545 lines
24 KiB
C#
545 lines
24 KiB
C#
using DocumentFormat.OpenXml.Drawing.Charts;
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using System.Linq.Expressions;
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using YLErp.Helpers;
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using YLErp.Models;
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using YLErp.QdpModule;
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namespace YLErp.Modules.DataProviderModule
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{
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/// <summary>
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/// 收盘价查询服务
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/// </summary>
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public class EodPriceQueryService
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{
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/// <summary>
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/// 检查数据库是否有数据
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/// </summary>
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public static bool CheckDbExists(DateTime valueDate)
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{
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using var db = DbContextFactory.GetYLDbContext();
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return db.eod_commodity_future_price.Any(n => n.ValueDate == valueDate)
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|| db.eod_stock_price.Any(n => n.ValueDate == valueDate)
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|| db.china_bond_valuation.Any(n => n.valuation_date == valueDate && n.dirty_price_close > 0);
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}
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/// <summary>
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/// 校验FR007价格
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/// </summary>
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/// <param name="valueDate"></param>
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/// <returns></returns>
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public static bool CheckFR007Price(DateTime valueDate)
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{
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using var db = DbContextFactory.GetYLDbContext();
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return db.eod_commodity_future_price.Any(n => n.ValueDate == valueDate && n.UnderlyingCode == "FR007");
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}
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/// <summary>
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/// 检查是否存在收盘价
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/// </summary>
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public static bool CheckDbExists(DateTime startDate, DateTime valueDate, string instrumentType, string underlyingCode)
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{
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using var db = DbContextFactory.GetYLDbContext();
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if (ConsGlobal.InstrumentType.IsStock(instrumentType))
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{
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var query = from e in db.eod_stock_price
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where e.UnderlyingCode == underlyingCode
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&& e.ValueDate >= startDate && e.ValueDate <= valueDate
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select e;
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return query.Any();
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}
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else if (ConsGlobal.InstrumentType.IsBond(instrumentType))
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{
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//日终估值全价必须有值才算
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var query = from e in db.china_bond_valuation
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where e.bond_id == underlyingCode
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&& e.valuation_date >= startDate && e.valuation_date <= valueDate && e.dirty_price_close > 0
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select e;
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return query.Any();
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}
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else
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{
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var query = from e in db.eod_commodity_future_price
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where e.UnderlyingCode == underlyingCode
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&& e.ValueDate >= startDate && e.ValueDate <= valueDate
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select e;
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return query.Any();
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}
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}
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/// <summary>
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/// 获取标的某日的收盘价
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/// </summary>
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public static bool TryGetClosePrice(DateTime valueDate, string underlyingCode, out double price)
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{
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if (underlyingCode is null)
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{
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throw new ArgumentNullException(nameof(underlyingCode));
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}
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var ep = GetEodPrice(valueDate, underlyingCode);
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if (ep != null)
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{
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price = ep.ClosePrice;
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return true;
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}
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price = 0;
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return false;
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}
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/// <summary>
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/// 获取标的某日的收盘价
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/// </summary>
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public static double GetClosePrice(DateTime valueDate, string underlyingCode)
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{
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return TryGetClosePrice(valueDate, underlyingCode, out var price) ? price : 0;
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}
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/// <summary>
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/// 尝试获取标的某日的日终价
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/// </summary>
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public static bool TryGetEodPrice(DateTime valueDate, string underlyingCode, out EodPrice eodPrice)
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{
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return (eodPrice = GetEodPrice(valueDate, underlyingCode)) != null;
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}
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/// <summary>
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/// 尝试获取某日债券价格
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="underlyingCode"></param>
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/// <param name="eodPrice"></param>
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/// <returns></returns>
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public static bool TryGetBondEodPrice(DateTime valueDate, string underlyingCode, out EodPrice eodPrice)
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{
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return (eodPrice = GetBondPrice(valueDate, underlyingCode)) != null;
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}
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/// <summary>
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/// 统一日终结算取价（债券感知）。
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/// 用于交易/期权到期结算：债券标的走中债估值表（TryGetBondEodPrice），期货/股票走原 InnerGetEodPrice。
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/// 解决到期路径（tradeExpireInner / MultipleTradeExpireConfirm）漏查债券表导致"结算价未找到"的问题。
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/// 注：债券 ClosePrice/SettlePrice 映射沿用 GetBondPrice 口径（ClosePrice=全价 dirty_price_close，SettlePrice=净价 net_price），
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/// 与 EodPriceProvider 的映射（ClosePrice=净价，SettlePrice=全价）相反——属历史不一致（见 EodPriceProvider.Initialize 与 GetBondPrice 的注释），
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/// 本方法保持与系统既有"债券现价"约定（UnderlyingCodePrice）一致，不引入新口径。
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/// </summary>
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public static bool TryGetSettlementEodPrice(DateTime valueDate, string underlyingCode, out EodPrice eodPrice)
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{
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
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if (um != null && ConsGlobal.InstrumentType.IsBond(um.UnderlyingInstrumentType))
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{
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return TryGetBondEodPrice(valueDate, underlyingCode, out eodPrice);
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}
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return TryGetEodPrice(valueDate, underlyingCode, out eodPrice);
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}
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/// <summary>
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/// 尝试获取标的某日的日终价
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/// </summary>
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public static bool TryGetEodPrice(DateTime valueDate, int underlyingId, out EodPrice eodPrice)
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{
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return (eodPrice = GetEodPrice(valueDate, underlyingId)) != null;
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}
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/// <summary>
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/// 获取某日之前最新价格
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="underlyingCode"></param>
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/// <param name="price"></param>
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/// <returns></returns>
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public static bool TryGetPrice(DateTime valueDate, string underlyingCode, out double price)
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{
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price = 0;
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valueDate = valueDate.Date;
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using var db = DbContextFactory.GetYLDbContext();
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var data = db.eod_commodity_future_price.Where(x => x.ValueDate == valueDate && x.UnderlyingCode == underlyingCode).OrderByDescending(o => o.ValueDate).FirstOrDefault();
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if (data != null)
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{
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// FR007 行 ReferencePrice 已是小数口径（无论 bond-sync 自动同步还是界面手工录入，写入时均已 ÷100），
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// 利息腿计算直接作为 floatRate 参与 principal*(fixedRate+floatRate)/annualDays，无需再 ÷100。
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price = data.ReferencePrice ?? 0;
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return true;
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}
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return false;
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}
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/// <summary>
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/// 尝试获取标的某日的日终价
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/// </summary>
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public static bool TryGetReferencePrice(DateTime valueDate, string underlyingCode, out double price)
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{
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price = 0;
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valueDate = valueDate.Date;
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//传进来的可能是非交易日期
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valueDate = PS.Config.IsGuoJun ? QdpCalendarHelper.GetNonHolidayDefore(valueDate) : QdpCalendarHelper.GetNonHoliday(valueDate);
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using var db = DbContextFactory.GetYLDbContext();
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var umQuery = db.underlying_manager.Where(n => n.UnderlyingCode == underlyingCode)
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.Select(u => new UnderlyingDto
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{
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id = u.id,
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UnderlyingCode = u.UnderlyingCode,
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ValueDate = u.UnderlyingInstrumentType != ConsGlobal.InstrumentType.CommodityFutures || u.MaturityDate > valueDate
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? valueDate : u.MaturityDate.Value
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});
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var eodQuery = from um in umQuery
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join epCommodity in db.eod_commodity_future_price
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on new { um.ValueDate, um.UnderlyingCode } equals new { ValueDate = epCommodity.ValueDate, UnderlyingCode = epCommodity.UnderlyingCode } into t_epCommodity
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from epCommodity in t_epCommodity.DefaultIfEmpty()
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join epStock in db.eod_stock_price
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on new { um.ValueDate, um.UnderlyingCode } equals new { ValueDate = epStock.ValueDate, UnderlyingCode = epStock.UnderlyingCode } into t_epStock
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from epStock in t_epStock.DefaultIfEmpty()
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join epBond in db.china_bond_valuation
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on new { um.ValueDate, um.UnderlyingCode } equals new { ValueDate = epBond.valuation_date, UnderlyingCode = epBond.bond_id } into t_epBond
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from epBond in t_epBond.DefaultIfEmpty()
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select new
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{
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rp1 = epCommodity.ReferencePrice,
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rp2 = epStock.ReferencePrice,
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rp3 = epBond.dirty_price_close
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};
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var data = eodQuery.FirstOrDefault();
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if (data != null && (data.rp1 != null || data.rp2 != null || data.rp3 != null))
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{
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price = data.rp1 ?? data.rp2 ?? Convert.ToDouble((data.rp3 ?? 0) * ConsGlobal.bondPriceMultiple);
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return true;
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}
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return false;
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}
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/// <summary>
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/// 获取标的某日的日终价,如果未找到返回null
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/// </summary>
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public static EodPrice GetEodPrice(DateTime valueDate, int underlyingId)
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{
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return underlyingId < 1 ? null : InnerGetEodPrice(valueDate, n => n.id == underlyingId);
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}
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/// <summary>
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/// 获取标的某日的日终价,如果未找到返回null
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/// </summary>
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public static EodPrice GetEodPrice(DateTime valueDate, string underlyingCode)
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{
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return string.IsNullOrWhiteSpace(underlyingCode) ? null : InnerGetEodPrice(valueDate, n => n.UnderlyingCode == underlyingCode);
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}
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/// <summary>
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/// 获取债券某日日终价格，如果未找到返回null
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="underlyingCode"></param>
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/// <returns></returns>
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public static EodPrice GetBondPrice(DateTime valueDate, string underlyingCode)
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{
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using var db = DbContextFactory.GetYLDbContext();
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var bondPrice = db.china_bond_valuation.Where(x => x.bond_id == underlyingCode && x.valuation_date <= valueDate).OrderByDescending(o => o.credibility).ThenByDescending(o => o.valuation_date).FirstOrDefault();
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if (bondPrice == null)
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{
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return null;
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}
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return new EodPrice
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{
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Vobp = bondPrice.vobp,
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ValueDate = valueDate,
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UnderlyingCode = underlyingCode,
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// [Layer2-待统一] 债券映射口径：ClosePrice=全价(dirty_price_close)，SettlePrice=净价(net_price)。
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// 注意：这与 EodPriceProvider.Initialize 的映射【完全相反】(EodPriceProvider: ClosePrice=净价，SettlePrice=全价)。
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// 两处对"债券收盘价/结算价"的净全价定义不一致属历史遗留，请勿随意改动单侧，需业务先定调后统一（见 TryGetSettlementEodPrice 注释）。
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ClosePrice = Convert.ToDouble(BondPriceConverter.ToStorage(bondPrice.dirty_price_close)),
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SettlePrice = Convert.ToDouble(BondPriceConverter.ToStorage(bondPrice.net_price)),
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ReferencePrice = Convert.ToDouble(BondPriceConverter.ToStorage(bondPrice.yield))
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};
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}
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/// <summary>
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/// 获取中债估值最新价格
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="underlyingCode"></param>
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/// <returns></returns>
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public static ChinaBondValuation GetChinaBondPrice(DateTime valueDate, string underlyingCode)
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{
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using var db = DbContextFactory.GetYLDbContext();
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var bondPrice = db.china_bond_valuation.Where(x => x.bond_id == underlyingCode && x.valuation_date <= valueDate).OrderByDescending(o => o.credibility).ThenByDescending(o => o.valuation_date).FirstOrDefault();
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return bondPrice;
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}
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/// <summary>
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/// 获取债券借贷费率最新行情
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="underlyingSecurityId"></param>
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/// <returns></returns>
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public static eod_bond_lending_rate GetBondLendingRate(DateTime valueDate, string underlyingSecurityId)
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{
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if (string.IsNullOrWhiteSpace(underlyingSecurityId))
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{
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return null;
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}
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using var db = DbContextFactory.GetYLDbContext();
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return db.eod_bond_lending_rate
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.Where(x => x.UnderlyingSecurityId == underlyingSecurityId && x.ValueDate <= valueDate.Date)
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.OrderByDescending(x => x.ValueDate)
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.FirstOrDefault();
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}
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/// <summary>
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/// 尝试获取债券借贷费率最新行情
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="underlyingSecurityId"></param>
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/// <param name="bondLendingRate"></param>
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/// <returns></returns>
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public static bool TryGetBondLendingRate(DateTime valueDate, string underlyingSecurityId, out eod_bond_lending_rate bondLendingRate)
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{
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return (bondLendingRate = GetBondLendingRate(valueDate, underlyingSecurityId)) != null;
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}
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/// <summary>
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/// 获取标的收盘价格
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/// </summary>
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/// <param name="code">标的代码</param>
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/// <param name="settleDate">收盘日</param>
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/// <returns></returns>
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public static double UnderlyingCodePrice(string code, DateTime settleDate)
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{
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var data = DataCacheProvider.GetUnderlyingDataSource().GetData(code);
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if (data == null)
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{
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return 0;
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}
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if (data.IsBond())
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{
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var eodBondPrice = GetBondPrice(settleDate, code);
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return eodBondPrice?.ClosePrice ?? 0;
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}
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var price = data.Price ?? 0;
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if (TryGetEodPrice(settleDate, code, out var eodPrice))
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{
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price = eodPrice.GetPrice(SettlementTypeEnum.ClosePrice);
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}
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return price;
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}
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/// <summary>
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/// 获取标的某日的日终价,如果未找到返回null
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/// </summary>
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private static EodPrice InnerGetEodPrice(DateTime valueDate, Expression<Func<underlying_manager, bool>> umPredicate)
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{
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if (umPredicate is null)
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{
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return null;
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}
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valueDate = valueDate.Date;
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//传进来的可能是非交易日期
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valueDate = PS.Config.IsGuoJun ? QdpCalendarHelper.GetNonHolidayDefore(valueDate) : QdpCalendarHelper.GetNonHoliday(valueDate);
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using var db = DbContextFactory.GetYLDbContext();
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var umQuery = db.underlying_manager.Where(umPredicate)
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.Select(u => new UnderlyingDto
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{
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id = u.id,
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UnderlyingCode = u.UnderlyingCode,
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ValueDate = u.UnderlyingInstrumentType != ConsGlobal.InstrumentType.CommodityFutures || u.MaturityDate > valueDate || u.MaturityDate == null
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? valueDate : u.MaturityDate.Value
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});
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var eodQuery = from um in umQuery
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join epCommodity in db.eod_commodity_future_price
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on new { um.ValueDate, um.UnderlyingCode } equals new { ValueDate = epCommodity.ValueDate, UnderlyingCode = epCommodity.UnderlyingCode } into t_epCommodity
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from epCommodity in t_epCommodity.DefaultIfEmpty()
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join epStock in db.eod_stock_price
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on new { um.ValueDate, um.UnderlyingCode } equals new { ValueDate = epStock.ValueDate, UnderlyingCode = epStock.UnderlyingCode } into t_epStock
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from epStock in t_epStock.DefaultIfEmpty()
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select new
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{
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um.ValueDate,
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UnderlyingId = um.id,
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um.UnderlyingCode,
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unPrice1 = epCommodity == null ? null : new
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{
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epCommodity.ClosePrice,
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epCommodity.SettlePrice,
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epCommodity.ReferencePrice,
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epCommodity.HighPrice,
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epCommodity.LowPrice,
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},
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unPrice2 = epStock == null ? null : new
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{
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epStock.ClosePrice,
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SettlePrice = epStock.ClosePrice,
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ReferencePrice = epStock.ReferencePrice,
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epStock.HighPrice,
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epStock.LowPrice,
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epStock.UnderlyingStatus,
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}
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};
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//db.SetDebugLog();
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var data = eodQuery.FirstOrDefault();
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if (data != null)
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{
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if (data.unPrice1 != null)
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{
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var up = data.unPrice1;
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return new EodPrice
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{
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ValueDate = data.ValueDate,
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UnderlyingId = data.UnderlyingId,
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UnderlyingCode = data.UnderlyingCode,
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ClosePrice = up.ClosePrice,
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SettlePrice = up.SettlePrice,
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ReferencePrice = up.ReferencePrice,
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HighPrice = up.HighPrice,
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LowPrice = up.LowPrice
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};
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}
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else if (data.unPrice2 != null)
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{
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var up = data.unPrice2;
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return new EodPrice
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{
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IsStock = true,
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ValueDate = data.ValueDate,
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UnderlyingId = data.UnderlyingId,
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UnderlyingCode = data.UnderlyingCode,
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ClosePrice = up.ClosePrice,
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SettlePrice = up.SettlePrice,
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ReferencePrice = up.ReferencePrice,
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HighPrice = up.HighPrice,
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LowPrice = up.LowPrice,
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UnderlyingStatus = up.UnderlyingStatus
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};
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}
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}
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return null;
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}
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/// <summary>
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///
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/// </summary>
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/// <param name="unserialDates"></param>
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/// <param name="underlyingId"></param>
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/// <returns></returns>
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public static List<EodPrice> GetEodPriceByUnserialDates(List<DateTime> unserialDates, int underlyingId)
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{
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingId);
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if (um == null)
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{
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throw new ServiceException("未找到对应标的");
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}
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using var DbContext = DbContextFactory.GetYLDbContext();
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if (ConsGlobal.InstrumentType.IsStock(um.UnderlyingInstrumentType))
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{
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var query = from eod in DbContext.eod_stock_price
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where eod.UnderlyingCode == um.UnderlyingCode
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&& unserialDates.Contains(eod.ValueDate)
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select new EodPrice
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{
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ValueDate = eod.ValueDate,
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UnderlyingCode = eod.UnderlyingCode,
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ClosePrice = eod.ClosePrice,
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HighPrice = eod.HighPrice,
|
||
LowPrice = eod.LowPrice,
|
||
ReferencePrice = eod.ReferencePrice,
|
||
SettlePrice = eod.ClosePrice
|
||
};
|
||
|
||
return query.ToList();
|
||
}
|
||
else
|
||
{
|
||
var query = from eod in DbContext.eod_commodity_future_price
|
||
where eod.UnderlyingCode == um.UnderlyingCode
|
||
&& unserialDates.Contains(eod.ValueDate)
|
||
select new EodPrice
|
||
{
|
||
ValueDate = eod.ValueDate,
|
||
UnderlyingCode = eod.UnderlyingCode,
|
||
ClosePrice = eod.ClosePrice,
|
||
SettlePrice = eod.SettlePrice,
|
||
HighPrice = eod.HighPrice,
|
||
LowPrice = eod.LowPrice,
|
||
ReferencePrice = eod.ReferencePrice
|
||
};
|
||
return query.ToList();
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
///
|
||
/// </summary>
|
||
/// <param name="unserialDates"></param>
|
||
/// <param name="underlyingId"></param>
|
||
/// <returns></returns>
|
||
public static List<EodPrice> GetEodPriceByUnserialDateRange(DateTime startDate, DateTime valueDate, string underlyingCode, bool throwIfNotFoundUnderlying = false)
|
||
{
|
||
var um = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
|
||
|
||
if (um == null)
|
||
{
|
||
if (throwIfNotFoundUnderlying)
|
||
{
|
||
throw new ServiceException("未找到对应标的");
|
||
}
|
||
return new List<EodPrice>();
|
||
}
|
||
|
||
using var DbContext = DbContextFactory.GetYLDbContext();
|
||
if (ConsGlobal.InstrumentType.IsStock(um.UnderlyingInstrumentType))
|
||
{
|
||
var query = from eod in DbContext.eod_stock_price
|
||
where eod.UnderlyingCode == um.UnderlyingCode && eod.HighPrice.HasValue && eod.LowPrice.HasValue
|
||
&& eod.ValueDate >= startDate && eod.ValueDate <= valueDate
|
||
select new EodPrice
|
||
{
|
||
ValueDate = eod.ValueDate,
|
||
UnderlyingCode = eod.UnderlyingCode,
|
||
ClosePrice = eod.ClosePrice,
|
||
HighPrice = eod.HighPrice,
|
||
LowPrice = eod.LowPrice,
|
||
ReferencePrice = eod.ReferencePrice,
|
||
SettlePrice = eod.ClosePrice
|
||
};
|
||
|
||
return query.ToList();
|
||
}
|
||
else
|
||
{
|
||
var query = from eod in DbContext.eod_commodity_future_price
|
||
where eod.UnderlyingCode == um.UnderlyingCode && eod.HighPrice.HasValue && eod.LowPrice.HasValue
|
||
&& eod.ValueDate >= startDate && eod.ValueDate <= valueDate
|
||
select new EodPrice
|
||
{
|
||
ValueDate = eod.ValueDate,
|
||
UnderlyingCode = eod.UnderlyingCode,
|
||
ClosePrice = eod.ClosePrice,
|
||
SettlePrice = eod.SettlePrice,
|
||
HighPrice = eod.HighPrice,
|
||
LowPrice = eod.LowPrice,
|
||
ReferencePrice = eod.ReferencePrice
|
||
};
|
||
return query.ToList();
|
||
}
|
||
}
|
||
|
||
class UnderlyingDto
|
||
{
|
||
public int id { get; set; }
|
||
|
||
public string UnderlyingCode { get; set; }
|
||
|
||
public DateTime ValueDate { get; set; }
|
||
}
|
||
}
|
||
}
|