public void WriteTo(String fileOutPath, PeriodicMarketDataCollection spot,
PeriodicMarketDataCollection future, TradingDirection spotDirection)
{
EventPointsFinder target = new EventPointsFinder();
List<EventPoint> eventPoints = target.GetEventPoints(spot, future, spotDirection);
CsvFileWriter writer = new CsvFileWriter(fileOutPath);
WriteHeader(writer);
WriteBody(writer, eventPoints);
logger.Info("Write {0} complete...", fileOutPath);
writer.Close();
}
List<DateTimeDoublePair> GetIndicators_Raw(
DateTime targetDate,
DayDataKtbAvg spotYesAvg,
PeriodicMarketDataCollection spotData,
DayDataKtbAvg futureYesAvg,
PeriodicMarketDataCollection futureData)
{
List<DateTimeDoublePair> ret = new List<DateTimeDoublePair>();
double spotAvgPrice = spotYesAvg.PriceAvg;
double spotDuration = spotYesAvg.DurationAvg;
double futureAvgPrice = futureYesAvg.PriceAvg;
double futureDuration = futureYesAvg.DurationAvg;
double kMinValue = -4;
foreach (RawMarketData spotRmd in spotData.Rmds)
{
DateTime curDateTime = spotRmd.LastUpdatedTime;
RawMarketData futureRmd = futureData.GetRmdData(curDateTime);
if (RawMarketDataUtil.IsValidBidAskCurPrice(spotRmd) &&
RawMarketDataUtil.IsValidBidAskCurPrice(futureRmd))
{
if (IsOverSpotBidAskSpread(spotRmd))
{
ret.Add(new DateTimeDoublePair(curDateTime, kMinValue));
}
else
{
double spotMidPrice = (spotRmd.AskPrice1 + spotRmd.BidPrice1) / 2;
double futureMidPrice = (futureRmd.AskPrice1 + futureRmd.BidPrice1) / 2;
double spotPart = (spotAvgPrice - spotMidPrice) / spotDuration;
double futurePart = 100 * (futureMidPrice - futureAvgPrice) / futureDuration;
double indicator = spotPart + futurePart;
ret.Add(new DateTimeDoublePair(curDateTime, indicator));
}
}
else
{
ret.Add(new DateTimeDoublePair(curDateTime, double.NaN));
}
}
return ret;
}
public List<EventPoint> GetEventPoints(
PeriodicMarketDataCollection spot,
PeriodicMarketDataCollection future,
TradingDirection spotDirection)
{
List<EventPoint> eventPoints = new List<EventPoint>();
for (int i = 0; i < spot.Rmds.Count - 1; ++i)
{
RawMarketData spotStartRmd = spot.Rmds[i];
RawMarketData futureStartRmd = future.Rmds[i];
Trace.Assert(spotStartRmd.LastUpdatedTime == futureStartRmd.LastUpdatedTime);
if (!RawMarketDataUtil.IsValidBidAskCurPrice(spotStartRmd) ||
!RawMarketDataUtil.IsValidBidAskCurPrice(futureStartRmd))
{
EventPoint ep = new EventPoint();
UpdateEventPoint(spotStartRmd.Code, futureStartRmd.Code, spotDirection,
spotStartRmd.LastUpdatedTime, null, ep);
eventPoints.Add(ep);
}
else
{
PairTradingData tradingData = new PairTradingData(spotDirection);
tradingData.SetEnterPrices(spotStartRmd, futureStartRmd, spotDirection);
for (int j = i + 1; j < spot.Rmds.Count; ++j)
{
RawMarketData spotCurRmd = spot.Rmds[j];
RawMarketData futureCurRmd = future.Rmds[j];
if (!RawMarketDataUtil.IsValidBidAskCurPrice(spotCurRmd) ||
!RawMarketDataUtil.IsValidBidAskCurPrice(futureCurRmd))
{
continue;
}
tradingData.UpdateExitNowPnL(spotCurRmd, futureCurRmd, spotDirection);
}
EventPoint ep = new EventPoint();
UpdateEventPoint(spotStartRmd.Code, futureStartRmd.Code, spotDirection,
spotStartRmd.LastUpdatedTime, tradingData, ep);
eventPoints.Add(ep);
}
}
return eventPoints;
}
public List<DateTimeDoublePair> GetIndicators(DateTime targetDate)
{
// Load daydata_ktb_avg
DayDataKtbAvg spotYesAvg =
DayDataKtbAvgCollection.Ins().GetData(SPOT_10YR, DateUtil.GetYesterDay(targetDate));
DayDataKtbAvg futureYesAvg =
DayDataKtbAvgCollection.Ins().GetData(FUTURE_10YR, DateUtil.GetYesterDay(targetDate));
// Load PeriodicData
String spotOrigin = MarketDataConverter.GetSpotOrigin(targetDate.ToString("yyyy_MM_dd"));
String spotDest = BASE_FOLDER + MarketDataConverter.GetDest(SPOT_10YR, spotOrigin);
String futureOrigin = MarketDataConverter.GetFutureOrigin(targetDate.ToString("yyyy_MM_dd"));
String futureDest = BASE_FOLDER + MarketDataConverter.GetDest(FUTURE_10YR, futureOrigin);
PeriodicMarketDataCollection spotData = new PeriodicMarketDataCollection(spotDest);
PeriodicMarketDataCollection futureData = new PeriodicMarketDataCollection(futureDest);
// Calculate Indicator
return GetIndicators_Raw(targetDate, spotYesAvg, spotData, futureYesAvg, futureData);
}
