private ConvertibleBondDailyInfo getBondDailyInfo(ConvertibleBondInfo info, DateTime date)
{
ConvertibleBondDailyInfo data = new ConvertibleBondDailyInfo();
var tempDataTable = windReader.GetDailyDataTable(info.code, "clause_conversion2_swapshareprice,underlyingcode,clause_conversion_2_swapsharestartdate,clause_conversion_2_swapshareenddate", info.startDate, date);
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);
}
for (int i = bondDaily.Count() - 1; i >= 0; i--)
{
if (bondDaily[i].conversionPrice != 0)
{
data = bondDaily[i];
break;
}
}
return(data);
}
private double getEstimateOptionPrice(DateTime today, ConvertibleBondDailyInfo bondInfo, double volatility, double stockPrice)
{
double option = 0;
int days = DateTimeExtension.DateUtils.GetSpanOfTradeDays(today, bondInfo.endDate);
double strike = bondInfo.conversionPrice;
double duration = (double)days / 252.0;
option = ImpliedVolatilityExtension.ComputeOptionPrice(strike, duration, 0.04, 0, "认购", volatility, stockPrice);
return(option);
}
private ConvertibleBondDailyInfo getBondDailyInfo(DateTime date, string code)
{
ConvertibleBondDailyInfo info = new ConvertibleBondDailyInfo();
if (bondDailyInfo.ContainsKey(code) == false)
{
return(info);
}
var data = bondDailyInfo[code];
foreach (var item in data)
{
info = item;
if (item.date.Date == date.Date)
{
break;
}
}
return(info);
}
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);
}
}
}
}