/// <summary>
/// 两两配对的longdelta期权的筛选
/// </summary>
/// <param name="days"></param>
/// <returns></returns>
private List <LongDeltaPair> getLongDeltaPair(int days)
{
List <LongDeltaPair> pairs = new List <LongDeltaPair>();
double etfUpper = etfPrice * Math.Exp(2 * volSurface[days, 500] * Math.Sqrt(days / 252.0));
double etfLower = etfPrice * Math.Exp(-2 * volSurface[days, 500] * Math.Sqrt(days / 252.0));
//两两循环选择最优配对
foreach (var item1 in optionPrice)
{
OptionGreek option1 = item1.Value;
double price1 = computeFuturePrice(days, option1.code, etfPrice);
foreach (var item2 in optionPrice)
{
OptionGreek option2 = item2.Value;
if (option1.code != option2.code && option1.duration >= days && option2.duration >= days)
{
//选取delta为正的组合开始计算。
LongDeltaPair pair = new LongDeltaPair();
double profit = 0;
double loss = 0;
if (option1.delta > option2.delta)
{
pair.option1 = option1.code;
pair.option2 = option2.code;
pair.mark = Math.Abs(computeMarkOfPairs(option1.code, option2.code, days, etfUpper, etfLower, ref profit, ref loss));
pair.profit = profit;
pair.loss = loss;
}
else
{
pair.option1 = option2.code;
pair.option2 = option1.code;
pair.mark = Math.Abs(computeMarkOfPairs(option2.code, option1.code, days, etfUpper, etfLower, ref profit, ref loss));
pair.profit = profit;
pair.loss = loss;
}
if (pair.profit > 0 && pair.mark > 0.5 && pair.profit / Convert.ToDouble(days) * 252.0 > 1)
{
pairs.Add(pair);
}
}
}
}
return(pairs.OrderBy(f => - f.mark).ToList());
}
/// <summary>
/// 获取期权和50ETF实时快照数据
/// </summary>
/// <param name="optionList"></param>
/// <param name="etfPrice"></param>
/// <returns></returns>
private Dictionary <string, OptionGreek> getOptionPrice(List <OptionInfo> optionList, ref double etfPrice)
{
Dictionary <string, OptionGreek> option = new Dictionary <string, OptionGreek>();
string code = "510050.SH";
for (int i = 0; i < optionList.Count(); i++)
{
OptionGreek greek = new OptionGreek();
greek.code = optionList[i].optionCode;
greek.duration = DateUtils.GetSpanOfTradeDays(today, optionList[i].endDate);
option.Add(greek.code, greek);
code += "," + greek.code;
}
WindData wd = w.wsq(code, "rt_last,rt_ask1,rt_asize1,rt_bid1,rt_bsize1,rt_delta,rt_gamma,rt_vega,rt_theta,rt_imp_volatility", "");
if (wd.data is double[])
{
double[] dataList = (double[])wd.data;
int length = dataList.Length / 10;
etfPrice = dataList[0];
for (int i = 1; i < length; i++)
{
string optionCode = optionList[i - 1].optionCode;
double strike = optionList[i - 1].strike;
OptionGreek greek = option[optionCode];
greek.lastPrice = dataList[i * 10 + 0];
greek.ask = dataList[i * 10 + 1];
greek.askv = dataList[i * 10 + 2];
greek.bid = dataList[i * 10 + 3];
greek.bidv = dataList[i * 10 + 4];
greek.delta = dataList[i * 10 + 5];
greek.gamma = dataList[i * 10 + 6];
greek.vega = dataList[i * 10 + 7];
greek.theta = dataList[i * 10 + 8];
greek.impv = dataList[i * 10 + 9];
greek.coordinate = Math.Round(1000 * Math.Log(strike / etfPrice), 0) + 500;
option[optionCode] = greek;
}
}
return(option);
}
