96 lines
4.2 KiB
C#
96 lines
4.2 KiB
C#
using NPOI.SS.Formula.Functions;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Text.RegularExpressions;
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using System.Threading.Tasks;
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using YLErp.Abstract.DataProviders;
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using YLErp.Models;
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using YLErp.Modules.DataProviderModule;
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namespace YLErp.BLL.MarginCalculation.DongWu
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{
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public class UpDownLimitMargin3Provider : IUpDownLimitProvider
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{
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private DateTime settleDate;
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private string underlyingCode;
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readonly IUnderlyingDataProvider underlyingDataProvider;
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public UpDownLimitMargin3Provider(DateTime settleDate, string underlyingCode)
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{
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this.settleDate = settleDate;
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this.underlyingCode = underlyingCode;
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this.underlyingDataProvider = new UnderlyingDataProvider();
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}
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/// <summary>
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/// 获取连续两日最大涨跌幅的95分位和5分位
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/// ---------------------------------------------------------------------
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/// 例如，对于CF209合约，选取CFFI.WI过去600天内的价格序列，对于任意日T，
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/// 其两日最大涨幅=Max(T+1最高价，T+2最高价)/T日收盘价
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/// 两日最大跌幅 = Min(T + 1最低价，T + 2最低价) / T日收盘价
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/// 得到最大涨跌幅的序列后，取95分位和5分位的百分比作为连续两日最大涨跌幅的95分位数值。
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/// </summary>
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/// <returns></returns>
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public InnerUpDownLimit GetUpDownLimit()
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{
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var startDate = settleDate.AddDays(-600);
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var mainUnderlyingCode = underlyingCode;
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var um = underlyingDataProvider.GetUnderlying(underlyingCode);
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if (um.IsFutures())
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{
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// 如果是期货类型的，需要获取到主合约
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// 忽略大小写，将字母后的数字替换为00，获取到主合约Code
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Regex myRegex = new Regex(@"^([a-zA-Z]*)(\d*)$", RegexOptions.IgnoreCase);
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mainUnderlyingCode = myRegex.Replace(underlyingCode, "$1") + "00";
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}
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var eodPrices = EodPriceQueryService.GetEodPriceByUnserialDateRange(startDate, settleDate, mainUnderlyingCode).OrderBy(b => b.ValueDate).ToList();
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int lastIndex = eodPrices.Count - 1;
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List<InnerUpDownLimit> innerCodes = new List<InnerUpDownLimit>();
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for (int i = 0; i < eodPrices.Count; i++)
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{
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if (i == lastIndex - 1)
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{
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// 最后两天没有T+1和T+2,不放到列表中统计95分位和5分位;
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break;
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}
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EodPrice t0 = eodPrices[i];
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EodPrice t1 = (i + 1) > lastIndex ? null : eodPrices[i + 1];
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EodPrice t2 = (i + 2) > lastIndex ? null : eodPrices[i + 2];
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var uplimitRate = Math.Max(t1?.HighPrice ?? 0, t2?.HighPrice ?? 0) / t0.ClosePrice;
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var downLimitRate = Math.Min(t1?.LowPrice ?? 0, t2?.LowPrice ?? 0) / t0.ClosePrice;
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InnerUpDownLimit innerCode = new InnerUpDownLimit()
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{
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UnderlyingCode = t0.UnderlyingCode,
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//ClosePrice = t0.ClosePrice,
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UplimitRate = uplimitRate,
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DownLimitRate = downLimitRate
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};
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innerCodes.Add(innerCode);
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}
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//最大涨幅95分位和5分位
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List<double> priceList = new List<double>();
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priceList.AddRange(innerCodes.Select(g => g.UplimitRate));
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priceList.AddRange(innerCodes.Select(g => g.DownLimitRate));
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var OrderPriceList = priceList.OrderBy(g => g);
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var totalCount = OrderPriceList.Count();
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var uplimitRatePercent95 = totalCount == 0 ? 0 : Math.Abs(1-OrderPriceList.ElementAt((int)(totalCount * 0.95)));
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var downLimitRatePercent5 = totalCount == 0 ? 0 : Math.Abs(1-OrderPriceList.ElementAt((int)(totalCount * 0.05)));
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return new InnerUpDownLimit()
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{
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UnderlyingCode = underlyingCode,
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UplimitRate = totalCount == 0 ? 0 : uplimitRatePercent95,
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DownLimitRate = totalCount == 0 ? 0 : downLimitRatePercent5
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};
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}
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}
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}
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