从山证v2.3.0拷贝
This commit is contained in:
吴方海
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namespace YLErp.Modules.ManagerAPI.EodModule
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{
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/// <summary>
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/// 日终持仓风险查询
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/// </summary>
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public class EodPositionRiskItem
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{
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/// <summary>
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/// 交易编号
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/// </summary>
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public string TradeNumber { get; set; }
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/// <summary>
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/// 确认书编号
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/// </summary>
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public string ContractCode { get; set; }
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/// <summary>
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/// 期权代码
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/// </summary>
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public string ExchangeOptionCode { get; set; }
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/// <summary>
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/// 多腿编号
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/// </summary>
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public string ChildLeg { get; set; }
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/// <summary>
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/// 浮动盈亏
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/// </summary>
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public double? PositionPnl { get; set; }
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/// <summary>
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/// 实现盈亏
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/// </summary>
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public double? RealizedPnl { get; set; }
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/// <summary>
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/// 当前波动率
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/// </summary>
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public double? CurVolValue { get; set; }
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/// <summary>
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/// Delta
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/// </summary>
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public double? Delta { get; set; }
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/// <summary>
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/// Delta手数
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/// </summary>
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public double? DeltaLots { get; set; }
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/// <summary>
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/// Gamma
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/// </summary>
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public double? Gamma { get; set; }
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/// <summary>
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/// Gamma手数
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/// </summary>
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public double? GammaLots { get; set; }
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/// <summary>
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/// Theta
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/// </summary>
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public double? Theta { get; set; }
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/// <summary>
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/// Rho
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/// </summary>
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public double? Rho { get; set; }
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/// <summary>
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/// Vega
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/// </summary>
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public double? Vega { get; set; }
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/// <summary>
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/// 到期日期
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/// </summary>
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public string ExerciseDate { get; set; }
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/// <summary>
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/// 行权方式
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/// </summary>
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public string ExerciseMode { get; set; }
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/// <summary>
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/// 结构类型
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/// </summary>
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public string TradeType { get; set; }
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/// <summary>
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/// 观察状态
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/// </summary>
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public string KnockInOutStatus { get; set; }
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/// <summary>
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/// 交易对手方
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/// </summary>
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public string ClientName { get; set; }
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/// <summary>
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/// 交易对手编号
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/// </summary>
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public string ClientNumber { get; set; }
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/// <summary>
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/// 簿记账户
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/// </summary>
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public string AssetBookName { get; set; }
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/// <summary>
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/// 成交日期
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/// </summary>
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public string TradeDate { get; set; }
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/// <summary>
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/// 看涨看跌
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/// </summary>
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public string OptionType { get; set; }
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/// <summary>
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/// 买卖方向
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/// </summary>
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public string TradeSide { get; set; }
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/// <summary>
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/// 标的代码
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/// </summary>
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public string UnderlyingCode { get; set; }
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/// <summary>
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/// 标的名称
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/// </summary>
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public string UnderlyingName { get; set; }
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/// <summary>
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/// 期初标的价格
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/// </summary>
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public double? InitialSpotPrice { get; set; }
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/// <summary>
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/// 执行价格
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/// </summary>
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public double? Strike { get; set; }
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/// <summary>
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/// 权利金（成交）
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/// </summary>
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public double? TradeSinglePrice { get; set; }
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/// <summary>
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/// 成交数量
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/// </summary>
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public double? TradeOriginalAmountV { get; set; }
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/// <summary>
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/// 有效成交数量
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/// </summary>
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public double? TradeOriginalAmount { get; set; }
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/// <summary>
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/// 成交金额
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/// </summary>
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public double? TradePrice { get; set; }
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/// <summary>
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/// 存续成本
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/// </summary>
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public double? EtcTradePrice { get; set; }
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/// <summary>
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/// 名义本金
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/// </summary>
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public double? StockEqvNotional { get; set; }
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/// <summary>
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/// 最新标的价格
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/// </summary>
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public double? UnderlyingPrice { get; set; }
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/// <summary>
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/// 无风险利率
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/// </summary>
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public double? RiskFreeRate { get; set; }
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/// <summary>
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/// 分红率
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/// </summary>
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public double? DividendRate { get; set; }
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/// <summary>
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/// 权利金(存续)
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/// </summary>
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public double? SinglePV { get; set; }
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/// <summary>
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/// 存续数量
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/// </summary>
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public double? TradeAmountV { get; set; }
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/// <summary>
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/// 有效存续数量
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/// </summary>
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public double? TradeAmount { get; set; }
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/// <summary>
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/// 存续市值
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/// </summary>
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public double? PositionPV { get; set; }
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/// <summary>
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/// 维持预付金
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/// </summary>
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public double? PositionMargin { get; set; }
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/// <summary>
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/// 信用风险敞口
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/// </summary>
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public double? CreditExposure { get; set; }
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/// <summary>
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/// 盈亏分解Delta
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/// </summary>
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public double? dPnLDelta { get; set; }
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public double? dPnLGamma { get; set; }
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public double? dPnLVega { get; set; }
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public double? dPnLTheta { get; set; }
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public double? dPnLPsi { get; set; }
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}
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}
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@@ -0,0 +1,63 @@
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namespace YLErp.Modules.ManagerAPI.EodModule
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{
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/// <summary>
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/// 日终持仓风险查询
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/// </summary>
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public class EodPositionRisksQueryApiRequest
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{
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/// <summary>
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/// 结算日期
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/// </summary>
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public DateTime ValueDate { get; set; }
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/// <summary>
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/// 标的价格类型
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/// </summary>
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public string SettlePriceMode { get; set; }
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/// <summary>
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/// 波动率类型
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/// </summary>
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public string VolType { get; set; }
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/// <summary>
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/// 分红率
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/// </summary>
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public string DividendRateType { get; set; }
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/// <summary>
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/// 是否只查询场外期权交易，组合交易按照主交易展示
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/// </summary>
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public bool IsParentTrade { get; set; }
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////////////////////////////////////////////////
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/// <summary>
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/// 客户编号
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/// </summary>
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public IEnumerable<string> ClientNumbers { get; set; }
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/// <summary>
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/// 客户名称
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/// </summary>
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public IEnumerable<string> ClientNames { get; set; }
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/// <summary>
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/// 簿记账户组名称
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/// </summary>
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public IEnumerable<string> AssetGroupNames { get; set; }
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/// <summary>
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/// 簿记账户名称
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/// </summary>
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public IEnumerable<string> AssetBookNames { get; set; }
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/// <summary>
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/// 结构类型
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/// </summary>
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public IEnumerable<string> TradeTypes { get; set; }
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/// <summary>
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/// 标的代码
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/// </summary>
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public IEnumerable<string> UnderlyingCodes { get; set; }
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}
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}
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@@ -0,0 +1,249 @@
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using YLErp.Model;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.EodModule;
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namespace YLErp.Modules.ManagerAPI.EodModule
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{
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/// <summary>
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/// 日终持仓风险查询API
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/// </summary>
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public class EodPositionRisksQueryApiService : YLBaseService
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{
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public EodPositionRisksQueryApiService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 日终持仓风险查询
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/// </summary>
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public IEnumerable<EodPositionRiskItem> QueryPositionRisks(EodPositionRisksQueryApiRequest req)
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{
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if (req.DividendRateType == "采集")
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{
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req.VolType = "分红率0";
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}
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var req2 = new EodPositionRisksReq
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{
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ValueDate = req.ValueDate,
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VolType = req.VolType,
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EodSettlePriceMode = req.SettlePriceMode,
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rows = 999999,
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page = 0
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};
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var clientNames = req.ClientNames;
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var clientNumbers = req.ClientNumbers;
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if (clientNames != null && clientNames.All(n => string.IsNullOrEmpty(n)))
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{
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clientNames = null;
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}
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if (clientNumbers != null && clientNumbers.All(n => string.IsNullOrEmpty(n)))
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{
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clientNumbers = null;
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}
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if (clientNames != null || clientNumbers != null)
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{
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req2.ClientIds = DataCacheProvider.GetClientDataSource().AsQueryable()
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.Where(n => ((clientNames == null || clientNames.Contains(n.Name))
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&& clientNumbers == null) || clientNumbers.Contains(n.Number))
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.Select(n => n.id).ToList();
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}
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IEnumerable<int> assetGroupIds = null;
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if (req.AssetGroupNames != null && req.AssetGroupNames.Any(n => !string.IsNullOrEmpty(n)))
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{
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assetGroupIds = DataCacheProvider.GetAssetUnitGroupDataSource().AsQueryable()
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.Where(n => req.AssetGroupNames.Contains(n.Name)).Select(n => n.id).ToList();
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}
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var assetNames = req.AssetBookNames;
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if (assetNames != null && assetNames.All(n => string.IsNullOrEmpty(n)))
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{
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assetNames = null;
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}
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if (assetGroupIds != null || assetNames != null)
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{
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req2.BookIds = DataCacheProvider.GetAssetUnitDataSource().AsQueryable()
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.Where(n => (assetGroupIds == null || assetGroupIds.Contains(n.GroupId)) && (assetNames == null || assetNames.Contains(n.Name)))
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.Select(n => n.id).ToList();
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}
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if (req.UnderlyingCodes != null && req.UnderlyingCodes.Any(n => !string.IsNullOrEmpty(n)))
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{
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req2.UnderlyingIds = DataCacheProvider.GetUnderlyingDataSource().AsQueryable()
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.Where(n => req.UnderlyingCodes.Contains(n.UnderlyingCode)).Select(n => n.id).ToList();
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}
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req2.TradeTypes = req.TradeTypes;
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var result = new EodPositionRisksQueryService(OptUser).SearchList(req2, false);
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return result.rows.Select(n => new EodPositionRiskItem
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{
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AssetBookName = n.AssetBookName,
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TradeSide = n.BuySell,
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ChildLeg = n.ChildLeg,
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ClientName = n.ClientName,
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ClientNumber = n.ClientNumber,
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ContractCode = n.ContractCode,
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CreditExposure = n.Exposure,
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CurVolValue = n.CurrentVolatility,
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Delta = n.Delta,
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DeltaLots = n.DeltaLots,
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DividendRate = n.DividendRate,
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dPnLDelta = n.PnLDelta,
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dPnLGamma = n.PnLGamma,
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dPnLPsi = n.PnLPsi,
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dPnLTheta = n.PnLTheta,
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dPnLVega = n.PnLVega,
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EtcTradePrice = n.etcTradePrice,
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ExchangeOptionCode = n.ExchangeOptionCode,
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ExerciseDate = n.ExerciseDate.OtcFormatDate(),
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ExerciseMode = n.ExerciseMode,
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Gamma = n.Gamma,
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GammaLots = n.GammaLots,
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InitialSpotPrice = n.InitialSpotPrice,
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KnockInOutStatus = n.KnockInOutStatus,
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OptionType = n.OptionType,
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PositionMargin = n.Margin,
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PositionPnl = PS.Config.IsPVRounded ? n.RoundedPositionPnl : n.PositionPnl,
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PositionPV = PS.Config.IsPVRounded ? n.RoundedPV : n.PV,
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RealizedPnl = n.RealizedPnl,
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Rho = n.Rho,
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RiskFreeRate = n.RiskFreeRate,
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SinglePV = n.SinglePV,
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StockEqvNotional = n.StockEqvNotionalToShow,
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Strike = n.Strike,
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Theta = n.Theta,
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TradeAmount = n.TradeAmount,
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TradeAmountV = n.trade == null ? n.TradeAmount : TradeCalcHelper.GetTradeAmountV(n.trade, n.TradeAmount ?? 0, 1),
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TradeDate = n.TradeDate.OtcFormatDate(),
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TradeNumber = n.TradeNumber,
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TradeOriginalAmount = n.TradeOriginalAmount,
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TradeOriginalAmountV = n.trade == null ? n.TradeAmount : TradeCalcHelper.GetTradeAmountV(n.trade, n.TradeOriginalAmount ?? 0, 1),
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TradePrice = n.TradePrice,
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TradeSinglePrice = n.TradeSinglePrice,
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TradeType = n.TradeType,
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UnderlyingCode = n.UnderlyingCode,
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UnderlyingName = n.UnderlyingAssetName,
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UnderlyingPrice = n.UnderlyingPrice,
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Vega = n.Vega
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});
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}
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/// <summary>
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/// 日终持仓风险查询_互换
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/// </summary>
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public IEnumerable<EodSwapPositionRiskItem> QuerySwapPositionRisks(EodSwapPositionRisksQueryApiRequest req)
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{
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var req2 = new EodPositionRisksReq
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{
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ValueDate = req.ValueDate,
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EodSettlePriceMode = req.SettlePriceMode,
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rows = 999999,
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page = 0
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};
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var clientNames = req.ClientNames;
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var clientNumbers = req.ClientNumbers;
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if (clientNames != null && clientNames.All(n => string.IsNullOrEmpty(n)))
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{
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clientNames = null;
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}
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if (clientNumbers != null && clientNumbers.All(n => string.IsNullOrEmpty(n)))
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{
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clientNumbers = null;
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}
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if (clientNames != null || clientNumbers != null)
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{
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req2.ClientIds = DataCacheProvider.GetClientDataSource().AsQueryable()
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.Where(n => ((clientNames == null || clientNames.Contains(n.Name))
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&& clientNumbers == null) || clientNumbers.Contains(n.Number))
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.Select(n => n.id).ToList();
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}
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IEnumerable<int> assetGroupIds = null;
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if (req.AssetGroupNames != null && req.AssetGroupNames.Any(n => !string.IsNullOrEmpty(n)))
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{
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assetGroupIds = DataCacheProvider.GetAssetUnitGroupDataSource().AsQueryable()
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.Where(n => req.AssetGroupNames.Contains(n.Name)).Select(n => n.id).ToList();
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}
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var assetNames = req.AssetBookNames;
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if (assetNames != null && assetNames.All(n => string.IsNullOrEmpty(n)))
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{
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assetNames = null;
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}
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if (assetGroupIds != null || assetNames != null)
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{
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req2.BookIds = DataCacheProvider.GetAssetUnitDataSource().AsQueryable()
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.Where(n => (assetGroupIds == null || assetGroupIds.Contains(n.GroupId)) && (assetNames == null || assetNames.Contains(n.Name)))
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.Select(n => n.id).ToList();
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}
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if (req.UnderlyingCodes != null && req.UnderlyingCodes.Any(n => !string.IsNullOrEmpty(n)))
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{
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req2.UnderlyingIds = DataCacheProvider.GetUnderlyingDataSource().AsQueryable()
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.Where(n => req.UnderlyingCodes.Contains(n.UnderlyingCode)).Select(n => n.id).ToList();
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}
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var result = new EodPositionRisksQueryService(OptUser).SearchList(req2, true);
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var umProvider = DataCacheProvider.GetUnderlyingDataSource();
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return result.rows.Select(n =>
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{
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var swap = n.trade.trade_swap;
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n.trade.MetaDic.TryGetValue("GetUnderlyingName", out var GetUnderlyingName);
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||||
n.trade.MetaDic.TryGetValue("PayUnderlyingName", out var PayUnderlyingName);
|
||||
return new EodSwapPositionRiskItem
|
||||
{
|
||||
AssetBookName = n.AssetBookName,
|
||||
ClientName = n.ClientName,
|
||||
ClientNumber = n.ClientNumber,
|
||||
ContractCode = n.ContractCode,
|
||||
Delta = n.Delta,
|
||||
DeltaLots = n.DeltaLots,
|
||||
ExerciseDate = n.ExerciseDate.OtcFormatDate(),
|
||||
PositionPnl = PS.Config.IsPVRounded ? n.RoundedPositionPnl : n.PositionPnl,
|
||||
PositionPV = PS.Config.IsPVRounded ? n.RoundedPV : n.PV,
|
||||
RealizedPnl = n.RealizedPnl,
|
||||
StockEqvNotional = n.StockEqvNotionalToShow,
|
||||
TradeDate = n.TradeDate.OtcFormatDate(),
|
||||
TradeNumber = n.ParentTradeNumber,
|
||||
TradeType = n.TradeType,
|
||||
GetLongShort = swap.GetLongShort,
|
||||
GetMarginRate = swap.GetMarginRate,
|
||||
GetSpotPrice = swap.GetSpotPrice,
|
||||
GetSwapTimeAndRate = swap.GetSwapTimeAndRate,
|
||||
GetTradeAmount = swap.GetTradeAmount,
|
||||
GetTradePrice = swap.GetTradePrice,
|
||||
GetUnderlyingCode = swap.GetUnderlyingCode,
|
||||
GetUnderlyingName = GetUnderlyingName.TrimToNull() ?? (umProvider.GetData(swap.GetUnderlyingCode)?.UnderlyingName),
|
||||
IsGetFloatingProfit = swap.IsGetFloatingProfit,
|
||||
IsPayFloatingProfit = swap.IsPayFloatingProfit,
|
||||
PayLongShort = swap.PayLongShort,
|
||||
PayMarginRate = swap.PayMarginRate,
|
||||
PaySpotPrice = swap.PaySpotPrice,
|
||||
PaySwapTimeAndRate = swap.PaySwapTimeAndRate,
|
||||
PayTradeAmount = swap.PayTradeAmount,
|
||||
PayTradePrice = swap.PayTradePrice,
|
||||
PayUnderlyingCode = swap.PayUnderlyingCode,
|
||||
PayUnderlyingName = PayUnderlyingName.TrimToNull() ?? (umProvider.GetData(swap.PayUnderlyingCode)?.UnderlyingName)
|
||||
};
|
||||
});
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,167 @@
|
||||
namespace YLErp.Modules.ManagerAPI.EodModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 日终持仓风险查询_互换
|
||||
/// </summary>
|
||||
public class EodSwapPositionRiskItem
|
||||
{
|
||||
/// <summary>
|
||||
/// 交易编号
|
||||
/// </summary>
|
||||
public string TradeNumber { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 确认书编号
|
||||
/// </summary>
|
||||
public string ContractCode { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 交易对手方
|
||||
/// </summary>
|
||||
public string ClientName { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 交易对手编号
|
||||
/// </summary>
|
||||
public string ClientNumber { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 簿记账户
|
||||
/// </summary>
|
||||
public string AssetBookName { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 成交日期
|
||||
/// </summary>
|
||||
public string TradeDate { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 到期日期
|
||||
/// </summary>
|
||||
public string ExerciseDate { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 结构类型
|
||||
/// </summary>
|
||||
public string TradeType { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 名义本金
|
||||
/// </summary>
|
||||
public double? StockEqvNotional { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 存续市值
|
||||
/// </summary>
|
||||
public double? PositionPV { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 浮动盈亏
|
||||
/// </summary>
|
||||
public double? PositionPnl { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 实现盈亏
|
||||
/// </summary>
|
||||
public double? RealizedPnl { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Delta
|
||||
/// </summary>
|
||||
public double? Delta { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Delta手数
|
||||
/// </summary>
|
||||
public double? DeltaLots { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 浮动收益
|
||||
/// </summary>
|
||||
public bool IsGetFloatingProfit { get; set; }
|
||||
/// <summary>
|
||||
/// [收取] 标的代码
|
||||
/// </summary>
|
||||
public string GetUnderlyingCode { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 标的名称
|
||||
/// </summary>
|
||||
public string GetUnderlyingName { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 多头空头
|
||||
/// </summary>
|
||||
public string GetLongShort { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 标的期初价格
|
||||
/// </summary>
|
||||
public double? GetSpotPrice { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 交易数量
|
||||
/// </summary>
|
||||
public double? GetTradeAmount { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 交易费用
|
||||
/// </summary>
|
||||
public double? GetTradePrice { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 初始预付金率
|
||||
/// </summary>
|
||||
public double? GetMarginRate { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [收取] 互换利率(年化)
|
||||
/// </summary>
|
||||
public string GetSwapTimeAndRate { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 浮动收益
|
||||
/// </summary>
|
||||
public bool IsPayFloatingProfit { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 标的代码
|
||||
/// </summary>
|
||||
public string PayUnderlyingCode { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 标的名称
|
||||
/// </summary>
|
||||
public string PayUnderlyingName { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 多头空头
|
||||
/// </summary>
|
||||
public string PayLongShort { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 标的期初价格
|
||||
/// </summary>
|
||||
public double? PaySpotPrice { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 交易数量
|
||||
/// </summary>
|
||||
public double? PayTradeAmount { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 交易费用
|
||||
/// </summary>
|
||||
public double? PayTradePrice { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 互换利率(年化)
|
||||
/// </summary>
|
||||
public string PaySwapTimeAndRate { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// [支付] 初始预付金率
|
||||
/// </summary>
|
||||
public double? PayMarginRate { get; set; }
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,45 @@
|
||||
namespace YLErp.Modules.ManagerAPI.EodModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 日终持仓风险查询_互换
|
||||
/// </summary>
|
||||
public class EodSwapPositionRisksQueryApiRequest
|
||||
{
|
||||
/// <summary>
|
||||
/// 结算日期
|
||||
/// </summary>
|
||||
public DateTime ValueDate { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 标的价格类型
|
||||
/// </summary>
|
||||
public string SettlePriceMode { get; set; }
|
||||
|
||||
////////////////////////////////////////////////
|
||||
|
||||
/// <summary>
|
||||
/// 客户编号
|
||||
/// </summary>
|
||||
public IEnumerable<string> ClientNumbers { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 客户名称
|
||||
/// </summary>
|
||||
public IEnumerable<string> ClientNames { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 簿记账户组名称
|
||||
/// </summary>
|
||||
public IEnumerable<string> AssetGroupNames { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 簿记账户名称
|
||||
/// </summary>
|
||||
public IEnumerable<string> AssetBookNames { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// 标的代码
|
||||
/// </summary>
|
||||
public IEnumerable<string> UnderlyingCodes { get; set; }
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user