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 +1,23 @@
+namespace YLErp.Modules.SystemModule.SysToolModule.HeiXiang
+{
+    /// <summary>
+    /// 黑箱dailypnl验证
+    /// </summary>
+    public class HeixiangDailyPnlRequest
+    {
+        /// <summary>
+        /// 波动率类型
+        /// </summary>
+        public string VolType { get; set; }
+
+        /// <summary>
+        /// 黑箱主交易编号
+        /// </summary>
+        public string HxMainTradeNumber { get; set; }
+
+        /// <summary>
+        /// 结算日期
+        /// </summary>
+        public DateTime SettleDate { get; set; }
+    }
+}
@@ -0,0 +1,42 @@
+namespace YLErp.Modules.SystemModule.SysToolModule.HeiXiang
+{
+    /// <summary>
+    /// 黑箱dailypnl验证
+    /// </summary>
+    public class HeixiangDailyPnlResult
+    {
+        /// <summary>
+        /// 交易编号
+        /// </summary>
+        public string TradeNumber { get; set; }
+        /// <summary>
+        /// 交易状态
+        /// </summary>
+        public string TradeStatus { get; set; }
+        /// <summary>
+        /// 上日持仓数量
+        /// </summary>
+        public string PrePositionNotional { get; set; }
+        /// <summary>
+        /// 当日持仓数量
+        /// </summary>
+        public string PositionNotional { get; set; }
+        /// <summary>
+        /// 上日PV
+        /// </summary>
+        public string PrePositionPv { get; set; }
+        /// <summary>
+        /// 当日PV
+        /// </summary>
+        public string PositionPv { get; set; }
+        /// <summary>
+        /// 当日盈亏
+        /// </summary>
+        public string PositionDailyPnl { get; set; }
+
+        /// <summary>
+        /// daily pnl calc
+        /// </summary>
+        public string DailyPnlCalc { get; set; }
+    }
+}
@@ -0,0 +1,193 @@
+using System.Text;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.DataProviderModule;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.SystemModule.SysToolModule.HeiXiang
+{
+    /// <summary>
+    /// 黑箱dailypnl验证
+    /// </summary>
+    public class HeixiangDailyPnlService : YLBaseService
+    {
+        public HeixiangDailyPnlService(OptUserInfo userInfo) : base(userInfo)
+        {
+        }
+
+        /// <summary>
+        /// 获取黑箱dailypnl验证数据
+        /// </summary>
+        /// <returns></returns>
+        public IEnumerable<HeixiangDailyPnlResult> GetList(HeixiangDailyPnlRequest request)
+        {
+            if (string.IsNullOrWhiteSpace(request.HxMainTradeNumber))
+            {
+                throw new ServiceException("黑箱主交易编号不能为空");
+            }
+
+            var db = DbContextFactory.GetYLDbContext();
+
+            var preDate = QdpCalendarHelper.GetNonHolidayDefore(request.SettleDate.AddDays(-1));
+
+            var mainTrade = db.trade.Where(n => n.TradeNumber == request.HxMainTradeNumber)
+                .Select(n => new { n.id }).FirstOrDefault();
+            if (mainTrade == null)
+            {
+                throw new ServiceException("黑箱主交易 数据不存在");
+            }
+
+            IQueryable<EodTradePosition> posQry = db.eod_trade_position;
+            if (string.IsNullOrEmpty(request.VolType) || request.VolType == "对冲")
+            {
+                posQry = db.eod_trade_position_hedgevol;
+            }
+
+            var query = from t in posQry
+                        join td in db.trade on t.TradeId equals td.id
+                        join pt in db.eod_trade_position.Where(n => n.ValueDate == preDate)
+                        on t.TradeId equals pt.TradeId into pt_s
+                        from pt in pt_s.DefaultIfEmpty()
+                        where t.ValueDate == request.SettleDate && t.ParentTradeId == mainTrade.id
+                        select new
+                        {
+                            td.TradeNumber,
+                            td.OriginalNotional,
+                            td.TradePrice,
+                            td.BuySell,
+                            td.OriginalPrincipalSum,
+                            t.TradeId,
+                            t.Amount,
+                            t.Pv,
+                            t.LastPv,
+                            t.ClosedPnL,
+                            t.DailyPnL,
+                            pre = pt == null ? null : new
+                            {
+                                pt.Pv,
+                                pt.Amount
+                            }
+                        };
+
+            var datas = query.ToArray();
+
+            var subTradeIds = datas.Select(n => n.TradeId).ToArray();
+            var tcProvider = new TradeCashDataProvider();
+            tcProvider.Initialize(subTradeIds);
+
+            var list = new List<HeixiangDailyPnlResult>(datas.Length + 1);
+
+            var sb = new StringBuilder();
+
+            double sumDailyPnl = 0d, sumDailyPnlCalc = 0d;
+
+            foreach (var item in datas)
+            {
+                var result = new HeixiangDailyPnlResult
+                {
+                    TradeNumber = item.TradeNumber
+                };
+
+                if (item.Amount < 1e-4)
+                {
+                    result.TradeStatus = "完全了结";
+                }
+                else
+                {
+                    var diff = Math.Abs((item.OriginalNotional ?? 0) - item.Amount);
+
+                    if (diff < 1e-4)
+                    {
+                        result.TradeStatus = "全部成交";
+                    }
+                    else
+                    {
+                        result.TradeStatus = "部分了结";
+                    }
+                }
+
+                double lastPv;
+
+                if (item.pre != null)
+                {
+                    result.PrePositionPv = item.pre.Pv.OtcFormatFlex(2, 4);
+                    result.PrePositionNotional = item.pre.Amount.OtcFormatFlex(2, 4);
+                    lastPv = item.LastPv;
+                }
+                else
+                {
+                    if (PS.Config.ErpElement.IsPVIncludePrincipal)
+                    {
+                        lastPv = item.TradePrice ?? 0;
+                    }
+                    else
+                    {
+                        lastPv = (item.TradePrice ?? 0) - (item.OriginalPrincipalSum ?? 0);
+                    }
+                    if (item.BuySell == "卖出")
+                    {
+                        lastPv = -lastPv;
+                    }
+                }
+
+                result.PositionPv = item.Pv.OtcFormatFlex(2, 4);
+                result.PositionNotional = item.Amount.OtcFormatFlex(2, 4);
+                result.PositionDailyPnl = item.DailyPnL.OtcFormatFlex(2, 4);
+
+                sb.Clear();
+                sb.AppendFormat("pv({0}) - lastpv({1}) + 了结盈亏(", item.Pv.OtcFormatFlex(2, 4), lastPv.OtcFormatFlex(2, 4));
+
+                var dailyCalc = item.Pv - lastPv;
+
+                foreach (var c in tcProvider.GetTradeCashes(item.TradeId))
+                {
+                    if (c.Action == ClientCashInCashOut.系统操作_期权费)
+                    {
+                        continue;
+                    }
+
+                    var unWindProfit = c.Amount;
+
+                    if (!PS.Config.ErpElement.IsPVIncludePrincipal)
+                    {
+                        if (c.Action == ClientCashInCashOut.系统操作_行权费 || c.Action == ClientCashInCashOut.系统操作_平仓费 || c.IsLastAction)
+                        {
+                            unWindProfit -= (c.UnwindPercentRate ?? 0) * item.OriginalPrincipalSum.Value * TradeCalcHelper.GetSign(item.BuySell);
+                        }
+                    }
+
+                    sb.Append(unWindProfit.OtcFormatFlex(2, 4)).Append(" + ");
+
+                    dailyCalc += unWindProfit;
+                }
+
+                if (sb[sb.Length - 2] == '+')
+                {
+                    sb[sb.Length - 2] = ')';
+                }
+                else
+                {
+                    sb.Append(") ");
+                }
+                sb.Append(" = ").Append(dailyCalc.OtcFormatFlex(2, 4));
+
+                result.DailyPnlCalc = sb.ToString();
+
+                sumDailyPnl += item.DailyPnL;
+                sumDailyPnlCalc += dailyCalc;
+
+                list.Add(result);
+            }
+
+            var sumData = new HeixiangDailyPnlResult
+            {
+                TradeNumber = "合计:",
+                PositionDailyPnl = sumDailyPnl.OtcFormatFlex(2, 4),
+                DailyPnlCalc = sumDailyPnlCalc.OtcFormatFlex(2, 4)
+            };
+
+            list.Add(sumData);
+
+            return list;
+        }
+    }
+}