using CsvHelper;
using DocumentFormat.OpenXml.Drawing.Diagrams;
using DocumentFormat.OpenXml.Office2010.PowerPoint;
using Newtonsoft.Json;
using NPOI.SS.Formula.Functions;
using Qdp.Pricing.Base.Enums;
using System.Linq.Expressions;
using YLErp.BLL;
using YLErp.Commons;
namespace YLErp.Modules.SwapModule
{
public class SwapTradeBaseService : YLBaseService
{
public SwapTradeBaseService(OptUserInfo optUser) : base(optUser)
{
}
public SwapTradeBaseService(YLBaseService baseService) : base(baseService)
{
}
#region 可测试化接缝(Seams)——子类共用,override 可在测试中替换 DB/外部调用
/// 查找交易(生产: DbContext.trade.Find;测试: 返回内存对象)。
/// SwapDealService/SwapEodPositionService/SwapFlowEventService 三处实现完全一致,上提基类消除重复。
protected virtual trade FindTrade(int tradeId)
{
return DbContext.trade.Find(tradeId);
}
#endregion
///
/// 校验标的是否存在
///
///
/// 不存在返回空
public bool GetUnderlyingCode(string underlyingCode)
{
var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
return underlying == null ? false : true;
}
///
///新增日终归档信息时 修改 持仓腿信息
///
///
public void UpdateSwapPosition(eod_swap_position eodPayPosition, string tradeNumber)
{
var position = DbContext.swap_position.Find(eodPayPosition.PositionId);
position.ContractSize = eodPayPosition.ContractSize;
position.PositionType = eodPayPosition.PositionType;
position.PosiTradingFee = eodPayPosition.PosiTradingFee;
position.PosiTradingFeePending = eodPayPosition.PosiFeePending;
position.PosiTradingFeeUnit = eodPayPosition.PosiQuantity == 0 ? 0 : eodPayPosition.PosiTradingFee / eodPayPosition.PosiQuantity;
position.UnderlyingCode = eodPayPosition.UnderlyingCode;
position.UnderlyingInstrumentType = eodPayPosition.UnderlyingInstrumentType;
position.PosiDirection = eodPayPosition.PosiDirection;
position.PosiNetPrice = eodPayPosition.PosiNetPrice;
position.PosiGrossPrice = eodPayPosition.PosiGrossPrice;
position.PosiNetFeePrice = eodPayPosition.PosiNetFeePrice;
position.PosiNetNoFeePrice = eodPayPosition.PosiNetNoFeePrice;
position.PosiNotionalValue = Math.Round(eodPayPosition.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
position.PosiQuantity = eodPayPosition.PosiQuantity;
position.PosiStartDate = eodPayPosition.PosiStartDate;
position.OptTime = DateTime.Now;
position.OptId = UserInfo.UserId;
position.OptName = UserInfo.UserName;
position.PosiNumber = $"{tradeNumber}-{position.id}";
}
///
/// 平仓后更新持仓
///
///
public void UpdateSwapPositionWithRealTime(eod_swap_position eodPayPosition)
{
var position = DbContext.swap_position.FirstOrDefault(x => x.PositionId == eodPayPosition.PositionId);
if (position != null)
{
position.PosiQuantity = eodPayPosition.PosiQuantity;
position.PosiTradingFee = eodPayPosition.PosiTradingFee;
position.PosiNetPrice = eodPayPosition.PosiNetPrice;
position.PosiGrossPrice = eodPayPosition.PosiGrossPrice;
position.PosiNetFeePrice = eodPayPosition.PosiNetFeePrice;
position.PosiNetNoFeePrice = eodPayPosition.PosiNetNoFeePrice;
position.PosiNotionalValue = Math.Round(eodPayPosition.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
position.PosiTradingFeePending = eodPayPosition.PosiFeePending;
position.PosiQuantity = eodPayPosition.PosiQuantity;
position.PosiDirection = eodPayPosition.PosiDirection;
position.PositionType = eodPayPosition.PositionType;
position.OptTime = DateTime.Now;
position.OptId = UserInfo.UserId;
position.OptName = UserInfo.UserName;
}
else
{
position = DbContext.swap_position.FirstOrDefault(x => x.id == eodPayPosition.PositionId);
var posi = position.Clone();
posi.id = 0;
posi.PositionId = position.id;
posi.IsInitial = false;
DbContext.swap_position.Add(posi);
}
}
///
/// 获取同一互换编码,标的 持仓id
///
/// 互换框架合约id
/// 标的代码
///
public long GetMaxPositionId(swap_flow_merge swap_Flow_Summary, DateTime matuirityDate, int direction, string tradeNumber)
{
long max = 0;
var position = DbContext.swap_position.FirstOrDefault(x => x.SwapTradeId == swap_Flow_Summary.SwapTradeId && x.UnderlyingCode == swap_Flow_Summary.UnderlyingCode && x.PosiQuantity != 0 && !x.IsInitial&&!x.Invalid);
if (position != null)
{
max = position.PositionId;
}
else
{
swap_position swap_Position = new swap_position();
swap_Position.PosiDirection = direction;
swap_Position.PositionType = swap_Flow_Summary.BsType;
swap_Position.SwapTradeId = swap_Flow_Summary.SwapTradeId ?? 0;
swap_Position.UnderlyingCode = swap_Flow_Summary.UnderlyingCode;
swap_Position.PosiQuantity = swap_Flow_Summary.TradingQty;
swap_Position.PosiTradingFee = swap_Flow_Summary.TradingFee;
swap_Position.ContractSize = swap_Flow_Summary.ContractSize;
swap_Position.IsInitial = true;
swap_Position.PosiStartDate = swap_Flow_Summary.OccurTime;
swap_Position.PosiMatuirityDate = matuirityDate;
swap_Position.OptId = UserId;
swap_Position.OptName = UserName;
swap_Position.OptTime = DateTime.Now;
DbContext.swap_position.Add(swap_Position);
DbContext.SaveChanges();
max = swap_Position.id;
swap_Position.PosiNumber = $"{tradeNumber}-{max}";
}
return max;
}
public long GetPositionId(swap_flow_merge swap_Flow_Summary, DateTime matuirityDate, int direction, string tradeNumber)
{
long max = 0;
swap_position swap_Position = new swap_position();
swap_Position.PosiDirection = direction;
swap_Position.PositionType = swap_Flow_Summary.BsType;
swap_Position.SwapTradeId = swap_Flow_Summary.SwapTradeId ?? 0;
swap_Position.UnderlyingCode = swap_Flow_Summary.UnderlyingCode;
swap_Position.PosiQuantity = swap_Flow_Summary.TradingQty;
swap_Position.PosiTradingFee = swap_Flow_Summary.TradingFee;
swap_Position.ContractSize = swap_Flow_Summary.ContractSize;
swap_Position.IsInitial = true;
swap_Position.PosiStartDate = swap_Flow_Summary.OccurTime;
swap_Position.PosiMatuirityDate = matuirityDate;
swap_Position.OptId = UserId;
swap_Position.OptName = UserName;
swap_Position.OptTime = DateTime.Now;
DbContext.swap_position.Add(swap_Position);
DbContext.SaveChanges();
max = swap_Position.id;
swap_Position.PosiNumber = $"{tradeNumber}-{max}";
return max;
}
///
/// 添加交易操作日志
///
public void AddTradeOperationHistory(bool saveChanges, OtcTradeBase trade, string optType, string comments = null)
{
DbContext.TradeAuditLog.Add(new TradeAuditLog
{
TradeId = trade.id,
AuditFlag = TradeAuditFlag.operation,
OptType = optType,
Changes = comments ?? string.Empty,
DataType = "00",
OptId = UserId,
OptName = UserName,
OptDate = OptDate
});
if (saveChanges)
{
DbContext.SaveChanges();
}
}
///
/// 获取平仓/互换记录
///
/// 交易编码
/// 日期
/// 互换事件类型
/// 是否查询小于日期
///
public List GetSwapFlowEvents(int tradeId, DateTime? valueDate, List eventTypes)
{
Expression> eventExpression = x => x.SwapTradeId == tradeId && x.DataState == (int)SwapFlowDateStateEnum.完成 && eventTypes.Contains(x.EventType);
if (valueDate.HasValue)
{
eventExpression = eventExpression.And(x => x.UnwindDate == valueDate);
}
List swapFlowEvents = DbContext.swap_flow_event.Where(eventExpression).ToList();
return swapFlowEvents;
}
///
/// 获取交易平仓/互换事件所有信息
///
///
///
///
public List GetSwapEvents(int tradeId, List eventTypes)
{
Expression> eventExpression = x => x.SwapTradeId == tradeId && !x.Invalid && eventTypes.Contains(x.EventType) && x.ClientCashId > 0;
var swapEvents = DbContext.swap_event.Where(eventExpression).ToList();
var swapFlowEvents = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId && x.DataState == (int)SwapFlowDateStateEnum.完成);
var swapPositions = DbContext.swap_position.Where(x => x.SwapTradeId == tradeId && !string.IsNullOrEmpty(x.UnderlyingCode) && !x.Invalid).ToList();
foreach (var item in swapEvents)
{
item.unwindData = JsonConvert.DeserializeObject(item.EventData);
item.unwindData.FlowEvents = swapFlowEvents.Where(x => x.EventId == item.id).ToList();
item.unwindData.FlowEvents.ForEach(x =>
{
var position = swapPositions.FirstOrDefault(n => n.id == x.PositionId && n.IsInitial);
var positionReal = swapPositions.FirstOrDefault(n => n.PositionId == x.PositionId && !n.IsInitial);
if (position != null)
{
x.PosiGrossPrice = position.PosiGrossPrice;
x.PosiNetPrice = position.PosiNetPrice;
}
//if (positionReal!=null)
//{
// x.PositionQty = positionReal.PosiQuantity;
//}
});
}
return swapEvents;
}
///
/// 获取平仓/互换信息
///
///
///
///
public swap_event GetSwapEvent(int tradeId, int eventType)
{
Expression> eventExpression = x => x.SwapTradeId == tradeId && !x.Invalid && x.EventType == eventType && x.ClientCashId == 0;
var swapEvent = DbContext.swap_event.Where(eventExpression).OrderByDescending(o => o.id).FirstOrDefault();
var swapFlowEvents = DbContext.swap_flow_event.Where(x => x.EventId == swapEvent.id);
var swapPositions = DbContext.swap_position.Where(x => x.SwapTradeId == tradeId && !string.IsNullOrEmpty(x.UnderlyingCode) && !x.Invalid).ToList();
if (swapEvent != null)
{
swapEvent.unwindData = JsonConvert.DeserializeObject(swapEvent.EventData);
swapEvent.unwindData.FlowEvents = swapFlowEvents.Where(x => x.EventDate == swapEvent.ValueDate).ToList();
swapEvent.unwindData.FlowEvents.ForEach(x =>
{
var position = swapPositions.FirstOrDefault(n => n.id == x.PositionId && n.IsInitial);
if (position != null)
{
x.PosiGrossPrice = position.PosiGrossPrice;
x.PosiNetPrice = position.PosiNetPrice;
//if (eventType==(int)SwapEventTypeEnum.互换)
//{
// x.TradingAmountAvg = x.TradingAmount / (x.PositionQty*x.ContractSize);
//}
//else
//{
// x.TradingAmountAvg = x.TradingAmount / (swapEvent.unwindData.CloseQty * x.ContractSize);
//}
}
});
}
return swapEvent;
}
///
/// 获取上一互换交易事件处理日期
///
///
///
///
///
public virtual DateTime? GetPreDealDate(int tradeId, DateTime valueDate, List eventTypes)
{
Expression> eventExpression = x => x.SwapTradeId == tradeId && x.ValueDate <= valueDate && !x.Invalid && eventTypes.Contains(x.EventType);
var swapEvent = DbContext.swap_event.Where(eventExpression).OrderByDescending(o => o.ValueDate).FirstOrDefault();
if (swapEvent == null)
{
return null;
}
return swapEvent.ValueDate;
}
#region 可测试化接缝(ClearSwapPositions 相关)
/// 查找该交易的 flow_event(生产: DbContext.swap_flow_event;测试: 内存列表)
protected virtual List FindFlowEventsByEventIds(List eventIds)
{
return DbContext.swap_flow_event.Where(x => x.EventId.HasValue && eventIds.Contains(x.EventId.Value)).ToList();
}
/// 查找手动互换的 ClientCashId(生产: DbContext.swap_event;测试: 内存列表)
protected virtual List FindManualClientCashIds(int swapTradeId)
{
return DbContext.swap_event
.Where(x => x.SwapTradeId == swapTradeId
&& x.ClientCashId > 0
&& x.EventType != (int)SwapEventTypeEnum.自动互换)
.Select(x => x.ClientCashId)
.ToList();
}
/// 查找该交易的资金记录(生产: DbContext.ClientCashInCashOut;测试: 内存列表)
protected virtual List FindClientCashRecords(int tradeId)
{
return DbContext.ClientCashInCashOut.Where(x => x.TradeId == tradeId).ToList();
}
#endregion
public virtual int AddClientCashInCashOut(OtcTradeBase td, double amount, string action, DateTime valueDate)
{
var cl = DataCacheProvider.GetClientDataSource().GetData(td.ClientId);
if (cl == null)
{
throw new Exception("客户信息未找到,交易编号:" + td.TradeNumber);
}
//增加出入金记录
var ee = new ClientCashInCashOut();
ee.CreateDate = DateTime.Now;
ee.CreatorId = UserId;
ee.CreatorName = UserName;
ee.Direction = "应收";
ee.Number = UniqueTimeId.GetStr();
ee.ClientId = cl.id;
ee.ClientNumber = cl.Number;
ee.ClientName = cl.Name;
ee.Money = amount;
ee.CurrencyCode = td.SettlementCurrency;
ee.HappenDate = valueDate;
ee.State = ClientCashInCashOut.已确认;
ee.OptId = UserId;
ee.OptName = UserName;
ee.OptDate = DateTime.Now;
ee.TradeId = td.id;
ee.Action = action;
ee.ValidState = "Valid";
ee.TradeNumber = td.TradeNumber;
ee.CurrencyCode = "CNY";
DbContext.ClientCashInCashOut.Add(ee);
DbContext.SaveChanges();
return ee.id;
}
///
/// 初始化 利息计算起始日期
///
///
/// 上一交易日
/// 互换交易主信息
/// 计息方式
/// 计息开始日期
/// 计息结束日期
public bool InitInterestDate(DateTime valueDate, DateTime? preSettleDate, trade td, bool tdClose, out DateTime interestStart, out DateTime interestEnd)
{
interestStart = td.StartDate.Value;
var exerciseDate = td.ExerciseDate.Value;
interestEnd = valueDate > exerciseDate ? exerciseDate : valueDate;
bool calcFirst = true;
bool calcLast = true;
if (td.trade_extend != null)
{
calcFirst = td.trade_extend.ExtendObj.InterestCalcMode.StartsWith("1");//算头
calcLast = td.trade_extend.ExtendObj.InterestCalcMode.EndsWith("1");//算尾
}
interestStart = calcFirst ? interestStart : interestStart.AddDays(1);
if (preSettleDate.HasValue && preSettleDate >= interestStart)
{
interestStart = preSettleDate.Value;
}
if ((interestEnd == exerciseDate && !calcLast))
{
interestEnd = interestEnd.AddDays(-1);
}
if (interestStart > interestEnd || td.StartDate > interestStart)
{
interestStart = interestEnd;
return true;//不记利息
}
if (tdClose)
{
interestStart = valueDate;
}
return false;
}
public virtual void UpdateDbOption(DBModelBaseV2 dBModel)
{
dBModel.OptTime = DateTime.Now;
dBModel.OptName = UserName;
dBModel.OptId = UserId;
}
///
/// 合成持仓/日终归档 清除互换持仓所有信息
///
///
public virtual void ClearSwapPositions(trade td, DateTime valueDate, List eventTypes, bool delAfter)
{
var swapEvents = DbContext.swap_event.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate && eventTypes.Contains(x.EventType));
var eventIds = swapEvents.Select(s => s.id).ToList();
var eodSwaps = DbContext.eod_swap.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate).ToList();
if (delAfter)
{
var swapFlowEvents = DbContext.swap_flow_event.Where(x => x.SwapTradeId == td.id && x.UnwindDate >= valueDate && x.DataState > (int)SwapFlowDateStateEnum.废弃 && eventTypes.Contains(x.EventType)).ToList();
var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate).ToList();
DbContext.eod_swap_position.RemoveRange(eodSwapPositions);
DbContext.swap_flow_event.RemoveRange(swapFlowEvents);
// 删除自动互换产生的资金记录(client_cash_in_out)
var autoSwapEvents = swapEvents.ToList();
if (autoSwapEvents.Any())
{
// 通过 swap_event 的 ClientCashId 删除对应的资金记录(利息腿)
var clientCashIds = autoSwapEvents
.Where(s => s.ClientCashId > 0)
.Select(s => s.ClientCashId)
.ToList();
var legacyAutoEvents = new List();
foreach (var swapEvent in autoSwapEvents)
{
var eventCashIds = GetAutoSwapClientCashIds(swapEvent);
if (eventCashIds.Any())
{
clientCashIds.AddRange(eventCashIds);
}
else
{
legacyAutoEvents.Add(swapEvent);
}
}
clientCashIds = clientCashIds.Distinct().ToList();
if (clientCashIds.Any())
{
var clientCashRecords = DbContext.ClientCashInCashOut.Where(x => clientCashIds.Contains(x.id)).ToList();
DbContext.ClientCashInCashOut.RemoveRange(clientCashRecords);
}
var legacyCashRecords = GetLegacyAutoSwapClientCashRecords(legacyAutoEvents, clientCashIds);
if (legacyCashRecords.Any())
{
DbContext.ClientCashInCashOut.RemoveRange(legacyCashRecords);
}
}
}
DbContext.swap_event.RemoveRange(swapEvents);
DbContext.eod_swap.RemoveRange(eodSwaps);
DbContext.SaveChanges();
}
private List GetAutoSwapClientCashIds(swap_event swapEvent)
{
if (swapEvent == null || string.IsNullOrWhiteSpace(swapEvent.EventData))
{
return new List();
}
try
{
var unwindData = JsonConvert.DeserializeObject(swapEvent.EventData);
return unwindData?.ClientCashIds?.Where(x => x > 0).Distinct().ToList() ?? new List();
}
catch
{
return new List();
}
}
protected virtual List GetLegacyAutoSwapClientCashRecords(List swapEvents, List excludedClientCashIds)
{
if (swapEvents == null || !swapEvents.Any())
{
return new List();
}
var eventIds = swapEvents.Select(x => x.id).ToList();
var flowEvents = FindFlowEventsByEventIds(eventIds);
var manualClientCashIds = FindManualClientCashIds(swapEvents.First().SwapTradeId);
var records = new List();
foreach (var swapEvent in swapEvents)
{
UnwindData unwindData = null;
if (!string.IsNullOrWhiteSpace(swapEvent.EventData))
{
try
{
unwindData = JsonConvert.DeserializeObject(swapEvent.EventData);
}
catch
{
}
}
var eventFlowEvents = flowEvents.Where(x => x.EventId == swapEvent.id).ToList();
var candidateDates = new HashSet { swapEvent.ValueDate.Date };
if (unwindData?.PayDate != null)
{
candidateDates.Add(unwindData.PayDate.Value.Date);
}
eventFlowEvents.Where(x => x.PayDate.HasValue).ToList().ForEach(x => candidateDates.Add(x.PayDate.Value.Date));
var allCashRecords = FindClientCashRecords(swapEvent.SwapTradeId);
var eventRecords = allCashRecords
.Where(x => !excludedClientCashIds.Contains(x.id)
&& !manualClientCashIds.Contains(x.id)
&& (x.Action == ClientCashInCashOut.系统操作_预付金返息 || x.Action == ClientCashInCashOut.系统操作_互换))
.ToList()
.Where(x => x.HappenDate.HasValue && candidateDates.Contains(x.HappenDate.Value.Date))
.Where(x => IsLegacyAutoSwapClientCashRecord(x, unwindData))
.ToList();
records.AddRange(eventRecords);
}
return records.GroupBy(x => x.id).Select(x => x.First()).ToList();
}
private bool IsLegacyAutoSwapClientCashRecord(ClientCashInCashOut cashRecord, UnwindData unwindData)
{
if (unwindData == null)
{
return true;
}
var amount = Convert.ToDecimal(cashRecord.Money ?? 0);
if (cashRecord.Action == ClientCashInCashOut.系统操作_预付金返息)
{
return unwindData.SwapMarginRebatePnl != 0
&& amount == -unwindData.SwapMarginRebatePnl;
}
if (cashRecord.Action == ClientCashInCashOut.系统操作_互换)
{
return (unwindData.SwapCloseAmount != 0 && amount == -unwindData.SwapCloseAmount)
|| (unwindData.SwapDividendPnl != 0 && amount == -unwindData.SwapDividendPnl)
|| (unwindData.SwapRealizedPnL != 0 && amount == -unwindData.SwapRealizedPnL);
}
return false;
}
///
/// 获取上一交易日
///
/// 当前交易日
///
public DateTime GetPreValueDate(DateTime valueDate)
{
var preSettleDate = valuedateBLL.GetNonHolidayDefore(valueDate.AddDays(-1));//上一交易日
return preSettleDate;
}
///
/// 判断交易上一交易日是否收盘
///
/// 交易日期
/// 交易开始日期
///
///
public DateTime CheckLastEod(DateTime valueDate, DateTime tradeStartDate, int tradeId)
{
var preSettleDate = GetPreValueDate(valueDate);//上一交易日期
List lastEodPositions = new SwapEodPositionService(this).GetPreEodPositions(tradeId, preSettleDate);//上一交易数据
if (preSettleDate > tradeStartDate && lastEodPositions.Count == 0)
{
throw new ServiceException($"上一交易日【{preSettleDate:D}】未收盘");
}
return preSettleDate;
}
///
/// 是否有审批流程
///
///
public bool HasTradeProcess()
{
return DbContext.approvalprocess.Where(t => t.processType == "TradeProcess").Any();
}
}
}