标的交易&风控

YLErpDAL/BLL/EodSettlement/RealtimePnlCalc.cs

@@ -594,16 +594,6 @@ namespace YLErp.BLL.Eod
                             }
                         }
                         clientPosition.update_user = 0;
-                        if (clientPosition.id == 0 && clientPosition.position_qty > 0)
-                        {
-                            clientPosition.update_time = DateTime.Now;
-                            bondDb.client_position.Add(clientPosition);
-                        }
-                        else if (clientPosition.id > 0 && (clientPosition.position_qty > 0 || clientPosition.today_profit_loss != 0))
-                        {
-                            clientPosition.update_time = DateTime.Now;
-                        }
-                        bondDb.SaveChanges();
                         SetClientPositionPrice(clientPosition);
                         clientPosition.swap_market_value = clientPosition.full_price_now * clientPosition.position_qty * (clientPosition.side == 0 ? 1 : -1);
                         clientPosition.position_profit_loss = (clientPosition.full_price_now - clientPosition.deal_full_price_avg) * clientPosition.position_qty * (clientPosition.side == 0 ? 1 : -1) - clientPosition.commission;
@@ -613,6 +603,15 @@ namespace YLErp.BLL.Eod
                         {
                             BondCalcApi(clientPosition);
                         }
+                        if (clientPosition.id == 0 && clientPosition.position_qty > 0)
+                        {
+                            clientPosition.update_time = DateTime.Now;
+                            bondDb.client_position.Add(clientPosition);
+                        }
+                        else if (clientPosition.id > 0 && (clientPosition.position_qty > 0 || clientPosition.today_profit_loss != 0))
+                        {
+                            clientPosition.update_time = DateTime.Now;
+                        }
                         bondDb.SaveChanges();
                     }
                     var sql = $"{nameof(ClientPosition.create_time)}<'{datenow.AddSeconds(-1):yyyy-MM-dd HH:mm:ss}' or  {nameof(ClientPosition.position_qty)}=0";

YLErpDAL/Modules/ExchangeTradeModule/ExchangeTradePositionService.cs

@@ -20,51 +20,28 @@ namespace YLErp.Modules.ExchangeTradeModule
         public void ResetExchangeTradePosition()
         {
             var valueDate = SystemValueDate;
-            var lastDate = EodOperationBase.GetLastSettlementDate(valueDate, false);
-            List<string> tradetypes = new List<string> { "股票", "商品期货", "商品现货", "场内期权", "利率债", "信用债", "其它债券" };
-            var eodQuery = from et in DbContext.eod_trade_position.AsNoTracking()
-                           where et.ValueDate == lastDate && tradetypes.Contains(et.TradeType)
-                           select new TradePositionEx
-                           {
-                               UnderlyingId = et.UnderlyingId,
-                               TradeType = et.TradeType,
-                               BookId = et.BookId,
-                               InstrumentCode = et.ExchangeOptionCode,
-                               UnderlyingCode = et.UnderlyingCode,
-                               Position = et.Amount,
-                               PositionCost = et.Cost,
-                               BuySell = et.PositionType
-                           };
 
-            var positionList = eodQuery.ToList();
-
-            //如果当天未收盘
-            if (valueDate != lastDate)
-            {
-                var tdQuery = from trad in DbContext.ExchangeTrade.AsNoTracking()
-                              where trad.TradeDate > lastDate && trad.TradeDate <= valueDate && trad.IsValid
-                              select new TdTradePositionEx
-                              {
-                                  TradeType = trad.TradeType,
-                                  BookId = trad.AssetBookId,
-                                  InstrumentCode = trad.OptionCode,
-                                  Position = trad.Notional,
-                                  BuySell = trad.TradeSide,
-                                  UnderlyingCode = trad.UnderlyingCode,
-                                  TradeSinglePrice = trad.TradeSinglePrice
-                              };
-
-                var tdDatas = tdQuery.ToArray();
-                positionList.AddRange(tdDatas);
-            }
+            var tdQuery = from trad in DbContext.ExchangeTrade.AsNoTracking()
+                          where trad.IsValid
+                          select new TdTradePositionEx
+                          {
+                              TradeType = trad.TradeType,
+                              BookId = trad.AssetBookId,
+                              InstrumentCode = trad.OptionCode,
+                              Position = trad.Notional,
+                              BuySell = trad.TradeSide,
+                              UnderlyingCode = trad.UnderlyingCode,
+                              TradeSinglePrice = trad.TradeSinglePrice
+                          };
 
+            var positionList = tdQuery.ToList();
             var dic = new Dictionary<string, TradePosition>(positionList.Count);
 
             foreach (var n in positionList)
             {
                 var tradeType1 = TradeHelper.GetTradeType1(n.TradeType);
                 var positionType = TradeHelper.GetPositionType(n.BuySell);
-                var key = $"{n.BookId}^{(int)tradeType1}^{(int)positionType}^{n.UnderlyingCode}^{n.InstrumentCode}";
+                var key = $"{n.BookId}^{(int)tradeType1}^{n.UnderlyingCode}^{n.InstrumentCode}";
                 var position = n.IsEod ? n.Position : TradeHelper.GetPositionNotional(n.BuySell, n.Position);
                 var positionCost = n.IsEod ? n.PositionCost : position * n.TradeSinglePrice;
 

YLErpDAL/Modules/ExchangeTradeModule/ExchangeTradeSaveServiceBase.cs

@@ -136,7 +136,7 @@ namespace YLErp.Modules.ExchangeTradeModule
             para.positionType = TradeHelper.GetPositionType(para.tradeSide);
 
             var predicate = PredicateBuilder.Create<TradePosition>(n => n.BookId == td.AssetBookId
-                && n.TradeType1 == para.tradeType1 && n.PositionType == para.positionType && n.UnderlyingCode == td.UnderlyingCode);
+                && n.TradeType1 == para.tradeType1  && n.UnderlyingCode == td.UnderlyingCode);
 
             if (td.TradeType == "场内期权")
             {

YLErpDAL/Modules/RiskModule/QuotaMonitorService.cs

@@ -901,6 +901,7 @@ namespace YLErp.Modules.RiskModule
                 {
                     return;
                 }
+                obj.DeltaExposure= dict[obj.BusinessType].Sum(O => O.risk.Delta.Normalize());
                 obj.DeltaCash = dict[obj.BusinessType].Sum(O => O.risk.DeltaCash.Normalize());
                 obj.Vega = dict[obj.BusinessType].Sum(O => O.risk.Vega.Normalize());
                 obj.VegaCash = dict[obj.BusinessType].Sum(O => O.risk.VegaCash.Normalize());
@@ -1015,41 +1016,30 @@ namespace YLErp.Modules.RiskModule
             setValue(swap, swapSetting);
 
             var positionList = new List<KeyValuePair<trade, realtime_trade_risk>>();
-            var gloabPnl = GetTradePositionPnl();
+            var underly = GetTradePositionPnl();
             if (dict.ContainsKey("互换"))
             {
                 var swapPositionList = dict["互换"].Select(O => new KeyValuePair<trade, realtime_trade_risk>(O.t, O.risk));
                 swap.TotalPnL = swapPositionList.Sum(O => O.Value.PositionPnl.Normalize());
-                if (PS.Config.Is国信金阳)
-                {
-                    swap.PositionPnl = swapPositionList.Sum(O => O.Value.PositionPnl.Normalize() < 0 ? O.Value.PositionPnl.Normalize() : 0);
-                }
-                else
-                {
-                    swap.PositionPnl = swapPositionList.Sum(O => O.Value.PositionPnl.Normalize());
-                }
+                swap.PositionPnl = swapPositionList.Sum(O => O.Value.PositionPnl.Normalize());
                 positionList.AddRange(swapPositionList);
             }
-            swap.DeltaNetExposure = double.NaN;
             var checkPosiList = GetCheckPosiList();
             var posiStockEqvNotional = checkPosiList.Sum(s => s.Pv);
-            var underly = new QuotaMonitor_Global()
-            {
-                ParentKey = "场外",
-                BusinessType = "标的交易",
-                PositionPnl = gloabPnl
-            };
+            var delta = checkPosiList.Sum(s => s.Delta);
             var unTrade = new QuotaMonitor_Global()
             {
                 ParentKey = "场外",
                 BusinessType = "未簿记合约",
-                StockEqvNotional = Convert.ToDouble(posiStockEqvNotional) - swap.StockEqvNotional.Normalize()
+                StockEqvNotional = Convert.ToDouble(posiStockEqvNotional) - swap.StockEqvNotional.Normalize(),
+                DeltaExposure=(double)delta- (swap.DeltaExposure??0)
             };
             var all = new QuotaMonitor_Global()
             {
                 BusinessType = "全局",
                 StockEqvNotional = Convert.ToDouble(posiStockEqvNotional),
-                PositionPnl = underly.PositionPnl + swap.PositionPnl
+                PositionPnl = underly.PositionPnl + swap.PositionPnl,
+                DeltaExposure=(double)delta+ underly.DeltaExposure
             };
             var list = new List<QuotaMonitor_Global>
             {
@@ -4364,7 +4354,7 @@ namespace YLErp.Modules.RiskModule
                 checkQuotaMoitorModel.Commision = item.commission ?? 0;
                 checkQuotaMoitorModel.Direction = item.direction;
                 checkQuotaMoitorModel.ClientId = Convert.ToInt32(item.client_id ?? 0);
-                checkQuotaMoitorModel.Delta = (checkQuotaMoitorModel.Side == 0 ? checkQuotaMoitorModel.Price : -checkQuotaMoitorModel.Price) * checkQuotaMoitorModel.Qty;
+                checkQuotaMoitorModel.Delta = (checkQuotaMoitorModel.Side == 0 ? 1 : -1) * checkQuotaMoitorModel.Qty;
                 EodPrice bondPrice = null;
                 if (eodPriceDic.ContainsKey(checkQuotaMoitorModel.UnderlyingCode))
                 {
@@ -4990,9 +4980,16 @@ namespace YLErp.Modules.RiskModule
         /// 算标的交易盈亏
         /// </summary>
         /// <returns></returns>
-        private double GetTradePositionPnl()
+        private QuotaMonitor_Global GetTradePositionPnl()
         {
-            double currentValue = 0;
+            QuotaMonitor_Global quotaMonitor_Global = new QuotaMonitor_Global()
+            {
+                ParentKey= "场外",
+                BusinessType = "标的交易",
+                PositionPnl=0,
+                DeltaExposure=0,
+                StockEqvNotional=0
+            };
             List<string> tradetypes = new List<string> { "利率债", "信用债", "其它债券" };
             var tposis = DbContext.TradePosition.Where(x => tradetypes.Contains(x.TradeType)).AsNoTracking().ToList();
             var umCodes = tposis.Select(x => x.UnderlyingCode).Distinct().ToList();
@@ -5015,9 +5012,12 @@ namespace YLErp.Modules.RiskModule
                         lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
                     }
                 }
-                currentValue += lastPrice * item.Position - item.PositionCost;
+                quotaMonitor_Global.PositionPnl += lastPrice * item.Position - item.PositionCost;
+                quotaMonitor_Global.StockEqvNotional += item.PositionCost;
+                quotaMonitor_Global.DeltaExposure += (item.PositionType == PositionTypeFlag.Long ? -1 : 1) * item.Position;
             }
-            return currentValue;
+
+            return quotaMonitor_Global;
         }
         private List<string> checkGlobal(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, string tag_prefix, QuotaSetting[] settings, bool warning)
         {

YLErpWeb/Views/ExchangeTrade/PositionList.cshtml

@@ -46,13 +46,6 @@
         <span class="search-label">交易类型</span>
         <select name="TradeType">
             <option value="">全部</option>
-            @if (!pageObj.IsGuoJun)
-            {
-                <option value="场内期权">场内期权</option>
-            }
-            <option value="股票">股票</option>
-            <option value="商品期货">商品期货</option>
-            <option value="商品现货">商品现货</option>
             <option value="信用债">信用债</option>
             <option value="利率债">利率债</option>
             <option value="其它债券">其它债券</option>

YLErpWeb/Views/ExchangeTrade/TradeEdit.cshtml

@@ -39,28 +39,15 @@
         <div class="form-group">
             <label class="formlabel" for="TradeType">交易类型</label>
             <select class="" name="TradeType" id="TradeType">
-                @if (Model.TradeType == "场内期权")
-                {
-                    <option value="场内期权">场内期权</option>
-                }
-                else
-                {
-                    <option value="股票">股票</option>
-                    <option value="商品期货">期货</option>
-                    <option value="商品现货">商品现货</option>
-                    <option value="信用债">信用债</option>
-                    <option value="利率债">利率债</option>
-                    <option value="其它债券">其它债券</option>
-                }
+                <option value="信用债">信用债</option>
+                <option value="利率债">利率债</option>
+                <option value="其它债券">其它债券</option>
             </select>
         </div>
 
         <div class="form-group asset-type" style="display:none">
             <label class="formlabel">标的资产类型</label>
             <select class="" name="InstrumentType" id="InstrumentType">
-                <option value="CommodityFutures">商品期货</option>
-                <option value="CommoditySpot">商品现货</option>
-                <option value="Stock">股票</option>
                 <option value="信用债">信用债</option>
                 <option value="利率债">利率债</option>
                 <option value="其它债券">其它债券</option>

YLErpWeb/Views/ExchangeTrade/TradeList.cshtml

@@ -41,9 +41,6 @@
         <span class="search-label">交易类型</span>
         <select name="TradeType">
             <option value="">全部</option>
-            <option value="股票">股票</option>
-            <option value="商品期货">商品期货</option>
-            <option value="商品现货">商品现货</option>
             <option value="信用债">信用债</option>
             <option value="利率债">利率债</option>
             <option value="其它债券">其它债券</option>

YLErpWeb/wwwroot/Scripts/app/risk/quotaMonitor.js

@@ -1660,6 +1660,16 @@ var colModel_global = [
             }
             return "style='" + style + "'";
         }
+    } , {
+        name: 'DeltaExposure',
+        label: 'Delta',
+        index: 'DeltaExposure',
+        width: 120,
+        align: 'right',
+        sortable: false,
+        formatter: function (cellvalue, options, rowObject) {
+            return !cellvalue || cellvalue == "NaN" ? "" : cellvalue;
+        }
     }
 ];