从山证v2.3.0拷贝
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吴方海
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using CsvHelper;
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using CsvHelper.Configuration;
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using Org.BouncyCastle.Ocsp;
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using System.Globalization;
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using YLErp.Model.Enum;
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using static NPOI.HSSF.Util.HSSFColor;
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namespace YLErp.Modules.MarginModule
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{
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[TestClass]
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public class HaiTongMarginTest
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{
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[TestMethod]
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public void TestMethod1()
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{
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var csvFile = Path.Combine(AppContext.BaseDirectory, "Resources\\MarginModule\\tradespans.csv");
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var config = new CsvConfiguration(CultureInfo.InvariantCulture) { HeaderValidated = null, MissingFieldFound=null };
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using var reader = new StreamReader(csvFile);
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using var csv = new CsvReader(reader, config);
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var tradeSpans = csv.GetRecords<trade_span>().Where(n => n.ValueDate.Day == 10).ToList();
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var clientSpanNews = new List<ClientSpan>();
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if (tradeSpans != null && tradeSpans.Count > 0)
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{
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var tradeIds = tradeSpans.Select(t => t.TradeId).ToList();
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//海通预付金保底收益率-用来计算名义本金
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double GuaranteedIncome = 0.01;
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var clientGroups = tradeSpans.GroupBy(t => t.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var clientRatio = 1.1;
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var underlyingGroup = clientGroup.Where(x => x.IsSingleMargin != true).GroupBy(t => t.UnderlyingId).Select(t => new ClientSpan
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{
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UnderlyingId = t.Key,
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ClientId = clientGroup.Key ?? 0,
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ValueDate = DateTime.Today,
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//负数代表客户应缴预付金，正数代表客户应收预付金
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Spv1 = -t.Sum(g => g.Spv1),
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Spv2 = -t.Sum(g => g.Spv2),
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Spv3 = -t.Sum(g => g.Spv3),
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Spv4 = -t.Sum(g => g.Spv4),
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Spv5 = -t.Sum(g => g.Spv5),
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Spv6 = -t.Sum(g => g.Spv6),
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Spv7 = -t.Sum(g => g.Spv7),
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Spv8 = -t.Sum(g => g.Spv8),
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WorstCastClientPayable = -t.Sum(g => g.WorstCastClientPayable),
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OptId = 0,
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OptName = "ddd",
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OptDate = DateTime.Now,
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SpanType = 1
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}).ToList();
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foreach (var item in underlyingGroup)
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{
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if (clientGroup.Count(m => m.UnderlyingId == item.UnderlyingId && m.ClientId == item.ClientId) > 1)
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{
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item.SetWorstCastClientPayableMin();
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#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
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var tradeIdList = clientGroup.Select(x => x.TradeId);
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var tradeSpansUpdate = new List<trade_span>();
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var tradeSpansReq = new List<trade_span>();
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if (item.WorstCastClientPayable == item.Spv1)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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}
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else if (item.WorstCastClientPayable == item.Spv2)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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}
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else if (item.WorstCastClientPayable == item.Spv3)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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}
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else if (item.WorstCastClientPayable == item.Spv4)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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}
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else if (item.WorstCastClientPayable == item.Spv5)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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}
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else if (item.WorstCastClientPayable == item.Spv6)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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}
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else if (item.WorstCastClientPayable == item.Spv7)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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}
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else if (item.WorstCastClientPayable == item.Spv8)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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}
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#endregion
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}
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else
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{
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var tradeSpansUpdate = new List<trade_span>();
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tradeSpansUpdate.ForEach(x => x.Comment = "单笔计算");
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}
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//客户信息中追保方向为“单向追保”或“双向追保”的客户： call 看涨
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//(1)Call净名义本金 = 客户Call卖方持仓名义本金 - 客户Call买方持仓名义本金；
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//(2)Put净名义本金 = 客户Put卖方持仓名义本金 - 客户Put买方持仓名义本金；
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//(3)单品种预付金占用 = max(0, max（∑逐笔交易持仓预付金，（Call净名义本金 + Put净名义本金）*1 % *1.1）)；
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//(4)预付金占用 =∑单品种预付金占用。
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//客户信息追保方向“对手方单向追保”或“其他”的客户：预付金占用 = 0。
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//var callsale = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
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//var callbuy = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
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//var putsale = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();
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//var putbuy = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();
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//var StockEqvNotional = (double)((callsale - callbuy + putsale - putbuy) * GuaranteedIncome * clientRatio);
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//if (client.MarginOptionType != (int)MarginOptionEnum.双向追保)
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//{
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// item.WorstCastClientPayable = -Math.Max(0, Math.Max(-(double)item.WorstCastClientPayable, StockEqvNotional));
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//}
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}
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var clientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key ?? 0,
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ValueDate = DateTime.Now,
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Spv1 = underlyingGroup.Sum(g => g.Spv1),
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Spv2 = underlyingGroup.Sum(g => g.Spv2),
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Spv3 = underlyingGroup.Sum(g => g.Spv3),
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Spv4 = underlyingGroup.Sum(g => g.Spv4),
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Spv5 = underlyingGroup.Sum(g => g.Spv5),
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Spv6 = underlyingGroup.Sum(g => g.Spv6),
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Spv7 = underlyingGroup.Sum(g => g.Spv7),
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Spv8 = underlyingGroup.Sum(g => g.Spv8),
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//负数代表客户应缴预付金，正数代表客户应收预付金
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WorstCastClientPayable = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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DeltaMargin = 0,
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TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
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OptId = 0,
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OptName = "ddd",
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OptDate = DateTime.Now,
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SpanType = 1,
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AdditionalWorstCastClientPayable = 0
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};
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clientSpanNews.Add(clientSpan);
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}
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}
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}
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}
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}
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