/// <summary>
/// 跨式期权开仓
/// </summary>
/// <param name="dataToday"></param>
/// <param name="signal"></param>
/// <param name="positions"></param>
/// <param name="myAccount"></param>
/// <param name="pairs"></param>
/// <param name="today"></param>
/// <param name="index"></param>
/// <param name="duration"></param>
private void openStrangle(ref Dictionary <string, List <KLine> > dataToday, ref Dictionary <string, MinuteSignal> signal, ref SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions, ref BasicAccount myAccount, ref SortedDictionary <DateTime, List <StranglePair> > pairs, DateTime today, int index, double duration)
{
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), index);
double etfPriceNow = dataToday[targetVariety][index].open;
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
OptionInfo call = list[0];
//根据给定的看涨期权选取对应的看跌期权
OptionInfo put = OptionUtilities.getCallByPutOrPutByCall(optionInfoList, call);
if (call.strike != 0 && put.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //跨式期权组合存在进行开仓
{
tradeAssistant(ref dataToday, ref signal, call.optionCode, call.contractMultiplier, today, now, index);
tradeAssistant(ref dataToday, ref signal, put.optionCode, put.contractMultiplier, today, now, index);
StranglePair openPair = new StranglePair()
{
callCode = call.optionCode, putCode = put.optionCode, callPosition = call.contractMultiplier, putPosition = put.contractMultiplier, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike, modifiedDate = now, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open, closeDate = new DateTime(), closePrice = 0
};
List <StranglePair> pairList = new List <StranglePair>();
pairList.Add(openPair);
pairs.Add(now, pairList);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
/// <summary>
/// 构造函数
/// </summary>
/// <param name="todayInt"></param>
/// <param name="riskFreeRate"></param>
public VolSurface(int todayInt = 0, double riskFreeRate = 0.027)
{
if (todayInt == 0)
{
today = DateTime.Now;
}
else
{
today = Kit.ToDate(todayInt);
}
optionList = getExistingOption(today);
//获取今日期权的到期日期
var dateStructure = OptionUtilities.getDurationStructure(optionList, today);
//存储今日期权的基本信息
optionInfo = optionList.ToDictionary(x => x.optionCode, y => y);
rate = riskFreeRate;
duartion = dateStructure[0];
getOptionData(dateStructure[0], today);
while (DateTime.Now.TimeOfDay <= new TimeSpan(15, 00, 0))
{
DateTime now1 = DateTime.Now;
computeVol();
DateTime now2 = DateTime.Now;
Console.WriteLine(now2 - now1);
Thread.Sleep(5000);
}
}
/// <summary>
/// 获取对应的期权合约
/// </summary>
/// <param name="duration"></param>
/// <param name="strike"></param>
/// <param name="etfPriceNow"></param>
/// <param name="type"></param>
/// <param name="today"></param>
/// <returns></returns>
private OptionInfo getOptionCode(double duration, double etfPriceNow, string type, DateTime today)
{
OptionInfo option = new OptionInfo();
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
if (type == "认购")
{
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count > 0)
{
option = list[0];
}
}
else if (type == "认沽")
{
//选取指定的看跌期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.5, etfPriceNow), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count > 0)
{
option = list[0];
}
}
return(option);
}
protected void Page_Load(object sender, EventArgs e)
{
this.ShowTransactions();
OptionUtilities optionUtilities = new OptionUtilities();
pspName.Items.AddRange(optionUtilities.GetPSPOptions());
}
/// <summary>
/// 估算未来的期权价格
/// </summary>
/// <param name="days"></param>
/// <param name="code"></param>
/// <param name="etfPrice"></param>
/// <returns></returns>
private double computeFuturePrice(int days, string code, double etfPrice)
{
double price = 0;
var option = OptionUtilities.getOptionByCode(optionList, code);
int x = Convert.ToInt32(optionPrice[code].duration - days);
int y = Convert.ToInt32(Math.Round(1000 * Math.Log(option.strike / etfPrice), 0) + 500);
double vol = volSurface[x, y];
price = ImpliedVolatilityUtilities.ComputeOptionPrice(option.strike, (optionPrice[code].duration - days) / 252.0, riskFreeRate, 0, option.optionType, vol, etfPrice);
return(price);
}
public void getOptionData(double duration, DateTime today)
{
var optionListNow = OptionUtilities.getOptionListByDuration(getExistingOption(today), today, duration);
var list = from OptionInfo in optionListNow orderby OptionInfo.optionType ascending, OptionInfo.strike ascending select OptionInfo;
List <string> code = new List <string>();
dataListKey = code;
foreach (var item in list)
{
code.Add(item.optionCode);
}
code.Add(ETF);
Execute(code);
}
/// <summary>
/// 以收益损失比给期权组合打分
/// </summary>
/// <param name="code1"></param>
/// <param name="code2"></param>
/// <param name="days"></param>
/// <param name="upperPrice"></param>
/// <param name="lowerPrice"></param>
/// <param name="up"></param>
/// <param name="low"></param>
/// <returns></returns>
private double computeMarkOfPairs(string code1, string code2, int days, double upperPrice, double lowerPrice, ref double up, ref double low)
{
double marks = -100;
double initialValue = optionPrice[code1].lastPrice - optionPrice[code2].lastPrice;
double upperValue = computeFuturePrice(days, code1, upperPrice) - computeFuturePrice(days, code2, upperPrice);
double lowerValue = computeFuturePrice(days, code1, lowerPrice) - computeFuturePrice(days, code2, lowerPrice);
var option2 = OptionUtilities.getOptionByCode(optionList, code2);
double margin = OptionMargin.ComputeOpenMargin(etfPrice, optionPrice[code2].lastPrice, option2.strike, option2.optionType, 1, etfPrice) + (upperPrice - lowerPrice) / 2;
double capitalOccupied = margin - initialValue;
up = (upperValue - initialValue) / capitalOccupied;
low = (lowerValue - initialValue) / capitalOccupied;
marks = up / low;
return(marks);
}
public void recorddata(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
foreach (var date in tradedays)
{
stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17));
var list = infoRepo.GetStockOptionInfo(underlying, date, date);
list = OptionUtilities.modifyOptionListByETFBonus(list, date);
foreach (var item in list)
{
optionRepo.GetStockTransaction(item.code, date, date.AddHours(17));
}
}
}
private void displayPairs()
{
foreach (var item in pairs)
{
var option1 = OptionUtilities.getOptionByCode(optionList, item.option1);
var option2 = OptionUtilities.getOptionByCode(optionList, item.option2);
var price1 = optionPrice[option1.optionCode];
var price2 = optionPrice[option2.optionCode];
double delta = price1.delta - price2.delta;
double gamma = price1.gamma - price2.gamma;
double vega = price1.vega - price2.vega;
double theta = price1.theta - price2.theta;
Console.WriteLine("代码:{0}, 名称:{1}, 价格:{2} ask:{3} bid:{4}, 波动率:{5}", option1.optionCode, option1.optionName, optionPrice[option1.optionCode].lastPrice, optionPrice[option1.optionCode].ask, optionPrice[option1.optionCode].bid, price1.impv);
Console.WriteLine("代码:{0}, 名称:{1}, 价格:{2} ask:{3} bid:{4}, 波动率:{5}", option2.optionCode, option2.optionName, optionPrice[option2.optionCode].lastPrice, optionPrice[option2.optionCode].ask, optionPrice[option2.optionCode].bid, price2.impv);
Console.WriteLine("mark:{0}, delta:{1}, gamma:{2}, vega:{3}, theta:{4}, profit:{5}, loss:{6}", item.mark, delta, gamma, vega, theta, item.profit, item.loss);
Console.WriteLine("==============================================");
}
}
private StraddlePairCode getStraddlePairCode(List <OptionInfo> optionInfoList, double durationFront, double durationNext, double etfPrice, DateTime today)
{
StraddlePairCode pair = new StraddlePairCode();
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationFront), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
pair.callCodeFront = call[0].optionCode;
var callATM = call[0];
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationFront), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
pair.putCodeFront = put[0].optionCode;
var callNext = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationNext), "认购").OrderBy(x => Math.Abs(x.strike - callATM.strike)).Where(x => x.startDate <= today).ToList();
pair.callCodeNext = callNext[0].optionCode;
var putNext = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, durationNext), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
pair.putCodeNext = putNext[0].optionCode;
return(pair);
}
public void record(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
CreateDBOrTableIfNecessary(startDate);
CreateDBOrTableIfNecessary(startDate.AddYears(1));
var start = startDate;
while (start < endDate)
{
if (!ExistInSqlServer(start))
{
CreateDBOrTableIfNecessary(start);
}
start = start.AddYears(1);
}
if (!ExistInSqlServer(endDate))
{
CreateDBOrTableIfNecessary(endDate);
}
foreach (var date in tradedays)
{
var list = infoRepo.GetStockOptionInfo(underlying, date, date);
list = OptionUtilities.modifyOptionListByETFBonus(list, date);
parityList = new List <StockOptionParity>();
foreach (var item in list)
{
if (item.type == "认购" && item.expireDate <= date.AddDays(180) && item.listedDate <= date)
{
var parity = StockOptionExtension.GetParity(list, item);
Console.WriteLine("Date {0}: strike {1} expireDate {2} option1 {3} option2 {4}", date, item.strike, item.expireDate, item.name, parity.name);
var pair = new StockOptionParity {
call = item.code, put = parity.code, strike = item.strike, expireDate = item.expireDate, unit = item.unit
};
parityList.Add(pair);
}
}
compute(date);
}
}
protected void Page_Load(object sender, EventArgs e)
{
RoleUtilities roleUtilities = new RoleUtilities();
OptionUtilities optionUtilities = new OptionUtilities();
if (Request.HttpMethod == "POST")
{
string roleName = rolename.Value;
string groupOption = groupoptions.Value;
string roleType = Request.Form["type"];
string roleLink = rolelink.Value;
if (!string.IsNullOrEmpty(roleName) || !string.IsNullOrEmpty(groupOption) || !string.IsNullOrEmpty(roleType))
{
string result = roleUtilities.InsertRole(roleName, groupOption, roleType, roleLink);
if (result == "Success")
{
ClearFields();
toastrUtilities.SessionPush("toast", new KeyValuePair <string, string>("success", $"{roleName} Successfully Added."));
}
else
{
toastrUtilities.SessionPush("toast", new KeyValuePair <string, string>("error", $"An Error Occured Please Contact System Administrator."));
}
}
else
{
toastrUtilities.SessionPush("toast", new KeyValuePair <string, string>("error", $"Please fill up all Fields."));
}
}
ListItem[] gOptions = optionUtilities.GetGroupOptions();
groupoptions.Items.Clear();
groupoptions.Items.AddRange(gOptions);
sgroupoptions.Items.Clear();
sgroupoptions.Items.AddRange(gOptions);
editgroupoptions.Items.Clear();
editgroupoptions.Items.AddRange(gOptions);
ShowRoles(roleUtilities.GetRoles());
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startdate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
var OptionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", OptionInfoList);
List <DateTime> tradeDays = DateUtils.GetTradeDays(startdate, endDate);
//var ETFDaily = Platforms.container.Resolve<StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", Kit.ToDate(20150101),Kit.ToDate(20160731));
foreach (var day in tradeDays)
{
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
var list = OptionUtilities.getOptionListByDate(OptionInfoList, Kit.ToInt_yyyyMMdd(day));
List <DateTime> durationArr = OptionUtilities.getEndDateListByAscending(list);
var ETFtoday = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", day);
data.Add("510050.SH", ETFtoday.Cast <KLine>().ToList());
foreach (var info in list)
{
string IHCode = OptionUtilities.getCorrespondingIHCode(info, Kit.ToInt_yyyyMMdd(day));
var repoOption = Platforms.container.Resolve <OptionMinuteRepository>();
var optionToday = repoOption.fetchFromLocalCsvOrWindAndSave(info.optionCode, day);
data.Add(info.optionCode, optionToday.Cast <KLine>().ToList());
}
int index = 0;
SortedDictionary <DateTime, Dictionary <string, MinutePositions> > positions = new SortedDictionary <DateTime, Dictionary <string, MinutePositions> >();
while (index < 240)
{
int nextIndex = index + 1;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double etfPrice = ETFtoday[index].close;
List <double> strikeTodayArr = OptionUtilities.getStrikeListByAscending(list).OrderBy(x => Math.Abs(x - etfPrice)).ToList();
try
{
OptionInfo callCandidateFront = OptionUtilities.getSpecifiedOption(list, durationArr[0], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateFront = OptionUtilities.getSpecifiedOption(list, durationArr[0], "认沽", strikeTodayArr[0])[0];
OptionInfo callCandidateNext = OptionUtilities.getSpecifiedOption(list, durationArr[1], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateNext = OptionUtilities.getSpecifiedOption(list, durationArr[1], "认沽", strikeTodayArr[0])[0];
MinuteSignal callFront = new MinuteSignal()
{
code = callCandidateFront.optionCode, volume = -1, time = now, tradingVarieties = "option", price = data[callCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal putFront = new MinuteSignal()
{
code = putCandidateFront.optionCode, volume = -1, time = now, tradingVarieties = "option", price = data[putCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal callNext = new MinuteSignal()
{
code = callCandidateNext.optionCode, volume = 1, time = now, tradingVarieties = "option", price = data[callCandidateNext.optionCode][index].close, minuteIndex = index
};
MinuteSignal putNext = new MinuteSignal()
{
code = putCandidateNext.optionCode, volume = 1, time = now, tradingVarieties = "option", price = data[putCandidateNext.optionCode][index].close, minuteIndex = index
};
signal.Add(callFront.code, callFront);
signal.Add(putFront.code, putFront);
signal.Add(callNext.code, callNext);
signal.Add(putNext.code, putNext);
DateTime next = MinuteTransactionWithSlip.computeMinutePositions(signal, data, ref positions, slipPoint: 0.01, now: now);
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
}
catch (Exception)
{
throw;
}
index = nextIndex;
}
}
}
private void computeImpv()
{
optionVol = new double[etfDailyData.Count()];
for (int i = startIndex; i < etfDailyData.Count(); i++)
{
DateTime today = etfDailyData[i].time;
double etfPrice = etfDailyData[i].close;
double volThisMonth;
double volNextMonth;
double duration;
//获取当日期限结构,选取当月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] == 0 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, today);
double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today);
double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
if (callImpv * putImpv == 0)
{
volThisMonth = callImpv + putImpv;
}
else
{
volThisMonth = (callImpv + putImpv) / 2;
}
//获取当日期限结构,选取下月合约,若下月合约不存在，就获取季月合约
double duration1 = dateStructure[0] == 0 ? dateStructure[2] : dateStructure[1];
duration = duration1;
call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
callATM = call[0];
callPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, today);
callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
putATM = put[0];
putPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today);
putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
if (callImpv * putImpv == 0)
{
volNextMonth = callImpv + putImpv;
}
else
{
volNextMonth = (callImpv + putImpv) / 2;
}
if (duration0 >= step)
{
optionVol[i] = Math.Sqrt(step / duration0) * volThisMonth;
}
else if ((duration0 < step && duration1 > step))
{
optionVol[i] = Math.Sqrt((duration1 - step) / (duration1 - duration0)) * volThisMonth + Math.Sqrt((step - duration0) / (duration1 - duration0)) * volNextMonth;
}
else if (duration1 <= step)
{
optionVol[i] = volNextMonth;
}
}
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化(宽)跨式组合信息
SortedDictionary <DateTime, List <StranglePair> > pairs = new SortedDictionary <DateTime, List <StranglePair> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
var closePrice = dailyData.Select(x => x.close).ToArray();
//按交易日回测
for (int day = 0; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
double lastETFPrice = dailyData[number + day - 1].close;
var today = tradeDays[day];
//获取当日上市的期权合约列表
var optionInfoList2 = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//初始化信号的数据结构
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//获取今日日内50ETF数据
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
//初始化行情信息，将50ETF的价格放入dataToday
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
//记录今日账户信息
myAccount.time = today;
//获取今日期权的到期日期
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList2, tradeDays[day]);
//选定到日期在40个交易日至60个交易日的合约
double duration = 0;
for (int i = 0; i < dateStructure.Count(); i++)
{
if (dateStructure[i] >= 40 && dateStructure[i] <= 80)
{
duration = dateStructure[i];
break;
}
}
for (int index = 0; index < 234; index++) //遍历日内的逐个分钟(不包括最后5分钟)
{
signal = new Dictionary <string, MinuteSignal>();
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
double etfPriceNow = etfData[index].open;
//策略思路，当前没有持仓的时候开仓，如果有持仓就判断需不需要止盈或者换月
if (pairs.Count == 0 || (pairs.Count > 0 && pairs.Last().Value.Last().closePrice != 0)) //没有持仓则开仓，简单的在开盘1分钟的时候开仓
{
signal = new Dictionary <string, MinuteSignal>();
//今日没有合适的期权合约
if (duration == 0)
{
continue;
}
openStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index, duration);
}
StranglePair pair = pairs.Last().Value.Last();
double durationNow = DateUtils.GetSpanOfTradeDays(today, pair.endDate);
//如果有持仓，通过以下手段记录每日分钟信息
if ((pairs.Count > 0 && pairs.Last().Value.Last().closePrice == 0) && (dataToday.ContainsKey(pair.callCode) == false || dataToday.ContainsKey(pair.putCode) == false))
{
tradeAssistant(ref dataToday, ref signal, pair.callCode, 0, today, now, index);
tradeAssistant(ref dataToday, ref signal, pair.putCode, 0, today, now, index);
var callInfo = OptionUtilities.getOptionByCode(optionInfoList2, pair.callCode);
if (today.AddDays(1) >= callInfo.modifiedDate && !(today.AddDays(-10000) > callInfo.modifiedDate))
{
closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index);
}
}
//检查每一个跨式或者宽跨式组合，看看需不需要调整
if (durationNow < 10 && etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion) //不用调仓直接平仓
{
closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index);
}
else if (durationNow < 20 && !(etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion)) //跨期调仓
{
//先进行平仓，然后开仓
closeStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, today, index);//平仓
signal = new Dictionary <string, MinuteSignal>();
StranglePair newPair = new StranglePair();
if (etfPriceNow > pair.callStrike + motion)
{
OptionInfo call = getOptionCode(duration, etfPriceNow, "认购", today);
OptionInfo put = getOptionCode(duration, pair.putStrike, "认沽", today);
if (call.strike != 0 && put.strike != 0) //开仓
{
newPair = new StranglePair()
{
callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = today, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open
};
modifyStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, ref newPair, today, index);
}
}
else if (etfPriceNow < pair.putStrike - motion)
{
OptionInfo call = getOptionCode(duration, pair.callStrike, "认购", today);
OptionInfo put = getOptionCode(duration, etfPriceNow, "认沽", today);
if (call.strike != 0 && put.strike != 0) //开仓
{
newPair = new StranglePair()
{
callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = today, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[put.optionCode][index].open
};
modifyStrangle(ref dataToday, ref signal, ref positions, ref myAccount, ref pairs, ref newPair, today, index);
}
}
}
else if (durationNow >= 20 && !(etfPriceNow < pair.callStrike + motion && etfPriceNow > pair.putStrike - motion)) //不跨期调仓
{
if (etfPriceNow > pair.callStrike + motion)
{
//认购期权向上移仓
OptionInfo call = getOptionCode(durationNow, etfPriceNow, "认购", today);
if (call.strike != 0)
{
tradeAssistant(ref dataToday, ref signal, pair.putCode, 0, today, now, index);
tradeAssistant(ref dataToday, ref signal, pair.callCode, -pair.callPosition, today, now, index);
tradeAssistant(ref dataToday, ref signal, call.optionCode, call.contractMultiplier, today, now, index);
pair.closeDate = now;
pair.closePrice = dataToday[pair.callCode][index].open + dataToday[pair.putCode][index].open;
StranglePair newPair = new StranglePair()
{
callCode = call.optionCode, callStrike = call.strike, callPosition = call.contractMultiplier, putCode = pair.putCode, putStrike = pair.putStrike, putPosition = pair.putPosition, closeDate = new DateTime(), closePrice = 0, endDate = call.endDate, etfPrice = etfPriceNow, modifiedDate = now, strangleOpenPrice = dataToday[call.optionCode][index].open + dataToday[pair.putCode][index].open
};
pairs.Last().Value.Add(newPair);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else if (etfPriceNow < pair.putStrike - motion)
{
//认沽期权向下移仓
OptionInfo put = getOptionCode(durationNow, etfPriceNow, "认沽", today);
if (put.strike != 0)
{
tradeAssistant(ref dataToday, ref signal, pair.callCode, 0, today, now, index);
tradeAssistant(ref dataToday, ref signal, pair.putCode, -pair.putPosition, today, now, index);
tradeAssistant(ref dataToday, ref signal, put.optionCode, put.contractMultiplier, today, now, index);
pair.closeDate = now;
pair.closePrice = dataToday[pair.callCode][index].open + dataToday[pair.putCode][index].open;
StranglePair newPair = new StranglePair()
{
callCode = pair.callCode, callStrike = pair.callStrike, callPosition = pair.callPosition, putCode = put.optionCode, putStrike = put.strike, putPosition = put.contractMultiplier, closeDate = new DateTime(), closePrice = 0, endDate = put.endDate, etfPrice = etfPriceNow, modifiedDate = now, strangleOpenPrice = dataToday[pair.callCode][index].open + dataToday[put.optionCode][index].open
};
pairs.Last().Value.Add(newPair);
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
}
}
if (etfData.Count > 0)
{
//更新当日属性信息
AccountOperator.Minute.maoheng.AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, etfData.Last().time, etfData.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(etfData.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = etfData.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
}
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "strangle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "strangle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "strangle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
//maoheng 画图
//Application.Run(new PLChart(line, datestr));
//cuixun 画图
//绘制图形的标题
string formTitle = this.startDate.ToShortDateString() + "--" + this.endDate.ToShortDateString() + " " + this.targetVariety + " 净值曲线"
+ "\r\n" + "\r\n" + "净利润：" + myStgStats.netProfit + " " + "夏普率：" + myStgStats.anualSharpe + " " + "最大回撤：" + myStgStats.maxDrawDown
+ "\r\n" + "\r\n";
//生成图像
PLChart plc = new PLChart(line, datestr, formTitle: formTitle);
//运行图像
//Application.Run(plc);
plc.LoadForm();
//保存图像
plc.SaveZed(GetType().FullName, this.targetVariety, this.startDate, this.endDate, myStgStats.netProfit.ToString(), myStgStats.anualSharpe.ToString(), myStgStats.maxDrawDown.ToString());
}
public void compute()
{
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount(initialAssets: initialCapital, totalAssets: initialCapital, freeCash: initialCapital);
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//标记当日跨式组合多空信号。1表示多头，0表示无信号，-1表示空头。
double orignalSignal = 0;
StraddlePair holdingStatus = new StraddlePair();
//统计历史波动率分位数,从回测期开始前一天，统计到最后一天
double[][] fractile = new double[backTestingDuration + 1][];
fractile = computeRollingFractile(startIndex - 1, etfDailyData.Count() - 1, 100);
//统计隐含波动率
computeImpv();
//统计隐含波动率和历史波动率之差 epsilon=max[E(IV-HV),0]
computeEpsilon();
//按时间遍历，2015年02月09日50ETF期权上市开始,2月10日开始昨日收盘的隐含波动率数据。
for (int i = startIndex + 1; i < startIndex + backTestingDuration; i++)
{
DateTime today = etfDailyData[i].time;
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//若当日发生50ETF分红派息，myAccount要加上分红的钱,并且需要调整持有头寸的strike
if (today == timeOf50ETFDividend2016 && positions.Count > 0 && positions.Last().Value.ContainsKey("510050.SH"))
{
//50ETF的头寸中记入分红
positions.Last().Value["510050.SH"].totalCashFlow += positions.Last().Value["510050.SH"].volume * bonusOf50ETFDividend2016;
//期权持仓行权价调整
foreach (var item in optionInfoList)
{
if (item.optionCode == holdingStatus.callCodeFront)
{
holdingStatus.strike = item.strike;
holdingStatus.callPositionFront *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPositionFront *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.callPositionNext *= item.contractMultiplier / standardContractMultiplier;
holdingStatus.putPositionNext *= item.contractMultiplier / standardContractMultiplier;
}
}
}
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double fractile90Yesterday = fractile[i - 1][9]; //昨日历史波动率90分位数
double fractile70Yesterday = fractile[i - 1][7]; //昨日历史波动率70分位数
double fractile50Yesterday = fractile[i - 1][5]; //昨日历史波动率50分位数
double fractile30Yesterday = fractile[i - 1][3]; //昨日历史波动率30分位数
double volYesterday = etfVol[i - 1]; //昨日历史波动率
double impvYesterday = optionVol[i - 1]; //昨日隐含波动率
//获取当日ATM期权合约代码
double etfPrice = etfDailyData[i].close;
//获取当日期限结构,选取当月合约,若当日合约到日期小于等于3天，直接开仓下月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double durationFront = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
double durationNext = dateStructure[0] <= 3 ? dateStructure[2] : dateStructure[1];
StraddlePairCode myPair = getStraddlePairCode(optionInfoList, durationFront, durationNext, etfPrice, today);
var callATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeFront);
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
var putATM = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeFront);
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
var callATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.callCodeNext);
var callPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATMNext.optionCode, today);
var putATMNext = OptionUtilities.getOptionByCode(optionInfoList, myPair.putCodeNext);
var putPriceNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATMNext.optionCode, today);
//整合当日分钟线数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", today);
dataToday.Add("510050.SH", etfData.Cast <KLine>().ToList());
dataToday.Add(callATM.optionCode, callPrice.Cast <KLine>().ToList());
dataToday.Add(putATM.optionCode, putPrice.Cast <KLine>().ToList());
dataToday.Add(callATMNext.optionCode, callPriceNext.Cast <KLine>().ToList());
dataToday.Add(putATMNext.optionCode, putPriceNext.Cast <KLine>().ToList());
//策略信号处理
//信号1
//orignalSignal = 0;
//if (volYesterday >= fractile70Yesterday)
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//else if (impvYesterday < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (impvYesterday - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile50Yesterday)
{
//买入跨式期权
orignalSignal = 1;
}
else if (impvYesterday - volYesterday > epsilon[i - 1])
{
//卖出跨式期权
orignalSignal = -1;
}
//指定平仓时间为开盘第一个分钟。
int openIndex = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
Console.WriteLine("time: {0}, 昨日历史波动率: {1}, 历史波动率70分位数: {2}, 昨日隐含波动率: {3}", now, volYesterday.ToString("N"), fractile70Yesterday.ToString("N"), optionVol[i - 1].ToString("N"));
//如果有持仓先判断持仓状态和信号方向是否相同，如果不同先平仓
if (holdingStatus.callPositionFront != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false)
{
var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today);
dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false)
{
var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today);
dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false)
{
var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today);
dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false)
{
var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today);
dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.Cast <KLine>().ToList());
}
if (holdingStatus.callPositionFront * orignalSignal < 0) //仓位和信号相反，强制平仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new StraddlePair();
}
if (DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) <= 3) //有仓位无信号，判断是否移仓
{
Console.WriteLine("平仓！");
MinuteCloseAllWithBar.CloseAllPosition(dataToday, ref positions, ref myAccount, now, openIndex, slipPoint);
holdingStatus = new StraddlePair();
}
}
//指定开仓时间为开盘第10分钟。错开开平仓的时间。
openIndex = 10;
now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
if (holdingStatus.callPositionFront == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCallFront = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutFront = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalCallNext = new MinuteSignal()
{
code = callATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutNext = new MinuteSignal()
{
code = putATMNext.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCallFront);
signal.Add(putATM.optionCode, openSignalPutFront);
signal.Add(callATMNext.optionCode, openSignalCallNext);
signal.Add(putATMNext.optionCode, openSignalPutNext);
//变更持仓状态
holdingStatus = new StraddlePair {
callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = optionVolume, putPositionFront = optionVolume, callPositionNext = -optionVolume, putPositionNext = -optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = callPrice[openIndex].open + putPrice[openIndex].open - callPriceNext[openIndex].open - putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate
};
}
else if (orignalSignal == -1) //做空跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalCallNext = new MinuteSignal()
{
code = callATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPriceNext[openIndex].open, minuteIndex = openIndex
};
MinuteSignal openSignalPutNext = new MinuteSignal()
{
code = putATMNext.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPriceNext[openIndex].open, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
signal.Add(callATMNext.optionCode, openSignalCallNext);
signal.Add(putATMNext.optionCode, openSignalPutNext);
//变更持仓状态
holdingStatus = new StraddlePair {
callCodeFront = callATM.optionCode, putCodeFront = putATM.optionCode, callCodeNext = callATMNext.optionCode, putCodeNext = putATMNext.optionCode, callPositionFront = -optionVolume, putPositionFront = -optionVolume, callPositionNext = optionVolume, putPositionNext = optionVolume, etfPrice_open = etfData[openIndex].open, straddlePairPrice_open = -callPrice[openIndex].open - putPrice[openIndex].open + callPriceNext[openIndex].open + putPriceNext[openIndex].open, straddleOpenDate = today, endDate = callATM.endDate, strike = callATM.strike, endDateNext = callATMNext.endDate
};
}
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: openIndex);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
double delta = 0;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
if (today >= timeOf50ETFDividend2016)
{
benchmark.Add(etfData[thisIndex].close + bonusOf50ETFDividend2016);
}
else
{
benchmark.Add(etfData[thisIndex].close);
}
if (holdingStatus.callPositionFront != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCodeFront) == false)
{
var callLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeFront, today);
dataToday.Add(holdingStatus.callCodeFront, callLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeFront) == false)
{
var putLastDayFront = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeFront, today);
dataToday.Add(holdingStatus.putCodeFront, putLastDayFront.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCodeNext) == false)
{
var callLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCodeNext, today);
dataToday.Add(holdingStatus.callCodeNext, callLastDayNext.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCodeNext) == false)
{
var putLastDayNext = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCodeNext, today);
dataToday.Add(holdingStatus.putCodeNext, putLastDayNext.Cast <KLine>().ToList());
}
//计算期权delta值，并用50ETF对冲
//var positionLast = positions.Last().Value;
//delta= computeOptionDelta(positionLast, holdingStatus, today, dataToday, thisIndex);
//double etfChangeVolume =Math.Round( -delta - holdingStatus.etfPosition);
//MinuteSignal openSignalETF = new MinuteSignal() { code = "510050.SH", volume = etfChangeVolume, time = thisTime, tradingVarieties = "stock", price = dataToday["510050.SH"][thisIndex].open, minuteIndex = thisIndex };
//signal = new Dictionary<string, MinuteSignal>();
//signal.Add("510050.SH", openSignalETF);
//MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: thisTime);
//holdingStatus.etfPosition += etfChangeVolume;
// AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, thisTime, data: dataToday, nowIndex: thisIndex);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
//在控制台上数据每日持仓信息
if (holdingStatus.callPositionFront != 0)
{
Console.WriteLine("time: {0},etf: {1}, strike: {2}, position: {3}, call: {4}, put: {5}, endDate: {6}, delta: {7}, etfVolume: {8}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPositionFront, dataToday[holdingStatus.callCodeFront][thisIndex].close, dataToday[holdingStatus.putCodeFront][thisIndex].close, holdingStatus.endDate, delta, holdingStatus.etfPosition);
}
//Console.WriteLine("time: {0}, total: {1}, cash: {2}, option: {3}, margin: {4}", thisTime, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
public void compute()
{
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//标记当日跨式组合多空信号。1表示多头，0表示无信号，-1表示空头。
double orignalSignal = 0;
Straddle holdingStatus = new Straddle();
//统计历史波动率分位数,从回测期开始前一天，统计到最后一天
double[][] fractile = new double[backTestingDuration + 1][];
fractile = computeRollingFractile(startIndex - 1, etfDailyData.Count() - 1, 100);
//统计隐含波动率
computeImpv();
//统计隐含波动率和历史波动率之差 epsilon=max[E(IV-HV),0]
computeEpsilon();
//按时间遍历，2015年02月09日50ETF期权上市开始,2月10日开始昨日收盘的隐含波动率数据。
for (int i = startIndex + 1; i < startIndex + backTestingDuration; i++)
{
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double fractile90Yesterday = fractile[i - 1][9]; //昨日历史波动率90分位数
double fractile70Yesterday = fractile[i - 1][7]; //昨日历史波动率70分位数
double fractile50Yesterday = fractile[i - 1][5]; //昨日历史波动率50分位数
double fractile30Yesterday = fractile[i - 1][3]; //昨日历史波动率30分位数
double volYesterday = etfVol[i - 1]; //昨日历史波动率
double impvYesterday = optionVol[i - 1]; //昨日隐含波动率
//获取当日ATM期权合约代码
DateTime today = etfDailyData[i].time;
double etfPrice = etfDailyData[i].close;
double duration;
//获取当日期限结构,选取当月合约,若当日合约到日期小于等于3天，直接开仓下月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] <= 3 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today);
// double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today);
//double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
//整合当日分钟线数据
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", today);
dataToday.Add("510050.SH", etfData.Cast <KLine>().ToList());
dataToday.Add(callATM.optionCode, callPrice.Cast <KLine>().ToList());
dataToday.Add(putATM.optionCode, putPrice.Cast <KLine>().ToList());
//策略信号处理
////信号1
//orignalSignal = 0;
//if (volYesterday >= fractile70Yesterday)
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//else if (optionVol[i - 1] < volYesterday)
//{
// //买入跨式期权
// orignalSignal = 1;
//}
//else if (optionVol[i - 1] - volYesterday > epsilon[i - 1])
//{
// //卖出跨式期权
// orignalSignal = -1;
//}
//信号2
orignalSignal = 0;
if (volYesterday - impvYesterday > 0 && volYesterday <= fractile70Yesterday)
{
//买入跨式期权
//orignalSignal = 1;
}
else if (impvYesterday - volYesterday > 2 * epsilon[i - 1])
{
//卖出跨式期权
orignalSignal = -1;
}
//指定平仓时间为开盘第一个分钟。
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), 0);
Console.WriteLine("time: {0}, 昨日历史波动率: {1}, 历史波动率70分位数: {2}, 昨日隐含波动率: {3}", now, volYesterday.ToString("N"), fractile70Yesterday.ToString("N"), optionVol[i - 1].ToString("N"));
//如果有持仓先判断持仓状态和信号方向是否相同，如果不同先平仓
if (holdingStatus.callPosition != 0)
{
//平仓之前获取IH数据
if (holdingStatus.IHCode != null)
{
var IHData = Platforms.container.Resolve <FuturesMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.IHCode, today);
dataToday.Add(holdingStatus.IHCode, IHData.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
if (holdingStatus.callPosition * orignalSignal < 0) //仓位和信号相反，强制平仓
{
Console.WriteLine("平仓！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, slipPoint);
holdingStatus = new Straddle();
}
if (DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) <= 3) //有仓位无信号，判断是否移仓
{
Console.WriteLine("平仓！");
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, now, slipPoint);
holdingStatus = new Straddle();
}
}
//指定开仓时间为开盘第10分钟。错开开平仓的时间。
int openIndex = 10;
now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), openIndex);
if (holdingStatus.callPosition == 0 && orignalSignal != 0) //无仓位有信号，开仓
{
if (orignalSignal == 1) //做多跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, minuteIndex = openIndex
};
Console.WriteLine("做多跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = optionVolume;
holdingStatus.putPosition = optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
else if (orignalSignal == -1) //做空跨式期权
{
MinuteSignal openSignalCall = new MinuteSignal()
{
code = callATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = callPrice[openIndex].close, minuteIndex = openIndex
};
MinuteSignal openSignalPut = new MinuteSignal()
{
code = putATM.optionCode, volume = -optionVolume, time = now, tradingVarieties = "option", price = putPrice[openIndex].close, minuteIndex = openIndex
};
Console.WriteLine("做空跨式期权！");
signal.Add(callATM.optionCode, openSignalCall);
signal.Add(putATM.optionCode, openSignalPut);
//变更持仓状态
holdingStatus.callCode = callATM.optionCode;
holdingStatus.putCode = putATM.optionCode;
holdingStatus.callPosition = -optionVolume;
holdingStatus.putPosition = -optionVolume;
holdingStatus.etfPrice_open = etfData[openIndex].close;
holdingStatus.straddlePrice_open = callPrice[openIndex].close + putPrice[openIndex].close;
holdingStatus.straddleOpenDate = today;
holdingStatus.endDate = callATM.endDate;
holdingStatus.strike = callATM.strike;
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
//每日收盘前，整理持仓情况
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
benchmark.Add(etfData[thisIndex].close);
if (holdingStatus.callPosition != 0)
{
if (dataToday.ContainsKey(holdingStatus.callCode) == false)
{
var callLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.callCode, today);
dataToday.Add(holdingStatus.callCode, callLastDay.Cast <KLine>().ToList());
}
if (dataToday.ContainsKey(holdingStatus.putCode) == false)
{
var putLastDay = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(holdingStatus.putCode, today);
dataToday.Add(holdingStatus.putCode, putLastDay.Cast <KLine>().ToList());
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
//更新当日属性信息
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
//在控制台上数据每日持仓信息
if (holdingStatus.callPosition != 0)
{
Console.WriteLine("time: {0},etf: {1}, strike: {2}, position: {3}, call: {4}, put: {5}, endDate: {6}", thisTime, etfData[thisIndex].close, holdingStatus.strike, holdingStatus.callPosition, dataToday[holdingStatus.callCode][thisIndex].close, dataToday[holdingStatus.putCode][thisIndex].close, holdingStatus.endDate);
}
//Console.WriteLine("time: {0}, total: {1}, cash: {2}, option: {3}, margin: {4}", thisTime, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions, benchmark.ToArray());
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "straddle", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
///数据准备
//记录牛市价差两条腿的信息
BullSpread myLegs = new BullSpread();
//交易日信息
List <DateTime> tradeDays = DateUtils.GetTradeDays(startDate, endDate);
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
//计算50ETF的EMA
var closePrice = dailyData.Select(x => x.close).ToArray();
List <double> ema7 = TA_MA.EMA(closePrice, 5).ToList();
List <double> ema50 = TA_MA.EMA(closePrice, 20).ToList();
List <double> ema10 = TA_MA.EMA(closePrice, 10).ToList();
double maxProfit = 0;
for (int day = 1; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
var today = tradeDays[day];
myAccount.time = today;
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
double duration = 0;
for (int i = 0; i < dateStructure.Count(); i++)
{
if (dateStructure[i] >= 20 && dateStructure[i] <= 40)
{
duration = dateStructure[i];
break;
}
}
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
if (ema7[day + number - 1] - ema50[day + number - 1] > 0 && dailyData[number + day - 1].close > ema10[day + number - 1] && myLegs.strike1 == 0) // EMA7日线大于EMA50日线，并且ETF价格站上EMA10,开牛市价差
{
//取出指定日期
double lastETFPrice = dailyData[number + day - 1].close;
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), 0);
//MinuteSignal openSignal = new MinuteSignal() { code = targetVariety, volume = 10000, time = now, tradingVarieties = "stock", price =averagePrice, minuteIndex = day };
//signal.Add(targetVariety, openSignal);
//选取指定的看涨期权
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, tradeDays[day], duration), "认购"), lastETFPrice, lastETFPrice + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
//如果可以构成看涨期权牛市价差，就开仓
if (list.Count() >= 2)
{
var option1 = list[0];
var option2 = list[list.Count() - 1];
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option1.optionCode, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(option2.optionCode, today);
if ((option1Data[0].close > 0 && option2Data[0].close > 0) == true)
{
dataToday.Add(option1.optionCode, option1Data.Cast <KLine>().ToList());
dataToday.Add(option2.optionCode, option2Data.Cast <KLine>().ToList());
//var vol1 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option1.strike, duration / 252.0, 0.04, 0, option1.optionType, option1Data[0].close, etfData[0].close);
//var vol2 = ImpliedVolatilityUtilities.ComputeImpliedVolatility(option2.strike, duration / 252.0, 0.04, 0, option2.optionType, option2Data[0].close, etfData[0].close);
MinuteSignal openSignal1 = new MinuteSignal()
{
code = option1.optionCode, volume = 10000, time = now, tradingVarieties = "option", price = option1Data[0].close, minuteIndex = 0
};
MinuteSignal openSignal2 = new MinuteSignal()
{
code = option2.optionCode, volume = -10000, time = now, tradingVarieties = "option", price = option2Data[0].close, minuteIndex = 0
};
Console.WriteLine("开仓！");
signal.Add(option1.optionCode, openSignal1);
signal.Add(option2.optionCode, openSignal2);
myLegs.code1 = option1.optionCode;
myLegs.code2 = option2.optionCode;
myLegs.strike1 = option1.strike;
myLegs.strike2 = option2.strike;
myLegs.endDate = option1.endDate;
myLegs.spreadPrice_Open = option1Data[0].close - option2Data[0].close;
myLegs.etfPrice_Open = etfData[0].close;
myLegs.spreadOpenDate = now;
maxProfit = 0;
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", now, etfData[0].close, myLegs.strike1, option1Data[0].close, myLegs.strike2, option2Data[0].close);
}
}
MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, capitalVerification: false);
}
if (positions.Count() > 0 && myLegs.strike1 != 0)
{
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
var option1Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code1, today);
var option2Data = Platforms.container.Resolve <OptionMinuteRepository>().fetchFromLocalCsvOrWindAndSave(myLegs.code2, today);
dataToday.Add(myLegs.code1, option1Data.Cast <KLine>().ToList());
dataToday.Add(myLegs.code2, option2Data.Cast <KLine>().ToList());
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
var etfPriceNow = etfData[thisIndex].close;
var durationNow = DateUtils.GetSpanOfTradeDays(today, myLegs.endDate);
Console.WriteLine("time: {0},etf: {1}, call1: {2} call1price: {3}, call2: {4}, call2price: {5}", thisTime, etfPriceNow, myLegs.strike1, option1Data[thisIndex].close, myLegs.strike2, option2Data[thisIndex].close);
//多个退出条件①收益达到最大收益的60%以上②多日之内不上涨③迅速下跌
double spreadPrice = option1Data[thisIndex].close - option2Data[thisIndex].close;
maxProfit = (spreadPrice - myLegs.spreadPrice_Open) > maxProfit ? spreadPrice - myLegs.spreadPrice_Open : maxProfit;
double holdingDays = DateUtils.GetSpanOfTradeDays(myLegs.spreadOpenDate, today);
//止盈
bool profitTarget = (spreadPrice) > 0.6 * (myLegs.strike2 - myLegs.strike1) && durationNow >= 10;
//止损
bool lossTarget1 = (spreadPrice - myLegs.spreadPrice_Open) < 0 && holdingDays > 20;
bool lossTarget2 = etfPriceNow < myLegs.strike1 - 0.2;
bool lossTarget3 = spreadPrice / myLegs.spreadPrice_Open < 0.6;
bool lossTarget4 = maxProfit > 0.02 && (spreadPrice - myLegs.spreadPrice_Open) / maxProfit < 0.8;
if (profitTarget || lossTarget1 || lossTarget2 || lossTarget3 || lossTarget4 || durationNow <= 1 || holdingDays >= 7)
{
Console.WriteLine("平仓！");
maxProfit = 0;
myLegs = new BullSpread();
MinuteCloseAllPositonsWithSlip.closeAllPositions(dataToday, ref positions, ref myAccount, thisTime, slipPoint);
}
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
else
{
int thisIndex = 239;
var thisTime = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(today), thisIndex);
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, thisTime, dataToday);
}
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
tempAccount.initialAssets = myAccount.initialAssets;
accountHistory.Add(tempAccount);
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "EMA7_EMA50", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("Base", netWorthOfBenchmark.ToArray());
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
Application.Run(new PLChart(line, datestr));
}
/// <summary>
/// 策略回测部分，期权时间价值策略
/// 在日循环上判断（1）选择操作标的（2）是否开平仓，在分钟循环上进行具体操作
/// 分钟上的操作：（1）开仓（2）到期平仓（3）调仓平值期权（4）止盈止损
/// （1）若直接开平仓，在开盘15分钟时进行操作（2）若判断止盈止损，在收盘15分钟时进行操作
/// </summary>
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startdate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
var optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
List <DateTime> tradeDays = DateUtils.GetTradeDays(startdate, endDate);
//var ETFDaily = Platforms.container.Resolve<StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", Kit.ToDate(20150101),Kit.ToDate(20160731));
///账户初始化
//初始化position
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
///回测循环
//回测循环--By Day
foreach (var day in tradeDays)
{
//日内数据准备
Dictionary <string, List <KLine> > data = new Dictionary <string, List <KLine> >();
var list = OptionUtilities.getOptionListByDate(optionInfoList, Kit.ToInt_yyyyMMdd(day));
List <DateTime> endDate = OptionUtilities.getEndDateListByAscending(list);
var ETFtoday = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave("510050.SH", day);
data.Add("510050.SH", ETFtoday.Cast <KLine>().ToList());
foreach (var info in list)
{
string IHCode = OptionUtilities.getCorrespondingIHCode(info, Kit.ToInt_yyyyMMdd(day));
var repoOption = Platforms.container.Resolve <OptionMinuteRepository>();
var optionToday = repoOption.fetchFromLocalCsvOrWindAndSave(info.optionCode, day);
data.Add(info.optionCode, optionToday.Cast <KLine>().ToList());
}
int index = 0;
//交易开关设置，控制day级的交易开关
bool tradingOn = true; //总交易开关
bool openingOn = true; //开仓开关
bool closingOn = true; //平仓开关
//是否为交割日
bool isExpiredDay = day.Equals(endDate[0]);
//是否为回测最后一天
bool isLastDayOfBackTesting = day.Equals(endDate);
//回测循环 -- By Minute
//不允许在同一根1minBar上开平仓
while (index < 240)
{
int nextIndex = index + 1;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(day), index);
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
double etfPrice = ETFtoday[index].close;
//按strike price与etf价格的接近程度排序
List <double> strikeTodayArr = OptionUtilities.getStrikeListByAscending(list).OrderBy(x => Math.Abs(x - etfPrice)).ToList();
try
{
/*
* if (index != 225)
* {
* index = nextIndex;
* continue;
* }
*/
//持仓查询，先平后开
//若当前有持仓 且 允许平仓
//是否是空仓,若position中所有品种volum都为0，则说明是空仓
bool isEmptyPosition = positions.Count != 0 ? positions[positions.Keys.Last()].Values.Sum(x => Math.Abs(x.volume)) == 0 : true;
if ((positions.Count != 0 && !isEmptyPosition) && tradingOn)
{
//平仓条件
//（1）若当天为交割日或回测结束日，平仓，且关闭开仓开关，次日才能开仓；
//（2）若closingOn为false，平仓；
//（3）检查持仓期权是否为平价期权，若否，清掉当前头寸并建立新的持仓；
//--------------------------------------------------------------------
//（1）若当天为交割日或回测结束日，平仓，且关闭开仓开关，次日才能开仓；
//（2）若closingOn为false，平仓；
//取出当前持仓期权的strike
double strikePriceOfPositions = optionInfoList[optionInfoList.FindIndex(a => a.optionCode == positions[positions.Keys.Last()].Values.First().code)].strike;
bool isParPriceOption = strikePriceOfPositions == strikeTodayArr[0];
//--------------------------------------------------------------------
if (!isEmptyPosition && (isExpiredDay || isLastDayOfBackTesting || closingOn == false))
{
//全部平仓
DateTime next = MinuteCloseAllPositonsWithSlip.closeAllPositions(data, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
//当天不可再开仓
openingOn = false;
}
//（3）检查持仓期权是否为平价期权，若否，清掉当前头寸并建立新的持仓；
else if (!isEmptyPosition && !isParPriceOption)
{
//全部平仓
DateTime next = MinuteCloseAllPositonsWithSlip.closeAllPositions(data, ref positions, ref myAccount, now: now, slipPoint: slipPoint);
//当天不可再开仓
openingOn = false;
}
}
//若当前无持仓 且 允许开仓
//若当前为交割日，则不开仓
if (isExpiredDay == true)
{
openingOn = false;
}
else if ((positions.Count == 0 || isEmptyPosition) && openingOn && tradingOn)
{
//标的池构建
//选择目标期权品种放入标的池：
//四个头寸（1）short当月平价认购（2）short当月平价认沽（3）long下月平价认购（4）long下月平价认沽
OptionInfo callCandidateFront = OptionUtilities.getSpecifiedOption(list, endDate[0], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateFront = OptionUtilities.getSpecifiedOption(list, endDate[0], "认沽", strikeTodayArr[0])[0];
OptionInfo callCandidateNext = OptionUtilities.getSpecifiedOption(list, endDate[1], "认购", strikeTodayArr[0])[0];
OptionInfo putCandidateNext = OptionUtilities.getSpecifiedOption(list, endDate[1], "认沽", strikeTodayArr[0])[0];
//检查四个标的strike是否相同，若相同则开仓，若不相同是，说明下月平价期权尚未挂出，则continue
bool isSameStrike = callCandidateFront.strike == callCandidateFront.strike;
//生成开仓信号
if (isSameStrike)
{
//查询可用资金
double nowFreeCash = myAccount.freeCash;
//计算每个头寸的建仓量,原则：尽量使各头寸等金额
double openVolumeOfCallFront = Math.Floor(nowFreeCash / 4 / data[callCandidateFront.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfPutFront = Math.Floor(nowFreeCash / 4 / data[putCandidateFront.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfCallNext = Math.Floor(nowFreeCash / 4 / data[callCandidateNext.optionCode][index].close / optionContractTimes) * optionContractTimes;
double openVolumeOfPutNext = Math.Floor(nowFreeCash / 4 / data[putCandidateNext.optionCode][index].close / optionContractTimes) * optionContractTimes;
MinuteSignal callFront = new MinuteSignal()
{
code = callCandidateFront.optionCode, volume = -openVolumeOfCallFront, time = now, tradingVarieties = "option", price = data[callCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal putFront = new MinuteSignal()
{
code = putCandidateFront.optionCode, volume = -openVolumeOfPutFront, time = now, tradingVarieties = "option", price = data[putCandidateFront.optionCode][index].close, minuteIndex = index
};
MinuteSignal callNext = new MinuteSignal()
{
code = callCandidateNext.optionCode, volume = openVolumeOfCallNext, time = now, tradingVarieties = "option", price = data[callCandidateNext.optionCode][index].close, minuteIndex = index
};
MinuteSignal putNext = new MinuteSignal()
{
code = putCandidateNext.optionCode, volume = openVolumeOfPutNext, time = now, tradingVarieties = "option", price = data[putCandidateNext.optionCode][index].close, minuteIndex = index
};
signal.Add(callFront.code, callFront);
signal.Add(putFront.code, putFront);
signal.Add(callNext.code, callNext);
signal.Add(putNext.code, putNext);
DateTime next = MinuteTransactionWithSlip.computeMinuteOpenPositions(signal, data, ref positions, ref myAccount, slipPoint: slipPoint, now: now);
nextIndex = Math.Max(nextIndex, TimeListUtility.MinuteToIndex(next));
}
}
//账户信息更新
AccountUpdatingForMinute.computeAccountUpdating(ref myAccount, positions, now, data);
}
catch (Exception)
{
throw;
}
index = nextIndex;
}
//账户信息记录By Day
//用于记录的临时账户
BasicAccount tempAccount = new BasicAccount();
tempAccount.time = myAccount.time;
tempAccount.freeCash = myAccount.freeCash;
tempAccount.margin = myAccount.margin;
tempAccount.positionValue = myAccount.positionValue;
tempAccount.totalAssets = myAccount.totalAssets;
accountHistory.Add(tempAccount);
}
//遍历输出到console
foreach (var account in accountHistory)
{
Console.WriteLine("time:{0},netWorth:{1,8:F3}\n", account.time, account.totalAssets / initialCapital);
}
//将accountHistory输出到csv
var resultPath = ConfigurationManager.AppSettings["CacheData.ResultPath"] + "accountHistory.csv";
var dt = DataTableUtils.ToDataTable(accountHistory); // List<MyModel> -> DataTable
CsvFileUtils.WriteToCsvFile(resultPath, dt); // DataTable -> CSV File
Console.ReadKey();
}
protected void Page_Load(object sender, EventArgs e)
{
string pageChecker = Request.QueryString["page"];
if (string.IsNullOrEmpty(pageChecker))
{
Session.Remove("WithdrawalSearch");
}
using (NpgsqlConnection conn = Classes.DB.InstBTCDB("instbtc"))
{
NpgsqlCommand command = new NpgsqlCommand();
string query = string.Empty;
if (Request.HttpMethod == "POST")
{
string status = txtStatus.Value;
string clientId = txtClientId.Value;
string clientEmail = txtClientEmail.Value;
string clientName = txtClientName.Value;
string walletId = txtWalletId.Value;
string documentId = txtWalletId.Value;
string createdDate = txtCreatedDate.Value;
string docStatus = txtDocStatus.Value;
string refferenceHash = txtHash.Value;
WithdrawalSearchModel searchModel = new WithdrawalSearchModel()
{
Status = status,
ClientModel = new ClientModelSearch
{
Id = clientId,
Email = clientEmail
},
DocumentStatus = docStatus,
ClientName = clientName,
WalletId = walletId,
DocumentId = documentId,
CreatedDate = createdDate,
refference_hash = refferenceHash
};
Session["WithdrawalSearch"] = searchModel;
}
if (Session["WithdrawalSearch"] != null)
{
WithdrawalSearchModel sessionSearchModel = (WithdrawalSearchModel)Session["WithdrawalSearch"];
//Get SQLCommand Parameters and Query Parameters
KeyValuePair <NpgsqlCommand, string> pair = getParameter(sessionSearchModel);
command = pair.Key;
query = pair.Value;
}
//Get Withdrawals Datas
List <MWithdrawal> withdrawalRequest = new List <MWithdrawal>();
withdrawalRequest = WithdrawalUtilities.WithdrawalRequest(conn, command, query);
#region Pagination
Dictionary <string, int> pagerDictionary = new Dictionary <string, int>();
string paginationString = "page";
DocListPager.initialize(paginationString, 10);
TotalRequest = WithdrawalUtilities.GetWithdrawalCount(conn, command, query);
pagerDictionary = DocListPager.paginate(TotalRequest);
withdrawalRequest = WithdrawalUtilities.WithdrawalRequest(conn, command, query, pagerDictionary["offset"], pagerDictionary["limit"]);
rowCount.InnerText = $"{TotalRequest} Records Found";
resultBody.InnerHtml = BuildHtmlTable(withdrawalRequest).ToString();
#endregion
//Get Document Statuses Selection
OptionUtilities optionUtilities = new OptionUtilities();
txtDocStatus.Items.Clear();
txtDocStatus.Items.AddRange(optionUtilities.GetDocumentStatusOptions());
//Return Values to their Fields
ReturnFieldValues();
}
}
protected void Page_Load(object sender, EventArgs e)
{
string username = Classes.Cookie.GetCookie("ggZurkVKwLIM+SQ2NMcfsra8/nnrhm9u5sl4TMYTE2Y", false);
var roles = Utilities.AccountUtilities.getUserRoles(username);
RoleUtilities roleUtilities = new RoleUtilities();
List <RolesModel> rolesModels = new List <RolesModel>();
List <string> roleLists = roles.Split(',').ToList();
if (roleLists.Find(f => f.ToLower() == "12") == null)
{
Response.Redirect("/dashboard.aspx");
}
if (Request.HttpMethod == "POST")
{
#region Assign Post Variables
string ClientId = Request.Form["clientId"];
string PaymentReferrence = Request.Form["pspRef"];
string PaymentStatus = Request.Form["pspStatus"];
string CreditedStatus = Request.Form["creditedStatus"];
string PspId = Request.Form["ctl00$ctl00$MainContent$LMainContent$pspId"];
string Amount = Request.Form["amount"];
string Currency = Request.Form["currency"];
string Note = Request.Form["note"];
string CardLast4 = Request.Form["cardLast4"];
string CardExpiry = Request.Form["cardExpiry"];
string CardHolderName = Request.Form["cardHolder"];
string TradingAccountId = Request.Form["PIN"];
#endregion
string PIN = !string.IsNullOrEmpty(TradingAccountId) ? TradingAccountId : string.Empty;
#region Get Client Info
ClientModel Info = new ClientModel();
using (NpgsqlConnection conn = Classes.DB.InstBTCDB("instbtc"))
{
Info = Clients.FindById(conn, int.Parse(ClientId));
}
#endregion
if (Info != null)
{
#region Creating the Transaction Object
Classes.Instbtc.Models.TransactionModel Transaction = new Classes.Instbtc.Models.TransactionModel
{
Psp_ID = decimal.Parse(PspId),
Deposit_Currency = Currency,
Deposit_Amount = Convert.ToDecimal(Amount),
Exchange_Currency = "BTC",
Exchange_Amount = Convert.ToDecimal(Classes.Instbtc.Utilities.Conversion.GetBTCAmountRestSharp(Amount, Currency)),
Created_Date = DateTime.UtcNow,
Client_ID = Convert.ToDecimal(ClientId),
Psp_Status = PaymentStatus,
Credited_Status = CreditedStatus,
PaymentReference = PaymentReferrence,
Notes = Note,
type = Classes.Instbtc.Models.TransactionType.DEPOSIT,
CardLast4 = !string.IsNullOrEmpty(CardLast4) ? CardLast4 : "",
CardHolderName = !string.IsNullOrEmpty(CardHolderName) ? CardHolderName : "",
Transaction_Currency = "BTC"
};
#endregion
#region Create The Transaction
var TransactionCheck = Utilities.Transactions.CheckTransactionIfExist(Transaction.PaymentReference);
object result = new object();
if (string.IsNullOrEmpty(TransactionCheck))
{
result = Classes.Instbtc.Create.Transactions.CreateTransaction(Transaction);
}
else
{
toastrUtilities.SessionPush("toast", new KeyValuePair <string, string>("error", $"Cant Create Transaction, Existing Detected!"));
Response.Redirect("/transaction-lists.aspx");
}
#endregion
if (result.ToString() != "Internal Error" || result != null)
{
decimal OriginalDepositTransactionAmount = decimal.Parse(Transaction.Deposit_Amount.ToString());
decimal OriginalBtcExchangeAmount = decimal.Parse(Transaction.Exchange_Amount.ToString());
EmailTemplateUtilities.SendNotificationDeposit(Info.Id.ToString(), OriginalDepositTransactionAmount.ToString(), OriginalBtcExchangeAmount.ToString(), Transaction);
//if (Info.Referral.ToLower() == "lblv" || Info.Referral.ToLower() == "tradershome" || Info.Referral.ToLower() == "profitix" || Info.Referral.ToLower() == "vlom" || Info.Referral.ToLower() == "uptos" || Info.Referral.ToLower() == "fundiza" || Info.Referral.ToLower() == "kiplar" || Info.Referral.ToLower() == "investigram" || Info.Referral.ToLower() == "commercewealth")
//{
// try
// {
// var pspList = PspUtilities.GetPspById(Transaction.Psp_ID.ToString());
// var pspName = pspList.Where(w => w.Id == int.Parse(Transaction.Psp_ID.ToString()))?.FirstOrDefault()?.Name;
// pspName = pspName.Replace("USD ", "").Replace("EUR ", "").Replace("AUD ", "");
// var res = BrandsIntegration.PushToBrand(Info, Transaction, PaymentStatus, result, $"[{pspName}] " + Note, PIN, pspName);
// toastrUtilities.SessionPush("toast", new KeyValuePair<string, string>("success", $"{res}"));
// }
// catch (Exception ex)
// {
// toastrUtilities.SessionPush("toast", new KeyValuePair<string, string>("error", $"{ex.Message.ToString()}"));
// }
//}
//else
//{
// decimal OriginalDepositTransactionAmount = decimal.Parse(Transaction.Deposit_Amount.ToString());
// decimal OriginalBtcExchangeAmount = decimal.Parse(Transaction.Exchange_Amount.ToString());
// EmailTemplateUtilities.SendNotificationDeposit(Info.Id.ToString(), OriginalDepositTransactionAmount.ToString(), OriginalBtcExchangeAmount.ToString(), Transaction);
//}
}
else
{
toastrUtilities.SessionPush("toast", new KeyValuePair <string, string>("error", $"An Error Occured Cant Create Transaction"));
}
}
else
{
//Redirect Invalid Client Id;
toastrUtilities.SessionPush("toast", new KeyValuePair <string, string>("error", $"No Client With this Id: {ClientId}"));
Response.Redirect("/transaction-lists.aspx");
}
}
OptionUtilities optionUtilities = new OptionUtilities();
pspId.Items.AddRange(optionUtilities.GetPSPOptions());
}
public void compute()
{
log.Info("开始回测(回测期{0}到{1})", Kit.ToInt_yyyyMMdd(startDate), Kit.ToInt_yyyyMMdd(endDate));
var repo = Platforms.container.Resolve <OptionInfoRepository>();
optionInfoList = repo.fetchFromLocalCsvOrWindAndSaveAndCache(1);
Caches.put("OptionInfo", optionInfoList);
//初始化头寸信息
SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions = new SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> >();
//初始化Account信息
BasicAccount myAccount = new BasicAccount();
myAccount.initialAssets = initialCapital;
myAccount.totalAssets = initialCapital;
myAccount.freeCash = myAccount.totalAssets;
//初始化持仓信息
StranglePair holdPair = new StranglePair();
//记录历史账户信息
List <BasicAccount> accountHistory = new List <BasicAccount>();
List <double> benchmark = new List <double>();
//可以变动的策略参数
int length = 40;
double range = 0.04;
//50ETF的日线数据准备，从回测期开始之前100个交易开始取
int number = 100;
List <StockDaily> dailyData = new List <StockDaily>();
dailyData = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, DateUtils.PreviousTradeDay(startDate, number), endDate);
var closePrice = dailyData.Select(x => x.close).ToArray();
var ETFMA = TA_MA.SMA(closePrice, length);
//获取中国波指的数据
List <StockDaily> iVix = Platforms.container.Resolve <StockDailyRepository>().fetchFromLocalCsvOrWindAndSave("000188.SH", startDate, endDate);
//按交易日回测
for (int day = 0; day < tradeDays.Count(); day++)
{
benchmark.Add(closePrice[day + number]);
double MAyesterday = ETFMA[day + number - 1];
double lastETFPrice = dailyData[number + day - 1].close;
var today = tradeDays[day];
//获取当日上市的期权合约列表
var optionInfoList = OptionUtilities.getUnmodifiedOptionInfoList(this.optionInfoList, today);
//初始化信号的数据结构
Dictionary <string, MinuteSignal> signal = new Dictionary <string, MinuteSignal>();
//获取今日日内50ETF数据
var etfData = Platforms.container.Resolve <StockMinuteRepository>().fetchFromLocalCsvOrWindAndSave(targetVariety, tradeDays[day]);
//初始化行情信息，将50ETF的价格放入dataToday
Dictionary <string, List <KLine> > dataToday = new Dictionary <string, List <KLine> >();
dataToday.Add(targetVariety, etfData.Cast <KLine>().ToList());
//记录今日账户信息
myAccount.time = today;
//获取今日期权的到期日期
var dateStructure = OptionUtilities.getDurationStructure(optionInfoList, tradeDays[day]);
//选定到日期在40个交易日至60个交易日的合约
double duration = 0;
//for (int i = 0; i < dateStructure.Count(); i++)
//{
// if (dateStructure[i] >= 40 && dateStructure[i] <= 80)
// {
// duration = dateStructure[i];
// break;
// }
//}
duration = dateStructure[1];
//如果没有持仓就开仓
if (holdPair.endDate == new DateTime())
{
if (duration == 0)
{
continue;
}
//按照开盘1分钟的价格来开平仓。
int index = 0;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
double etfPriceNow = etfData[index].open;
if (etfPriceNow > MAyesterday * (1 + range))//看涨，卖出虚值的put
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo put = list[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = "", putCode = put.optionCode, callPosition = 0, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = 0, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else if (etfPriceNow < MAyesterday * (1 - range))//看跌，卖出虚值的call
{
var list = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (list.Count == 0)
{
continue;
}
OptionInfo call = list[0];
if (call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = "", callPosition = -call.contractMultiplier, putPosition = 0, endDate = call.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = 0
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
else//不涨不跌，卖出宽跨式期权
{
var putList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽"), etfPriceNow - 0.1, etfPriceNow - 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => - x.strike).ToList();
var callList = OptionUtilities.getOptionListByDate(OptionUtilities.getOptionListByStrike(OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购"), etfPriceNow + 0.1, etfPriceNow + 0.5), Kit.ToInt_yyyyMMdd(today)).OrderBy(x => x.strike).ToList();
if (putList.Count == 0 || callList.Count == 0)
{
continue;
}
OptionInfo call = callList[0];
OptionInfo put = putList[0];
if (put.strike != 0 && (put.modifiedDate > today.AddDays(10) || put.modifiedDate < today) && call.strike != 0 && (call.modifiedDate > today.AddDays(10) || call.modifiedDate < today)) //开仓
{
tradeAssistant(ref dataToday, ref signal, put.optionCode, -put.contractMultiplier, today, now, index);
tradeAssistant(ref dataToday, ref signal, call.optionCode, -call.contractMultiplier, today, now, index);
holdPair = new StranglePair()
{
callCode = call.optionCode, putCode = put.optionCode, callPosition = -call.contractMultiplier, putPosition = -put.contractMultiplier, endDate = put.endDate, etfPrice = etfPriceNow, callStrike = call.strike, putStrike = put.strike
};
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
}
}
}
else //如果有持仓就判断需不需要移仓
{
double durationNow = DateUtils.GetSpanOfTradeDays(today, holdPair.endDate);
int index = 234;
DateTime now = TimeListUtility.IndexToMinuteDateTime(Kit.ToInt_yyyyMMdd(tradeDays[day]), index);
if (holdPair.callPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.callCode, -holdPair.callPosition, today, now, index);
}
if (holdPair.putPosition != 0)
{
tradeAssistant(ref dataToday, ref signal, holdPair.putCode, -holdPair.putPosition, today, now, index);
}
if (durationNow <= 10) //强制平仓
{
//按照收盘前5分钟的价格来开平仓。
MinuteTransactionWithBar.ComputePosition(signal, dataToday, ref positions, ref myAccount, slipPoint: slipPoint, now: now, nowIndex: index);
holdPair = new StranglePair();
}
}
if (etfData.Count > 0)
{
//更新当日属性信息
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, etfData.Last().time, etfData.Count() - 1, dataToday);
//记录历史仓位信息
accountHistory.Add(new BasicAccount(myAccount.time, myAccount.totalAssets, myAccount.freeCash, myAccount.positionValue, myAccount.margin, myAccount.initialAssets));
benchmark.Add(etfData.Last().close);
if (netValue.Count() == 0)
{
netValue.Add(new NetValue {
time = today, netvalueReturn = 0, benchmarkReturn = 0, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
else
{
var netValueLast = netValue.Last();
netValue.Add(new NetValue {
time = today, netvalueReturn = myAccount.totalAssets / netValueLast.netvalue - 1, benchmarkReturn = etfData.Last().close / netValueLast.benchmark - 1, netvalue = myAccount.totalAssets, benchmark = etfData.Last().close
});
}
}
}
//策略绩效统计及输出
PerformanceStatisics myStgStats = new PerformanceStatisics();
myStgStats = PerformanceStatisicsUtils.compute(accountHistory, positions);
//画图
Dictionary <string, double[]> line = new Dictionary <string, double[]>();
double[] netWorth = accountHistory.Select(a => a.totalAssets / initialCapital).ToArray();
line.Add("NetWorth", netWorth);
//记录净值数据
RecordUtil.recordToCsv(accountHistory, GetType().FullName, "account", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录持仓变化
var positionStatus = OptionRecordUtil.Transfer(positions);
RecordUtil.recordToCsv(positionStatus, GetType().FullName, "positions", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//记录统计指标
var performanceList = new List <PerformanceStatisics>();
performanceList.Add(myStgStats);
RecordUtil.recordToCsv(performanceList, GetType().FullName, "performance", parameters: "ShortOptionByMA", performance: myStgStats.anualSharpe.ToString("N").Replace(".", "_"));
//统计指标在console 上输出
Console.WriteLine("--------Strategy Performance Statistics--------\n");
Console.WriteLine(" netProfit:{0,5:F4} \n totalReturn:{1,-5:F4} \n anualReturn:{2,-5:F4} \n anualSharpe :{3,-5:F4} \n winningRate:{4,-5:F4} \n PnLRatio:{5,-5:F4} \n maxDrawDown:{6,-5:F4} \n maxProfitRatio:{7,-5:F4} \n informationRatio:{8,-5:F4} \n alpha:{9,-5:F4} \n beta:{10,-5:F4} \n averageHoldingRate:{11,-5:F4} \n", myStgStats.netProfit, myStgStats.totalReturn, myStgStats.anualReturn, myStgStats.anualSharpe, myStgStats.winningRate, myStgStats.PnLRatio, myStgStats.maxDrawDown, myStgStats.maxProfitRatio, myStgStats.informationRatio, myStgStats.alpha, myStgStats.beta, myStgStats.averageHoldingRate);
Console.WriteLine("-----------------------------------------------\n");
//benchmark净值
List <double> netWorthOfBenchmark = benchmark.Select(x => x / benchmark[0]).ToList();
line.Add("50ETF", netWorthOfBenchmark.ToArray());
// ivix数据
double[] iVixClose = iVix.Select(x => x.close / iVix[0].close).ToArray();
//line.Add("iVix", iVixClose);
string[] datestr = accountHistory.Select(a => a.time.ToString("yyyyMMdd")).ToArray();
//maoheng 画图
//Application.Run(new PLChart(line, datestr));
//cuixun 画图
//绘制图形的标题
string formTitle = this.startDate.ToShortDateString() + "--" + this.endDate.ToShortDateString() + " " + this.targetVariety + " 净值曲线"
+ "\r\n" + "\r\n" + "净利润：" + myStgStats.netProfit + " " + "夏普率：" + myStgStats.anualSharpe + " " + "最大回撤：" + myStgStats.maxDrawDown
+ "\r\n" + "\r\n";
//生成图像
PLChart plc = new PLChart(line, datestr, formTitle: formTitle);
//运行图像
//Application.Run(plc);
plc.LoadForm();
//保存图像
plc.SaveZed(GetType().FullName, this.targetVariety, this.startDate, this.endDate, myStgStats.netProfit.ToString(), myStgStats.anualSharpe.ToString(), myStgStats.maxDrawDown.ToString());
}
public void record(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
CreateDBOrTableIfNecessary(startDate);
CreateDBOrTableIfNecessary(startDate.AddYears(1));
var start = startDate;
while (start < endDate)
{
if (!ExistInSqlServer(start))
{
CreateDBOrTableIfNecessary(start);
}
start = start.AddYears(1);
}
if (!ExistInSqlServer(endDate))
{
CreateDBOrTableIfNecessary(endDate);
}
foreach (var date in tradedays)
{
DataTable dt = new DataTable();
dt = initializeDataTable(dt);
double[] sigma1Ask = new double[28802];
double[] sigma1Bid = new double[28802];
double[] sigma2Ask = new double[28802];
double[] sigma2Bid = new double[28802];
double[] vixAsk = new double[28802];
double[] vixBid = new double[28802];
var list = infoRepo.GetStockOptionInfo(underlying, date, date);
list = OptionUtilities.modifyOptionListByETFBonus(list, date);
List <StockOptionInformation> callListThisMonth = new List <StockOptionInformation>();
List <StockOptionInformation> callListNextMonth = new List <StockOptionInformation>();
List <StockOptionInformation> putListThisMonth = new List <StockOptionInformation>();
List <StockOptionInformation> putListNextMonth = new List <StockOptionInformation>();
var durationList = OptionUtilities.getDurationStructure(list, date);
double durationThisMonth = 0;
double durationNextMonth = 0;
if (durationList[0] > 7)
{
durationThisMonth = durationList[0];
durationNextMonth = durationList[1];
}
else
{
durationThisMonth = durationList[1];
durationNextMonth = durationList[2];
}
foreach (var item in list)
{
if (OptionUtilities.getDuration(item, date) == durationThisMonth && item.unit == 10000)
{
if (item.type == "认购")
{
callListThisMonth.Add(item);
}
else
{
putListThisMonth.Add(item);
}
}
else if (OptionUtilities.getDuration(item, date) == durationNextMonth && item.unit == 10000)
{
if (item.type == "认购")
{
callListNextMonth.Add(item);
}
else
{
putListNextMonth.Add(item);
}
}
}
callListThisMonth = callListThisMonth.OrderBy(x => x.strike).ToList();
callListNextMonth = callListNextMonth.OrderBy(x => x.strike).ToList();
putListThisMonth = putListThisMonth.OrderBy(x => x.strike).ToList();
putListNextMonth = putListNextMonth.OrderBy(x => x.strike).ToList();
//获取当日ETF及期权数据
List <StockTickTransaction> etf = new List <StockTickTransaction>();
etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17)));
Dictionary <double, List <StockOptionTickTransaction> > callDataThisMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
Dictionary <double, List <StockOptionTickTransaction> > putDataThisMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
Dictionary <double, List <StockOptionTickTransaction> > callDataNextMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
Dictionary <double, List <StockOptionTickTransaction> > putDataNextMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
List <double> strikeListThisMonth = new List <double>();
List <double> strikeListNextMonth = new List <double>();
foreach (var item in callListThisMonth)
{
strikeListThisMonth.Add(item.strike);
var call = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
callDataThisMonth.Add(item.strike, call);
}
foreach (var item in putListThisMonth)
{
var put = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
putDataThisMonth.Add(item.strike, put);
}
foreach (var item in callListNextMonth)
{
strikeListNextMonth.Add(item.strike);
var call = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
callDataNextMonth.Add(item.strike, call);
}
foreach (var item in putListNextMonth)
{
//2016-2-17数据有缺失
var put = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
putDataNextMonth.Add(item.strike, put);
}
strikeListThisMonth = strikeListThisMonth.OrderBy(x => x).ToList();
strikeListNextMonth = strikeListNextMonth.OrderBy(x => x).ToList();
for (int index = 0; index < 28802; index++)
{
bool hasData = true;
foreach (var item in strikeListThisMonth)
{
if (callDataThisMonth[item] == null || putDataThisMonth[item] == null || callDataThisMonth[item][index] == null || putDataThisMonth[item][index] == null || (callDataThisMonth[item][index].AskV1 == 0 && callDataThisMonth[item][index].BidV1 == 0) || (putDataThisMonth[item][index].AskV1 == 0 && putDataThisMonth[item][index].BidV1 == 0))
{
hasData = false;
break;
}
}
//if (durationThisMonth <= 30)
{
foreach (var item in strikeListNextMonth)
{
if (callDataNextMonth[item] == null || putDataNextMonth[item] == null || callDataNextMonth[item][index] == null || putDataNextMonth[item][index] == null || callDataNextMonth[item][index].AskV1 == 0 || putDataNextMonth[item][index].AskV1 == 0 || callDataNextMonth[item][index].BidV1 == 0 || putDataNextMonth[item][index].BidV1 == 0)
{
hasData = false;
break;
}
}
}
if (hasData == false)
{
continue;
}
//初始化记录合约信息的列表
List <iVixInfo> thisMonthInfo = new List <iVixInfo>();
List <iVixInfo> nextMonthInfo = new List <iVixInfo>();
DataRow dr = dt.NewRow();
var now = callDataThisMonth[strikeListThisMonth[0]][index].TransactionDateTime;
var expiredate1 = callListThisMonth[0].expireDate;
var expiredate2 = callListNextMonth[0].expireDate;
var span = date.AddHours(15) - now;
//计算时间T NT：近月合约剩余到期时间（以分钟计） T：NT/365
double T1 = (durationThisMonth - 1 + (span.Hours * 60 + span.Minutes) / 840.0) / 365.0;
//找到认购期权价格与认沽期权价格相差最小的执行价的K
//计算远期价格F S+exp(RT)×[认购期权价格 S −认沽期权价格 S ]
double distance1 = 100;
double kThisMonth = 0;
double F = 0;
for (int i = 0; i < strikeListThisMonth.Count(); i++)
{
double distance0 = Math.Abs((callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2 - (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2);
if (distance0 < distance1)
{
distance1 = distance0;
F = strikeListThisMonth[i] + Math.Exp(rate * T1) * ((callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2 - (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2);
}
}
//找到K0
for (int i = 0; i < strikeListThisMonth.Count() - 1; i++)
{
kThisMonth = strikeListThisMonth[i];
if (strikeListThisMonth[i + 1] > F)
{
break;
}
}
//计算近月ivix
for (int i = 0; i < strikeListThisMonth.Count(); i++)
{
iVixInfo info = new iVixInfo();
double ask = 0;
double bid = 0;
double dK = 0;
double k = strikeListThisMonth[i];
if (i == strikeListThisMonth.Count() - 1)
{
dK = strikeListThisMonth[strikeListThisMonth.Count() - 1] - strikeListThisMonth[strikeListThisMonth.Count() - 2];
}
else
{
dK = strikeListThisMonth[i + 1] - strikeListThisMonth[i];
}
info.strike = k;
info.duration = T1;
info.coefficient = 2 / info.duration * dK / Math.Pow(info.strike, 2) * Math.Exp(rate * info.duration);
if (strikeListThisMonth[i] < kThisMonth)
{
ask = putDataThisMonth[strikeListThisMonth[i]][index].Ask1;
bid = putDataThisMonth[strikeListThisMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认沽"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(info.strike, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = putDataThisMonth[strikeListThisMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = putDataThisMonth[strikeListThisMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(putDataThisMonth[strikeListThisMonth[i]], index);
}
else if (strikeListThisMonth[i] == kThisMonth)
{
ask = (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Ask1) / 2;
bid = (putDataThisMonth[strikeListThisMonth[i]][index].Bid1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2;
var mid1 = (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2;
var mid2 = (callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2;
var sigma1 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid1, info.strike, info.duration, rate, "认沽"), 4);
var sigma2 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid2, info.strike, info.duration, rate, "认购"), 4);
var vega1 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma1, F * Math.Exp(-rate * info.duration)) / 100.0;
var vega2 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma2, F * Math.Exp(-rate * info.duration)) / 100.0;
info.sigma = (sigma1 + sigma2) / 2;
info.vega = (vega1 + vega2) / 2;
info.ask = ask;
info.askv = Math.Min(putDataThisMonth[strikeListThisMonth[i]][index].AskV1, callDataThisMonth[strikeListThisMonth[i]][index].AskV1) * 2;
info.bid = bid;
info.bidv = Math.Min(putDataThisMonth[strikeListThisMonth[i]][index].BidV1, callDataThisMonth[strikeListThisMonth[i]][index].BidV1) * 2;
var volumeCall = ComputeMinutelyVolume(callDataThisMonth[strikeListThisMonth[i]], index);
var volumePut = ComputeMinutelyVolume(putDataThisMonth[strikeListThisMonth[i]], index);
info.minutelyVolume = Math.Min(volumeCall, volumePut) * 2;
}
else
{
ask = callDataThisMonth[strikeListThisMonth[i]][index].Ask1;
bid = callDataThisMonth[strikeListThisMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认购"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = callDataThisMonth[strikeListThisMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = callDataThisMonth[strikeListThisMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(callDataThisMonth[strikeListThisMonth[i]], index);
}
sigma1Ask[index] += (2 / T1) * dK / (k * k) * Math.Exp(rate * T1) * ask;
sigma1Bid[index] += (2 / T1) * dK / (k * k) * Math.Exp(rate * T1) * bid;
thisMonthInfo.Add(info);
}
sigma1Ask[index] += -1 / T1 * Math.Pow((F / kThisMonth) - 1, 2);
sigma1Bid[index] += -1 / T1 * Math.Pow((F / kThisMonth) - 1, 2);
sigma1Ask[index] = Math.Sqrt(sigma1Ask[index]);
sigma1Bid[index] = Math.Sqrt(sigma1Bid[index]);
if (durationThisMonth > 30)
{
vixAsk[index] = sigma1Ask[index];
vixBid[index] = sigma1Bid[index];
}
//计算时间T NT：近月合约剩余到期时间（以分钟计） T：NT/365
double T2 = (durationNextMonth - 1 + (span.Minutes) / 840) / 365.0;
//找到认购期权价格与认沽期权价格相差最小的执行价的K
//计算远期价格F S+exp(RT)×[认购期权价格 S −认沽期权价格 S ]
distance1 = 100;
double kNextMonth = 0;
F = 0;
for (int i = 0; i < strikeListNextMonth.Count(); i++)
{
double distance0 = Math.Abs((callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2 - (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2);
if (distance0 < distance1)
{
distance1 = distance0;
F = strikeListNextMonth[i] + Math.Exp(rate * T2) * ((callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2 - (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2);
}
}
//找到K0
for (int i = 0; i < strikeListNextMonth.Count() - 1; i++)
{
kNextMonth = strikeListNextMonth[i];
if (strikeListNextMonth[i + 1] > F)
{
break;
}
}
//计算远月ivix
for (int i = 0; i < strikeListNextMonth.Count(); i++)
{
iVixInfo info = new iVixInfo();
double ask = 0;
double bid = 0;
double dK = 0;
double k = strikeListNextMonth[i];
if (i == strikeListNextMonth.Count() - 1)
{
dK = strikeListNextMonth[strikeListNextMonth.Count() - 1] - strikeListNextMonth[strikeListNextMonth.Count() - 2];
}
else
{
dK = strikeListNextMonth[i + 1] - strikeListNextMonth[i];
}
info.strike = k;
info.duration = T2;
info.coefficient = 2 / info.duration * dK / Math.Pow(info.strike, 2) * Math.Exp(rate * info.duration);
if (strikeListNextMonth[i] < kNextMonth)
{
ask = putDataNextMonth[strikeListNextMonth[i]][index].Ask1;
bid = putDataNextMonth[strikeListNextMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认沽"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(info.strike, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = putDataNextMonth[strikeListNextMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = putDataNextMonth[strikeListNextMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(putDataNextMonth[strikeListNextMonth[i]], index);
}
else if (strikeListNextMonth[i] == kNextMonth)
{
ask = (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Ask1) / 2;
bid = (putDataNextMonth[strikeListNextMonth[i]][index].Bid1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2;
var mid1 = (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2;
var mid2 = (callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2;
var sigma1 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid1, info.strike, info.duration, rate, "认沽"), 4);
var sigma2 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid2, info.strike, info.duration, rate, "认购"), 4);
var vega1 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma1, F * Math.Exp(-rate * info.duration)) / 100.0;
var vega2 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma2, F * Math.Exp(-rate * info.duration)) / 100.0;
info.sigma = (sigma1 + sigma2) / 2;
info.vega = (vega1 + vega2) / 2;
info.ask = ask;
info.askv = Math.Min(putDataNextMonth[strikeListNextMonth[i]][index].AskV1, callDataNextMonth[strikeListNextMonth[i]][index].AskV1) * 2;
info.bid = bid;
info.bidv = Math.Min(putDataNextMonth[strikeListNextMonth[i]][index].BidV1, callDataNextMonth[strikeListNextMonth[i]][index].BidV1) * 2;
var volumeCall = ComputeMinutelyVolume(callDataNextMonth[strikeListNextMonth[i]], index);
var volumePut = ComputeMinutelyVolume(putDataNextMonth[strikeListNextMonth[i]], index);
info.minutelyVolume = Math.Min(volumeCall, volumePut) * 2;
}
else
{
ask = callDataNextMonth[strikeListNextMonth[i]][index].Ask1;
bid = callDataNextMonth[strikeListNextMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认购"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = callDataNextMonth[strikeListNextMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = callDataNextMonth[strikeListNextMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(callDataNextMonth[strikeListNextMonth[i]], index);
}
sigma2Ask[index] += (2 / T2) * dK / (k * k) * Math.Exp(rate * T2) * ask;
sigma2Bid[index] += (2 / T2) * dK / (k * k) * Math.Exp(rate * T2) * bid;
nextMonthInfo.Add(info);
}
sigma2Ask[index] += -1 / T2 * Math.Pow((F / kNextMonth) - 1, 2);
sigma2Bid[index] += -1 / T2 * Math.Pow((F / kNextMonth) - 1, 2);
sigma2Ask[index] = Math.Sqrt(sigma2Ask[index]);
sigma2Bid[index] = Math.Sqrt(sigma2Bid[index]);
if (durationThisMonth <= 30)
{
vixAsk[index] = Math.Sqrt((T1 * Math.Pow(sigma1Ask[index], 2) * (T2 - 30.0 / 365.0) / (T2 - T1) + T2 * Math.Pow(sigma2Ask[index], 2) * (30.0 / 365.0 - T1) / (T2 - T1)) * 365.0 / 30.0);
vixBid[index] = Math.Sqrt((T1 * Math.Pow(sigma1Bid[index], 2) * (T2 - 30.0 / 365.0) / (T2 - T1) + T2 * Math.Pow(sigma2Bid[index], 2) * (30.0 / 365.0 - T1) / (T2 - T1)) * 365.0 / 30.0);
foreach (var item in thisMonthInfo)
{
item.coefficient *= T1 * (T2 - 30.0 / 365.0) / (T2 - T1) * 365.0 / 30.0;
}
foreach (var item in nextMonthInfo)
{
item.coefficient *= T2 * (30.0 / 365.0 - T1) / (T2 - T1) * 365.0 / 30.0;
}
}
//计算整体的vega，以及盘口的量
double vegaTotal = 0;
double number = 0;
double percentAskMax = 0;
double percentAskMin = 1;
double percentBidMax = 0;
double percentBidMin = 1;
double percentVolumeMax = 0;
double percentVolumeMin = 1;
if (durationThisMonth > 30)
{
foreach (var item in thisMonthInfo)
{
vegaTotal += item.vega * item.coefficient * 10000;
}
number = cashVega / vegaTotal;
foreach (var item in thisMonthInfo)
{
double percentAsk = item.askv / number;
double percentBid = item.bidv / number;
double percentVolume = item.minutelyVolume / number;
if (percentAsk > percentAskMax)
{
percentAskMax = percentAsk;
}
if (percentAsk < percentAskMin)
{
percentAskMin = percentAsk;
}
if (percentBid > percentBidMax)
{
percentBidMax = percentBid;
}
if (percentBid < percentBidMin)
{
percentBidMin = percentBid;
}
if (percentVolume > percentVolumeMax)
{
percentVolumeMax = percentVolume;
}
if (percentVolume < percentVolumeMin)
{
percentVolumeMin = percentVolume;
}
}
}
else
{
foreach (var item in thisMonthInfo)
{
vegaTotal += item.vega * item.coefficient * 10000;
}
foreach (var item in nextMonthInfo)
{
vegaTotal += item.vega * item.coefficient * 10000;
}
number = cashVega / 2 / vegaTotal;
foreach (var item in thisMonthInfo)
{
double percentAsk = item.askv / number / item.coefficient;
double percentBid = item.bidv / number / item.coefficient;
double percentVolume = item.minutelyVolume / number;
if (percentAsk > percentAskMax)
{
percentAskMax = percentAsk;
}
if (percentAsk < percentAskMin)
{
percentAskMin = percentAsk;
}
if (percentBid > percentBidMax)
{
percentBidMax = percentBid;
}
if (percentBid < percentBidMin)
{
percentBidMin = percentBid;
}
if (percentVolume > percentVolumeMax)
{
percentVolumeMax = percentVolume;
}
if (percentVolume < percentVolumeMin)
{
percentVolumeMin = percentVolume;
}
}
foreach (var item in nextMonthInfo)
{
double percentAsk = item.askv / number / item.coefficient;
double percentBid = item.bidv / number / item.coefficient;
double percentVolume = item.minutelyVolume / number;
if (percentAsk > percentAskMax)
{
percentAskMax = percentAsk;
}
if (percentAsk < percentAskMin)
{
percentAskMin = percentAsk;
}
if (percentBid > percentBidMax)
{
percentBidMax = percentBid;
}
if (percentBid < percentBidMin)
{
percentBidMin = percentBid;
}
if (percentVolume > percentVolumeMax)
{
percentVolumeMax = percentVolume;
}
if (percentVolume < percentVolumeMin)
{
percentVolumeMin = percentVolume;
}
}
}
dr["tdatetime"] = now;
dr["expiredate1"] = expiredate1;
dr["expiredate2"] = expiredate2;
dr["duration1"] = Math.Round(T1, 6);
dr["duration2"] = Math.Round(T2, 6);
dr["sigma1Ask"] = Math.Round(sigma1Ask[index] * 100, 4);
dr["sigma1Bid"] = Math.Round(sigma1Bid[index] * 100, 4);
dr["sigma2Ask"] = Math.Round(sigma2Ask[index] * 100, 4);
dr["sigma2Bid"] = Math.Round(sigma2Bid[index] * 100, 4);
dr["sigmaAsk"] = Math.Round(vixAsk[index] * 100, 4);
dr["sigmaBid"] = Math.Round(vixBid[index] * 100, 4);
dr["vegaTotal"] = Math.Round(vegaTotal, 4);
dr["number"] = Math.Round(number, 4);
dr["percentAskMax"] = Math.Round(percentAskMax, 4);
dr["percentAskMin"] = Math.Round(percentAskMin, 4);
dr["percentBidMax"] = Math.Round(percentBidMax, 4);
dr["percentBidMin"] = Math.Round(percentBidMin, 4);
dr["percentVolumeMax"] = Math.Round(percentVolumeMax, 4);
dr["percentVolumeMin"] = Math.Round(percentVolumeMin, 4);
if (now < date.Date + new TimeSpan(14, 57, 00))
{
dt.Rows.Add(dr);
}
}
SaveResultToMssql(date, dt);
}
}