private double getOptionMidPrice(StockOptionTickTransaction tick, double volumeTarget = 10)
{
double mid = 0;
if (tick == null || tick.AskV1 == 0 || tick.BidV1 == 0 || tick.Ask1 == 0 || tick.Bid1 == 0)
{
return(mid);
}
var askv1 = Math.Min(volumeTarget, tick.AskV1);
var askv2 = Math.Max(Math.Min(volumeTarget - askv1, tick.AskV2), 0);
var askv3 = Math.Max(Math.Min(volumeTarget - askv1 - askv2, tick.AskV3), 0);
var askv4 = Math.Max(Math.Min(volumeTarget - askv1 - askv2 - askv3, tick.AskV4), 0);
var askv5 = Math.Max(Math.Min(volumeTarget - askv1 - askv2 - askv3 - askv4, tick.AskV5), 0);
var bidv1 = Math.Min(volumeTarget, tick.BidV1);
var bidv2 = Math.Max(Math.Min(volumeTarget - bidv1, tick.BidV2), 0);
var bidv3 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2, tick.BidV3), 0);
var bidv4 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2 - bidv3, tick.BidV4), 0);
var bidv5 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2 - bidv3 - bidv4, tick.BidV5), 0);
var askvtotal = askv1 + askv2 + askv3 + askv4 + askv5;
var bidvtotal = bidv1 + bidv2 + bidv3 + bidv4 + bidv5;
var position = (askv1 * tick.Ask1 + askv2 * tick.Ask2 + askv3 * tick.Ask3 + askv4 * tick.Ask4 + askv5 * tick.Ask5 + bidv1 * tick.Bid1 + bidv2 * tick.Bid2 + bidv3 * tick.Bid3 + bidv4 * tick.Bid4 + bidv5 * tick.Bid5) / (askvtotal + bidvtotal);
var x = (position - (tick.Ask1 + tick.Bid1) / 2) / ((tick.Ask1 - tick.Bid1) / 2);
if (x > 0)
{
mid = (x) / (0.1 + x) * ((tick.Ask1 - tick.Bid1) / 2) + (tick.Ask1 + tick.Bid1) / 2;
}
else
{
mid = (x) / (0.1 - x) * ((tick.Ask1 - tick.Bid1) / 2) + (tick.Ask1 + tick.Bid1) / 2;
}
return(mid);
}
public static List <StockOptionTickTransaction> ModifyOptionTickData(List <StockOptionTickTransaction> original)
{
if (original == null || original.Count() == 0)
{
return(null);
}
var timelist = GetStockTickStamp();
StockOptionTickTransaction[] modify = new StockOptionTickTransaction[timelist.Count];
int timeIndex = 0;
DateTime today = new DateTime(original[0].TransactionDateTime.Year, original[0].TransactionDateTime.Month, original[0].TransactionDateTime.Day);
for (int j = 0; j < original.Count; j++)
{
while (original[j].TransactionDateTime.TimeOfDay >= timelist[timeIndex] && timeIndex < timelist.Count - 1)
{
timeIndex++;
}
if (original[j].TransactionDateTime.TimeOfDay < timelist[timeIndex])
{
var data0 = original[j];
modify[timeIndex - 1] = new StockOptionTickTransaction {
Ask1 = data0.Ask1, Ask2 = data0.Ask2, Ask3 = data0.Ask3, Ask4 = data0.Ask4, Ask5 = data0.Ask5, AskV1 = data0.AskV1, AskV2 = data0.AskV2, AskV3 = data0.AskV3, AskV4 = data0.AskV4, AskV5 = data0.AskV5, Bid1 = data0.Bid1, Bid2 = data0.Bid2, Bid3 = data0.Bid3, Bid4 = data0.Bid4, Bid5 = data0.Bid5, BidV1 = data0.BidV1, BidV2 = data0.BidV2, BidV3 = data0.BidV3, BidV4 = data0.BidV4, BidV5 = data0.BidV5, Amount = data0.Amount, Code = data0.Code, LastPrice = data0.LastPrice, TransactionDateTime = data0.TransactionDateTime, Volume = data0.Volume, OpenInterest = data0.OpenInterest
};
}
}
for (int i = 1; i < timelist.Count; i++)
{
if (modify[i] == null && modify[i - 1] != null)
{
var data0 = modify[i - 1];
modify[i] = new StockOptionTickTransaction {
Ask1 = data0.Ask1, Ask2 = data0.Ask2, Ask3 = data0.Ask3, Ask4 = data0.Ask4, Ask5 = data0.Ask5, AskV1 = data0.AskV1, AskV2 = data0.AskV2, AskV3 = data0.AskV3, AskV4 = data0.AskV4, AskV5 = data0.AskV5, Bid1 = data0.Bid1, Bid2 = data0.Bid2, Bid3 = data0.Bid3, Bid4 = data0.Bid4, Bid5 = data0.Bid5, BidV1 = data0.BidV1, BidV2 = data0.BidV2, BidV3 = data0.BidV3, BidV4 = data0.BidV4, BidV5 = data0.BidV5, Amount = data0.Amount, Code = data0.Code, LastPrice = data0.LastPrice, TransactionDateTime = data0.TransactionDateTime, Volume = data0.Volume, OpenInterest = data0.OpenInterest
};
modify[i].TransactionDateTime = today + timelist[i];
}
if (modify[i] != null)
{
modify[i].TransactionDateTime = today + timelist[i];
}
}
return(modify.ToList());
}
private double getOptionSpread(StockOptionTickTransaction tick, double volumeTarget = 10)
{
double mid = tick.Ask1 - tick.Bid1;
var askv1 = Math.Min(volumeTarget, tick.AskV1);
var askv2 = Math.Max(Math.Min(volumeTarget - askv1, tick.AskV2), 0);
var askv3 = Math.Max(Math.Min(volumeTarget - askv1 - askv2, tick.AskV3), 0);
var askv4 = Math.Max(Math.Min(volumeTarget - askv1 - askv2 - askv3, tick.AskV4), 0);
var askv5 = Math.Max(Math.Min(volumeTarget - askv1 - askv2 - askv3 - askv4, tick.AskV5), 0);
var bidv1 = Math.Min(volumeTarget, tick.BidV1);
var bidv2 = Math.Max(Math.Min(volumeTarget - bidv1, tick.BidV2), 0);
var bidv3 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2, tick.BidV3), 0);
var bidv4 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2 - bidv3, tick.BidV4), 0);
var bidv5 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2 - bidv3 - bidv4, tick.BidV5), 0);
var askvtotal = askv1 + askv2 + askv3 + askv4 + askv5;
var bidvtotal = bidv1 + bidv2 + bidv3 + bidv4 + bidv5;
var askMean = (askv1 * tick.Ask1 + askv2 * tick.Ask2 + askv3 * tick.Ask3 + askv4 * tick.Ask4 + askv5 * tick.Ask5) / askvtotal;
var bidMean = (bidv1 * tick.Bid1 + bidv2 * tick.Bid2 + bidv3 * tick.Bid3 + bidv4 * tick.Bid4 + bidv5 * tick.Bid5) / bidvtotal;
mid = askMean - bidMean;
return(mid);
}
private List <StockOptionTickTransaction> ConvertToTicks(string code, HashEntry[] hashEntries)
{
var ticks = new List <StockOptionTickTransaction>();
for (int i = 0; i < hashEntries.Length; i++)
{
var array = hashEntries[i].Value.ToString().Split(',');
var tick = new StockOptionTickTransaction()
{
Code = code,
TransactionDateTime = hashEntries[i].Name.ToString().ToDateTime(),
LastPrice = array[0].ConvertTo <double>(),
Ask1 = array[1].ConvertTo <double>(),
Ask2 = array[2].ConvertTo <double>(),
Ask3 = array[3].ConvertTo <double>(),
Ask4 = array[4].ConvertTo <double>(),
Ask5 = array[5].ConvertTo <double>(),
Bid1 = array[6].ConvertTo <double>(),
Bid2 = array[7].ConvertTo <double>(),
Bid3 = array[8].ConvertTo <double>(),
Bid4 = array[9].ConvertTo <double>(),
Bid5 = array[10].ConvertTo <double>(),
AskV1 = array[11].ConvertTo <double>(),
AskV2 = array[12].ConvertTo <double>(),
AskV3 = array[13].ConvertTo <double>(),
AskV4 = array[14].ConvertTo <double>(),
AskV5 = array[15].ConvertTo <double>(),
BidV1 = array[16].ConvertTo <double>(),
BidV2 = array[17].ConvertTo <double>(),
BidV3 = array[18].ConvertTo <double>(),
BidV4 = array[19].ConvertTo <double>(),
BidV5 = array[20].ConvertTo <double>(),
Volume = array[21].ConvertTo <double>(),
Amount = array[22].ConvertTo <double>(),
OpenInterest = array[23].ConvertTo <double>()
};
ticks.Add(tick);
}
return(ticks);
}