从山证v2.3.0拷贝
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吴方海
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using YLErp.BLL.Calculation;
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using YLErp.QdpModule;
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namespace YLErp.BLL
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{
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public class underlying_main_contractBLL
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{
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public static bool IsListOld = true;
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private static List<underlying_main_contract> Allunderlying_main_contractModel = null;
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public static List<underlying_main_contract> GetAllunderlying_main_contractModel()
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{
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if (IsListOld)
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{
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using (YLContext con = new YLContext())
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{
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Allunderlying_main_contractModel = con.underlying_main_contract.ToList();
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}
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IsListOld = false;
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}
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return Allunderlying_main_contractModel;
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}
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/// <summary>
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/// 过滤掉不符合规则的标的
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/// 国君规则： 标的到期日前一个月15号必需大于输入的到期日参数maturitydate（到期日为当前时间一个月后的第一个工作日）
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/// </summary>
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public static List<underlying_manager> GetGtja_MaturityUnderlying(List<underlying_manager> tofilterUnderlyings, DateTime maturityDate)
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{
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//调整：
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//原来的逻辑是：underlyingMaturityDate > (maturityDate + 1 month).15th
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//修正后的逻辑是： (underlyingMaturityDate - 1 month).15th > maturityDate
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var underlyings = new List<underlying_manager>();
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foreach (var x in tofilterUnderlyings)
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{
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if (x.IsVirtualContract() || !x.IsFutures())
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{
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underlyings.Add(x);
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}
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else
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{
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var underlyingMaturityDate = DateTime.Now;
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if (x.MaturityDate == null)
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{
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underlyingMaturityDate = QdpHelper.defaultMaturityDateFromContract(x.UnderlyingCode);
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}
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else
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{
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underlyingMaturityDate = CalculatorHelper.GetContractMaturityDateForQuote(x.MaturityDate.Value, x.UnderlyingCode);
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}
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var underlyingCodeArray = x.UnderlyingCode.TakeWhile(c => char.IsLetter(c)).ToArray();
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var mainUnderlyingCode = new string(underlyingCodeArray) + "00";
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int.TryParse(x.UnderlyingCode.Substring(x.UnderlyingCode.Length - 2), out var monthInCode);
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var beforUnderlyingCode = x.UnderlyingCode.Substring(0, x.UnderlyingCode.Length - 2) + (monthInCode - 1).ToString("00");
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var mainUnderlying = YLErp.Modules.DataCacheProvider.GetUnderlyingDataSource().GetData(mainUnderlyingCode);
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//是否为“主力合约”，或上一个为“主力合约”
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var IsMainUnderlying = x.UnderlyingCode == mainUnderlying.TradeCode || beforUnderlyingCode == mainUnderlying.TradeCode;
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var checkDate = underlyingMaturityDate;
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//做个月份补丁，如果是1809默认是9月份
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//没有考虑到1月这种情况，需要测试
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//if (int.TryParse(x.UnderlyingCode.Substring(x.UnderlyingCode.Length - 2), out int tempData) && tempData > 1 && tempData <= 12 && x.UnderlyingInstrumentType != "Stock")
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//{
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// checkDate = new DateTime(underlyingMaturityDate.Year, tempData, 15);
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//}
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if (IsMainUnderlying)
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{
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//当前所报的合约的到期日必须小于该合约的到期日-10个交易日
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checkDate = QdpCalendarHelper.BizDayShift(checkDate, -10);
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if (checkDate >= maturityDate)
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{
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underlyings.Add(x);
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}
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}
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else
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{
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checkDate = new DateTime(underlyingMaturityDate.Year, underlyingMaturityDate.Month, 15);
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checkDate = checkDate.AddMonths(-1);
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if (PS.Config.Company==Configuration.CompanyEnum.国贸启润)
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{
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checkDate = underlyingMaturityDate;
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}
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if (checkDate >= maturityDate)
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{
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underlyings.Add(x);
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}
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}
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}
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}
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return underlyings;
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}
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/// <summary>
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/// 获取给定到期日的平值期权报价列表
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/// 这个函数需要给Web和API使用，因此不使用缓存，直接从数据库查询
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/// 国君规则： 标的到日期前一个月15号必需大于 maturitydate（到期日为当前时间一个月后的第一个工作日）
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/// </summary>
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/// <param name="maturityDate">报价到期日</param>
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/// <param name="onlyMainContract">是否只包含主力合约</param>
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public static List<underlying_manager> GetDefaultAtMoneyQuoteList(DateTime maturityDate, bool onlyMainContract = true)
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{
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var del = new char[] { ',' };
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using (var db = new YLContext())
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{
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//筛选所有需要报价的品种，并将其对应的合约代码加入codes
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var activeAssetList = GetAllunderlying_main_contractModel().Where(x => x.NeedQuote == 1).OrderBy(n => n.UnderlyingType).ToList();
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string preUnderlyingType = null;
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var unCodeSet = new HashSet<string>();
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foreach (var asset in activeAssetList.ToArray())
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{
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if (preUnderlyingType == asset.UnderlyingType ||
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string.IsNullOrWhiteSpace(asset.UnderlyingType) ||
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string.IsNullOrWhiteSpace(asset.UnderlyingCode))
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{
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activeAssetList.Remove(asset);
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}
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else
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{
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preUnderlyingType = asset.UnderlyingType;
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var arr = asset.UnderlyingCode.Split(del, StringSplitOptions.RemoveEmptyEntries);
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foreach (var item in arr)
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{
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unCodeSet.Add(item);
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}
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}
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}
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//需要获取underlying最新的价格，所以需要从数据库读取
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var underlyings = db.underlying_manager.Where(x => unCodeSet.Contains(x.UnderlyingCode) && x.LaunchState == "1").ToList();
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underlyings = GetGtja_MaturityUnderlying(underlyings, maturityDate);
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if (onlyMainContract)
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{
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var quoteContracts = new Dictionary<string, underlying_manager>();
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//每个品种，满足条件的合约中到日期最早的那个
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foreach (var underlying in underlyings)
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{
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if ((!quoteContracts.ContainsKey(underlying.UnderlyingType))
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|| underlying.MaturityDate < quoteContracts[underlying.UnderlyingType].MaturityDate)
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{
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quoteContracts[underlying.UnderlyingType] = underlying;
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}
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}
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underlyings = quoteContracts.Values.ToList();
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}
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var dic = activeAssetList.ToDictionary(n => n.UnderlyingType);
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foreach (var un in underlyings)
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{
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if (dic.TryGetValue(un.UnderlyingType, out var asset))
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{
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un.order = asset.OrderId;
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}
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}
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underlyings.Sort((x, y) => (x.order ?? 0) - (y.order ?? 0));
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return underlyings;
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}
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}
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}
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}
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