/// <summary>
/// 计算指数。
/// </summary>
/// <returns></returns>
private void CalcIndexKLine()
{
int totalVolume = 0; // 总成交量
decimal totalTurnOver = 0m; // 总成交金额
decimal totalOpenInterest = 0m; //总持仓量
decimal totalSendimentaryMoney = 0m; //总资金沉淀
decimal totalFlowFund = 0m; //总资金流向
decimal totalSpeculateRadio = 0m; //投机度
foreach (USeMarketData marketData in m_componentDic.Values)
{
if (marketData == null)
{
continue;
}
Debug.Assert(marketData != null);
totalVolume += marketData.Volume;
totalTurnOver += marketData.Turnover;
totalOpenInterest += marketData.OpenInterest;
int perSharesContract = GetInstrumentPerSharesContract(marketData.Instrument.InstrumentCode); //合约规模
decimal exchangeLongMarginRatio = GetExchangeLongMarginRatio(marketData.Instrument.InstrumentCode); //保证金
totalSendimentaryMoney += marketData.OpenInterest * marketData.LastPrice * perSharesContract * exchangeLongMarginRatio; //资金沉淀
//if (GetName(marketData.Instrument.InstrumentCode) == "ZC")
//{
// string str = string.Format("InsName:{0} ,OpenInterest:{1} ,LastPrice:{2} ,perSharesContract:{3},exchangeLongMarginRatio:{4},totalSendimentaryMoney:{5}",
// marketData.Instrument.InstrumentCode, marketData.OpenInterest, marketData.LastPrice, perSharesContract, exchangeLongMarginRatio, totalSendimentaryMoney);
//m_eventLogger.WriteError(str);
//}
if (marketData.OpenInterest != 0m)
{
totalSpeculateRadio = marketData.Volume / marketData.OpenInterest;//投机度= 成交量/总持仓
}
else
{
totalSpeculateRadio = 0m;//投机度= 成交量/总持仓
}
}
decimal indexValue = 0m;
if (totalOpenInterest > 0)
{
foreach (USeMarketData marketData in m_componentDic.Values)
{
if (marketData == null)
{
continue;
}
indexValue += (marketData.LastPrice * marketData.OpenInterest / totalOpenInterest);
}
indexValue = USeMath.Round(indexValue, m_product.PriceTick);
}
if (indexValue <= 0)
{
return;
}
if (m_kLine.Open <= 0m)
{
m_kLine.Open = indexValue;
}
if (m_kLine.High < indexValue)
{
m_kLine.High = indexValue;
}
if (m_kLine.Low <= 0m)
{
m_kLine.Low = indexValue;
}
else if (m_kLine.Low < indexValue)
{
m_kLine.Low = indexValue;
}
m_kLine.Close = indexValue;
m_kLine.Volumn = totalVolume;
m_kLine.Turnover = totalTurnOver;
m_kLine.OpenInterest = totalOpenInterest;
m_kLine.SendimentaryMoney = totalSendimentaryMoney;
m_kLine.SpeculateRadio = totalSpeculateRadio;//指数投机度
//[yangming]有问题，待确定合适算法吧
if (m_kLine.PreSettlementPrice <= 0)
{
bool isReady = true;
foreach (USeMarketData marketData in m_componentDic.Values)
{
if (marketData == null || marketData.PreSettlementPrice <= 0)
{
isReady = false;
break;
}
}
if (isReady)
{
decimal totalPreOpenInterest = 0m;
foreach (USeMarketData marketData in m_componentDic.Values)
{
Debug.Assert(marketData != null);
if (marketData == null)
{
continue;
}
totalPreOpenInterest += marketData.PreOpenInterest;
}
if (totalPreOpenInterest > 0)
{
//计算昨日结算价
decimal preSettelentPrice = 0m;
foreach (USeMarketData marketData in m_componentDic.Values)
{
if (marketData == null)
{
continue;
}
preSettelentPrice += marketData.PreSettlementPrice * marketData.PreOpenInterest / totalPreOpenInterest;
}
preSettelentPrice = USeMath.Round(preSettelentPrice, m_product.PriceTick);
m_kLine.PreSettlementPrice = preSettelentPrice;
}
}
}
if (m_kLine.SettlementPrice <= 0)
{
bool isReady = true;
foreach (USeMarketData marketData in m_componentDic.Values)
{
if (marketData == null || marketData.SettlementPrice <= 0)
{
isReady = false;
break;
}
}
if (isReady)
{
decimal indexSettlemetPrice = 0m;
foreach (USeMarketData marketData in m_componentDic.Values)
{
Debug.Assert(marketData != null);
if (marketData == null)
{
continue;
}
indexSettlemetPrice = marketData.SettlementPrice * marketData.OpenInterest / totalOpenInterest;
}
indexSettlemetPrice = USeMath.Round(indexSettlemetPrice, m_product.PriceTick);
m_kLine.SettlementPrice = indexSettlemetPrice;
}
}
}
/// <summary>
/// 计算指数。
/// </summary>
/// <returns></returns>
private void CalcIndexKLine()
{
int totalVolume = 0; // 总成交量
decimal totalTurnOver = 0m; // 总成交金额
decimal totalOpenInterest = 0m; //总持仓量
decimal totalSendimentaryMoney = 0m; //总资金撤
decimal totalFlowFund = 0m; //总资金流向
foreach (USeMarketData marketData in m_componentDic.Values)
{
if (marketData == null)
{
continue;
}
Debug.Assert(marketData != null);
totalVolume += marketData.Volume;
totalTurnOver += marketData.Turnover;
totalOpenInterest += marketData.OpenInterest;
int perSharesContract = GetInstrumentPerSharesContract(marketData.Instrument.InstrumentCode); //合约规模
decimal exchangeLongMarginRatio = GetExchangeLongMarginRatio(marketData.Instrument.InstrumentCode); //保证金
totalSendimentaryMoney += marketData.OpenInterest * marketData.LastPrice * perSharesContract * exchangeLongMarginRatio; //资金沉淀
}
decimal indexValue = 0m;
if (totalOpenInterest > 0)
{
foreach (USeMarketData marketData in m_componentDic.Values)
{
if (marketData == null)
{
continue;
}
indexValue += marketData.LastPrice * marketData.OpenInterest / totalOpenInterest;
}
indexValue = USeMath.Round(indexValue, m_product.PriceTick);
}
if (indexValue <= 0)
{
return;
}
if (m_kLine.Open <= 0m)
{
m_kLine.Open = indexValue;
}
if (m_kLine.High < indexValue)
{
m_kLine.High = indexValue;
}
if (m_kLine.Low <= 0m)
{
m_kLine.Low = indexValue;
}
else if (m_kLine.Low < indexValue)
{
m_kLine.Low = indexValue;
}
m_kLine.Close = indexValue;
m_kLine.Volumn = totalVolume;
m_kLine.Turnover = totalTurnOver;
m_kLine.OpenInterest = totalOpenInterest;
}
