private void LoadPreDataValue(PreData p)
{
p.InitUserData();
preNum.Value = p.Index;
preID.Text = p.ID;
preMode.SelectedIndex = p.AutoMode ? 1 : 0;
PreMode_SelectedIndexChanged(this, null);
startSpeed.Value = p.StartSpeed;
endSpeed.Value = p.EndSpeed;
incSpeed.Value = p.IncSpeed;
preLine.Value = p.PreLine;
speed1.Value = p[0].Speed;
line1.Value = p[0].Line;
speed2.Value = p[1].Speed;
line2.Value = p[1].Line;
speed3.Value = p[2].Speed;
line3.Value = p[2].Line;
speed4.Value = p[3].Speed;
line4.Value = p[3].Line;
speed5.Value = p[4].Speed;
line5.Value = p[4].Line;
speed6.Value = p[5].Speed;
line6.Value = p[5].Line;
speed7.Value = p[6].Speed;
line7.Value = p[6].Line;
speed8.Value = p[7].Speed;
line8.Value = p[7].Line;
speed9.Value = p[8].Speed;
line9.Value = p[8].Line;
speed10.Value = p[9].Speed;
line10.Value = p[9].Line;
}
private void StaticAnalysis()
{
double sumOfSquaresOfDifferences = double.NaN;
try
{
maxValue = PreData.Max();
minValue = PreData.Min();
rootMeanSquare = Math.Sqrt(PreData.Select(x => x * x).Sum() / PreData.Length);
average = PreData.Average();
sumOfSquaresOfDifferences = PreData.Select(val => (val - average) * (val - average)).Sum();
stdDeviation = Math.Sqrt(sumOfSquaresOfDifferences / PreData.Length);
}
catch (Exception ex)
{
throw new Exception(ex.Message);
}
}
static ElwOptionArbData GetElwOptionArbData_WithProfit(PreData data)
{
if (!IsEnoughElwPrice(data.ElwPrice))
{
return null;
}
double boundary = GetProfitBoundary(data);
if (!IsArbChance(data, boundary))
{
return null;
}
long minOptionCount = GetOptionCount(data, 1024);
if (minOptionCount <= 0)
{
return null;
}
ElwOptionArbData eod = new ElwOptionArbData(
data.Elw,
data.ElwPrice,
data.ElwLS,
data.KOI,
data.OptionPrice,
data.OptionLS,
minOptionCount,
data.Diff,
data.RmdOption,
data.RmdElw,
data.IsForward);
return Return_EOAD_If_Spread_And_Nabi_Is_OK(eod, data);
}
static ElwOptionArbData Return_EOAD_If_Spread_And_Nabi_Is_OK(ElwOptionArbData eod, PreData data)
{
double optionBidAskSpread = Math.Round(data.RmdOption.AskPrice1, 2) - Math.Round(data.RmdOption.BidPrice1, 2);
if (optionBidAskSpread > 0.15)
{
long elwBookValue = ElwOptionUtil.GetOneOptionValueOfElw(data.Elw, data.ElwPrice);
// 나비테스트를 통과해야한다.
if (!IsCheapEnoughPassNabiTest(data.IsForward, data.KOI, data.RmdElw, data.Elw, elwBookValue))
{
return null;
}
}
return eod;
}
static Boolean IsArbChance(PreData data, double boundary)
{
// 비교 시작
if (data.IsForward || data.IsAgressiveReverseOn) // forward는 1000원 기회를 본다.
{
if (data.Diff < boundary)
{
// 1 tick도 안되는 기회이다. 그냥 넘어간다.
return false;
}
}
else // backward는 2000원 기회를 본다.
{
if (data.Diff < boundary * 2)
{
// 2 tick도 안되는 기회이다. 그냥 넘어간다.
return false;
}
}
return true;
}
static double Get_WO_ProfitBoundary(PreData data)
{
return 0;
}
static double GetProfitBoundary(PreData data)
{
double boundary = 999;
if (data.OptionPrice >= 15.0)
{
boundary = 9999;
}
else if (data.OptionPrice >= 3.0)
{
boundary = 4999;
}
return boundary;
}
static PreData GetPreData(
ElwInfo elw,
RawMarketData rmdElw,
KospiOptionInfo kospiOptionInfo,
RawMarketData rmdOption,
long maxCountOfOptionPerOnce,
double maxValueOfOptionPerOnce,
Account optionAccount,
Account elwAccount,
Boolean bForward,
Boolean bAgressiveReverseOn,
long totalAttemptOptionCount)
{
PreData data = new PreData();
// 기본 input
data.Elw = elw;
data.RmdElw = rmdElw;
data.KOI = kospiOptionInfo;
data.RmdOption = rmdOption;
data.MaxCountOfOptionPerOnce = maxCountOfOptionPerOnce;
data.MaxValueOfOptionPerOnce = maxValueOfOptionPerOnce;
data.OptionAccount = optionAccount;
data.ElwAccount = elwAccount;
data.IsForward = bForward;
data.IsAgressiveReverseOn = bAgressiveReverseOn;
data.TotalAttemptOptionCount = totalAttemptOptionCount;
// 가공 데이터
data.ElwPrice = bForward ? rmdElw.AskPrice1 : rmdElw.BidPrice1;
data.ElwCount = bForward ? rmdElw.AskCount1 : rmdElw.BidCount1;
data.ElwLS = bForward ? TradingDirection.Long : TradingDirection.Short;
data.OptionPrice = bForward ? Math.Round(rmdOption.BidPrice1, 2) : Math.Round(rmdOption.AskPrice1, 2);
data.OptionCount = bForward ? rmdOption.BidCount1 : rmdOption.AskCount1;
data.OptionLS = bForward ? TradingDirection.Short : TradingDirection.Long;
data.OptionCountOfElw = ElwOptionUtil.ConvertElwCountToOptionCount(elw, data.ElwCount);
data.ElwOneOptionValue = ElwOptionUtil.GetOneOptionValueOfElw(elw, data.ElwPrice);
data.OptionOneOptionValue = ElwOptionUtil.GetOneOptionValueOfOption(data.OptionPrice);
data.Diff = data.OptionOneOptionValue - data.ElwOneOptionValue;
if (!bForward)
{
data.Diff *= (-1); // forward가 아니라면 부호를 반대로
}
return data;
}
static long GetOptionCount(PreData data, long limitOptionCount)
{
// 옵션 수량 구하기
long minOptionCount = Math.Min(data.OptionCountOfElw, data.OptionCount);
minOptionCount = Math.Min(minOptionCount, data.MaxCountOfOptionPerOnce);
double maxOneOptionValue = Math.Max(Math.Abs(data.ElwOneOptionValue), Math.Abs(data.OptionOneOptionValue));
long valueLimitOptionCount = (long)(data.MaxValueOfOptionPerOnce / maxOneOptionValue);
minOptionCount = Math.Min(minOptionCount, valueLimitOptionCount);
long optionFilterCount = data.OptionAccount.FilterOrderLimitCount(data.RmdOption.Code, data.RmdOption.AskPrice1, data.OptionCount);
long elwFilterCount = data.ElwAccount.FilterOrderLimitCount(data.RmdElw.Code, data.RmdElw.AskPrice1, data.ElwCount);
long optionCountOfOptionFilterCount = optionFilterCount;
long optionCountOfElwFilterCount = ElwOptionUtil.ConvertRealToFOCount(data.RmdElw.Code, elwFilterCount);
minOptionCount = Math.Min(minOptionCount, optionCountOfOptionFilterCount);
minOptionCount = Math.Min(minOptionCount, optionCountOfElwFilterCount);
minOptionCount = Math.Min(limitOptionCount, minOptionCount); // 옵션 1024개로 하드코딩으로 최대량을 제한한다.
if (minOptionCount < 2)
{
return -1;
}
return minOptionCount;
}
static ElwOptionArbData GetElwOptionArbData_WO_Profit(PreData data)
{
if (!data.IsForward)
{
return null;
}
long limitOptionCount = GetTimeBasedLimitOptionCountFor_WO_Profit(data.TotalAttemptOptionCount, DateTime.Now);
if (limitOptionCount < 5)
{
return null;
}
Debug.Assert(limitOptionCount <= 1024, "ElwArbCalculator.LimitOptionCount error");
if (!IsEnoughElwPrice(data.ElwPrice))
{
return null;
}
double boundary = Get_WO_ProfitBoundary(data); // without profit boundary
if (!IsArbChance(data, boundary))
{
return null;
}
long minOptionCount = GetOptionCount(data, limitOptionCount);
if (minOptionCount <= 0)
{
return null;
}
ElwOptionArbData eod = new ElwOptionArbData(
data.Elw,
data.ElwPrice,
data.ElwLS,
data.KOI,
data.OptionPrice,
data.OptionLS,
minOptionCount,
data.Diff,
data.RmdOption,
data.RmdElw,
data.IsForward);
return Return_EOAD_If_Spread_And_Nabi_Is_OK(eod, data);
}
public PreCutDataManager(PreData p, bool re = true)
{
InitializeComponent();
pre = p;
rePair = re;
}
