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;
}
}
}
/// <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();
}
