private void recordNetValue()
{
DataTable dt = new DataTable();
dt.Columns.Add("日期", Type.GetType("System.Int32"));
dt.Columns.Add("序号", Type.GetType("System.Int32"));
dt.Columns.Add("净值", Type.GetType("System.Double"));
int index = 0;
int lastDay = 0;
string str = "";
foreach (var item in netValue)
{
int today = item.Key;
double[] net = item.Value;
if (index == 0)
{
str = (today / 100).ToString();
}
for (int i = 0; i < net.Count(); i = i + 60)
{
index += 1;
dt.Rows.Add(new object[] { today, index, net[i] });
}
if (lastDay != 0 && TradeDays.GetNextTradeDay(lastDay) < today)
{
index = 0;
}
lastDay = today;
}
string str2 = DateTime.Now.ToString("yyMMddHH");
CsvApplication.SaveCSV(dt, "netvalue_" + str + "_" + str2 + ".csv", "new");
}
public EventOfIndex50(int startDate, int endDate)
{
GetStockChange change = new GetStockChange();
changeList = GetStockChange.changeList;
myTradeDays = new TradeDays(startDate, endDate);
computePosition(startDate, endDate);
recordNetValue();
}
public GetStockData(string code, int startDate, int endDate = 0)
{
if (endDate == 0)
{
endDate = startDate;
}
this.code = code;
stockId = code.Substring(0, 6);
stockMarket = code.Substring(7, 2);
this.startDate = startDate;
this.endDate = endDate;
myTradeDays = new TradeDays(startDate, endDate);
GetDataFromSql(IP, account, password);
}
private void GetStockList()
{
TradeDays myTradeDays = new TradeDays(20130601, 20160626);
int[] changeDate = new int[7] {
20130628, 20131213, 20140613, 20141212, 20150612, 20151211, 20160608
};
w.start();
foreach (int date in changeDate)
{
int today = date;
int tomorrow = TradeDays.GetNextTradeDay(date);
string todayStr = DateTime.ParseExact(today.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
string tomorrowStr = DateTime.ParseExact(tomorrow.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
List <string> todayList = new List <string>();
List <string> tomorrowList = new List <string>();
List <string> stockIn = new List <string>();
List <string> stockOut = new List <string>();
WindData wd = w.wset("sectorconstituent", "date=" + todayStr + ";windcode=" + indexName);
object[] stockList = wd.data as object[];
int num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
todayList.Add(Convert.ToString(stockList[i * 3 + 1]));
}
wd = w.wset("sectorconstituent", "date=" + tomorrowStr + ";windcode=" + indexName);
stockList = wd.data as object[];
num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
tomorrowList.Add(Convert.ToString(stockList[i * 3 + 1]));
}
foreach (string code in tomorrowList)
{
if (todayList.Contains(code) == false)
{
stockIn.Add(code);
}
}
foreach (string code in todayList)
{
if (tomorrowList.Contains(code) == false)
{
stockOut.Add(code);
}
}
stockModifyList myList = new stockModifyList(today, stockIn, stockOut);
changeList.Add(today, myList);
}
}
/// <summary>
/// 构造函数
/// </summary>
/// <param name="date">指定日期</param>
public GetStocks(int startDate, int endDate, string indexName)
{
this.startDate = startDate;
this.endDate = endDate;
this.indexName = indexName;
if (myTradeDays == null)
{
myTradeDays = new TradeDays(startDate, endDate);
}
if (stockList == null)
{
w.start();
stockList = getExitsStocks();
}
}
public GetStockBonus(string code, int startDate, int endDate = 0)
{
if (endDate == 0)
{
endDate = startDate;
}
this.code = code;
stockId = code.Substring(0, 6);
stockMarket = code.Substring(7, 2);
this.startDate = startDate;
this.endDate = endDate;
myTradeDays = new TradeDays(startDate, endDate);
InitializeWind();
GetBonusFromWind();
}
/// <summary>
/// 根据程序运行日期，获取截止至昨日的指数成分股的列表
/// </summary>
/// <returns>指数成分股列表</returns>
private Dictionary <string, stockFormat> getExitsStocks()
{
Dictionary <string, stockFormat> list = new Dictionary <string, stockFormat>();
int yesterday = TradeDays.GetPreviousTradeDay(Convert.ToInt32(DateTime.Now.ToString("yyyyMMdd")));
foreach (int day in myTradeDays.myTradeDays)
{
string todayStr = DateTime.ParseExact(day.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
if (day <= yesterday)
{
WindData wd = w.wset("sectorconstituent", "date=" + todayStr + ";windcode=" + indexName);
object[] stockList = wd.data as object[];
int num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
stockFormat myStock = new stockFormat();
myStock.code = Convert.ToString(stockList[i * 3 + 1]);
myStock.name = (string)stockList[i * 3 + 2];
if (list.ContainsKey(myStock.code) == false)
{
myStock.existsDate = new List <int>();
myStock.existsDate.Add(day);
myStock.existsDate.Add(day);
list.Add(myStock.code, myStock);
}
else
{
int enterDate = list[myStock.code].existsDate[list[myStock.code].existsDate.Count() - 2];
int quitDate = list[myStock.code].existsDate[list[myStock.code].existsDate.Count() - 1];
if (day > TradeDays.GetNextTradeDay(quitDate))
{
list[myStock.code].existsDate.Add(day);
list[myStock.code].existsDate.Add(day);
}
else
{
list[myStock.code].existsDate[list[myStock.code].existsDate.Count() - 1] = day;
}
}
}
}
}
//若计算时间不包括历史时间，必须读取昨日的数据作为基准
if (list.Count == 0)
{
string yesterdayStr = DateTime.ParseExact(yesterday.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd"); List <stockFormat> myList = new List <stockFormat>();
WindData wd = w.wset("sectorconstituent", "date=" + yesterdayStr + ";windcode=" + indexName);
object[] stockList = wd.data as object[];
int num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
stockFormat myStock = new stockFormat();
myStock.code = Convert.ToString(stockList[i * 3 + 1]).Substring(0, 6);
myStock.name = (string)stockList[i * 3 + 2];
myStock.existsDate = new List <int>();
myStock.existsDate.Add(yesterday);
myStock.existsDate.Add(yesterday);
}
}
//从stockModify.csv中读取指数成分股变动股票和日期
DataTable dt = CsvApplication.OpenCSV("stockModify.csv");
SortedDictionary <int, List <stockModify> > stockModifyList = new SortedDictionary <int, List <stockModify> >();
for (int i = 0; i < dt.Rows.Count; i++)
{
stockModify stock = new stockModify();
stock.code = dt.Rows[i][0].ToString();
stock.name = dt.Rows[i][1].ToString();
stock.date = Convert.ToInt32(dt.Rows[i][2].ToString());
stock.direction = dt.Rows[i][3].ToString();
if (stockModifyList.ContainsKey(stock.date))
{
stockModifyList[stock.date].Add(stock);
}
else
{
List <stockModify> stockList0 = new List <stockModify>();
stockList0.Add(stock);
stockModifyList.Add(stock.date, stockList0);
}
}
//根据文档对我的数据进行处理，如果变动时间大于昨日时间，需要对我的股票列表进行修正
int maxDate = yesterday;
foreach (var stockList in stockModifyList)
{
if (stockList.Value[0].date > yesterday)
{
foreach (var stock in stockList.Value)
{
if (stock.direction == "out")
{
if (list.ContainsKey(stock.code) == true)
{
list[stock.code].existsDate[list[stock.code].existsDate.Count() - 1] = stock.date;
}
}
if (stock.direction == "in")
{
if (stockList.Value[0].date > maxDate)
{
maxDate = stockList.Value[0].date;
}
if (list.ContainsKey(stock.code) == true)
{
list[stock.code].existsDate.Add(stock.date);
list[stock.code].existsDate.Add(stock.date);
}
else
{
stockFormat myStock = new stockFormat();
myStock.name = stock.name;
myStock.code = stock.code;
myStock.existsDate = new List <int>();
myStock.existsDate.Add(stock.date);
myStock.existsDate.Add(stock.date);
}
}
}
}
}
//按照回测日期给股票列表进行修正
foreach (var stock in list)
{
if (stock.Value.existsDate[stock.Value.existsDate.Count() - 1] == yesterday || stock.Value.existsDate[stock.Value.existsDate.Count() - 1] == maxDate)
{
stock.Value.existsDate[stock.Value.existsDate.Count() - 1] = endDate;
}
}
return(list);
}
private void computePosition(int startDate, int endDate)
{
foreach (var item in changeList)
{
if (item.Key < startDate || item.Key > endDate)
{
continue;
}
SortedDictionary <string, List <stockChangeFormat> > stockChangeList = new SortedDictionary <string, List <stockChangeFormat> >();
SortedDictionary <string, SortedDictionary <int, stockDataFormat[]> > stockDataList = new SortedDictionary <string, SortedDictionary <int, stockDataFormat[]> >();
int date = item.Key;
stockModifyList list = item.Value;
List <stockPosition> stockList = new List <stockPosition>();
int firstDate = Math.Max(TradeDays.GetNTradeDaysBefore(date, 15), startDate);
int lastDate = Math.Min(TradeDays.GetNTradeDaysLater(date, 15), endDate);
TradeDays myDays = new TradeDays(firstDate, lastDate);
foreach (string stockIn in list.stockIn)
{
stockPosition stock = new stockPosition();
stock.code = stockIn;
stock.position = 1;
stockList.Add(stock);
}
foreach (string stockOut in list.stockOut)
{
stockPosition stock = new stockPosition();
stock.code = stockOut;
stock.position = -1;
stockList.Add(stock);
}
foreach (stockPosition stock in stockList)
{
GetStockBonus bonus = new GetStockBonus(stock.code, firstDate, lastDate);
GetStockData data = new GetStockData(stock.code, firstDate, lastDate);
stockDataList.Add(stock.code, data.stockData);
stockChangeList.Add(stock.code, bonus.stockChangeList);
}
//先确定权重
Dictionary <string, double> weight = new Dictionary <string, double>();
foreach (int today in myDays.myTradeDays)
{
List <stockPosition> stockListToday = new List <stockPosition>();
foreach (stockPosition stock in stockList)
{
List <stockChangeFormat> myChange = stockChangeList[stock.code];
double position = stock.position;
double cash = stock.cash;
for (int i = 0; i < myChange.Count; i++)
{
if (myChange[i].date <= today && myChange[i].date > firstDate)
{
cash += position * myChange[i].bonus;
position *= myChange[i].divisor;
}
}
stockListToday.Add(new stockPosition(stock.code, today, position, cash));
}
positionList.Add(today, stockListToday);
//计算净值曲线
double[] todayNetValue = new double[14402];//一天分成14402秒
//先计算权重
if (today == firstDate)
{
double stockInNum = 0;
double stockOutNum = 0;
Dictionary <string, double> stockOpen = new Dictionary <string, double>();
foreach (stockPosition myStock in stockListToday)
{
if (stockDataList.ContainsKey(myStock.code) && stockDataList[myStock.code].ContainsKey(today))
{
double[] data = dataModify(stockDataList[myStock.code][today]);
stockOpen.Add(myStock.code, data[0]);
}
else
{
stockOpen.Add(myStock.code, 0);
}
}
foreach (stockPosition myStock in stockListToday)
{
if (myStock.position > 0 && stockOpen[myStock.code] > 0)
{
stockInNum += 1;
}
if (myStock.position < 0 && stockOpen[myStock.code] > 0)
{
stockOutNum += 1;
}
}
foreach (stockPosition myStock in stockListToday)
{
if (myStock.position > 0 && stockOpen[myStock.code] > 0)
{
weight.Add(myStock.code, 1.0 / stockInNum / stockOpen[myStock.code]);
}
if (myStock.position < 0 && stockOpen[myStock.code] > 0)
{
weight.Add(myStock.code, 1.0 / stockOutNum / stockOpen[myStock.code]);
}
}
}
foreach (stockPosition myStock in stockListToday)
{
if (weight.ContainsKey(myStock.code) == false)
{
continue;
}
stockDataFormat[] myStockData = (stockDataList.ContainsKey(myStock.code) && stockDataList[myStock.code].ContainsKey(today))? stockDataList[myStock.code][today]:new stockDataFormat[14402];
double[] data = dataModify(myStockData);
for (int i = 0; i < 14402; i++)
{
todayNetValue[i] += (myStock.position * data[i] + myStock.cash) * weight[myStock.code];
}
}
netValue.Add(today, todayNetValue);
}
}
}
