public void Initialize()
{
using (var context = new QTContext())
{
_universe = context.Universe.Where(x => x.FirstDate != null).ToList();
_universe.ForEach(x =>
{
AssetManager.Instance.AddAsset(x.AssetCode, x.AssetName);
});
}
}
public List <Subject> GetUniverse(string country, string exchange)
{
if (exchange == null)
{
return(_universe.Where(x => x.Country == country && x.MarketCap > 0).ToList());
}
else
{
if (exchange.Contains("FX"))
{
var universe = _universe.Where(x => x.Country == country && x.Exchange == "FX").ToList();
using (var context = new QTContext())
{
if (exchange == "FX_1d")
{
universe.ForEach(subject =>
{
subject.FirstDate = context.FX1D.Where(x => x.AssetCode == subject.AssetCode).Min(x => x.CreatedAt);
});
}
else if (exchange == "FX_1w")
{
universe.ForEach(subject =>
{
subject.FirstDate = context.FX1W.Where(x => x.AssetCode == subject.AssetCode).Min(x => x.CreatedAt);
});
}
else if (exchange == "FX_60m")
{
universe.ForEach(subject =>
{
subject.FirstDate = context.FX60M.Where(x => x.AssetCode == subject.AssetCode).Min(x => x.CreatedAt);
});
}
}
return(universe);
}
else
{
return(_universe.Where(x => x.Country == country && x.Exchange == exchange && x.MarketCap > 0).ToList());
}
}
}
private List <DateTime> CreateCalendar(DateTime start, DateTime end, string country)
{
var tradingCalendar = new List <DateTime>();
using (var context = new QTContext())
{
if (country.Contains("FX"))
{
tradingCalendar = context.TradingCalendars.Where(x => x.TradingDate >= start && x.TradingDate <= end && x.IsoCode == country).Select(x => x.TradingDate).ToList();
}
else
{
tradingCalendar = context.TradingCalendars.Where(x => x.TradingDate >= start && x.TradingDate <= end && x.Country == country && !x.IsoCode.Contains("FX"))
.Select(x => x.TradingDate).ToList();
}
}
return(tradingCalendar);
}
private void RunBenchmark(ReqAnalyzePortfolio request, BacktestingProperty property, DateTime startDate, DateTime endDate, List <DateTime> tradingCalendar, List <Report> reports)
{
var simulator = new Simulator();
using (var context = new QTContext())
{
var assetCode = request.Benchmark.AssetCode;
var tradingDataset = new Dictionary <DateTime, ITradingData>();
var benchmarkDataset = new Dictionary <string, Dictionary <DateTime, ITradingData> >();
if (request.Country == "JP")
{
var index = context.Indices.Where(x => x.AssetCode == assetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate);
if (0 < index.Count())
{
index.ToList().ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
else if (request.Country == "KR")
{
var index = context.KoreaIndices.Where(x => x.AssetCode == assetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate);
if (0 < index.Count())
{
index.ToList().ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
benchmarkDataset.Add(assetCode, tradingDataset);
var strategy = new BuyAndHold();
var benchmark = new Dictionary <string, PortfolioSubject>();
benchmark.Add(assetCode, request.Benchmark);
var report = strategy.Run(benchmarkDataset, tradingCalendar, property, benchmark, period: Period.Day, isBenchmark: true);
reports.Add(report);
}
}
public List <Report> AnalyzePortfolio(ReqAnalyzePortfolio request, bool analyzeBenchmark = true)
{
var period = Period.Day;
if (request.Country == null)
{
request.Country = "JP";
}
var startDate = DateTime.ParseExact(request.StartDate, "yyyy-MM-dd", CultureInfo.InvariantCulture);
var endDate = DateTime.ParseExact(request.EndDate, "yyyy-MM-dd", CultureInfo.InvariantCulture);
BacktestingProperty property = new BacktestingProperty()
{
Start = startDate,
End = endDate,
Capital = request.Capital,
BenchmarkType = BenchmarkType.Nikkei225,
CommissionType = request.CommissionType == "Ratio" ? CommissionType.Ratio : CommissionType.Fixed,
Commission = request.Commission,
SlippageType = request.SlippageType == "Ratio" ? SlippageType.Ratio : SlippageType.Fixed,
Slippage = request.Slippage,
BuyAndHold = true,
VolatilityBreakout = true,
MovingAverage = true,
UseOutstandingBalance = request.AllowLeverage,
UsePointVolume = request.AllowDecimalPoint,
TradeType = request.OrderVolumeType == "Ratio" ? TradeType.Ratio : TradeType.Fixed
};
var strategies = new Dictionary <StrategyType, StrategyBase>();
if (request.UseBuyAndHold)
{
strategies.Add(StrategyType.BuyAndHold, new BuyAndHold());
}
if (request.UseVolatilityBreakout)
{
strategies.Add(StrategyType.VolatilityBreakout, new VolatilityBreakout());
}
if (request.UseMovingAverage)
{
strategies.Add(StrategyType.MovingAverage, new MovingAverage());
}
// 각 종목별 OHLC 데이터
var portfolioDataset = new Dictionary <string, Dictionary <DateTime, ITradingData> >();
foreach (var subject in request.Portfolio)
{
var tradingDataset = new Dictionary <DateTime, ITradingData>();
using (var context = new QTContext())
{
if (request.Country == "FX_1D")
{
period = Period.Day;
var fx = context.FX1D.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var fxCopy = fx.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = 0
}).ToList();
fxCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "FX_1W")
{
period = Period.Week;
var fx = context.FX1W.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var fxCopy = fx.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = 0
}).ToList();
fxCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "FX_60M")
{
period = Period.Min60;
var fx = context.FX60M.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var fxCopy = fx.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = 0
}).ToList();
fxCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "JP")
{
// 원본
var stock = context.Stocks.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var stockCopy = stock.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = x.Volume
}).ToList();
// 분할정보
var splits = context.Splits.Where(x => x.AssetCode == subject.AssetCode).ToList();
// 분할적용
splits.ForEach(split =>
{
foreach (var s in stockCopy.Where(x => x.CreatedAt < split.SplitDate))
{
s.Open = s.Open / split.SplitRatio;
s.High = s.High / split.SplitRatio;
s.Low = s.Low / split.SplitRatio;
s.Close = s.Close / split.SplitRatio;
}
});
stockCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
else if (request.Country == "KR")
{
var stock = context.KoreaStocks.Where(x => x.AssetCode == subject.AssetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate).ToList();
var stockCopy = stock.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = x.Volume
}).ToList();
stockCopy.ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
portfolioDataset.Add(subject.AssetCode, tradingDataset);
}
var tradingCalendar = CreateCalendar(startDate, endDate, request.Country);
var reports = new List <Report>();
// benchmark
if (analyzeBenchmark)
{
RunBenchmark(request, property, startDate, endDate, tradingCalendar, reports);
}
// portfolio
var portfolio = request.Portfolio.ToDictionary(x => x.AssetCode, x => x);
foreach (var strategy in strategies.Values)
{
var report = strategy.Run(portfolioDataset, tradingCalendar, property, portfolio, period);
reports.Add(report);
}
return(reports);
}
public ActionResult <ResOpenPrice> OpenPrice([FromBody] ReqOpenPrice request)
{
if (!Validate(request.StartDate))
{
return(null);
}
var date = DateTime.ParseExact(request.StartDate, "yyyy-MM-dd", CultureInfo.InvariantCulture);
using (var context = new QTContext())
{
var response = new ResOpenPrice();
foreach (var asset in request.Assets)
{
if (asset.AssetCode == "JP225")
{
var index = context.Indices
.Where(x => x.CreatedAt >= date && x.AssetCode == asset.AssetCode)
.OrderBy(x => x.CreatedAt)
.Take(10) // date가 실제 트레이딩 날짜가 아닐 수 있기 때문에 최대 10일 뒤의 데이터를 가져온다.(10일간 거래를 안할 수 없다는 가정)
.FirstOrDefault();
var indexCopy = new Index()
{
CreatedAt = index.CreatedAt,
AssetCode = index.AssetCode,
AssetName = index.AssetName,
Close = index.Close,
Open = index.Open,
High = index.High,
Low = index.Low,
Volume = index.Volume
};
// 분할정보
var splits = context.Splits.Where(x => x.AssetCode == asset.AssetCode).ToList();
// 분할적용
splits.ForEach(split =>
{
if (indexCopy.CreatedAt < split.SplitDate)
{
indexCopy.Open = indexCopy.Open / split.SplitRatio;
indexCopy.High = indexCopy.High / split.SplitRatio;
indexCopy.Low = indexCopy.Low / split.SplitRatio;
indexCopy.Close = indexCopy.Close / split.SplitRatio;
}
});
response.Data.Add(new ResOpenPrice.Context
{
AssetCode = asset.AssetCode,
AssetName = AssetManager.Instance.GetAssetName(asset.AssetCode),
Exchange = asset.Exchange,
Date = indexCopy.CreatedAt,
OpenPrice = indexCopy.Open,
});
}
else if (asset.AssetCode == "KOSPI")
{
var index = context.KoreaIndices
.Where(x => x.CreatedAt >= date && x.AssetCode == asset.AssetCode)
.OrderBy(x => x.CreatedAt)
.Take(10) // date가 실제 트레이딩 날짜가 아닐 수 있기 때문에 최대 10일 뒤의 데이터를 가져온다.(10일간 거래를 안할 수 없다는 가정)
.FirstOrDefault();
var indexCopy = new KoreaIndex()
{
CreatedAt = index.CreatedAt,
AssetCode = index.AssetCode,
Close = index.Close,
Open = index.Open,
High = index.High,
Low = index.Low,
Volume = index.Volume
};
response.Data.Add(new ResOpenPrice.Context
{
AssetCode = asset.AssetCode,
AssetName = AssetManager.Instance.GetAssetName(asset.AssetCode),
Exchange = asset.Exchange,
Date = indexCopy.CreatedAt,
OpenPrice = indexCopy.Open,
});
}
else if (asset.Exchange == "TSE" || asset.Exchange == "ETF" || asset.Exchange == "NIKKEI")
{
var stock = context.Stocks
.Where(x => x.CreatedAt >= date && x.AssetCode == asset.AssetCode)
.OrderBy(x => x.CreatedAt)
.Take(10) // date가 실제 트레이딩 날짜가 아닐 수 있기 때문에 최대 10일 뒤의 데이터를 가져온다.(10일간 거래를 안할 수 없다는 가정)
.FirstOrDefault();
var stockCopy = new Stock
{
CreatedAt = stock.CreatedAt,
AssetCode = stock.AssetCode,
Close = stock.Close,
Open = stock.Open,
High = stock.High,
Low = stock.Low,
Volume = stock.Volume
};
// 분할정보
var splits = context.Splits.Where(x => x.AssetCode == asset.AssetCode).ToList();
// 분할적용
splits.ForEach(split =>
{
if (stockCopy.CreatedAt < split.SplitDate)
{
stockCopy.Open = stockCopy.Open / split.SplitRatio;
stockCopy.High = stockCopy.High / split.SplitRatio;
stockCopy.Low = stockCopy.Low / split.SplitRatio;
stockCopy.Close = stockCopy.Close / split.SplitRatio;
}
});
response.Data.Add(new ResOpenPrice.Context
{
AssetCode = asset.AssetCode,
AssetName = AssetManager.Instance.GetAssetName(asset.AssetCode),
Exchange = asset.Exchange,
Date = stockCopy.CreatedAt,
OpenPrice = stockCopy.Open,
});
}
else if (asset.Exchange == "KOSPI" || asset.Exchange == "KOSDAQ")
{
var stock = context.KoreaStocks
.Where(x => x.CreatedAt >= date && x.AssetCode == asset.AssetCode)
.OrderBy(x => x.CreatedAt)
.Take(10) // date가 실제 트레이딩 날짜가 아닐 수 있기 때문에 최대 10일 뒤의 데이터를 가져온다.(10일간 거래를 안할 수 없다는 가정)
.FirstOrDefault();
var stockCopy = new KoreaStock
{
CreatedAt = stock.CreatedAt,
AssetCode = stock.AssetCode,
Close = stock.Close,
Open = stock.Open,
High = stock.High,
Low = stock.Low,
Volume = stock.Volume
};
response.Data.Add(new ResOpenPrice.Context
{
AssetCode = asset.AssetCode,
AssetName = AssetManager.Instance.GetAssetName(asset.AssetCode),
Exchange = asset.Exchange,
Date = stockCopy.CreatedAt,
OpenPrice = stockCopy.Open,
});
}
else if (asset.Exchange == "FX_1D")
{
var fx = context.FX1D
.Where(x => x.CreatedAt >= date && x.AssetCode == asset.AssetCode)
.OrderBy(x => x.CreatedAt)
.Take(10) // date가 실제 트레이딩 날짜가 아닐 수 있기 때문에 최대 10일 뒤의 데이터를 가져온다.(10일간 거래를 안할 수 없다는 가정)
.FirstOrDefault();
var fxCopy = new FX1D
{
CreatedAt = fx.CreatedAt,
AssetCode = fx.AssetCode,
Close = fx.Close,
Open = fx.Open,
High = fx.High,
Low = fx.Low,
Volume = 0
};
response.Data.Add(new ResOpenPrice.Context
{
AssetCode = asset.AssetCode,
AssetName = AssetManager.Instance.GetAssetName(asset.AssetCode),
Exchange = asset.Exchange,
Date = fxCopy.CreatedAt,
OpenPrice = fxCopy.Open,
});
}
else if (asset.Exchange == "FX_1W")
{
var fx = context.FX1W
.Where(x => x.CreatedAt >= date && x.AssetCode == asset.AssetCode)
.OrderBy(x => x.CreatedAt)
.Take(10) // date가 실제 트레이딩 날짜가 아닐 수 있기 때문에 최대 10일 뒤의 데이터를 가져온다.(10일간 거래를 안할 수 없다는 가정)
.FirstOrDefault();
var fxCopy = new FX1W
{
CreatedAt = fx.CreatedAt,
AssetCode = fx.AssetCode,
Close = fx.Close,
Open = fx.Open,
High = fx.High,
Low = fx.Low,
Volume = 0
};
response.Data.Add(new ResOpenPrice.Context
{
AssetCode = asset.AssetCode,
AssetName = AssetManager.Instance.GetAssetName(asset.AssetCode),
Exchange = asset.Exchange,
Date = fxCopy.CreatedAt,
OpenPrice = fxCopy.Open,
});
}
else if (asset.Exchange == "FX_60M")
{
var fx = context.FX60M
.Where(x => x.CreatedAt >= date && x.AssetCode == asset.AssetCode)
.OrderBy(x => x.CreatedAt)
.Take(10) // date가 실제 트레이딩 날짜가 아닐 수 있기 때문에 최대 10일 뒤의 데이터를 가져온다.(10일간 거래를 안할 수 없다는 가정)
.FirstOrDefault();
var fxCopy = new FX60M
{
CreatedAt = fx.CreatedAt,
AssetCode = fx.AssetCode,
Close = fx.Close,
Open = fx.Open,
High = fx.High,
Low = fx.Low,
Volume = 0
};
response.Data.Add(new ResOpenPrice.Context
{
AssetCode = asset.AssetCode,
AssetName = AssetManager.Instance.GetAssetName(asset.AssetCode),
Exchange = asset.Exchange,
Date = fxCopy.CreatedAt,
OpenPrice = fxCopy.Open,
});
}
}
return(response);
}
}
public void Run()
{
using (var context = new QTContext())
{
var universe = context.Universe.Where(x => int.Parse(x.AssetCode) < 2201).ToList();
var sql = "";
foreach (var subject in universe)
{
var tradingDataset = new List <ITradingData>();
// 분할정보
var splits = context.Splits.Where(x => x.AssetCode == subject.AssetCode).ToList();
if (0 < splits.Count)
{
// 원본
var stock = context.Stocks.Where(x => x.AssetCode == subject.AssetCode).ToList();
var stockCopy = stock.Select(x => new Stock
{
CreatedAt = x.CreatedAt,
AssetCode = x.AssetCode,
Close = x.Close,
Open = x.Open,
High = x.High,
Low = x.Low,
Volume = x.Volume
}).ToList();
// 분할적용
splits.ForEach(split =>
{
foreach (var s in stockCopy.Where(x => x.CreatedAt < split.SplitDate))
{
s.Open = s.Open / split.SplitRatio;
s.High = s.High / split.SplitRatio;
s.Low = s.Low / split.SplitRatio;
s.Close = s.Close / split.SplitRatio;
}
});
stockCopy.ForEach(x => tradingDataset.Add(x));
var year1 = tradingDataset.Where(x => x.CreatedAt >= DateTime.Now.AddYears(-1)).ToList();
var year3 = tradingDataset.Where(x => x.CreatedAt >= DateTime.Now.AddYears(-3)).ToList();
var year5 = tradingDataset.Where(x => x.CreatedAt >= DateTime.Now.AddYears(-5)).ToList();
var year7 = tradingDataset.Where(x => x.CreatedAt >= DateTime.Now.AddYears(-7)).ToList();
var year10 = tradingDataset.Where(x => x.CreatedAt >= DateTime.Now.AddYears(-10)).ToList();
var rate1 = (year1.Max(x => x.High) - year1.Min(x => x.Low)) / year1.Min(x => x.Low);
var rate3 = (year3.Max(x => x.High) - year3.Min(x => x.Low)) / year3.Min(x => x.Low);
var rate5 = (year5.Max(x => x.High) - year5.Min(x => x.Low)) / year5.Min(x => x.Low);
var rate7 = (year7.Max(x => x.High) - year7.Min(x => x.Low)) / year7.Min(x => x.Low);
var rate10 = (year10.Max(x => x.High) - year10.Min(x => x.Low)) / year10.Min(x => x.Low);
subject.RecentVolatility1Year = rate1;
subject.RecentVolatility3Year = rate3;
subject.RecentVolatility5Year = rate5;
subject.RecentVolatility7Year = rate7;
subject.RecentVolatility10Year = rate10;
sql += $@"UPDATE qt.japan_universe SET recent_volatility_1_year = {rate1},
recent_volatility_3_year = {rate3}, recent_volatility_5_year = {rate5}, recent_volatility_7_year = {rate7}, recent_volatility_10_year = {rate10} WHERE asset_code = {subject.AssetCode};";
Console.WriteLine($"{subject.AssetCode}");
}
}
context.Database.ExecuteSqlCommand(sql);
// context.SaveChanges();
}
}
