diff --git a/YLErpDAL/BLL/MarginCalculation/GLDHMarginCalculation.cs b/YLErpDAL/BLL/MarginCalculation/GLDHMarginCalculation.cs
deleted file mode 100644
index 91e946e7..00000000
--- a/YLErpDAL/BLL/MarginCalculation/GLDHMarginCalculation.cs
+++ /dev/null
@@ -1,513 +0,0 @@
-using YLErp.BLL.Calculation;
-using YLErp.Enums;
-using YLErp.Helpers;
-using YLErp.Modules;
-using YLErp.Modules.DataProviderModule;
-using YLErp.Modules.MarginModule;
-using YLErp.QdpModule;
-
-namespace YLErp.BLL.MarginCalculation
-{
- ///
- /// 格林大华
- ///
- public class GLDHMarginCalculation : MarginCalculationBase
- {
- // 定义一个静态变量来保存类的实例
- public static readonly GLDHMarginCalculation Instance;
-
- static GLDHMarginCalculation()
- {
- Instance = new GLDHMarginCalculation();
- }
-
- // 定义私有构造函数，使外界不能创建该类实例
- private GLDHMarginCalculation()
- {
- }
-
- public override List RunMarginCalculation(RunMarginCalculationReq req)
- {
- var resultList = new List();
-
- if (req.CalcMarginType == Enums.CalcMarginTypeEnum.InitialMargin)
- {
- resultList = calcInitialMargin(req);
- }
- else
- {
- resultList = calcPositionMargin(req);
- }
-
-
- return resultList;
- }
- ///
- /// 初始预付金
- ///
- ///
- ///
- private List calcInitialMargin(RunMarginCalculationReq req)
- {
- Dictionary resultMap = new Dictionary();
- var _helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
- var marginProvider = _helper.GetMarginParamProvider(Modules.MarginModule.MarginParamTypeEnum.MarginRate);
-
- var tradeTypes = new List() { "远期", "收益互换" };
- var forword = req.tradeList.Where(O => O.TradeType == "远期");
- foreach (var item in forword)
- {
- var margin =
- item.Notional * (item.SpotPrice ?? 0)
- * (marginProvider.TryGetMarginRate(item.UnderlyingCode, out var m) ? m : 0);
- var sp = _helper.CreateTradeSpan(item).SetAllSpvAndWorst(margin);
- LogFactory.GetLogger().Debug($"{margin}={item.Notional}*{item.SpotPrice}* {(marginProvider.TryGetMarginRate(item.UnderlyingCode, out var ms) ? ms : 0)})");
-
- sp.SetWorstCastClientPayable();
-
- resultMap[sp.TradeId] = sp;
- }
-
- var swap = req.tradeList.Where(O => O.TradeType == "收益互换");
- tradeBLL.SetFieldsByTradeType(swap);
- foreach (var item in swap)
- {
- var rate = (item.trade_swap?.GetMarginRate ?? 0) - (item.trade_swap?.PayMarginRate ?? 0);
- var margin = 0d;
- if (rate > 0)
- {
- margin =
- item.StockEqvNotional
- * rate;
- var client = DataCacheProvider.GetClientDataSource().GetData(item.ClientId);
- var clientLevel = DataCacheProvider.GetClientLevelDataSource().GetData(client.LevelId ?? 0);
- var clientRatio = clientLevel?.Ratio ?? 1.0;
- margin *= clientRatio;
- }
- var sp = _helper.CreateTradeSpan(item).SetAllSpvAndWorst(margin);
- sp.SetWorstCastClientPayable();
-
- resultMap[sp.TradeId] = sp;
- }
-
-
- //所有客户买入的交易都不收取预付金,包含买入单腿,跨式期权,风险反转期权以及其他多腿组合期权(买入牛市价差或熊市价差时,卖出的那条腿也不收取预付金)
- var sellList = req.tradeList.Where(O => !tradeTypes.Contains(O.TradeType) && O.BuySell == "卖出");
- foreach (var item in sellList)
- {
- var sp = _helper.CreateTradeSpan(item).SetAllSpvAndWorst(0);
- sp.SetWorstCastClientPayable();
- resultMap[sp.TradeId] = sp;
- }
-
- var buyList = req.tradeList.Where(O => !tradeTypes.Contains(O.TradeType) && !resultMap.Keys.Contains(O.id));
- var calcReq =
- _helper.GetCalculateRisksForTradesReq(
- req.PriceProvider,
- null,
- null,
- Qdp.Pricing.Base.Implementations.PricingRequest.Delta);
- calcReq.tradeList = buyList;
- var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
-
- //客户卖出跨式期权
- //初始预付金 = max(D1,D2)×S×交易所期货预付金率×数量;
- //其中 D1，D2 分别为跨式期权两腿的 Delta 绝对值。
- var tradeIds = buyList.Where(O => (O.StructureType ?? O.TradeType).Contains("跨式") && O.BuySell == "买入").Select(O => O.id);
- var resultDict = tradeRiskResult.Results.Where(O => tradeIds.Contains(O.Trade.id)).GroupBy(O => O.Trade.ParentTradeId).ToDictionary(K => K.Key, V => V.ToList());
- foreach (var item in resultDict)
- {
- var margin =
- item.Value
- .Max(O => Math.Abs(O.ValueResult.DeltaCash)
- * (marginProvider.TryGetMarginRate(O.Trade.UnderlyingCode, out var m) ? m : 0));
- var sp = _helper.CreateTradeSpan(item.Value[0].Trade).SetAllSpvAndWorst(margin);
- sp.SetWorstCastClientPayable();
- resultMap[item.Value[0].Trade.id] = sp;
- for (int i = 1; i < item.Value.Count; i++)
- {
- sp = _helper.CreateTradeSpan(item.Value[i].Trade).SetAllSpvAndWorst(0);
- sp.SetWorstCastClientPayable();
- resultMap[item.Value[i].Trade.id] = sp;
- }
- }
-
- //客户卖出单腿期权
- //初始预付金 = D×S×交易所期货预付金率×数量;
- tradeIds = buyList.Where(O => !((O.StructureType ?? O.TradeType).Contains("跨式")) && O.BuySell == "买入").Select(O => O.id);
- var resultList = tradeRiskResult.Results.Where(O => tradeIds.Contains(O.Trade.id));
- resultList.ToList().ForEach(O =>
- {
- var margin = Math.Abs(O.ValueResult.DeltaCash * (marginProvider.TryGetMarginRate(O.Trade.UnderlyingCode, out var m) ? m : 0));
- LogFactory.GetLogger().Info("初始预付金 = D×S×交易所期货预付金率×数量;");
- LogFactory.GetLogger().Info($"{margin}=Math.Abs({O.ValueResult.DeltaCash} * {(marginProvider.TryGetMarginRate(O.Trade.UnderlyingCode, out var ms) ? ms : 0)})");
- var sp = _helper.CreateTradeSpan(O.Trade).SetAllSpvAndWorst(margin);
- sp.SetWorstCastClientPayable();
- resultMap[sp.TradeId] = sp;
- });
-
- return resultMap.Values.ToList();
- }
- ///
- /// 计算每笔预付金
- ///
- ///
- ///
- private List calcPositionMargin(RunMarginCalculationReq req)
- {
- var resultMap = new Dictionary();
- var tradeTypes = new List() { "远期", "收益互换" };
- //结算s
- req.PriceProvider = new EodPriceProvider(req.settleDate).GetPriceProvider(SettlementTypeEnum.SettlePrice);
- //收盘
- var closePriceProvider = new EodPriceProvider(req.settleDate).GetPriceProvider(SettlementTypeEnum.ClosePrice);
- var _helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
- var marginProvider = _helper.GetMarginParamProvider(Modules.MarginModule.MarginParamTypeEnum.MarginRate);
- //获取涨跌停价格字典
- _helper.GetUpDownLimitPrices(out var upPrices, out var downPrices);
- //获取持仓波动率字典
- _helper.GetUpDownVolRateDic(out var upVolRateDic, out _);
-
- var clientGroup = req.tradeList.GroupBy(O => new { O.ClientId, O.UnderlyingCode }).ToDictionary(K => K.Key, V => V.ToList());
- foreach (var item in clientGroup)
- {
- var forword = req.tradeList.Where(O => O.TradeType == "远期");
- foreach (var t in forword)
- {
- var margin =
- t.Notional * (t.SpotPrice ?? 0)
- * (marginProvider.TryGetMarginRate(t.UnderlyingCode, out var m) ? m : 0);
- LogFactory.GetLogger().Info($"该交易{t.TradeNumber}id{t.id};远期" +
- $"{margin} ={t.Notional * (t.SpotPrice ?? 0) * (marginProvider.TryGetMarginRate(t.UnderlyingCode, out var s) ? s : 0)}");
-
- var sp = _helper.CreateTradeSpan(t).SetAllSpvAndWorst(margin);
- sp.SetWorstCastClientPayable();
- resultMap[sp.TradeId] = sp;
- }
- var swap = req.tradeList.Where(O => O.TradeType == "收益互换");
- tradeBLL.SetFieldsByTradeType(swap);
- foreach (var t in swap)
- {
- var rate = (t.trade_swap?.GetMarginRate ?? 0) - (t.trade_swap?.PayMarginRate ?? 0);
- var margin = 0d;
- if (rate > 0)
- {
- margin =
- t.StockEqvNotional
- * (marginProvider.TryGetMarginRate(t.UnderlyingCode, out var m) ? m : 0);
- LogFactory.GetLogger().Info($"该交易{t.TradeNumber}id{t.id}收益互换{margin}");
-
-
- var client = DataCacheProvider.GetClientDataSource().GetData(t.ClientId);
- var clientLevel = DataCacheProvider.GetClientLevelDataSource().GetData(client.LevelId ?? 0);
- var clientRatio = clientLevel?.Ratio ?? 1.0;
- margin *= clientRatio;
- LogFactory.GetLogger().Info($"该交易 margin *= clientRatio {t.TradeNumber} id{t.id}收益互换{margin}");
- }
- var sp = _helper.CreateTradeSpan(t).SetAllSpvAndWorst(margin);
- sp.SetWorstCastClientPayable();
- resultMap[sp.TradeId] = sp;
- }
- /*计算总维持预付金时，先分标的计算，再进行汇总计算。
- * 如果客户在标的 i 上只有买权合约，则该标的不计入预付金计算范围；
- * 如果客户在在标的 i 上有卖权合约，则该标的的所有合约都纳入预付金计算范围。
- */
- var option = item.Value.Where(O => !tradeTypes.Contains(O.TradeType));
- if (option.All(O => O.BuySell == "卖出"))
- {
- foreach (var t in option)
- {
- var sp = _helper.CreateTradeSpan(t).SetAllSpvAndWorst(0);
- sp.SetWorstCastClientPayable();
- resultMap[sp.TradeId] = sp;
- }
- }
- else
- {
- var prices = new Dictionary>();
- var umCodeList = option.Select(O => O.UnderlyingCode).ToHashSet();
- foreach (var code in umCodeList)
- {
- prices[1] = new Dictionary();
- prices[2] = new Dictionary();
- prices[3] = new Dictionary();
- prices[4] = new Dictionary();
- prices[5] = new Dictionary();
- prices[6] = new Dictionary();
- prices[7] = new Dictionary();
- prices[8] = new Dictionary();
- var upPrice = upPrices.GetPrice(code);
- var downPrice = downPrices.GetPrice(code);
- LogFactory.GetLogger().Info($"涨跌价格:{upPrice} {downPrice}");
- var interval = (upPrice - downPrice) / 6;
-
- var settlePrice = req.PriceProvider.GetPrice(code);
- LogFactory.GetLogger().Info($"settlePrice:{settlePrice} interval:=(upPrice - downPrice) / 6={interval}={(upPrice - downPrice)} / {6}");
- prices[1][code] = settlePrice - 3 * interval;
- LogFactory.GetLogger().Info($"格林持仓预付金1:prices[1][{code}] = settlePrice - 3 * interval;{prices[1][code]}={settlePrice}- 3 * {interval}");
- prices[2][code] = settlePrice - 2 * interval;
- LogFactory.GetLogger().Info($"格林持仓预付金2:prices[2][{code}] = settlePrice - 2 * interval:{prices[2][code]}={settlePrice}- 2 * {interval}");
- prices[3][code] = settlePrice - 1 * interval;
- LogFactory.GetLogger().Info($"格林持仓预付金3:prices[3][{code}] = settlePrice - 1 * interval:{prices[3][code]}={settlePrice}- 1 * {interval}");
- prices[4][code] = settlePrice;
- LogFactory.GetLogger().Info($"格林持仓预付金4:prices[4][{code}] = settlePrice:{prices[4][code] = settlePrice}");
- prices[5][code] = settlePrice + 1 * interval;
- LogFactory.GetLogger().Info($"格林持仓预付金5:prices[5][{code}] = settlePrice - 1 * interval:{prices[5][code]}={settlePrice}+ 1 * {interval}");
- prices[6][code] = settlePrice + 2 * interval;
- LogFactory.GetLogger().Info($"格林持仓预付金6:prices[6][{code}] = settlePrice - 2 * interval:{prices[6][code]}={settlePrice}+ 2 * {interval}");
- prices[7][code] = settlePrice + 3 * interval;
- LogFactory.GetLogger().Info($"格林持仓预付金7:prices[7][{code}] = settlePrice - 3 * interval:{prices[7][code]} ={settlePrice}+3 * {interval}");
- prices[8][code] = closePriceProvider.GetPrice(code);
- LogFactory.GetLogger().Info($"格林持仓预付金8收盘价算Detal:{prices[8][code] = closePriceProvider.GetPrice(code)}");
- }
- foreach (var p in prices)
- {
- var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
- valueDate: req.settleDate,
- calcScenario: req.GetCalcScenario(),
- tradeList: item.Value,
- priceProvider: new ManualPriceProvider(p.Value),
- pricingRequest: QdpPricingRequest.BASIC_PRICING,
- addVolRateDic: p.Key < 8 ? upVolRateDic : null, //1~7为PM,波动率应当上浮,第8个为DM,波动率不用变化
- volType: req.volType,
- isUseTradeVol: PS.Config.IsTradeVol,
- preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin,
- isAddVolPercent: true);
- foreach (var risk in tradeRiskResult.Results)
- {
- var code = risk.Trade.UnderlyingCode;
- var pric = p.Value[risk.Trade.UnderlyingCode];
- LogFactory.GetLogger().Info($"格林持仓预付金该交易编号：{risk.Trade.TradeNumber} id：{risk.Trade.id}标的：{code} 交易价格为：{pric}");
- if (!resultMap.TryGetValue(risk.Trade.id, out var tradeSpan))
- {
- resultMap[risk.Trade.id] = tradeSpan = _helper.CreateTradeSpan(risk.Trade);
- }
-
- switch (p.Key)
- {
- case 1:
- tradeSpan.Spv1 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV1为：{tradeSpan.Spv1}");
- break;
- case 2:
- tradeSpan.Spv2 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV2为：{tradeSpan.Spv2}");
- break;
- case 3:
- tradeSpan.Spv3 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV3为：{tradeSpan.Spv3}");
- break;
- case 4:
- tradeSpan.Spv4 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV4为：{tradeSpan.Spv4}");
- break;
- case 5:
- tradeSpan.Spv5 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV5为：{tradeSpan.Spv5}");
- break;
- case 6:
- tradeSpan.Spv6 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV6为：{tradeSpan.Spv6}");
- break;
- case 7:
- tradeSpan.Spv7 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV7为：{tradeSpan.Spv7}");
- break;
- case 8:
- tradeSpan.Spv8 = risk.ValueResult.Pv;
- LogFactory.GetLogger().Info($"格林持仓预付金该交易的PV8为：{tradeSpan.Spv8}");
- tradeSpan.DeltaMargin = risk.ValueResult.DeltaCash;
- break;
- default:
- break;
- }
- //第八个pv不参与pm计算
- if (p.Key < 8)
- {
- tradeSpan.SetWorstCastClientPayable();
- }
- }
- }
- }
- }
- return resultMap.Values.ToList();
- }
-
- ///
- /// 计算每个客户预付金
- ///
- ///
- ///
- public override List CalcClientMargin(CalcClientMarginReq req)
- {
- var clientSpanNews = new List();
- var _mpProvider = new MarginParamProvider(req.UserInfo, req.settleDate);
-
- using (var db = new YLContext())
- {
- if (req.tradeSpans != null && req.tradeSpans.Count > 0)
- {
- var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
- var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();
- var tradeSpanInfo = (from tradeSpan in req.tradeSpans
- join trade in tradeList on tradeSpan.TradeId equals trade.id
- where tradeSpan.ValueDate == req.settleDate
- select new { trade, tradeSpan }).ToList();
-
- var umCode = tradeList.Select(O => O.UnderlyingCode).ToHashSet();
- var marginProvider = _mpProvider.Initialize(umCode, MarginParamTypeEnum.MarginRate);
-
- var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
- foreach (var item in clientGroups)
- {
- var tradeTypes = new List() { "远期", "收益互换" };
- var forword = item.Where(O => O.trade.TradeType == "远期");
- var swap = item.Where(O => O.trade.TradeType == "收益互换");
-
- var worstCastClientPayable_forward = -forword.Sum(O => O.tradeSpan.WorstCastClientPayable ?? 0);
- LogFactory.GetLogger().Info($"格林维持预付金远期为：{worstCastClientPayable_forward}");
- var worstCastClientPayable_swap = -swap.Sum(O => O.tradeSpan.WorstCastClientPayable ?? 0);
- LogFactory.GetLogger().Info($"格林维持预付金收益互换为：{worstCastClientPayable_swap}");
- var worstCastClientPayable_option = 0d;
-
- var option = item.Where(O => !tradeTypes.Contains(O.trade.TradeType));
- if (option.Any(O => O.trade.BuySell == "买入"))
- {
- var dm = option.Sum(O =>
- {
- var margin = (marginProvider.TryGetMarginRate(O.trade.UnderlyingCode, out var m) ? m : 0);
- var a = Math.Abs((O.tradeSpan.DeltaMargin ?? 0) * margin) - O.tradeSpan.Spv8 ?? 0;
- LogFactory.GetLogger().Info($"格林维持保证的dm为：{a}");
- return Math.Abs((O.tradeSpan.DeltaMargin ?? 0) * margin) - O.tradeSpan.Spv8 ?? 0;
- });
-
- dm = Math.Max(dm, 0);
- LogFactory.GetLogger().Info($"格林维持保证最大的dm：{dm}");
- //计算标的 i 在上 7 种情形下客户持仓的持仓价值 MVi,k(k=1,2,3…7)（客户卖出期权，期权价值取负值），
- //则客户在标的 i 上隔日最大亏损 Li = －min(Vi,k)，对第 i 个标的取维持预付金 PMi = Max(Li,0);
- //var pm = option.GroupBy(O => O.trade.UnderlyingCode).Sum(O => Math.Max(O.Sum(B => B.tradeSpan.WorstCastClientPayable ?? 0), 0));
- var underlyingGroup = option.GroupBy(O => O.trade.UnderlyingCode);
- var pmList = new List();
- foreach (var unItem in underlyingGroup)
- {
- var list = new List()
- {
- unItem.Sum(O => O.tradeSpan.Spv1??0),
- unItem.Sum(O => O.tradeSpan.Spv2??0),
- unItem.Sum(O => O.tradeSpan.Spv3??0),
- unItem.Sum(O => O.tradeSpan.Spv4??0),
- unItem.Sum(O => O.tradeSpan.Spv5??0),
- unItem.Sum(O => O.tradeSpan.Spv6??0),
- unItem.Sum(O => O.tradeSpan.Spv7??0),
- }; LogFactory.GetLogger().Info($"格林维持预付金 7 种情形下客户持仓值为1：" +
- $"{unItem.Sum(O => O.tradeSpan.Spv1 ?? 0)}" +
- " 2:" + $"{unItem.Sum(O => O.tradeSpan.Spv2 ?? 0)}" +
- " 3:" + $"{unItem.Sum(O => O.tradeSpan.Spv3 ?? 0)}" +
- " 4:" + $"{unItem.Sum(O => O.tradeSpan.Spv4 ?? 0)}" +
- " 5:" + $"{unItem.Sum(O => O.tradeSpan.Spv5 ?? 0)}" +
- " 6:" + $"{unItem.Sum(O => O.tradeSpan.Spv6 ?? 0)}" +
- " 7:" + $"{unItem.Sum(O => O.tradeSpan.Spv7 ?? 0)} 代码角度若为卖出期权则为负数(-min)所以最小的加-则为正数");
- var pmi = list.Max(O => O);
- LogFactory.GetLogger().Info($"格林维持预付金PM为Max(Li,0){pmi}");
- pmList.Add(pmi);
- }
-
- var pm = pmList.Sum();
-
- worstCastClientPayable_option = Math.Max(dm, pm);
-
- LogFactory.GetLogger().Info($"格林维持保证标的i维持预付金M=Max(dm，pm){worstCastClientPayable_option}={Math.Max(dm, pm)}");
- LogFactory.GetLogger().Info($"格林维持保证标的i维持预付金M=Max(dm，pm){worstCastClientPayable_option}");
- #region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
-
- var sumDelta = option.Sum(O => Math.Abs(O.tradeSpan.DeltaMargin ?? 0));
- tradeIds = option.Select(x => x.trade.id).ToList();
- var tradeSpansUpdate = db.trade_span.Where(x => tradeIds.Contains(x.TradeId) && x.ClientId == item.Key && x.ValueDate == req.settleDate).ToList();
- var tradeSpansReq = req.tradeSpans.Where(x => tradeIds.Contains(x.TradeId) && x.ClientId == item.Key && x.ValueDate == req.settleDate).ToList();
-
- tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = worstCastClientPayable_option * Math.Abs(x.DeltaMargin ?? 0) / sumDelta);
- tradeSpansReq.ForEach(x => x.WorstCastClientPayable = worstCastClientPayable_option * Math.Abs(x.DeltaMargin ?? 0) / sumDelta);
-
- #endregion
- }
- var worstCastClientPayable = -worstCastClientPayable_option + worstCastClientPayable_forward + worstCastClientPayable_swap;
- LogFactory.GetLogger().Info($"{worstCastClientPayable = -worstCastClientPayable_option + worstCastClientPayable_forward + worstCastClientPayable_swap}");
- var clientSpan = new ClientSpan
- {
- ClientId = item.Key,
- ValueDate = req.settleDate,
- Spv1 = worstCastClientPayable,
- Spv2 = worstCastClientPayable,
- Spv3 = worstCastClientPayable,
- Spv4 = worstCastClientPayable,
- //负数代表客户应缴预付金，正数代表客户应收预付金
- WorstCastClientPayable = worstCastClientPayable,
- SwapWorstCastClientPayable = worstCastClientPayable_swap,
- MySideMargin = worstCastClientPayable,
- OptId = req.userId,
- OptName = req.userName,
- OptDate = DateTime.Now,
- SpanType = req.SpanType,
- AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
- && req.clientAdditionalMarginDic.TryGetValue(item.Key, out var dd) ? dd : 0
- };
- clientSpanNews.Add(clientSpan);
- }
- }
- //span类型为实时删除所有实时计算的交易的预付金信息
- if (req.SpanType == ClientSpan.SpanType_RealTime)
- {
- if (req.RefreshClientIds != null)
- {
- db.BulkDelete($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
- }
- else
- {
- db.BulkDelete($"{nameof(ClientSpan.SpanType)}={req.SpanType}");
- }
- }
- else
- {
- if (req.ClientIds != null)
- {
- var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
- db.BulkDelete(sql, new { ids = req.ClientIds });
- }
- else
- {
- var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
- db.BulkDelete(sql);
- }
- var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag)
- .Select(n => new { n.ValueDate, n.ClientId }).ToList();
- //筛选出可以修改的clientSpan
- clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
- }
- if (clientSpanNews.Count > 0)
- {
- //MySqlBulkExtensions.BulkInsert(db, clientSpanNews);
- db.client_span.AddRange(clientSpanNews);
- }
- db.SaveChanges();
- }
- return req.tradeSpans;
- }
- public override double GetTradeMargin(GetTradeMarginReq req)
- {
- var trade = req.trade;
- using (YLContext db = new YLContext())
- {
- if (trade.TradeType == "结构化交易")
- {
- trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
- }
- }
- var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
- if (null != tradeMargin)
- {
- return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
- }
- return 0.0;
- }
- }
-}
diff --git a/YLErpDAL/BLL/MarginCalculation/MarginCalculation.cs b/YLErpDAL/BLL/MarginCalculation/MarginCalculation.cs
index e19170cb..0ec23c19 100644
--- a/YLErpDAL/BLL/MarginCalculation/MarginCalculation.cs
+++ b/YLErpDAL/BLL/MarginCalculation/MarginCalculation.cs
@@ -131,11 +131,6 @@ namespace YLErp.BLL.MarginCalculation
case CompanyEnum.东吴:
result.AddRange(DongWuMarginCalculation.Instance.RunMarginCalculation(req.Clone(tempTradeList)));
break;
- case CompanyEnum.格林大华:
-#if DEBUG
- result.AddRange(GLDHMarginCalculation.Instance.RunMarginCalculation(req.Clone(tempTradeList)));
- break;
-#endif
case CompanyEnum.国泰君安:
case CompanyEnum.光大光子:
case CompanyEnum.兴业商贸:
diff --git a/YLErpUnitTest/Modules/MarginModule/MarginCalculation/GLDHMarginCalculation.cs b/YLErpUnitTest/Modules/MarginModule/MarginCalculation/GLDHMarginCalculation.cs
deleted file mode 100644
index 1a2f0b71..00000000
--- a/YLErpUnitTest/Modules/MarginModule/MarginCalculation/GLDHMarginCalculation.cs
+++ /dev/null
@@ -1,217 +0,0 @@
-//using System;
-//using System.Collections.Generic;
-//using System.Linq;
-//using YLErp.DBModels;
-//using YLErp.Model;
-
-//namespace YLErp.BLL.MarginCalculationBak
-//{
-// ///
-// /// 格林大华
-// ///
-// public class GLDHMarginCalculation : MarginCalculationBase
-// {
-// // 定义一个静态变量来保存类的实例
-// public static readonly GLDHMarginCalculation Instance;
-
-// static GLDHMarginCalculation()
-// {
-// Instance = new GLDHMarginCalculation();
-// }
-
-// // 定义私有构造函数，使外界不能创建该类实例
-// private GLDHMarginCalculation()
-// {
-// }
-
-// public override List RunMarginCalculation(int userId, string userName, List tradeList, DateTime settleDate, Dictionary priceDict, bool hasOptionInfo = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易", bool forOtherSide = false)
-// {
-// List tradeSpans = new List();
-// //实际计算的时候没有使用到收盘价格，所以先把取价格的逻辑注释掉;
-// //if (!(priceDict?.Count > 0))
-// //{
-// // var codes = tradeList.Select(O => O.UnderlyingCode).ToArray();
-// // priceDict = base.GetSettlePrice(codes, settleDate);
-// //}
-// //if (priceDict.Count == 0)
-// //{
-// // //如果价格没有传入也没从数据库获取到，就直接返回，没必要往下运行了。但不应该报错;
-// // return tradeSpans;
-// //}
-// if (tradeList != null && tradeList.Count > 0)
-// {
-// var tempStockTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
-// if (tempStockTradeList.Any())
-// {
-// var stockTradeSpanlist = StockMarginCalculation(userId, userName, tempStockTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle);
-// if (stockTradeSpanlist.Count > 0)
-// {
-// tradeSpans.AddRange(stockTradeSpanlist);
-// }
-// }
-// var tempFutureTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
-// if (tempFutureTradeList.Any())
-// {
-// var futureTradeSpanlist = FutureMarginCalculation(userId, userName, tempFutureTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle);
-// if (futureTradeSpanlist.Count > 0)
-// {
-// tradeSpans.AddRange(futureTradeSpanlist);
-// }
-// }
-// }
-// return tradeSpans;
-// }
-
-// ///
-// /// 股票类期权计算保证金
-// ///
-// ///
-// ///
-// ///
-// ///
-// ///
-// ///
-// public List StockMarginCalculation(int userId, string userName, List tradeList, DateTime settleDate, Dictionary priceDict, bool hasOptionInfo = false, bool isEodSettle = false)
-// {
-// List tradeSpans = new List();
-// if (tradeList != null && tradeList.Count > 0)
-// {
-// using (YLContext db = new YLContext())
-// {
-// var marginRation = valuedateBLL.SystemDate.MarginRatio ?? 0.15;
-// var clientIds = tradeList.Select(t => t.ClientId).ToList();
-// var clientList = (from client in db.client
-// join clientlevel in db.clientlevel
-// on client.LevelId equals clientlevel.id into tempClientlevel
-// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
-// where clientIds.Contains(client.id)
-// select new
-// {
-// client,
-// clientlevel = clientlevelTT
-// }).ToList();
-
-// if (clientList != null)
-// {
-
-// tradeList.ForEach(t =>
-// {
-// var client = clientList.FirstOrDefault(c => c.client.id == t.ClientId);
-// if (client != null)
-// {
-// //未设置相关保证金系数默认为1.0
-// var clientRatio = client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0);
-// //如果是股票去名义本金，如果是期货取：份额 * 即期价格
-// var value = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.client.HasTwoSideMargin == 1 ? -1 : 0)) * clientRatio;
-// var twoSideMargin = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : -1) * clientRatio;
-// tradeSpans.Add(new trade_span
-// {
-// TradeId = t.id,
-// OptDate = DateTime.Now,
-// OptId = userId,
-// OptName = userName,
-// ClientId = client.client.id,
-// UnderlyingId = t.UnderlyingId,
-// UnderlyingCode = t.UnderlyingCode,
-// ValueDate = settleDate,
-// Spv1 = value,
-// Spv2 = value,
-// Spv3 = value,
-// Spv4 = value,
-// WorstCastClientPayable = value,
-// TwoSideMargin = twoSideMargin
-// });
-// }
-// });
-// }
-// }
-// }
-// return tradeSpans;
-// }
-
-// ///
-// /// 商品期权计算保证金
-// ///
-// ///
-// ///
-// ///
-// ///
-// ///
-// ///
-// public List FutureMarginCalculation(int userId, string userName, List futureTradeList, DateTime settleDate, Dictionary priceDict, bool hasOptionInfo = false, bool isEodSettle = false)
-// {
-// List tradeSpans = new List();
-// if (futureTradeList != null && futureTradeList.Count > 0)
-// {
-// using (YLContext db = new YLContext())
-// {
-// var marginRation = valuedateBLL.SystemDate.FutureMarginRatio ?? 0.15;
-// var clientIds = futureTradeList.Select(t => t.ClientId).ToList();
-// var clientList = (from client in db.client
-// join clientlevel in db.clientlevel
-// on client.LevelId equals clientlevel.id into tempClientlevel
-// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
-// where clientIds.Contains(client.id)
-// select new
-// {
-// client,
-// clientlevel = clientlevelTT
-// }).ToList();
-
-// if (clientList != null)
-// {
-
-// futureTradeList.ForEach(t =>
-// {
-// var client = clientList.FirstOrDefault(c => c.client.id == t.ClientId);
-// if (client != null)
-// {
-// //未设置相关保证金系数默认为1.0
-// var clientRatio = client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0);
-// //如果是股票去名义本金，如果是期货取：份额 * 即期价格
-// var value = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.client.HasTwoSideMargin == 1 ? -1 : 0)) * clientRatio;
-// var twoSideMargin = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : -1) * clientRatio;
-// tradeSpans.Add(new trade_span
-// {
-// TradeId = t.id,
-// OptDate = DateTime.Now,
-// OptId = userId,
-// OptName = userName,
-// ClientId = client.client.id,
-// UnderlyingId = t.UnderlyingId,
-// UnderlyingCode = t.UnderlyingCode,
-// ValueDate = settleDate,
-// Spv1 = value,
-// Spv2 = value,
-// Spv3 = value,
-// Spv4 = value,
-// WorstCastClientPayable = value,
-// TwoSideMargin = twoSideMargin
-// });
-// }
-// });
-// }
-// }
-// }
-// return tradeSpans;
-// }
-
-// public override double GetTradeMargin(trade trade, double price, bool isInitialMargin = false, bool hasOptionInfo = false)
-// {
-// using (YLContext db = new YLContext())
-// {
-// if (trade.TradeType == "结构化交易")
-// {
-// trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
-// }
-// }
-
-// var tradeMargin = RunMarginCalculation(0, "系统", new List { trade }, isInitialMargin ? (trade.TradeDate ?? valuedateBLL.ValueDate) : valuedateBLL.ValueDate, new Dictionary { { trade.UnderlyingId, price } }, hasOptionInfo: hasOptionInfo);
-// if (null != tradeMargin)
-// {
-// return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
-// }
-// return 0.0;
-// }
-// }
-//}