private void GetStockList()
{
TradeDays myTradeDays = new TradeDays(20130601, 20160626);
int[] changeDate = new int[7] {
20130628, 20131213, 20140613, 20141212, 20150612, 20151211, 20160608
};
w.start();
foreach (int date in changeDate)
{
int today = date;
int tomorrow = TradeDays.GetNextTradeDay(date);
string todayStr = DateTime.ParseExact(today.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
string tomorrowStr = DateTime.ParseExact(tomorrow.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
List <string> todayList = new List <string>();
List <string> tomorrowList = new List <string>();
List <string> stockIn = new List <string>();
List <string> stockOut = new List <string>();
WindData wd = w.wset("sectorconstituent", "date=" + todayStr + ";windcode=" + indexName);
object[] stockList = wd.data as object[];
int num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
todayList.Add(Convert.ToString(stockList[i * 3 + 1]));
}
wd = w.wset("sectorconstituent", "date=" + tomorrowStr + ";windcode=" + indexName);
stockList = wd.data as object[];
num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
tomorrowList.Add(Convert.ToString(stockList[i * 3 + 1]));
}
foreach (string code in tomorrowList)
{
if (todayList.Contains(code) == false)
{
stockIn.Add(code);
}
}
foreach (string code in todayList)
{
if (tomorrowList.Contains(code) == false)
{
stockOut.Add(code);
}
}
stockModifyList myList = new stockModifyList(today, stockIn, stockOut);
changeList.Add(today, myList);
}
}
private void computePosition(int startDate, int endDate)
{
foreach (var item in changeList)
{
if (item.Key < startDate || item.Key > endDate)
{
continue;
}
SortedDictionary <string, List <stockChangeFormat> > stockChangeList = new SortedDictionary <string, List <stockChangeFormat> >();
SortedDictionary <string, SortedDictionary <int, stockDataFormat[]> > stockDataList = new SortedDictionary <string, SortedDictionary <int, stockDataFormat[]> >();
int date = item.Key;
stockModifyList list = item.Value;
List <stockPosition> stockList = new List <stockPosition>();
int firstDate = Math.Max(TradeDays.GetNTradeDaysBefore(date, 15), startDate);
int lastDate = Math.Min(TradeDays.GetNTradeDaysLater(date, 15), endDate);
TradeDays myDays = new TradeDays(firstDate, lastDate);
foreach (string stockIn in list.stockIn)
{
stockPosition stock = new stockPosition();
stock.code = stockIn;
stock.position = 1;
stockList.Add(stock);
}
foreach (string stockOut in list.stockOut)
{
stockPosition stock = new stockPosition();
stock.code = stockOut;
stock.position = -1;
stockList.Add(stock);
}
foreach (stockPosition stock in stockList)
{
GetStockBonus bonus = new GetStockBonus(stock.code, firstDate, lastDate);
GetStockData data = new GetStockData(stock.code, firstDate, lastDate);
stockDataList.Add(stock.code, data.stockData);
stockChangeList.Add(stock.code, bonus.stockChangeList);
}
//先确定权重
Dictionary <string, double> weight = new Dictionary <string, double>();
foreach (int today in myDays.myTradeDays)
{
List <stockPosition> stockListToday = new List <stockPosition>();
foreach (stockPosition stock in stockList)
{
List <stockChangeFormat> myChange = stockChangeList[stock.code];
double position = stock.position;
double cash = stock.cash;
for (int i = 0; i < myChange.Count; i++)
{
if (myChange[i].date <= today && myChange[i].date > firstDate)
{
cash += position * myChange[i].bonus;
position *= myChange[i].divisor;
}
}
stockListToday.Add(new stockPosition(stock.code, today, position, cash));
}
positionList.Add(today, stockListToday);
//计算净值曲线
double[] todayNetValue = new double[14402];//一天分成14402秒
//先计算权重
if (today == firstDate)
{
double stockInNum = 0;
double stockOutNum = 0;
Dictionary <string, double> stockOpen = new Dictionary <string, double>();
foreach (stockPosition myStock in stockListToday)
{
if (stockDataList.ContainsKey(myStock.code) && stockDataList[myStock.code].ContainsKey(today))
{
double[] data = dataModify(stockDataList[myStock.code][today]);
stockOpen.Add(myStock.code, data[0]);
}
else
{
stockOpen.Add(myStock.code, 0);
}
}
foreach (stockPosition myStock in stockListToday)
{
if (myStock.position > 0 && stockOpen[myStock.code] > 0)
{
stockInNum += 1;
}
if (myStock.position < 0 && stockOpen[myStock.code] > 0)
{
stockOutNum += 1;
}
}
foreach (stockPosition myStock in stockListToday)
{
if (myStock.position > 0 && stockOpen[myStock.code] > 0)
{
weight.Add(myStock.code, 1.0 / stockInNum / stockOpen[myStock.code]);
}
if (myStock.position < 0 && stockOpen[myStock.code] > 0)
{
weight.Add(myStock.code, 1.0 / stockOutNum / stockOpen[myStock.code]);
}
}
}
foreach (stockPosition myStock in stockListToday)
{
if (weight.ContainsKey(myStock.code) == false)
{
continue;
}
stockDataFormat[] myStockData = (stockDataList.ContainsKey(myStock.code) && stockDataList[myStock.code].ContainsKey(today))? stockDataList[myStock.code][today]:new stockDataFormat[14402];
double[] data = dataModify(myStockData);
for (int i = 0; i < 14402; i++)
{
todayNetValue[i] += (myStock.position * data[i] + myStock.cash) * weight[myStock.code];
}
}
netValue.Add(today, todayNetValue);
}
}
}
