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山证bug修复及功能 迁移

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This commit is contained in:
吴方海
2024-06-04 18:19:49 +08:00
parent df65cd0add
commit acbd2e7678
39 changed files with 709 additions and 406 deletions
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YLErpDAL/Modules/SwapModule/SwapDealService.cs
+32 -30
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@@ -118,7 +118,7 @@ namespace YLErp.Modules.SwapModule
floatEvent.PositionQty = 0;
floatEvent.ContractSize = position.ContractSize;
floatEvent.TradingAmount = floatEvent.Quantity * floatEvent.ContractSize;
var ratio = position.PosiDirection == (int)SwapDirectionEnum.收取 ? -1 : 1;
var ratio = position.PosiDirection == (int)SwapDirectionEnum.收取 ? -1m : 1m;
floatEvent.TradingFeePending = position.PosiTradingFeePending;
floatEvent.DataState = (int)SwapFlowDateStateEnum.完成;
floatEvent.InterestMode = position.InterestMode;
@@ -385,7 +385,7 @@ namespace YLErp.Modules.SwapModule
{
_closePosiNotionalValue = position.InterestPrincipalFix;
_posiNotionalValue = position.InterestPrincipalFix;
newClosePercent = 1;
newClosePercent = 1m;
}
else if (position.InterestMode == (int)InterestModeEnum.多头存续名义本金)
{
@@ -410,8 +410,8 @@ namespace YLErp.Modules.SwapModule
}
if (!string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var rateDate = QdpCalendarHelper.GetNonHolidayDefore(td.StartDate.Value.AddDays(-1));
if (EodPriceQueryService.TryGetReferencePrice(rateDate, position.FloatRateUnderlyingCode, out double floatRate))
var rateDate = td.StartDate.Value.AddDays(-1);
if (EodPriceQueryService.TryGetPrice(rateDate, position.FloatRateUnderlyingCode, out double floatRate))
{
position.FloatRate = Convert.ToDecimal(floatRate);
positionClone.FloatRate = position.FloatRate;
@@ -508,7 +508,7 @@ namespace YLErp.Modules.SwapModule
{
decimal InterestAmount = 0;
decimal TdInterestAmount = 0;
var interestRatio = position.InterestDirection == 1 ? 1 : -1;
var interestRatio = position.InterestDirection == 1 ? 1m : -1m;
if (position.InterestType == (int)InterestTypeEnum.复利)
{
var floateRate = preEodPosition.FloatRate;
@@ -538,7 +538,7 @@ namespace YLErp.Modules.SwapModule
{
if (itemDays > 1)//日期超算情况
{
decimal days = (decimal)itemDays - 1;
decimal days = (decimal)itemDays - 1m;
if (position.IsAnnualized)
{
InterestAmount = InterestAmount * (days / annualDays);
@@ -554,8 +554,8 @@ namespace YLErp.Modules.SwapModule
}
interest.InterestAmount = InterestAmount;
interest.TdInterestAmount = TdInterestAmount;
interest.InterestAmount = decimal.Parse(InterestAmount.ToString("0.0000"));
interest.TdInterestAmount = decimal.Parse(TdInterestAmount.ToString("0.0000"));
interest.InterestClosePnL = interest.InterestAmount * interestRatio;
}
if (add)
@@ -597,15 +597,15 @@ namespace YLErp.Modules.SwapModule
{
dynomicPrincipal = dynomicPrincipal + interest;
tdDynomicPrincipal = tdDynomicPrincipal + interest;
if (rateDate > tradeDate)
{
dynomicPrincipal += interestProfitSum;
tdDynomicPrincipal += interestProfitSum;
}
//if (rateDate > tradeDate)
//{
// dynomicPrincipal += interestProfitSum;
// tdDynomicPrincipal += interestProfitSum;
//}
if (!string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var fr007RateDate = QdpCalendarHelper.GetNonHolidayDefore(rateDate.AddDays(-1));
if (EodPriceQueryService.TryGetReferencePrice(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
var fr007RateDate = rateDate.AddDays(-1);
if (EodPriceQueryService.TryGetPrice(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
{
if (floatRate1 != 0)
{
@@ -634,8 +634,8 @@ namespace YLErp.Modules.SwapModule
interest1 /= annualDays;
tdinterest1 /= annualDays;
}
interest += interest1;
tdinterest += tdinterest1;
interest += decimal.Parse(interest1.ToString("0.0000"));
tdinterest += decimal.Parse(tdinterest1.ToString("0.0000"));
}
else
@@ -675,8 +675,8 @@ namespace YLErp.Modules.SwapModule
tdDynomicPrincipal = tdDynomicPrincipal + interestProfitSum;
if (!string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var fr007RateDate = QdpCalendarHelper.GetNonHolidayDefore(endDate.AddDays(-1));
if (EodPriceQueryService.TryGetReferencePrice(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
var fr007RateDate = endDate.AddDays(-1);
if (EodPriceQueryService.TryGetPrice(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
{
if (floatRate1 != 0)
{
@@ -785,6 +785,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="unwindPriceFee"></param>
public void AuotoSwapUnwind(int tradeid, decimal unwindPrice, decimal unwindPriceFee, decimal unwindNetFee, decimal unwindNet, DateTime valueDate, decimal unwindQty, decimal mergeQty, decimal penddingFee)
{
unwindPriceFee = decimal.Parse(unwindPriceFee.ToString("F10"));
var td = DbContext.trade.Find(tradeid);
var positions = DbContext.swap_position.Where(x => x.SwapTradeId == td.id && !x.Invalid);
List<int> eventTypes = new List<int>() { (int)SwapEventTypeEnum.平仓, (int)SwapEventTypeEnum.互换 };
@@ -823,8 +824,8 @@ namespace YLErp.Modules.SwapModule
unwindData.CloseQty = unwindQty;
if (position != null)
{
var floatRatio = position.PosiDirection == 1 ? 1 : -1;
var longRatio = position.PositionType == 1 ? 1 : -1;
decimal floatRatio = position.PosiDirection == 1 ? 1m : -1m;
decimal longRatio = position.PositionType == 1 ? 1m : -1m;
floatEvent.PositionId = position.PositionId;
floatEvent.EventType = (int)SwapFlowEventTypeEnum.平仓;
floatEvent.EventReason = "交易";
@@ -850,6 +851,7 @@ namespace YLErp.Modules.SwapModule
var mergeClosePercent = mergeQty == 0 ? 0 : unwindQty / mergeQty;
floatEvent.TradingFee = penddingFee * mergeClosePercent;
floatEvent.MarkClosePnl = (unwindPriceFee - position.PosiNetPrice) * unwindData.PosiNotionalValue * floatRatio * longRatio;
floatEvent.MarkClosePnl = decimal.Parse(floatEvent.MarkClosePnl.ToString("0.00"));
floatEvent.TradingAmount = floatEvent.Quantity * floatEvent.ContractSize;
floatEvent.OptLog = "流水自动";
floatEvent.ClientId = td.ClientId;
@@ -910,7 +912,7 @@ namespace YLErp.Modules.SwapModule
unwindData.CloseQty = allClose ? unwindData.PositionQty : unwindQty;
if (position != null)
{
var floatRatio = position.PosiDirection == 1 ? 1 : -1;
decimal floatRatio = position.PosiDirection == 1 ? 1m : -1m;
floatEvent.PositionId = position.id;
floatEvent.EventType = (int)SwapEventTypeEnum.平仓;
floatEvent.EventReason = "接口合约终止交易";
@@ -942,7 +944,7 @@ namespace YLErp.Modules.SwapModule
var interestPositions = GetUnwindInterestsByHT(unwindData, td, interestAmount, fee);
unwindData.FlowEvents.AddRange(interestPositions);
CalcCloseAmount(unwindData);
DealUnwind(unwindData, td, false, "合约终止接口回执");
DealUnwind(unwindData, td, "合约终止接口回执");
}
private List<swap_flow_event> GetUnwindInterestsByHT(UnwindData unwindData, trade td, decimal interestAmount, decimal fee)
{
@@ -965,7 +967,7 @@ namespace YLErp.Modules.SwapModule
{
_closePosiNotionalValue = item.InterestPrincipalFix;
_posiNotionalValue = item.InterestPrincipalFix;
newClosePercent = 1;
newClosePercent = 1m;
}
else if (item.InterestMode == (int)InterestModeEnum.标的期初全价)
{
@@ -1012,7 +1014,7 @@ namespace YLErp.Modules.SwapModule
return interests;
}
private void DealUnwind(UnwindData unwindData, trade td, bool addLog = true, string actionMsg = "系统操作_自动平仓")
private void DealUnwind(UnwindData unwindData, trade td, string actionMsg = "系统操作_自动平仓")
{
int clientCashId = CloseTrade_ClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapRealizedPnL), ClientCashInCashOut.系统操作_平仓费, unwindData.ValueDate);
if (unwindData.SwapMarginAmount != 0)
@@ -1052,7 +1054,7 @@ namespace YLErp.Modules.SwapModule
{
var floatPosition = unwindData.FlowEvents.FirstOrDefault(x => !string.IsNullOrEmpty(x.UnderlyingCode));
var interestList = unwindData.FlowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode));
var floatRatio = floatPosition.PayDirection == 1 ? 1 : -1;
decimal floatRatio = floatPosition.PayDirection == 1 ? 1m : -1m;
var pnl = floatPosition.MarkClosePnl;
unwindData.SwapCloseAmount = pnl;
unwindData.SwapRealizedPnL = pnl;
@@ -1064,7 +1066,7 @@ namespace YLErp.Modules.SwapModule
{
if (x.InterestMode == (int)InterestModeEnum.追加预付金 || x.InterestMode == (int)InterestModeEnum.初始预付金)
{
var interestRatio = x.InterestDirection == 1 ? -1 : 1;
decimal interestRatio = x.InterestDirection == 1 ? -1m : 1m;
unwindData.SwapMarginRebatePnl += x.InterestClosePnL;
unwindData.SwapMarginAmount += x.InterestPrincipal * interestRatio;
}
@@ -1073,6 +1075,7 @@ namespace YLErp.Modules.SwapModule
});
}
unwindData.SwapCloseAmount = decimal.Parse(unwindData.SwapCloseAmount.ToString("0.00"));
unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount;
}
/// <summary>
@@ -1245,7 +1248,6 @@ namespace YLErp.Modules.SwapModule
td.TradeAmount -= Convert.ToDouble(swapEvent.unwindData.CloseQty);
}
td.StockEqvNotional -= Convert.ToDouble(swapEvent.unwindData.CloseNotionalValue);
}
td.UnWindDate = swapEvent.unwindData.UnwindDate;
UpdateInitalPosition(flowList, swapEvent.unwindData, eventType);
@@ -1339,7 +1341,7 @@ namespace YLErp.Modules.SwapModule
item.OptLog = "手工操作";
if (item.PositionType > 0 && item.EventType == (int)SwapEventTypeEnum.平仓)
{
int shortRatio = item.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
decimal shortRatio = item.PositionType == (int)PositionTypeFlag.Long ? -1m : 1m;
item.TradingAmountFeeAvg = item.TradingAmountAvg + item.TradingFeePending / unwindData.CloseQty * shortRatio;
item.TradingAmountNetFeeAvg = item.TradingAmountNetAvg + item.TradingFeePending / unwindData.CloseQty * shortRatio;
}
@@ -1359,7 +1361,7 @@ namespace YLErp.Modules.SwapModule
var dealFloat = flowList.FirstOrDefault(x => !string.IsNullOrEmpty(x.UnderlyingCode));
if (dealFloat != null)
{
var ratio = dealFloat.EventType == (int)SwapFlowEventTypeEnum.平仓 ? -1 : 1;
decimal ratio = dealFloat.EventType == (int)SwapFlowEventTypeEnum.平仓 ? -1m : 1m;
position.PosiTradingFeePending += dealFloat.TradingFeePending * ratio;
position.PosiDividendIncome += dealFloat.DividendPending;
}