785 lines
46 KiB
C#
785 lines
46 KiB
C#
using BaseOUDAL;
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using YLErp.BLL;
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using YLErp.BLL.Eod;
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using YLErp.BLL.EodSettlement;
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using YLErp.Commons;
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using YLErp.Configuration;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Enums;
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using YLErp.Model;
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using YLErp.Model.Enum;
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using YLErp.Model.FinancialVoucherCreator;
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using YLErp.Models.Tag;
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using YLErp.Modules.EodModule;
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using YLErp.Modules.MarketRiskMoudule;
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using YLErp.Modules.MarketRiskMoudule.Dto;
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using YLErp.Modules.RiskExposure;
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using YLErp.Modules.RiskListModule;
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using YLErp.Modules.RiskModule;
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using YLErp.Modules.SuperviseReportModule.CFMMC2022.Service;
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using YLErp.Modules.TagModule;
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using YLErp.Modules.TradeModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.FinancialModule
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{
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/// <summary>
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/// 财务凭证服务
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/// </summary>
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public class FinancialVoucherService : YLBaseService
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{
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public FinancialVoucherService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 获取财务凭证
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/// </summary>
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public ReturnInfo<List<FinancialStatement>> GetFinancialStatements(FinancialStatementReq req)
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{
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var resultList = new List<FinancialStatement>();
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Task ExecuteAsync(Func<List<FinancialStatement>> func)
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{
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return Task.Run(func).ContinueWith(t =>
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{
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if (t.Result?.Count > 0)
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{
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lock (resultList)
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{
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resultList.AddRange(t.Result);
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}
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}
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});
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}
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var tasks = new Task[] {
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ExecuteAsync(GetDepositWithdraw),
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ExecuteAsync(GetAROrAPOptionFee),
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ExecuteAsync(GetMaturityInvestmentIncome),
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ExecuteAsync(GetTerminationInvestmentIncome),
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};
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Task.WaitAll(tasks);
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if (req.IsSamePeer.HasValue)
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{
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var isSamePeer = req.IsSamePeer.Value == SamePeerEnum.IsSamePeer.GetHashCode();
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resultList = resultList.Where(d => d.IsSamePeer == isSamePeer).ToList();
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}
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if (req.AbstractList?.Count > 0)
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{
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resultList = resultList.Where(f => req.AbstractList.Contains(f.AbstractTye)).ToList();
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}
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return Return.Success(resultList);
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}
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private bool IsSamePeer(int clientId)
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{
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using (var db = DbContextFactory.GetClientDbContext(OptUser))
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{
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var client = db.client.Where(n => n.id == clientId)
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.Select(n => new { n.CustomerNature }).FirstOrDefault();
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if (client == null)
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{
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return false;
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//throw new Exception($"id为{clientId}的客户不存在");
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}
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if (!client.CustomerNature.HasValue)
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{
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return false;
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}
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switch ((CustomerNatureEnum)client.CustomerNature)
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{
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case CustomerNatureEnum.证券公司:
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case CustomerNatureEnum.期货风险管理子公司:
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return true;
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default:
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return false;
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}
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}
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}
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/// <summary>
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/// 获取出入金凭证
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/// </summary>
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/// <returns></returns>
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public List<FinancialStatement> GetDepositWithdraw()
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{
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List<ClientCashInCashOut> cashInCashOutList;
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var resultList = new List<FinancialStatement>();
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using (var db = new YLContext())
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{
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cashInCashOutList = db.ClientCashInCashOut
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.Where(c => c.HappenDate == valuedateBLL.ValueDate &&
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(c.Direction == "出金" || c.Direction == "入金") && c.State == ClientCashInCashOut.已确认).ToList();
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}
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if (cashInCashOutList.Count == 0)
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{
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return resultList;
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}
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foreach (var clientCashInCashOut in cashInCashOutList)
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{
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var financialStatement =
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DepositWithdrawGenerator.GetFinancialStatement(IsSamePeer(clientCashInCashOut.ClientId.Value),
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clientCashInCashOut.ClientName, clientCashInCashOut.Money ?? 0,
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clientCashInCashOut.Direction == "出金");
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resultList.Add(financialStatement);
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}
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return resultList;
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}
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/// <summary>
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/// 获取应收应付期权费凭证
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/// </summary>
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public List<FinancialStatement> GetAROrAPOptionFee()
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{
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List<TradeExtends> tradeList;
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using (var db = new YLContext())
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{
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var valueDate = valuedateBLL.ValueDate;
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var query = from trade in db.trade
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join tradecash in db.trade_cash on trade.id equals tradecash.TradeId
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join confirmDoc in db.trade_contract_r.Where(aa => aa.Type == ContractTypeEnum.Trade && aa.IsValid)
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on new { id = trade.ParentTradeId > 0 ? trade.ParentTradeId : trade.id } equals new { id = confirmDoc.TradeId } into confirmDocT
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from confirmDoc in confirmDocT.DefaultIfEmpty()
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where
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tradecash.ValueDate == valueDate && tradecash.Action == ClientCashInCashOut.系统操作_期权费 &&
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tradecash.ValidState != ConsGlobal.InValid && !tradecash.IsDeleted && tradecash.Status == TradeCashStatusEnum.已执行
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select new TradeExtends
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{
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Id = trade.id,
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ClientId = trade.ClientId,
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ClientName = trade.ClientName,
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BuySell = trade.BuySell,
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ContractCode = confirmDoc.ContractCode,
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OptionFee = tradecash.Amount
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};
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tradeList = query.ToList();
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}
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var resultList = new List<FinancialStatement>();
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foreach (var trade in tradeList)
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{
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var financilaStatement = AROrAPOptionFeeGenerator.GetFinancialStatement(
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IsSamePeer(trade.ClientId.Value),
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trade.ClientName, trade.BuySell == "买入", trade.ContractCode, trade.OptionFee ?? 0);
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resultList.Add(financilaStatement);
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}
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return resultList;
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}
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/// <summary>
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/// 获取到期投资收益凭证
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/// </summary>
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public List<FinancialStatement> GetMaturityInvestmentIncome()
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{
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List<TradeExtends> tradeList;
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var expiredStatus = ConsTrade.已到期;
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var exerciseStatus = ConsTrade.已执行;
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using (var db = new YLContext())
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{
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var valueDate = valuedateBLL.ValueDate;
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var query = from trade in db.trade
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join tradecash in db.trade_cash
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on new { tradeId = trade.id, tradeDate = trade.PremiumPayDate ?? trade.TradeDate ?? DateTime.Now } equals new { tradeId = tradecash.TradeId, tradeDate = tradecash.ValueDate } into tradecashT
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from tradecash in tradecashT.DefaultIfEmpty()
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join tradecashStrike in db.trade_cash on trade.id equals tradecashStrike.TradeId into
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tradecashStrikeT
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from tradecashStrike in tradecashStrikeT.DefaultIfEmpty()
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join confirmDoc in
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db.trade_contract_r.Where(aa => aa.Type == ContractTypeEnum.Trade && aa.IsValid)
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on new { id = trade.ParentTradeId > 0 ? trade.ParentTradeId : trade.id } equals new { id = confirmDoc.TradeId } into confirmDocT
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from confirmDoc in confirmDocT.DefaultIfEmpty()
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where tradecashStrike.ValueDate == valueDate &&
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tradecashStrike.Action == ClientCashInCashOut.系统操作_行权费 &&
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tradecashStrike.ValidState != ConsGlobal.InValid && !tradecashStrike.IsDeleted &&
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tradecashStrike.Status == TradeCashStatusEnum.已执行 && trade.TradeStatus == exerciseStatus
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&& tradecash.Action == ClientCashInCashOut.系统操作_期权费 && tradecash.ValidState != ConsGlobal.InValid && !tradecash.IsDeleted &&
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tradecash.Status == TradeCashStatusEnum.已执行
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select new TradeExtends
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{
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Id = trade.id,
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ClientId = trade.ClientId,
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ClientName = trade.ClientName,
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BuySell = trade.BuySell,
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ContractCode = confirmDoc.ContractCode,
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OptionFee = tradecash.Amount,
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StrikeFee = tradecashStrike.Amount
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};
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query = query.Union(from trade in db.trade
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join tradecash in db.trade_cash
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on new { tradeId = trade.id, tradeDate = trade.PremiumPayDate ?? trade.TradeDate ?? DateTime.Now } equals new { tradeId = tradecash.TradeId, tradeDate = tradecash.ValueDate } into tradecashT
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from tradecash in tradecashT.DefaultIfEmpty()
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join confirmDoc in db.trade_contract_r.Where(aa => aa.Type == ContractTypeEnum.Trade && aa.IsValid)
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on new { id = trade.ParentTradeId > 0 ? trade.ParentTradeId : trade.id } equals new { id = confirmDoc.TradeId } into confirmDocT
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from confirmDoc in confirmDocT.DefaultIfEmpty()
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where trade.TradeStatus == expiredStatus && trade.UnWindDate == valueDate && !tradecash.IsDeleted
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&& tradecash.Action == ClientCashInCashOut.系统操作_期权费 && tradecash.ValidState != ConsGlobal.InValid &&
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tradecash.Status == TradeCashStatusEnum.已执行
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select new TradeExtends
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{
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Id = trade.id,
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ClientId = trade.ClientId,
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ClientName = trade.ClientName,
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BuySell = trade.BuySell,
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ContractCode = confirmDoc.ContractCode,
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OptionFee = tradecash.Amount,
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StrikeFee = 0
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});
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tradeList = query.ToList();
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}
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var resultList = new List<FinancialStatement>();
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foreach (var trade in tradeList)
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{
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var financilaStatement = MaturityInvestmentIncomeGenerator.GetFinancialStatement(
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IsSamePeer(trade.ClientId.Value),
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trade.ClientName, trade.BuySell == "买入", trade.ContractCode, trade.StrikeFee.HasValue,
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trade.OptionFee ?? 0, trade.StrikeFee ?? 0);
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resultList.Add(financilaStatement);
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}
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return resultList;
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}
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/// <summary>
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/// 获取提前终止投资收益凭证
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/// </summary>
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/// <returns></returns>
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public List<FinancialStatement> GetTerminationInvestmentIncome()
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{
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List<TradeExtends> tradeList;
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var unwindStatus = ConsTrade.已平仓;
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using (var db = new YLContext())
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{
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var valueDate = valuedateBLL.ValueDate;
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var query = from trade in db.trade
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join tradecash in db.trade_cash
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on new { tradeId = trade.id, tradeDate = trade.PremiumPayDate ?? trade.TradeDate ?? DateTime.Now } equals new { tradeId = tradecash.TradeId, tradeDate = tradecash.ValueDate } into tradecashT
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from tradecash in tradecashT.DefaultIfEmpty()
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join tradecashUnwind in db.trade_cash on trade.id equals tradecashUnwind.TradeId into
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tradecashUnwindT
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from tradecashUnwind in tradecashUnwindT.DefaultIfEmpty()
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join confirmDoc in db.trade_contract_r.Where(aa => aa.Type == ContractTypeEnum.Trade && aa.IsValid)
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on new { id = trade.ParentTradeId > 0 ? trade.ParentTradeId : trade.id } equals new { id = confirmDoc.TradeId } into confirmDocT
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from confirmDoc in confirmDocT.DefaultIfEmpty()
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where tradecashUnwind.ValueDate == valueDate &&
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tradecashUnwind.Action == ClientCashInCashOut.系统操作_平仓费 &&
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tradecashUnwind.ValidState != ConsGlobal.InValid && !tradecashUnwind.IsDeleted && tradecashUnwind.Status == TradeCashStatusEnum.已执行
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&& tradecash.Action == ClientCashInCashOut.系统操作_期权费 && tradecash.ValidState != ConsGlobal.InValid && !tradecash.IsDeleted &&
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tradecash.Status == TradeCashStatusEnum.已执行 && trade.TradeStatus == unwindStatus
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select new TradeExtends
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{
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Id = trade.id,
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ClientId = trade.ClientId,
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ClientName = trade.ClientName,
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BuySell = trade.BuySell,
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ContractCode = confirmDoc.ContractCode,
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OptionFee = tradecash.Amount,
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UnwindFee = tradecashUnwind.Amount
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};
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tradeList = query.ToList();
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}
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var resultList = new List<FinancialStatement>();
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foreach (var trade in tradeList)
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{
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var financilaStatement = TerminationInvestmentIncomeGenerator.GetFinancialStatement(
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IsSamePeer(trade.ClientId.Value),
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trade.ClientName, trade.BuySell == "买入", trade.ContractCode, trade.OptionFee ?? 0,
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trade.UnwindFee ?? 0);
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resultList.Add(financilaStatement);
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}
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return resultList;
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}
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/// <summary>
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/// 广发定制的财务汇总数据查询
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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public List<FinancialSummaryOptionModel> FinancialSummary_Option_GF(FinancialSummaryModelReq req)
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{
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//默认值查询场外期权的交易
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if (req.TradeTypeList == null || req.TradeTypeList.Count == 0)
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{
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switch (req.SummaryType)
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{
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case "远期/掉期":
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req.TradeTypeList = new List<string> { "远期" };
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break;
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case "互换":
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req.TradeTypeList = new List<string> { "收益互换" };
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break;
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case "场外期权":
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default:
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req.SummaryType = "场外期权";
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req.TradeTypeList = ConsTrade.OptionTradeTypes;
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break;
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}
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}
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var contractBLL = new TradeDocumentService(UserInfo);
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var modelList = new List<FinancialSummaryModelBase>();
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var searchTradeList = tradeBLL.SearchOptionTrade_GF(req);
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var tradeIds = searchTradeList.Select(O => O.TradeId).ToList();
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var parentTradeIds = searchTradeList.Select(x => x.ParentTradeId).ToHashSet();
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var parentTrades = DbContext.trade.Where(x => parentTradeIds.Contains(x.id)).ToDictionary(n => n.id);
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var lastDate = QdpCalendarHelper.GetNonHolidayDefore(req.CurrentPeriodDateStart.AddDays(-1));
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var currentDate = QdpCalendarHelper.GetNonHolidayDefore(req.CurrentPeriodDateEnd);
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var positionReq = new EodTradePositionReq
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{
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ValueDateStart = lastDate,
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ValueDateEnd = currentDate,
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TraderIds = string.Join(",", tradeIds)
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};
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List<EodTradePosition> positions = null;
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positions = new EodTradePositionBLL().SearchList<eod_trade_position_s>(positionReq)?.rows.Select(O => (EodTradePosition)O).ToList();
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Dictionary<int, List<TagDto>> clientTagList = null;
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if (searchTradeList != null && searchTradeList.Any())
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{
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using (var tagService = new TagService(OptUser))
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{
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clientTagList = tagService.GetTagByClientIds(searchTradeList.Select(p => p.ClientId).Distinct().ToList());
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}
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}
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if (clientTagList == null)
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{
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clientTagList = new Dictionary<int, List<TagDto>>();
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}
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List<EodTradePosition> position = new List<EodTradePosition>();
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Dictionary<int, EodTradeRisk> riskDict = new Dictionary<int, EodTradeRisk>();
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var futureDict = position.GroupBy(O => O.UnderlyingCode).ToDictionary(K => K.Key, V => (double)V.ToList().Sum(O => O.PositionPnL));
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var feeDict = position.GroupBy(O => O.UnderlyingCode).ToDictionary(K => K.Key, V => (double)V.ToList().Sum(O => O.Commission));
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foreach (var item in searchTradeList)
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{
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if (parentTrades.TryGetValue(item.ParentTradeId, out var parentTrade))
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{
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item.TradeNumber = parentTrade.TradeNumber;
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}
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double percent = 1;
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double? lastPv = positions.FindAll(O => O.TradeId == item.TradeId && O.ValueDate == lastDate).Sum(O => O.Amount == 0 ? 0 : Convert.ToDouble(O.Pv) / O.Amount);
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double? lastPnl = positions.FindAll(O => O.TradeId == item.TradeId && O.ValueDate == lastDate).Sum(O => O.Amount == 0 ? 0 : Convert.ToDouble(O.PositionPnL) / O.Amount);
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double? pv = positions.FindAll(O => O.TradeId == item.TradeId && O.ValueDate == currentDate).Sum(O => O.Amount == 0 ? 0 : Convert.ToDouble(O.Pv) / O.Amount);
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double? Pnl = positions.FindAll(O => O.TradeId == item.TradeId && O.ValueDate == currentDate).Sum(O => O.Amount == 0 ? 0 : Convert.ToDouble(O.PositionPnL) / O.Amount);
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item.LastPv = lastPv * item.Notional;//上期期末市值;
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item.LastTotalPnl = lastPnl * item.Notional;//上期末累计浮动盈亏;
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item.Pv = pv * item.Notional;//本期期末市值;
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item.TotalPnl = Pnl * item.Notional;//本期末累计浮动盈亏;
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if (item.TradeDate >= req.CurrentPeriodDateStart)
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{ item.LastTotalPnl = 0; }
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if (item.UnderlyingCode != null)
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{
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item.FuturePnl = futureDict.ContainsKey(item.UnderlyingCode) ? futureDict[item.UnderlyingCode] * percent : 0;//期货盈亏(结算价);
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item.ServiceFee = feeDict.ContainsKey(item.UnderlyingCode) ? feeDict[item.UnderlyingCode] * percent : 0;//期货手续费;
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item.CountRatio = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode).CountRatio;
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}
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else
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{
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item.FuturePnl = 0;//期货盈亏(结算价);
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item.ServiceFee = 0;//期货手续费;
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item.CountRatio = 1;
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}
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item.DailyPnL = positions.FindAll(O => O.TradeId == item.TradeId && O.ValueDate == currentDate).Sum(O => O.DailyPnL);
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item.FinancialEntry = null;//财务入账;
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var SpotPrice = DbContext.trade.Where(l => l.id == item.TradeId).FirstOrDefault()?.SpotPrice;
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item.SurvivingNominalPrincipal = item.PositionAmount * SpotPrice;
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//拼装标签值
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if (clientTagList.ContainsKey(item.ClientId))
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{
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item.Tags = clientTagList[item.ClientId];
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item.OutputTags = TagService.GetOutputTagsStr(item.Tags);
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}
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}
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return searchTradeList;
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}
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/// <summary>
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/// 汇总客户数据
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/// </summary>
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public List<FinancialSummaryOptionModel> GatherClientData(FinancialSummaryModelReq req)
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{
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//反回表格数据（明细 小计 合计 ）
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List<FinancialSummaryOptionModel> rowSummaryOptionModels = new List<FinancialSummaryOptionModel>();
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//明细数据
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var financialSummaryOptionDetails = FinancialSummary_Option_GF(req);
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//小计数据
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var reqSubTotle = new FinancialSummaryModelReq() { SummaryType = req.SummaryType, TradeTypeList = req.TradeTypeList, CurrentPeriodDateStart = req.CurrentPeriodDateStart, CurrentPeriodDateEnd = req.CurrentPeriodDateEnd, ClientIds = req.ClientIds };
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var financialSummaryOptionSubtotal = FinancialSummary_Option_GF(reqSubTotle);
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if (financialSummaryOptionDetails != null && financialSummaryOptionDetails.Any())
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||
{
|
||
//小计【可用资金（财务）】= 【期末结存（财务）】-预付金占用 + 冻结资金 、【期末结存（财务）】 = 出入金净额 + 成交了结收支
|
||
var financialSummaryOptionModels = financialSummaryOptionDetails.GroupBy(l => new { l.ClientId, l.ClientFullName }).Select(l => l.Key).ToList();
|
||
var clientCashs = ClientBalanceUtility.GetClientBanlances(financialSummaryOptionModels.Select(l => l.ClientId).ToList(), req.CurrentPeriodDateEnd, req.CurrentPeriodDateEnd, false, true, false);
|
||
|
||
List<FinancialSummaryOptionModel> optionModelsSubtotal = new List<FinancialSummaryOptionModel>();
|
||
var tcQuery = new YLContext().trade_cash.Where(O => !O.IsDeleted && O.ValidState != ConsGlobal.InValid);
|
||
financialSummaryOptionModels.ForEach(l =>
|
||
{
|
||
//查询明细是否有该客户数据，如果没有就不需要小计
|
||
var financialSummaryOptionDetailsByClient = financialSummaryOptionDetails.Where(x => x.ClientId == l.ClientId);
|
||
|
||
if (financialSummaryOptionDetailsByClient != null && financialSummaryOptionDetailsByClient.Any())
|
||
{
|
||
var financialSummaryOptionModelsByClient = financialSummaryOptionSubtotal.Where(r => r.ClientId == l.ClientId);
|
||
|
||
FinancialSummaryOptionModel summaryOptionModel = CreateFinancialSummaryOptionClientModel(req, l.ClientId, " 小计：" + l.ClientFullName, "无状态", financialSummaryOptionModelsByClient.ToList(), tcQuery);
|
||
var clientCashsByClientId = clientCashs.Where(c => c.ClientId == l.ClientId).FirstOrDefault();
|
||
if (clientCashsByClientId != null)
|
||
{
|
||
//可用资金（财务） clientCashsByClientId.AvailableCash
|
||
summaryOptionModel.AvailableCash = clientCashsByClientId.AvailableAmount;
|
||
//期末结存（财务） clientCashsByClientId.EndBalance;
|
||
summaryOptionModel.EndBalance = clientCashsByClientId.AmountFund;
|
||
}
|
||
financialSummaryOptionDetailsByClient.ToList().ForEach(l =>
|
||
{
|
||
l.StatusStr = l.Status ? "完结" : "未完结";
|
||
l.ConfirmTotlePnl = l.ConfirmPnl;
|
||
l.GF_Pnl = l.Pnl;
|
||
});
|
||
rowSummaryOptionModels.AddRange(financialSummaryOptionDetailsByClient);
|
||
rowSummaryOptionModels.Add(summaryOptionModel);
|
||
optionModelsSubtotal.Add(summaryOptionModel);
|
||
}
|
||
});
|
||
FinancialSummaryOptionModel summaryOptionModel = CreateFinancialSummaryOptionClientModel(req, 0, " 合计：", "无状态", financialSummaryOptionDetails, tcQuery);
|
||
summaryOptionModel.AvailableCash = optionModelsSubtotal.Sum(f => f.AvailableCash);
|
||
summaryOptionModel.EndBalance = optionModelsSubtotal.Sum(f => f.EndBalance);
|
||
rowSummaryOptionModels.Add(summaryOptionModel);
|
||
}
|
||
return rowSummaryOptionModels;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 汇总簿记数据
|
||
/// </summary>
|
||
public List<FinancialSummaryOptionModel> GatherUnitData(FinancialSummaryModelReq req)
|
||
{
|
||
var startDate = QdpCalendarHelper.GetNonHolidayDefore(req.CurrentPeriodDateStart.AddDays(-1));
|
||
var TotalPnls = CaclTotalPnl(req.CurrentPeriodDateStart, req.CurrentPeriodDateEnd, out List<T2PositionDataDto> t2);
|
||
//场内
|
||
List<FinancialSummaryOptionModel> financialSummaryExchanges = new List<FinancialSummaryOptionModel>();
|
||
using (YLContext ylContext = new YLContext())
|
||
{
|
||
|
||
var exchangList = (from eodtrade in ylContext.eod_trade_position_s
|
||
join exchangeOption in ylContext.exchange_list_option on eodtrade.ExchangeOptionCode equals exchangeOption.ContractCode
|
||
into exchangeOptionT
|
||
from exchangeOption in exchangeOptionT.DefaultIfEmpty()
|
||
where eodtrade.TradeId == 0 && !string.IsNullOrEmpty(eodtrade.HedgeUniqueCode)
|
||
&& (startDate <= eodtrade.ValueDate && req.CurrentPeriodDateEnd >= eodtrade.ValueDate)
|
||
select new
|
||
{
|
||
eodtrade.HedgeUniqueCode,
|
||
eodtrade.ExchangeOptionCode,
|
||
eodtrade.ValueDate,
|
||
eodtrade.BookId,
|
||
eodtrade.UnderlyingCode,
|
||
eodtrade.DailyPnL,
|
||
eodtrade.Commission,
|
||
eodtrade.PositionPnL,
|
||
eodtrade.RealizedPnL,
|
||
eodtrade.Pv,
|
||
eodtrade.Amount,
|
||
eodtrade.TotalPnL,
|
||
//ContractSize = DataCacheProvider.GetUnderlyingDataSource().GetData(eodtrade.UnderlyingCode).ContractSize,
|
||
Strike = eodtrade.TradeType == "场内期权" ? exchangeOption.Strike : 0,
|
||
}).ToList();
|
||
if (req.UserAssets != null && req.UserClients != null)
|
||
{
|
||
exchangList = exchangList.Where(a => req.UserAssets.Contains(a.BookId)).ToList();
|
||
}
|
||
if (req.BookIds != null && req.BookIds.Any())
|
||
{
|
||
exchangList = exchangList.Where(a => req.BookIds.Contains(a.BookId)).ToList();
|
||
}
|
||
if (!string.IsNullOrEmpty(req.VarietyCode))
|
||
{
|
||
var reqUnderlyingCodes = ylContext.underlying_manager.AsNoTracking().Where(l => l.CommodityCode == req.VarietyCode).Select(l => l.UnderlyingCode).ToList();
|
||
exchangList = exchangList.Where(a => reqUnderlyingCodes.Contains(a.UnderlyingCode)).ToList();
|
||
}
|
||
if (!string.IsNullOrEmpty(req.VarietyName))
|
||
{
|
||
var reqUnderlyingCodes = ylContext.underlying_manager.AsNoTracking().Where(l => l.CommodityCode == req.VarietyName).Select(l => l.UnderlyingCode).ToList();
|
||
exchangList = exchangList.Where(a => reqUnderlyingCodes.Contains(a.UnderlyingCode)).ToList();
|
||
}
|
||
var exchangListByHedgeUniqueCode = exchangList.GroupBy(l => new { l.ExchangeOptionCode, l.HedgeUniqueCode }).ToList();
|
||
|
||
foreach (var item in exchangListByHedgeUniqueCode)
|
||
{
|
||
|
||
var code = item.Key.ExchangeOptionCode;
|
||
if (string.IsNullOrWhiteSpace(code))
|
||
{
|
||
|
||
code = item.Key.HedgeUniqueCode;
|
||
}
|
||
else
|
||
{
|
||
if (financialSummaryExchanges.Where(l => l.ExchangeCode == code).Any())
|
||
{
|
||
continue;
|
||
}
|
||
}
|
||
var exchangListFirst = exchangList.Where(l => (l.ExchangeOptionCode == code || l.HedgeUniqueCode == code)).FirstOrDefault();
|
||
|
||
var exchangListEndDate = exchangList.Where(l => (l.ExchangeOptionCode == code || l.HedgeUniqueCode == code) && l.ValueDate == req.CurrentPeriodDateEnd);
|
||
var exchangListStartDate = exchangList.Where(l => (l.ExchangeOptionCode == code || l.HedgeUniqueCode == code) && l.ValueDate == startDate);
|
||
FinancialSummaryOptionModel financialSummaryOption = new FinancialSummaryOptionModel()
|
||
{
|
||
AssetId = exchangListFirst.BookId,
|
||
ExchangeCode = string.IsNullOrWhiteSpace(exchangListFirst.ExchangeOptionCode) ? exchangListFirst.HedgeUniqueCode : exchangListFirst.ExchangeOptionCode,
|
||
AssetBookName = DataCacheProvider.GetAssetUnitDataSource().GetData(exchangListFirst.BookId).Name,
|
||
VarietyCode = DataCacheProvider.GetVariety(exchangListFirst.UnderlyingCode).VarietyCode,
|
||
PositionAmount = exchangListEndDate.Any() ? Math.Abs(exchangListEndDate.Sum(l => l.Amount)) : 0,
|
||
PositionLots = exchangListEndDate.Any() ? (Math.Abs(exchangListEndDate.Sum(l => l.Amount)) / DataCacheProvider.GetUnderlyingDataSource().GetData(exchangListEndDate.FirstOrDefault().UnderlyingCode).ContractSize) : 0,
|
||
StockEqvNotional3 = exchangListEndDate.Any() ? (exchangListEndDate.Sum(l => Math.Abs(l.Strike * l.Amount))) : 0,
|
||
ClearPrice = 0,
|
||
ConfirmTotlePnl = exchangListEndDate.Any() ? exchangListEndDate.Sum(l => l.RealizedPnL) : 0,
|
||
Pv = exchangListEndDate.Any() ? exchangListEndDate.Sum(l => l.Pv) : 0,
|
||
LastPv = exchangListStartDate.Any() ? exchangListStartDate.Sum(l => l.Pv) : 0,
|
||
TotalPnl = exchangListEndDate.Any() ? exchangListEndDate.Sum(l => l.PositionPnL) : 0,
|
||
LastTotalPnl = exchangListStartDate.Any() ? exchangListStartDate.Sum(l => l.PositionPnL) : 0,
|
||
GF_Pnl = (exchangListEndDate.Any() ? exchangListEndDate.Sum(l => l.PositionPnL) : 0) - (exchangListStartDate.Any() ? exchangListStartDate.Sum(l => l.PositionPnL) : 0),
|
||
ServiceFee = exchangListEndDate.Any() ? exchangListEndDate.Sum(l => l.Commission) : 0,
|
||
DailyPnL = exchangListEndDate.Any() ? exchangListEndDate.Sum(l => l.DailyPnL) : 0,
|
||
NewTotalPnl = TotalPnls.Where(l => exchangList.Where(l => (l.ExchangeOptionCode == code || l.HedgeUniqueCode == code)).Select(l => l.HedgeUniqueCode).Contains(l.HedgeUniqueCode)).Sum(l => l.AccruedTotalPnL),
|
||
};
|
||
financialSummaryExchanges.Add(financialSummaryOption);
|
||
}
|
||
}
|
||
// financialSummaryOptions.GroupBy()
|
||
|
||
//反回表格数据（明细 小计 合计 ）
|
||
List<FinancialSummaryOptionModel> rowSummaryOptionModels = new List<FinancialSummaryOptionModel>();
|
||
//场外所有明细数据
|
||
req.TradeTypeList = new List<string>() { "收益互换", "远期" }.Concat(ConsTrade.OptionTradeTypes).ToList();
|
||
var financialSummaryOptionDetails = FinancialSummary_Option_GF(req);
|
||
//场外+场内
|
||
var financialSummaryOptionAll = financialSummaryOptionDetails.Concat(financialSummaryExchanges).ToList();
|
||
var tcQuery = new YLContext().trade_cash.Where(O => !O.IsDeleted && O.ValidState != ConsGlobal.InValid);
|
||
//转换簿记维度
|
||
var financialSummaryOptionUnitDetails = CreateUnitDate(req, financialSummaryOptionAll, tcQuery, TotalPnls);
|
||
//小计数据
|
||
//var reqSubTotle = new FinancialSummaryModelReq() { SummaryType = req.SummaryType, TradeTypeList = req.TradeTypeList, CurrentPeriodDateStart = req.CurrentPeriodDateStart, CurrentPeriodDateEnd = req.CurrentPeriodDateEnd, ClientIds = req.ClientIds };
|
||
//var financialSummaryOptionSubtotal = FinancialSummary_Option_GF(reqSubTotle);
|
||
//转换簿记维度
|
||
//var financialSummaryOptionUnitSubtotal = CreateUnitDate(req, financialSummaryOptionSubtotal, tcQuery);
|
||
if (financialSummaryOptionUnitDetails != null && financialSummaryOptionUnitDetails.Any())
|
||
{
|
||
//小计【当日期货盈亏】、【累计总盈亏】
|
||
var financialSummaryOptionModels = financialSummaryOptionUnitDetails.GroupBy(l => new { l.AssetId }).Select(l => new { l.Key, AssetBookName = l.FirstOrDefault().AssetBookName, VarietyCode = l.FirstOrDefault().VarietyCode }).ToList();
|
||
|
||
List<FinancialSummaryOptionModel> optionModelsSubtotal = new List<FinancialSummaryOptionModel>();
|
||
financialSummaryOptionModels.ForEach(l =>
|
||
{
|
||
//查询明细是否有该簿记数据，如果没有就不需要小计
|
||
var financialSummaryOptionDetailsByAsset = financialSummaryOptionUnitDetails.Where(x => x.AssetId == l.Key.AssetId);
|
||
|
||
if (financialSummaryOptionDetailsByAsset != null && financialSummaryOptionDetailsByAsset.Any())
|
||
{
|
||
FinancialSummaryOptionModel summaryOptionModel = CreateFinancialSummaryOptionUnitModel(l.Key.AssetId, " 小计：" + l.AssetBookName, l.VarietyCode, financialSummaryOptionDetailsByAsset.ToList(), tcQuery);
|
||
|
||
rowSummaryOptionModels.AddRange(financialSummaryOptionDetailsByAsset);
|
||
rowSummaryOptionModels.Add(summaryOptionModel);
|
||
optionModelsSubtotal.Add(summaryOptionModel);
|
||
}
|
||
});
|
||
FinancialSummaryOptionModel summaryOptionModel = CreateFinancialSummaryOptionUnitModel(0, " 合计：", "", financialSummaryOptionUnitDetails, tcQuery);
|
||
rowSummaryOptionModels.Add(summaryOptionModel);
|
||
}
|
||
return rowSummaryOptionModels;
|
||
}
|
||
|
||
private List<FinancialSummaryOptionModel> CreateUnitDate(FinancialSummaryModelReq req, List<FinancialSummaryOptionModel> financialSummaryOptionDetails, IQueryable<trade_cash> tcQuery, List<TradePositionTotalPnLModel> totalPnls)
|
||
{
|
||
var tradeTypes = new List<string> { "雪球期权", "凤凰期权", "区间累积期权" };
|
||
//(trade.OriginalNotional ?? 0) / contractSize
|
||
var parentIds = financialSummaryOptionDetails.Where(l => l.ParentTradeId > 0).GroupBy(l => l.ParentTradeId).Select(l => l.Key).ToList();
|
||
var FSOModelsGourpByClientByTradeId = financialSummaryOptionDetails.Where(l => !parentIds.Contains(l.TradeId)&& l.TradeId != 0).GroupBy(f => f.TradeId).Select(f => new
|
||
FinancialSummaryOptionModel
|
||
{
|
||
TradeId = f.Key,
|
||
AssetId = f.FirstOrDefault().AssetId,
|
||
AssetBookName = f.FirstOrDefault().AssetBookName,
|
||
VarietyCode = f.FirstOrDefault().VarietyCode,
|
||
PositionAmount = f.Any(c => c.Status == false) ? f.Sum(c => c.PositionAmount) : 0,
|
||
PositionLots = f.Any(c => c.Status == false) ? f.Sum(c => c.PositionAmount / c.ContractSize) : 0,
|
||
StockEqvNotional3 = f.FirstOrDefault().StockEqvNotional3,
|
||
TradePrice = f.Sum(v => v.TradePrice),
|
||
ClearPrice = f.Any(c => c.Status == false) ? f.Sum(v => v.ClearPrice) : f.Sum(v => v.ClearPrice) + (f.Sum(v => tradeTypes.Contains(v.TradeType) ? tcQuery.Where(O => O.TradeId == f.Key && O.ValueDate >= req.CurrentPeriodDateStart && O.ValueDate <= req.CurrentPeriodDateEnd && O.Action == "系统操作-票息").Sum(O => (double?)O.Amount) : 0)),
|
||
ConfirmTotlePnl = f.Sum(v => v.ConfirmPnl ?? 0),
|
||
LastPv = f.Any(c => c.Status == false) ? f.Sum(f => f.LastPv) : 0,
|
||
LastTotalPnl = f.Any(c => c.Status == false) ? f.Sum(f => (f.LastTotalPnl ?? 0)) : 0,
|
||
Pv = f.Any(c => c.Status == false) ? f.Sum(f => f.Pv) : 0,
|
||
TotalPnl = f.Any(c => c.Status == false) ? f.Sum(f => f.TotalPnl) : 0,
|
||
GF_Pnl = f.Any(c => c.Status == false) ? f.Sum(f => f.Pnl) : 0,
|
||
DailyPnL = f.FirstOrDefault().DailyPnL,
|
||
ServiceFee = f.Sum(l => l.ServiceFee),
|
||
NewTotalPnl = totalPnls.Where(c => c.TradeId == f.Key).FirstOrDefault()?.AccruedTotalPnL,
|
||
}).Concat(financialSummaryOptionDetails.Where(l => l.TradeId == 0));
|
||
var FSOModelsGourpByClientByAsset = (FSOModelsGourpByClientByTradeId.GroupBy(l => new { l.AssetId, l.AssetBookName, l.VarietyCode }).Select(
|
||
l => new FinancialSummaryOptionModel
|
||
{
|
||
AssetId = l.Key.AssetId,
|
||
AssetBookName = l.Key.AssetBookName,
|
||
VarietyCode = l.Key.VarietyCode,
|
||
PositionAmount = l.Sum(v => v.PositionAmount),
|
||
PositionLots = l.Sum(v => v.PositionLots),
|
||
StockEqvNotional3 = l.FirstOrDefault().StockEqvNotional3,
|
||
TradePrice = l.Sum(v => v.TradePrice),
|
||
ClearPrice = l.Sum(v => v.ClearPrice),
|
||
ConfirmTotlePnl = l.Sum(v => v.ConfirmTotlePnl??0),
|
||
LastPv = l.Sum(f => f.LastPv),
|
||
LastTotalPnl = l.Sum(f => f.LastTotalPnl),
|
||
Pv = l.Sum(f => f.Pv),
|
||
TotalPnl = l.Sum(f => f.TotalPnl),
|
||
GF_Pnl = l.Sum(f => f.GF_Pnl),
|
||
ServiceFee = l.Sum(f => f.ServiceFee),
|
||
DailyPnL = l.Sum(f => f.DailyPnL),
|
||
NewTotalPnl = l.Sum(f => f.NewTotalPnl),
|
||
})).ToList();
|
||
return FSOModelsGourpByClientByAsset;
|
||
}
|
||
|
||
public FinancialSummaryOptionModel CreateFinancialSummaryOptionClientModel(FinancialSummaryModelReq req, int clientId, string ClientFullName, string StatusStr, List<FinancialSummaryOptionModel> financialSummaryOptionModelsByClient, IQueryable<trade_cash> trade_Cashes)
|
||
{
|
||
var tradeTypes = new List<string> { "雪球期权", "凤凰期权", "区间累积期权" };
|
||
var parentIds = financialSummaryOptionModelsByClient.Where(l=>l.ParentTradeId>0).GroupBy(l => l.ParentTradeId).Select(l=>l.Key).ToList();
|
||
//场外期权每个客户，同交易id
|
||
var FSOModelsGourpByClientByTradeId = financialSummaryOptionModelsByClient.Where(l=> !parentIds.Contains(l.TradeId)).GroupBy(f => f.TradeId).Select(f => new
|
||
{
|
||
f.Key,
|
||
StockEqvNotional3 = f.FirstOrDefault().StockEqvNotional3,
|
||
TradePrice = f.Sum(v => v.TradePrice),
|
||
ClearPrice = f.Any(c => c.Status == false) ? f.Sum(v => v.ClearPrice) : f.Sum(v => v.ClearPrice) + (f.Sum(v => tradeTypes.Contains(v.TradeType) ? trade_Cashes.Where(O => O.TradeId == f.Key && O.ValueDate >= req.CurrentPeriodDateStart && O.ValueDate <= req.CurrentPeriodDateEnd && O.Action == "系统操作-票息").Sum(O => (double?)O.Amount) : 0)),
|
||
ConfirmTotlePnl = f.Sum(v => v.ConfirmPnl ?? 0),
|
||
LastPv = f.Any(c => c.Status == false) ? f.Sum(f => f.LastPv) : 0,
|
||
LastTotalPnl = f.Any(c => c.Status == false) ? f.Sum(f => (f.LastTotalPnl ?? 0)) : 0,
|
||
Pv = f.Any(c => c.Status == false) ? f.Sum(f => f.Pv) : 0,
|
||
TotalPnl = f.Any(c => c.Status == false) ? f.Sum(f => f.TotalPnl) : 0,
|
||
GF_Pnl = f.Sum(f => f.Pnl ?? 0),
|
||
});
|
||
FinancialSummaryOptionModel summaryOptionModel = new FinancialSummaryOptionModel();
|
||
summaryOptionModel.ClientId = clientId;
|
||
summaryOptionModel.ClientFullName = ClientFullName;
|
||
summaryOptionModel.StatusStr = StatusStr;
|
||
summaryOptionModel.OptionType = StatusStr;
|
||
//名义本金
|
||
summaryOptionModel.StockEqvNotional3 = FSOModelsGourpByClientByTradeId.Sum(l => l.StockEqvNotional3).FormatValue(2);
|
||
//期初权利金收支
|
||
summaryOptionModel.TradePrice = FSOModelsGourpByClientByTradeId.Sum(f => f.TradePrice).FormatValue(2);
|
||
//清算金额
|
||
summaryOptionModel.ClearPrice = FSOModelsGourpByClientByTradeId.Sum(f => f.ClearPrice).FormatValue(2);
|
||
//我方期权清算盈亏
|
||
summaryOptionModel.ConfirmTotlePnl = FSOModelsGourpByClientByTradeId.Sum(f => f.ConfirmTotlePnl).FormatValue(2);
|
||
//上期期末市值
|
||
summaryOptionModel.LastPv = FSOModelsGourpByClientByTradeId.Sum(f => f.LastPv).FormatValue(2);
|
||
//上期期末累计浮动盈亏
|
||
summaryOptionModel.LastTotalPnl = FSOModelsGourpByClientByTradeId.Sum(f => f.LastTotalPnl).FormatValue(2);
|
||
//本期期末市值
|
||
summaryOptionModel.Pv = FSOModelsGourpByClientByTradeId.Sum(f => f.Pv).FormatValue(2);
|
||
//本期期末累计浮动盈亏
|
||
summaryOptionModel.TotalPnl = FSOModelsGourpByClientByTradeId.Sum(f => f.TotalPnl).FormatValue(2);
|
||
//本期浮动盈亏
|
||
summaryOptionModel.GF_Pnl = FSOModelsGourpByClientByTradeId.Sum(f => f.GF_Pnl).FormatValue(2);
|
||
////【累计总盈亏】
|
||
//summaryOptionModel.NewTotalPnl = financialSummaryOptionModelsByClient.GroupBy(x => x.TradeId).Sum(f => f.FirstOrDefault().NewTotalPnl);
|
||
////【当日期货盈亏】
|
||
//summaryOptionModel.TotalPnlAfterExpense = financialSummaryOptionModelsByClient.Sum(f => f.TotalPnlAfterExpense);
|
||
return summaryOptionModel;
|
||
}
|
||
|
||
|
||
public FinancialSummaryOptionModel CreateFinancialSummaryOptionUnitModel(int AssetId, string AssetBookName, string VarietyCode, List<FinancialSummaryOptionModel> financialSummaryOptionModelsByClient, IQueryable<trade_cash> trade_Cashes)
|
||
{
|
||
FinancialSummaryOptionModel summaryOptionModel = new FinancialSummaryOptionModel();
|
||
summaryOptionModel.AssetId = AssetId;
|
||
summaryOptionModel.AssetBookName = AssetBookName;
|
||
summaryOptionModel.StatusStr = "无状态";
|
||
//StatusStr
|
||
//summaryOptionModel.VarietyCode = VarietyCode;
|
||
//名义本金
|
||
summaryOptionModel.StockEqvNotional3 = financialSummaryOptionModelsByClient.Sum(l => l.StockEqvNotional3).FormatValue(2);
|
||
//期初权利金收支
|
||
summaryOptionModel.TradePrice = financialSummaryOptionModelsByClient.Sum(f => f.TradePrice).FormatValue(2);
|
||
//清算金额
|
||
summaryOptionModel.ClearPrice = financialSummaryOptionModelsByClient.Sum(f => f.ClearPrice).FormatValue(2);
|
||
//我方期权清算盈亏
|
||
summaryOptionModel.ConfirmTotlePnl = financialSummaryOptionModelsByClient.Sum(f => f.ConfirmTotlePnl).FormatValue(2);
|
||
//上期期末市值
|
||
summaryOptionModel.LastPv = financialSummaryOptionModelsByClient.Sum(f => f.LastPv).FormatValue(2);
|
||
//上期期末累计浮动盈亏
|
||
summaryOptionModel.LastTotalPnl = financialSummaryOptionModelsByClient.Sum(f => (f.LastTotalPnl??0)).FormatValue(2);
|
||
//本期期末市值
|
||
summaryOptionModel.Pv = financialSummaryOptionModelsByClient.Sum(f => f.Pv).FormatValue(2);
|
||
//本期期末累计浮动盈亏
|
||
summaryOptionModel.TotalPnl = financialSummaryOptionModelsByClient.Sum(f => f.TotalPnl).FormatValue(2);
|
||
//本期浮动盈亏
|
||
summaryOptionModel.GF_Pnl = financialSummaryOptionModelsByClient.Sum(f => f.GF_Pnl).FormatValue(2);
|
||
//【累计总盈亏】
|
||
summaryOptionModel.NewTotalPnl = financialSummaryOptionModelsByClient.Sum(f => f.NewTotalPnl).FormatValue(2);
|
||
//【当日期货盈亏】
|
||
summaryOptionModel.DailyPnL = financialSummaryOptionModelsByClient.Sum(f => f.DailyPnL).FormatValue(2);
|
||
summaryOptionModel.ServiceFee = financialSummaryOptionModelsByClient.Sum(f => f.ServiceFee).FormatValue(2);
|
||
return summaryOptionModel;
|
||
}
|
||
public List<TradePositionTotalPnLModel> CaclTotalPnl(DateTime? StartDate, DateTime EndDate, out List<T2PositionDataDto> t2PositionDataDtos)
|
||
{
|
||
// 1、确定三点 T1 T1~T2 T2
|
||
var start = EodOperationBase.GetLastSettlementDate(StartDate?.AddDays(-1) ?? valuedateBLL.SystemDate.AccruedTotalPnlStartDate ?? DateTime.Today);
|
||
var end = EndDate;
|
||
//T1
|
||
var dateT1 = EodOperationBase.GetLastSettlementDate(start);
|
||
// T2
|
||
var dateT2 = end;
|
||
RiskRequestModel reqModel = new RiskRequestModel() { ValueDateStart = dateT1, ValueDateEnd = dateT2, EodSettlePriceMode = "收盘价" };
|
||
return new AccruedTotalPnlService<eod_trade_position_s>(OptUserInfo.SystemUser).CalcuTotalPnl(out t2PositionDataDtos, dateT1, dateT2, reqModel);
|
||
}
|
||
}
|
||
|
||
|
||
|
||
public class TradeExtends
|
||
{
|
||
public int Id { get; set; }
|
||
|
||
public int? ClientId { get; set; }
|
||
|
||
public string ClientName { get; set; }
|
||
|
||
public string BuySell { get; set; }
|
||
|
||
public string ContractCode { get; set; }
|
||
|
||
public double? OptionFee { get; set; }
|
||
|
||
public double? StrikeFee { get; set; }
|
||
|
||
public double? UnwindFee { get; set; }
|
||
}
|
||
}
|