从山证v2.3.0拷贝
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吴方海
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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);
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return new EodSwapPositionRiskItem
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{
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AssetBookName = n.AssetBookName,
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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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Delta = n.Delta,
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DeltaLots = n.DeltaLots,
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ExerciseDate = n.ExerciseDate.OtcFormatDate(),
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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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StockEqvNotional = n.StockEqvNotionalToShow,
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TradeDate = n.TradeDate.OtcFormatDate(),
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TradeNumber = n.ParentTradeNumber,
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TradeType = n.TradeType,
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GetLongShort = swap.GetLongShort,
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GetMarginRate = swap.GetMarginRate,
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GetSpotPrice = swap.GetSpotPrice,
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GetSwapTimeAndRate = swap.GetSwapTimeAndRate,
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GetTradeAmount = swap.GetTradeAmount,
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GetTradePrice = swap.GetTradePrice,
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GetUnderlyingCode = swap.GetUnderlyingCode,
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GetUnderlyingName = GetUnderlyingName.TrimToNull() ?? (umProvider.GetData(swap.GetUnderlyingCode)?.UnderlyingName),
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IsGetFloatingProfit = swap.IsGetFloatingProfit,
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IsPayFloatingProfit = swap.IsPayFloatingProfit,
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PayLongShort = swap.PayLongShort,
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PayMarginRate = swap.PayMarginRate,
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PaySpotPrice = swap.PaySpotPrice,
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PaySwapTimeAndRate = swap.PaySwapTimeAndRate,
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PayTradeAmount = swap.PayTradeAmount,
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PayTradePrice = swap.PayTradePrice,
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PayUnderlyingCode = swap.PayUnderlyingCode,
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PayUnderlyingName = PayUnderlyingName.TrimToNull() ?? (umProvider.GetData(swap.PayUnderlyingCode)?.UnderlyingName)
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};
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});
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}
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}
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}
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