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每日估值bug修复

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This commit is contained in:
吴方海
2025-05-30 13:08:59 +08:00
parent 4f6c51c2c1
commit 829334a4fd
7 changed files with 41 additions and 27 deletions
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YLErpDAL/BLL/EodSettlement/RealTimeClientBanlanceService.cs
+1 -1
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@@ -1276,7 +1276,7 @@ namespace YLErp.BLL.Eod
foreach (var item in clientEodSwaps)
{
var lastEodSwap = item.First();
var eodPosi = eodSwapPositions.FirstOrDefault(x => x.ValueDate == lastEodSwap.ValueDate && x.SwapTradeId == lastEodSwap.SwapTradeId);
var eodPosi = eodSwapPositions.FirstOrDefault(x => x.ValueDate == lastEodSwap.ValueDate && x.SwapTradeId == lastEodSwap.SwapTradeId &&x.PosiStartDate<= lastEodSwap.ValueDate);
var posiQty = eodPosi?.PosiQuantity ?? 0;
var flowEvents = swapFlowEvents.Where(x => x.SwapTradeId == item.Key).ToList();
var unwindQty = flowEvents.Sum(s => s.Quantity);
YLErpDAL/Modules/EodModule/SettlementModule/EodClientBalanceCalc.cs
+2 -2
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@@ -847,8 +847,8 @@ namespace YLErp.Modules.EodModule.SettlementModule
foreach (var item in clientEodSwapsLast)
{
var lastEodSwap = eodSwaps.FirstOrDefault(t => t.SwapTradeId == item.SwapTradeId && t.ValueDate == preBalanceDate);
var lastEodSwapPosition = eodSwapPosis.FirstOrDefault(t => t.SwapTradeId == item.SwapTradeId && t.ValueDate == preBalanceDate);
var eodSwapPosition = clientEodSwapPositionLast.FirstOrDefault(t => t.SwapTradeId == item.SwapTradeId && t.ValueDate == balanceDate);
var lastEodSwapPosition = eodSwapPosis.FirstOrDefault(t => t.SwapTradeId == item.SwapTradeId && t.ValueDate == preBalanceDate&&t.PosiStartDate<= preBalanceDate);
var eodSwapPosition = clientEodSwapPositionLast.FirstOrDefault(t => t.SwapTradeId == item.SwapTradeId && t.ValueDate == balanceDate && t.PosiStartDate <= balanceDate);
PotentialSurpluses += Convert.ToDouble(item.PostionValue) * (-1);
WinLoss += Convert.ToDouble(item.TdRealizedPnL) * (-1);
var lastPv = lastEodSwap != null ? Convert.ToDouble(lastEodSwap.PostionValue- lastEodSwapPosition?.VTradingFee+lastEodSwapPosition?.PosiFeePending) * (-1) : 0;
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+7 -3
View File
@@ -812,7 +812,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="td"></param>
/// <param name="unwindPrice"></param>
/// <param name="unwindPriceFee"></param>
public void AuotoSwapUnwind(int tradeid, decimal unwindPrice, decimal unwindPriceFee, decimal unwindNetFee, decimal unwindNet, DateTime valueDate, decimal unwindQty)
public void AuotoSwapUnwind(int tradeid, decimal unwindPrice, decimal unwindPriceFee, decimal unwindNetFee, decimal unwindNet, DateTime valueDate, decimal unwindQty,decimal closeFee)
{
unwindPriceFee = decimal.Parse(unwindPriceFee.ToString("F10"));
var td = DbContext.trade.Find(tradeid);
@@ -878,9 +878,9 @@ namespace YLErp.Modules.SwapModule
floatEvent.TradingAmountNetAvg = unwindNet;
floatEvent.TradingFeePending = position.PosiTradingFeePending * unwindData.ClosePercent;
floatEvent.TradingFeePending = Math.Round(floatEvent.TradingFeePending, 2, MidpointRounding.AwayFromZero);
floatEvent.TradingFee = floatEvent.TradingFeePending;
floatEvent.TradingFee = closeFee;
floatEvent.MarkClosePnl = (unwindPrice - position.PosiGrossPrice) * unwindQty * floatRatio * longRatio;
floatEvent.MarkClosePnl = Math.Round(floatEvent.MarkClosePnl + (floatEvent.TradingFeePending*2 * floatRatio * -1), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
floatEvent.MarkClosePnl = Math.Round(floatEvent.MarkClosePnl + ((floatEvent.TradingFeePending+ closeFee) * floatRatio * -1), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
floatEvent.TradingAmount = unwindPrice * floatEvent.Quantity * floatEvent.ContractSize;
floatEvent.OptLog = "流水自动";
floatEvent.ClientId = td.ClientId;
@@ -1073,6 +1073,9 @@ namespace YLErp.Modules.SwapModule
td.StockEqvNotional -= Convert.ToDouble(unwindData.CloseNotionalValue);
td.TradeAmount -= Convert.ToDouble(unwindData.CloseQty);
td.Notional = td.TradeAmount;
td.OptDate = DateTime.Now;
td.OptId= UserId;
td.OptName = UserName;
DbContext.SaveChanges();
}
/// <summary>
@@ -1369,6 +1372,7 @@ namespace YLErp.Modules.SwapModule
position.PosiQuantity -= unwindData.CloseQty;
position.PosiNotionalValue = position.PosiGrossPrice * position.PosiQuantity * position.ContractSize;
position.PosiTradingFee -= position.PosiTradingFee * unwindData.ClosePercent;
position.PosiTradingFeePending -= position.PosiTradingFeePending * unwindData.ClosePercent;
}
else
{
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+15 -11
View File
@@ -755,7 +755,7 @@ namespace YLErp.Modules.SwapModule
//累计已实现
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
newEodPayPosition.RealizedPnl = newEodPayPosition.RealizedInterest + newEodPayPosition.RealizedInterestFee;
newEodPayPosition.RealizedPnl = newEodPayPosition.RealizedInterest;
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate
, seekPreday: true, currencyRateType: position.InterestDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
@@ -878,7 +878,7 @@ namespace YLErp.Modules.SwapModule
//累计已实现
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest;
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
newEodPayPosition.RealizedPnl = newEodPayPosition.RealizedInterest + newEodPayPosition.RealizedInterestFee;
newEodPayPosition.RealizedPnl = newEodPayPosition.RealizedInterest;
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate
, seekPreday: true, currencyRateType: position.InterestDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
@@ -995,7 +995,7 @@ namespace YLErp.Modules.SwapModule
//累计已实现
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
newEodPayPosition.RealizedPnl = newEodPayPosition.RealizedInterest + newEodPayPosition.RealizedInterestFee;
newEodPayPosition.RealizedPnl = newEodPayPosition.RealizedInterest;
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate
, seekPreday: true, currencyRateType: eodPayPosition.InterestDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
@@ -1092,7 +1092,7 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.RealizedFee = closeFee;
newEodPayPosition.RealizedMtmPnL = newEodPayPosition.TdCloseMtmPnl;
newEodPayPosition.RealizedDividend = newEodPayPosition.TdCloseDividend;
newEodPayPosition.RealizedPnl = newEodPayPosition.TdCloseMtmPnl + newEodPayPosition.TdCloseDividend + newEodPayPosition.TdCloseFee;
newEodPayPosition.RealizedPnl = newEodPayPosition.TdCloseMtmPnl;
newEodPayPosition.PosiStatus = payQty == 0 ? 1 : 0;
UpdateDbOption(newEodPayPosition);
@@ -1159,7 +1159,7 @@ namespace YLErp.Modules.SwapModule
curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = eod.RealizedDividend + curretEod.TdCloseDividend;
curretEod.RealizedFee = eod.RealizedFee + curretEod.TdCloseFee;
curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl + curretEod.TdCloseDividend + curretEod.TdCloseFee;
curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl;
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, td.StartDate.Value
, seekPreday: true, currencyRateType: curretEod.PosiDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
@@ -1219,7 +1219,7 @@ namespace YLErp.Modules.SwapModule
curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = eod.RealizedDividend + curretEod.TdCloseDividend;
curretEod.RealizedFee = eod.RealizedFee + curretEod.TdCloseFee;
curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl + curretEod.TdCloseDividend + curretEod.TdCloseFee;
curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl;
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
if (curretEod.PosiStatus == 1)
{
@@ -1296,10 +1296,14 @@ namespace YLErp.Modules.SwapModule
}
curretEod.PosiNotionalValue = curretEod.PosiGrossPrice * curretEod.PosiQuantity * curretEod.ContractSize;
curretEod.TdPosiDividend = unwindEvents.Sum(x => x.DividendIn) * directionRatio;
//curretEod.TdCloseFee = unwindEvents.Sum(x => x.TradingFee);
curretEod.TdCloseFee = unwindEvents.Sum(x => x.TradingFee);
curretEod.TdCloseQty = unwindQty;
curretEod.TdCloseMtmPnl = unwindEvents.Sum(x => x.MarkClosePnl);
}
if (curretEod.PosiQuantity==0)
{
curretEod.PosiFeePending = 0;
}
UpdateVTradingFee(curretEod);
}
@@ -1350,8 +1354,8 @@ namespace YLErp.Modules.SwapModule
if (settleDate == td.TradeDate)
{
curretEod.UnderlyingPrice = curretEod.PosiGrossPrice;
curretEod.TdCloseMtmPnl = 0;
curretEod.TdCloseFee = 0;
//curretEod.TdCloseMtmPnl = 0;
//curretEod.TdCloseFee = 0;
}
curretEod.TdCloseDividend = curretEod.TdPosiDividend;
curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
@@ -1360,7 +1364,7 @@ namespace YLErp.Modules.SwapModule
curretEod.RealizedMtmPnL = curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = curretEod.TdCloseDividend;
curretEod.RealizedFee = curretEod.TdCloseFee;
curretEod.RealizedPnl = curretEod.TdCloseMtmPnl + curretEod.TdCloseDividend + curretEod.TdCloseFee;
curretEod.RealizedPnl = curretEod.TdCloseMtmPnl;
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
if (curretEod.PosiStatus == 1)
{
@@ -1981,7 +1985,7 @@ namespace YLErp.Modules.SwapModule
foreach (var item in eodSwaps)
{
var tradeOrigin = trades.First(x => x.id == item.SwapTradeId);
var realizedPnL = item.RealizedMtmPnL + item.RealizedDividend + item.RealizedFee + item.RealizedInterest + item.RealizedInterestFee;
var realizedPnL = item.RealizedMtmPnL + item.RealizedInterest;
var tdExtend = tradeExtends.First(x => x.TradeId == item.SwapTradeId);
eod_position model = new eod_position()
{
YLErpDAL/Modules/SwapModule/SwapFlowEventService.cs
+1 -1
View File
@@ -519,7 +519,7 @@ namespace YLErp.Modules.SwapModule
{
item.TradeFee = item.FlowEvent.TradingFee;
item.TradingFee = item.FlowEvent.TradingFeePending;
item.PosiPnl= item.FlowEvent.MarkClosePnl- item.FlowEvent.CloseFee-item.FlowEvent.DividendIn;
item.PosiPnl= item.FlowEvent.MarkClosePnl- item.TradeFee-item.FlowEvent.DividendIn - item.TradingFee;
item.NetSettmentAmount = item.FlowEvent.MarkClosePnl + item.FlowEvent.InterestClosePnL;
item.Days = (item.FlowEvent.UnwindDate - item.StartDate).Value.Days;
}
YLErpDAL/Modules/SwapModule/SwapTradeAutoService.cs
+13 -7
View File
@@ -685,7 +685,8 @@ namespace YLErp.Modules.SwapModule
flowMergeMin.TradingAmountNetFeeAvg ?? 0,
flowMergeMin.TradingAmountNetAvg ?? 0,
flowMergeMin.OccurTime,
flowMergeMax.TradingQtyAbs);
flowMergeMax.TradingQtyAbs,
flowMergeMin.TradingFeePending);
var amount = qty * flowMergeMax.ContractSize;//平仓剩余金额=（平仓流水的成交均价-平仓对象的期初价格不含费）*平仓流水的成交数量*合约乘数
if (qty != 0)//平仓有剩余，开仓
{
@@ -775,7 +776,8 @@ namespace YLErp.Modules.SwapModule
negaFlowClone.TradingAmountNetFeeAvg ?? 0,
negaFlowClone.TradingAmountNetAvg ?? 0,
negaFlowClone.OccurTime,
negaFlowClone.TradingQty);
negaFlowClone.TradingQty,
negaFlowClone.TradingFeePending);
return trade;
}
/// <summary>
@@ -1150,7 +1152,8 @@ namespace YLErp.Modules.SwapModule
flowSameClone.TradingAmountNetFeeAvg ?? 0,
flowSameClone.TradingAmountNetAvg ?? 0,
flowSameClone.OccurTime,
unwindQty);
unwindQty,
unwindFee);
if (flowQty>0)
{
var unwindPercent = 1 - (flowQty / flowSameClone.TradingQty);
@@ -1214,7 +1217,8 @@ namespace YLErp.Modules.SwapModule
swapFlow.TradingAmountNetFeeAvg ?? 0,
swapFlow.TradingAmountNetAvg ?? 0,
swapFlow.OccurTime,
unwindQty);
unwindQty,
unwindFee);
}
}
if (flowQty > 0) //平仓完有剩余流水，
@@ -1328,6 +1332,7 @@ namespace YLErp.Modules.SwapModule
var newQty = floatPosition.PosiQuantity - flowMerge.TradingQtyAbs;
var newQtyAbs = Math.Abs(newQty);
flowMerge.SwapTradeNo = td.TradeNumber;
var unwindFee= newQty>0? flowMerge.TradingFeePending: flowMerge.TradingFeePending* floatPosition.PosiQuantity / flowMerge.TradingQty;
// 全平
new SwapDealService(UserInfo).AuotoSwapUnwind(td.id,
flowMerge.TradingAmountAvg,
@@ -1335,16 +1340,17 @@ namespace YLErp.Modules.SwapModule
flowMerge.TradingAmountNetFeeAvg ?? 0,
flowMerge.TradingAmountNetAvg ?? 0,
flowMerge.OccurTime,
floatPosition.PosiQuantity);
floatPosition.PosiQuantity,
unwindFee);
unwindTradeIds.Add(td.id);
flowMerge.TradingAmount = newQtyAbs * flowMerge.ContractSize;
if (newQty > 0)
{
flowMerge.TradingFeePending = floatPosition.PosiTradingFeePending * newQtyAbs / floatPosition.PosiQuantity;
flowMerge.TradingFeePending = 0;
}
else
{
flowMerge.TradingFeePending = flowMerge.TradingFeePending * newQtyAbs / flowMerge.TradingQty;
flowMerge.TradingFeePending = flowMerge.TradingFeePending- unwindFee;
}
flowMerge.TradingQty = newQtyAbs;
if (newQty < 0)//交易不够平，继续平
YLErpWeb/Views/SwapTrade2/TradeEdit.cshtml
+2 -2
View File
@@ -20,8 +20,8 @@
var currencys = CurrencyController.getList();
List<string> places = new List<string>();
List<string> agencys = new List<string>();
var tradingPlaceMap = YLErp.DBModels.Consts.ConsReport.TradingPlaceMap;
var clearingAgencyMap = YLErp.DBModels.Consts.ConsReport.ClearingAgencyMap;
var tradingPlaceMap = YLErp.DBModels.Consts.ConsReport.TradingPlaceMapDisplay;
var clearingAgencyMap = YLErp.DBModels.Consts.ConsReport.ClearingAgencyMapDisplay;
foreach (var item in tradingPlaceMap)
{
places.Add(item.Key);