public MonitorDatum_KtbSkel GetIndicator(
RawMarketData spotRmdThisTurn, RawMarketData futureRmdThisTurn)
{
try
{
double spotMidPrice = (spotRmdThisTurn.AskPrice1 + spotRmdThisTurn.BidPrice1) / 2;
double futureMidPrice = (futureRmdThisTurn.AskPrice1 + futureRmdThisTurn.BidPrice1) / 2;
double spotMidRate =
BondPriceRateMapManager.Ins().ConvertToRate(spotRmdThisTurn.Code, (int)spotMidPrice);
double spotBidRate = BondPriceRateMapManager.Ins().ConvertToRate(
spotRmdThisTurn.Code, (int)spotRmdThisTurn.BidPrice1);
double spotAskRate = BondPriceRateMapManager.Ins().ConvertToRate(
spotRmdThisTurn.Code, (int)spotRmdThisTurn.AskPrice1);
double futureMidRate =
BondPriceRateMapManager.Ins().ConvertToRate(futureRmdThisTurn.Code, (int)(futureMidPrice * 100));
double futureBidRate =
BondPriceRateMapManager.Ins().ConvertToRate(
futureRmdThisTurn.Code, (int)(futureRmdThisTurn.BidPrice1 * 100));
double futureAskRate =
BondPriceRateMapManager.Ins().ConvertToRate(
futureRmdThisTurn.Code, (int)(futureRmdThisTurn.AskPrice1 * 100));
double curSpotRate = spotMidRate;
double curFutureRate = futureMidRate * (-1);
String spotLog = String.Format("S {0:n0}({1:n5}) // {2:n0}({3:n5}) // {4:n0}({5:n5})",
spotRmdThisTurn.AskPrice1, spotAskRate,
spotMidPrice, spotMidRate,
spotRmdThisTurn.BidPrice1, spotBidRate);
String futureLog = String.Format("F {0:n2}({1:n5}) // {2:n2}({3:n5}) // {4:n2}({5:n5})",
futureRmdThisTurn.AskPrice1, futureAskRate,
futureMidPrice, futureMidRate,
futureRmdThisTurn.BidPrice1, futureBidRate);
double curIndicator = (curSpotRate + curFutureRate) * 10000;
DateTime lastUpdated = DateTime.Now;
MonitorDatum_KtbSkel datum = new MonitorDatum_KtbSkel();
datum.CurIndicator = curIndicator;
datum.FutureLog = futureLog;
datum.SpotLog = spotLog;
datum.LastUpdated = lastUpdated;
return datum;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return null;
}
public MonitorDatum_KtbSkel GetIndicator(RawMarketData spotRmdThisTurn, RawMarketData futureRmdThisTurn)
{
try
{
double spotAvgRate = _spotDayData.RateAvg;
double futureAvgRate = _futureDayData.RateAvg;
double spotMidPrice = (spotRmdThisTurn.AskPrice1 + spotRmdThisTurn.BidPrice1) / 2;
double futureMidPrice = (futureRmdThisTurn.AskPrice1 + futureRmdThisTurn.BidPrice1) / 2;
double spotMidRate =
BondPriceRateMapManager.Ins().ConvertToRate(_spotDayData.Code, (int)spotMidPrice);
double futureMidRate =
BondPriceRateMapManager.Ins().ConvertToRate(_futureDayData.Code, (int)(futureMidPrice * 100));
double curSpotRate = spotMidRate - spotAvgRate;
double curFutureRate = futureAvgRate - futureMidRate;
String spotLog = String.Format("{0:n2} bp = mid({1:n4}%) - 10일평균({2:n4}%)",
curSpotRate * 10000, spotMidRate * 100, spotAvgRate * 100);
String futureLog = String.Format("{0:n2} bp = - mid({2:n4}%) + 10일평균({1:n4}%)",
curFutureRate * 10000, futureAvgRate * 100, futureMidRate * 100);
double curIndicator = (curSpotRate + curFutureRate) * 10000;
DateTime lastUpdated = DateTime.Now;
MonitorDatum_KtbSkel datum = new MonitorDatum_KtbSkel();
datum.CurIndicator = curIndicator;
datum.FutureLog = futureLog;
datum.SpotLog = spotLog;
datum.LastUpdated = lastUpdated;
return datum;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return null;
}
public double GetIndicator()
{
if (IsOverSpotBidAskSpread(SpotRmdThisTurn))
{
this.CurIndicator = double.MinValue;
return this.CurIndicator;
}
if (!Util.IsValidFullRMD(SpotRmdThisTurn))
{
this.CurIndicator = double.MinValue;
return this.CurIndicator;
}
if (!Util.IsValidFullRMD(FutureRmdThisTurn))
{
this.CurIndicator = double.MinValue;
return this.CurIndicator;
}
MonitorDatum_KtbSkel datum = _policy.GetIndicator(SpotRmdThisTurn, FutureRmdThisTurn);
this.CurIndicator = datum.CurIndicator;
this.LastValidIndicator = datum.CurIndicator;
this.SpotLog = datum.SpotLog;
this.FutureLog = datum.FutureLog;
this.LastUpdated = datum.LastUpdated;
_datumThisTurn = datum;
return this.CurIndicator;
}