流水簿记修改为先进先出逻辑

YLErpDAL/Modules/SwapModule/SwapTradeAutoService.cs

@@ -417,7 +417,7 @@ namespace YLErp.Modules.SwapModule
             && !ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus)).ToList();
             var swapTradeIds = swaptrades.Select(s => s.id);
             var tradeExtends = DbContext.trade_extend.Where(x => swapTradeIds.Contains(x.TradeId));
-            var clientMarginTemplates = DbContext.client_marginrate.Where(x => x.Type == "品种" && x.ValueDate <= valueDate).OrderByDescending(o => o.ValueDate).ToList();
+            var clientMarginTemplates = DbContext.client_marginrate.Where(x => x.ValueDate <= valueDate).OrderByDescending(o => o.ValueDate).ToList();
             var restSwapTrades = new List<trade>();
             foreach (var swaptrade in swaptrades)
             {
@@ -442,9 +442,9 @@ namespace YLErp.Modules.SwapModule
         /// </summary>
         /// <param name="mergeList"></param>
         /// <param name="valueDate"></param>
-        public void MergeAvgModeCompose(List<swap_flow> swapFlows, DateTime valueDate, Action<int>? action)
+        public void MergeAvgModeCompose(List<swap_flow_merge> mergeList, DateTime valueDate, Action<int>? action)
         {
-            var flowquery = swapFlows.GroupBy(g => g.ClientId);
+            var flowquery = mergeList.GroupBy(g => g.ClientId);
             var flowCount = flowquery.Count();
             if (flowCount == 0)
             {
@@ -456,13 +456,14 @@ namespace YLErp.Modules.SwapModule
             && !ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus)).ToList();
             var swapTradeIds = swaptrades.Select(s => s.id);
             var swapPositions = DbContext.swap_position.Where(x => swapTradeIds.Contains(x.SwapTradeId) && x.PosiDirection > 0 && !x.IsInitial && x.PosiQuantity > 0 && !x.Invalid).ToList();
+            var clientMarginTemplates = DbContext.client_marginrate.Where(x => x.ValueDate <= valueDate).OrderByDescending(o => o.ValueDate).ToList();
             var matuirityDate = QdpCalendarHelper.GetNonHolidayDefore(valueDate.AddDays(14));
             var floatRatePredicate = PredicateBuilder.Create<SwapFloatRate>(x => x.StartDate <= valueDate && x.EndDate >= matuirityDate);
             var floatRateQuery = DbContext.swap_float_rate.Where(floatRatePredicate);
             int dealCount = 0;
             foreach (var groupItem in flowquery)
             {
-                MergeAvgModelItem(groupItem, swaptrades, swapPositions, floatRateQuery, ref dealCount, action);
+                MergeAvgModelItem(groupItem, swaptrades, swapPositions, floatRateQuery, clientMarginTemplates, ref dealCount, action);
             }
         }
         public void UpdateSwapFlowState(List<swap_flow> swapFlows)
@@ -583,10 +584,11 @@ namespace YLErp.Modules.SwapModule
         /// <param name="direction"></param>
         /// <param name="matuirityDate"></param>
         /// <exception cref="ServiceException"></exception>
-        private void MergeAvgModelItem(IGrouping<int?, swap_flow> groupItem,
+        private void MergeAvgModelItem(IGrouping<int?, swap_flow_merge> groupItem,
             List<trade> swaptrades,
             List<swap_position> swapPositions,
-            IQueryable<SwapFloatRate> floatRateQuery, ref int dealCount, Action<int>? action)
+            IQueryable<SwapFloatRate> floatRateQuery,
+            List<client_marginrate> client_Marginrates, ref int dealCount, Action<int>? action)
         {
             var clientId = groupItem.Key;
             var client = DataCacheProvider.GetClientDataSource().GetData(clientId ?? 0);
@@ -597,7 +599,11 @@ namespace YLErp.Modules.SwapModule
             var clientSwapTrades = swaptrades.Where(x => x.ClientId == clientId).ToList();
             var clientSwapTradeIds = clientSwapTrades.Select(s => s.id);
             var clientSwapPositions = swapPositions.Where(x => clientSwapTradeIds.Contains(x.SwapTradeId));//现有客户持仓
-
+            var clientMarginTemplate = client_Marginrates.FirstOrDefault(x => x.ClientId == clientId);
+            if (clientMarginTemplate == null)
+            {
+                clientMarginTemplate = client_Marginrates.FirstOrDefault(x => x.ClientId == 0);
+            }
             var underlyingCodes = underlyingGroup.Select(s => s.Key).ToList();
             var underlyings = DataCacheProvider.GetUnderlyingDataSource().AsQueryable(x => underlyingCodes.Contains(x.UnderlyingCode));
             foreach (var underlyingGroupItem in underlyingGroup)
@@ -617,11 +623,11 @@ namespace YLErp.Modules.SwapModule
                 if (!hasPayPosition)//没有持仓
                 {
                     var bsType = mergeList.OrderBy(o => o.OptTime).First().BsType;
-                    AvgDealNoPosition(mergeList, client, asset, underlying, floatRate, clearingAgency, bsType);
+                    AvgDealNoPosition(mergeList, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency, bsType);
                 }
                 else
                 {
-                    AvgDealHasPosition(mergeList, client, asset, underlying, floatRate, clientSwapPositionList, clientSwapTrades, clearingAgency);
+                    AvgDealHasPosition(mergeList, client, asset, underlying, floatRate, clientSwapPositionList, clientSwapTrades, clientMarginTemplate, clearingAgency);
                 }
 
             }
@@ -697,178 +703,90 @@ namespace YLErp.Modules.SwapModule
         /// <param name="asset"></param>
         /// <param name="underlying"></param>
         /// <param name="floatRate"></param>
-        private trade AvgDealNoPosition(List<swap_flow> swapFlows,
+        private trade AvgDealNoPosition(List<swap_flow_merge> swapFlows,
             Client client,
             AssetUnit asset,
             underlying_manager underlying,
             SwapFloatRate floatRate,
+            client_marginrate clientMarginTemplate,
             string clearingAgency,
             int byType)
         {
-            var negativeFlows = swapFlows.Where(x => x.BsType != byType).OrderBy(o => o.OptTime).ToList();
-            var sameFlows = swapFlows.Where(x => x.BsType == byType).OrderBy(o => o.OptTime).ToList();
-            if (negativeFlows.Count == 0)
+            var negativeFlow = swapFlows.Where(x => x.BsType != byType).FirstOrDefault();
+            var sameFlow = swapFlows.Where(x => x.BsType == byType).FirstOrDefault();
+            if (negativeFlow==null)
             {
-                return DealOneDirectionFlows(sameFlows, client, asset, underlying, floatRate, clearingAgency);
+                return NewSwapTrade(sameFlow, client, asset, underlying, floatRate, clientMarginTemplate,clearingAgency);
             }
-           return DealTwoDirectionFlows(sameFlows, negativeFlows, client, asset, underlying, floatRate, clearingAgency);
-        }
-        /// <summary>
-        /// 当前无持仓，且只有一个方向的流水合成簿记
-        /// </summary>
-        /// <param name="sameFlows"></param>
-        /// <param name="client"></param>
-        /// <param name="asset"></param>
-        /// <param name="underlying"></param>
-        /// <param name="floatRate"></param>
-        /// <param name="clearingAgency"></param>
-        private trade DealOneDirectionFlows(List<swap_flow> sameFlows,
-            Client client,
-            AssetUnit asset,
-            underlying_manager underlying,
-            SwapFloatRate floatRate,
-            string clearingAgency)
-        {
-            List<SwapFlowDeal> swapFlowDeals = new List<SwapFlowDeal>();
-            foreach (var flow in sameFlows)
-            {
-                SwapFlowDeal swapFlowDeal = GetSwapFlowDeal(flow, flow.TradingQty, (int)OpenCloseEnum.开仓, flow.TradingFee, null);
-                swapFlowDeals.Add(swapFlowDeal);
-            }
-            return NewSwapTrade(swapFlowDeals, client, asset, underlying, floatRate, clearingAgency);
+           return DealTwoDirectionFlows(sameFlow, negativeFlow, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency);
         }
         /// <summary>
         /// 当前无持仓，且有2个方向流水合成簿记
         /// </summary>
-        /// <param name="sameFlows"></param>
-        /// <param name="negativeFlows"></param>
+        /// <param name="sameFlow"></param>
+        /// <param name="negativeFlow"></param>
         /// <param name="client"></param>
         /// <param name="asset"></param>
         /// <param name="underlying"></param>
         /// <param name="floatRate"></param>
+        /// <param name="clientMarginTemplate"></param>
         /// <param name="clearingAgency"></param>
-        private trade DealTwoDirectionFlows(List<swap_flow> sameFlows,
-            List<swap_flow> negativeFlows,
+        /// <returns></returns>
+        private trade DealTwoDirectionFlows(swap_flow_merge sameFlow,
+           swap_flow_merge negativeFlow,
             Client client,
             AssetUnit asset,
             underlying_manager underlying,
             SwapFloatRate floatRate,
+             client_marginrate clientMarginTemplate,
             string clearingAgency)
         {
-            var swapTradeService = new SwapTradeService(UserInfo);
-            var sameQty = sameFlows.Sum(s => s.TradingQty);
-            var negaQty = negativeFlows.Sum(s => s.TradingQty);
-            //第一次开仓流水拆分明细
-            List<SwapFlowDeal> openFirstFlows = new List<SwapFlowDeal>();
-            //第一次平仓流水拆分明细
-            List<SwapFlowDeal> unwindFirstFlows = new List<SwapFlowDeal>();
-            //第二次开仓流水拆分明细，最多可能存在第二次开仓
-            List<SwapFlowDeal> openLastFlows = new List<SwapFlowDeal>();
-            List<swap_flow> negaFlowClones = DataHelper.DeepCopyObject(negativeFlows);
-            List<swap_flow> sameFlowClones = DataHelper.DeepCopyObject(sameFlows);
-            unwindFirstFlows = GetRemainderFlows(negaFlowClones, sameQty, null);
-            var unwindQty = unwindFirstFlows.Sum(s => s.TradingQty);
-            //日内轧差全开全平
-            //同向总数量>=反向总数量，同向新开仓，反向流水全部平仓，同向剩余新开仓
-            if (sameQty >= negaQty)
+            var sameQty = sameFlow.TradingQty;
+            var negaQty = negativeFlow.TradingQty;
+            swap_flow_merge negaFlowClone = DataHelper.DeepCopyObject(negativeFlow);
+            swap_flow_merge sameFlowClone = DataHelper.DeepCopyObject(sameFlow);
+            //先开数量大的，再用小的平仓
+            if (sameQty < negaQty)
             {
-                openFirstFlows = GetRemainderFlows(sameFlowClones, negaQty, null);
-                openFirstFlows.ForEach(x => { x.OpenFlag = (int)OpenCloseEnum.开仓; });
-                var openQty = openFirstFlows.Sum(s => s.TradingQty);
-                if (openQty < negaQty)
-                {
-                    var sameFlow = sameFlowClones.First();
-                    var unwindFirstQty = negaQty - openQty;
-                    var unwindFee = sameFlow.TradingFee * unwindFirstQty / sameFlow.TradingQty;
-                    SwapFlowDeal firstOpenFlowDeal = GetSwapFlowDeal(sameFlow, unwindFirstQty, (int)OpenCloseEnum.开仓, unwindFee, null);
-                    openFirstFlows.Add(firstOpenFlowDeal);
-                    sameFlow.TradingQty = sameFlow.TradingQty - unwindFirstQty;
-                    sameFlow.TradingFee = sameFlow.TradingFee - unwindFee;
-                    sameFlow.TradingAmount = sameFlow.TradingQty;
-                }
-                //反向流水全部平仓
-                foreach (var negaFlow in negaFlowClones)
-                {
-                    SwapFlowDeal swapFlowDeal = GetSwapFlowDeal(negaFlow, negaFlow.TradingQty, (int)OpenCloseEnum.平仓, negaFlow.TradingFee, null);
-                    unwindFirstFlows.Add(swapFlowDeal);
-                }
-                foreach (var sameFlow in sameFlowClones)
-                {
-                    SwapFlowDeal swapFlowDeal = GetSwapFlowDeal(sameFlow, sameFlow.TradingQty, (int)OpenCloseEnum.开仓, sameFlow.TradingFee, null);
-                    openLastFlows.Add(swapFlowDeal);
-                }
+                sameFlowClone= DataHelper.DeepCopyObject(negativeFlow);
+                negaFlowClone = DataHelper.DeepCopyObject(sameFlow);
             }
-            else //同向总数量 < 反向总数量，同向先开仓，反向流水部分平仓，反向剩余新开仓
-            {
-                if (unwindQty < sameQty)
-                {
-                    var negaFlow = negaFlowClones.First();
-                    var unwindFirstQty = sameQty - unwindQty;
-                    var unwindFee = negaFlow.TradingFee * unwindFirstQty / negaFlow.TradingQty;
-                    SwapFlowDeal swapFirstFlowDeal = GetSwapFlowDeal(negaFlow, unwindFirstQty, (int)OpenCloseEnum.平仓, unwindFee, null);
-                    unwindFirstFlows.Add(swapFirstFlowDeal);
-                    negaFlow.TradingQty = negaFlow.TradingQty - unwindFirstQty;
-                    negaFlow.TradingFee = negaFlow.TradingFee - unwindFee;
-                    negaFlow.TradingAmount = negaFlow.TradingQty;
-                }
-                foreach (var flow in sameFlowClones)
-                {
-                    SwapFlowDeal swapFlowDeal = GetSwapFlowDeal(flow, flow.TradingQty, (int)OpenCloseEnum.开仓, flow.TradingFee, null);
-                    openFirstFlows.Add(swapFlowDeal);
-                }
-                foreach (var minFlow in negaFlowClones)
-                {
-                    SwapFlowDeal swapFlowDeal = GetSwapFlowDeal(minFlow, minFlow.TradingQty, (int)OpenCloseEnum.开仓, minFlow.TradingFee, null);
-                    openLastFlows.Add(swapFlowDeal);
-                }
-            }
-
-            var trade = NewSwapTrade(openFirstFlows, client, asset, underlying, floatRate, clearingAgency);
-            unwindFirstFlows.ForEach(x => { x.SwapTradeId = trade.id; x.SwapTradeNo = trade.TradeNumber; });
-            DbContext.swap_flow_deal.AddRange(unwindFirstFlows);
-            var mergeUnwindFlows = SummaryFlow(unwindFirstFlows);
-            var unwindMergeFlow = mergeUnwindFlows.First();
+            var trade = NewSwapTrade(sameFlowClone, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency);
             // 平仓
             new SwapDealService(UserInfo).AuotoSwapUnwind(trade.id,
-                unwindMergeFlow.TradingAmountAvg,
-                unwindMergeFlow.TradingAmountFeeAvg,
-                unwindMergeFlow.TradingAmountNetFeeAvg ?? 0,
-                unwindMergeFlow.TradingAmountNetAvg ?? 0,
-                unwindMergeFlow.OccurTime,
-                unwindMergeFlow.TradingQty,
-                unwindMergeFlow.TradingQty,
-                unwindMergeFlow.TradingFeePending);
-            if (openLastFlows.Count > 0)
-            {
-               return NewSwapTrade(openLastFlows, client, asset, underlying, floatRate, clearingAgency);
-            }
+                negaFlowClone.TradingAmountAvg,
+                negaFlowClone.TradingAmountFeeAvg,
+                negaFlowClone.TradingAmountNetFeeAvg ?? 0,
+                negaFlowClone.TradingAmountNetAvg ?? 0,
+                negaFlowClone.OccurTime,
+                negaFlowClone.TradingQty,
+                negaFlowClone.TradingQty,
+                negaFlowClone.TradingFeePending);
             return trade;
         }
         /// <summary>
-        /// 流水拆分后新开仓
+        /// 流水新开仓
         /// </summary>
-        /// <param name="openFlows"></param>
+        /// <param name="flowMergeFirst"></param>
         /// <param name="client"></param>
         /// <param name="asset"></param>
         /// <param name="underlying"></param>
         /// <param name="floatRate"></param>
+        /// <param name="clientMarginTemplate"></param>
         /// <param name="clearingAgency"></param>
         /// <returns></returns>
-        private trade NewSwapTrade(List<SwapFlowDeal> openFlows,
+        private trade NewSwapTrade(swap_flow_merge flowMergeFirst,
             Client client,
             AssetUnit asset,
             underlying_manager underlying,
             SwapFloatRate floatRate,
+            client_marginrate clientMarginTemplate,
             string clearingAgency)
         {
             var swapTradeService = new SwapTradeService(UserInfo);
-            var mergeFlows = SummaryFlow(openFlows);
-            swap_flow_merge flowMergeFirst = mergeFlows.First();
-            var trade = swapTradeService.NewSwapTrade(flowMergeFirst, client, asset, underlying, floatRate, null, clearingAgency, LongShortStructType);
+            var trade = swapTradeService.NewSwapTrade(flowMergeFirst, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency, LongShortStructType);
             flowMergeFirst.SwapTradeNo = trade.TradeNumber;
             flowMergeFirst.SwapTradeId = trade.id;
-            openFlows.ForEach(x => { x.SwapTradeId = trade.id; x.SwapTradeNo = trade.TradeNumber; });
-            DbContext.swap_flow_deal.AddRange(openFlows);
             DbContext.SaveChanges();
             return trade;
         }
@@ -976,24 +894,25 @@ namespace YLErp.Modules.SwapModule
         /// <param name="floatRate"></param>
         /// <param name="clientSwapPositionList"></param>
         /// <param name="clientSwapTrades"></param>
-        private void AvgDealHasPosition(List<swap_flow> flowList,
+        private void AvgDealHasPosition(List<swap_flow_merge> flowList,
             Client client,
             AssetUnit asset,
             underlying_manager underlying,
             SwapFloatRate floatRate,
             List<swap_position> clientSwapPositionList,
             List<trade> clientSwapTrades,
+            client_marginrate clientMarginTemplate,
             string clearingAgency)
         {
             var firstFlow = flowList.First();
-            var negaFlowExist = flowList.Any(x => x.BsType != firstFlow.BsType);
-            if (!negaFlowExist)//只有同向流水情况
+            var negativeFlow = flowList.Where(x => x.BsType != firstFlow.BsType).FirstOrDefault();
+            if (negativeFlow==null)//只有同向流水情况
             {
-                AvgDealSingleFlow(flowList, clientSwapPositionList, clientSwapTrades, client, asset, underlying, floatRate, clearingAgency);
+                 NewSwapTrade(firstFlow, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency);
             }
             else
             {
-                AvgDealDoubleFlow(flowList, clientSwapPositionList, clientSwapTrades, client, asset, underlying, floatRate, clearingAgency);
+                AvgDealDoubleFlow(flowList, clientSwapPositionList, clientSwapTrades, client, asset, underlying, floatRate, clientMarginTemplate,clearingAgency);
             }
         }
         /// <summary>
@@ -1073,38 +992,6 @@ namespace YLErp.Modules.SwapModule
             flowMergeClone.TradingAmountNetFeeAvg = flowMergeClone.TradingAmountNetAvg + ratio * flowMergeClone.TradingFeePending / flowMergeClone.TradingQty;
         }
         /// <summary>
-        /// 加权平均处理单条流水情况
-        /// </summary>
-        /// <param name="flowList"></param>
-        /// <param name="clientSwapPositionList"></param>
-        /// <param name="clientSwapTrades"></param>
-        /// <param name="matuirityDate"></param>
-        /// <param name="client"></param>
-        /// <param name="asset"></param>
-        /// <param name="underlying"></param>
-        /// <param name="floatRate"></param>
-        private void AvgDealSingleFlow(List<swap_flow> flowList,
-            List<swap_position> clientSwapPositionList,
-            List<trade> clientSwapTrades,
-            Client client,
-            AssetUnit asset,
-            underlying_manager underlying,
-            SwapFloatRate floatRate,
-            string clearingAgency)
-        {
-            swap_flow flowMergeMax = flowList.First();
-            var negaSwapPositions = clientSwapPositionList.Where(x => x.PositionType != flowMergeMax.BsType).ToList();
-            List<swap_flow> flowClones = DataHelper.DeepCopyObject(flowList);
-            if (negaSwapPositions.Count > 0)//流水与持仓反向
-            {
-                AvgDealUnwind(flowClones, clientSwapTrades, negaSwapPositions, client, asset, underlying, floatRate, clearingAgency,true);
-            }
-            else //只存在同向交易,同向流水合并新开仓
-            {
-                DealOneDirectionFlows(flowClones, client, asset, underlying, floatRate, clearingAgency);
-            }
-        }
-        /// <summary>
         /// 处理多条流水情况
         /// </summary>
         /// <param name="mergeList"></param>
@@ -1174,64 +1061,92 @@ namespace YLErp.Modules.SwapModule
         /// <param name="asset"></param>
         /// <param name="underlying"></param>
         /// <param name="floatRate"></param>
-        public void AvgDealDoubleFlow(List<swap_flow> flowList,
+        public void AvgDealDoubleFlow(List<swap_flow_merge> flowList,
             List<swap_position> clientSwapPositionList,
             List<trade> clientSwapTrades,
             Client client,
             AssetUnit asset,
             underlying_manager underlying,
             SwapFloatRate floatRate,
+            client_marginrate clientMarginTemplate,
             string clearingAgency)
         {
             var swapTradeService = new SwapTradeService(UserInfo);
             var firstPosi = clientSwapPositionList.First();
             var swapPositions = clientSwapPositionList.Where(x => x.PositionType == firstPosi.PositionType).ToList();
             var posiQty = swapPositions.Sum(s => s.PosiQuantity);
-            var flowSames = flowList.Where(x => x.BsType == firstPosi.PositionType).ToList();
-            var flowNegs = flowList.Where(x => x.BsType != firstPosi.PositionType).ToList();
-            var negaBsType= flowNegs.First().BsType;
+            var flowSame = flowList.Where(x => x.BsType == firstPosi.PositionType).First();
+            var flowNeg = flowList.Where(x => x.BsType != firstPosi.PositionType).First();
+            var negaBsType= flowNeg.BsType;
 
-            var sameQty = posiQty + flowSames.Sum(s => s.TradingQty);
-            var flowSameClones = DataHelper.DeepCopyObject(flowSames);
-            var flowNegClones = DataHelper.DeepCopyObject(flowNegs);
+            var sameQty = posiQty + flowSame.TradingQty;
+            var flowSameClone = DataHelper.DeepCopyObject(flowSame);
+            var flowNegClone = DataHelper.DeepCopyObject(flowNeg);
             //先平反向
-            AvgDealUnwind(flowNegClones, clientSwapTrades, swapPositions, client, asset, underlying, floatRate, clearingAgency,false);
+           var trade= AvgDealUnwind(flowNegClone, clientSwapTrades, swapPositions, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency);
             var newFlowList = new List<swap_flow>();
-            var openBystype = firstPosi.PositionType;
-            if (flowNegClones.Count > 0)
+            if (trade!=null)
             {
-                newFlowList.AddRange(flowNegClones);
-                openBystype = negaBsType;
+                var flowQty = flowSameClone.TradingQty;
+                var currentPosiQty = flowNegClone.TradingQty;
+                var newOpenQty = currentPosiQty - flowQty;
+                var unwindQty = newOpenQty > 0 ? flowQty : currentPosiQty;
+                var unwindFee = flowSameClone.TradingFeePending * unwindQty / currentPosiQty;
+
+                flowQty = flowQty - unwindQty;
+                // 平仓
+                new SwapDealService(UserInfo).AuotoSwapUnwind(trade.id,
+                    flowSameClone.TradingAmountAvg,
+                    flowSameClone.TradingAmountFeeAvg,
+                    flowSameClone.TradingAmountNetFeeAvg ?? 0,
+                    flowSameClone.TradingAmountNetAvg ?? 0,
+                    flowSameClone.OccurTime,
+                    flowSameClone.TradingQty,
+                    unwindQty,
+                    unwindFee);
+                if (flowQty>0)
+                {
+                    var unwindPercent = 1 - (flowQty / flowSameClone.TradingQty);
+                    var fee = (1 - unwindPercent) * flowSameClone.TradingFeePending;
+                    flowSameClone.TradingQty = flowQty;
+                    flowSameClone.TradingAmount = flowSameClone.TradingQty;
+                    flowSameClone.TradingFeePending = fee;
+                    NewSwapTrade(flowSameClone, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency);
+                }
+            }
+            else
+            {
+                NewSwapTrade(flowSameClone, client, asset, underlying, floatRate, clientMarginTemplate, clearingAgency);
             }
-            newFlowList.AddRange(flowSameClones);
-            //有历史持仓按反方向先开仓
-            AvgDealNoPosition(newFlowList, client, asset, underlying, floatRate, clearingAgency, openBystype);
         }
         /// <summary>
-        /// 有持仓流水
+        /// 有持仓流水反向平仓
         /// </summary>
-        /// <param name="swapFlows"></param>
+        /// <param name="swapFlow"></param>
         /// <param name="trades"></param>
         /// <param name="swapPositions"></param>
         /// <param name="client"></param>
         /// <param name="asset"></param>
         /// <param name="underlying"></param>
         /// <param name="floatRate"></param>
+        /// <param name="clientMarginTemplate"></param>
         /// <param name="clearingAgency"></param>
-        private void AvgDealUnwind(List<swap_flow> swapFlows,
+        /// <returns></returns>
+        private trade AvgDealUnwind(swap_flow_merge swapFlow,
             List<trade> trades,
             List<swap_position> swapPositions,
             Client client,
             AssetUnit asset,
             underlying_manager underlying,
             SwapFloatRate floatRate,
-            string clearingAgency,
-            bool needAdd)
+            client_marginrate clientMarginTemplate,
+            string clearingAgency)
         {
             var swapTradeService = new SwapTradeService(UserInfo);
+            var flowQty = swapFlow.TradingQty;
             foreach (var posi in swapPositions)
             {
-                if (swapFlows.Count == 0)
+                if (swapFlow==null|| flowQty == 0)
                 {
                     break;
                 }
@@ -1239,40 +1154,34 @@ namespace YLErp.Modules.SwapModule
                 if (td != null)
                 {
                     var posiQty = posi.PosiQuantity;
-                    var flowQty = swapFlows.Sum(s => s.TradingQty);
-                    var unwindSwapFlowDeals = GetRemainderFlows(swapFlows, posiQty, td);
-                    var unwindQty = unwindSwapFlowDeals.Sum(x => x.TradingQty);
-                    if (unwindQty < posiQty && swapFlows.Count > 0)
-                    {
-                        var unwindSwapFlow = swapFlows.First();
-                        var flowUnindQty = posiQty - unwindQty;
-                        var unwindFee = unwindSwapFlow.TradingQty == 0 ? 0 : unwindSwapFlow.TradingFee * flowUnindQty / unwindSwapFlow.TradingQty;
-                        unwindSwapFlow.TradingQty = unwindSwapFlow.TradingQty - flowUnindQty;
-                        unwindSwapFlow.TradingFee = unwindSwapFlow.TradingFee - unwindFee;
-                        unwindSwapFlow.TradingAmount = unwindSwapFlow.TradingQty;
-                        var unwindFlowDeal = GetSwapFlowDeal(unwindSwapFlow, flowUnindQty, (int)OpenCloseEnum.平仓, unwindFee, td);
-                        unwindSwapFlowDeals.Add(unwindFlowDeal);
-                    }
-                    DbContext.swap_flow_deal.AddRange(unwindSwapFlowDeals);
-                    var unwindMergeFlow = SummaryFlow(unwindSwapFlowDeals).First();
+                    var newOpenQty = posiQty - flowQty;
+                    var unwindQty = newOpenQty > 0 ? flowQty : posiQty;
+                    var unwindFee = swapFlow.TradingFeePending* unwindQty / flowQty;
+                   
+                    flowQty = flowQty - unwindQty;
                     // 平仓
                     new SwapDealService(UserInfo).AuotoSwapUnwind(td.id,
-                        unwindMergeFlow.TradingAmountAvg,
-                        unwindMergeFlow.TradingAmountFeeAvg,
+                        swapFlow.TradingAmountAvg,
+                        swapFlow.TradingAmountFeeAvg,
 
-                        unwindMergeFlow.TradingAmountNetFeeAvg ?? 0,
-                        unwindMergeFlow.TradingAmountNetAvg ?? 0,
-                        unwindMergeFlow.OccurTime,
-                        unwindMergeFlow.TradingQty,
-                        posiQty,
-                        unwindMergeFlow.TradingFeePending);
+                        swapFlow.TradingAmountNetFeeAvg ?? 0,
+                        swapFlow.TradingAmountNetAvg ?? 0,
+                        swapFlow.OccurTime,
+                        swapFlow.TradingQty,
+                        unwindQty,
+                        unwindFee);
                 }
             }
-            if (swapFlows.Count > 0 && needAdd)
+            if (flowQty > 0) //平仓完有剩余流水，
             {
-                var bsType = swapFlows.First().BsType;
-                AvgDealNoPosition(swapFlows, client, asset, underlying, floatRate, clearingAgency, bsType);
+                var unwindPercent =1- (flowQty / swapFlow.TradingQty);
+                var fee = (1 - unwindPercent) * swapFlow.TradingFeePending;
+                swapFlow.TradingQty = flowQty;
+                swapFlow.TradingAmount = swapFlow.TradingQty;
+                swapFlow.TradingFeePending = fee;
+                return NewSwapTrade(swapFlow, client, asset, underlying, floatRate, clientMarginTemplate,clearingAgency);
             }
+            return null;
         }
         /// <summary>
         /// 2条流水处理明细
@@ -1422,95 +1331,5 @@ namespace YLErp.Modules.SwapModule
             }
             return (0, 0, false, null);
         }
-        /// <summary>
-        /// 定时任务合成持仓
-        /// </summary>
-        /// <param name="flowList"></param>
-        /// <param name="swapPositions"></param>
-        /// <param name="clientPosition"></param>
-        /// <param name="multiplier"></param>
-        /// <param name="positionType"></param>
-
-        public void MergeSwapPositionAvg(List<swap_flow> flowList, List<swap_position> swapPositions, ClientPosition clientPosition, decimal multiplier, int positionType)
-        {
-            var hasPayPosition = swapPositions != null && swapPositions.Count > 0;
-            var posiQty = swapPositions == null ? 0 : swapPositions.Sum(x => x.PosiQuantity);
-            var flowSames = flowList.Where(x => x.BsType == positionType).OrderBy(o => o.OptTime).ToList();
-            var flowNegatives = flowList.Where(x => x.BsType != positionType).OrderBy(o => o.OptTime).ToList();
-            var sameQty = flowSames.Sum(s => s.TradingQty);
-            var negaQty = flowNegatives.Sum(s => s.TradingQty);
-
-            if (sameQty + posiQty < negaQty)
-            {
-                var negaPosiType = flowNegatives.First().BsType;
-                clientPosition.side = negaPosiType - 1;
-            }
-            var posiType = clientPosition.id == 0 ? 0 : clientPosition.side;
-            List<swap_flow> maxFlowClones = new List<swap_flow>(flowSames);
-            var mergeFlow = new swap_flow_merge();
-            if (hasPayPosition)//有日终持仓
-            {
-                var posiFlows = ConvertToSwapFlow(swapPositions, (int)clientPosition.client_id);
-                maxFlowClones.AddRange(posiFlows);
-                maxFlowClones = maxFlowClones.OrderBy(o => o.id).ToList();
-                sameQty = maxFlowClones.Sum(s => s.TradingQty);
-            }
-            var maxQty = sameQty;
-            var minQty = negaQty;
-            if (clientPosition.side + 1 != positionType)
-            {
-                maxQty = negaQty;
-                minQty = sameQty;
-                maxFlowClones = new List<swap_flow>(flowNegatives);
-            }
-            maxFlowClones.ForEach(x => { x.OccurTime = DateTime.Now.Date; });
-            var unwindDeals = GetRemainderFlows(maxFlowClones, minQty, null);
-            var unwindQty = unwindDeals.Sum(s => s.TradingQty);
-            if (minQty != 0 && unwindQty < maxQty)
-            {
-                var firstFlow = maxFlowClones.First();
-                var unwindFlowQty = minQty - unwindQty;
-                var unwindFee = firstFlow.TradingFee * unwindFlowQty / firstFlow.TradingQty;
-                firstFlow.TradingQty = firstFlow.TradingQty - unwindFlowQty;
-                firstFlow.TradingFee = firstFlow.TradingFee - unwindFee;
-                firstFlow.TradingAmount = firstFlow.TradingQty;
-            }
-            var mergeList = SummaryFlow(maxFlowClones, false);
-            mergeFlow = mergeList.Count>0? mergeList.First():new swap_flow_merge();
-            clientPosition.commission = mergeFlow.TradingFee;
-            clientPosition.position_qty = mergeFlow.TradingQty / 10000;
-            clientPosition.position_notional_principal = mergeFlow.TradingQty;
-            clientPosition.deal_full_price_avg = mergeFlow.TradingAmountAvg * multiplier;
-            clientPosition.deal_price_avg = mergeFlow.TradingAmountNetAvg * multiplier;
-        }
-        /// <summary>
-        /// 将持仓转换为流水
-        /// </summary>
-        /// <param name="positions"></param>
-        /// <param name="clientId"></param>
-        /// <returns></returns>
-        private List<swap_flow> ConvertToSwapFlow(List<swap_position> positions, int clientId)
-        {
-            List<swap_flow> flows = new List<swap_flow>();
-            foreach (var item in positions)
-            {
-                swap_flow flow = new swap_flow();
-                flow.TradingAmount = item.PosiNotionalValue;
-                flow.TradingAmountAvg = item.PosiGrossPrice;
-                flow.TradingAmountFeeAvg = item.PosiNetPrice;
-                flow.TradingAmountNet = item.PosiNetNoFeePrice;
-                flow.TradingAmountNetFee = item.PosiNetFeePrice;
-                flow.TradingFee = item.PosiTradingFeePending;
-                flow.TradingQty = item.PosiQuantity;
-                flow.UnderlyingCode = item.UnderlyingCode;
-                flow.OccurTime = DateTime.Now.Date;
-                flow.ContractSize = item.ContractSize;
-                flow.ClientId = clientId;
-                flow.BsType = item.PositionType;
-                flow.SettleDate = item.PosiStartDate;
-                flows.Add(flow);
-            }
-            return flows;
-        }
     }
 }

YLErpWeb/Hubs/SwapFlowCombookingHub.cs

@@ -70,14 +70,14 @@ namespace YLErp.Web.Hubs
                 //var dmaFlows = swapFlows.Where(x => dmaClientIds.Contains(x.ClientId)).ToList();
                 
                 #region  DMA合成持仓
-                if (swapFlows.Count > 0)
+                if (mergeList.Count > 0)
                 {
-                    currentStep = $"正在合成簿记:共{swapFlows.Count}条流水";
+                    currentStep = $"正在合成簿记:共{mergeList.Count}条合成流水";
                     await client.SendAsync("ReceiveMessage", currentStep);
                    
-                    service.MergeAvgModeCompose(swapFlows, req.tradeDate, (dealCount) =>
+                    service.MergeAvgModeCompose(mergeList, req.tradeDate, (dealCount) =>
                     {
-                        currentStep = $"正在合成簿记:{dealCount}/{swapFlows.Count}";
+                        currentStep = $"正在合成簿记:{dealCount}/{mergeList.Count}";
                         client.SendAsync("ReceiveMessage", currentStep);
                     });
                     currentStep = "簿记合成完毕";