//获取tick数据 private void getTickData(string underlyingCode, List <DateTime> tradedays) { foreach (var date in tradedays) { DateTime dateStart = date.Date + new TimeSpan(9, 30, 0); DateTime dateEnd = date.Date + new TimeSpan(15, 0, 0); if (tick.ContainsKey(underlyingCode) == false) { try { var tickNow = stockTickRepo.GetStockTransaction(underlyingCode, dateStart, dateEnd); Dictionary <DateTime, List <StockTickTransaction> > data = new Dictionary <DateTime, List <StockTickTransaction> >(); data.Add(date, tickNow); tick.Add(underlyingCode, data); } catch (Exception e) { Console.WriteLine(e.Message); } } else if (tick[underlyingCode].ContainsKey(date) == false) { try { var tickNow = stockTickRepo.GetStockTransaction(underlyingCode, dateStart, dateEnd); var data = tick[underlyingCode]; data.Add(date, tickNow); } catch (Exception e) { Console.WriteLine(e.Message); } } } }
public void backtest(string underlyingCode, DateTime startDate, DateTime endDate, double ceilRatio = 0.08) { dataPrepare(underlyingCode, startDate, endDate); OneByOneTransactionDaily trade = new OneByOneTransactionDaily(); double ratio = 1 + ceilRatio; double position = 0; var data = DailyKLine[underlyingCode]; for (int i = 1; i < data.Count(); i++) { var yesterday = data[i - 1]; var today = data[i]; double preClose = yesterday.Close * yesterday.AdjFactor / today.AdjFactor; if (today.High > preClose * ratio && today.Volume > 0 && position == 0) { var tickToday = stockTickRepo.GetStockTransaction(underlyingCode, today.DateTime, today.DateTime); if (tickToday.Count() == 0) { continue; } foreach (var tickNow in tickToday) { if (tickNow.LastPrice >= preClose * ratio && position == 0) { trade = new OneByOneTransactionDaily(); trade.openTime = tickNow.TransactionDateTime; trade.openPrice = tickNow.Ask1; trade.maxOpenAmount = tickNow.AskV1 * tickNow.Ask1; trade.position = 1; position = 1; trade.code = underlyingCode; trade.date = trade.openTime.Date; trade.openAdjust = today.AdjFactor; trade.parameter = ratio; break; } } } if (position == 1 && trade.openTime < today.DateTime.Date && today.Open < preClose * 1.09) //买入之后卖出 { trade.closeTime = today.DateTime.Date + new TimeSpan(9, 30, 0); trade.closeStatus = "股票未涨停平仓"; trade.closePrice = today.Open; trade.closeAdjust = today.AdjFactor; position = 0; trade.yield = (trade.closePrice * trade.closeAdjust - trade.openPrice * trade.openAdjust) / (trade.openPrice * trade.openAdjust) * trade.maxOpenAmount; transactionData.Add(trade); } } }
public void recorddata(DateTime startDate, DateTime endDate) { var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate); foreach (var date in tradedays) { stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17)); var list = infoRepo.GetStockOptionInfo(underlying, date, date); list = OptionUtilities.modifyOptionListByETFBonus(list, date); foreach (var item in list) { optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)); } } }
private void getStockTickData(string code) { foreach (var date in tradedays) { var tick = tickRepo.GetStockTransaction(code, date, date); var day = stockDailyRepo.GetStockTransaction("510050.SH", date, date); double open = day[0].Open; var minute = tranferTickToMinuteDayByDay(code, date, open, tick); var minute2 = stockMinutelyRepo.GetStockTransaction("510050.SH", date, date); } }
public void computeImbalanceInfactor(DateTime startDate, DateTime endDate) { var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate); foreach (var date in tradedays) { double[] imbalanceInfactor = new double[28802]; double[] priceChange = new double[28802]; var stockData = stockRepo.GetStockTransaction(code, date, date.AddHours(17)); var stock = DataTimeStampExtension.ModifyStockTickData(stockData); for (int i = 0; i < 28802; i++) { if (stock[i] != null) { imbalanceInfactor[i] = stock[i].BidV1 / (stock[i].AskV1 + stock[i].BidV1); } if (i < 28801 && stock[i] != null && stock[i + 1] != null) { priceChange[i] = Math.Round(stock[i + 1].Bid1 - stock[i].Bid1, 4); } } double total = 0; double right = 0; for (int i = 0; i < 28802; i++) { //if (priceChange[i]!=0 && Math.Abs(imbalanceInfactor[i]-0.5)>=0) { total += 1; if (priceChange[i] > 0 && imbalanceInfactor[i] > 0.75) { right += 1; } if (priceChange[i] < 0 && imbalanceInfactor[i] < 0.25) { right += 1; } } } Console.WriteLine(Math.Round(right / total, 3)); } }
public void computeTWAP(DateTime startDate, DateTime endDate, int totalVolume = 10000000, int newOrderTimeInterval = 15, int oldOrderTimeInterval = 15, int oldOrderFrequency = 10, int newOrderPriceMode = -1, int oldOrderPriceMode = -1, int cancelTimeInterval = 120) { var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate); foreach (var date in tradedays) { List <StockTickTransaction> data = new List <StockTickTransaction>(); try { data = stockRepo.GetStockTransaction(code, date, date); } catch (Exception) { Console.WriteLine("code:{0},date:{1} No Data!!", code, date); } if (data.Count() == 0) { Console.WriteLine("code:{0},date:{1} No Data!!", code, date); continue; } double vol = getVolatilityMinutly(code, date, 10); double mean = 0; double marketMean = 0; int seconds = 0; int dataIndex = 0; int dataSeconds; int untradeVolume = totalVolume; List <OrderBook> orderBook = new List <OrderBook>(); List <TradeBook> tradeBook = new List <TradeBook>(); //初始化每个周期的挂单量和补单量 int period = totalTime / newOrderTimeInterval; int orderVolumePerTimeInterval = getVolumeOfTimeInterval(untradeVolume, period); int stockNeedToTradePerTimeInterval = untradeVolume / period; int oldOrderVolumePerTimeInterval = 0; int orderNeedToTrade = 0; int orderAlreadyTrade = 0; int counting = 0; double lastNewOrderPrice = 0; //逐秒进行判断成交以及策略挂单 for (seconds = 0; seconds <= 14221; seconds++) { DateTime time = date.Date + DataTimeStampExtension.GetStockSecondsTimeByIndex(seconds); //获取市场数据部分 var lastTick = onTick(seconds, data); if (lastTick.Bid1 == 0) { continue; } counting += 1; marketMean = (marketMean * (counting - 1) + lastTick.LastPrice) / counting;//计算市场的平均价格 //根据最新盘口数据调整orderbook中waitingValume字段 modifyOrderBookByTickData(ref orderBook, lastTick); //策略挂单撤单部分 double newOrderPrice = getOrderPrice(newOrderPriceMode, lastTick); double oldOrderPrice = getOrderPrice(oldOrderPriceMode, lastTick); if (counting % newOrderTimeInterval == 1)//每个新挂单周期的第1秒进行挂单 { orderNeedToTrade = orderNeedToTrade + stockNeedToTradePerTimeInterval; if (orderVolumePerTimeInterval > 0) { orderId += 1; double price = getOrderPrice(newOrderPriceMode, lastTick); placeAnOrder(ref orderBook, lastTick, price, time, orderVolumePerTimeInterval, orderId); lastNewOrderPrice = price; } //如果价格跳涨,单位时间内多挂1倍的单 if (lastNewOrderPrice > 0 && (lastTick.Ask1 / lastNewOrderPrice - 1) > 1 * vol * Math.Sqrt(newOrderTimeInterval / 60.0)) { orderId += 1; placeAnOrder(ref orderBook, lastTick, lastTick.Ask1, time, orderVolumePerTimeInterval, orderId); lastNewOrderPrice = lastTick.Ask1; } } if (counting % oldOrderTimeInterval == 5)//每个补单周期的第5秒进行补单 { int activeOrderNumbers = getActivieOrderNumbers(orderBook); int volumeNow = (int)(Math.Round((orderNeedToTrade - orderAlreadyTrade - activeOrderNumbers) / 100.0) * 100); volumeNow = Math.Min(oldOrderVolumePerTimeInterval, volumeNow); if (volumeNow > 0) { orderId += 1; double price = getOrderPrice(oldOrderPriceMode, lastTick); placeAnOrder(ref orderBook, lastTick, price, time, volumeNow, orderId); } } if (counting % cancelTimeInterval == 0) //每个撤单周期进行撤单,并计算需要补挂的单子 { int activeOrderNumbers = getActivieOrderNumbers(orderBook); cancelDeviateOrders(ref orderBook, lastTick); if (orderAlreadyTrade / Convert.ToDouble(orderNeedToTrade) < tradingRate) { cancelPartialDeviateOrders(ref orderBook, lastTick); activeOrderNumbers = getActivieOrderNumbers(orderBook); } //计算后续补单每次挂单量 int oldOrderUntrade = orderNeedToTrade - orderAlreadyTrade - activeOrderNumbers; oldOrderVolumePerTimeInterval = getVolumeOfTimeInterval(oldOrderUntrade, oldOrderFrequency); } //判断成交部分 dataSeconds = DataTimeStampExtension.GetStockSecondsIndex(data[dataIndex].TransactionDateTime); if (dataSeconds == seconds) { //根据该tick的盘口数据,进行成交判断 transactionSimulation(ref orderBook, ref tradeBook, data[dataIndex]); //根据成交信息更新数据 orderAlreadyTrade = getTradedNumbers(tradeBook); untradeVolume = totalVolume - orderAlreadyTrade; //移到下一个tick的数据 if (dataIndex + 1 < data.Count()) { dataIndex = dataIndex + 1; } } //输出最后的交易情况 if (seconds == 14220) { mean = getTradeAveragePrice(tradeBook); int orderVolume = getOrderBookVolume(orderBook); Console.WriteLine("{0}: 市场均价 {1} 成交均价 {2} 成交量 {3} 需成交 {4} 挂单 {5}", time, marketMean, mean, orderAlreadyTrade, orderNeedToTrade, orderVolume); } } } }
private void dataPrepare(DateTime startDate, DateTime endDate) { //获取交易日信息 this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate); List <DateTime> ceilDate = new List <DateTime>(); string bondCode; string underlyingCode; //获取可转债信息 this.bondInfo = GetConvertibleBondInfos(endDate); //获取日线数据 try { foreach (var info in bondInfo) { underlyingCode = info.stockCode; DateTime startTime = startDate; DateTime endTime = endDate; if (startTime < info.startDate) { startTime = info.startDate; } if (endTime > info.endDate) { endTime = info.endDate; } if (dailyData.ContainsKey(underlyingCode) == false) { var underlyingData = stockDailyRepo.GetStockTransactionWithRedis(underlyingCode, startTime.AddDays(-10), endTime); dailyData.Add(underlyingCode, underlyingData); endTime = DateTimeExtension.DateUtils.PreviousTradeDay(info.endDate, 7); if (endTime > endDate.Date) { endTime = endDate.Date; } if (startDate > endTime) { startDate = endTime; } var bondData = stockDailyRepo.GetStockTransactionWithRedis(info.code, info.startDate, endTime); dailyData.Add(info.code, bondData); if (info.startDate > endTime) { continue; } var tempDataTable = windReader.GetDailyDataTable(info.code, "clause_conversion2_swapshareprice,underlyingcode,clause_conversion_2_swapsharestartdate,clause_conversion_2_swapshareenddate", info.startDate, endTime); List <ConvertibleBondDailyInfo> bondDaily = new List <ConvertibleBondDailyInfo>(); foreach (DataRow dt in tempDataTable.Rows) { ConvertibleBondDailyInfo bondDailyInfoNow = new ConvertibleBondDailyInfo(); bondDailyInfoNow.code = info.code; bondDailyInfoNow.name = info.name; bondDailyInfoNow.startDate = info.startDate; bondDailyInfoNow.endDate = info.endDate; bondDailyInfoNow.stockCode = info.stockCode; bondDailyInfoNow.conversionPrice = Convert.ToDouble(dt["clause_conversion2_swapshareprice"]); //bondDailyInfoNow.forceConvertDate = Convert.ToDateTime(dt["clause_conversion_2_forceconvertdate"]); bondDailyInfoNow.conversionStartDate = Convert.ToDateTime(dt["clause_conversion_2_swapsharestartdate"]); bondDailyInfoNow.conversionEndDate = Convert.ToDateTime(dt["clause_conversion_2_swapshareenddate"]); bondDailyInfoNow.date = Convert.ToDateTime(dt["datetime"]); bondDaily.Add(bondDailyInfoNow); } bondDailyInfo.Add(info.code, bondDaily); } } } catch (Exception e) { Console.WriteLine(e.Message); } int num = 0; foreach (var item in dailyData) { var data = item.Value; var code = item.Key; num = num + 1; Console.WriteLine(num); for (int i = 1; i < data.Count(); i++) { if (data[i] == null || data[i].DateTime.Date < startDate) { continue; } DateTime day = data[i].DateTime.Date; //获取其对应的可转债 bondCode = getConvetibleCodeByStockCode(code, day, bondInfo); //判断是否涨停 var dataToday = data[i]; var dataYesterday = data[i - 1]; double price = Math.Round(dataYesterday.Close * dataYesterday.AdjFactor / dataToday.AdjFactor * 1.1, 2); //获取日内数据 try { if (data[i].High >= 0.99 * price && bondCode != "") { //获取分钟数据 //var data1 = stockMinutelyRepo.GetStockTransactionWithRedis(bondCode, day, day); //var data2 = stockMinutelyRepo.GetStockTransactionWithRedis(code, day, day); //if (minuteData.ContainsKey(data[i].DateTime) == true) //{ // minuteData[data[i].DateTime].Add(bondCode, data1); // minuteData[data[i].DateTime].Add(code, data2); //} //else //{ // Dictionary<string, List<StockTransaction>> dataNow = new Dictionary<string, List<StockTransaction>>(); // dataNow.Add(bondCode, data1); // dataNow.Add(code, data2); // minuteData.Add(day, dataNow); //} //获取tick数据 DateTime startTime = day.Date + new TimeSpan(9, 30, 0); DateTime endTime = day.Date + new TimeSpan(15, 0, 0); var data3 = tickRepo.GetStockTransaction(bondCode, startTime, endTime); var data4 = tickRepo.GetStockTransaction(code, startTime, endTime); if (tickData.ContainsKey(day.Date) == true) { tickData[day.Date].Add(bondCode, data3); tickData[day.Date].Add(code, data4); } else { Dictionary <string, List <StockTickTransaction> > dataNow = new Dictionary <string, List <StockTickTransaction> >(); dataNow.Add(bondCode, data3); dataNow.Add(code, data4); tickData.Add(day.Date, dataNow); } } } catch (Exception e) { Console.WriteLine(e.Message); Console.WriteLine("code:{0} date:{1} No data!", bondCode, day); } } } }
public void compute(DateTime startDate, DateTime endDate) { var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate); List <ETFConsitituent> etfInfo = new List <ETFConsitituent>(); List <double> amountList = getAmount(code, startDate, endDate); double[] arbitraryPurchase = new double[28802]; double[] arbitraryRedeem = new double[28802]; bool[] isNan = new bool[28802]; for (int i = 0; i < 28802; i++) { isNan[i] = true; } for (int k = 0; k < tradedays.Count(); k++) { DateTime date = tradedays[k]; etfInfo = getETFInfo(code, date); foreach (var item in etfInfo) { if (item.cash_substitution_mark == "必须") { for (int i = 0; i < 28802; i++) { if (isNan[i] == true) { arbitraryPurchase[i] += -item.substitution_amout; } } } else { var stockData = stockRepo.GetStockTransaction(item.code, date, date.AddHours(17)); if (stockData != null && stockData.Count > 0) { var stock = DataTimeStampExtension.ModifyStockTickData(stockData); for (int i = 0; i < stock.Count(); i++) { if (isNan[i] == true && stock[i] != null && stock[i].AskV1 != 0 && stock[i].BidV1 != 0) { arbitraryPurchase[i] += -item.volume * stock[i].Ask1; //arbitraryRedeem[i] += item.volume * stock[i].Bid1; } if (stock[i] == null) { isNan[i] = false; arbitraryPurchase[i] = 0; //arbitraryRedeem[i] = 0; } } } else { if (item.cash_substitution_mark == "禁止") { for (int i = 0; i < 28802; i++) { arbitraryPurchase[i] = 0; isNan[i] = false; } } else { var stock = stockDailyRepo.GetStockTransaction(item.code, date, date); for (int i = 0; i < 28802; i++) { if (isNan[i] == true) { arbitraryPurchase[i] += -item.volume * stock[stock.Count() - 1].Close * (1 + item.premium_ratio / 100.0); } } } } } } var etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction(code, date, date.AddHours(17))); for (int i = 0; i < etf.Count(); i++) { if (isNan[i] == true && etf[i] != null && etf[i].AskV1 != 0 && etf[i].BidV1 != 0) { arbitraryPurchase[i] += amountList[k] * etf[i].Bid1; // arbitraryRedeem[i] += -amountList[k] * etf[i].Ask1; } if (etf[i] == null) { isNan[i] = false; arbitraryPurchase[i] = 0; //arbitraryRedeem[i] = 0; } } Console.WriteLine("today {0} change {1}", date, arbitraryPurchase.Max()); } }
public void computeImpv(DateTime startDate, DateTime endDate) { var start = startDate; //while (start < endDate) //{ // if (!ExistInSqlServer(start)) // { // CreateDBOrTableIfNecessary(start); // } // start = start.AddYears(1); //} //if (!ExistInSqlServer(endDate)) //{ // CreateDBOrTableIfNecessary(endDate); //} var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate); //逐日进行计算 foreach (var date in tradedays) { if (!ExistInSqlServer(date)) { CreateDBOrTableIfNecessary(date); } double[,] myFuture = new double[4, 28802]; var tickdata = new Dictionary <string, List <StockOptionTickTransaction> >(); var etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17))); var list = infoRepo.GetStockOptionInfo(underlying, date, date).Where(x => x.unit == 10000); Dictionary <StockOptionProperty, string> optionCode = new Dictionary <StockOptionProperty, string>(); //给出所有的strike信息 List <double> strikeList = new List <double>(); foreach (var item in list) { if (strikeList.Contains(item.strike) == false) { strikeList.Add(item.strike); } } strikeList = strikeList.OrderBy(x => x).ToList(); //给出所有的duration信息 List <DateTime> expireDateList = new List <DateTime>(); foreach (var item in list) { if (expireDateList.Contains(item.expireDate) == false) { expireDateList.Add(item.expireDate); } } expireDateList = expireDateList.OrderBy(x => x).ToList(); foreach (var item in list) { var option0 = optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)); if (option0.Count == 0) { continue; } var option = DataTimeStampExtension.ModifyOptionTickData(option0); StockOptionProperty property = new StockOptionProperty { strike = item.strike, call_or_put = item.type, expireDate = item.expireDate }; optionCode.Add(property, item.code); tickdata.Add(item.code, option); } //计算合约的合成远期价格 for (int k = 0; k < 3; k++) //k遍历了到期时间 { double[,] futures = new double[4, 28802]; //futures[选取的strike,时间下标] double[,] weights = new double[4, 28802]; for (int i = 0; i < 28802; i++) { var etfMid = getStockMidPrice(etf[i], volumeTarget * 100); if (etfMid == 0) { continue; } var expireDate = expireDateList[k]; var strikeListNow = strikeList.OrderBy(x => Math.Abs(x - etfMid * Math.Exp(rate * dateRepo.GetDuration(date, expireDate) / 252.0))).ToList(); for (int j = 0; j <= 3; j++) { StockOptionProperty call = new StockOptionProperty { strike = strikeListNow[j], call_or_put = "认购", expireDate = expireDate }; StockOptionProperty put = new StockOptionProperty { strike = strikeListNow[j], call_or_put = "认沽", expireDate = expireDate }; bool callExists = false, putExists = false; foreach (var key in optionCode.Keys) { if (key.call_or_put == call.call_or_put && key.strike == call.strike && key.expireDate == call.expireDate) { callExists = true; call = key; } if (key.call_or_put == put.call_or_put && key.strike == put.strike && key.expireDate == put.expireDate) { putExists = true; put = key; } } if (callExists && putExists) { var callTick = tickdata[optionCode[call]]; var putTick = tickdata[optionCode[put]]; var callMid = getOptionMidPrice(callTick[i], volumeTarget); var putMid = getOptionMidPrice(putTick[i], volumeTarget); if (callMid > 0 && putMid > 0) { var callSpread = getOptionSpread(callTick[i], volumeTarget); var putSpread = getOptionSpread(putTick[i], volumeTarget); futures[j, i] = (callMid - putMid) * Math.Exp(rate * dateRepo.GetDuration(date, expireDate) / 252.0) + strikeListNow[j]; weights[j, i] = 1 / ((Math.Pow(callSpread, 2) + Math.Pow(putSpread, 2)) / 2); } } } myFuture[k, i] = 0; double weightsAll = 0; for (int j = 0; j < 3; j++) { myFuture[k, i] += futures[j, i] * weights[j, i]; weightsAll += weights[j, i]; } if (weightsAll != 0) { myFuture[k, i] /= weightsAll; } } int firstNonZero = 0; for (int i = 0; i < 28802; i++) { if (myFuture[k, i] != 0) { firstNonZero = i; break; } } for (int i = firstNonZero + 1; i < 28802; i++) { if (myFuture[k, i] == 0) { myFuture[k, i] = myFuture[k, i - 1]; } } for (int i = firstNonZero + 1; i < 28802; i++) { myFuture[k, i] = emaCoeff * myFuture[k, i] + (1 - emaCoeff) * myFuture[k, i - 1]; } //计算隐含波动率 foreach (var item in list) { if (item.expireDate != expireDateList[k]) { continue; } DataTable dt = new DataTable(); dt.Columns.Add("code"); dt.Columns.Add("tdatetime", typeof(DateTime)); dt.Columns.Add("expiredate"); dt.Columns.Add("futurePrice"); dt.Columns.Add("futurePrice0"); dt.Columns.Add("duration"); dt.Columns.Add("maturitydate"); dt.Columns.Add("etfPrice"); dt.Columns.Add("strike"); dt.Columns.Add("call_or_put"); dt.Columns.Add("ask"); dt.Columns.Add("bid"); dt.Columns.Add("ask_impv"); dt.Columns.Add("bid_impv"); StockOptionProperty option = new StockOptionProperty { strike = item.strike, call_or_put = item.type, expireDate = item.expireDate }; foreach (var key in optionCode.Keys) { if (key.call_or_put == option.call_or_put && key.strike == option.strike && key.expireDate == option.expireDate) { option = key; } } if (optionCode.ContainsKey(option) == true) { for (int i = 0; i < 28802; i++) { if (myFuture[k, i] == 0) { continue; } var etfMid = getStockMidPrice(etf[i], volumeTarget * 100); if (etfMid == 0) { continue; } var strikeListNow = strikeList.OrderBy(x => Math.Abs(x - etfMid * Math.Exp(rate * dateRepo.GetDuration(date, item.expireDate) / 252.0))).ToList(); var optionTick = tickdata[optionCode[option]]; if (optionTick[i] == null) { continue; } double etfprice = etf[i].LastPrice; double ask = optionTick[i].Ask1; double bid = optionTick[i].Bid1; double duration = dateRepo.GetDuration(date, option.expireDate) / 252.0; double strike = item.strike; string callorput = item.type; double askvol = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(myFuture[k, i], ask, strike, duration, rate, callorput), 4); double bidvol = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(myFuture[k, i], bid, strike, duration, rate, callorput), 4); double future0 = 0; for (int m = 0; m <= 3; m++) { if (strikeListNow[m] == item.strike) { future0 = futures[m, i]; break; } } DataRow dr = dt.NewRow(); dr["code"] = item.code; dr["tdatetime"] = Convert.ToDateTime(date + timelist[i]);//etf[i].TransactionDateTime; dr["maturitydate"] = item.expireDate; dr["futurePrice"] = Math.Round(myFuture[k, i], 4); dr["futurePrice0"] = Math.Round(future0, 4); dr["strike"] = Math.Round(strike, 4); dr["expiredate"] = dateRepo.GetDuration(date, option.expireDate); dr["duration"] = Math.Round(duration, 5); dr["etfPrice"] = etfprice; dr["call_or_put"] = item.type; dr["ask"] = ask; dr["bid"] = bid; if (askvol > 0 && askvol < 3) { dr["ask_impv"] = askvol; } else { dr["ask_impv"] = null; } if (bidvol > 0 && bidvol < 3) { dr["bid_impv"] = bidvol; } else { dr["bid_impv"] = null; } if (optionTick[i].TransactionDateTime < date.Date + new TimeSpan(14, 57, 00)) { dt.Rows.Add(dr); } } } SaveResultToMssql(date, dt, item.strike, dateRepo.GetDuration(date, item.expireDate), item.type, item.code); } } } }
public void record(DateTime startDate, DateTime endDate) { var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate); CreateDBOrTableIfNecessary(startDate); CreateDBOrTableIfNecessary(startDate.AddYears(1)); var start = startDate; while (start < endDate) { if (!ExistInSqlServer(start)) { CreateDBOrTableIfNecessary(start); } start = start.AddYears(1); } if (!ExistInSqlServer(endDate)) { CreateDBOrTableIfNecessary(endDate); } foreach (var date in tradedays) { DataTable dt = new DataTable(); dt = initializeDataTable(dt); double[] sigma1Ask = new double[28802]; double[] sigma1Bid = new double[28802]; double[] sigma2Ask = new double[28802]; double[] sigma2Bid = new double[28802]; double[] vixAsk = new double[28802]; double[] vixBid = new double[28802]; var list = infoRepo.GetStockOptionInfo(underlying, date, date); list = OptionUtilities.modifyOptionListByETFBonus(list, date); List <StockOptionInformation> callListThisMonth = new List <StockOptionInformation>(); List <StockOptionInformation> callListNextMonth = new List <StockOptionInformation>(); List <StockOptionInformation> putListThisMonth = new List <StockOptionInformation>(); List <StockOptionInformation> putListNextMonth = new List <StockOptionInformation>(); var durationList = OptionUtilities.getDurationStructure(list, date); double durationThisMonth = 0; double durationNextMonth = 0; if (durationList[0] > 7) { durationThisMonth = durationList[0]; durationNextMonth = durationList[1]; } else { durationThisMonth = durationList[1]; durationNextMonth = durationList[2]; } foreach (var item in list) { if (OptionUtilities.getDuration(item, date) == durationThisMonth && item.unit == 10000) { if (item.type == "认购") { callListThisMonth.Add(item); } else { putListThisMonth.Add(item); } } else if (OptionUtilities.getDuration(item, date) == durationNextMonth && item.unit == 10000) { if (item.type == "认购") { callListNextMonth.Add(item); } else { putListNextMonth.Add(item); } } } callListThisMonth = callListThisMonth.OrderBy(x => x.strike).ToList(); callListNextMonth = callListNextMonth.OrderBy(x => x.strike).ToList(); putListThisMonth = putListThisMonth.OrderBy(x => x.strike).ToList(); putListNextMonth = putListNextMonth.OrderBy(x => x.strike).ToList(); //获取当日ETF及期权数据 List <StockTickTransaction> etf = new List <StockTickTransaction>(); etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17))); Dictionary <double, List <StockOptionTickTransaction> > callDataThisMonth = new Dictionary <double, List <StockOptionTickTransaction> >(); Dictionary <double, List <StockOptionTickTransaction> > putDataThisMonth = new Dictionary <double, List <StockOptionTickTransaction> >(); Dictionary <double, List <StockOptionTickTransaction> > callDataNextMonth = new Dictionary <double, List <StockOptionTickTransaction> >(); Dictionary <double, List <StockOptionTickTransaction> > putDataNextMonth = new Dictionary <double, List <StockOptionTickTransaction> >(); List <double> strikeListThisMonth = new List <double>(); List <double> strikeListNextMonth = new List <double>(); foreach (var item in callListThisMonth) { strikeListThisMonth.Add(item.strike); var call = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17))); callDataThisMonth.Add(item.strike, call); } foreach (var item in putListThisMonth) { var put = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17))); putDataThisMonth.Add(item.strike, put); } foreach (var item in callListNextMonth) { strikeListNextMonth.Add(item.strike); var call = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17))); callDataNextMonth.Add(item.strike, call); } foreach (var item in putListNextMonth) { //2016-2-17数据有缺失 var put = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17))); putDataNextMonth.Add(item.strike, put); } strikeListThisMonth = strikeListThisMonth.OrderBy(x => x).ToList(); strikeListNextMonth = strikeListNextMonth.OrderBy(x => x).ToList(); for (int index = 0; index < 28802; index++) { bool hasData = true; foreach (var item in strikeListThisMonth) { if (callDataThisMonth[item] == null || putDataThisMonth[item] == null || callDataThisMonth[item][index] == null || putDataThisMonth[item][index] == null || (callDataThisMonth[item][index].AskV1 == 0 && callDataThisMonth[item][index].BidV1 == 0) || (putDataThisMonth[item][index].AskV1 == 0 && putDataThisMonth[item][index].BidV1 == 0)) { hasData = false; break; } } //if (durationThisMonth <= 30) { foreach (var item in strikeListNextMonth) { if (callDataNextMonth[item] == null || putDataNextMonth[item] == null || callDataNextMonth[item][index] == null || putDataNextMonth[item][index] == null || callDataNextMonth[item][index].AskV1 == 0 || putDataNextMonth[item][index].AskV1 == 0 || callDataNextMonth[item][index].BidV1 == 0 || putDataNextMonth[item][index].BidV1 == 0) { hasData = false; break; } } } if (hasData == false) { continue; } //初始化记录合约信息的列表 List <iVixInfo> thisMonthInfo = new List <iVixInfo>(); List <iVixInfo> nextMonthInfo = new List <iVixInfo>(); DataRow dr = dt.NewRow(); var now = callDataThisMonth[strikeListThisMonth[0]][index].TransactionDateTime; var expiredate1 = callListThisMonth[0].expireDate; var expiredate2 = callListNextMonth[0].expireDate; var span = date.AddHours(15) - now; //计算时间T NT:近月合约剩余到期时间(以分钟计) T:NT/365 double T1 = (durationThisMonth - 1 + (span.Hours * 60 + span.Minutes) / 840.0) / 365.0; //找到认购期权价格与认沽期权价格相差最小的执行价的K //计算远期价格F S+exp(RT)×[认购期权价格 S −认沽期权价格 S ] double distance1 = 100; double kThisMonth = 0; double F = 0; for (int i = 0; i < strikeListThisMonth.Count(); i++) { double distance0 = Math.Abs((callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2 - (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2); if (distance0 < distance1) { distance1 = distance0; F = strikeListThisMonth[i] + Math.Exp(rate * T1) * ((callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2 - (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2); } } //找到K0 for (int i = 0; i < strikeListThisMonth.Count() - 1; i++) { kThisMonth = strikeListThisMonth[i]; if (strikeListThisMonth[i + 1] > F) { break; } } //计算近月ivix for (int i = 0; i < strikeListThisMonth.Count(); i++) { iVixInfo info = new iVixInfo(); double ask = 0; double bid = 0; double dK = 0; double k = strikeListThisMonth[i]; if (i == strikeListThisMonth.Count() - 1) { dK = strikeListThisMonth[strikeListThisMonth.Count() - 1] - strikeListThisMonth[strikeListThisMonth.Count() - 2]; } else { dK = strikeListThisMonth[i + 1] - strikeListThisMonth[i]; } info.strike = k; info.duration = T1; info.coefficient = 2 / info.duration * dK / Math.Pow(info.strike, 2) * Math.Exp(rate * info.duration); if (strikeListThisMonth[i] < kThisMonth) { ask = putDataThisMonth[strikeListThisMonth[i]][index].Ask1; bid = putDataThisMonth[strikeListThisMonth[i]][index].Bid1; var mid = (ask + bid) / 2; info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认沽"), 4); info.vega = ImpliedVolatilityExtension.ComputeOptionVega(info.strike, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0; info.ask = ask; info.askv = putDataThisMonth[strikeListThisMonth[i]][index].AskV1; info.bid = bid; info.bidv = putDataThisMonth[strikeListThisMonth[i]][index].BidV1; info.minutelyVolume = ComputeMinutelyVolume(putDataThisMonth[strikeListThisMonth[i]], index); } else if (strikeListThisMonth[i] == kThisMonth) { ask = (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Ask1) / 2; bid = (putDataThisMonth[strikeListThisMonth[i]][index].Bid1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2; var mid1 = (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2; var mid2 = (callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2; var sigma1 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid1, info.strike, info.duration, rate, "认沽"), 4); var sigma2 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid2, info.strike, info.duration, rate, "认购"), 4); var vega1 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma1, F * Math.Exp(-rate * info.duration)) / 100.0; var vega2 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma2, F * Math.Exp(-rate * info.duration)) / 100.0; info.sigma = (sigma1 + sigma2) / 2; info.vega = (vega1 + vega2) / 2; info.ask = ask; info.askv = Math.Min(putDataThisMonth[strikeListThisMonth[i]][index].AskV1, callDataThisMonth[strikeListThisMonth[i]][index].AskV1) * 2; info.bid = bid; info.bidv = Math.Min(putDataThisMonth[strikeListThisMonth[i]][index].BidV1, callDataThisMonth[strikeListThisMonth[i]][index].BidV1) * 2; var volumeCall = ComputeMinutelyVolume(callDataThisMonth[strikeListThisMonth[i]], index); var volumePut = ComputeMinutelyVolume(putDataThisMonth[strikeListThisMonth[i]], index); info.minutelyVolume = Math.Min(volumeCall, volumePut) * 2; } else { ask = callDataThisMonth[strikeListThisMonth[i]][index].Ask1; bid = callDataThisMonth[strikeListThisMonth[i]][index].Bid1; var mid = (ask + bid) / 2; info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认购"), 4); info.vega = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0; info.ask = ask; info.askv = callDataThisMonth[strikeListThisMonth[i]][index].AskV1; info.bid = bid; info.bidv = callDataThisMonth[strikeListThisMonth[i]][index].BidV1; info.minutelyVolume = ComputeMinutelyVolume(callDataThisMonth[strikeListThisMonth[i]], index); } sigma1Ask[index] += (2 / T1) * dK / (k * k) * Math.Exp(rate * T1) * ask; sigma1Bid[index] += (2 / T1) * dK / (k * k) * Math.Exp(rate * T1) * bid; thisMonthInfo.Add(info); } sigma1Ask[index] += -1 / T1 * Math.Pow((F / kThisMonth) - 1, 2); sigma1Bid[index] += -1 / T1 * Math.Pow((F / kThisMonth) - 1, 2); sigma1Ask[index] = Math.Sqrt(sigma1Ask[index]); sigma1Bid[index] = Math.Sqrt(sigma1Bid[index]); if (durationThisMonth > 30) { vixAsk[index] = sigma1Ask[index]; vixBid[index] = sigma1Bid[index]; } //计算时间T NT:近月合约剩余到期时间(以分钟计) T:NT/365 double T2 = (durationNextMonth - 1 + (span.Minutes) / 840) / 365.0; //找到认购期权价格与认沽期权价格相差最小的执行价的K //计算远期价格F S+exp(RT)×[认购期权价格 S −认沽期权价格 S ] distance1 = 100; double kNextMonth = 0; F = 0; for (int i = 0; i < strikeListNextMonth.Count(); i++) { double distance0 = Math.Abs((callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2 - (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2); if (distance0 < distance1) { distance1 = distance0; F = strikeListNextMonth[i] + Math.Exp(rate * T2) * ((callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2 - (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2); } } //找到K0 for (int i = 0; i < strikeListNextMonth.Count() - 1; i++) { kNextMonth = strikeListNextMonth[i]; if (strikeListNextMonth[i + 1] > F) { break; } } //计算远月ivix for (int i = 0; i < strikeListNextMonth.Count(); i++) { iVixInfo info = new iVixInfo(); double ask = 0; double bid = 0; double dK = 0; double k = strikeListNextMonth[i]; if (i == strikeListNextMonth.Count() - 1) { dK = strikeListNextMonth[strikeListNextMonth.Count() - 1] - strikeListNextMonth[strikeListNextMonth.Count() - 2]; } else { dK = strikeListNextMonth[i + 1] - strikeListNextMonth[i]; } info.strike = k; info.duration = T2; info.coefficient = 2 / info.duration * dK / Math.Pow(info.strike, 2) * Math.Exp(rate * info.duration); if (strikeListNextMonth[i] < kNextMonth) { ask = putDataNextMonth[strikeListNextMonth[i]][index].Ask1; bid = putDataNextMonth[strikeListNextMonth[i]][index].Bid1; var mid = (ask + bid) / 2; info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认沽"), 4); info.vega = ImpliedVolatilityExtension.ComputeOptionVega(info.strike, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0; info.ask = ask; info.askv = putDataNextMonth[strikeListNextMonth[i]][index].AskV1; info.bid = bid; info.bidv = putDataNextMonth[strikeListNextMonth[i]][index].BidV1; info.minutelyVolume = ComputeMinutelyVolume(putDataNextMonth[strikeListNextMonth[i]], index); } else if (strikeListNextMonth[i] == kNextMonth) { ask = (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Ask1) / 2; bid = (putDataNextMonth[strikeListNextMonth[i]][index].Bid1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2; var mid1 = (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2; var mid2 = (callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2; var sigma1 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid1, info.strike, info.duration, rate, "认沽"), 4); var sigma2 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid2, info.strike, info.duration, rate, "认购"), 4); var vega1 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma1, F * Math.Exp(-rate * info.duration)) / 100.0; var vega2 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma2, F * Math.Exp(-rate * info.duration)) / 100.0; info.sigma = (sigma1 + sigma2) / 2; info.vega = (vega1 + vega2) / 2; info.ask = ask; info.askv = Math.Min(putDataNextMonth[strikeListNextMonth[i]][index].AskV1, callDataNextMonth[strikeListNextMonth[i]][index].AskV1) * 2; info.bid = bid; info.bidv = Math.Min(putDataNextMonth[strikeListNextMonth[i]][index].BidV1, callDataNextMonth[strikeListNextMonth[i]][index].BidV1) * 2; var volumeCall = ComputeMinutelyVolume(callDataNextMonth[strikeListNextMonth[i]], index); var volumePut = ComputeMinutelyVolume(putDataNextMonth[strikeListNextMonth[i]], index); info.minutelyVolume = Math.Min(volumeCall, volumePut) * 2; } else { ask = callDataNextMonth[strikeListNextMonth[i]][index].Ask1; bid = callDataNextMonth[strikeListNextMonth[i]][index].Bid1; var mid = (ask + bid) / 2; info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认购"), 4); info.vega = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0; info.ask = ask; info.askv = callDataNextMonth[strikeListNextMonth[i]][index].AskV1; info.bid = bid; info.bidv = callDataNextMonth[strikeListNextMonth[i]][index].BidV1; info.minutelyVolume = ComputeMinutelyVolume(callDataNextMonth[strikeListNextMonth[i]], index); } sigma2Ask[index] += (2 / T2) * dK / (k * k) * Math.Exp(rate * T2) * ask; sigma2Bid[index] += (2 / T2) * dK / (k * k) * Math.Exp(rate * T2) * bid; nextMonthInfo.Add(info); } sigma2Ask[index] += -1 / T2 * Math.Pow((F / kNextMonth) - 1, 2); sigma2Bid[index] += -1 / T2 * Math.Pow((F / kNextMonth) - 1, 2); sigma2Ask[index] = Math.Sqrt(sigma2Ask[index]); sigma2Bid[index] = Math.Sqrt(sigma2Bid[index]); if (durationThisMonth <= 30) { vixAsk[index] = Math.Sqrt((T1 * Math.Pow(sigma1Ask[index], 2) * (T2 - 30.0 / 365.0) / (T2 - T1) + T2 * Math.Pow(sigma2Ask[index], 2) * (30.0 / 365.0 - T1) / (T2 - T1)) * 365.0 / 30.0); vixBid[index] = Math.Sqrt((T1 * Math.Pow(sigma1Bid[index], 2) * (T2 - 30.0 / 365.0) / (T2 - T1) + T2 * Math.Pow(sigma2Bid[index], 2) * (30.0 / 365.0 - T1) / (T2 - T1)) * 365.0 / 30.0); foreach (var item in thisMonthInfo) { item.coefficient *= T1 * (T2 - 30.0 / 365.0) / (T2 - T1) * 365.0 / 30.0; } foreach (var item in nextMonthInfo) { item.coefficient *= T2 * (30.0 / 365.0 - T1) / (T2 - T1) * 365.0 / 30.0; } } //计算整体的vega,以及盘口的量 double vegaTotal = 0; double number = 0; double percentAskMax = 0; double percentAskMin = 1; double percentBidMax = 0; double percentBidMin = 1; double percentVolumeMax = 0; double percentVolumeMin = 1; if (durationThisMonth > 30) { foreach (var item in thisMonthInfo) { vegaTotal += item.vega * item.coefficient * 10000; } number = cashVega / vegaTotal; foreach (var item in thisMonthInfo) { double percentAsk = item.askv / number; double percentBid = item.bidv / number; double percentVolume = item.minutelyVolume / number; if (percentAsk > percentAskMax) { percentAskMax = percentAsk; } if (percentAsk < percentAskMin) { percentAskMin = percentAsk; } if (percentBid > percentBidMax) { percentBidMax = percentBid; } if (percentBid < percentBidMin) { percentBidMin = percentBid; } if (percentVolume > percentVolumeMax) { percentVolumeMax = percentVolume; } if (percentVolume < percentVolumeMin) { percentVolumeMin = percentVolume; } } } else { foreach (var item in thisMonthInfo) { vegaTotal += item.vega * item.coefficient * 10000; } foreach (var item in nextMonthInfo) { vegaTotal += item.vega * item.coefficient * 10000; } number = cashVega / 2 / vegaTotal; foreach (var item in thisMonthInfo) { double percentAsk = item.askv / number / item.coefficient; double percentBid = item.bidv / number / item.coefficient; double percentVolume = item.minutelyVolume / number; if (percentAsk > percentAskMax) { percentAskMax = percentAsk; } if (percentAsk < percentAskMin) { percentAskMin = percentAsk; } if (percentBid > percentBidMax) { percentBidMax = percentBid; } if (percentBid < percentBidMin) { percentBidMin = percentBid; } if (percentVolume > percentVolumeMax) { percentVolumeMax = percentVolume; } if (percentVolume < percentVolumeMin) { percentVolumeMin = percentVolume; } } foreach (var item in nextMonthInfo) { double percentAsk = item.askv / number / item.coefficient; double percentBid = item.bidv / number / item.coefficient; double percentVolume = item.minutelyVolume / number; if (percentAsk > percentAskMax) { percentAskMax = percentAsk; } if (percentAsk < percentAskMin) { percentAskMin = percentAsk; } if (percentBid > percentBidMax) { percentBidMax = percentBid; } if (percentBid < percentBidMin) { percentBidMin = percentBid; } if (percentVolume > percentVolumeMax) { percentVolumeMax = percentVolume; } if (percentVolume < percentVolumeMin) { percentVolumeMin = percentVolume; } } } dr["tdatetime"] = now; dr["expiredate1"] = expiredate1; dr["expiredate2"] = expiredate2; dr["duration1"] = Math.Round(T1, 6); dr["duration2"] = Math.Round(T2, 6); dr["sigma1Ask"] = Math.Round(sigma1Ask[index] * 100, 4); dr["sigma1Bid"] = Math.Round(sigma1Bid[index] * 100, 4); dr["sigma2Ask"] = Math.Round(sigma2Ask[index] * 100, 4); dr["sigma2Bid"] = Math.Round(sigma2Bid[index] * 100, 4); dr["sigmaAsk"] = Math.Round(vixAsk[index] * 100, 4); dr["sigmaBid"] = Math.Round(vixBid[index] * 100, 4); dr["vegaTotal"] = Math.Round(vegaTotal, 4); dr["number"] = Math.Round(number, 4); dr["percentAskMax"] = Math.Round(percentAskMax, 4); dr["percentAskMin"] = Math.Round(percentAskMin, 4); dr["percentBidMax"] = Math.Round(percentBidMax, 4); dr["percentBidMin"] = Math.Round(percentBidMin, 4); dr["percentVolumeMax"] = Math.Round(percentVolumeMax, 4); dr["percentVolumeMin"] = Math.Round(percentVolumeMin, 4); if (now < date.Date + new TimeSpan(14, 57, 00)) { dt.Rows.Add(dr); } } SaveResultToMssql(date, dt); } }