public List <EquityIndustry> GetIndustryList(DataTable dtIndustryInfo)
{
//==================================================================================================
//Wind字段名
//s_info_indexcode, industriescode, industriesname
//==================================================================================================
try
{
List <EquityIndustry> industryList = new List <EquityIndustry>();
if (dtIndustryInfo != null && dtIndustryInfo.Rows.Count > 0)
{
foreach (DataRow oRow in dtIndustryInfo.Rows)
{
EquityIndustry industry = new EquityIndustry();
foreach (DataColumn oCol in dtIndustryInfo.Columns)
{
switch (oCol.ColumnName.ToLower())
{
case DBConsts.C_Mkt_ColumnName_SWIndustryIndexCode:
industry.SWIndustryIndex = oRow[oCol].ToString();
break;
case DBConsts.C_Mkt_ColumnName_IndustryName:
industry.SWIndustryName = oRow[oCol].ToString();
break;
default:
break;
}
}
industryList.Add(industry);
}
}
return(industryList);
}
catch (Exception ex)
{
throw ex;
}
}
public int CompareTo(object obj)
{
try
{
//Order by pctof_equity Desc
EquityIndustry ind = (EquityIndustry)obj;
if (this.PortfolioWeight > ind.PortfolioWeight)
{
return(-1);
}
else
{
return(1);
}
}
catch (Exception ex)
{
throw ex;
}
}
public void UpdateEquityByMarket(List <AssetPosition> equityList, List <EquityPrice> priceList, List <AssetPosition> capitalList)
{
#region Loop Position
for (int i = 0; i < EquityPositionList.Count; i++)
{
string windcode = EquityPositionList[i].WindCode;
//==========================
//Industry
//==========================
#region Update Industry
if (equityList != null && equityList.Count > 0)
{
int idxEquity = equityList.FindIndex(delegate(AssetPosition e) { return(e.WindCode == windcode); });
if (idxEquity >= 0)
{
EquityPositionList[i].Name = equityList[idxEquity].Name;
EquityPositionList[i].SWIndustryName = equityList[idxEquity].SWIndustryName;
EquityPositionList[i].SWIndustryIndex = equityList[idxEquity].SWIndustryIndex;
//update industry list
int idxIndustry = EquityIndustryList.FindIndex(delegate(EquityIndustry ind) { return(ind.SWIndustryIndex == EquityPositionList[i].SWIndustryIndex); });
if (idxIndustry >= 0)
{
EquityIndustryList[idxIndustry].PortfolioWeight += EquityPositionList[i].Pctof_Portfolio;
EquityIndustryList[idxIndustry].HoldingMarketValue += EquityPositionList[i].HoldingMarketValue;
}
else
{
EquityIndustry industry = new EquityIndustry();
industry.SWIndustryName = EquityPositionList[i].SWIndustryName;
industry.SWIndustryIndex = EquityPositionList[i].SWIndustryIndex;
industry.PortfolioWeight = EquityPositionList[i].Pctof_Portfolio;
industry.HoldingMarketValue = EquityPositionList[i].HoldingMarketValue;
EquityIndustryList.Add(industry);
}
}
}
#endregion
//==========================
//Prices
//==========================
#region Update Prices
if (priceList != null && priceList.Count > 0)
{
int idxPrice = priceList.FindIndex(delegate(EquityPrice p) { return(p.WindCode == windcode && p.TradeDate == this.ReportDate); });
if (idxPrice >= 0)
{
EquityPositionList[i].TradingVolume = priceList[idxPrice].Volume;
EquityPositionList[i].Price.AdjustedClose = priceList[idxPrice].AdjustedClose;
EquityPositionList[i].Price.Close = priceList[idxPrice].Close;
EquityPositionList[i].Price.AdjustedAverage = priceList[idxPrice].AdjustedAverage;
EquityPositionList[i].Price.Average = priceList[idxPrice].Average;
if (EquityPositionList[i].TradingVolume > 0)
{
EquityPositionList[i].LiquidityCycle = EquityPositionList[i].HoldingQuantity / EquityPositionList[i].TradingVolume;
}
//调整特殊值
if (EquityPositionList[i].Price.Close == 0)
{
EquityPositionList[i].Price.Close = priceList[idxPrice].PreClose;
}
if (EquityPositionList[i].Price.Average == 0)
{
EquityPositionList[i].Price.Average = EquityPositionList[i].Price.Close;
}
if (EquityPositionList[i].Price.AdjustedAverage == 0)
{
EquityPositionList[i].Price.AdjustedAverage = EquityPositionList[i].Price.AdjustedClose;
}
}
}
#endregion
//==========================
//Capital
//==========================
if (capitalList != null && capitalList.Count > 0)
{
int idxCapital = capitalList.FindIndex(delegate(AssetPosition p) { return(p.Code == windcode); });
if (idxCapital >= 0)
{
EquityPositionList[i].FreefloatCapital = capitalList[idxCapital].FreefloatCapital;
}
}
}
#endregion
}
public void BuildBenchmarkComponents(List <AssetPosition> indexComponentWeightList, List <EquityPrice> equityPriceList)
{
_BenchmarkPositionList = indexComponentWeightList;
//计算各成分股回报
foreach (AssetPosition p in _BenchmarkPositionList)
{
try
{
//计算个股回报
double pxStart = 0, pxEnd = 0;
//选择日期范围并降序排列（为了消除非交易日无数据的影响）
List <EquityPrice> selectedPriceList = equityPriceList.FindAll(delegate(EquityPrice e) { return(e.WindCode == p.Code && e.TradeDate >= this.ReportStartDate && e.TradeDate <= this.ReportEndDate); });
selectedPriceList.Sort();
if (selectedPriceList.Count == 0)
{
pxStart = 0;
}
else
{
pxStart = selectedPriceList[selectedPriceList.Count - 1].AdjustedClose; //期初复权价 //不用担心停牌，停牌会有前期价格
pxEnd = selectedPriceList[0].AdjustedClose; //期末复权价
}
if (pxStart == 0)
{
p.TotalReturnPct = 0;
}
else
{
p.TotalReturnPct = (pxEnd / pxStart - 1);
}
//计算行业权重及行业平均回报
int industryIndex = _BenchmarkIndustryList.FindIndex(delegate(EquityIndustry ind) { return(ind.SWIndustryIndex == p.SWIndustryIndex); });
if (industryIndex < 0)
{
EquityIndustry newInd = new EquityIndustry();
newInd.SWIndustryName = p.SWIndustryName;
newInd.SWIndustryIndex = p.SWIndustryIndex;
newInd.PortfolioWeight = p.Pctof_Portfolio;
_BenchmarkIndustryList.Add(newInd);
}
else
{
_BenchmarkIndustryList[industryIndex].PortfolioWeight += p.Pctof_Portfolio;
}
}
catch (Exception ex)
{
throw ex;
}
}
//计算行业回报
foreach (AssetPosition p in _BenchmarkPositionList)
{
int industryIndex = _BenchmarkIndustryList.FindIndex(delegate(EquityIndustry ind) { return(ind.SWIndustryIndex == p.SWIndustryIndex); });
if (industryIndex >= 0)
{
_BenchmarkIndustryList[industryIndex].ReturnPct += p.Pctof_Portfolio / _BenchmarkIndustryList[industryIndex].PortfolioWeight * p.TotalReturnPct;
}
}
}