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Delta計算存在不一致，導致US回測時候部分策略下單或balance不同 #27

Closed zhukevin closed 11 months ago

zhukevin commented 11 months ago

eg. 20150105的SPY_20150117.20450.C baseLine是311640，新計算的是311668，經比對，underlying的價格都為212.71，Core的價格也都一樣。 需要把舊版的dataImport跑起來，debug為何不一致。

call1by2A策略upper5下單時候，因為記錄的20150105下大單數量不一致而出現下單不一致。 1/8/2015 4:00:00 PM TestingValue: OrderTime:1/8/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY,Price:205.9, Quantity: 317,Note :

BaselineValue: OrderTime:1/8/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY,Price:205.9, Quantity: 318,Note :

1/16/2015 4:00:00 PM TestingValue: OrderTime:1/16/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY,Price:201.63, Quantity: -317,Note : OrderTime:1/16/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY_20150123.20200.C,Price:2.14, Quantity: 20,Note : delta: 0.48064, underlying: 201.63.

OrderTime:1/16/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY_20150123.20450.C,Price:0.95, Quantity: -49,Note : delta: 0.29766, underlying: 201.63.

BaselineValue: OrderTime:1/16/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY,Price:201.63, Quantity: -318,Note : OrderTime:1/16/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY_20150123.20200.C,Price:2.14, Quantity: 20,Note : delta: 0.480651, underlying: 201.63.

OrderTime:1/16/2015 4:00:00 PM,OrderType:TRADE,Symbol : SPY_20150123.20450.C,Price:0.95, Quantity: -49,Note : delta: 0.297692, underlying: 201.63.
zhukevin commented 11 months ago

root cause: IV计算时候，maxVol被修改为20.0后，IV计算结果会受到影响。 原来maxVol是4.0时计算结果是IV: 0.1486808, 新计算为0.1486985

zhukevin commented 11 months ago

不一致时候最终balance差别是15或25. 调整为4.0后比对通过全部一致。

将maxVol调整到20.0后，重新对数据dataImport计算。