zszq-trs/UnitTestProject/Modules/MarginModule/HaiTongMarginTest.cs

using CsvHelper;
using CsvHelper.Configuration;
using Org.BouncyCastle.Ocsp;
using System.Globalization;
using YLErp.Model.Enum;
using static NPOI.HSSF.Util.HSSFColor;

namespace YLErp.Modules.MarginModule
{
    [TestClass]
    public class HaiTongMarginTest
    {
        [TestMethod]
        public void TestMethod1()
        {
            var csvFile = Path.Combine(AppContext.BaseDirectory, "Resources\\MarginModule\\tradespans.csv");

            var config = new CsvConfiguration(CultureInfo.InvariantCulture) { HeaderValidated = null, MissingFieldFound=null };
            using var reader = new StreamReader(csvFile);
            using var csv = new CsvReader(reader, config);
            var tradeSpans = csv.GetRecords<trade_span>().Where(n => n.ValueDate.Day == 10).ToList();
            var clientSpanNews = new List<ClientSpan>();

            if (tradeSpans != null && tradeSpans.Count > 0)
            {
                var tradeIds = tradeSpans.Select(t => t.TradeId).ToList();

                //海通预付金保底收益率-用来计算名义本金
                double GuaranteedIncome = 0.01;

                var clientGroups = tradeSpans.GroupBy(t => t.ClientId);

                foreach (var clientGroup in clientGroups)
                {
                    var clientRatio = 1.1;

                    var underlyingGroup = clientGroup.Where(x => x.IsSingleMargin != true).GroupBy(t => t.UnderlyingId).Select(t => new ClientSpan
                    {
                        UnderlyingId = t.Key,
                        ClientId = clientGroup.Key ?? 0,
                        ValueDate = DateTime.Today,
                        //负数代表客户应缴预付金，正数代表客户应收预付金
                        Spv1 = -t.Sum(g => g.Spv1),
                        Spv2 = -t.Sum(g => g.Spv2),
                        Spv3 = -t.Sum(g => g.Spv3),
                        Spv4 = -t.Sum(g => g.Spv4),
                        Spv5 = -t.Sum(g => g.Spv5),
                        Spv6 = -t.Sum(g => g.Spv6),
                        Spv7 = -t.Sum(g => g.Spv7),
                        Spv8 = -t.Sum(g => g.Spv8),
                        WorstCastClientPayable = -t.Sum(g => g.WorstCastClientPayable),
                        OptId = 0,
                        OptName = "ddd",
                        OptDate = DateTime.Now,
                        SpanType = 1
                    }).ToList();

                    foreach (var item in underlyingGroup)
                    {
                        if (clientGroup.Count(m => m.UnderlyingId == item.UnderlyingId && m.ClientId == item.ClientId) > 1)
                        {
                            item.SetWorstCastClientPayableMin();

                            #region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致

                            var tradeIdList = clientGroup.Select(x => x.TradeId);
                            var tradeSpansUpdate = new List<trade_span>();
                            var tradeSpansReq = new List<trade_span>();

                            if (item.WorstCastClientPayable == item.Spv1)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
                            }
                            else if (item.WorstCastClientPayable == item.Spv2)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
                            }
                            else if (item.WorstCastClientPayable == item.Spv3)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
                            }
                            else if (item.WorstCastClientPayable == item.Spv4)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
                            }
                            else if (item.WorstCastClientPayable == item.Spv5)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv5);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv5);
                            }
                            else if (item.WorstCastClientPayable == item.Spv6)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv6);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv6);
                            }
                            else if (item.WorstCastClientPayable == item.Spv7)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv7);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv7);
                            }
                            else if (item.WorstCastClientPayable == item.Spv8)
                            {
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv8);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv8);
                            }

                            #endregion
                        }
                        else
                        {
                            var tradeSpansUpdate = new List<trade_span>();
                            tradeSpansUpdate.ForEach(x => x.Comment = "单笔计算");
                        }

                        //客户信息中追保方向为“单向追保”或“双向追保”的客户：   call 看涨
                        //(1)Call净名义本金 = 客户Call卖方持仓名义本金 - 客户Call买方持仓名义本金；
                        //(2)Put净名义本金 = 客户Put卖方持仓名义本金 - 客户Put买方持仓名义本金；
                        //(3)单品种预付金占用 = max(0, max（∑逐笔交易持仓预付金，（Call净名义本金 + Put净名义本金）*1 % *1.1）)；
                        //(4)预付金占用 =∑单品种预付金占用。
                        //客户信息追保方向“对手方单向追保”或“其他”的客户：预付金占用 = 0。

                        //var callsale = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
                        //var callbuy = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
                        //var putsale = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();
                        //var putbuy = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();

                        //var StockEqvNotional = (double)((callsale - callbuy + putsale - putbuy) * GuaranteedIncome * clientRatio);

                        //if (client.MarginOptionType != (int)MarginOptionEnum.双向追保)
                        //{
                        //    item.WorstCastClientPayable = -Math.Max(0, Math.Max(-(double)item.WorstCastClientPayable, StockEqvNotional));
                        //}
                    }

                    var clientSpan = new ClientSpan
                    {
                        ClientId = clientGroup.Key ?? 0,
                        ValueDate = DateTime.Now,
                        Spv1 = underlyingGroup.Sum(g => g.Spv1),
                        Spv2 = underlyingGroup.Sum(g => g.Spv2),
                        Spv3 = underlyingGroup.Sum(g => g.Spv3),
                        Spv4 = underlyingGroup.Sum(g => g.Spv4),
                        Spv5 = underlyingGroup.Sum(g => g.Spv5),
                        Spv6 = underlyingGroup.Sum(g => g.Spv6),
                        Spv7 = underlyingGroup.Sum(g => g.Spv7),
                        Spv8 = underlyingGroup.Sum(g => g.Spv8),
                        //负数代表客户应缴预付金，正数代表客户应收预付金
                        WorstCastClientPayable = underlyingGroup.Sum(g => g.WorstCastClientPayable),
                        DeltaMargin = 0,
                        TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
                        OptId = 0,
                        OptName = "ddd",
                        OptDate = DateTime.Now,
                        SpanType = 1,
                        AdditionalWorstCastClientPayable = 0
                    };

                    clientSpanNews.Add(clientSpan);
                }
            }
        }
    }
}