public static void computeAccount(ref BasicAccount myAccount, SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions, DateTime now, int nowIndex, Dictionary <string, List <KLine> > data)
{
myAccount.time = now;
//若position为null，直接跳过
if (positions.Count == 0)
{
return;
}
//提取初始资产
double initialCapital = myAccount.initialAssets;
Dictionary <string, PositionsWithDetail> nowPosition = new Dictionary <string, PositionsWithDetail>();
nowPosition = positions[positions.Keys.Last()];
//初始化保证金，可用现金
double totalMargin = 0;
double totalCashFlow = 0;
double totalPositionValue = 0;
double totalAssets = 0;
//当前时间对应data中timeList 的序号
int index = nowIndex;
if (index < 0)
{
log.Warn("Signal时间出错，请查验");
return;
}
foreach (var item in nowPosition)
{
PositionsWithDetail position0 = item.Value;
if (position0.volume != 0)
{
double price = data[position0.code][index].close;
totalPositionValue += price * position0.volume;
}
if (position0.volume < 0) //计算保证金
{
if (position0.tradingVarieties == "option") //按每分钟收盘价来近似期权的保证金
{
totalMargin += (OptionMargin.ComputeMaintenanceMargin(data["510050.SH"][index].close, data[position0.code][index].close, optionInfoList[position0.code].strike, optionInfoList[position0.code].optionType, Math.Abs(position0.volume)));
}
else if (position0.tradingVarieties == "stock") //股票卖空按照一半保证金计算
{
totalMargin += 0.5 * data[position0.code][index].close * Math.Abs(position0.volume);
}
else if (position0.tradingVarieties == "futures")
{
totalMargin += FuturesMargin.ComputeOpenMargin(data[position0.code][index].close, 0.4, position0.volume);
}
}
totalCashFlow += position0.totalCashFlow;
}
myAccount.totalAssets = initialCapital + totalCashFlow + totalPositionValue;
myAccount.freeCash = initialCapital + totalCashFlow - totalMargin;
myAccount.margin = totalMargin;
myAccount.positionValue = totalPositionValue;
}
/// <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);
}
