从山证v2.3.0拷贝

2024-05-09 14:06:26 +08:00
parent 566ff33259
commit f9d8a256a6
4471 changed files with 1203456 additions and 9 deletions
@@ -0,0 +1,132 @@
+using YLErp.Abstract.DataProviders;
+using YLErp.BLL;
+using YLErp.BLL.MarginCalculation;
+using YLErp.Helpers;
+
+namespace YLErp.Modules.EodModule.SettlementModule
+{
+    /// <summary>
+    /// 预付金计算
+    /// </summary>
+    class EodWorstClientPayableCalc : EodSettleServiceBase
+    {
+        public EodWorstClientPayableCalc(EodSettlementContextBase context) : base(context)
+        {
+
+        }
+
+        /// <summary>
+        /// 预付金计算
+        /// </summary>
+        public bool WorstClientPayableCalc(List<trade> tradeList, List<trade_span> ex_TradeSpans = null)
+        {
+            if (tradeList is null)
+            {
+                throw new ArgumentNullException(nameof(tradeList));
+            }
+
+            var settleDate = _context.SettleDate;
+
+            var req = new RunMarginCalculationReq(UserInfo)
+            {
+                tradeList = tradeList,
+                settleDate = settleDate,
+                CalcMarginType = Enums.CalcMarginTypeEnum.EodMargin,
+                volType = PS.Config.IsTradeVol ? _context.Request.VolType : _context.SystemValue.EodSettleVolMode
+            };
+
+            switch (PS.Config.Company)
+            {
+                case Configuration.CompanyEnum.国泰君安:
+                case Configuration.CompanyEnum.瑞达:
+                case Configuration.CompanyEnum.宏源:
+                case Configuration.CompanyEnum.弘业:
+                case Configuration.CompanyEnum.光大光子:
+                case Configuration.CompanyEnum.海通:
+                case Configuration.CompanyEnum.广期资本:
+                case Configuration.CompanyEnum.渤海:
+                case Configuration.CompanyEnum.中金:
+                    req.PriceProvider = _context.GetEodPriceProvider().GetPriceProvider(SettlementTypeEnum.ClosePrice);
+                    req.settlementType = SettlementTypeEnum.ClosePrice;
+                    break;
+                default:
+                    req.PriceProvider = _context.GetEodPriceProvider().GetPriceProvider(SettlementTypeEnum.SettlePrice);
+                    req.settlementType = SettlementTypeEnum.SettlePrice;
+                    break;
+            }
+
+            List<trade_span> tradeSpans = new List<trade_span>();
+
+            //试算出交易买卖方向反向的tradeSpan
+            List<trade_span> tradeSpansOtherSide = new List<trade_span>();
+
+            //是否单笔预付金与合计预付金计算方式不同 如果不同则调用合计预付金方法 forSingleTrade = false
+            if (MarginDefault.IsMarginCalcNeedSpecial(req.settleDate))
+            {
+                //远期不参与计算预付金逻辑
+                tradeSpans = MarginDefault.RunMarginCalculation(req.Clone(forOtherSide: false));
+
+                //试算出交易买卖方向反向的tradeSpan（目前只有国君有这个需求，做过处理）
+                tradeSpansOtherSide = MarginDefault.RunMarginCalculation(req.Clone(forOtherSide: true));
+            }
+            else
+            {
+                tradeSpans = MarginDefault.RunMarginCalculation(req.Clone());
+            }
+
+            #region 额外追保
+            var clientAdditionalMarginDic = new Dictionary<int, double>();
+            var tradeSpanDic = tradeSpans.ToDictionary(t => t.TradeId, t => t.WorstCastClientPayable);
+            var todayNewPostionList = tradeList.Where(t => t.TradeDate == settleDate).ToList();
+            var clientGroups = todayNewPostionList.GroupBy(t => t.ClientId);
+            foreach (var group in clientGroups)
+            {
+                var todayNewClientPostionList = group.ToList();
+                var todayNewTradePositionMargin = Math.Min(todayNewClientPostionList.Sum(t => tradeSpanDic.ContainsKey(t.id) ? ((tradeSpanDic[t.id] ?? 0) * -1) : 0), 0);
+                //todo:收益互换没有OriginalNotional
+                var todayNewTradeInitialMargin = Math.Min(todayNewClientPostionList.Sum(t => ((t.OriginalStockEqvNotional * t.Notional / t.OriginalNotional) ?? 0) * (t.BuySell == "买入" ? -1 : 1) * underlying_managerBLL.GetUpLimit(t.UnderlyingCode)), 0);
+                var todayAdditionalMargin = -1 * Math.Max(Math.Abs(todayNewTradeInitialMargin) - Math.Abs(todayNewTradePositionMargin), 0);
+                clientAdditionalMarginDic[group.Key] = todayAdditionalMargin;
+            }
+            #endregion
+
+            var ids = tradeList.Select(l => l.id).Union(tradeSpans.Select(x => x.TradeId)).ToArray();
+            if (ex_TradeSpans != null)
+            {
+                ids = ids.Union(ex_TradeSpans.Select(x => x.TradeId)).ToArray();
+            }
+
+            if (ids.Any())
+            {
+                DbContext.BulkDelete<trade_span>($"{nameof(trade_span.ValueDate)}='{settleDate.ToSqlDate()}' and TradeId in ({string.Join(",", ids)})");
+            }
+
+            if (ex_TradeSpans != null && ex_TradeSpans.Count() > 0)
+            {
+                tradeSpans.AddRange(ex_TradeSpans);
+            }
+
+            if (tradeSpans != null && tradeSpans.Count > 0)
+            {
+                DbContext.trade_span.AddRange(tradeSpans);
+            }
+
+            DbContext.SaveChanges();
+
+            //执行客户合计
+            var clientMarginReq = new CalcClientMarginReq(UserInfo)
+            {
+                settleDate = settleDate,
+                tradeSpans = tradeSpans,
+                tradeSpansOtherSide = tradeSpansOtherSide,
+                SpanType = 0,
+                clientAdditionalMarginDic = clientAdditionalMarginDic,
+                ClientIds = _context.ClienIds
+            };
+
+            MarginDefault.CalcClientMargin(clientMarginReq);
+
+            return true;
+        }
+    }
+}