
+   "source": [
+    "from pprint import pprint\n",
+    "\n",
+    "for field in KLineMessage_pb2.KLineArray.KLineData.DESCRIPTOR.fields:\n",
+    "    pprint(field.name)\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 46,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "'\\n    db_ts_stock.createPartitionedTable(\\n        table = t, \\n        tableName = abd, \\n        partitionColumns = `code`m_nDate, \\n        sortColumns = `code`m_nDate`m_nTime,\\n        compressMethods = {m_nDate:\"delta\", m_nTime:\"delta\"}\\n    )\\n'"
+      ]
+     },
+     "execution_count": 46,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "\"\"\"\n",
+    "    db_ts_stock.createPartitionedTable(\n",
+    "        table = t, \n",
+    "        tableName = {hft_type_name}, \n",
+    "        partitionColumns = `code`m_nDate, \n",
+    "        sortColumns = `code`m_nDate`m_nTime,\n",
+    "        compressMethods = {{m_nDate:\"delta\", m_nTime:\"delta\"}}\n",
+    "    )\n",
+    "\"\"\".format(\n",
+    "    hft_type_name = \"abd\"\n",
+    ")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 61,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "('600519.SH', '20210531', b'\\x1f\\x8b\\x08\\x00\\x00\\x00\\x00\\x00\\x04\\x00\\x8c\\xddy\\\\^Yz\\x1f\\xf8tuUw\\xed%$\\xb4K\\x15\\x12\\x97+\\xd7V}\\x9cr\\xb7\\xa7\\xd3\\xd3^\\xd2\\xe5`\\xbb\\xd3\\xe9\\xe9\\xd8\\ ... (1454851 characters truncated) ... 17\\xb2\\x87\\xe4\\xce\\x94T\\xe8\\xe2O\\xc8\\xe6\\x10\\x1c=\\r\\xd9+\\x02\\xcc\\x9c!\\xc56\\xdb\\xef\\xb3uf\\xe5,d\\x9f\\xc8\\xd1\\xbc$\\xe7~)\\xe4\\xff\\x075\\xea@$i\\x1c\\x1a\\x00')\n"
+     ]
+    }
+   ],
+   "source": [
+    "with engine.connect() as conn:\n",
+    "    stat = \"select * from Level2BytesOrder.dbo.[Order] where S_INFO_WINDCODE='600519.SH'\"\n",
+    "    rs = conn.execute(stat)\n",
+    "    for row in rs.fetchall():\n",
+    "        print(row)\n",
+    "        break"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 53,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "(4708,)\n"
+     ]
+    }
+   ],
+   "source": [
+    "with engine.connect() as conn:\n",
+    "    stat = \"select count(*) from Level2BytesKLine.dbo.KLine where TRADE_DT='20220608'\"\n",
+    "    rs = conn.execute(stat)\n",
+    "    for row in rs.fetchall():\n",
+    "        print(row)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 58,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "('NonClusteredIndex-Order', 'nonclustered located on PRIMARY', 'S_INFO_WINDCODE, TRADE_DT')\n"
+     ]
+    }
+   ],
+   "source": [
+    "engine = sa.create_engine(\n",
+    "    'mssql+pyodbc://sa:passw0rd!@192.168.1.7/Level2BytesOrder?driver=ODBC+Driver+18+for+SQL+Server',\n",
+    "    connect_args = {\n",
+    "        \"TrustServerCertificate\": \"yes\"\n",
+    "    }, echo=False)\n",
+    "    \n",
+    "with engine.connect() as conn:\n",
+    "    stat = \"EXEC sp_helpindex 'Level2BytesOrder.dbo.[Order]'\"\n",
+    "    rs = conn.execute(stat)\n",
+    "    for row in rs.fetchall():\n",
+    "        print(row)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 4,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "('master', 1, datetime.datetime(2003, 4, 8, 9, 13, 36, 390000))\n",
+      "('tempdb', 2, datetime.datetime(2022, 8, 3, 4, 47, 56, 987000))\n",
+      "('model', 3, datetime.datetime(2003, 4, 8, 9, 13, 36, 390000))\n",
+      "('msdb', 4, datetime.datetime(2022, 5, 29, 16, 33, 42, 60000))\n",
+      "('test', 5, datetime.datetime(2022, 8, 3, 4, 52, 46, 450000))\n",
+      "('Level1BytesIndexFutureKLine', 6, datetime.datetime(2022, 8, 3, 5, 2, 17, 660000))\n",
+      "('Level2BytesConvBondKLine', 7, datetime.datetime(2022, 8, 3, 5, 2, 30, 837000))\n",
+      "('Level2BytesConvBondOrder', 8, datetime.datetime(2022, 8, 3, 5, 2, 39, 987000))\n",
+      "('Level2BytesConvBondTick', 9, datetime.datetime(2022, 8, 3, 5, 2, 54, 587000))\n",
+      "('Level2BytesConvBondTickQue', 10, datetime.datetime(2022, 8, 3, 5, 3, 58, 270000))\n",
+      "('Level2BytesConvBondTranse', 11, datetime.datetime(2022, 8, 3, 5, 4, 14, 500000))\n",
+      "('Level2BytesETFKLine', 12, datetime.datetime(2022, 8, 3, 5, 4, 27, 270000))\n",
+      "('Level2BytesETFOrder', 13, datetime.datetime(2022, 8, 3, 5, 4, 43, 457000))\n",
+      "('Level2BytesTick', 14, datetime.datetime(2022, 8, 3, 8, 51, 40, 633000))\n",
+      "('Level2BytesTickQue', 15, datetime.datetime(2022, 8, 3, 8, 51, 58, 650000))\n",
+      "('Level2BytesTranse', 16, datetime.datetime(2022, 8, 3, 8, 52, 14, 103000))\n",
+      "('Level2BytesOrder', 17, datetime.datetime(2022, 8, 3, 8, 52, 27, 740000))\n",
+      "('Level2BytesKLine', 18, datetime.datetime(2022, 8, 3, 8, 52, 44, 610000))\n",
+      "('Level2BytesIndexTick', 19, datetime.datetime(2022, 8, 3, 9, 22, 36, 850000))\n",
+      "('Level2BytesIndexKLine', 20, datetime.datetime(2022, 8, 3, 9, 22, 57, 527000))\n",
+      "('Level2BytesETFTranse', 21, datetime.datetime(2022, 8, 3, 9, 23, 53, 713000))\n",
+      "('Level2BytesETFTickQue', 22, datetime.datetime(2022, 8, 3, 9, 24, 9, 87000))\n",
+      "('Level2BytesETFTick', 23, datetime.datetime(2022, 8, 3, 9, 24, 26, 267000))\n"
+     ]
+    }
+   ],
+   "source": [
+    "stat = \"\"\"SELECT name, database_id, create_date FROM sys.databases;  \n",
+    "\"\"\"\n",
+    "\n",
+    "with engine.connect() as conn:\n",
+    "    rs = conn.execute(stat)\n",
+    "    for row in rs.fetchall():\n",
+    "        print(row)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 9,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "a = [1,2,3]\n",
+    "b = {x : (x + 1 if x != 3 else x + 2) for x in a}"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 4,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import pandas as pd"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 5,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "\n",
+    "with engine.connect() as conn:\n",
+    "    stat = \"select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine\"\n",
+    "    rs = conn.execute(stat)\n",
+    "    stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]\n",
+    "\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 7,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
+       "<div>\n",
+       "<style scoped>\n",
+       "    .dataframe tbody tr th:only-of-type {\n",
+       "        vertical-align: middle;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe tbody tr th {\n",
+       "        vertical-align: top;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe thead th {\n",
+       "        text-align: right;\n",
+       "    }\n",
+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>code</th>\n",
+       "      <th>m_nDate</th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "    <tr>\n",
+       "      <th>0</th>\n",
+       "      <td>000001.SZ</td>\n",
+       "      <td>20130104</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1</th>\n",
+       "      <td>000001.SZ</td>\n",
+       "      <td>20130107</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>2</th>\n",
+       "      <td>000001.SZ</td>\n",
+       "      <td>20130108</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>3</th>\n",
+       "      <td>000001.SZ</td>\n",
+       "      <td>20130109</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>4</th>\n",
+       "      <td>000001.SZ</td>\n",
+       "      <td>20130110</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>...</th>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>7379201</th>\n",
+       "      <td>689009.SH</td>\n",
+       "      <td>20220704</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>7379202</th>\n",
+       "      <td>689009.SH</td>\n",
+       "      <td>20220705</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>7379203</th>\n",
+       "      <td>689009.SH</td>\n",
+       "      <td>20220706</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>7379204</th>\n",
+       "      <td>689009.SH</td>\n",
+       "      <td>20220707</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>7379205</th>\n",
+       "      <td>689009.SH</td>\n",
+       "      <td>20220708</td>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "<p>7379206 rows × 2 columns</p>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "              code   m_nDate\n",
+       "0        000001.SZ  20130104\n",
+       "1        000001.SZ  20130107\n",
+       "2        000001.SZ  20130108\n",
+       "3        000001.SZ  20130109\n",
+       "4        000001.SZ  20130110\n",
+       "...            ...       ...\n",
+       "7379201  689009.SH  20220704\n",
+       "7379202  689009.SH  20220705\n",
+       "7379203  689009.SH  20220706\n",
+       "7379204  689009.SH  20220707\n",
+       "7379205  689009.SH  20220708\n",
+       "\n",
+       "[7379206 rows x 2 columns]"
+      ]
+     },
+     "execution_count": 7,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "pd.DataFrame(stock_date_list, columns=['code', 'm_nDate'])"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 51,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import pandas as pd\n",
+    "\n",
+    "df = pd.read_csv('ddb_dump_journal.csv')"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 52,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
+       "<div>\n",
+       "<style scoped>\n",
+       "    .dataframe tbody tr th:only-of-type {\n",
+       "        vertical-align: middle;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe tbody tr th {\n",
+       "        vertical-align: top;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe thead th {\n",
+       "        text-align: right;\n",
+       "    }\n",
+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>type_name</th>\n",
+       "      <th>stock_id</th>\n",
+       "      <th>status</th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "Empty DataFrame\n",
+       "Columns: [type_name, stock_id, status]\n",
+       "Index: []"
+      ]
+     },
+     "execution_count": 52,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "df"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 53,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "/tmp/ipykernel_259767/4140820348.py:1: FutureWarning: The frame.append method is deprecated and will be removed from pandas in a future version. Use pandas.concat instead.\n",
+      "  df = df.append({'type_name':'KLine', 'stock_id':'000001.SZ', 'status':'OK'},ignore_index=True)\n"
+     ]
+    }
+   ],
+   "source": [
+    "df = df.append({'type_name':'KLine', 'stock_id':'000001.SZ', 'status':'OK'},ignore_index=True)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 54,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
+       "<div>\n",
+       "<style scoped>\n",
+       "    .dataframe tbody tr th:only-of-type {\n",
+       "        vertical-align: middle;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe tbody tr th {\n",
+       "        vertical-align: top;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe thead th {\n",
+       "        text-align: right;\n",
+       "    }\n",
+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>type_name</th>\n",
+       "      <th>stock_id</th>\n",
+       "      <th>status</th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "    <tr>\n",
+       "      <th>KLine</th>\n",
+       "      <th>000001.SZ</th>\n",
+       "      <th>OK</th>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "Empty DataFrame\n",
+       "Columns: []\n",
+       "Index: [(KLine, 000001.SZ, OK)]"
+      ]
+     },
+     "execution_count": 54,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "df.set_index(['type_name', 'stock_id', 'status'], inplace=True)\n",
+    "df"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 56,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "Series([], Name: (KLine, 000001.SZ, OK), dtype: float64)"
+      ]
+     },
+     "execution_count": 56,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "df.loc[('KLine', '000001.SZ', 'OK')]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 57,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "True"
+      ]
+     },
+     "execution_count": 57,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "('KLine', '000001.SZ', 'OK') in df.index"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 60,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import pickle as pkl\n",
+    "with open('tmp.pkl', 'rb') as fin:\n",
+    "    stock_list, date_list = pkl.load(fin)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 61,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "('20130104',\n",
+       " '20130107',\n",
+       " '20130108',\n",
+       " '20130109',\n",
+       " '20130110',\n",
+       " '20130111',\n",
+       " '20130114',\n",
+       " '20130115',\n",
+       " '20130116',\n",
+       " '20130117')"
+      ]
+     },
+     "execution_count": 61,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "date_list[:10]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.8.13"
+  },
+  "vscode": {
+   "interpreter": {
+    "hash": "5a0c795ff324b912f12ad95b94c9d776ccc7a75bdf6a126a4f44b3067472979e"
+   }
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

script.py

@@ -0,0 +1,94 @@
+import importlib
+import gzip
+import pickle
+from pprint import pprint
+from tqdm import tqdm
+
+import numpy as np
+import pandas as pd
+
+import dolphindb as ddb
+import dolphindb.settings as keys
+
+import sqlalchemy as sa
+
+import ProtoBuffEntitys
+
+
+def main():
+    from ProtoBuffEntitys import TickQueueMessage_pb2
+    engine = sa.create_engine(
+            "mssql+pyodbc://{username}:{password}@{host}/master?driver=ODBC+Driver+18+for+SQL+Server".format(**DDBLoader.mssql_config),
+            connect_args = {
+                "TrustServerCertificate": "yes"
+            }, echo=False
+        )
+    
+    s = ddb.session(DDBLoader.ddb_config['host'], 8848)
+    s.login(DDBLoader.ddb_config['username'], DDBLoader.ddb_config['password'])
+
+    with engine.connect() as conn:
+        stat = "select top 1 * from Level2BytesTickQue.dbo.TickQue"
+        rs = conn.execute(stat)
+
+        for row in rs.fetchall():
+            print(type(row))
+            blob = gzip.decompress(row[2])
+            dataArray = TickQueueMessage_pb2.TickQueueArray()
+            dataArray.ParseFromString(blob)
+
+            data_dict_list = [
+                {field.name : val for field, val in entry.ListFields()} 
+                for entry in dataArray.dataArray
+            ]
+
+            df = pd.DataFrame(data_dict_list)
+            df['code'] = make_symbol(df['code'])
+            df['m_nDate'] = make_date(df['m_nDate'])
+            df['m_nTime'] = df['m_nDate'] + make_time(df['m_nTime'])
+            df['m_nABVolume'] = make_nparray(df['m_nABVolume'])
+
+            pprint(df[['code', 'm_nDate', 'm_nTime']].head())
+
+            s.upload({'tb' : df})
+            res = s.run("typestr(tb)")
+            pprint(res)
+
+            stat = """
+                syms = symbol(exec code from tb)
+                replaceColumn!(tb, `code, syms)
+            """
+            res = s.run(stat)
+            pprint(res)
+            pprint(s.run("schema(tb).colDefs"))
+
+            res = s.run("append!(gtt, tb)")
+            s.undef("tb", "VAR")
+
+            print(res)
+            break
+
+
+def main2():
+    loader = DDBLoader()
+    #pprint(loader.mssql_name_dict)
+
+    stock_list, date_list = loader.get_stock_date_list(True)
+    print('Did get stock list and date list from mssql')
+    #pprint(date_list[:5])
+    #pprint(stock_list[:5])
+    
+    loader.create_ddb_database(stock_list, date_list)
+    print('Did create ddb database')
+
+    for type_name in loader.hft_type_list:
+        loader.create_ddb_partition_table(type_name)
+        print(f"Did create ddb table for {type_name}")
+
+        loader.do_load_from_mssql(type_name, stock_list[0], date_list[0])
+
+
+
+if __name__ == '__main__':
+    main3()
+

stockMarketReplay.dos

@@ -0,0 +1,47 @@
+/**
+stcokMarketReplay.txt
+Script to replay stock market data
+DolphinDB Inc.
+DolphinDB server version: 2.00.6 2022.05.31
+Storage engine: TSDB
+Last modification time: 2022.07.07
+*/
+
+//login account
+login("admin", "123456")
+
+//create stream table: messageStream
+def createStreamTableFunc(){
+	colName = `msgTime`msgType`msgBody
+	colType = [TIMESTAMP,SYMBOL, BLOB]
+	messageTemp = streamTable(1000000:0, colName, colType)
+	enableTableShareAndPersistence(table=messageTemp, tableName="messageStream", asynWrite=true, compress=true, cacheSize=1000000, retentionMinutes=1440, flushMode=0, preCache=10000)
+	messageTemp = NULL
+}
+createStreamTableFunc()
+go
+
+//replay history data
+def replayStockMarketData(){
+	timeRS = cutPoints(09:15:00.000..15:00:00.000, 100)
+	orderDS = replayDS(sqlObj=<select * from loadTable("dfs://order", "order") where Date = 2020.12.31>, dateColumn=`Date, timeColumn=`Time, timeRepartitionSchema=timeRS)
+	tradeDS = replayDS(sqlObj=<select * from loadTable("dfs://trade", "trade") where Date = 2020.12.31>, dateColumn=`Date, timeColumn=`Time, timeRepartitionSchema=timeRS)
+	snapshotDS = replayDS(sqlObj=<select * from loadTable("dfs://snapshot", "snapshot") where Date =2020.12.31>, dateColumn=`Date, timeColumn=`Time, timeRepartitionSchema=timeRS)
+	inputDict = dict(["order", "trade", "snapshot"], [orderDS, tradeDS, snapshotDS])
+	
+	submitJob("replay", "replay stock market", replay, inputDict, messageStream, `Date, `Time, , , 3)
+}
+replayStockMarketData()
+
+getRecentJobs()
+
+////load text and replay memory table
+//def loadTextAndReplay(){
+//	orderTable= select * from loadText("/yourDataPath/replayData/order.csv") order by Time
+//	tradeTable = select * from loadText("/yourDataPath/replayData/trade.csv") order by Time
+//	snapshotTable = select * from loadText("/yourDataPath/replayData/snapshot.csv") order by Time
+//	inputDict = dict(["order", "trade", "snapshot"], [orderTable, tradeTable, snapshotTable])
+//	
+//	submitJob("replay", "replay memory table", replay, inputDict, messageStream, `Date, `Time, , , 1)
+//}
+//loadCSVAndReplay()