public void Start()
{
MarketData md = GetMarketPriceData();
CreateTradingData(md);
//손익 및 누적 손익 계산
_tradingDataList.Sort();
bool bAmoutBasis = false;
SinglePnLResult profitAndLossResult = new SinglePnLResult(
Key, "KospiTrendTrading", TradingDirection.Short, bAmoutBasis, _tradingDataList);
//profitAndLossResult.EnableLog();
profitAndLossResult.CalculatePnL();
HandleResult(profitAndLossResult);
}
Dictionary<MarketDataSetKey, IPnLResult> GetSelectedEquityPnLResults(
Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults,
Dictionary<DateTime, List<MarketDataSetKey>> selectedEquities)
{
if (selectedEquities.Count == 0)
{
return allEquityPnLResults;
}
Dictionary<MarketDataSetKey, IPnLResult> selectedEquityPnLResults =
new Dictionary<MarketDataSetKey, IPnLResult>();
foreach (KeyValuePair<MarketDataSetKey, IPnLResult> pair in allEquityPnLResults)
{
SinglePnLResult result = pair.Value as SinglePnLResult;
List<RawTradingData> selectedTradingList =
SelectTradingDataList(result.Key, result.TradingDataList, selectedEquities);
if (selectedTradingList.Count == 0)
{
continue;
}
SinglePnLResult selectedResult =
new SinglePnLResult(result.Key, result.Name, result.Direction, true, selectedTradingList);
selectedResult.CostRate = EquityVolPredefinedVariables.CostRate;
if (EquityVolPredefinedVariables.BLogEnabled)
{
selectedResult.EnableLog();
}
selectedResult.CalculatePnL();
selectedEquityPnLResults.Add(pair.Key, selectedResult);
}
return selectedEquityPnLResults;
}
SinglePnLResult CalculateHedgePnLResult()
{
_tradingDataList.Sort();
bool bAmoutBasis = false;
SinglePnLResult profitAndLossResult = new SinglePnLResult(
HedgingInstKey, "EquityDeltaHedging", TradingDirection.Short, bAmoutBasis, _tradingDataList);
if (EquityVolPredefinedVariables.BLogEnabled)
{
profitAndLossResult.EnableLog();
}
profitAndLossResult.CalculatePnL();
return profitAndLossResult;
}
SinglePnLResult SingleSimulate(MarketData md)
{
List<RawTradingData> tradingList = new List<RawTradingData>();
MarketDataSetKey key= (DataUtil.GetMarketDataKeyFromTicker(md.Ticker));
DateTime curDate = _startDate;
int index = 0;
double curSize = 0;
while (curDate <= _endDate)
{
if (md.IsExistDate(curDate))
{
double curPrice = md.GetData(curDate).OHLC.Close;
if (index % _rebalancingPeriod == 0)
{
curSize = _baseInvest / curPrice;
}
if (curPrice < 50000)
{
curSize = Math.Round(curSize / 10, 0) * 10;
}
RawTradingData tradingData = new RawTradingData(key, curDate, curPrice, curSize);
tradingData.AddDelta(curSize * curPrice / _baseInvest);
tradingList.Add(tradingData);
index++;
}
curDate = curDate.AddDays(1);
}
SinglePnLResult profitAndLossResult =
new SinglePnLResult(key, key.ToString(), TradingDirection.Long, true, tradingList);
profitAndLossResult.CalculatePnL();
return profitAndLossResult;
}