public IncrementData(DataFromDB data_from_db)
{
this.ActiveDays = data_from_db.ActiveDays;
Init(data_from_db);
}
public Weight(
DataFromDB data_from_db,
RangeData rng_data,
VolData vol_data)
{
this.ActiveDays = data_from_db.ActiveDays;
this.KospiBasic = new SortedList<DateTime, double>();
this.KospiPriceBoost = new SortedList<DateTime, double>();
this.KospiVolBoost = new SortedList<DateTime, double>();
this.KospiWeight = new SortedList<DateTime, double>();
this.KtbWeight = new SortedList<DateTime, double>();
this.UsdkrwWeight = new SortedList<DateTime, double>();
this.KospiVolAdjustedWeight = new SortedList<DateTime, double>();
this.KtbVolAdjustedWeight = new SortedList<DateTime, double>();
this.UsdkrwVolAdjustedWeight = new SortedList<DateTime, double>();
foreach (DateTime cur_dt in this.ActiveDays.Keys)
{
if (rng_data.Ktb.ContainsKey(cur_dt))
{
double bond_pos = rng_data.Ktb[cur_dt];
double bond_reverse = 1.0 - bond_pos;
double basic_weight = bond_reverse *
(100 - MacroAAMagicNumber.AGE) / 100;
if (rng_data.Kospi.ContainsKey(cur_dt))
{
double kospi_pos = rng_data.Kospi[cur_dt];
double kospi_price_boost = 1.5 - kospi_pos;
if (vol_data.Kospi.ContainsKey(cur_dt))
{
double kospi_vol_boost = MacroAAMagicNumber.KOSPI_VOL_PIVOT +
1 - vol_data.Kospi[cur_dt];
double kospi_weight = basic_weight * kospi_price_boost *
kospi_vol_boost;
if (rng_data.Usdkrw.ContainsKey(cur_dt))
{
double usdkrw_pos = rng_data.Usdkrw[cur_dt];
double usdkrw_weight = bond_pos *
MacroAAMagicNumber.USDKRW_MAX_WEIGHT * (1.0 - usdkrw_pos);
double bond_weight = 1.0 - kospi_weight - usdkrw_weight;
this.KospiBasic.Add(cur_dt, basic_weight);
this.KospiPriceBoost.Add(cur_dt, kospi_price_boost);
this.KospiVolBoost.Add(cur_dt, kospi_vol_boost);
this.KospiWeight.Add(cur_dt, kospi_weight);
this.UsdkrwWeight.Add(cur_dt, usdkrw_weight);
this.KtbWeight.Add(cur_dt, bond_weight);
double bond_weight_per_vol =
bond_weight / MacroAAMagicNumber.BOND_VOL_PIVOT;
double kospi_weight_per_vol =
kospi_weight / MacroAAMagicNumber.KOSPI_VOL_PIVOT;
double usdkrw_weight_per_vol =
usdkrw_weight / MacroAAMagicNumber.USDKRW_VOL_PIVOT;
double weight_per_vol_sum = bond_weight_per_vol +
kospi_weight_per_vol + usdkrw_weight_per_vol;
double bond_vol_adj_weight =
bond_weight_per_vol / weight_per_vol_sum;
double kospi_vol_adj_weight =
kospi_weight_per_vol / weight_per_vol_sum;
double usdkrw_vol_adj_weight =
usdkrw_weight_per_vol / weight_per_vol_sum;
this.KospiVolAdjustedWeight.Add(cur_dt, kospi_vol_adj_weight);
this.KtbVolAdjustedWeight.Add(cur_dt, bond_vol_adj_weight);
this.UsdkrwVolAdjustedWeight.Add(cur_dt, usdkrw_vol_adj_weight);
//logger.Info("{0} - [{1:n2} - {2:n2} - {3:n2}] - " +
// "[{4:n2} - {5:n2} - {6:n2}] - [{7:n2} - {8:n2} - {9:n2}]",
// cur_dt,
// bond_weight,
// kospi_weight,
// usdkrw_weight,
// bond_weight_per_vol,
// kospi_weight_per_vol,
// usdkrw_weight_per_vol,
// bond_vol_adj_weight,
// kospi_vol_adj_weight,
// usdkrw_vol_adj_weight);
}
}
}
}
}
}
public VolData(DataFromDB data_from_db, IncrementData inc_data)
{
this.ActiveDays = data_from_db.ActiveDays;
SetKospiVolData(inc_data);
}
public RangeData(DataFromDB data_from_db)
{
this.ActiveDays = data_from_db.ActiveDays;
this.Kospi = SetRangeData(
MacroAAMagicNumber.KOSPI_PRICE_MAX,
MacroAAMagicNumber.KOSPI_PRICE_MIN,
data_from_db.Kospi);
this.Ktb = SetRangeData(
MacroAAMagicNumber.BOND_RATE_MAX,
MacroAAMagicNumber.BOND_RATE_MIN,
data_from_db.Ktb);
this.Usdkrw = SetRangeData(
MacroAAMagicNumber.USDKRW_PRICE_MAX,
MacroAAMagicNumber.USDKRW_PRICE_MIN,
data_from_db.Usdkrw);
}
DataFromDB LoadDataFromDB(MacroSpotData last_data, int limit)
{
DBManager manager = new DBManager();
MySqlConnection con = manager.OpenConnection(Const.DATABASE_NAME);
SortedList<DateTime, double> kospi_data =
LoadDataFromDB_Raw(con, "KOSPI Index", limit);
SortedList<DateTime, double> ktb_data =
LoadDataFromDB_Raw(con, "KWNDF3 CMPN CURNCY", limit);
SortedList<DateTime, double> usdkrw_data =
LoadDataFromDB_Raw(con, "USDKRW Curncy", limit);
SortedList<DateTime, double> kospi_future_data =
LoadDataFromDB_Raw(con, "KM1 R:00_0_R Index", limit);
SortedList<DateTime, double> ktb_future_data =
LoadDataFromDB_Raw(con, "KE1 R:00_0_R Comdty", limit);
SortedList<DateTime, double> usdkrw_future_data =
LoadDataFromDB_Raw(con, "KU1 R:00_0_R Curncy", limit);
SortedList<DateTime, double> active_days =
new SortedList<DateTime, double>();
active_days = GetActiveDays(kospi_data, ktb_data);
active_days = GetActiveDays(active_days, usdkrw_data);
active_days = GetActiveDays(active_days, kospi_future_data);
active_days = GetActiveDays(active_days, ktb_future_data);
active_days = GetActiveDays(active_days, usdkrw_future_data);
DataFromDB output = new DataFromDB();
output.ActiveDays = active_days;
output.Kospi = kospi_data;
output.Ktb = ktb_data;
output.Usdkrw = usdkrw_data;
output.KospiFuture = kospi_future_data;
output.KtbFuture = ktb_future_data;
output.UsdkrwFuture = usdkrw_future_data;
if (last_data != null)
{
DateTime key = last_data.CurDateTime;
output.ActiveDays.Add(key, 0);
output.Kospi.Add(key, last_data.KospiPrice);
output.KospiFuture.Add(key, last_data.KospiFuturePrice);
output.Ktb.Add(key, last_data.BondRate);
output.KtbFuture.Add(key, last_data.BondFuturePrice);
output.Usdkrw.Add(key, last_data.UsdkrwPrice);
output.UsdkrwFuture.Add(key, last_data.UsdkrwFuturePrice);
}
con.Close();
return output;
}
void Init(DataFromDB data_from_db)
{
this.Kospi = Init_Raw(data_from_db.Kospi);
this.Ktb = Init_Raw(data_from_db.Ktb);
this.Usdkrw = Init_Raw(data_from_db.Usdkrw);
this.KospiFuture = Init_Raw(data_from_db.KospiFuture);
this.KtbFuture = Init_Raw(data_from_db.KtbFuture);
this.UsdkrwFuture = Init_Raw(data_from_db.UsdkrwFuture);
}