/// <summary>
/// 根据计算规则获取当日交易日的股指期货列表
/// </summary>
/// <param name="date"></param>
/// <returns></returns>
private Dictionary <string, CFEFutures> getFutureList(DateTime date)
{
var number = 3; //3为选择3个合约，4为选择4个合约
List <CFEFutures> list = new List <CFEFutures>();
List <DateTime> dateList = new List <DateTime>();
Dictionary <string, CFEFutures> dic = new Dictionary <string, CFEFutures>();
var expireDateOfThisMonth = DateUtils.NextOrCurrentTradeDay(DateUtils.GetThirdFridayOfMonth(date.Year, date.Month));
if (date > expireDateOfThisMonth)
{
date = DateUtils.GetFirstDateOfNextMonth(date);
}
dateList.Add(date);
var date2 = DateUtils.GetFirstDateOfNextMonth(date);
dateList.Add(date2);
var date3 = DateUtils.GetLastDateOfThisSeason(date2);
if (date3.Month == date2.Month)
{
date3 = DateUtils.GetFirstDateOfNextMonth(date3);
date3 = DateUtils.GetLastDateOfThisSeason(date3);
}
dateList.Add(date3);
var date4 = DateUtils.GetLastDateOfThisSeason(DateUtils.GetFirstDateOfNextMonth(date3));
dateList.Add(date4);
for (int i = 0; i < number; i++)
{
date = dateList[i];
var future = new CFEFutures();
string year = date.Year.ToString();
year = year.Substring(year.Length - 2, 2);
string month = "0" + date.Month.ToString();
month = month.Substring(month.Length - 2, 2);
future.code = code + year + month + ".CFE";
future.expireDate = DateUtils.NextOrCurrentTradeDay(DateUtils.GetThirdFridayOfMonth(date.Year, date.Month));
list.Add(future);
}
foreach (var item in list)
{
dic.Add(item.code, item);
}
return(dic);
}
public void compute(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var choice = new Dictionary <DateTime, List <CFEFuturesChoice> >();
string myHoldStr = "";
var tradeRecord = new List <CFEFuturesTradeRecord>();
var parameters = startDate.ToShortDateString() + '_' + endDate.ToShortDateString() + "_treshold" + treshold.ToString() + "_slip" + slip.ToString();
if (!ExistInSqlServer(code, parameters))
{
CreateDBOrTableIfNecessary(code, parameters);
}
DataTable dt = new DataTable();
dt.Columns.Add("code");
dt.Columns.Add("tdatetime", typeof(DateTime));
dt.Columns.Add("expiredate", typeof(DateTime));
dt.Columns.Add("indexPrice");
dt.Columns.Add("price");
dt.Columns.Add("annulizedBasis");
foreach (var date in tradedays)
{
var list = getFutureList(date);
var index = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
var dataList = new Dictionary <string, List <StockTransaction> >();
var holdNow = new CFEFutures();
var choiceToday = new List <CFEFuturesChoice>();
if (myHoldStr != "")
{
holdNow = list[myHoldStr];
}
foreach (var item in list)
{
var data = stockMinutelyRepo.GetStockTransactionWithRedis(item.Key, date, date);
dataList.Add(item.Key, data);
}
for (int i = 5; i < 235; i++)
{
DateTime expireDate = new DateTime();
CFEFuturesChoice record = new CFEFuturesChoice();
double basis = -10000;
if (myHoldStr == "")
{
var transaction = new CFEFuturesTradeRecord();
foreach (var item in list)
{
double basisNow = getAnuualizedBasis(item.Value, date, dataList[item.Value.code][i].Close, index[i].Close);
if (basisNow > basis)
{
holdNow = item.Value;
basis = basisNow;
expireDate = item.Value.expireDate;
myHoldStr = item.Key;
transaction.code = item.Key;
transaction.indexPrice = index[i].Close;
transaction.price = dataList[item.Value.code][i].Close;
transaction.time = index[i].DateTime;
transaction.direction = -1;
transaction.expireDate = item.Value.expireDate;
}
}
//第一次开仓
tradeRecord.Add(transaction);
}
else
{
double modify = 0;
var closeRecord = new CFEFuturesTradeRecord();
var transaction = new CFEFuturesTradeRecord();
var latestBasis = tradeRecord.Last().price - tradeRecord.Last().indexPrice;
var latestTime = tradeRecord.Last().time;
var latestExpireDate = tradeRecord.Last().expireDate;
var latestAnnulizedBasis = getAnuualizedBasis2(latestBasis, latestTime, latestExpireDate);
closeRecord.time = index[i].DateTime;
closeRecord.indexPrice = index[i].Close;
closeRecord.direction = 1;
closeRecord.code = holdNow.code;
closeRecord.price = dataList[holdNow.code][i].Close;
closeRecord.expireDate = holdNow.expireDate;
basis = getAnuualizedBasis(holdNow, date, dataList[holdNow.code][i].Close, index[i].Close);
foreach (var item in list)
{
if (item.Value != holdNow)
{
modify = slip;
}
double basisNow = getAnuualizedBasis(item.Value, date, dataList[item.Value.code][i].Close - modify, index[i].Close);
double annulizedBasisNow = getAnuualizedBasis2(dataList[item.Value.code][i].Close - modify + latestBasis - dataList[holdNow.code][i].Close, latestTime, item.Value.expireDate);
if ((annulizedBasisNow > latestAnnulizedBasis + treshold && DateUtils.GetSpanOfTradeDays(date, item.Value.expireDate) > 10) || DateUtils.GetSpanOfTradeDays(date, holdNow.expireDate) < 5)
//if (DateUtils.GetSpanOfTradeDays(date, holdNow.expireDate) < 5)
{
holdNow = item.Value;
basis = basisNow;
expireDate = item.Value.expireDate;
myHoldStr = item.Key;
transaction.code = item.Key;
transaction.indexPrice = index[i].Close;
transaction.price = dataList[item.Value.code][i].Close;
transaction.time = index[i].DateTime;
transaction.direction = -1;
transaction.expireDate = expireDate;
}
}
if (transaction.code != null)
{
tradeRecord.Add(closeRecord);
tradeRecord.Add(transaction);
}
}
record.code = holdNow.code;
record.expireDate = holdNow.expireDate;
record.annulizedBasis = basis;
record.indexPrice = index[i].Close;
record.price = dataList[holdNow.code][i].Close;
choiceToday.Add(record);
DataRow dr = dt.NewRow();
dr["code"] = record.code;
dr["tdatetime"] = index[i].DateTime;//etf[i].TransactionDateTime;
dr["expiredate"] = record.expireDate;
dr["indexPrice"] = record.indexPrice;
dr["price"] = record.price;
dr["annulizedBasis"] = record.annulizedBasis;
dt.Rows.Add(dr);
}
choice.Add(date, choiceToday);
}
var pnl = getPnL(tradeRecord);
var netValue = getNetValue(tradeRecord, tradedays);
Console.WriteLine(pnl);
SaveResultToMssql(dt, code, parameters);
DataTable dt2 = new DataTable();
dt2.Columns.Add("code");
dt2.Columns.Add("tdatetime", typeof(DateTime));
dt2.Columns.Add("expiredate", typeof(DateTime));
dt2.Columns.Add("indexPrice");
dt2.Columns.Add("price");
dt2.Columns.Add("direction");
for (int i = 0; i < tradeRecord.Count(); i++)
{
DataRow dr = dt2.NewRow();
var record = tradeRecord[i];
dr["code"] = record.code;
dr["tdatetime"] = record.time;
dr["expiredate"] = record.expireDate;
dr["indexPrice"] = record.indexPrice;
dr["price"] = record.price;
dr["direction"] = record.direction;
dt2.Rows.Add(dr);
}
if (!ExistInSqlServer2(code, parameters))
{
CreateDBOrTableIfNecessary2(code, parameters);
}
SaveResultToMssql2(dt2, code, parameters);
DataTable dt3 = new DataTable();
dt3.Columns.Add("code");
dt3.Columns.Add("tdatetime", typeof(DateTime));
dt3.Columns.Add("expiredate", typeof(DateTime));
dt3.Columns.Add("basis");
dt3.Columns.Add("annulizedBasis");
dt3.Columns.Add("basisWithSlip");
dt3.Columns.Add("annulizedBasisWithSlip");
for (int i = 0; i < netValue.Count(); i++)
{
DataRow dr = dt3.NewRow();
var record = netValue[i];
dr["code"] = record.code;
dr["tdatetime"] = record.time;
dr["expiredate"] = record.expireDate;
dr["basis"] = record.basis;
dr["annulizedBasis"] = record.annulizedBasis;
dr["basisWithSlip"] = record.basisWithSlip;
dr["annulizedBasisWithSlip"] = record.annulizedBasisWithSlip;
dt3.Rows.Add(dr);
}
if (!ExistInSqlServer3(code, parameters))
{
CreateDBOrTableIfNecessary3(code, parameters);
}
SaveResultToMssql3(dt3, code, parameters);
}
/// <summary>
/// 计算年化基差
/// </summary>
/// <param name="future"></param>
/// <param name="today"></param>
/// <param name="futurePrice"></param>
/// <param name="indexPrice"></param>
/// <returns></returns>
private double getAnuualizedBasis(CFEFutures future, DateTime today, double futurePrice, double indexPrice)
{
double term = DateUtils.GetSpanOfTradeDays(today, future.expireDate) / 252.0;
return((futurePrice - indexPrice) / term);
}