如何在 C# 中从 cosmos db 获取准确的最新 5 分钟数据

Question

我有一个网络作业，它运行不断地从网络套接字 api 读取数据。

下面是每 1 秒后自动运行并将报价数据添加到 cosmos db 中的代码。

private static void OnTick(Tick TickData)
        {

            var latestTickData = new MyObject()
            {
                InstrumentID = TickData.InstrumentToken,
                Close = TickData.LastPrice,
                High = TickData.LastPrice,
                Low = TickData.LastPrice,
                Open = TickData.LastPrice,
                TimeStamp = TickData.Timestamp.HasValue ? TickData.Timestamp.Value : DateTime.Now
            };

            // add data into cosmos

            Task.Run(() =>
            {
                Program.documentClient.CreateDocumentAsync(UriFactory.CreateDocumentCollectionUri("tickerDatabase", "tickerContainer"), latestTickData);
            }).Wait();
        }

现在我想读取最近 5 分钟的数据并获取开盘价高低收盘价。

对于目前最新的 5 分钟数据，我正在运行每 5 分钟执行一次计时器作业，从 cosmos 读取数据并计算开盘价高低收盘价，但问题是这里的时间。

如果计时器作业运行晚 1 分钟，该数据的寡妇也会更改并得到错误的值。

我的问题是，如何从 cosmos 获取准确的 5 分钟最新数据？

当前计时器作业代码 -

myobject.cs

public class MyObject
    {
        public uint InstrumentID { get; set; }
        public decimal Close { get; set; }
        public decimal High { get; set; }
        public decimal Low { get; set; }
        public decimal Open { get; set; }
        public DateTime TimeStamp { get; set; }
        public uint Volume { get; set; }

        public DateTime GetStartOfPeriodByMins(int numMinutes)
        {
            int oldMinutes = TimeStamp.Minute;
            int newMinutes = (oldMinutes / numMinutes) * numMinutes;

            DateTime startOfPeriod = new DateTime(TimeStamp.Year, TimeStamp.Month, TimeStamp.Day, TimeStamp.Hour, newMinutes, 0);

            return startOfPeriod;
        }
    }

myfunction.cs

public static void ExecuteProcess([TimerTrigger("0 */5 * * * *")] TimerInfo myTimer)
        {
            var option = new FeedOptions { EnableCrossPartitionQuery = true };
            var queryable = Program.documentClient.CreateDocumentQuery<MyObject>
            (UriFactory.CreateDocumentCollectionUri("tickerDatabase", "tickerContainer"), option).ToList();


            var resultSet = queryable.GroupBy(i => i.GetStartOfPeriodByMins(5))
               .Select(gr =>
              new
              {
                  StartOfPeriod = gr.Key,
                  Low = gr.Min(item => item.Low),
                  High = gr.Max(item => item.High),
                  Open = gr.OrderBy(item => item.TimeStamp).First().Open,
                  Close = gr.OrderBy(item => item.TimeStamp).Last().Close
              });

            var my5min = resultSet.LastOrDefault();

            Console.WriteLine("time " + my5min.StartOfPeriod + " open " + my5min.Open + " high " + my5min.High + " low " + my5min.Low + " close " + my5min.Close);

让我解释一下 1 分钟数据的问题（虽然我原本想要 5 分钟）。

下面是示例记录 -

List<MyObject> test = new List<MyObject>();
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 01) });
            test.Add(new MyObject() { Open = 2933, High = 2933, Low = 2933, Close = 2933, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 01) });
            test.Add(new MyObject() { Open = 2936, High = 2936, Low = 2936, Close = 2936, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 03) });
            test.Add(new MyObject() { Open = 2944, High = 2944, Low = 2944, Close = 2944, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 05) });
            test.Add(new MyObject() { Open = 2944, High = 2944, Low = 2944, Close = 2944, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 08) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 10) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 15) });
            test.Add(new MyObject() { Open = 2932, High = 2932, Low = 2932, Close = 2932, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 25) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 26) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 28) });
            test.Add(new MyObject() { Open = 2932, High = 2932, Low = 2932, Close = 2932, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 30) });
            test.Add(new MyObject() { Open = 2941, High = 2941, Low = 2941, Close = 2941, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 32) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 35) });
            test.Add(new MyObject() { Open = 2941, High = 2941, Low = 2941, Close = 2941, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 40) });
            test.Add(new MyObject() { Open = 2937, High = 2937, Low = 2937, Close = 2937, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 42) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 45) });
            test.Add(new MyObject() { Open = 2937, High = 2937, Low = 2937, Close = 2937, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 48) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 50) });
            test.Add(new MyObject() { Open = 2939, High = 2939, Low = 2939, Close = 2939, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 52) });
            test.Add(new MyObject() { Open = 2937, High = 2937, Low = 2937, Close = 2937, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 54) });
            test.Add(new MyObject() { Open = 2935, High = 2935, Low = 2935, Close = 2935, TimeStamp = new DateTime(2020, 10, 15, 10, 01, 56) });

            test.Add(new MyObject() { Open = 2935, High = 2935, Low = 2935, Close = 2935, TimeStamp = new DateTime(2020, 10, 15, 10, 02, 12) });

将 1 分钟作为参数传递给 GetStartOfPeriodByMins(1) -

这里的记录是时间10:1:56和10:2:12。

现在你可以观察到最后我们将得到 2 条记录集到 resultSet

如果定时器触发功能在特定时间没有运行，它只会对10:2:12的最后一条记录取平均值，这是不对的

所以问题是如何匹配运行ning时间？

5 分钟后也会发生同样的情况。

以上示例数据输出1分钟

所以我们需要确保数据从那个时间段开始就应该是完整的。

Answer 1

一种可能的解决方案是利用 _ts 属性文档。您可以直接使用 start date 和 end date 进行 5 分钟跨度的 SQL 查询。除此之外，您可以在数据库中将 start date 保存为 last used end date（可忽略的成本）。查询应如下所示：

SELECT * FROM c where c._ts <= 1601890740 AND c._ts >= 1601890585

另请注意，您将不得不进行一些 POSIX 到 DateTime 的来回转换。

如何在 C# 中从 cosmos db 获取准确的最新 5 分钟数据

How to get exact latest 5 minutes data from cosmos db in C#

.net

c#

c#-4.0

azure-cosmosdb