private void prepare(string code, DateTime startDate, DateTime endDate)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.code = code;
//获取日线数据
var dailyData = stockDailyRepo.GetStockTransactionWithRedis(code, startDate, endDate);
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(code, date, date);
underlyingKLine.Add(date, minuteKLine);
}
foreach (var item in dailyData)
{
var KLines = underlyingKLine[item.DateTime];
foreach (var KLine in KLines)
{
KLine.AdjFactor = item.AdjFactor;
}
}
for (int n = 3; n < 50; n++)
{
var dic = getMA(underlyingKLine, n);
MADic.Add(n, dic);
}
}
//将计算用的数据准备好
private void dataPrepare(string underlyingCode, DateTime startDate, DateTime endDate, int pushForwardDays = 0)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var dayNow = stockDailyRepo.GetStockTransactionWithRedis(underlyingCode, startDate.AddDays(-pushForwardDays), endDate);
if (this.DailyKLine.ContainsKey(underlyingCode))
{
var data = DailyKLine[underlyingCode];
data = dayNow;
}
else
{
DailyKLine.Add(underlyingCode, dayNow);
}
//选取需要获取数据的交易日
List <DateTime> myTradedays = new List <DateTime>();
//从日线上观察波动剧烈的日期，并记录数据
for (int i = 1; i < DailyKLine[underlyingCode].Count(); i++)
{
if (DailyKLine[underlyingCode][i].High / DailyKLine[underlyingCode][i - 1].Close >= 1.07)
{
var today = DailyKLine[underlyingCode][i].DateTime.Date;
if (myTradedays.Contains(today) == false)
{
myTradedays.Add(DailyKLine[underlyingCode][i].DateTime.Date);
}
var nextDay = DateTimeExtension.DateUtils.NextTradeDay(DailyKLine[underlyingCode][i].DateTime.Date).Date;
if (myTradedays.Contains(nextDay) == false)
{
myTradedays.Add(nextDay);
}
}
}
//foreach (var item in DailyKLine[underlyingCode])
//{
// if (item.High / item.Low - 1 > 0.05)
// {
// var today = item.DateTime.Date;
// if (myTradedays.Contains(today)==false)
// {
// myTradedays.Add(item.DateTime.Date);
// }
// var nextDay = DateTimeExtension.DateUtils.NextTradeDay(item.DateTime.Date).Date;
// if (myTradedays.Contains(nextDay)==false)
// {
// myTradedays.Add(nextDay);
// }
// }
//}
//getMinuteData(underlyingCode, myTradedays);
getTickData(underlyingCode, myTradedays);
}
public void getStockDailyData(DateTime startDate, DateTime endDate)
{
var list = stockInfoRepo.GetStockListInfoFromSql();
foreach (var item in list)
{
DateTime startTime = startDate;
DateTime endTime = endDate;
if (startDate < item.IPODate)
{
startTime = item.IPODate;
}
if (endDate > item.DelistDate)
{
endTime = item.DelistDate;
}
var data = stockDailyRepo.GetStockTransactionWithRedis(item.code, startTime, endTime);
Console.WriteLine("code:{0} dailyData form {1} to {2} complete!", item.code, startTime, endTime);
}
}
//将计算用的数据准备好
private void dataPrepare(string underlyingCode, string indexCode, DateTime startDate, DateTime endDate, int N = 20)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.indexCode = indexCode;
this.underlyingCode = underlyingCode;
//获取日线数据
var indexData = stockDailyRepo.GetStockTransactionWithRedis(indexCode, startDate, endDate);
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
var minuteKLine2 = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
indexKLine.Add(date, minuteKLine2);
}
for (int n = 10; n <= 30; n++)
{
Dictionary <DateTime, double> range = new Dictionary <DateTime, double>();
foreach (var date in tradedays)
{
var index = indexKLine[date];
var underlying = underlyingKLine[date];
double HH = 0; //最高价的最高价
double HC = 0; //收盘价的最高价
double LC = 99999; //收盘价的最低价
double LL = 99999; //最低价的最低价
for (int i = 0; i < n; i++)
{
if (index[i].High > HH)
{
HH = index[i].High;
}
if (index[i].Close > HC)
{
HC = index[i].Close;
}
if (index[i].Close < LC)
{
LC = index[i].Close;
}
if (index[i].Low < LL)
{
LL = index[i].Low;
}
}
double rangeNow = Math.Max(HH - LC, HC - LL);
range.Add(date, rangeNow);
}
RangeDic.Add(n, range);
}
}
private Dictionary <DateTime, StockTransaction> getUnderlyingDailyData(DateTime startDate, DateTime endDate)
{
Dictionary <DateTime, StockTransaction> underlyingDailyData = new Dictionary <DateTime, StockTransaction>();
var data = stockDailyRepo.GetStockTransactionWithRedis(underlying, startDate, endDate);
foreach (var item in data)
{
underlyingDailyData.Add(item.DateTime, item);
}
this.underlyingDailyDataList = data;
return(underlyingDailyData);
}
//将计算用的数据准备好
private void dataPrepare(string underlyingCode, DateTime startDate, DateTime endDate, int N = 20)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.underlyingCode = underlyingCode;
//获取日线数据
var underlyingData = stockDailyRepo.GetStockTransactionWithRedis(underlyingCode, startDate, endDate);
for (int n = 1; n <= N; n++)
{
Dictionary <DateTime, double> range = new Dictionary <DateTime, double>();
for (int i = n; i < underlyingData.Count() - 1; i++)
{
double HH = 0; //最高价的最高价
double HC = 0; //收盘价的最高价
double LC = 99999; //收盘价的最低价
double LL = 99999; //最低价的最低价
for (int k = i - n; k <= i - 1; k++)
{
if (underlyingData[k].High > HH)
{
HH = underlyingData[k].High;
}
if (underlyingData[k].Close > HC)
{
HC = underlyingData[k].Close;
}
if (underlyingData[k].Close < LC)
{
LC = underlyingData[k].Close;
}
if (underlyingData[k].Low < LL)
{
LL = underlyingData[k].Low;
}
}
double lastClose = underlyingData[i - 1].Close;
double rangeNow = Math.Max(HH - LC, HC - LL);
range.Add(underlyingData[i].DateTime, rangeNow);
}
RangeDic.Add(n, range);
}
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
}
}
private void dataPrepareAll(string underlyingCode, DateTime startDate, DateTime endDate)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var dayNow = stockDailyRepo.GetStockTransactionWithRedis(underlyingCode, startDate, endDate);
if (this.DailyKLine.ContainsKey(underlyingCode))
{
var data = DailyKLine[underlyingCode];
data = dayNow;
}
else
{
DailyKLine.Add(underlyingCode, dayNow);
}
//选取需要获取数据的交易日
List <DateTime> myTradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
getMinuteData(underlyingCode, myTradedays);
//getTickData(underlyingCode, myTradedays);
}
//将计算用的数据准备好
private void dataPrepare(string underlyingCode, DateTime startDate, DateTime endDate, int N = 20)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.underlyingCode = underlyingCode;
//获取日线数据
var underlyingData = stockDailyRepo.GetStockTransactionWithRedis(underlyingCode, startDate, endDate);
for (int n = 1; n <= N; n++)
{
Dictionary <DateTime, double> vol = new Dictionary <DateTime, double>();
for (int i = n; i < underlyingData.Count() - 1; i++)
{
List <double> openToClose = new List <double>();
for (int j = Math.Max(0, i - n); j < i; j++)
{
if (underlyingData[j].Volume > 0)
{
openToClose.Add(underlyingData[j].Close / underlyingData[j].Open - 1);
}
}
if (openToClose.Count() > n / 2)
{
double volNow = getVol(openToClose);
if (volNow > 0)
{
vol.Add(underlyingData[i].DateTime, volNow);
}
}
}
volDic.Add(n, vol);
}
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
}
}
public void compute(DateTime startDate, DateTime endDate)
{
var startday = DateTimeExtension.DateUtils.PreviousTradeDay(startDate, duration + 1);
var endday = DateTimeExtension.DateUtils.PreviousTradeDay(endDate, duration + 1);
priceList = stockDailyRepo.GetStockTransactionWithRedis(code, startday, endDate);
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
if (priceDic == null || priceDic.Count() == 0)
{
foreach (var item in priceList)
{
priceDic.Add(item.DateTime, item.Close);
}
}
for (int i = 0; i < tradedays.Count() - duration; i++)
{
var call = -getHedgeCost(tradedays[i], tradedays[i + duration], code);
Console.WriteLine("call from {0} to {1} costs {2}!", tradedays[i], tradedays[i + duration], call);
}
}
private void prepare(string underlyingCode, string indexCode, DateTime startDate, DateTime endDate)
{
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取基本信息
this.indexCode = indexCode;
this.underlyingCode = underlyingCode;
//获取日线数据
var indexData = stockDailyRepo.GetStockTransactionWithRedis(indexCode, startDate, endDate);
volatilityDaily = getDailyVolatility(indexData);
//获取分钟线数据
foreach (var date in tradedays)
{
var minuteKLine = stockMinutelyRepo.GetStockTransactionWithRedis(underlyingCode, date, date);
underlyingKLine.Add(date, minuteKLine);
var minuteKLine2 = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
indexKLine.Add(date, minuteKLine2);
}
volatilityMinutely = getMinutelyVolatility(indexKLine, 1);
}
private void DataPreparation(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var etfDaily = stockDailyRepo.GetStockTransactionWithRedis(code, startDate, endDate);
}
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);
//获取日线数据
var underlyingDaily1 = stockDailyRepo.GetStockTransactionWithRedis(code1, tradedays.First(), tradedays.Last());
var underlyingDaily2 = stockDailyRepo.GetStockTransactionWithRedis(code2, tradedays.First(), tradedays.Last());
int length = underlyingDaily1.Count();
double[] y = new double[length];
double[] x = new double[length];
double[] z = new double[length];
double[] alphaList = new double[length];
double[] betaList = new double[length];
double[] cointegrationSequence = new double[length];
//向上穿越下轨1为1，向上穿越中轨为2，向上穿越上轨1为3，
//向下穿越下轨1位-1,向下穿越中轨为-2，向下穿越上轨1为-3，
//向上穿越上轨2为4，向下穿越下轨2为-4，其他为0
double[] signal = new double[length];
List <signalWithTime> signalList = new List <signalWithTime>();
double[] longsignal = new double[length];
double[] shortsignal = new double[length];
int duration = 30;
int duration1 = duration;
double lambda1 = 2;
double lambda2 = 3;
double y0 = underlyingDaily1[0].Close * underlyingDaily1[0].AdjFactor;
double x0 = underlyingDaily2[0].Close * underlyingDaily2[0].AdjFactor;
for (int i = 0; i < tradedays.Count(); i++)
{
if ((i - duration1) >= 0)
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / (underlyingDaily1[i - duration1].Close * underlyingDaily1[i - duration1].AdjFactor);
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / (underlyingDaily2[i - duration1].Close * underlyingDaily2[i - duration1].AdjFactor);
}
else
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / y0;
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / x0;
}
//z[i] = Math.Log(y[i] / x[i]);
z[i] = (y[i]) / (x[i]);
}
var myboll = getBollingerBand(z, duration);
double scale = 0.1;
List <BollingerBandwithPrice> myboll2 = new List <BollingerBandwithPrice>();
for (int i = 0; i < myboll.Length; i++)
{
if (myboll[i] != null)
{
BollingerBandwithPrice boll0 = new BollingerBandwithPrice();
boll0.mean = myboll[i].mean;
boll0.std = myboll[i].std;
boll0.price = z[i];
boll0.time = tradedays[i].Date;
boll0.low2 = boll0.mean - lambda2 * boll0.std;
boll0.low1 = boll0.mean - lambda1 * boll0.std;
boll0.up2 = boll0.mean + lambda2 * boll0.std;
boll0.up1 = boll0.mean + lambda1 * boll0.std;
if (Math.Abs(boll0.price - boll0.mean) <= scale * boll0.std)
{
boll0.area = 0;
}
else if (boll0.price - boll0.mean > scale * boll0.std && boll0.price - boll0.up1 < -scale * boll0.std)
{
boll0.area = 1;
}
else if (Math.Abs(boll0.price - boll0.up1) <= scale * boll0.std)
{
boll0.area = 2;
}
else if (boll0.price - boll0.up1 > scale * boll0.std && boll0.price - boll0.up2 < -scale * boll0.std)
{
boll0.area = 3;
}
else if (Math.Abs(boll0.price - boll0.up2) <= scale * boll0.std)
{
boll0.area = 4;
}
else if (boll0.price - boll0.up2 > scale * boll0.std)
{
boll0.area = 5;
}
else if (boll0.price - boll0.mean < -scale * boll0.std && boll0.price - boll0.low1 > scale * boll0.std)
{
boll0.area = -1;
}
else if (Math.Abs(boll0.price - boll0.low1) <= scale * boll0.std)
{
boll0.area = -2;
}
else if (boll0.price - boll0.low1 < -scale * boll0.std && boll0.price - boll0.low2 > scale * boll0.std)
{
boll0.area = -3;
}
else if (Math.Abs(boll0.price - boll0.low2) <= scale * boll0.std)
{
boll0.area = -4;
}
else if (boll0.price - boll0.low2 < -scale * boll0.std)
{
boll0.area = -5;
}
myboll2.Add(boll0);
}
}
var dt = DataTableExtension.ToDataTable(myboll2);
DataTableExtension.SaveCSV(dt, "E:\\result\\bollinger\\boll.csv");
for (int i = 1; i < length; i++)
{
if (myboll[i - 1] == null || myboll[i - 1].std == 0)
{
signal[i - 1] = 0;
continue;
}
if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
{
signal[i] = signal[i - 1];
continue;
}
double upper1 = myboll[i].mean + lambda1 * myboll[i].std;
double lower1 = myboll[i].mean - lambda1 * myboll[i].std;
double middle = myboll[i].mean;
double upper2 = myboll[i].mean + lambda2 * myboll[i].std;
double lower2 = myboll[i].mean - lambda2 * myboll[i].std;
double upper1Previous = myboll[i - 1].mean + lambda1 * myboll[i - 1].std;
double lower1Previous = myboll[i - 1].mean - lambda1 * myboll[i - 1].std;
double middlePrevious = myboll[i - 1].mean;
double upper2Previous = myboll[i - 1].mean + lambda2 * myboll[i - 1].std;
double lower2Previous = myboll[i - 1].mean - lambda2 * myboll[i - 1].std;
if (z[i] > lower1 && z[i - 1] <= lower1Previous && z[i] < middle)
{
signal[i] = 1;
}
else if (z[i] > middle && z[i - 1] <= middlePrevious && z[i] < upper1)
{
signal[i] = 2;
}
else if (z[i] > upper1 && z[i - 1] <= upper1Previous && z[i] < upper2)
{
signal[i] = 3;
}
else if (z[i] < lower1 && z[i - 1] >= lower1Previous && z[i] > lower2)
{
signal[i] = -1;
}
else if (z[i] < middle && z[i - 1] >= middlePrevious && z[i] > lower1)
{
signal[i] = -2;
}
else if (z[i] < upper1 && z[i - 1] >= upper1Previous && z[i] > middle)
{
signal[i] = -3;
}
else if (z[i] > upper2 && z[i - 1] <= upper2Previous)
{
signal[i] = 4;
}
else if (z[i] < lower2 && z[i - 1] >= lower2Previous)
{
signal[i] = -4;
}
else
{
signal[i] = 0;
}
}
//for (int i = duration+1; i < length; i++)
//{
// if (myboll[i - 1] == null || myboll[i - 1].std == 0)
// {
// signal[i - 1] = 0;
// continue;
// }
// if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
// {
// signal[i] = signal[i - 1];
// continue;
// }
// int j = i - duration;
// //上穿下轨1
// if (myboll2[j-1].area<=-2 && myboll2[j].area==-1)
// {
// double ratio = 0;
// for (int k = j-1; k >j-6; k--)
// {
// if (myboll2[k].area<=-2)
// {
// ratio += 1;
// }
// }
// ratio = ratio / 6;
// if (ratio<0.5)
// {
// signal[i] = 1;
// }
// }
// //上穿中轨
// else if (myboll2[j-1].area==-1 && myboll2[j].area==1)
// {
// signal[i] = 2;
// }
// //上穿上轨1
// else if (myboll2[j - 1].area == 1 && myboll2[j].area == 3)
// {
// signal[i] = 3;
// }
// //下穿下轨1
// else if (myboll2[j - 1].area == -1 && myboll2[j].area == -3)
// {
// signal[i] = -1;
// }
// //下穿中轨
// else if (myboll2[j - 1].area == 1 && myboll2[j].area == -1)
// {
// signal[i] = -2;
// }
// //下穿上轨1
// else if (myboll2[j - 1].area >= 2 && myboll2[j].area == 1)
// {
// double ratio = 0;
// for (int k = j - 1; k > j - 6; k--)
// {
// if (myboll2[k].area >=2)
// {
// ratio += 1;
// }
// }
// ratio = ratio / 6;
// if (ratio < 0.5)
// {
// signal[i] = -3;
// }
// }
// //上穿上轨2
// else if (myboll2[j - 1].area == 3 && myboll2[j].area == 5)
// {
// signal[i] = 4;
// }
// //下穿下轨2
// else if (myboll2[j - 1].area == -3 && myboll2[j].area == -5)
// {
// signal[i] = -4;
// }
// else
// {
// signal[i] = 0;
// }
//}
for (int i = 0; i < length; i++)
{
var signal0 = new signalWithTime();
signal0.signal = signal[i];
signal0.time = tradedays[i].Date;
signalList.Add(signal0);
}
List <OneByOneTransaction> data = new List <OneByOneTransaction>();
List <netvalueDaily> netvalueList = new List <netvalueDaily>();
bollingerBrand1(underlyingDaily1, underlyingDaily2, signal, duration, myboll2, ref data, ref netvalueList);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(netvalueList.Select(s => s.netvalue).ToList());
List <OneByOneTransaction> orderedData = data.OrderByDescending(s => Math.Abs(s.closePrice - s.openPrice)).ToList();
var dt2 = DataTableExtension.ToDataTable(netvalueList);
DataTableExtension.SaveCSV(dt2, "E:\\result\\bollinger\\nv.csv");
var dt3 = DataTableExtension.ToDataTable(data);
DataTableExtension.SaveCSV(dt3, "E:\\result\\bollinger\\transaction.csv");
}
//计算从开始日期到结束日期的对冲成本
private double deltaHedgePerDate(DateTime startDate, DateTime endDate, Dictionary <DateTime, double> vol)
{
double option = 0;
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
int deltaIndex = 220;
//计算历史波动率参数
string hedgeCode = "";
double deltaNow = 0;
double pnl = 0;
double cash = 0;
//按第一天的开盘价确定期初价格和行权价
var stock = stockDailyRepo.GetStockTransactionWithRedis(indexCode, startDate, endDate);
double startPrice = stock[0].Open;
double strike = startPrice;
foreach (var date in tradedays)
{
//获取当日期货合约代码
var list = getSpecialFutureList(date);
//获取当日收盘前标的价格
// var index = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
var index = allData[date][indexCode];
var indexPrice = index[deltaIndex].Close;
double duration = (DateUtils.GetSpanOfTradeDays(date, endDate) + 1 / 12) / 252.0;
//按标的计算收盘前delta值
double deltaTarget = ImpliedVolatilityExtension.ComputeOptionDelta(strike, duration, 0.04, 0, "认沽", vol[date], indexPrice);
//对冲未开仓进行开仓
if (hedgeCode == "")
{
hedgeCode = list.Last().Value.code;
double futurePrice = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += -futurePrice * deltaTarget;
deltaNow = deltaTarget;
}
//如果对冲的合约快到期时，进行移仓操作，移仓到季月合约
if (list.ContainsKey(hedgeCode) && list[hedgeCode].expireDate.Date.AddDays(-7) <= date.Date)
{
double futurePriceFront = allData[date][hedgeCode][deltaIndex + 1].Close;
hedgeCode = list.Last().Value.code;
double futurePriceNext = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += futurePriceFront * deltaNow - futurePriceNext * deltaTarget;
deltaNow = deltaTarget;
}
else if (list.ContainsKey(hedgeCode)) //对冲的合约未到期，继续对冲
{
double futurePrice = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += -futurePrice * (deltaTarget - deltaNow);
deltaNow = deltaTarget;
}
//错误情况
if (list.ContainsKey(hedgeCode) == false && hedgeCode != "")
{
throw new ArgumentOutOfRangeException("对冲选取错误!!");
}
}
//计算最后一天的PNL=cash+期货值的钱+付出去的期权收益
var lastDate = tradedays.Last();
double futureLastPrice = allData[lastDate][hedgeCode][239].Close;
double indexLastPrice = stock.Last().Close;
pnl = -(cash + deltaNow * futureLastPrice - Math.Max(startPrice - indexLastPrice, 0));
option = pnl / startPrice;
return(option);
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily1 = stockDailyRepo.GetStockTransactionWithRedis(code1, tradedays.First(), tradedays.Last());
var underlyingDaily2 = stockDailyRepo.GetStockTransactionWithRedis(code2, tradedays.First(), tradedays.Last());
int duration = 15;
double lambda1 = 2.4;
double trailingParameter = 0.025;
getParameter(tradedays, underlyingDaily1, underlyingDaily2, ref duration, ref lambda1, ref trailingParameter);
int length = underlyingDaily1.Count();
double[] y = new double[length];
double[] x = new double[length];
double[] z = new double[length];
double[] alphaList = new double[length];
double[] betaList = new double[length];
double[] cointegrationSequence = new double[length];
//向上穿越下轨1为1，向上穿越中轨为2，向上穿越上轨1为3，
//向下穿越下轨1位-1,向下穿越中轨为-2，向下穿越上轨1为-3，
//向上穿越上轨2为4，向下穿越下轨2为-4，其他为0
double[] signal = new double[length];
List <signalWithTime> signalList = new List <signalWithTime>();
double[] longsignal = new double[length];
double[] shortsignal = new double[length];
int duration1 = 1000000;
double lambda2 = 2.1;
double y0 = underlyingDaily1[0].Close * underlyingDaily1[0].AdjFactor;
double x0 = underlyingDaily2[0].Close * underlyingDaily2[0].AdjFactor;
for (int i = 0; i < tradedays.Count(); i++)
{
if ((i - duration1) >= 0)
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / (underlyingDaily1[i - duration1].Close * underlyingDaily1[i - duration1].AdjFactor);
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / (underlyingDaily2[i - duration1].Close * underlyingDaily2[i - duration1].AdjFactor);
}
else
{
y[i] = underlyingDaily1[i].Close * underlyingDaily1[i].AdjFactor / y0;
x[i] = underlyingDaily2[i].Close * underlyingDaily2[i].AdjFactor / x0;
}
z[i] = Math.Log(y[i] / x[i]);
}
//计算x,y收益率的相关性
double[] yy = new double[length - 1];
double[] xx = new double[length - 1];
for (int i = 1; i < length; i++)
{
yy[i - 1] = y[i] / y[i - 1] - 1;
xx[i - 1] = x[i] / x[i - 1] - 1;
}
double corr = MathUtility.correlation(y, x);
Console.WriteLine("corr:{0}", corr);
var myboll = getBollingerBand(z, duration);
double scale = 0.1;
List <BollingerBandwithPrice> myboll2 = new List <BollingerBandwithPrice>();
for (int i = 0; i < myboll.Length; i++)
{
if (myboll[i] != null)
{
BollingerBandwithPrice boll0 = new BollingerBandwithPrice();
boll0.mean = myboll[i].mean;
boll0.std = myboll[i].std;
boll0.price = z[i];
boll0.time = tradedays[i].Date;
boll0.low2 = boll0.mean - lambda2 * boll0.std;
boll0.low1 = boll0.mean - lambda1 * boll0.std;
boll0.up2 = boll0.mean + lambda2 * boll0.std;
boll0.up1 = boll0.mean + lambda1 * boll0.std;
if (Math.Abs(boll0.price - boll0.mean) <= scale * boll0.std)
{
boll0.area = 0;
}
else if (boll0.price - boll0.mean > scale * boll0.std && boll0.price - boll0.up1 < -scale * boll0.std)
{
boll0.area = 1;
}
else if (Math.Abs(boll0.price - boll0.up1) <= scale * boll0.std)
{
boll0.area = 2;
}
else if (boll0.price - boll0.up1 > scale * boll0.std && boll0.price - boll0.up2 < -scale * boll0.std)
{
boll0.area = 3;
}
else if (Math.Abs(boll0.price - boll0.up2) <= scale * boll0.std)
{
boll0.area = 4;
}
else if (boll0.price - boll0.up2 > scale * boll0.std)
{
boll0.area = 5;
}
else if (boll0.price - boll0.mean < -scale * boll0.std && boll0.price - boll0.low1 > scale * boll0.std)
{
boll0.area = -1;
}
else if (Math.Abs(boll0.price - boll0.low1) <= scale * boll0.std)
{
boll0.area = -2;
}
else if (boll0.price - boll0.low1 < -scale * boll0.std && boll0.price - boll0.low2 > scale * boll0.std)
{
boll0.area = -3;
}
else if (Math.Abs(boll0.price - boll0.low2) <= scale * boll0.std)
{
boll0.area = -4;
}
else if (boll0.price - boll0.low2 < -scale * boll0.std)
{
boll0.area = -5;
}
myboll2.Add(boll0);
}
}
var dt = DataTableExtension.ToDataTable(myboll2);
DataTableExtension.SaveCSV(dt, "E:\\result\\bollinger\\boll.csv");
for (int i = 1; i < length; i++)
{
if (myboll[i - 1] == null || myboll[i - 1].std == 0)
{
signal[i - 1] = 0;
continue;
}
if (underlyingDaily1[i].TradeStatus != "交易" || underlyingDaily2[i].TradeStatus != "交易")
{
signal[i] = 0;
continue;
}
double upper1 = myboll[i].mean + lambda1 * myboll[i].std;
double lower1 = myboll[i].mean - lambda1 * myboll[i].std;
double middle = myboll[i].mean;
double upper2 = myboll[i].mean + lambda2 * myboll[i].std;
double lower2 = myboll[i].mean - lambda2 * myboll[i].std;
double upper1Previous = myboll[i - 1].mean + lambda1 * myboll[i - 1].std;
double lower1Previous = myboll[i - 1].mean - lambda1 * myboll[i - 1].std;
double middlePrevious = myboll[i - 1].mean;
double upper2Previous = myboll[i - 1].mean + lambda2 * myboll[i - 1].std;
double lower2Previous = myboll[i - 1].mean - lambda2 * myboll[i - 1].std;
if (z[i] > lower1 && z[i - 1] <= lower1Previous && z[i] < middle)
{
signal[i] = 1;
}
else if (z[i] > middle && z[i - 1] <= middlePrevious && z[i] < upper1)
{
signal[i] = 2;
}
else if (z[i] > upper1 && z[i - 1] <= upper1Previous && z[i] < upper2)
{
signal[i] = 3;
}
else if (z[i] < lower1 && z[i - 1] >= lower1Previous && z[i] > lower2)
{
signal[i] = -1;
}
else if (z[i] < middle && z[i - 1] >= middlePrevious && z[i] > lower1)
{
signal[i] = -2;
}
else if (z[i] < upper1 && z[i - 1] >= upper1Previous && z[i] > middle)
{
signal[i] = -3;
}
else if (z[i] > upper2 && z[i - 1] <= upper2Previous)
{
signal[i] = 4;
}
else if (z[i] < lower2 && z[i - 1] >= lower2Previous)
{
signal[i] = -4;
}
else
{
signal[i] = 0;
}
}
for (int i = 0; i < length; i++)
{
var signal0 = new signalWithTime();
signal0.signal = signal[i];
signal0.time = tradedays[i].Date;
signalList.Add(signal0);
}
List <OneByOneTransaction> data = new List <OneByOneTransaction>();
List <netvalueDaily> netvalueList = new List <netvalueDaily>();
bollingerBrand1(underlyingDaily1, underlyingDaily2, signal, duration, myboll2, trailingParameter, ref data, ref netvalueList);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(netvalueList.Select(s => s.netvalue).ToList());
List <OneByOneTransaction> orderedData = data.OrderByDescending(s => Math.Abs(s.closePrice - s.openPrice)).ToList();
var dt2 = DataTableExtension.ToDataTable(netvalueList);
DataTableExtension.SaveCSV(dt2, "E:\\result\\bollinger\\nv.csv");
var dt3 = DataTableExtension.ToDataTable(data);
DataTableExtension.SaveCSV(dt3, "E:\\result\\bollinger\\transaction.csv");
}
public void getMonitorData()
{
List <ConvertibleBondMonitor> recordList = new List <ConvertibleBondMonitor>();
DateTime endDate = DateTime.Now;
if (endDate.TimeOfDay < new TimeSpan(16, 10, 00))
{
endDate = DateTimeExtension.DateUtils.LatestTradeDay(endDate.AddDays(-1));
endDate = endDate.Date;
}
DateTime startDate = endDate.AddDays(-60).Date;
//获取交易日信息
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取可转债信息
this.bondInfo = GetConvertibleBondInfos(endDate);
foreach (var item in bondInfo)//每个可转债进行遍历
{
DateTime startTime = startDate;
DateTime endTime = endDate;
if (startTime < item.startDate)
{
startTime = item.startDate;
}
if (item.startDate > endDate)
{
continue;
}
//获取债券的信息
var bondInfo = getBondDailyInfo(item, endDate);
//获取股票的日线数据
var stockData = stockDailyRepo.GetStockTransactionWithRedis(bondInfo.stockCode, startTime.AddDays(-30), endDate);
//获取债券的日线数据
var bondData = stockDailyRepo.GetStockTransactionWithRedis(bondInfo.code, startTime, endDate);
//找到股票第一个不涨停股票的数据
var nonCeilingStockData = getStartDate(stockData);
var lastStockData = stockData[stockData.Count() - 1];
//找到可转债第一个不涨停的数据
var nonCeilingBondData = getBondDataByDate(bondData, nonCeilingStockData.DateTime);
//计算正股波动率
double volatility = getStockVolatility(stockData);
var nonCeilingOptionPrice = getEstimateOptionPrice(nonCeilingStockData.DateTime, bondInfo, volatility, nonCeilingStockData.Close * nonCeilingStockData.AdjFactor / lastStockData.AdjFactor);
double stockCeilPrice = Math.Round(lastStockData.Close * 1.1, 2);
var ceilingOptionPrice = getEstimateOptionPrice(nonCeilingStockData.DateTime, bondInfo, volatility, stockCeilPrice);
double estimateBondPrice = nonCeilingBondData.Close + 100 / bondInfo.conversionPrice * (ceilingOptionPrice - nonCeilingOptionPrice);
double delta = 1;
double estimateBondPrice2 = nonCeilingBondData.Close + (stockCeilPrice - nonCeilingStockData.Close) * delta * 100 / bondInfo.conversionPrice;
ConvertibleBondMonitor record = new ConvertibleBondMonitor();
record.ceilingStockPrice = stockCeilPrice;
record.code = bondInfo.code;
record.conversionPrice = bondInfo.conversionPrice;
record.estimateCeilingBondPrice = estimateBondPrice;
record.name = bondInfo.name;
record.nonCeilingBondPrice = nonCeilingBondData.Close;
record.nonCeilingStockPrice = nonCeilingStockData.Close;
record.stockCode = bondInfo.stockCode;
record.updateTime = endDate;
record.estimateCeilingBondPrice2 = estimateBondPrice2;
recordList.Add(record);
}
var dt = DataTableExtension.ToDataTable(recordList);
string dateStr = endDate.ToString("yyyy-MM-dd");
string str = string.Format("E:\\result\\bond\\convertibleBond{0}.csv", dateStr);
DataTableExtension.SaveCSV(dt, str);
}
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.GetStockTransactionWithRedis(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 compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//获取日线数据
var underlyingDaily = stockDailyRepo.GetStockTransactionWithRedis(code, tradedays.First(), tradedays.Last());
//获取分钟线数据
foreach (var date in tradedays)
{
var underlyingToday = stockMinutelyRepo.GetStockTransactionWithRedis(code, date, date);
underlying.Add(date, underlyingToday);
minutes = underlyingToday.Count();
underlyingAll.AddRange(underlyingToday);
}
double bestSharpe = 0;
double bestf1 = 0.64;
double bestf2 = 0.48;
double bestf3 = 0.08;
double step = 0.04;
//for (int i = 1; i <= 1/step; i=i+1)
//{
// for (int j = 1; j <= 1 / step; j = j + 1)
// {
// for (int k = 1; k <= 1 / step; k = k + 1)
// {
// double f1 = i * step;
// double f2 = j * step;
// double f3 = k * step;
// double[] netvalue0 = getPerformance(startDate, endDate, tradedays, underlyingDaily, f1, f2, f3);
// var nv = getNetValueCurveDaily(getNetValueDaily(underlyingAll, netvalue0));
// double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv);
// if (sharpe>bestSharpe)
// {
// bestf1 = f1;
// bestf2 = f2;
// bestf3 = f3;
// bestSharpe = sharpe;
// Console.WriteLine("Best parameters:f1={0}, f2={1}, f3={2}, sharpe={3}", f1, f2, f3, sharpe);
// }
// }
// }
//}
double[] netvalue = getPerformance(startDate, endDate, tradedays, underlyingDaily, bestf1, bestf2, bestf3);
var nvDaily = getNetValueDaily(underlyingAll, netvalue);
DataTableExtension.SaveCSV(DataTableExtension.ToDataTable <netvalueDaily>(nvDaily), "E:\\result\\break\\netvalue.csv");
statisticDataOfTransaction(transactionData, tradedays);
double mean = 0;
double num = 0;
for (int i = -5; i <= 5; i = i + 1)
{
for (int j = -5; j <= 5; j = j + 1)
{
for (int k = -5; k <= 5; k = k + 1)
{
double f1 = bestf1 + i * step * 0.25;
double f2 = bestf2 + j * step * 0.25;
double f3 = bestf3 + k * step * 0.25;
if (f1 <= 0 || f2 <= 0 || f3 <= 0)
{
continue;
}
double[] netvalue0 = getPerformance(startDate, endDate, tradedays, underlyingDaily, f1, f2, f3);
var nv = getNetValueCurveDaily(getNetValueDaily(underlyingAll, netvalue0));
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv);
mean += sharpe;
num += 1;
Console.WriteLine("parameters around best:f1={0}, f2={1}, f3={2}, sharpe={3}", f1, f2, f3, sharpe);
}
}
}
Console.WriteLine("mean:{0}", mean / num);
}
public List <StockBonusEstimate> getIndexBonus(DateTime date, string index, List <indexStockInfo> indexStockList)
{
var codeList = getIndexStocks(date, index);
var bonusDic = getStockBonusList(codeList, date);
var bonusDicLastYear = getStockBonusListByYear(bonusDic, date.Year - 1);
var bonusDicThisYear = getStockBonusListByYear(bonusDic, date.Year);
var bonusPlanDic = getStockBonusPlan(codeList, date);
var epsDic = getStockEPSRatio(codeList, date);
//获取当前日期
var now = DateTime.Now.Date;
double indexClose = stockDailyRepo.GetStockTransactionWithRedis(index, date, date)[0].Close;
DateTime lastYearEnd = new DateTime(date.Year - 1, 12, 31);
DateTime thisYearMid = new DateTime(date.Year, 6, 30);
List <StockBonusEstimate> estimateList = new List <StockBonusEstimate>();
foreach (var code in codeList)
{
StockBonusEstimate estimate = new StockBonusEstimate();
double epsRatio = 0;
var bonusLastYear = new List <StockBonusInfo>();
var bonusThisYear = new List <StockBonusInfo>();
var bonusPlan = new List <StockBonusPlan>();
int lastYearNumber = 0;
int thisYearNumber = 0;
if (epsDic.ContainsKey(code))
{
epsRatio = epsDic[code];
}
if (bonusDicLastYear.ContainsKey(code))
{
bonusLastYear = bonusDicLastYear[code];
lastYearNumber = bonusLastYear.Count();
}
if (bonusDicThisYear.ContainsKey(code))
{
bonusThisYear = bonusDicThisYear[code];
thisYearNumber = bonusThisYear.Count();
}
if (bonusPlanDic.ContainsKey(code))
{
bonusPlan = bonusPlanDic[code];
}
//去年无分红
if (lastYearNumber == 0)
{
//按分红公告统计
foreach (var item in bonusThisYear)
{
estimate = new StockBonusEstimate();
estimate.code = item.code;
estimate.secName = item.secName;
estimate.dividend = item.cashPayoutRatio;
estimate.dividendDate = item.exDividendDate;
estimate.status = "去年无分红;分红公告明确";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate <= now)
{
estimate.status += "已分红";
}
estimateList.Add(estimate);
}
//分红无公告的，按分红预案统计
if (thisYearNumber == 0 && bonusPlan.Count > 0)
{
foreach (var item in bonusPlan)
{
estimate = new StockBonusEstimate();
estimate.code = item.code;
estimate.secName = item.name;
estimate.dividend = item.dividend;
estimate.status = "去年无分红;分红预案明确;分红日期未知";
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
estimateList.Add(estimate);
}
}
//既没有分红公告也没有分红预案的，按不分红统计
}
//去年分红一次
else if (lastYearNumber == 1)
{
//先按分红公告统计
foreach (var item in bonusThisYear)
{
estimate = new StockBonusEstimate();
estimate.code = item.code;
estimate.secName = item.secName;
estimate.dividend = item.cashPayoutRatio;
estimate.dividendDate = item.exDividendDate;
estimate.status = "去年分红1次;分红公告明确";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate <= now)
{
estimate.status += "已分红";
}
estimateList.Add(estimate);
}
//有分红公告分红1次的和分红预案比较是否有遗漏的，分红两次的不需要比较
if (thisYearNumber == 1 && bonusPlan.Count > 0)
{
//需要吗？
}
//没有分红公告但是有分红预案的公告，按照分红预案的信息
if (thisYearNumber == 0 && bonusPlan.Count > 0)
{
foreach (var item in bonusPlan)
{
estimate = new StockBonusEstimate();
estimate.code = item.code;
estimate.secName = item.name;
estimate.dividend = item.dividend;
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[0].exDividendDate.AddYears(+1));
estimate.status = "去年分红1次;分红预案明确;分红日期未知";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate < now)
{
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.status = estimate.status + ";对应日期已过分红日期未知";
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
}
estimateList.Add(estimate);
}
}
//没有分红公告也没有分红预案，按照EPS和去年分红信息来估计
if (thisYearNumber == 0 && bonusPlan.Count == 0 && epsRatio > 0)
{
estimate = new StockBonusEstimate();
estimate.code = bonusLastYear[0].code;
estimate.secName = bonusLastYear[0].secName;
estimate.dividend = bonusLastYear[0].cashPayoutRatio * epsRatio;
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[0].exDividendDate.AddYears(+1));
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
estimate.status = "去年分红1次;无公告无预案按eps估计";
if (estimate.dividendDate < now)
{
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.status = estimate.status + ";对应日期已过分红日期未知";
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
}
estimateList.Add(estimate);
}
}
//去年分红两次
else if (lastYearNumber >= 2)
{
int thisyear = 0;
//先按分红公告统计
foreach (var item in bonusThisYear)
{
estimate = new StockBonusEstimate();
estimate.code = item.code;
estimate.secName = item.secName;
estimate.dividend = item.cashPayoutRatio;
estimate.dividendDate = item.exDividendDate;
estimate.status = "去年分红2次;分红公告明确";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate <= now)
{
estimate.status += "已分红";
}
estimateList.Add(estimate);
thisyear += 1;
}
if (bonusThisYear.Count == 0)
{
foreach (var item in bonusPlan)
{
estimate = new StockBonusEstimate();
estimate.code = item.code;
estimate.secName = item.name;
estimate.dividend = item.dividend;
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[0].exDividendDate.AddYears(+1));
estimate.status = "去年分红2次;分红预案明确;分红时间未知";
if (thisyear == 0)
{
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[0].exDividendDate.AddYears(+1));
if (estimate.dividendDate < now)
{
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[1].exDividendDate.AddYears(+1));
estimate.status = estimate.status + ":去年对应的第1次分红日期已过";
}
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
}
else
{
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[1].exDividendDate.AddYears(+1));
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
}
if (estimate.dividendDate < now)
{
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.status = estimate.status + ";对应日期已过分红日期未知";
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
}
estimateList.Add(estimate);
thisyear += 1;
}
}
else if (bonusThisYear.Count == 1)
{
foreach (var item in bonusPlan)
{
estimate = new StockBonusEstimate();
estimate.code = item.code;
estimate.secName = item.name;
estimate.dividend = item.dividend;
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[0].exDividendDate.AddYears(+1));
estimate.status = "去年分红2次;分红预案明确;分红时间未明确";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate < now)
{
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.status = estimate.status + ";对应日期已过分红日期未知";
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
}
estimateList.Add(estimate);
thisyear += 1;
}
}
else if (bonusThisYear.Count == 2)
{
//搞定
}
//利用去年分红数据估计
if (thisyear == 0 && epsRatio > 0)
{
estimate = new StockBonusEstimate();
estimate.code = bonusLastYear[0].code;
estimate.secName = bonusLastYear[0].secName;
estimate.dividend = bonusLastYear[0].cashPayoutRatio * epsRatio;
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[0].exDividendDate.AddYears(+1));
estimate.status = "去年分红2次;按eps估计第1次分红";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate < now)
{
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[1].exDividendDate.AddYears(+1));
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
estimate.status = estimate.status + ":去年对应的第1次分红日期已过";
}
if (estimate.dividendDate < now)
{
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.status = estimate.status + ";对应日期已过分红日期未知";
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
}
estimateList.Add(estimate);
estimate = new StockBonusEstimate();
estimate.code = bonusLastYear[1].code;
estimate.secName = bonusLastYear[1].secName;
estimate.dividend = bonusLastYear[1].cashPayoutRatio * epsRatio;
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[1].exDividendDate.AddYears(+1));
estimate.status = "去年分红2次;按eps估计第2次分红";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate < now)
{
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.status = estimate.status + ";对应日期已过分红日期未知";
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
}
estimateList.Add(estimate);
}
else if (thisyear == 1 && epsRatio > 0)
{
estimate = new StockBonusEstimate();
estimate.code = bonusLastYear[1].code;
estimate.secName = bonusLastYear[1].secName;
estimate.dividend = bonusLastYear[1].cashPayoutRatio * epsRatio;
estimate.dividendDate = DateTimeExtension.DateUtils.PreviousOrCurrentTradeDay(bonusLastYear[1].exDividendDate.AddYears(+1));
estimate.status = "去年分红2次;按eps估计第2次分红";
estimate.shareRegisterDate = DateTimeExtension.DateUtils.LatestTradeDay(estimate.dividendDate.AddDays(-1));
if (estimate.dividendDate < now)
{
estimate.dividendDate = new DateTime(date.Year, 12, 31);
estimate.status = estimate.status + ";对应日期已过分红日期未知";
estimate.shareRegisterDate = new DateTime(date.Year, 12, 31);
}
estimateList.Add(estimate);
}
}
}
//计算具体的指数点
foreach (var item in estimateList)
{
foreach (var stock in indexStockList)
{
if (item.code == stock.code)
{
double points = stock.weight * item.dividend / stock.close * indexClose * 0.01;
item.points = points;
}
}
}
return(estimateList);
}