1000 lines
48 KiB
C#
1000 lines
48 KiB
C#
using System.Data;
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using System.Linq.Expressions;
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using YLErp.BLL;
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using YLErp.Commons;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Helpers;
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using YLErp.Models.Tag;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.TagModule;
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using YLErp.Office.ExcelModule;
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using static YLErp.ConsGlobal;
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namespace YLErp.Modules.TradeModule.QueryModule
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{
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/// <summary>
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/// 场外期权多次了结查询服务
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/// </summary>
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public class OtcOptionMultiCloseService : YLBaseService
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{
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public OtcOptionMultiCloseService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 获取分页数据
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/// </summary>
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public IPagedList<OtcTradeDetail> GetPagedDatas(TradeMultiCloseQueryModel queryModel)
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{
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var query = CreateQuery(queryModel);
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if (string.IsNullOrEmpty(queryModel.SortExpression))
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{
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queryModel.SortExpression = "id desc, TcValueDate asc, TcId asc";
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}
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var pagedList = query.ToPagedList(queryModel);
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OtcTradeDetail preData = null;
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Dictionary<int, List<TagDto>> tradeTagList = null;
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if (pagedList != null)
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{
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using (var service = new TagService(OptUser))
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{
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tradeTagList = service.GetTagByTradeIds(pagedList.Select(p => p.id).Distinct().ToList());
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}
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}
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if (tradeTagList == null)
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{
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tradeTagList = new Dictionary<int, List<TagDto>>();
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}
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List<trade_cash> childTradeCashList = null;
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var parentTradeCashIdList = pagedList.Where(p => p.IsGroup == 1).Select(p => p.TcId).Distinct().ToList();
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if (parentTradeCashIdList != null && parentTradeCashIdList.Count > 0)
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{
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childTradeCashList = DbContext.trade_cash.AsNoTracking().Where(p => parentTradeCashIdList.Contains(p.ParentTradeCashId)).ToList();
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}
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if (childTradeCashList == null)
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{
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childTradeCashList = new List<trade_cash>();
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}
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List<trade> childTradeList = null;
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if (childTradeCashList != null && childTradeCashList.Count > 0)
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{
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var childTradeIds = childTradeCashList.Select(x => x.TradeId).Distinct().ToList();
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childTradeList = DbContext.trade.Where(p => childTradeIds.Contains(p.id)).ToList();
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}
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if (childTradeList == null)
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{
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childTradeList = new List<trade>();
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}
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List<trade_barrier_option> tradeBarrierOptionList = null;
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if (pagedList.Any(p => "障碍期权".Equals(p.TradeType)))
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{
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var barrierTradeIds = pagedList.Where(p => "障碍期权".Equals(p.TradeType)).Select(p => p.id).Distinct().ToList();
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if (barrierTradeIds != null && barrierTradeIds.Any())
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{
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tradeBarrierOptionList = DbContext.trade_barrier_option.AsNoTracking().Where(p => barrierTradeIds.Contains(p.TradeId)).ToList();
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}
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}
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if (tradeBarrierOptionList == null)
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{
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tradeBarrierOptionList = new List<trade_barrier_option>();
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}
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List<trade_double_sharkfin_option> tradeDoublesharkfinOptionList = null;
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if (pagedList.Any(p => "双鲨期权".Equals(p.TradeType)))
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{
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var doubleSharkfinTradeIds = pagedList.Where(p => "双鲨期权".Equals(p.TradeType)).Select(p => p.id).Distinct().ToList();
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if (doubleSharkfinTradeIds != null && doubleSharkfinTradeIds.Any())
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{
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tradeDoublesharkfinOptionList = DbContext.trade_double_sharkfin_option.AsNoTracking().Where(p => doubleSharkfinTradeIds.Contains(p.TradeId)).ToList();
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}
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}
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if (tradeDoublesharkfinOptionList == null)
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{
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tradeDoublesharkfinOptionList = new List<trade_double_sharkfin_option>();
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}
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List<trade_autocall> tradeAutocallList = null;
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if (pagedList.Any(p => "凤凰期权".Equals(p.TradeType)))
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{
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var autocallTradeIds = pagedList.Where(p => "凤凰期权".Equals(p.TradeType)).Select(p => p.id).Distinct().ToList();
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if (autocallTradeIds != null && autocallTradeIds.Any())
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{
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tradeAutocallList = DbContext.trade_autocall.AsNoTracking().Where(p => autocallTradeIds.Contains(p.TradeId)).ToList();
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}
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}
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if (tradeAutocallList == null)
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{
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tradeAutocallList = new List<trade_autocall>();
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}
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List<trade_snowball> tradeSnowballList = null;
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if (pagedList.Any(p => "雪球期权".Equals(p.TradeType)))
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{
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var snowballTradeIds = pagedList.Where(p => "雪球期权".Equals(p.TradeType)).Select(p => p.id).Distinct().ToList();
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if (snowballTradeIds != null && snowballTradeIds.Any())
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{
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tradeSnowballList = DbContext.trade_snowball.AsNoTracking().Where(p => snowballTradeIds.Contains(p.TradeId)).ToList();
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}
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}
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if (tradeSnowballList == null)
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{
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tradeSnowballList = new List<trade_snowball>();
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}
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List<trade_airbag> tradeAirbagList = null;
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if (pagedList.Any(p => "气囊结构".Equals(p.TradeType) || "气囊结构".Equals(p.StructureType)))
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{
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var airbagTradeIds = pagedList.Where(p => "气囊结构".Equals(p.TradeType) || "气囊结构".Equals(p.StructureType)).Select(p => p.id).Distinct().ToList();
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if (airbagTradeIds != null && airbagTradeIds.Any())
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{
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tradeAirbagList = DbContext.trade_airbag.AsNoTracking().Where(p => airbagTradeIds.Contains(p.TradeId)).ToList();
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}
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}
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if (tradeAirbagList == null)
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{
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tradeAirbagList = new List<trade_airbag>();
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}
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//List<trade_accumulator_option> tradeAccumulatorOptionList = null;
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List<autocall_observation> autocallObservationList = null;
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if (pagedList.Any(p => "累计期权".Equals(p.TradeType)))
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{
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var accumulatorOptionTradeIds = pagedList.Where(p => "累计期权".Equals(p.TradeType)).Select(p => p.id).Distinct().ToList();
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if (accumulatorOptionTradeIds != null && accumulatorOptionTradeIds.Any())
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{
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//tradeAccumulatorOptionList = DbContext.trade_accumulator_option.AsNoTracking().Where(p => accumulatorOptionTradeIds.Contains(p.TradeId)).ToList();
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autocallObservationList = DbContext.autocall_observation.AsNoTracking().Where(p => accumulatorOptionTradeIds.Contains(p.TradeId)).ToList();
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}
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}
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//if (tradeAccumulatorOptionList == null)
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//{
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// tradeAccumulatorOptionList = new List<trade_accumulator_option>();
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//}
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if (autocallObservationList == null)
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{
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autocallObservationList = new List<autocall_observation>();
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}
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foreach (var data in pagedList)
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{
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preData = ProcessData(data, preData);
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if (data.IsGroup == 1)
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{
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//var childTradeCashs = DbContext.trade_cash.Where(x => x.ParentTradeCashId == data.TcId).ToList();
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var childTradeCashs = childTradeCashList.Where(x => x.ParentTradeCashId == data.TcId).ToList();
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var childTradeIds = childTradeCashs.Select(x => x.TradeId).Distinct().ToList();
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//var childTrades = DbContext.trade.Where(x => childTradeIds.Contains(x.id)).ToList();
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var childTrades = childTradeList.Where(x => childTradeIds.Contains(x.id)).ToList();
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data.TcTradePrice = 0;
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childTradeCashs.ForEach(x =>
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{
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var trade = childTrades.FirstOrDefault(y => y.id == x.TradeId);
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data.TcTradePrice += (x.UnwindPercentRate * trade?.TradePrice * (trade?.BuySell == "买入" ? -1 : 1)) ?? 0;
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});
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}
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if (data.TradeType == "障碍期权")
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{
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//var option = DbContext.trade_barrier_option.FirstOrDefault(x => x.TradeId == data.id);
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var option = tradeBarrierOptionList.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "双鲨期权")
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{
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//var option = DbContext.trade_double_sharkfin_option.FirstOrDefault(x => x.TradeId == data.id);
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var option = tradeDoublesharkfinOptionList.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "凤凰期权")
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{
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//var option = DbContext.trade_autocall.FirstOrDefault(x => x.TradeId == data.id);
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var option = tradeAutocallList.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "雪球期权")
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{
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//var option = DbContext.trade_snowball.FirstOrDefault(x => x.TradeId == data.id);
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var option = tradeSnowballList.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "气囊结构" || data.StructureType == "气囊结构")
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{
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//var option = DbContext.trade_airbag.FirstOrDefault(x => x.TradeId == data.id);
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var option = tradeAirbagList.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "累计期权")
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{
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new OptionTradeActionRestoreService(this).RestoreTradeDataToSpecialDay2(data, Convert.ToDateTime(data.TcValueDate));
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//var option = DbContext.trade_accumulator_option.FirstOrDefault(x => x.TradeId == data.id);
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//var option = tradeAccumulatorOptionList.FirstOrDefault(x => x.TradeId == data.id);
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//data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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var obser = autocallObservationList.FirstOrDefault(x => x.TradeId == data.id && x.EndDate == data.TcValueDate);
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if (obser != null)
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{
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data.KnockInOutStatusObservation = "敲出".Equals(obser.SettlementMode) ? "敲出" : "观察中";
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}
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}
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if (data.CountRatio == null)
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{
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data.CountRatio = DataCacheProvider.GetUnderlyingDataSource().GetData(data.UnderlyingCode)?.CountRatio ?? 1;
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}
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//拼装标签值
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if (tradeTagList.ContainsKey(data.id))
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{
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data.Tags = tradeTagList[data.id];
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data.OutputTags = TagService.GetOutputTagsStr(data.Tags);
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}
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}
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return pagedList;
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}
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/// <summary>
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/// 获取了结记录
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/// <para>主要用于批量生成了结简讯用</para>
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/// </summary>
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/// <param name="queryModel"></param>
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/// <returns></returns>
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public List<KeyValuePair<trade, trade_cash>> GetSettlementList(TradeMultiCloseQueryModel queryModel)
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{
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if (queryModel is null)
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{
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throw new ArgumentNullException(nameof(queryModel));
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}
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BuildPredicate(queryModel, out var tdPredicate, out var tcPredicate);
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var query = from t in DbContext.trade.Where(tdPredicate)
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join tc in DbContext.trade_cash.Where(tcPredicate) on t.id equals tc.TradeId
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select new { t, tc };
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if (queryModel.UnWindTimes != null && queryModel.UnWindTimes >= 0)
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{
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var qgp = from f in query
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group f by f.t.id into fgp
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where fgp.Count() == queryModel.UnWindTimes
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select fgp.Key;
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query = query.Where(q => qgp.Contains(q.t.id));
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}
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if (queryModel.TradeCashIdList != null && queryModel.TradeCashIdList.Count > 0)
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{
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var tcIds = query.Select(O => O.tc.id).ToList();
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tcIds = queryModel.TradeCashIdList.Where(O => !tcIds.Contains(O)).ToList();
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if (tcIds.Any())
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{
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query =
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query.Union(
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from tc in DbContext.trade_cash
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join t in DbContext.trade
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on tc.TradeId equals t.id
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where tcIds.Contains(tc.id)
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select new { t, tc }
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);
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}
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}
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query = query.OrderByDescending(x => x.t.id).ThenBy(x => x.tc.ValueDate).ThenBy(x => x.tc.id);
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return query.ToList().Select(O => new KeyValuePair<trade, trade_cash>(O.t, O.tc)).ToList();
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}
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public List<OtcTradeDetail> GetGroupChildrenDatas(int TcId)
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{
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var query = from t in DbContext.trade.AsNoTracking().Where(x => x.ValidState != "InValid" && x.IsGroup == 2)
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join tc in DbContext.trade_cash.AsNoTracking().Where(x => x.ValidState != "InValid" && x.ParentTradeCashId == TcId && (x.Amount != 0 || x.UnwindPercentRate > 0)) on t.id equals tc.TradeId
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select new OtcTradeDetail
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{
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id = t.id,
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TcId = tc.id,
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UnderlyingId = t.UnderlyingId,
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TradeNumber = t.TradeNumber,
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ClientId = t.ClientId,
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ClientName = t.ClientName,
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TradeDate = t.TradeDate,
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ExerciseDate = t.ExerciseDate,
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BuySell = t.BuySell,
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TradeType = t.TradeType,
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OptionType = t.OptionType,
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UnderlyingAssetName = t.UnderlyingAssetName,
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UnderlyingCode = t.UnderlyingCode,
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SpotPrice = t.SpotPrice,
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Strike = t.Strike,
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IsMoneynessOption = t.IsMoneynessOption,
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TradeSinglePrice = t.TradeSinglePrice ?? 0,
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TradePrice = t.TradePrice ?? 0,
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IsUsePremiumRate = t.IsUsePremiumRate,
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PremiumRate = t.PremiumRate,
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TradeAmount = t.TradeAmount,
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ExerciseMode = t.ExerciseMode,
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OriginalNotional = t.OriginalNotional ?? 0,
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OriginalStockEqvNotional = t.OriginalStockEqvNotional,
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ParticipationRate = t.ParticipationRate,
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AnnualizeFactor = t.AnnualizeFactor,
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PrincipalRate = t.PrincipalRate ?? 0,
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AssetBookName = t.AssetBookName,
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TraderName = t.TraderName,
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TcValueDate = tc.HappenedDate != null ? tc.HappenedDate : tc.ValueDate,
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TcFinalPrice = tc.FinalPrice,
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TcUnwindPrice = tc.UnwindPrice,
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TcUnwindPricePercent = tc.UnwindPricePercentRate,
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TcAmount = tc.Amount,
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UnWindNotional = tc.UnwindNotional ?? tc.Notional,
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TcUnwindTradeAmount = tc.UnwindTradeAmount,
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TcUnwindPercent = tc.UnwindPercentRate,
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TcAction = tc.Action,
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TcExerciseWay = tc.ExerciseWay,
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StructureType = t.StructureType,
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IsGroup = t.IsGroup,
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UnderlyingInstrumentType = t.UnderlyingInstrumentType
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};
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var result = query.ToList();
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OtcTradeDetail preData = null;
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Dictionary<int, List<TagDto>> tradeTagList = null;
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if (result != null && result.Any())
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{
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using (var service = new TagService(OptUser))
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{
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tradeTagList = service.GetTagByTradeIds(result.Select(p=>p.id).Distinct().ToList());
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}
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}
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if (tradeTagList == null)
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{
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tradeTagList = new Dictionary<int, List<TagDto>>();
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}
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foreach (var data in result)
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{
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preData = ProcessData(data, preData);
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if (data.TradeType == "亚式期权")
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{
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var baseReq = FixingService.GetRequestBase(valuedateBLL.ValueDate, data);
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var strikeReq = new AsianOptionStrikeRequest(baseReq)
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{
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IsMoneynessOption = data.IsMoneynessOption == "是",
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SpotPrice = data.SpotPrice,
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Strike = data.Strike,
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};
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data.ActualStrike = trade_asian_optionBLL.GetAsianStrikePrice(strikeReq, null);
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}
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else
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{
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data.ActualStrike = data.IsMoneynessOption == "是" ? (data.SpotPrice * data.Strike) : data.Strike;
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}
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if (data.TradeType == "障碍期权")
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{
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var option = DbContext.trade_barrier_option.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "双鲨期权")
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{
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var option = DbContext.trade_double_sharkfin_option.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "凤凰期权")
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{
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var option = DbContext.trade_autocall.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "雪球期权")
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{
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var option = DbContext.trade_snowball.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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else if (data.TradeType == "气囊结构")
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{
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var option = DbContext.trade_airbag.FirstOrDefault(x => x.TradeId == data.id);
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data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
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}
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//拼装标签值
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if (tradeTagList.ContainsKey(data.id))
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{
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data.Tags = tradeTagList[data.id];
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data.OutputTags = TagService.GetOutputTagsStr(data.Tags);
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}
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}
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return result;
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}
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/// <summary>
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/// 根据交易编号获取交易了结信息(需要重构，否则不要用于其它查询场景)
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/// 用于api/v1/tradeCloseInfos
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/// </summary>
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public IEnumerable<TradeCloseInfo> GetTradeCloseInfos(string tradeNumber, string unWindType, DateTime? valueDate = null)
|
|
{
|
|
var queryModel = new TradeMultiCloseQueryModel
|
|
{
|
|
TradeNumber = tradeNumber,
|
|
UseForwardASwap = true
|
|
};
|
|
|
|
if (!string.IsNullOrEmpty(unWindType))
|
|
{
|
|
queryModel.UnWindType = unWindType;
|
|
}
|
|
|
|
if (valueDate != null && valueDate != DateTime.MinValue)
|
|
{
|
|
queryModel.UnwindDateStart = valueDate;
|
|
queryModel.UnwindDateEnd = valueDate;
|
|
}
|
|
|
|
var query = CreateQuery(queryModel);
|
|
|
|
var datas = query.ToArray();
|
|
|
|
var list = new List<TradeCloseInfo>();
|
|
|
|
OtcTradeDetail preData = null;
|
|
|
|
foreach (var data in datas)
|
|
{
|
|
preData = ProcessData(data, preData);
|
|
|
|
var info = new TradeCloseInfo
|
|
{
|
|
TradeNumber = data.TradeNumber,
|
|
TcValueDate = data.TcValueDate,
|
|
TcAction = data.TcAction,
|
|
TcAmount = data.TcAmount,
|
|
TcFinalPrice = data.TcFinalPrice,
|
|
TcNotional = data.TcNotional,
|
|
TcTradeAmount = data.TcTradeAmount,
|
|
TcUnwindNotional = data.TcUnwindNotional,
|
|
TcUnwindPercent = data.TcUnwindPercent,
|
|
TcUnwindPrice = data.TcUnwindPrice,
|
|
TcUnwindPricePercent = data.TcUnwindPricePercent,
|
|
TcUnwindTradeAmount = data.TcUnwindTradeAmount,
|
|
TcTradePrice = (data.TradePrice ?? 0) * (data.TcUnwindPercent ?? 0) * ((data.BuySell == "卖出" || data.TradeType == "远期") ? 1 : -1),
|
|
};
|
|
|
|
if (data.IsGroup == 1)
|
|
{
|
|
var childTradeCashs = DbContext.trade_cash.Where(x => x.ParentTradeCashId == data.TcId).ToList();
|
|
var childTradeIds = childTradeCashs.Select(x => x.TradeId).Distinct().ToList();
|
|
var childTrades = DbContext.trade.Where(x => childTradeIds.Contains(x.id)).ToList();
|
|
info.TcTradePrice = 0;
|
|
childTradeCashs.ForEach(x =>
|
|
{
|
|
var trade = childTrades.FirstOrDefault(y => y.id == x.TradeId);
|
|
info.TcTradePrice += (x.UnwindPercentRate * trade?.TradePrice * (trade?.BuySell == "买入" ? -1 : 1)) ?? 0;
|
|
});
|
|
}
|
|
info.WinLoss = (info.TcAmount ?? 0) + info.TcTradePrice;
|
|
list.Add(info);
|
|
}
|
|
|
|
return list;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 导出所有字段
|
|
/// </summary>
|
|
public byte[] ExportAllFieldsToExcel(TradeMultiCloseQueryModel queryModel)
|
|
{
|
|
var list = HandleExportDataToList(queryModel);
|
|
|
|
var list2 = list.Select(n => new ExpandoDictionary<string, string>(n.MetaDic)).ToArray();
|
|
|
|
var templateFile = OtcAppContext.MapPath("~/App_Docs/导出模板/场外期权交易多次了结导出模板.xlsx");
|
|
|
|
return ExcelGenerator.UseTemplateGenerator(templateFile).AddVariable(new { list = list2 }).GenerateBytes();
|
|
}
|
|
public List<OtcTradeDetail> HandleExportDataToList(TradeMultiCloseQueryModel queryModel)
|
|
{
|
|
|
|
if (queryModel is null)
|
|
{
|
|
throw new ArgumentNullException(nameof(queryModel));
|
|
}
|
|
|
|
var query = CreateQuery(queryModel);
|
|
|
|
var list = query.ToList();
|
|
|
|
OtcTradeDetail preData = null;
|
|
|
|
foreach (var data in list)
|
|
{
|
|
data.CountRatio = DataCacheModule.DataCacheManager.GetUnderlyingDataSource().GetData(data.UnderlyingCode)?.CountRatio;
|
|
preData = ProcessData(data, preData);
|
|
|
|
HandleExportData(data);
|
|
}
|
|
|
|
new TradeExtendService(this).SetTradeExtendWithCnKey(list);
|
|
|
|
var groupTradeCashIds = list.Where(x => x.IsGroup == 1).Select(x => x.TcId).ToArray();
|
|
var childList = CreateGroupChildrenQuery(groupTradeCashIds);
|
|
groupTradeCashIds.ToList().ForEach(x =>
|
|
{
|
|
var children = childList.Where(y => y.ParentTcId == x).ToList();
|
|
var item = list.FirstOrDefault(y => y.TcId == x);
|
|
|
|
list.InsertRange(list.IndexOf(item) + 1, children.OrderBy(y => y.id));
|
|
});
|
|
return list;
|
|
}
|
|
|
|
//数据加工处理
|
|
private OtcTradeDetail ProcessData(OtcTradeDetail data, OtcTradeDetail preData)
|
|
{
|
|
if (preData?.id == data.id)
|
|
{
|
|
data.TcSequence = preData.TcSequence + 1;
|
|
data.TradeOriginalAmount = preData.OriginalNotional;
|
|
data.SyntheticUnderlyingTipsInfo = preData.SyntheticUnderlyingTipsInfo;
|
|
data.ExerciseMode = preData.ExerciseMode;
|
|
}
|
|
else
|
|
{
|
|
data.ExerciseMode = TradeHelper.GetExerciseModeCn(data.ExerciseMode);
|
|
var CountRatio = UnderlyingDataProvider.GetCountRatio(data.UnderlyingCode);
|
|
data.TradeOriginalAmount = data.OriginalNotional / CountRatio;
|
|
if (data.TradeType == "合成价差期权")
|
|
{
|
|
data.SyntheticUnderlyingTipsInfo = synthetic_underlyingBLL.GetUnderlyingTipsInfo(data.UnderlyingCode);
|
|
}
|
|
}
|
|
|
|
data.TcUnwindNotional = data.OriginalNotional * data.TcUnwindPercent;
|
|
|
|
if (data.TcAction == "系统操作-行权费" && !data.TcUnwindTradeAmount.HasValue)
|
|
{
|
|
var CountRatio = UnderlyingDataProvider.GetCountRatio(data.UnderlyingCode);
|
|
data.TcUnwindTradeAmount = data.OriginalNotional * data.TcUnwindPercent / CountRatio;
|
|
}
|
|
|
|
if (data.TcAction == "系统操作-票息")
|
|
{
|
|
data.TcAction = "票息";
|
|
}
|
|
else if (data.TcAction == "系统操作-互换")
|
|
{
|
|
data.TcAction = "互换";
|
|
}
|
|
else if (data.TcExerciseWay == TradeCashExerciseWayEnum.到期行权)
|
|
{
|
|
data.TcAction = "到期";
|
|
}
|
|
else
|
|
{
|
|
data.TcAction = "终止";
|
|
}
|
|
|
|
if (data.TradeType == "结构化交易" && data.IsGroup == 1)
|
|
{
|
|
data.TradeType = data.StructureType;
|
|
}
|
|
|
|
if (PS.Config.IsGuoJun)
|
|
{
|
|
data.UnderlyingVariety = YLErp.Modules.UnderlyingModule.UnderlyingHelper.GetUnderlyingVarietyCode(data.UnderlyingCode);
|
|
}
|
|
|
|
return data;
|
|
}
|
|
|
|
private void HandleExportData(OtcTradeDetail data)
|
|
{
|
|
var dic = data.MetaDic;
|
|
var isMoneyness = data.IsMoneynessOption == "是";
|
|
var isPremiumRate = data.IsUsePremiumRate == true;
|
|
var multiply = TradeHelper.GetStockEqvNotionalMultiply(data.OriginalStockEqvNotional, data.ParticipationRate, data.AnnualizeFactor);
|
|
|
|
if (data.IsGroup == 1)
|
|
{
|
|
var childTradeCashs = DbContext.trade_cash.Where(x => x.ParentTradeCashId == data.TcId).ToList();
|
|
var childTradeIds = childTradeCashs.Select(x => x.TradeId).Distinct().ToList();
|
|
var childTrades = DbContext.trade.Where(x => childTradeIds.Contains(x.id)).ToList();
|
|
data.TcTradePrice = 0;
|
|
childTradeCashs.ForEach(x =>
|
|
{
|
|
var trade = childTrades.FirstOrDefault(y => y.id == x.TradeId);
|
|
data.TcTradePrice += (x.UnwindPercentRate * trade?.TradePrice * (trade?.BuySell == "买入" ? -1 : 1)) ?? 0;
|
|
});
|
|
}
|
|
|
|
if (data.TradeType == "障碍期权")
|
|
{
|
|
var option = DbContext.trade_barrier_option.FirstOrDefault(x => x.TradeId == data.id);
|
|
data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
|
|
}
|
|
else if (data.TradeType == "双鲨期权")
|
|
{
|
|
var option = DbContext.trade_double_sharkfin_option.FirstOrDefault(x => x.TradeId == data.id);
|
|
data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
|
|
}
|
|
else if (data.TradeType == "凤凰期权")
|
|
{
|
|
var option = DbContext.trade_autocall.FirstOrDefault(x => x.TradeId == data.id);
|
|
data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
|
|
}
|
|
else if (data.TradeType == "雪球期权")
|
|
{
|
|
var option = DbContext.trade_snowball.FirstOrDefault(x => x.TradeId == data.id);
|
|
data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
|
|
}
|
|
else if (data.TradeType == "气囊结构" || data.StructureType == "气囊结构")
|
|
{
|
|
var option = DbContext.trade_airbag.FirstOrDefault(x => x.TradeId == data.id);
|
|
data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
|
|
}
|
|
else if (data.TradeType == "累计期权")
|
|
{
|
|
new OptionTradeActionRestoreService(this).RestoreTradeDataToSpecialDay2(data, Convert.ToDateTime(data.TcValueDate));
|
|
var option = DbContext.trade_accumulator_option.FirstOrDefault(x => x.TradeId == data.id);
|
|
data.KnockInOutStatusObservation = option?.KnockInOutStatusCn;
|
|
}
|
|
|
|
dic["交易编号"] = data.TradeNumber;
|
|
dic["分组交易类型"] = data.GroupTradeType;
|
|
dic["交易状态"] = data.TradeStatus;
|
|
dic["簿记账户"] = data.AssetBookName;
|
|
dic["交易员"] = data.TraderName;
|
|
dic["交易对手方"] = data.ClientName;
|
|
dic["交易对手编号"] = DataCacheProvider.GetClientDataSource().GetData(data.ClientId)?.Number;
|
|
dic["结构类型"] = data.TradeMultipleType;
|
|
dic["成交日期"] = data.TradeDate.OtcFormatDate();
|
|
dic["到期日期"] = data.ExerciseDate.OtcFormatDate();
|
|
dic["结算日期"] = data.SettlementDate.OtcFormatDate();
|
|
dic["交易方向"] = data.BuySell;
|
|
dic["标的代码"] = data.UnderlyingCode;
|
|
dic["期初标的价格"] = data.SpotPrice.OtcFormatUmPrice();
|
|
dic["执行价格"] = data.Strike.OtcFormatUmPrice(isMoneyness);
|
|
dic["权利金成交"] = OtcFormatHelper.FormatPremium(data.IsUsePremiumRate, data.PremiumRate, data.TradeSinglePrice);
|
|
dic["有效成交数量"] = PS.Config.IsUseDisplayNotional ? (data.TradeOriginalAmount * data.CountRatio).OtcFormatNotional() : data.TradeOriginalAmount.OtcFormatNotional();
|
|
dic["成交数量"] = PS.Config.IsUseDisplayNotional ? (TradeCalcHelper.GetTradeAmountV(data) * data.CountRatio).OtcFormatNotional() : TradeCalcHelper.GetTradeAmountV(data).OtcFormatNotional();
|
|
dic["成交金额"] = data.TradePrice.OtcFormatMoney();
|
|
dic["名义本金"] = data.OriginalStockEqvNotional.OtcFormat(OtcFormatFlag.StockEqvNotional);
|
|
dic["实际名义本金"] = dic["有效名义本金"] = data.StockEqvNotionalReal.OtcFormat(OtcFormatFlag.StockEqvNotional);
|
|
dic["期权年化"] = data.IsAnnualized ? "是" : "否";
|
|
dic["年化系数"] = data.AnnualizeFactor.OtcFormatFlex(2, 6);
|
|
dic["保底收益率"] = data.PrincipalRate.OtcFormatPercent(2);
|
|
dic["参与率"] = data.ParticipationRate.OtcFormatPercent(2);
|
|
dic["无风险利率"] = data.NoRiskRate.OtcFormatPercent(2);
|
|
dic["分红率"] = data.DividendRate.OtcFormatPercent(2);
|
|
dic["成交波动率"] = data.TradeOpenVolatility.OtcFormat(OtcFormatFlag.volatilityP);
|
|
dic["目标波动率"] = data.TradeCloseVolatility.OtcFormat(OtcFormatFlag.volatilityP);
|
|
dic["平滑过渡天数"] = data.NumOfSmoothingDays?.ToString();
|
|
dic["备注"] = data.Comments;
|
|
dic["敲入敲出状态"] = data.KnockInOutStatusObservation;
|
|
|
|
dic["了结序号"] = data.TcSequence.ToString();
|
|
dic["了结方式"] = data.TcAction;
|
|
dic["了结日期"] = data.TcValueDate.OtcFormatDate();
|
|
dic["了结标的价格"] = data.TcFinalPrice?.OtcFormatUmPrice();
|
|
dic["权利金了结"] = OtcFormatHelper.FormatPremium(data.IsUsePremiumRate, data.TcUnwindPricePercent, data.TcUnwindPrice)?.TrimStart('-');
|
|
dic["了结数量"] = PS.Config.IsUseDisplayNotional ? (data.TcUnwindTradeAmount * data.CountRatio).OtcFormatNotional() : data.TcUnwindTradeAmount.OtcFormatNotional();
|
|
dic["终止名义数量"] = PS.Config.IsUseDisplayNotional ? (data.TcUnwindTradeAmount * multiply * data.CountRatio).OtcFormatNotional() : (data.TcUnwindTradeAmount * multiply).OtcFormatNotional();
|
|
if (true)
|
|
{
|
|
|
|
}
|
|
var stopEqvNotional = isPremiumRate || data.TradeType == "累计期权" ? TradeHelper.GetStockEqvNotionalReal(data.OriginalStockEqvNotional, data.ParticipationRate, data.AnnualizeFactor) * data.TcUnwindPercent : data.TcUnwindNotional * data.SpotPrice;
|
|
if (data.TradeType == "雪球期权" || data.TradeType == "凤凰期权")
|
|
{
|
|
var part = data.OriginalStockEqvNotional * (data.ParticipationRate ?? 1);
|
|
var annual = part != 0 ? data.StockEqvNotionalReal / part : 0;
|
|
stopEqvNotional *= annual;
|
|
}
|
|
dic["终止实际名义金额"] = stopEqvNotional.HasValue ? Math.Abs(stopEqvNotional.Value).OtcFormat(OtcFormatFlag.StockEqvNotional) : "";
|
|
dic["了结金额"] = data.TcAmount.OtcFormatMoney();
|
|
dic["成交金额"] = data.TcTradePrice.OtcFormatMoney();
|
|
dic["实现盈亏"] = data.WinLoss.OtcFormatMoney();
|
|
|
|
dic["相对行权价"] = data.IsMoneynessOption == "是" ? "是" : "";
|
|
dic["期权费率方式"] = data.IsUsePremiumRate == true ? "是" : "";
|
|
dic["保底收益总额"] = data.OriginalPrincipalSum.OtcFormatUmPrice();
|
|
|
|
|
|
|
|
}
|
|
|
|
|
|
//创建查询
|
|
private IQueryable<OtcTradeDetail> CreateQuery(TradeMultiCloseQueryModel queryModel)
|
|
{
|
|
if (queryModel is null)
|
|
{
|
|
throw new ArgumentNullException(nameof(queryModel));
|
|
}
|
|
|
|
BuildPredicate(queryModel, out var tdPredicate, out var tcPredicate);
|
|
|
|
var query = from t in DbContext.trade.Where(tdPredicate)
|
|
join tc in DbContext.trade_cash.Where(tcPredicate) on t.id equals tc.TradeId
|
|
select new OtcTradeDetail
|
|
{
|
|
id = t.id,
|
|
TcId = tc.id,
|
|
UnderlyingId = t.UnderlyingId,
|
|
TradeNumber = t.TradeNumber,
|
|
ClientId = t.ClientId,
|
|
ClientName = t.ClientName,
|
|
TradeDate = t.TradeDate,
|
|
ExerciseDate = t.ExerciseDate,
|
|
BuySell = t.BuySell,
|
|
TradeType = t.TradeType,
|
|
OptionType = t.OptionType,
|
|
UnderlyingAssetName = t.UnderlyingAssetName,
|
|
UnderlyingCode = t.UnderlyingCode,
|
|
SpotPrice = t.SpotPrice,
|
|
Strike = t.Strike,
|
|
IsMoneynessOption = t.IsMoneynessOption,
|
|
TradeSinglePrice = t.TradeSinglePrice ?? 0,
|
|
TradePrice = t.TradePrice ?? 0,
|
|
IsUsePremiumRate = t.IsUsePremiumRate,
|
|
PremiumRate = t.PremiumRate,
|
|
TradeAmount = t.TradeAmount,
|
|
ExerciseMode = t.ExerciseMode,
|
|
OriginalNotional = t.OriginalNotional ?? 0,
|
|
StockEqvNotionalReal = t.StockEqvNotionalReal,
|
|
OriginalStockEqvNotional = t.OriginalStockEqvNotional,
|
|
ParticipationRate = t.ParticipationRate,
|
|
AnnualizeFactor = t.AnnualizeFactor,
|
|
PrincipalRate = t.PrincipalRate ?? 0,
|
|
OriginalPrincipalSum = t.OriginalPrincipalSum,
|
|
|
|
TcValueDate = tc.HappenedDate != null ? tc.HappenedDate : tc.ValueDate,
|
|
TcFinalPrice = tc.FinalPrice,
|
|
TcUnwindPrice = tc.UnwindPrice,
|
|
TcUnwindPricePercent = tc.UnwindPricePercentRate,
|
|
TcAmount = tc.Amount,
|
|
UnWindNotional = tc.UnwindNotional ?? (tc.IsLastAction ? tc.Notional : 0),
|
|
TcUnwindTradeAmount = tc.UnwindTradeAmount ?? (tc.IsLastAction ? tc.TradeAmount : 0),
|
|
TcUnwindPercent = tc.UnwindPercentRate,
|
|
TcAction = tc.Action,
|
|
TcExerciseWay = tc.ExerciseWay,
|
|
StructureType = t.StructureType,
|
|
IsGroup = t.IsGroup,
|
|
IsLastAction = tc.IsLastAction,
|
|
GroupTradeType = t.IsGroup == 0 ? "正常交易" : (t.IsGroup == 1 ? "分组主交易" : "分组子交易"),
|
|
ExtendInfo = t.ExtendInfo,
|
|
TraderName = t.TraderName,
|
|
AssetBookName = t.AssetBookName
|
|
};
|
|
|
|
if (queryModel.UnWindTimes != null && queryModel.UnWindTimes >= 0)
|
|
{
|
|
var qgp = from f in query
|
|
group f by f.id into fgp
|
|
where fgp.Count() == queryModel.UnWindTimes
|
|
select fgp.Key;
|
|
query = query.Where(q => qgp.Contains(q.id));
|
|
}
|
|
|
|
return query = query.OrderByDescending(x => x.id).ThenBy(x => x.TcValueDate).ThenBy(x => x.TcId);
|
|
}
|
|
|
|
private List<OtcTradeDetail> CreateGroupChildrenQuery(int[] parentTradeCashIds)
|
|
{
|
|
var query = from t in DbContext.trade
|
|
join tc in DbContext.trade_cash.Where(x => parentTradeCashIds.Contains(x.ParentTradeCashId)) on t.id equals tc.TradeId
|
|
select new OtcTradeDetail
|
|
{
|
|
id = t.id,
|
|
TcId = tc.id,
|
|
ParentTcId = tc.ParentTradeCashId,
|
|
UnderlyingId = t.UnderlyingId,
|
|
TradeNumber = t.TradeNumber,
|
|
ClientId = t.ClientId,
|
|
ClientName = t.ClientName,
|
|
TradeDate = t.TradeDate,
|
|
ExerciseDate = t.ExerciseDate,
|
|
BuySell = t.BuySell,
|
|
TradeType = t.TradeType,
|
|
OptionType = t.OptionType,
|
|
UnderlyingAssetName = t.UnderlyingAssetName,
|
|
UnderlyingCode = t.UnderlyingCode,
|
|
SpotPrice = t.SpotPrice,
|
|
Strike = t.Strike,
|
|
IsMoneynessOption = t.IsMoneynessOption,
|
|
TradeSinglePrice = t.TradeSinglePrice ?? 0,
|
|
TradePrice = t.TradePrice ?? 0,
|
|
IsUsePremiumRate = t.IsUsePremiumRate,
|
|
PremiumRate = t.PremiumRate,
|
|
TradeAmount = t.TradeAmount,
|
|
ExerciseMode = t.ExerciseMode,
|
|
OriginalNotional = t.OriginalNotional ?? 0,
|
|
StockEqvNotionalReal = t.StockEqvNotionalReal,
|
|
OriginalStockEqvNotional = t.OriginalStockEqvNotional,
|
|
ParticipationRate = t.ParticipationRate,
|
|
AnnualizeFactor = t.AnnualizeFactor,
|
|
PrincipalRate = t.PrincipalRate ?? 0,
|
|
|
|
TcValueDate = tc.HappenedDate != null ? tc.HappenedDate : tc.ValueDate,
|
|
TcFinalPrice = tc.FinalPrice,
|
|
TcUnwindPrice = tc.UnwindPrice,
|
|
TcUnwindPricePercent = tc.UnwindPricePercentRate,
|
|
TcAmount = tc.Amount,
|
|
UnWindNotional = tc.UnwindNotional ?? tc.Notional,
|
|
TcUnwindTradeAmount = tc.UnwindTradeAmount,
|
|
TcUnwindPercent = tc.UnwindPercentRate,
|
|
TcAction = tc.Action,
|
|
TcExerciseWay = tc.ExerciseWay,
|
|
StructureType = t.StructureType,
|
|
IsGroup = t.IsGroup,
|
|
GroupTradeType = t.IsGroup == 0 ? "正常交易" : (t.IsGroup == 1 ? "分组主交易" : "分组子交易")
|
|
};
|
|
|
|
var list = query.OrderByDescending(x => x.id).ThenBy(x => x.TcValueDate).ThenBy(x => x.id).ToList();
|
|
OtcTradeDetail preData = null;
|
|
foreach (var data in list)
|
|
{
|
|
data.CountRatio = DataCacheModule.DataCacheManager.GetUnderlyingDataSource().GetData(data.UnderlyingCode)?.CountRatio;
|
|
preData = ProcessData(data, preData);
|
|
|
|
HandleExportData(data);
|
|
}
|
|
|
|
new TradeExtendService(this).SetTradeExtendWithCnKey(list);
|
|
return list;
|
|
}
|
|
|
|
//构建查询条件
|
|
private void BuildPredicate(TradeMultiCloseQueryModel queryModel, out Expression<Func<trade, bool>> tdPredicate
|
|
, out Expression<Func<trade_cash, bool>> tcPredicate)
|
|
{
|
|
tdPredicate = PredicateBuilder.Create<trade>(t => t.ClientId > 0);
|
|
|
|
if (string.IsNullOrEmpty(queryModel.TradeNumber) || (queryModel.UnWindType != "全部" && queryModel.UnWindType != "了结")) //todo:需要重构
|
|
{
|
|
tdPredicate = tdPredicate.And(t => t.IsGroup != 2);
|
|
}
|
|
|
|
if (queryModel.UserAssets != null || queryModel.UserClients != null)
|
|
{
|
|
tdPredicate = tdPredicate.And(n => queryModel.UserAssets.Contains(n.AssetId) || queryModel.UserClients.Contains(n.ClientId));
|
|
}
|
|
if (!queryModel.UseForwardASwap)
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.TradeType != "收益互换" && n.TradeType != "远期");
|
|
}
|
|
|
|
if (!string.IsNullOrWhiteSpace(queryModel.TradeStatus))
|
|
{
|
|
tdPredicate = tdPredicate.And(n => queryModel.TradeStatus.Contains(n.TradeStatus));
|
|
}
|
|
|
|
if (queryModel.TradeDateStart != null)
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.TradeDate >= queryModel.TradeDateStart.Value);
|
|
}
|
|
|
|
if (queryModel.TradeDateEnd != null)
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.TradeDate <= queryModel.TradeDateEnd.Value);
|
|
}
|
|
|
|
if (queryModel.ExerciseDateStart != null)
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.ExerciseDate >= queryModel.ExerciseDateStart.Value);
|
|
}
|
|
|
|
if (queryModel.ExerciseDateEnd != null)
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.ExerciseDate <= queryModel.ExerciseDateEnd.Value);
|
|
}
|
|
if (queryModel.TagIds != null && queryModel.TagIds.Count > 0)
|
|
{
|
|
var tradeTagIdQuery = from tt in DbContext.trade_tag
|
|
where queryModel.TagIds.Contains(tt.TagId)
|
|
select tt.TradeId;
|
|
tdPredicate = tdPredicate.And(p => tradeTagIdQuery.Contains(p.id));
|
|
}
|
|
if (!string.IsNullOrWhiteSpace(queryModel.TradeNumber))
|
|
{
|
|
var TradeNumber = queryModel.TradeNumber.Trim();
|
|
if (queryModel.UnWindType == "全部" || queryModel.UnWindType == "了结")
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.TradeNumber.Equals(TradeNumber));
|
|
}
|
|
else
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.TradeNumber.Contains(TradeNumber));
|
|
}
|
|
}
|
|
|
|
if (!string.IsNullOrWhiteSpace(queryModel.BuySell))
|
|
{
|
|
var BuySell = queryModel.BuySell.Trim();
|
|
tdPredicate = tdPredicate.And(n => n.BuySell == BuySell);
|
|
}
|
|
|
|
if (queryModel.ClientIdList.Any())
|
|
{
|
|
tdPredicate = tdPredicate.And(n => queryModel.ClientIdList.Contains(n.ClientId));
|
|
}
|
|
|
|
if (!string.IsNullOrWhiteSpace(queryModel.StructureType))
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.StructureType.Contains(queryModel.StructureType));
|
|
}
|
|
|
|
if (!string.IsNullOrWhiteSpace(queryModel.TradeTypes))
|
|
{
|
|
var typeList = queryModel.TradeTypes.Split(',').ToList();
|
|
tdPredicate = tdPredicate.And(n => typeList.Contains(n.TradeType) || typeList.Contains(n.StructureType) || (typeList.Contains("黑箱结构") && n.IsGroup == 1));
|
|
}
|
|
|
|
if (queryModel.UnderlyingIdList != null && queryModel.UnderlyingIdList.Any(n => n > 0))
|
|
{
|
|
tdPredicate = tdPredicate.And(n => queryModel.UnderlyingIdList.Contains(n.UnderlyingId));
|
|
}
|
|
|
|
if (!string.IsNullOrWhiteSpace(queryModel.ExerciseMode))
|
|
{
|
|
tdPredicate = tdPredicate.And(n => n.ExerciseMode == queryModel.ExerciseMode);
|
|
}
|
|
|
|
//--------------------------------------------------------
|
|
|
|
tcPredicate = PredicateBuilder.Create<trade_cash>(tc => tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
|
|
&& (tc.Action == "系统操作-行权费" || tc.Action == "系统操作-平仓费" || tc.Action == "系统操作-票息" || tc.Action == "系统操作-互换"));
|
|
|
|
//了结方式过滤
|
|
if (!string.IsNullOrWhiteSpace(queryModel.UnWindType) && queryModel.UnWindType != "全部")
|
|
{
|
|
if (queryModel.UnWindType == "票息")
|
|
{
|
|
tcPredicate = tcPredicate.And(x => x.Action == "系统操作-票息");
|
|
}
|
|
else if (queryModel.UnWindType == "到期")
|
|
{
|
|
tcPredicate = tcPredicate.And(x => x.ExerciseWay == TradeCashExerciseWayEnum.到期行权 && x.Action != "系统操作-票息");
|
|
}
|
|
else if (queryModel.UnWindType == "了结")
|
|
{
|
|
tcPredicate = tcPredicate.And(x => x.Action != "系统操作-票息");
|
|
}
|
|
else
|
|
{
|
|
tcPredicate = tcPredicate.And(x => x.ExerciseWay == TradeCashExerciseWayEnum.提前终止行权 && x.Action != "系统操作-票息");
|
|
}
|
|
}
|
|
|
|
if (queryModel.TradeCashIdList != null && queryModel.TradeCashIdList.Any(x => x > 0))
|
|
{
|
|
tcPredicate = tcPredicate.And(tc => queryModel.TradeCashIdList.Contains(tc.id));
|
|
}
|
|
|
|
if (queryModel.UnwindDateStart != null)
|
|
{
|
|
var UnwindDateStart = queryModel.UnwindDateStart.Value;
|
|
tcPredicate = tcPredicate.And(tc => tc.HappenedDate.Value >= UnwindDateStart || tc.ValueDate >= UnwindDateStart);
|
|
}
|
|
|
|
if (queryModel.UnwindDateEnd != null)
|
|
{
|
|
var UnwindDateEnd = queryModel.UnwindDateEnd.Value;
|
|
tcPredicate = tcPredicate.And(tc => tc.ValueDate <= UnwindDateEnd);
|
|
}
|
|
}
|
|
}
|
|
} |