// A - B를 진행한다.
public static Position_KtbSkel GetForwardMinusBackward(
Position_KtbSkel forward, Position_KtbSkel backward)
{
if (forward.SignedSpotCount <= 0 || backward.SignedSpotCount >= 0)
{
String ex = "Invalid";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
if (Math.Abs(forward.SignedSpotCount) <= Math.Abs(backward.SignedSpotCount))
{
return null;
}
String cSpotCode = forward.SpotCode;
String cFutureCode = forward.FutureCode;
double cSpotAvgPrice = forward.SpotAvgPriceTimeAdjust;
double cFutureAvgPrice = forward.FutureAvgPrice;
// c.SignedSpotCount이 양수라면 a > b 이었고 아직도 남아있는 것을 의미한다.
// c.SignedSpotCount이 음수라면 a < b 이었고 지우고도 b가 남아있는 것을 의미한다.
long cSignedSpotCount = forward.SignedSpotCount + backward.SignedSpotCount;
long cSignedFutureCount = forward.SignedFutureCount + backward.SignedFutureCount;
Position_KtbSkel c =
new Position_KtbSkel(
cSpotCode, cSignedSpotCount, cSpotAvgPrice,
cFutureCode, cSignedFutureCount, cFutureAvgPrice,
forward.TradingDate, forward.TimeRising);
return c;
}
private void button3_Click(object sender, EventArgs e)
{
try
{
long spotCount = Convert.ToInt32(textBox15.Text); // spot count
double spotAvgPrice = Convert.ToDouble(textBox16.Text); // spot price
double futureAvgPrice = Convert.ToDouble(textBox14.Text); // future price
long futureCount = Convert.ToInt32(textBox13.Text); // future count
// 포지션 등록
Position_KtbSkel target = _parent.GetTargetPosition();
String spotCode = target.SpotCode;
String futureCode = target.FutureCode;
DateTime tradingDate = CoreLib.DateUtil.GetTodayDateTime(0, 0, 0);
Position_KtbSkel real = new Position_KtbSkel(
spotCode, spotCount, spotAvgPrice,
futureCode, futureCount, futureAvgPrice,
tradingDate, 0);
_parent.SetRealPosition(real);
this.Close();
}
catch (System.Exception ex)
{
logger.Warn(ex.ToString());
}
}
public double GetOneUnitPnL(
Position_KtbSkel position, RawMarketData spotRmdClone, RawMarketData futureRmdClone)
{
double spotProfit = spotRmdClone.BidPrice1 - position.SpotAvgPriceTimeAdjust;
double futureProfit = (position.FutureAvgPrice - futureRmdClone.AskPrice1) * 100;
double pnl = spotProfit + futureProfit;
return pnl;
}
public Boolean IsExitChance(
Position_KtbSkel position, RawMarketData spotRmdClone, RawMarketData futureRmdClone)
{
double pnl = GetOneUnitPnL(position, spotRmdClone, futureRmdClone);
if (pnl >= kProfitPoint)
{
return true;
}
return false;
}
public void TestKtbSkelPosition()
{
List<Position_KtbSkel> data = new List<Position_KtbSkel>();
// 가장 싸게 사고 비싸게 판 경우
Position_KtbSkel datum1 = new Position_KtbSkel(
"", 10, 8888,
"", -10, 107.01);
Position_KtbSkel datum2 = new Position_KtbSkel(
"", 10, 8889,
"", -10, 107.01);
// 가장 비싸게 사고 싸게 판 경우
Position_KtbSkel datum3 = new Position_KtbSkel(
"", 10, 8889,
"", -10, 107.00);
data.Add(datum1);
data.Add(datum2);
data.Add(datum3);
data.Sort(delegate(Position_KtbSkel mine, Position_KtbSkel other)
{
double mineValue = (mine.FutureAvgPrice * 100.0 - mine.SpotAvgPriceTimeAdjust);
double otherValue = (other.FutureAvgPrice * 100.0 - other.SpotAvgPriceTimeAdjust);
// 값 의미 0보다
// 작음 이 개체는 other 매개 변수보다 작습니다.
// 0 이 개체는 other와 같습니다. 0보다 큼 이 개체는 other보다 큽니다.
if (mineValue < otherValue)
{
return -1;
}
else if (mineValue == otherValue)
{
return 0;
}
return 1;
});
Assert.AreEqual(data[0], datum3);
Assert.AreEqual(data[1], datum2);
Assert.AreEqual(data[2], datum1);
}
void TestPositionUtil_BigMinusBig()
{
Position_KtbSkel big1 = new Position_KtbSkel(
"", 20, 8888,
"", -20, 107.01);
Position_KtbSkel big2 = new Position_KtbSkel(
"", -20, 8887,
"", 20, 107.00);
Position_KtbSkel a = PositionUtil_KtbSkel.GetForwardMinusBackward(big1, big2);
Assert.AreEqual(a, null);
Position_KtbSkel b = PositionUtil_KtbSkel.GetBackwardMinusForward(big1, big2);
Assert.AreEqual(b, null);
Assert.AreEqual(PositionUtil_KtbSkel.IsZero(b), true);
}
public static Boolean IsZero(Position_KtbSkel pos)
{
if (pos == null || pos.SignedSpotCount == 0)
{
return true;
}
return false;
}
public static Boolean IsPlus(Position_KtbSkel pos)
{
if (pos == null)
{
return false;
}
if (pos.SignedSpotCount > 0)
{
return true;
}
return false;
}
public static PositionShareDivision_KtbSkel GetShareDivision(
Position_KtbSkel forward, Position_KtbSkel backward)
{
// A가 기존에 있는 값이고 B는 Reverse를 의미한다.
if (forward.SignedSpotCount <= 0 || backward.SignedSpotCount >= 0)
{
String ex = "Invalid";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
PositionShareDivision_KtbSkel sd = new PositionShareDivision_KtbSkel();
sd.DivisionForward = GetForwardMinusBackward(forward, backward);
sd.Share = GetShare(forward, backward);
sd.DivisionBackward = GetBackwardMinusForward(forward, backward);
if (IsZero(sd.DivisionForward) && IsZero(sd.DivisionBackward))
{
sd.DivisionType = PositionShareDivision_KtbSkel.ForwardBackwardDivisionType.RemainEmpty;
}
if (sd.DivisionForward != null &&
sd.DivisionBackward != null)
{
String ex = "Invalid";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
if (sd.DivisionForward != null)
{
sd.DivisionType = PositionShareDivision_KtbSkel.ForwardBackwardDivisionType.ForwardRemained;
}
if (sd.DivisionBackward != null)
{
sd.DivisionType = PositionShareDivision_KtbSkel.ForwardBackwardDivisionType.BackwardRemained;
}
return sd;
}
public static DonePosition_KtbSkel GetShare(Position_KtbSkel forward, Position_KtbSkel backward)
{
long spotUnsignedCount = Math.Min(
Math.Abs(forward.SignedSpotCount),
Math.Abs(backward.SignedSpotCount));
long futureUnsignedCount = Math.Min(
Math.Abs(forward.SignedFutureCount),
Math.Abs(backward.SignedFutureCount));
DonePosition_KtbSkel ret = new DonePosition_KtbSkel(
forward.SpotCode, spotUnsignedCount, forward.SpotAvgPriceTimeAdjust, backward.SpotAvgPriceTimeAdjust,
forward.FutureCode, futureUnsignedCount, forward.FutureAvgPrice, backward.FutureAvgPrice);
return ret;
}
public void Push(Position_KtbSkel position)
{
if (PositionUtil_KtbSkel.IsZero(position))
{
return;
}
CheckValidData(position, true);
_stack.Add(position);
SortStack();
}
void TestTakeOverPosition()
{
string strategyName = "unittest_position";
long maxNotional = 100;
double downBoundary = 0F;
double upBoundary = 10F;
StrategyManager.Ins().UnRegister(strategyName);
AgentManager.Ins().Clear();
STR_KtbSkel factory = new STR_KtbSkel();
Input_KtbSkel input = new Input_KtbSkel();
input.MaxNotional = maxNotional;
input.Spot10yrCode = "KR1035027161";
input.Future10yrCode = "167FC000";
Serializer serializer = new Serializer(typeof(Input_KtbSkel));
String jsonText = serializer.Serialize(input);
STR_KtbSkel strategy = StrategyBuilder_KtbSkel.CreateStrategy(jsonText, strategyName);
PrivateObject po = new PrivateObject(strategy);
STR_KtbSkel_Accessor strategyAcc = new STR_KtbSkel_Accessor(po);
strategyAcc.SetAccountOrderLimit();
ProcessController_KtbSkel controller = strategyAcc.Controller;
String spotCode = KtbSpotUtil.Ins().KtbSpot_10yr.Code;
String futureCode = KtbFutureUtil.Ins().KtbFuture_10yr_1.Code;
SortedPositionStack_KtbSkel target =
new SortedPositionStack_KtbSkel(controller, strategyName, spotCode, futureCode,
maxNotional, downBoundary, upBoundary);
SortedPositionStack_KtbSkel_Accessor acc =
new SortedPositionStack_KtbSkel_Accessor(
new PrivateObject(target));
acc._stack.Clear();
acc.DeleteTable();
int i = 1;
Position_KtbSkel pos1 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.00);
++i;
Position_KtbSkel pos2 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.04);
++i;
Position_KtbSkel pos3 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.02);
++i;
Position_KtbSkel pos4 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.03);
acc.Push(pos1);
acc.ToDB();
acc._stack.Clear();
acc.TakeOverPositionFromDB();
Assert.AreEqual(1, acc._stack.Count);
acc.DeleteTable();
acc._stack.Clear();
acc.Push(pos1);
acc.Push(pos2);
acc.Push(pos3);
acc.Push(pos4);
acc.ToDB();
acc._stack.Clear();
Assert.AreEqual(0, acc._stack.Count);
acc.TakeOverPositionFromDB();
Assert.AreEqual(4, acc._stack.Count);
Assert.AreEqual(acc.Peek().SignedSpotCount, 100);
}
// 포지션을 꺾을 때의 손익이다.
public static double GetPnLIfExit(Position_KtbSkel pos)
{
RawMarketData rmdSpot = RmdManager.Ins().GetData(pos.SpotCode);
RawMarketData rmdFuture = RmdManager.Ins().GetData(pos.FutureCode);
double spotOutPrice = rmdSpot.BidPrice1;
double futureOutPrice = rmdFuture.AskPrice1;
double spotInPrice = pos.SpotAvgPriceTimeAdjust;
double futureInPrice = pos.FutureAvgPrice;
long spotUnsignedCount = Math.Abs(pos.SignedSpotCount);
long futureUnsignedCount = Math.Abs(pos.SignedFutureCount);
double spotPnL =
(spotOutPrice - spotInPrice) * (double)spotUnsignedCount * CommonConst._10_000;
double futureOnePointAmount = ProductUtil.Ins().GetOnePointAmount(pos.FutureCode);
double futurePnL =
(futureInPrice - futureOutPrice) * (double)futureUnsignedCount * futureOnePointAmount;
return spotPnL + futurePnL;
}
public void Erase(Position_KtbSkel backward)
{
if (KtbSpotUtil.Ins().IsDirtyNotional(backward.SignedSpotCount))
{
String ex = "Dirty notional";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
CheckValidData(backward, false);
while (true)
{
if (PositionUtil_KtbSkel.IsZero(backward))
{
break;
}
Position_KtbSkel top = Peek();
if (top == null)
{
String ex = "Invalid";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
break;
}
PositionShareDivision_KtbSkel sd = PositionUtil_KtbSkel.GetShareDivision(top, backward);
backward = sd.DivisionBackward;
if (sd.Share != null)
{
_donePositions.Add(sd.Share);
}
switch (sd.DivisionType)
{
case PositionShareDivision_KtbSkel.ForwardBackwardDivisionType.ForwardRemained:
{
// 양수, top > reversePosition
Position_KtbSkel remainTop = sd.DivisionForward;
Pop();
Push(remainTop);
break;
}
case PositionShareDivision_KtbSkel.ForwardBackwardDivisionType.RemainEmpty:
{
// 지우고 끝
Pop();
break;
}
case PositionShareDivision_KtbSkel.ForwardBackwardDivisionType.BackwardRemained:
{
// 지우고 또 지운다.
Pop();
break;
}
default:
String ex = "여기에 오면 안된다.";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
break;
}
}
}
Boolean IsEmpty(Position_KtbSkel pos)
{
if (pos.SignedSpotCount == 0 && pos.SignedFutureCount == 0)
{
return true;
}
return false;
}
void InsertToDB_Raw(Position_KtbSkel pos)
{
String queryTemplate = "insert into ktb_skel_position " +
"(strategy_name, spot_code, spot_count, spot_avg_price, " +
"future_code, future_count, future_avg_price, trading_date) values " +
"('{0}', '{1}', {2}, {3}, '{4}', {5}, {6}, '{7}')";
String query = String.Format(
queryTemplate,
StrategyName,
pos.SpotCode, pos.SignedSpotCount, pos.SpotAvgPriceTimeAdjust - pos.TimeRising,
pos.FutureCode, pos.SignedFutureCount, pos.FutureAvgPrice,
pos.TradingDate.ToString("yyyy-MM-dd"));
int ret = DBUtil.Execute(query, CommonConst.DATABASE_MADVIPER);
if (ret != 1)
{
logger.Warn("Delete query error. Insert fail");
}
}
void CheckValidData(Position_KtbSkel position, Boolean bForward)
{
String ex = "Invalid Data";
if (position.SpotCode.CompareTo(this.SpotCode) != 0)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
if (position.FutureCode.CompareTo(this.FutureCode) != 0)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
if (bForward)
{
if (position.SignedSpotCount < 0 || position.SignedFutureCount > 0)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
}
else
{
if (position.SignedSpotCount > 0 || position.SignedFutureCount < 0)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
}
}
public Boolean TakeOverPositionFromDB()
{
String query = String.Format(
"select * from ktb_skel_position where strategy_name = '{0}'",
this.StrategyName);
DataRowCollection rows = DBUtil.SelectFromDB(query, CommonConst.DATABASE_MADVIPER);
long notionalTotal = 0;
for (int i = 0; i < rows.Count; ++i)
{
DataRow row = rows[i];
String spotCode = Convert.ToString(row["spot_code"]);
long spotCount = Convert.ToInt64(row["spot_count"]);
double spotAvgPrice = Convert.ToDouble(row["spot_avg_price"]);
String futureCode = Convert.ToString(row["future_code"]);
long futureCount = Convert.ToInt64(row["future_count"]);
double futureAvgPrice = Convert.ToDouble(row["future_avg_price"]);
DateTime tradingDate = Convert.ToDateTime(row["trading_date"]);
if (spotCount <= 0)
{
String ex = "국채현물 수량 이상.";
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
long timeRising = (DateTime.Now - tradingDate).Days;
spotAvgPrice += timeRising;
Position_KtbSkel pos = new Position_KtbSkel(
spotCode, spotCount, spotAvgPrice,
futureCode, futureCount, futureAvgPrice,
tradingDate, timeRising);
double reqPrice = KtbSpotUtil.Ins().RoundProductPrice(spotAvgPrice);
RawMarketData rmd = RmdManager.Ins().KtbSpot.GetData(spotCode);
RawMarketData rmdClone = rmd.Clone() as RawMarketData;
Push(pos);
notionalTotal += spotCount;
}
if (notionalTotal <= this.MaxNotional)
{
return true;
}
else
{
return false;
}
}
void TestErase_Raw(SortedPositionStack_KtbSkel_Accessor acc)
{
Assert.AreEqual(acc._stack.Count, 3);
{
// 3억에서 1억만 지운다.
Position_KtbSkel erase = new Position_KtbSkel(
"", -10, 8899,
"", 10, 107.0);
acc.Erase(erase);
CheckRateAndNotional(acc, 0, 0, 0, 50);
}
Assert.AreEqual(acc._stack.Count, 3);
{
// 3억을 지운다.
Position_KtbSkel erase = new Position_KtbSkel(
"", -30, 8899,
"", 30, 107.0);
acc.Erase(erase);
CheckRateAndNotional(acc, 0, 0, 0, 20);
}
Assert.AreEqual(acc._stack.Count, 2);
{
// 1억을 지운다.
Position_KtbSkel erase = new Position_KtbSkel(
"", -10, 8899,
"", 10, 107.0);
acc.Erase(erase);
CheckRateAndNotional(acc, 0, 0, 0, 10);
}
Assert.AreEqual(acc._stack.Count, 1);
}
void TestPositionUtil_BigMinusSmall()
{
Position_KtbSkel forward = new Position_KtbSkel(
"", 20, 8888,
"", -20, 107.01);
Position_KtbSkel small = new Position_KtbSkel(
"", -10, 8887,
"", 10, 107.00);
Position_KtbSkel big = new Position_KtbSkel(
"", -30, 8886,
"", 30, 106.99);
Position_KtbSkel a = PositionUtil_KtbSkel.GetForwardMinusBackward(forward, small);
Assert.AreEqual(a.SpotAvgPriceTimeAdjust, forward.SpotAvgPriceTimeAdjust);
Assert.AreEqual(a.FutureAvgPrice, forward.FutureAvgPrice);
Assert.AreEqual(a.SignedSpotCount, 10);
Assert.AreEqual(a.SignedFutureCount, -10);
Position_KtbSkel b = PositionUtil_KtbSkel.GetBackwardMinusForward(forward, big);
Assert.AreEqual(b.SpotAvgPriceTimeAdjust, big.SpotAvgPriceTimeAdjust);
Assert.AreEqual(b.FutureAvgPrice, big.FutureAvgPrice);
Assert.AreEqual(b.SignedSpotCount, -10);
Assert.AreEqual(b.SignedFutureCount, 10);
Assert.AreEqual(PositionUtil_KtbSkel.IsPlus(a), true);
Assert.AreEqual(PositionUtil_KtbSkel.IsPlus(b), false);
Assert.AreEqual(PositionUtil_KtbSkel.IsZero(b), false);
}
public void TestSortedPositionStack_KtbSkel()
{
long maxNotional = 100;
double downBoundary = 0F;
double upBoundary = 10F;
String spotCode = KtbSpotUtil.Ins().KtbSpot_10yr.Code;
String futureCode = KtbFutureUtil.Ins().KtbFuture_10yr_1.Code;
SortedPositionStack_KtbSkel target = new SortedPositionStack_KtbSkel(null, "unittest", spotCode, futureCode,
maxNotional, downBoundary, upBoundary);
Assert.AreEqual(target.MaxNotional, maxNotional);
Assert.AreEqual(target.DownBoundary, downBoundary);
Assert.AreEqual(target.UpBoundary, upBoundary);
SortedPositionStack_KtbSkel_Accessor acc = new SortedPositionStack_KtbSkel_Accessor(
new PrivateObject(target));
// 미만
CheckRateAndNotional(acc, -0.1F, 0.0F, 0, 0);
CheckRateAndNotional(acc, -10.0F, 0.0F, 0, 0);
// 정상상태
CheckRateAndNotional(acc, 0.0F, 0.0F, 0, 0);
CheckRateAndNotional(acc, 1.0F, 0.1F, (long)(maxNotional * 0.1), 0);
CheckRateAndNotional(acc, 3.0F, 0.3F, (long)(maxNotional * 0.3), 0);
CheckRateAndNotional(acc, 10.0F, 1.0F, maxNotional, 0);
// 오버
CheckRateAndNotional(acc, 11.0F, 1.0F, maxNotional, 0);
CheckRateAndNotional(acc, 100.0F, 1.0F, maxNotional, 0);
CheckRateAndNotional(acc, 0.1F, 0.01F, 0, 0);
CheckRateAndNotional(acc, 0.25F, 0.025F, 0, 0);
//push pos1
Position_KtbSkel pos1 = new Position_KtbSkel(
spotCode, 10, 8889,
futureCode, -10, 107.00);
acc.Push(pos1);
CheckRateAndNotional(acc, 0, 0, 0, 10);
//push pos2
Position_KtbSkel pos2 = new Position_KtbSkel(
spotCode, 20, 8888,
futureCode, -20, 107.00);
acc.Push(pos2);
CheckRateAndNotional(acc, 0, 0, 0, 30);
//push pos3
Position_KtbSkel pos3 = new Position_KtbSkel(
spotCode, 30, 8887,
futureCode, -30, 107.10);
acc.Push(pos3); // pos3가 top
CheckRateAndNotional(acc, 0, 0, 0, 60);
TestErase_Raw(acc);
TestReverseSweeperAfterTakeOverPosition();
}
void TestPositionUtil_SmallMinusBig()
{
Position_KtbSkel small = new Position_KtbSkel(
"", 10, 8888,
"", -10, 107.01);
Position_KtbSkel big = new Position_KtbSkel(
"", -20, 8887,
"", 20, 107.00);
Position_KtbSkel a = PositionUtil_KtbSkel.GetForwardMinusBackward(small, big);
Assert.AreEqual(a, null);
Position_KtbSkel b = PositionUtil_KtbSkel.GetBackwardMinusForward(small, big);
Assert.AreEqual(b.SpotAvgPriceTimeAdjust, big.SpotAvgPriceTimeAdjust);
Assert.AreEqual(b.FutureAvgPrice, big.FutureAvgPrice);
Assert.AreEqual(b.SignedSpotCount, -10);
Assert.AreEqual(b.SignedFutureCount, 10);
Assert.AreEqual(PositionUtil_KtbSkel.IsPlus(b), false);
Assert.AreEqual(PositionUtil_KtbSkel.IsZero(b), false);
}
