/// <summary>
/// 获得期权盘口价格变动的函数。
/// </summary>
/// <returns>盘口价格的变动</returns>
public optionPositionChange[] GetPositionChange()
{
optionPositionChange[] changeArray = new optionPositionChange[28802];
for (int i = 1; i < optionList.Count; i++)
{
optionFormat lastPosition = optionList[i - 1];
optionFormat thisPosition = optionList[i];
changeArray[TradeDays.TimeToIndex(thisPosition.time)] = getChange(lastPosition, thisPosition);
}
return(changeArray);
}
/// <summary>
/// 根据期权的数据整理得到链表。
/// </summary>
/// <param name="data">DataTable格式的数据源</param>
/// <returns>List格式的处理后的数据</returns>
public List <optionFormat> GetOptionList(DataTable data)
{
List <optionFormat> optionList = new List <optionFormat>();
int lastTime = 0;
foreach (DataRow row in data.Rows)
{
optionFormat option = new optionFormat();
option.ask = new optionPriceWithGreek[5];
option.bid = new optionPriceWithGreek[5];
option.code = (int)row["Code"];
option.type = row["OptionType"].ToString().Trim();
option.strike = (double)row["Strike"];
option.startDate = (int)row["StartDate"];
option.endDate = (int)row["EndDate"];
option.date = (int)row["Date"];
//剔除非交易时间的交易数据。
int now = (int)row["Time"] + (int)row["Tick"] * 500;
if (now < 93000000 || (now > 113000000 && now < 130000000) || (now > 150000000) || (int)row["Tick"] >= 2)
{
continue;
}
if (now <= lastTime)
{
continue;
}
option.time = now;
lastTime = now;
option.lastPrice = (double)row["LastPrice"];
for (int i = 1; i <= 5; i++)
{
option.ask[i - 1] = new optionPriceWithGreek((double)row["Ask" + i.ToString()], (double)row["Askv" + i.ToString()], (double)row["Ask" + i.ToString() + "Volatility"], (double)row["Ask" + i.ToString() + "Delta"]);
option.bid[i - 1] = new optionPriceWithGreek((double)row["Bid" + i.ToString()], (double)row["Bidv" + i.ToString()], (double)row["Bid" + i.ToString() + "Volatility"], (double)row["Bid" + i.ToString() + "Delta"]);
}
option.openMargin = (double)row["OpenMargin"];
option.preClose = (double)row["PreClose"];
option.preSettle = (double)row["Presettle"];
option.midDelta = (double)row["MidDelta"];
option.midVolatility = (double)row["MidVolatility"];
optionList.Add(option);
}
return(optionList);
}
/// <summary>
/// 根据当前状态和前一状态，得到两个状态之间的变动情况。
/// </summary>
/// <param name="lastPosition">前一状态</param>
/// <param name="thisPosition">当前状态</param>
/// <returns>变动情况</returns>
private optionPositionChange getChange(optionFormat lastPosition, optionFormat thisPosition)
{
int lastTime = lastPosition.time;
int thisTime = thisPosition.time;
optionPositionChange myChange = new optionPositionChange(lastTime, thisTime, thisPosition.lastPrice, thisPosition.midDelta, thisPosition.midVolatility);
//分别处理ask和bid的盘口价格，通过分析前一状态的盘口价格和后一状态的盘口价格，得到两个盘口价格之间的具体变动信息。数据结构使用哈希表便于理解和处理。
#region ask处理的新方法
SortedDictionary <double, optionPriceWithGreek> askChange = new SortedDictionary <double, optionPriceWithGreek>();
for (int index = 0; index < 5; index++)
{
if (askChange.ContainsKey(thisPosition.ask[index].price))
{
optionPriceWithGreek newStatus = askChange[thisPosition.ask[index].price];
newStatus.volume += thisPosition.ask[index].volume;
newStatus.volatility = thisPosition.ask[index].volatility;
newStatus.delta = thisPosition.ask[index].delta;
askChange[thisPosition.ask[index].price] = newStatus;
}
else
{
optionPriceWithGreek newStatus = new optionPriceWithGreek(thisPosition.ask[index].price, thisPosition.ask[index].volume, thisPosition.ask[index].volatility, thisPosition.ask[index].delta);
askChange.Add(thisPosition.ask[index].price, thisPosition.ask[index]);
}
if (askChange.ContainsKey(lastPosition.ask[index].price))
{
optionPriceWithGreek newStatus = askChange[lastPosition.ask[index].price];
newStatus.volume -= lastPosition.ask[index].volume;
newStatus.volatility = lastPosition.ask[index].volatility;
newStatus.delta = lastPosition.ask[index].delta;
askChange[lastPosition.ask[index].price] = newStatus;
}
else
{
optionPriceWithGreek newStatus = new optionPriceWithGreek(lastPosition.ask[index].price, -lastPosition.ask[index].volume, lastPosition.ask[index].volatility, lastPosition.ask[index].delta);
askChange.Add(lastPosition.ask[index].price, newStatus);
}
}
foreach (var item in askChange)
{
if (item.Value.volume != 0)
{
myChange.askChange.Add(item.Value);
}
}
#endregion
#region bid处理的新方法
Dictionary <double, optionPriceWithGreek> bidChange = new Dictionary <double, optionPriceWithGreek>();
for (int index = 0; index < 5; index++)
{
if (bidChange.ContainsKey(thisPosition.bid[index].price))
{
optionPriceWithGreek newStatus = bidChange[thisPosition.bid[index].price];
newStatus.volume += thisPosition.bid[index].volume;
newStatus.volatility = thisPosition.bid[index].volatility;
newStatus.delta = thisPosition.bid[index].delta;
bidChange[thisPosition.bid[index].price] = newStatus;
}
else
{
optionPriceWithGreek newStatus = new optionPriceWithGreek(thisPosition.bid[index].price, thisPosition.bid[index].volume, thisPosition.bid[index].volatility, thisPosition.bid[index].delta);
bidChange.Add(thisPosition.bid[index].price, thisPosition.bid[index]);
}
if (bidChange.ContainsKey(lastPosition.bid[index].price))
{
optionPriceWithGreek newStatus = bidChange[lastPosition.bid[index].price];
newStatus.volume -= lastPosition.bid[index].volume;
newStatus.volatility = lastPosition.bid[index].volatility;
newStatus.delta = lastPosition.bid[index].delta;
bidChange[lastPosition.bid[index].price] = newStatus;
}
else
{
optionPriceWithGreek newStatus = new optionPriceWithGreek(lastPosition.bid[index].price, -lastPosition.bid[index].volume, lastPosition.bid[index].volatility, lastPosition.bid[index].delta);
bidChange.Add(lastPosition.bid[index].price, newStatus);
}
}
bidChange = bidChange.OrderByDescending(o => o.Key).ToDictionary(o => o.Key, p => p.Value);
foreach (var item in bidChange)
{
if (item.Value.volume != 0)
{
myChange.bidChange.Add(item.Value);
}
}
#endregion
return(myChange);
}
/// <summary>
/// 根据前一状态和变动情况得到新的状态
/// </summary>
/// <param name="lastShot">前一状态</param>
/// <param name="change">变动情况</param>
/// <returns>新的状态</returns>
public static optionFormat GetPositionShot(optionFormat lastShot, optionPositionChange change)
{
//记录常量
optionFormat nextShot = new optionFormat();
nextShot.code = lastShot.code;
nextShot.date = lastShot.date;
nextShot.time = change.thisTime;
nextShot.startDate = lastShot.startDate;
nextShot.endDate = lastShot.endDate;
nextShot.openMargin = lastShot.openMargin;
nextShot.preClose = lastShot.preClose;
nextShot.preSettle = lastShot.preSettle;
nextShot.strike = lastShot.strike;
nextShot.type = lastShot.type;
nextShot.lastPrice = change.lastPrice;
nextShot.midDelta = change.midDelta;
nextShot.midVolatility = change.midVolatility;
//计算变动的部分
#region 计算ask部分
SortedDictionary <double, optionPriceWithGreek> ask = new SortedDictionary <double, optionPriceWithGreek>();
if (lastShot.ask != null)
{
for (int i = 0; i < lastShot.ask.Length; i++)
{
optionPriceWithGreek status = new optionPriceWithGreek(lastShot.ask[i].price, lastShot.ask[i].volume, lastShot.ask[i].volatility, lastShot.ask[i].delta);
if (status.price > 0 && status.volume > 0)
{
ask.Add(status.price, status);
}
}
}
foreach (optionPriceWithGreek status in change.askChange)
{
if (ask.ContainsKey(status.price))
{
ask[status.price] = new optionPriceWithGreek(ask[status.price].price, ask[status.price].volume + status.volume, status.volatility, status.delta);
}
else
{
if (status.price > 0 && status.volume > 0)
{
ask.Add(status.price, new optionPriceWithGreek(status.price, status.volume, status.volatility, status.delta));
}
}
}
int num = 0;
nextShot.ask = new optionPriceWithGreek[5];
foreach (var item in ask)
{
if (item.Value.volume > 0)
{
nextShot.ask[num].price = item.Value.price;
nextShot.ask[num].volume = item.Value.volume;
nextShot.ask[num].volatility = item.Value.volatility;
nextShot.ask[num].delta = item.Value.delta;
num += 1;
}
if (num >= 5)
{
break;
}
}
#endregion
#region 计算bid部分
Dictionary <double, optionPriceWithGreek> bid = new Dictionary <double, optionPriceWithGreek>();
if (lastShot.bid != null)
{
for (int i = 0; i < lastShot.bid.Length; i++)
{
optionPriceWithGreek status = new optionPriceWithGreek(lastShot.bid[i].price, lastShot.bid[i].volume, lastShot.bid[i].volatility, lastShot.bid[i].delta);
if (status.price > 0 && status.volume > 0)
{
bid.Add(status.price, status);
}
}
}
foreach (optionPriceWithGreek status in change.bidChange)
{
if (bid.ContainsKey(status.price))
{
bid[status.price] = new optionPriceWithGreek(bid[status.price].price, bid[status.price].volume + status.volume, status.volatility, status.delta);
}
else
{
if (status.price > 0 && status.volume > 0)
{
bid.Add(status.price, new optionPriceWithGreek(status.price, status.volume, status.volatility, status.delta));
}
}
}
bid = bid.OrderByDescending(o => o.Key).ToDictionary(o => o.Key, p => p.Value);
num = 0;
nextShot.bid = new optionPriceWithGreek[5];
foreach (var item in bid)
{
if (item.Value.volume > 0)
{
nextShot.bid[num].price = item.Value.price;
nextShot.bid[num].volume = item.Value.volume;
nextShot.bid[num].volatility = item.Value.volatility;
nextShot.bid[num].delta = item.Value.delta;
num += 1;
}
if (num >= 5)
{
break;
}
}
#endregion
return(nextShot);
}