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Merge branch 'hotfix/zs_trs'

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吴方海
2025-04-22 10:41:52 +08:00
parent 5ba29de3ed 08682b28c4
commit 6667ad751e
22 changed files with 459 additions and 131 deletions
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YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+16 -19
View File
@@ -135,19 +135,17 @@ namespace YLErp.Modules.SwapModule
{
throw new Exception($"交易【{td.TradeNumber}】到期扔有持仓信息");
}
//实际自动互换数据开头已删除
var longEventTypes = eventTyps;
longEventTypes.Add((int)SwapFlowEventTypeEnum.开仓);
var flowEvents = new List<swap_flow_event>();
Expression<Func<swap_flow_event, bool>> eventExpression = x => x.SwapTradeId == td.id && x.DataState == (int)SwapFlowDateStateEnum.完成 && longEventTypes.Contains(x.EventType);
if (settleDate == td.TradeDate)
{
eventExpression = eventExpression.And(x => x.EventDate == settleDate);
}
else
{
eventExpression = eventExpression.And(x => x.UnwindDate == settleDate);
}
Expression<Func<swap_flow_event, bool>> eventExpression = x => x.SwapTradeId == td.id && x.DataState == (int)SwapFlowDateStateEnum.完成;
eventExpression = eventExpression.And(x => (x.EventDate == settleDate && x.EventType == (int)SwapFlowEventTypeEnum.开仓) || (x.UnwindDate == settleDate && eventTyps.Contains(x.EventType)));
//if (settleDate == td.TradeDate)
//{
// eventExpression = eventExpression.And(x => x.EventDate == settleDate);
//}
//else
//{
// eventExpression = eventExpression.And(x => x.UnwindDate == settleDate);
//}
flowEvents = DbContext.swap_flow_event.Where(eventExpression).ToList();
var preDealDate = GetPreDealDate(td.id, settleDate, eventTyps);//上一次平仓/互换/自动互换处理日期
List<swap_flow_event> autoInterests = new List<swap_flow_event>();//自动互换利息腿信息
@@ -1349,16 +1347,15 @@ namespace YLErp.Modules.SwapModule
curretEod.PosiTradingFee = position.PosiTradingFee;
curretEod.UnderlyingPrice = UnderlyingCodePrice(position.UnderlyingCode, dealDate, out decimal vobp);
SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, position);
if (settleDate == td.TradeDate)
{
curretEod.UnderlyingPrice = curretEod.PosiGrossPrice;
curretEod.TdCloseMtmPnl = 0;
curretEod.TdCloseFee = 0;
}
curretEod.TdCloseDividend = curretEod.TdPosiDividend;
curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
if (settleDate == td.TradeDate)
{
curretEod.PosiMtmPnL = 0;
//curretEod.TdCloseMtmPnl = 0;
//curretEod.TdCloseFee = 0;
}
curretEod.PosiDividendSum = curretEod.TdPosiDividend;
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.VTradingFee;
curretEod.RealizedMtmPnL = curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = curretEod.TdCloseDividend;
YLErpDAL/Modules/SwapModule/SwapFlowService.cs
+95
View File
@@ -28,6 +28,101 @@ namespace YLErp.Modules.SwapModule
{
}
/// <summary>
/// 查询今天是否有FR007的数据
/// </summary>
/// <returns></returns>
public eod_commodity_future_price SearchTodayFRData(DateTime dateTime)
{
var data = DbContext.eod_commodity_future_price.Where(a => a.ValueDate == dateTime).FirstOrDefault();
if (data == null)
{
data = new eod_commodity_future_price();
}
return data;
}
/// <summary>
/// 查询选择的时间是否拥有FR007的数据
/// </summary>
/// <returns></returns>
public List<eod_commodity_future_price> SearchdateFRData(List<DateTime> date)
{
var datafr007 = DbContext.eod_commodity_future_price.Where(a => date.Contains(a.ValueDate)).ToList();
return datafr007;
}
/// <summary>
/// 删除的RF007数据
/// </summary>
/// <param name="id">要删除的RF007数据Id</param>
/// <exception cref="ServiceException"></exception>
public bool DeleteFRData(int id)
{
var frdata = DbContext.eod_commodity_future_price.Find(id);
if (frdata == null)
{
throw new ServiceException("未找到FR007流水");
}
DbContext.eod_commodity_future_price.Remove(frdata);
DbContext.SaveChanges();
return true;
}
/// <summary>
/// 新增或者修改FR007数据
/// </summary>
/// <param name="price">FR007价格</param>
/// <param name="dateTime">新增或者修改时间</param>
/// <exception cref="ServiceException"></exception>
public bool AddOrUpdateFRdata(Double price, DateTime dateTime)
{
string beforedate = "";
var frdata = DbContext.eod_commodity_future_price.Where(a => a.ValueDate == dateTime).FirstOrDefault();
if (frdata == null)
{
frdata = new eod_commodity_future_price();
}
//修改
if (frdata != null && frdata?.UnderlyingCode != null)
{
frdata.ValueDate = dateTime;
frdata.HighPrice = 0;
frdata.LowPrice = 0;
beforedate = JsonHelper.Serialize(frdata);
}
else
{
//新增
var newestdata = DbContext.eod_commodity_future_price.OrderByDescending(a => a.ValueDate).FirstOrDefault();
if (newestdata == null)
{
var underlyingCode = DbContext.underlying_manager.Where(a => a.UnderlyingCode == "FR007").FirstOrDefault();
if (underlyingCode == null)
{
throw new ServiceException("找不到FR007的标的");
}
newestdata = new eod_commodity_future_price();
newestdata.UnderlyingId = underlyingCode.id;
}
frdata.ValueDate = dateTime;
frdata.UnderlyingCode = "FR007";
frdata.UnderlyingId = newestdata.UnderlyingId;
frdata.DataSource = "人工";
DbContext.Add(frdata);
}
frdata.ClosePrice = Math.Round(price, 4);
frdata.SettlePrice = Math.Round(price, 4);
frdata.ReferencePrice = Math.Round(price, 4);
frdata.OptId = UserInfo.UserId;
frdata.OptName = UserInfo.UserName;
frdata.OptDate = DateTime.Now;
DbContext.SaveChanges();
return true;
}
/// <summary>
/// 查询互换流水导入
/// </summary>
YLErpDAL/Modules/SwapModule/SwapRateService.cs
+36 -14
View File
@@ -107,8 +107,8 @@ namespace YLErp.Modules.SwapModule
swapRate.DiscountRateIsPercent = req.DiscountRateIsPercent;
swapRate.DiscountRate = req.DiscountRate;
swapRate.FrontDeskCharge = req.FrontDeskCharge;
swapRate.FrontDeskChargeIsPercent=req.FrontDeskChargeIsPercent;
swapRate.BackDeskCharge=req.BackDeskCharge;
swapRate.FrontDeskChargeIsPercent = req.FrontDeskChargeIsPercent;
swapRate.BackDeskCharge = req.BackDeskCharge;
swapRate.BackDeskChargeIsPercent = req.BackDeskChargeIsPercent;
swapRate.SetOpt(UserId, UserName);
}
@@ -227,34 +227,55 @@ namespace YLErp.Modules.SwapModule
var tempRate = reader.GetString("临时费率");
if (!string.IsNullOrEmpty(tempRate))
{
decimal rate = 0;
if (tempRate.EndsWith("%"))
{
swapRate.TempRateIsPercent = true;
tempRate = tempRate.Replace("%", "");
decimal.TryParse(tempRate, out rate);
rate = rate / 100;
}
else
{
swapRate.TempRateIsPercent = false;
decimal.TryParse(tempRate, out rate);
}
decimal.TryParse(tempRate, out var rate);
swapRate.TempRate = rate;
}
var baseRate = reader.GetString("基础费率");
if (!string.IsNullOrEmpty(baseRate))
{
decimal rate = 0;
if (baseRate.EndsWith("%"))
{
swapRate.BaseRateIsPercent = true;
baseRate = baseRate.Replace("%", "");
decimal.TryParse(baseRate, out rate);
rate = rate / 100;
}
else
{
swapRate.BaseRateIsPercent = false;
decimal.TryParse(baseRate, out rate);
}
decimal.TryParse(baseRate, out var rate);
swapRate.BaseRate = rate;
}
var disAccRate = reader.GetString("优惠费率");
if (!string.IsNullOrEmpty(disAccRate))
{
decimal rate = 0;
if (disAccRate.EndsWith("%"))
{
swapRate.DiscountRateIsPercent = true;
disAccRate = disAccRate.Replace("%", "");
decimal.TryParse(disAccRate, out rate);
rate = rate / 100;
}
else
{
swapRate.DiscountRateIsPercent = false;
decimal.TryParse(disAccRate, out rate);
}
decimal.TryParse(disAccRate, out var rate);
swapRate.DiscountRate = rate;
}
var frontRate = reader.GetString("现券对冲交易费用");
@@ -265,7 +286,8 @@ namespace YLErp.Modules.SwapModule
swapRate.FrontDeskChargeIsPercent = true;
frontRate = frontRate.Replace("‱", "");
}
decimal.TryParse(frontRate, out var rate);
decimal.TryParse(frontRate, out var rate);
swapRate.FrontDeskCharge = rate * 0.0001m;
}
var backRate = reader.GetString("现券对冲结算费用");
@@ -277,7 +299,7 @@ namespace YLErp.Modules.SwapModule
backRate = backRate.Replace("‱", "");
}
decimal.TryParse(backRate, out var rate);
swapRate.BackDeskCharge = rate*0.0001m;
swapRate.BackDeskCharge = rate * 0.0001m;
}
swapRate.DiscountAccDown = reader.GetDecimal("优惠累计量下限");
ValidateSwapRate(swapRate);
@@ -321,7 +343,7 @@ namespace YLErp.Modules.SwapModule
exportModel.TempRate = item.TempRateIsPercent ? item.TempRate.OtcFormatPercent(4) : item.TempRate.OtcFormatMoney(true);
exportModel.DiscountRate = item.DiscountRateIsPercent ? item.DiscountRate.OtcFormatPercent(4) : item.DiscountRate.OtcFormatMoney(true);
exportModel.DiscountAccDown = item.DiscountAccDown.OtcFormatMoney(true);
exportModel.FrontDeskCharge= item.FrontDeskChargeIsPercent==true ? item.FrontDeskCharge.OtcFormatTenThousandsPercent(4) : item.FrontDeskCharge.OtcFormatMoney(true);
exportModel.FrontDeskCharge = item.FrontDeskChargeIsPercent == true ? item.FrontDeskCharge.OtcFormatTenThousandsPercent(4) : item.FrontDeskCharge.OtcFormatMoney(true);
exportModel.BackDeskCharge = item.BackDeskChargeIsPercent == true ? item.BackDeskCharge.OtcFormatTenThousandsPercent(4) : item.BackDeskCharge.OtcFormatMoney(true);
list.Add(exportModel);
}
@@ -363,11 +385,11 @@ namespace YLErp.Modules.SwapModule
var posiNotionalValueGroup = DbContext.trade.Where(x => x.TradeDate >= monthStart
&& x.ValidState != ConsGlobal.InValid
&& x.TradeType == "收益互换"
&& ConsTrade.TradeStatusCustomexport.Contains(x.TradeStatus)).ToList().GroupBy(x=>x.ClientId);
&& ConsTrade.TradeStatusCustomexport.Contains(x.TradeStatus)).ToList().GroupBy(x => x.ClientId);
foreach (var swapRate in swapRates)
{
var clientPosiNotional = posiNotionalValueGroup.FirstOrDefault(x=>x.Key== swapRate.ClientId).ToList().Sum(s=>s.OriginalStockEqvNotional??0);
SendToKafka(swapRate, clientPosiNotional);
var clientPosiNotional = posiNotionalValueGroup.FirstOrDefault(x => x.Key == swapRate.ClientId).ToList().Sum(s => s.OriginalStockEqvNotional ?? 0);
SendToKafka(swapRate, clientPosiNotional);
}
}
/// <summary>
@@ -398,13 +420,13 @@ namespace YLErp.Modules.SwapModule
swapRateKafkaModel.isRate = swapRate.BaseRateIsPercent;
swapRateKafkaModel.rate = swapRate.BaseRate ?? 0;
swapRateKafkaModel.disRateDown = swapRate.DiscountAccDown ?? 0;
if (swapRate.DiscountAccDown.HasValue&&Convert.ToDecimal(clientPosiNotional)>= swapRateKafkaModel.disRateDown)
if (swapRate.DiscountAccDown.HasValue && Convert.ToDecimal(clientPosiNotional) >= swapRateKafkaModel.disRateDown)
{
swapRateKafkaModel.isDisRate = swapRate.DiscountRateIsPercent;
swapRateKafkaModel.disRate= swapRate.DiscountRate ?? 0;
swapRateKafkaModel.disRate = swapRate.DiscountRate ?? 0;
swapRateKafkaModel.rate = swapRateKafkaModel.disRate;
}
}
kafkaProduceHelper.Produce(Environment.GetEnvironmentVariable("KafkaConfig_ClientRateTopic"), JsonConvert.SerializeObject(swapRateKafkaModel));
}
YLErpDAL/Modules/SwapModule/SwapTradeService.cs
+4 -1
View File
@@ -1350,8 +1350,11 @@ namespace YLErp.Modules.SwapModule
position.UnderlyingInstrumentType = swap.UnderlyingInstrumentType;
position.PosiDirection = swap.PosiDirection;
position.PosiGrossPrice = swap.PosiGrossPrice;
position.PosiNetPrice = swap.PosiQuantity == 0 ? 0 : (swap.PosiGrossPrice + (position.PosiTradingFee / swap.PosiQuantity) * ratio);
position.PosiNetPrice = swap.PosiQuantity == 0 ? 0 : (swap.PosiGrossPrice + (position.PosiTradingFeePending / swap.PosiQuantity) * ratio);
position.PosiNetPrice = Math.Round(position.PosiNetPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
position.PosiNetNoFeePrice = swap.PosiNetNoFeePrice;
position.PosiNetFeePrice = swap.PosiQuantity == 0 ? 0 : (swap.PosiNetNoFeePrice + (position.PosiTradingFeePending / swap.PosiQuantity) * ratio);
position.PosiNetFeePrice = Math.Round(position.PosiNetFeePrice??0, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
position.PosiNotionalValue = position.PosiGrossPrice * swap.PosiQuantity * swap.ContractSize;
position.PosiQuantity = swap.PosiQuantity;
position.InterestDirection = swap.InterestDirection;