public BigDecimal calculate(Formula fomular, UnitDataGroup unitDataGroup) {
BigDecimal result = fomular.getConstant();
for (Multinomial multinomial : fomular.getMultinomials()) {
UnitData unit = unitDataGroup.getUnitData(multinomial.getCode());
if (unit == null || unit == UnitData.DUMMY) {
return null;
} else {
result = result.add(multinomial.getCoefficient().multiply(unit.getPrice()));
}
}
return result.setScale(2, RoundingMode.FLOOR);
}
public BigDecimal calculate(Formula fomular, KLineGroup group) {
BigDecimal result = fomular.getConstant();
for (Multinomial multinomial : fomular.getMultinomials()) {
KLine kLine = group.getkLineMap().get(multinomial.getCode());
if (kLine == null) {
return null;
} else {
result = result.add(multinomial.getCoefficient().multiply(kLine.getEndPrice()));
}
}
return result.setScale(2, RoundingMode.FLOOR);
}
public HedgingMonitor monitorHedging(Integer id) {
Hedging hedging = hedgingRepo.findOne(id);
Formula formula = Formula.parse(hedging.getExpression());
List<Price> realtimePrices = this.calculateUnitData(formula, realTimePriceBuss.queryAllAsc());
List<Price> klinePrices = this.calculateKLine(formula, dailyPriceBuss.queryAllGroup());
return new HedgingMonitor(
id,
hedging.getName(),
formula.toString(),
hedging.getStartDt(),
hedging.getEndDt(),
hedging.getDown(),
hedging.getUp(),
realtimePrices,
klinePrices);
}
@Override
protected void execute() throws Exception {
Formula formula =
Formula.create()
.putConstant("162.31")
.putMultinomial(ProdEnum.JiaoTan, "1")
.putMultinomial(ProdEnum.JiaoMei, "-1.60584");
dataProcessor.testEndPriceFormula("2014-01-01", "2016-09-02", formula);
}
public List<HedgingView> queryHedging() {
UnitDataGroup realTime = realTimePriceBuss.queryLatest();
KLineGroup kline = dailyPriceBuss.queryLatest();
return hedgingRepo
.findAll()
.stream()
.map(
hedging -> {
Formula f = Formula.parse(hedging.getExpression());
BigDecimal diffKline = this.calculate(f, kline);
BigDecimal diffRealtime = this.calculate(f, realTime);
BigDecimal diff = diffRealtime == null ? diffKline : diffRealtime;
int mid = hedging.getMid();
int down = hedging.getDown();
int up = hedging.getUp();
BigDecimal complete = null;
if (diff.compareTo(new BigDecimal(mid)) > 0) {
complete =
diff.subtract(new BigDecimal(mid))
.divide(new BigDecimal(up - mid), 4, RoundingMode.FLOOR);
} else {
complete =
new BigDecimal(mid)
.subtract(diff)
.divide(new BigDecimal(mid - down), 4, RoundingMode.FLOOR);
}
return new HedgingView(
hedging.getId(),
hedging.getName(),
f.toString(),
complete,
diffKline,
diffRealtime,
hedging.getUp(),
hedging.getDown(),
hedging.getMid(),
hedging.getQ1(),
hedging.getQ3());
})
.collect(Collectors.toList());
}
public List<Series> compareProd(Futures f1, Futures f2) {
Series s1 = dailyPriceBuss.querySeriesByCode(f1.getCode(), -1);
Series s2 = dailyPriceBuss.querySeriesByCode(f2.getCode(), -1);
Formula formula =
Formula.create()
.putConstant(BigDecimal.ZERO)
.putMultinomial(f1.getCode(), "1")
.putMultinomial(f2.getCode(), "-1");
List<Price> diffPriceList = this.calculateKLine(formula, dailyPriceBuss.queryAllGroup());
String diffName = f1.getName() + "-" + f2.getName();
Series diffSeries = new Series("", diffName, diffPriceList);
return Arrays.asList(s1, s2, diffSeries);
}
public List<Price> calculateUnitData(String expression, List<UnitDataGroup> groupList) {
return calculateUnitData(Formula.parse(expression), groupList);
}
public List<Price> calculateKLine(String expression, List<KLineGroup> groupList) {
return calculateKLine(Formula.parse(expression), groupList);
}