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标的交易&风控

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吴方海
2025-04-25 15:50:51 +08:00
parent 428938cb6f
commit fe4b431faf
8 changed files with 60 additions and 97 deletions
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YLErpDAL/Modules/ExchangeTradeModule/ExchangeTradePositionService.cs
+14 -37
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@@ -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;