CN111292189A - Futures valuation method - Google Patents
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Abstract
The application discloses a futures valuation method, comprising the following steps: acquiring the spot commodity transaction amount of at least two exchange in a preset time period; according to the transaction amount of the spot commodity, obtaining the price weight of the spot commodity; acquiring the latest transaction price of the spot commodity of each exchange; according to the latest transaction price of the spot commodity and the price weight of the spot commodity, obtaining the index price of the spot commodity; obtaining a futures trading depth price according to the maximum lever number and the appointed influence amount of the futures; obtaining a premium index according to the index price, the futures trading depth price and the valuation of the last updating period; and obtaining the valuation under the current updating period according to the price overflowing index, the index price and the contract information of the futures contract. The method solves the problem that the existing assessment method is influenced by time delay.
Description
Technical Field
The application relates to a method for valuation, in particular to a method for valuation of futures.
Background
Contract pricing, which is the pricing of contracts by market price, differs for due contracts and swap contracts (perpetual contracts) due to interest rate factors. Forced binning is a risk control mechanism for futures contracts, and refers to forcibly binning the positions of position holders by a third person (e.g., a futures exchange or a futures company) other than the position holder to avoid a gap in deposit due to binning.
Financial derivatives such as futures contracts have become important components of modern financial markets, and due to the adoption of a deposit transaction mechanism, in order to control risks and avoid a deposit gap of a warehouse, a futures exchange or a futures company must forcibly level a position which is lower than a specified deposit rate and to which a deposit is not added in time. Forced flat warehousing causes the warehouse holder to lose all the deposit, and is a transaction link with great influence, so how to evaluate the due contracts and the losing contracts is very important.
Conventional futures markets typically rate due contracts and swap contracts at the latest deal price provided by the exchange. However, for some emerging derivatives (e.g., digital currency), there may be multiple exchanges due to the scatter of the transactions. The delays in obtaining the latest transaction prices from the commercial electronic trading system may vary as the systems used to provide the latest transaction prices may vary from transaction to transaction. When the transaction is relatively high frequency, due to the existence of the time delay, the deal prices acquired from different exchanges or two times in sequence from the same exchange may be greatly different, so that the evaluation of the due contract and the swap contract is greatly different. Therefore, a new evaluation method is needed to avoid the influence of the data acquisition delay on the evaluation result.
Disclosure of Invention
The application provides a futures valuation method, which aims to solve the problem that the conventional valuation method is influenced by time delay.
The application provides a futures valuation method, comprising the following steps:
acquiring the spot commodity transaction amount of at least two exchange places in a preset time period from a commercial electronic transaction system;
according to the spot commodity transaction amounts of at least two exchanges in the preset time period, obtaining the price weight of the spot commodity of each exchange;
acquiring the latest transaction price of the spot commodity of each exchange from the commercial electronic transaction system;
obtaining a spot commodity index price according to the latest transaction price of the spot commodity of each exchange and the spot commodity price weight of each exchange;
obtaining the futures trading depth price of each exchange according to the maximum lever number and the appointed influence amount of futures corresponding to the spot goods in each exchange;
obtaining a premium index of each exchange according to the index price of the spot goods, the deep price of the futures trading and the valuation of the last updating period;
and obtaining the estimated value of the futures of each exchange under the current updating period according to the index price of the spot goods, the premium index of each exchange and contract information of futures contracts.
According to the above technical solution, the futures valuation method provided in the present application includes: acquiring the spot commodity transaction amount of at least two exchange places in a preset time period from a commercial electronic transaction system; according to the spot commodity transaction amounts of at least two exchanges in the preset time period, obtaining the price weight of the spot commodity of each exchange; acquiring the latest transaction price of the spot commodity of each exchange from the commercial electronic transaction system; obtaining a spot commodity index price according to the latest transaction price of the spot commodity of each exchange and the spot commodity price weight of each exchange; obtaining the futures trading depth price of each exchange according to the maximum lever number and the appointed influence amount of futures corresponding to the spot goods in each exchange; obtaining a premium index of each exchange according to the index price of the spot goods, the deep price of the futures trading and the valuation of the last updating period; and obtaining the estimated value of the futures of each exchange under the current updating period according to the index price of the spot goods, the premium index of each exchange and contract information of futures contracts. By the futures valuation method, the prices provided by the electronic trading system in a period of time are utilized for valuation, and the influence of time delay on valuation results can be avoided.
Drawings
In order to more clearly explain the technical solution of the present application, the drawings needed to be used in the embodiments will be briefly described below, and it is obvious to those skilled in the art that other drawings can be obtained according to the drawings without any creative effort.
Fig. 1 is a flow chart of a futures valuation method provided in the present application.
Detailed Description
The technical solutions in the embodiments of the present application will be described clearly and completely with reference to the drawings in the embodiments of the present application, and it is obvious that the described embodiments are only a part of the embodiments of the present application, and not all of the embodiments. All other embodiments, which can be derived by a person skilled in the art from the embodiments given herein without making any creative effort, shall fall within the protection scope of the present application.
Fig. 1 is a flow chart of a futures valuation method provided in the present application. As shown in fig. 1, the present application provides a futures valuation method, including:
s1: and acquiring the spot commodity transaction amount of at least two exchange places in a preset time period from the commercial electronic transaction system.
It should be noted that, at present, the business electronic transaction system usually provides interface services such as restAPI and websocket, and the historical transaction price, the latest transaction price and the transaction amount of all the existing goods in the transaction market can be obtained through the interface. The trading market comprises a plurality of exchange places, a plurality of spot goods can be traded in the trading market, the types of the spot goods can be various, such as crop goods like soybean, rice, flour and the like, and energy goods like petroleum can be traded in the trading market.
The preset time period may be set according to the type or transaction condition of different spot goods, and may be 3 months, 2 months, 1 month, etc. in units of months, or may be 50 days, 80 days, 100 days, etc. in units of days, and the preset time period is not particularly limited in the present application.
In addition, after the commercial electronic transaction system is used to obtain the data of the spot commodity transaction amount of at least two exchanges in the preset time period, the data of the spot commodity transaction amount of each exchange in the preset time period needs to be subjected to data cleaning to obtain data which can be used for analysis and research. Data cleansing (Data cleansing), a process of re-examining and verifying Data, aims to remove duplicate information, correct existing errors, and provide Data consistency. The method comprises the steps that the existing commodity transaction amount data of each exchange in a preset time period directly acquired in a commercial electronic transaction system possibly has partial defects, such as repeated information, information distortion and the like, and after data are cleaned, the repeated information is deleted, existing errors are corrected and the like, so that data which can be used for analysis and research are obtained. The present application is not limited to the specific operation mode of data cleansing.
S2: and calculating the price weight of the spot commodity of each exchange according to the spot commodity transaction amount of each exchange in a preset time period.
Optionally, S2, obtaining the spot commodity price weight of each exchange according to the spot commodity transaction amounts of at least two exchanges within the preset time period, where the method includes:
s21: according to the spot commodity transaction amounts of at least two exchanges in a preset time period, calculating the spot commodity transaction amount ratio Bi of the exchange according to the following formula:
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of the exchanges in the commercial electronic transaction system, and Zi is the spot commodity transaction amount of the exchange in a preset time period;
s22: calculating the price weight Wi of the spot goods of the exchange i according to the ratio Bi of the transaction amount of the spot goods of the exchange i to the transaction amount of the spot goods of the exchange i and the following formula:
Wi＝Bi*100％，
wherein Bi is the ratio of the transaction amount of the spot commodity of the i exchange.
And obtaining the spot commodity price weight Wi of each exchange according to the spot commodity transaction amount of each exchange in a preset time period, wherein i represents the number of any exchange, i is 1,2,3, n is the total number of the exchanges in the commercial electronic transaction system, Zi is the spot commodity transaction amount of the i exchange in the preset time period, and the spot commodity transaction amount of the i exchange in the preset time period is multiplied by 100% by the ratio of the spot commodity transaction amount of the i exchange in all the exchanges in the spot commodity transaction amount of the i exchange in the preset time period. The trading volume of the spot commodity of the exchange I is compared, and the trading price influence weight of all exchanges in the market of the exchange I can be reflected accurately. The evaluation result can be prevented from being influenced by time delay of data acquisition when the real-time transaction price is adopted to evaluate futures and contract-exchange and exchange-drop contracts.
S3: and acquiring the latest transaction price of the spot commodity of each exchange from the commercial electronic transaction system.
The latest transaction price of all the spot goods in the transaction market can be obtained through the interface of the commercial electronic transaction system, which is not described in detail herein.
Optionally, S31: when the latest trading price of the spot commodity of the exchange i fails to be obtained, the exchange i is a failed exchange, the spot commodity price weight Wi of the exchange i is failed, and the spot commodity price weight Wj of the exchange j is recalculated according to the following formula:
wherein j is the exchange number with the valid latest transaction price of any spot commodity, j is the total number of exchanges in the commercial electronic transaction system, i is the number of any exchange, and i is 1,2,3, … i-1, i +1, n, Zj is the transaction amount of the spot commodity of j in a preset time period.
When the current trading price of the spot commodity of a certain exchange fails to be obtained, the current trading price of the spot commodity of the exchange cannot be referenced, the exchange is a failed exchange at the current time point, the price weight of the spot commodity of the exchange is also failed, the price weight of the spot commodity in the market needs to be distributed in the remaining effective exchanges, and the price weight of the spot commodity of each remaining effective exchange needs to be recalculated. Let j denote the exchange number with valid latest transaction price of any spot commodity, j is 1,2,3, … i-1, i +1, · · n, n is the total number of exchanges in the commercial electronic transaction system, and Zj is the spot commodity transaction amount of j exchange in a preset time period. The number of the failed exchange is removed in the value range of j, and the number of the failed exchange can be the number of any one exchange, so the number of the failed exchange is still represented by i, i is the number of any one exchange, and i is 1,2,3, n.
It should be noted that the number of the invalidation exchange may be multiple or one, and the application is not limited specifically. Failure in obtaining the latest transaction price of the spot commodity of a certain exchange can be expressed as that the obtained data is null, zero or messy codes, and the like, and the application is not particularly limited.
It is readily understood that the sum of the price weights of all valid exchanges is 1, i.e. the
The invalid price weight is removed, and the price weights of the remaining effective exchanges are recalculated, so that the valuation method provided by the embodiment is more rigorous and accurate. The evaluation reasonability can be prevented from being influenced by abnormal factors.
Optionally, S32: calculating the price deviation rate Ti of the exchange according to the latest trading price of the spot commodity of each exchange and the following formula:
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, Pi is the latest transaction price of the spot goods of i exchange, and Ai is the arithmetic average of the latest transaction prices of the spot goods of the other exchanges except for i exchangeThe average value of the average value is calculated,
s33: when Ti is larger than 3%, judging that the latest trading price of the spot commodity of the exchange is an abnormal price;
s34: when Ti is less than or equal to 3 percent, judging the latest trading price of the spot commodity of the exchange of the i as a normal price;
s331: when the latest trading price of the spot commodity of the exchange is an abnormal price, recalculating the price weight Wq of the spot commodity of the q exchange according to the following formula:
wherein q is the exchange number with the latest transaction price of any spot commodity being the normal price, q is 1,2,3, … i-1, i +1, · · n, n is the total number of exchanges in the commercial electronic transaction system, i is the number of any exchange, i is 1,2,3, · · n, and Zq is the spot commodity transaction amount of q exchanges in a preset time period.
When the latest transaction price of a certain exchange is greatly different from the latest transaction prices of the rest exchanges, the latest transaction price of the exchange needs to be set as an abnormal price, the price weight of the exchange with the abnormal price should be recovered, and the price weights of the exchanges with the rest latest transaction prices being the normal prices need to be recalculated. So as to ensure that the evaluation method provided by the embodiment is more accurate. The evaluation reasonability can be prevented from being influenced by abnormal factors.
The latest transaction price of a certain exchange is greatly different from the latest transaction prices of the other exchanges, and the price deviation rate Ti is adopted for representation in the embodiment. The price deviation rate Ti of the exchange is obtained by dividing the latest trading price Pi of the spot commodity of the exchange by the arithmetic mean Ai of the latest trading prices of the spot commodities of the other exchanges except the exchange of the exchange.
When the price deviation rate Ti of the exchange of the i is more than 3 percent, judging that the latest transaction price of the spot commodity of the exchange of the i is an abnormal price; and when the price deviation rate Ti of the exchange of the i is less than or equal to 3 percent, judging that the latest transaction price of the spot commodity of the exchange of the i is a normal price. When the latest trading price of the spot commodity of the exchange is the abnormal price, the price weight of the exchange where the rest normal trading prices are located needs to be recalculated. The price weight of the exchange where the rest normal trading prices are located is represented by Wq, q is the exchange number of any spot commodity with the latest trading price as the normal price, q is 1,2,3, … i-1, i +1,. cndot.n, n is the total number of exchanges in the commercial electronic trading system, Zq is the trading volume of the spot commodity of q exchanges in a preset time period, the number of the exchange where the abnormal trading price is located can be the number of any exchange, so the number of the exchange where the abnormal trading price is located is still represented by i, i is the number of any exchange, i is 1,2,3,. cndot.
S4: and obtaining the index price of the spot commodity according to the latest trading price of the spot commodity of each trading exchange and the price weight of the spot commodity of each trading exchange.
Optionally, S4, obtaining the spot commodity index price according to the latest spot commodity trading price of each exchange and the spot commodity price weight of each exchange, including:
s41: calculating the index price Y of the spot commodity according to the latest trading price of the spot commodity of each trading exchange and the price weight of the spot commodity of each trading exchange and the following formula:
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, Pi is the latest transaction price of the spot goods of the i exchange, and Wi is the price weight of the spot goods of the i exchange.
The spot commodity index price is obtained by summing the latest transaction price of the spot commodity of each exchange multiplied by the price weight, and the larger the spot commodity price weight is, the larger the influence of the exchange on the spot commodity index price is, so that the calculation method is more reasonable and accurate. The evaluation reasonableness can be prevented from being influenced by the data acquisition time delay.
S5: and obtaining the futures trading depth price of each exchange according to the maximum lever number and the appointed influence amount of the futures corresponding to the spot goods in each exchange.
Optionally, S5, obtaining the futures trading depth price of each exchange according to the maximum number of the bars and the designated influence amount of the futures corresponding to the spot goods in each exchange, includes:
s51: and obtaining the influence of the future deposit of each exchange according to the maximum lever number and the appointed influence amount of the future corresponding to the spot commodity in each exchange.
Optionally, S51, obtaining the influence factor of the futures deposit in each exchange according to the maximum lever number of the futures corresponding to the spot goods in each exchange and the designated influence amount, includes:
s511: calculating the influence hand number Mi of the futures deposit of the exchange according to the following formula according to the maximum lever number and the appointed influence amount of the futures corresponding to the spot goods in each exchange:
Mi＝Gi*Di,
wherein i is the number of any exchange, i is 1,2,3, n is the total number of the exchanges in the commercial electronic exchange system, Gi is the maximum lever number of the futures corresponding to the spot goods in the i exchange, and Di is the designated influence amount of the futures corresponding to the spot goods in the i exchange.
It should be noted that the maximum number of levers and the specified impact amount of futures corresponding to spot goods in each exchange can be used as known quantities, and the specified impact amount is usually determined according to the transaction depth of the current exchange. For example, when the future is a bitcoin, the maximum lever number is 100, and the specified influence amount is 0.1BTC, the gold influence hand number is guaranteed to be 0.1BTC by 100 to 10 BTC.
S52: and obtaining the futures trading depth price of each exchange according to the influence number of futures deposit guarantee funds of each exchange.
Optionally, S52, obtaining the futures trading depth price of each exchange according to the futures deposit influencing hand count of each exchange, includes:
s521: the futures trading deep price comprises a deep weighted buy price, a deep weighted buy price and a deep weighted intermediate price, and the deep weighted buy price Hi of the exchange is calculated according to the influence hand number of the futures deposit of each exchange and the following formula:
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, x is the price gear number of the disc bought by the i exchange, x is 1,2,3, h is the total price gear number of the disc bought by the i exchange, and the value of h satisfies the requirement of the total price gear number of the disc bought by the i exchange
Sx is the number of hands of x price gear in the i trading exchange purchase disk, Ux is the price of x price gear in the i trading exchange purchase disk, and Mi is the influence number of hands of the futures deposit of the i trading exchange;
and the sum of the number of hands of all price gears is less than or equal to the number of hands influenced by the deposit.
S522: calculating the depth weighted selling price Vi of the exchange according to the influence hand number of the futures deposit of each exchange and the following formula:
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, y is the price gear number of the order of the i exchange, y is 1,2,3, v is the total number of price gears of the order bought by the i exchange, and the value of v satisfies the requirement of the total number of price gears
Sy is the number of hands in the y price position in the i exchange sales order, Uy is the price in the y price position in the i exchange sales order, and Mi is the influence number of hands on the futures deposit in the i exchange;
i the total number of price shifts in the exchange order needs to be met, and the sum of the hands of all price shifts is less than or equal to the influence of the deposit on the hands.
S523: calculating the depth weighted mean value Ai of the exchange according to the future deposit influence hand number of each exchange and the following formula:
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, x is the price gear number of the disc bought by the i exchange, x is 1,2,3, h is the total price gear number of the disc bought by the i exchange, and the value of h satisfies the requirement of the total price gear number of the disc bought by the i exchange
Sx is the number of hands of x price gear in the i trading exchange purchase disk, Ux is the price of x price gear in the i trading exchange purchase disk, and Mi is the influence number of hands of the futures deposit of the i trading exchange; y is the price gear number of the order of the i exchange, y is 1,2,3, v is the total price gear number of the order of the i exchange, and the value of v satisfies
Sy is the number of hands in the y price position in the i transaction purchase disk, and Uy is the price in the y price position in the i transaction purchase disk.
S6: and obtaining the premium index of each exchange according to the index price of the spot goods, the futures trading depth price and the estimation of the last updating period.
Optionally, S6, obtaining the premium index for each exchange according to the spot commodity index price, the futures trading depth price and the valuation of the last update period, includes:
s61: calculating the premium index Fi of the exchange according to the following formula according to the index price of the spot goods, the deep price of the futures trading and the estimation of the last updating period:
wherein i is of any exchangeThe number, I is 1,2,3, · · n, n is the total number of exchanges in the commercial electronic trading system, Hi is the deep weighted buy price of I exchange, Vi is the deep weighted sell price of I exchange, t is the current time point, α is the update period of valuation, It-αIs the valuation of the last update cycle and Y is the spot good index price.
It should be noted that the update period α is set according to actual market trading conditions, the update period α may be set to 5 seconds, 10 seconds, 15 seconds, and the like, and the present application is not limited specifically.
t is the current time point, t can be any time point, the value range can be not limited, ItThe valuation of the exchange futures under the updating period of the time point t, α is the updating period of the valuation, It-αFor the evaluation under the update cycle of the time point t- α, the update cycle of the time point t and the update cycle of the time point t- α are two adjacent update cycles, and the time point t- α precedes the time point t, so the update cycle of the time point t- α is the previous update cycle of the time point t, therefore, It-αIs the valuation of the last update period.
It should be noted that, when the overflow index of each exchange is calculated in the first updating period, the previous updating period estimate does not exist, and at this time, the previous updating period estimate is replaced by the index price of the spot commodity in the current updating period.
S7: and obtaining the estimated value of the futures of each exchange under the current updating period according to the index price of the spot goods, the premium index of each exchange and the contract information of the futures contract.
Optionally, S7, obtaining the estimated value of futures on each exchange in the current update cycle according to the spot commodity index price and the premium index on each exchange, includes:
s71: contract information is obtained according to the futures contracts.
Optionally, S71, obtaining contract information according to the futures contract, including:
s711: when the future contract is about a perpetual contract, extracting contract information of the future contract, wherein the contract information comprises a borrowing and lending rate, a capital expense settlement time interval and a next capital expense settlement time point;
s712: when the futures contract is about to deliver the contract, extracting contract information of the futures contract, wherein the contract information comprises a contract delivery time point;
the loan rates, the interval of time for settlement of the monetary cost, and the point in time for the next settlement of the monetary cost are all generated along with the futures contract as known quantities.
Contract delivery time points are also generated with futures contracts, as known quantities.
S72: and obtaining the base difference rate according to the index price of the spot goods, the premium index of each exchange and contract information.
Optionally, S72, obtaining the spread rate according to the spot commodity index price, the premium index of each exchange, and the contract information, including:
s721: when the current contract is about a perpetual contract, calculating a fund rate Ri according to the following formula according to the premium index of the exchange i and the loan rate:
Ri＝Ei*Fi,
wherein i is the number of any exchange, i is 1,2,3, n is the total number of the exchanges in the commercial electronic exchange system, Ei is the loan rate of the medium-term contract of the i exchange, and Fi is the premium index of the i exchange;
s7211: calculating the capital rate base difference rate Ci according to the capital rate, the capital cost settlement time interval and the next capital cost settlement time point according to the following formula:
wherein Ri is the fund fee of the medium term contract of the i exchangeRate, T1Time from the next settlement time point of the capital cost, T2Settling a time interval for the capital cost;
taking the example of the permanent agreement of the bitcoin, the settling time interval of the capital expense is 8 hours, T2When 8 (hour) is 480 (minutes), the settlement time point of the capital expense is 04: 00/12: 00/20: 00, the current time point is 11: 00, time T from the next settlement time point of capital expense112: 00-11: 00-60 (min). It is easy to understand that the current time point belongs to hidden known data in the present calculation, so the calculation formula of the fund rate base difference rate Ci in the present embodiment does not embody the parameters of the current time point.
S722: when the current goods contract is about a delivery contract, a reasonable base difference rate Ki is calculated according to the index price of the current goods, the contract delivery time point and the depth price of the exchange i according to the following formula:
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic exchange system, Ai is the deeply weighted intermediate price of i exchange, Y is the index price of spot goods, T3Is the time from the contract delivery time point.
Similarly, the reasonable base error rate calculation formula takes the current time point as hidden known data, for example, the current time is 12 months, 03 days 12: 00, contract delivery time point 12 months, 27 days 20: 00, the time from the contract crossing time point is 24 days and 8 hours.
S73: and obtaining the estimated value of the futures of each exchange under the current updating period according to the index price of the spot goods and the base difference rate of each exchange.
Optionally, S73, obtaining an estimated value of futures on each exchange in the current update cycle according to the spot commodity index price and the variance ratio, including:
s731: when the current spot contract is about a perpetual contract, calculating the estimated price Ii of the future of the exchange under the current updating period according to the following formula according to the index price of the spot commodity and the capital rate base difference rate:
Ii＝Y*(1+Ci)，
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of the exchanges in the commercial electronic transaction system, Y is the index price of the spot goods, and Ci is the capital rate base difference rate;
s732: when the current delivery contract is about the delivery contract, calculating the estimated value Ii of the future of the exchange under the current updating period according to the index price of the spot goods and the reasonable margin rate according to the following formula:
Ii＝Y*(1+Ki)，
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, Y is the index price of the spot commodity, and Ki is the reasonable margin rate.
Optionally, S733: when the numerical value of the index price of the spot commodity is zero or null, the index price of the spot commodity in the current updating period is invalid, and the estimation I of the future of the exchange in the current updating period is calculated according to the following formulat：
Wherein,
Lt＝Lt-α+1,Lt＜N,
Lt＝N,Lt≥N,
t is the current time point, α is the update period of the valuation, ItFor the valuation of I exchange futures in the update period at the time point t, It-αFor the evaluation of the last update period,
is at t timeUpdating the weighted average, mu, of the future closing prices of all exchanges within the period of time before the intermediate pointtIs a smoothing factor at time t, LtThe number of update cycles in the period of the index price failure of the spot goods is N, and N is a smoothing constant;
when the index price of the spot commodity in the current updating period is invalid, the estimation value in the updating period in which the index price of the previous spot commodity is valid cannot be directly adopted as the estimation value in the current updating period, so that the estimation value in the current updating period needs to be obtained by adopting a smooth transition algorithm. Utilizing the updated number of cycles L during the price failure period of the spot good indextObtaining a smoothing factor mu of the current time point t by the smoothing constant NtUsing the smoothing factor mu of the current time point ttAnd the valuation I in the updating period in which the last spot commodity index price is effectivet-αCalculating to obtain the estimate I in the previous update periodt。
Illustrate by way of example
When t is 11: 00, the update period is 5 seconds, then
Namely 10: 59: 56 to 11: 00: 00 a weighted average of all exchange futures prices within 5 seconds. When in use
In time, it means that no transaction occurs in the period of the update cycle before the time point t, so the valuation I of the futures in the exchange I under the update cycle of the time point ttCan be directly equal to the valuation I of the last update periodt-α. When in use
In time, it means that the transaction occurred in the period of the update cycle before the time point t, so the valuation I of the futures in the exchange I under the update cycle of the time point ttValuation I which cannot be directly equal to the last update periodt-α. Need to help bySmoothing factor mutUpdating the weighted average of the future prices of all exchanges in the period of time before the time point t
And the valuation I of the last update periodt-αTo calculate the valuation I under the updating period of the time point t of the exchanget。
S734: when the numerical value of the index price of the spot goods is recovered to be effective, calculating the estimated price I 'of the futures traded under the current updating period according to the following formula't：
Wherein,
Lt＝Lt-α+1,Lt＜N,
Lt＝N,Lt≥N,
t is the current time point, α is the update period of the valuation, ItWhen the index prices of the spot goods in the last updating period and the current updating period are both effective, the valuation of the futures in the exchange under the updating period at the time point t is calculated,
is the weighted average, mu, of the future prices of all exchanges in the update cycle period before the t time pointtIs a smoothing factor at time t, LtThe number of update cycles during the period of the index price failure of the spot commodity is N, which is a smoothing constant.
When in use
When it is saidNo trading occurs in the period of the updating period before the bright time point, so the valuation I 'of the traded futures under the updating period of the time point t'tThe method can be directly equal to the method that when the index prices of the spot goods in the last updating period and the current updating period are both effective, the estimated value I of the futures in the I exchange under the updating period at the time point t is obtained through calculationt. When in use
When a transaction occurs in the period of the update cycle before the time point t, the smoothing factor mu is neededtUpdating the weighted average of the future prices of all exchanges in the period of time before the time point t
And when the index prices of the spot goods in the last updating period and the current updating period are both effective, calculating to obtain the estimated price of the futures in the trading exchange under the updating period at the time point t to obtain I't。
The application provides a futures valuation method, comprising the following steps: acquiring the spot commodity transaction amount of at least two exchange places in a preset time period from a commercial electronic transaction system; according to the spot commodity transaction amounts of at least two exchange places in a preset time period, obtaining the price weight of the spot commodity of each exchange place; acquiring the latest transaction price of the spot commodity of each exchange from a commercial electronic transaction system; according to the latest trading price of the spot commodity of each trading exchange and the price weight of the spot commodity of each trading exchange, obtaining the index price of the spot commodity; obtaining the futures trading depth price of each exchange according to the maximum lever number and the appointed influence amount of the futures corresponding to the spot goods in each exchange; obtaining a premium index of each exchange according to the index price of the spot goods, the deep price of the futures trading and the estimation of the last updating period; and obtaining the estimated value of the futures of each exchange under the current updating period according to the index price of the spot goods, the premium index of each exchange and the contract information of the futures contract.
According to the futures valuation method, the spot commodity trading volume ratio of each exchange is calculated by obtaining the spot commodity trading volume in the preset time period of at least two exchanges in the market, and the spot commodity price weight of each exchange is calculated by the spot commodity trading volume ratio of each exchange; the estimation of the futures of each exchange is calculated by using the price weight of the spot goods, the latest transaction price, the futures transaction depth price and the base rate of each exchange, so that the influence of the time delay of data acquisition on the estimation result can be avoided. By eliminating invalid price weights, eliminating the price weight of the latest deal price deviating from the price deviation rate and recalculating the price weights of the remaining effective exchanges, the evaluation method applied for is more rigorous and accurate, and the evaluation rationality can be prevented from being influenced by abnormal factors. And updating the valuation by setting an updating period, and when the index price calculated by the current commodity price weight and the latest transaction price of each exchange is invalid, calculating the valuation in the current updating period by adopting a smooth transition algorithm to avoid abnormal fluctuation of the price. The futures valuation method can solve the problems that an existing method for valuation of latest transaction prices is easily affected by time delay to cause unreasonable bin explosion and unreasonable forced bin leveling, and can provide a more fair and fair transaction environment for emerging transaction markets without a unified valuation method such as digital currency.
Like parts of the various embodiments are referred to one another. In particular, for the embodiments, since they are substantially similar to the method embodiments, the description is simple, and the relevant points can be referred to the description in the method embodiments.
Claims (11)
1. A futures valuation method, comprising:
acquiring the spot commodity transaction amount of at least two exchange places in a preset time period from a commercial electronic transaction system;
according to the spot commodity transaction amounts of at least two exchanges in the preset time period, obtaining the price weight of the spot commodity of each exchange;
acquiring the latest transaction price of the spot commodity of each exchange from the commercial electronic transaction system;
obtaining a spot commodity index price according to the latest transaction price of the spot commodity of each exchange and the spot commodity price weight of each exchange;
obtaining the futures trading depth price of each exchange according to the maximum lever number and the appointed influence amount of futures corresponding to the spot goods in each exchange;
obtaining a premium index of each exchange according to the index price of the spot goods, the deep price of the futures trading and the valuation of the last updating period;
and obtaining the estimated value of the futures of each exchange under the current updating period according to the index price of the spot goods, the premium index of each exchange and contract information of futures contracts.
2. The futures valuation method according to claim 1, said deriving a futures trading depth price for each exchange according to a maximum number of levers and a specified influence amount of futures corresponding to spot goods in each exchange, comprising:
obtaining the influence hand number of the futures deposit of each exchange according to the maximum lever number and the appointed influence amount of the futures corresponding to the spot goods in each exchange;
obtaining futures trading depth price of each exchange according to the futures deposit influence hand number of each exchange;
the obtaining the estimated value of the futures of each exchange under the current update cycle according to the index price of the spot goods, the premium index of each exchange and the contract information of the futures contract comprises the following steps:
obtaining contract information according to futures contracts;
obtaining a base difference rate according to the index price of the spot goods, the premium index of each exchange and the contract information;
and obtaining the estimated value of the futures of each exchange under the current updating period according to the index price of the spot goods and the base difference rate of each exchange.
3. The futures valuation method according to claim 2, wherein the obtaining the spot commodity price weight of each exchange according to the spot commodity trading volume of at least two exchanges within a preset time period comprises:
according to the spot commodity transaction amounts of at least two exchanges in the preset time period, calculating the spot commodity transaction amount ratio Bi of the exchange according to the following formula:
wherein i is the number of any exchange, i ═ 1,2,3, · · n, n is the total number of exchanges within the business electronic exchange system, Zi is the spot commodity transaction amount of the exchange i within the preset time period;
calculating the price weight Wi of the spot goods of the exchange i according to the transaction amount accounting ratio Bi of the spot goods of the exchange i and the following formula:
Wi＝Bi*100％，
wherein Bi is the ratio of the transaction amount of the spot commodity of the i exchange.
4. The futures valuation method of claim 3, wherein said deriving a spot good index price based on the spot good latest exchange price per exchange and the spot good price weight per exchange comprises:
calculating a spot commodity index price Y according to the latest transaction price of the spot commodity of each exchange and the spot commodity price weight of each exchange and the following formula:
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, Pi is the latest transaction price of the spot commodity of the i exchange, and Wi is the price weight of the spot commodity of the i exchange.
5. The futures valuation method according to claim 4, wherein the obtaining of the futures guarantee fund influence hand number according to the maximum lever number and the specified influence amount of futures corresponding to the spot goods in each exchange comprises:
calculating the influence hand number Mi of the futures deposit in the exchange according to the following formula according to the maximum lever number and the appointed influence amount of the futures corresponding to the spot goods in each exchange:
Mi＝Gi*Di,
wherein i is the number of any exchange, i is 1,2,3, n is the total number of the exchanges in the commercial electronic exchange system, Gi is the maximum lever number of futures corresponding to the spot goods in the i exchange, and Di is the designated influence amount of the futures corresponding to the spot goods in the i exchange.
6. The futures valuation method of claim 5, wherein said deriving the futures trading depth price for each exchange based on the futures deposit influencing hand count for each exchange comprises:
the futures trading depth price comprises a depth weighted buy price, a depth weighted buy price and a depth weighted intermediate price, and the depth weighted buy price Hi of the exchange is calculated according to the influence hand number of the futures deposit of each exchange as follows:
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, x is the price gear number of the disc bought by i, x is 1,2,3, h is the total price gear number of the disc bought by i, and the value of h satisfies the requirement of the total price gear number of the disc bought by i
Sx is the number of hands of x price gear in the i trading exchange purchase disk, Ux is the price of x price gear in the i trading exchange purchase disk, and Mi is the influence number of hands of the futures deposit in the i trading exchange;
calculating the depth weighted selling price Vi of the exchange according to the futures deposit influence hand number of each exchange and the following formula:
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, y is the price gear number of the order of the i exchange, y is 1,2,3, v is the total number of price gears of the order bought by the i exchange, and the value of v satisfies the requirement of the total number of price gears of the order bought by the i exchange
Sy is the number of hands in the y price position in the i exchange sales order, Uy is the price in the y price position in the i exchange sales order, and Mi is the influence number of hands on the futures deposit in the i exchange;
calculating the depth weighted mean value Ai of the exchange according to the futures deposit influence hand number of each exchange as follows:
wherein, i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, x is the price gear number of the disc bought by i, x is 1,2,3, h is the total price gear number of the disc bought by i, and the value of h satisfies the requirement of the total price gear number of the disc bought by i
Sx is the number of hands of x price gear in the i transaction purchase disk, Ux is the price of x price gear in the i transaction purchase disk, and Mi is iThe futures deposit on the exchange affects the number of hands; y is the price gear number of the order of the i exchange, y is 1,2,3, v is the total price gear number of the order of the i exchange, and the value of v satisfies
Sy is the number of hands in the y price position in the i transaction purchase disk, and Uy is the price in the y price position in the i transaction purchase disk.
7. The futures valuation method of claim 6, wherein said deriving a premium index for each exchange based on spot commodity index prices, futures trading depth prices, and valuations of a previous update period comprises:
calculating the premium index Fi of the exchange according to the following formula according to the index price of the spot goods, the deep price of the futures trading and the valuation of the last updating period:
wherein I is the number of any exchange, I is 1,2,3, n is the total number of exchanges in the commercial electronic exchange system, Hi is the deep weighted bid price of I exchange, Vi is the deep weighted ask price of I exchange, t is the current time point, α is the update period of the valuation, I is the current time point, I is the number of any exchange, andt-αand Y is the index price of the spot commodity for the valuation of the last updating period.
8. The futures valuation method of claim 7, wherein said deriving contract information based on futures contracts comprises:
when the future contract is about a perpetual contract, extracting contract information of the future contract, wherein the contract information comprises a borrowing and lending rate, a fund expense settlement time interval and a next fund expense settlement time point;
extracting contract information of the futures contract when the futures contract is about to deliver the contract, wherein the contract information comprises a contract delivery time point;
the step of obtaining the base difference rate according to the index price of the spot goods, the premium index of each exchange and the contract information comprises the following steps:
when the futures contract is about a perpetual contract, calculating a fund rate Ri according to the following formula according to the premium index and the loan rate of the exchange i:
Ri＝Ei*Fi,
wherein i is the number of any exchange, i ═ 1,2,3, · · n, n is the total number of exchanges within the business electronic exchange system, Ei is the loan rate of the futures contract in i exchange, Fi is the premium index of i exchange;
and calculating the capital rate basal difference rate Ci according to the capital rate, the capital cost settlement time interval and the next capital cost settlement time point and the following formula:
wherein Ri is the funding rate of the futures contract in the i exchange, T1Is the time from the point in time of the next settlement of the capital expense, T2Settling a time interval for the capital expense;
when the futures contract is about to deliver a contract, calculating a reasonable margin rate Ki according to the spot commodity index price, the contract delivery time point and the depth price of the exchange according to the following formula:
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic exchange system, Ai is the deep-weighted intermediate price of i exchange, Y is the spot commodity index price, T is the index price of the spot commodity, and3is the time from the contract delivery time point.
9. The futures valuation method of claim 8, wherein said deriving the valuation at the current update period for each exchange based on spot commodity index prices and base odds ratios comprises:
when the futures contract is about a perpetual contract, calculating an estimated price Ii under the current updating period of the exchange according to the following formula according to the index price of the spot goods and the fund rate base difference rate:
Ii＝Y*(1+Ci)，
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic transaction system, Y is the index price of the spot commodity, and Ci is the capital rate base difference rate;
when the futures contract is about a delivery contract, calculating an estimated value Ii under the current updating period of the exchange according to the following formula according to the index price of the spot commodities and the reasonable margin rate:
Ii＝Y*(1+Ki)，
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic trading system, Y is the index price of the spot commodity, and Ki is the reasonable variance ratio.
10. The futures valuation method of claim 9, wherein when the value of the spot commodity index price is zero or null, the spot commodity index price for a current update period is invalid, and an valuation I at the current update period of the exchange is calculated as followst：
It＝It-α,
Wherein,
Lt＝Lt-α+1,Lt＜N,
Lt＝N,Lt≥N,
t is the current time point, α is the update period of the valuation, ItIs the valuation of the time point of the exchange t in the update period, It-αFor the evaluation of the last update period,
is the weighted average, mu, of the future prices of all exchanges in the update cycle period before the t time pointtIs a smoothing factor at time t, LtUpdating the number of periods in the period of the index price failure of the spot commodity, wherein N is a smoothing constant;
when the numerical value of the index price of the spot goods is recovered to be effective, calculating the valuation I 'of the trading exchange in the current updating period according to the following formula't：
I′t＝It,
Wherein,
Lt＝Lt-α+1,Lt＜N,
Lt＝N,Lt≥N,
t is the current time point, α is the update period of the valuation, ItWhen the index prices of the spot goods in the last updating period and the current updating period are both effective, the valuation under the updating period of the time point of the exchange t is calculated,
is the weighted average, mu, of the future prices of all exchanges in the update cycle period before the t time pointtIs a smoothing factor at time t, LtAnd N is a smoothing constant, and is the number of the updating periods in the index price failure period of the spot commodity.
11. The futures valuation method according to claim 10, wherein when obtaining the spot commodity latest trading price of the ith exchange fails, the ith exchange is a dead exchange, the spot commodity price weight Wi of the ith exchange is dead, and the spot commodity price weight Wj of the jtag exchange is recalculated according to the following formula:
wherein j is the exchange number with the valid latest transaction price of any spot commodity, j is 1,2,3, … i-1, i +1, · · n, n is the total number of exchanges in the commercial electronic transaction system, i is the number of any exchange, i is 1,2,3, · · n, Zj is the transaction amount of the spot commodity of j in the preset time period;
calculating the price deviation rate Ti of the exchange according to the latest trading price of the spot commodity of each exchange as follows:
wherein i is the number of any exchange, i is 1,2,3, n is the total number of exchanges in the commercial electronic trading system, Pi is the latest trading price of the spot commodity of the exchange, Ai is the arithmetic mean of the latest trading prices of the spot commodities of the other exchanges except the exchange of i,
when Ti is greater than 3%, judging that the latest trading price of the spot commodity of the exchange is an abnormal price;
when Ti is less than or equal to 3 percent, judging that the latest trading price of the spot commodity in the exchange of the i is a normal price;
when the latest trading price of the spot commodity of the exchange is an abnormal price, recalculating the price weight Wq of the spot commodity of the q exchange according to the following formula:
wherein q is the exchange number with the latest transaction price of any spot commodity being a normal price, q is 1,2,3, … i-1, i +1, n is the total number of exchanges in the commercial electronic transaction system, i is the number of any exchange, i is 1,2,3, n, and Zq is the spot commodity transaction amount of q exchanges in the preset time period.
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