public static DayDataKtbAvg GetSpotDayData(DayDataKtbAvg prevData)
{
DayDataKtbAvg data = new DayDataKtbAvg();
data.CalDate = prevData.CalDate;
data.Code = prevData.Code;
data.DurationAvg = 8.0F;
data.PriceAvg = 10000;
data.RateAvg = 0.041;
data.Maturity = prevData.Maturity;
return data;
}
List<DateTimeDoublePair> GetIndicators_Raw(
DateTime targetDate,
DayDataKtbAvg spotYesAvg,
PeriodicMarketDataCollection spotData,
DayDataKtbAvg futureYesAvg,
PeriodicMarketDataCollection futureData)
{
List<DateTimeDoublePair> ret = new List<DateTimeDoublePair>();
double spotAvgPrice = spotYesAvg.PriceAvg;
double spotDuration = spotYesAvg.DurationAvg;
double futureAvgPrice = futureYesAvg.PriceAvg;
double futureDuration = futureYesAvg.DurationAvg;
double kMinValue = -4;
foreach (RawMarketData spotRmd in spotData.Rmds)
{
DateTime curDateTime = spotRmd.LastUpdatedTime;
RawMarketData futureRmd = futureData.GetRmdData(curDateTime);
if (RawMarketDataUtil.IsValidBidAskCurPrice(spotRmd) &&
RawMarketDataUtil.IsValidBidAskCurPrice(futureRmd))
{
if (IsOverSpotBidAskSpread(spotRmd))
{
ret.Add(new DateTimeDoublePair(curDateTime, kMinValue));
}
else
{
double spotMidPrice = (spotRmd.AskPrice1 + spotRmd.BidPrice1) / 2;
double futureMidPrice = (futureRmd.AskPrice1 + futureRmd.BidPrice1) / 2;
double spotPart = (spotAvgPrice - spotMidPrice) / spotDuration;
double futurePart = 100 * (futureMidPrice - futureAvgPrice) / futureDuration;
double indicator = spotPart + futurePart;
ret.Add(new DateTimeDoublePair(curDateTime, indicator));
}
}
else
{
ret.Add(new DateTimeDoublePair(curDateTime, double.NaN));
}
}
return ret;
}
void Compare(DayDataKtbAvg a, DayDataKtbAvg b)
{
Assert.AreEqual(a.Code, b.Code);
Assert.AreEqual(a.CalDate, b.CalDate);
Assert.AreEqual(
Math.Round(a.DurationAvg, 4),
Math.Round(b.DurationAvg, 4));
Assert.AreEqual(
Math.Round(a.PriceAvg, 4),
Math.Round(b.PriceAvg, 4));
Assert.AreEqual(
Math.Round(a.RateAvg, 6),
Math.Round(b.RateAvg, 6));
Assert.AreEqual(a.Maturity, b.Maturity);
}
void Register(String code, DateTime calDate, DayDataKtbAvg data)
{
if (!_dict.ContainsKey(code))
{
_dict.Add(code, new Dictionary<DateTime, DayDataKtbAvg>());
}
Dictionary<DateTime, DayDataKtbAvg> dateDict = _dict[code];
if (!dateDict.ContainsKey(calDate))
{
dateDict.Add(calDate, data);
}
else
{
logger.Error("중복된 데이터가 있습니다.");
ProcessUtil.Kill();
}
}
void Init()
{
// daydata_ktb_avg table에서 데이터를 읽어온다.
// 30일 전까지의 데이터만 읽어오도록 한다.
String query = String.Format("select * from daydata_ktb_avg order by cal_date");
DataRowCollection rows = DBUtil.SelectFromDB(query, CommonConst.DATABASE_MADVIPER);
for (int i = 0; i < rows.Count; ++i)
{
DataRow row = rows[i];
DateTime calDate = Convert.ToDateTime(row["cal_date"]);
String code = Convert.ToString(row["code"]);
DateTime maturity = Convert.ToDateTime(row["maturity"]);
double avgPrice = Convert.ToDouble(row["avg_price"]);
double avgRate = Convert.ToDouble(row["avg_rate"]);
double avgDuration = Convert.ToDouble(row["avg_duration"]);
DayDataKtbAvg data = new DayDataKtbAvg();
data.CalDate = calDate;
data.Code = code;
data.Maturity = maturity;
data.PriceAvg = avgPrice;
data.RateAvg = avgRate;
data.DurationAvg = avgDuration;
Register(code, calDate, data);
}
// 읽어온 데이터는 잘 저장한다.
}
DayDataKtbAvg GetExpectedFutureDayData()
{
string code = "167FC000";
DateTime targetDate = new DateTime(2011, 10, 24);
DayDataKtbAvg data = new DayDataKtbAvg();
data.CalDate = targetDate;
data.Code = code;
data.Maturity = new DateTime(2021, 12, 20);
data.DurationAvg = 8.097728607;
data.PriceAvg = 109.427912;
data.RateAvg = 0.038562011;
return data;
}
DayDataKtbAvg GetExpectedSpotDayData()
{
string spotCode = "KR1035027161";
DateTime targetDate = new DateTime(2011, 10, 24);
DayDataKtbAvg data = new DayDataKtbAvg();
data.CalDate = targetDate;
data.Code = spotCode;
data.Maturity = new DateTime(2021, 6, 10);
data.DurationAvg = 7.94026644;
data.PriceAvg = 10477.649487;
data.RateAvg = 0.03838024;
return data;
}
public DynamicTenDaysAvg(DayDataKtbAvg spotDayData, DayDataKtbAvg futureDayData)
{
this._spotDayData = spotDayData;
this._futureDayData = futureDayData;
}
DayDataKtbAvg GetTenDaysAvg_Raw(List<DayDataKtbAvg> data)
{
if (data.Count == 0)
{
logger.Warn("데이터가 존재하지 않음");
return null;
}
DayDataKtbAvg ret = new DayDataKtbAvg();
ret.CalDate = _targetDate;
ret.Code = data[0].Code;
ret.Maturity = data[0].Maturity;
List<double> priceAvgs = new List<double>();
List<double> RateAvgs = new List<double>();
List<double> DurationAvgs = new List<double>();
foreach (DayDataKtbAvg datum in data)
{
priceAvgs.Add(datum.PriceAvg);
RateAvgs.Add(datum.RateAvg);
DurationAvgs.Add(datum.DurationAvg);
}
ret.PriceAvg = priceAvgs.Average();
ret.RateAvg = RateAvgs.Average();
ret.DurationAvg = DurationAvgs.Average();
ret.DataCount = data.Count;
return ret;
}
DayDataKtbAvg GetTenDaysAvgWithoutMinMax_Raw(List<DayDataKtbAvg> data, DateTime minDate,
DateTime maxDate)
{
DayDataKtbAvg ret = new DayDataKtbAvg();
ret.CalDate = _targetDate;
ret.Code = data[0].Code;
ret.Maturity = data[0].Maturity;
List<double> priceAvgs = new List<double>();
List<double> RateAvgs = new List<double>();
List<double> DurationAvgs = new List<double>();
foreach (DayDataKtbAvg datum in data)
{
if (datum.CalDate == minDate || datum.CalDate == maxDate)
{
continue;
}
priceAvgs.Add(datum.PriceAvg);
RateAvgs.Add(datum.RateAvg);
DurationAvgs.Add(datum.DurationAvg);
}
ret.PriceAvg = priceAvgs.Average();
ret.RateAvg = RateAvgs.Average();
ret.DurationAvg = DurationAvgs.Average();
ret.DataCount = data.Count;
return ret;
}
