551 lines
27 KiB
C#
551 lines
27 KiB
C#
using YLErp.BLL.Calculation;
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using YLErp.BLL.Eod;
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using YLErp.DBModels.Helpers;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.QdpModule;
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namespace YLErp.BLL.MarginCalculation
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{
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/// <summary>
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/// 渤海荣盛
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/// </summary>
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public class BHRSMarginCalculation : MarginCalculationBase
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{
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// 定义一个静态变量来保存类的实例
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public static readonly BHRSMarginCalculation Instance;
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static BHRSMarginCalculation()
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{
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Instance = new BHRSMarginCalculation();
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}
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// 定义私有构造函数，使外界不能创建该类实例
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private BHRSMarginCalculation()
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{
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}
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public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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var tradeSpans = new List<trade_span>();
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if (req?.tradeList == null || !req.tradeList.Any())
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{
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return tradeSpans;
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}
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var tempStockTradeList = req.tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
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if (tempStockTradeList.Any())
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{
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var stockTradeSpanlist = StockMarginCalculation(req.Clone(tempStockTradeList), helper);
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if (stockTradeSpanlist.Count > 0)
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{
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tradeSpans.AddRange(stockTradeSpanlist);
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}
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}
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var tempFutureTradeList = req.tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
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if (tempFutureTradeList.Any())
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{
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var tradeList = tempFutureTradeList.Where(a => a.TradeType != "远期").ToList();
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if (tradeList.Any())
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{
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req = req.Clone(tradeList);
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var futureTradeSpanlist = FutureMarginCalculation(req, helper);
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if (futureTradeSpanlist.Count > 0)
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{
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tradeSpans.AddRange(futureTradeSpanlist);
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}
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}
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var forwardTradeList = tempFutureTradeList.Where(a => a.TradeType == "远期").ToList();
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if (forwardTradeList.Any())
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{
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req = req.Clone(forwardTradeList);
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var futureTradeSpanlist = ForwardMarginCalculation(req, helper);
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if (futureTradeSpanlist.Count > 0)
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{
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tradeSpans.AddRange(futureTradeSpanlist);
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}
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}
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}
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return tradeSpans;
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}
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/// <summary>
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/// 股票类期权计算预付金
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/// </summary>
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private List<trade_span> StockMarginCalculation(RunMarginCalculationReq req, RunMarginCalculationHelper helper)
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{
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var tradeSpans = new List<trade_span>();
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if (req?.tradeList == null || !req.tradeList.Any())
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{
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return tradeSpans;
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}
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var marginRation = valuedateBLL.SystemDate.MarginRatio ?? 0.15;
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foreach (var t in req.tradeList)
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{
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var client = helper.GetClient(t.ClientId);
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if (client == null)
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{
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continue;
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}
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double twoSideMargin;
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if (helper.GetSpecialMargin(t, 0, out var value))
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{
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twoSideMargin = value;
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}
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else
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{
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var clientRatio = client?.Ratio ?? 1.0;
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//如果是股票去名义本金，如果是期货取：份额 * 即期价格
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var baseValue = (t.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(t.Notional * t.SpotPrice, t.ParticipationRate, t.AnnualizeFactor) : t.StockEqvNotional) * marginRation;
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value = baseValue * (t.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.MarginOptionType == 1 ? -1 : 0)) * clientRatio;
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twoSideMargin = baseValue * (t.BuySell == "买入" ? 1 : -1) * clientRatio;
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}
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tradeSpans.Add(new trade_span
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{
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TradeId = t.id,
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OptDate = DateTime.Now,
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OptId = req.userId,
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OptName = req.userName,
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ClientId = client.ClientId,
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UnderlyingId = t.UnderlyingId,
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UnderlyingCode = t.UnderlyingCode,
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ValueDate = req.settleDate,
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Spv1 = value,
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Spv2 = value,
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Spv3 = value,
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Spv4 = value,
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WorstCastClientPayable = value,
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TwoSideMargin = twoSideMargin
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});
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}
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return tradeSpans;
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}
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/// <summary>
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/// 商品期权计算预付金
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/// </summary>
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private List<trade_span> FutureMarginCalculation(RunMarginCalculationReq req, RunMarginCalculationHelper helper)
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{
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var futureTradeList = req.tradeList;
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var tradeSpans = new List<trade_span>();
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using (var db = new YLContext())
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{
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if (!req.hasOptionInfo)
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{
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tradeBLL.SetFieldsByTradeType(futureTradeList);
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}
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: futureTradeList,
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calcScenario: req.GetCalcScenario(),
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.BASIC_GREEKS, addVolRateDic: null,
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volType: req.volType,
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settlementType: req.settlementType,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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logger.Info($"商品期货预付金计算,交易入:[{futureTradeList.Count}条],返回[{tradeRiskResult.Results.Count}],错误:{tradeRiskResult.ErrorMessage}");
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//计算预付金包含错误信息时弹出错误信息
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if (!string.IsNullOrWhiteSpace(tradeRiskResult.ErrorMessage))
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{
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throw new Exception(tradeRiskResult.ErrorMessage);
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}
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if (tradeRiskResult.Results.Count < 1)
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{
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return tradeSpans;
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}
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var vegaCoefficient = valuedateBLL.SystemDate.FutureMarginVegaCoefficient ?? 3;
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var omegaCoefficient = valuedateBLL.SystemDate.FutureMarginOmegaCoefficient ?? 2.5;
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var alphaRate = valuedateBLL.SystemDate.FutureMarginAlphaRate ?? 1;
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foreach (var item in tradeRiskResult.Results)
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{
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var tempVariety = _underlyingDataProvider.GetVariety(item.Trade.UnderlyingCode);
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double closePrice = 0.0;
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switch (req.CalcMarginType)
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{
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case CalcMarginTypeEnum.None:
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case CalcMarginTypeEnum.EodMargin:
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closePrice = req.PriceProvider.GetPrice(item.Trade.UnderlyingCode);
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break;
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case CalcMarginTypeEnum.InitialMargin:
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closePrice = item.Trade.SpotPrice ?? 0;
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break;
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default:
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break;
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}
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var client = helper.GetClient(item.Trade.ClientId);
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if (item.ValueResult == null)
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{
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throw new Exception("PV结算结果为null");
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}
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var deltaMerge = item.ValueResult.Delta;
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var vegaMerge = item.ValueResult.Vega;
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var gammaMerge = item.ValueResult.Gamma;
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var pvMerge = item.ValueResult.Pv;
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var PositionPnl = req.CalcMarginType == CalcMarginTypeEnum.InitialMargin ? 0 :
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pvMerge - (EodOperationBase.GetPositionCost(item.Trade.TradePrice ?? 0, item.Trade.Notional, item.Trade.OriginalNotional ?? 0, item.Trade.BuySell));
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PositionPnl = PositionPnl > 0 ? PositionPnl : 0;
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bool isTwoSide = HasTwoSideMargin(item.Trade.ClientId);
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//逐笔预付金算法
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var margin = MarginAlgorithm(deltaMerge, pvMerge, closePrice, isTwoSide, tempVariety.Margin ?? 0, item.Trade, PositionPnl);
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if (item.Trade.TradeType == "自定义交易")
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{
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if (helper.GetSpecialMargin(item.Trade, 0, out var value))
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{
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margin = value;
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}
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}
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tradeSpans.Add(new trade_span
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{
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TradeId = item.Trade.id,//默认记录为第一条交易记录中
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OptDate = DateTime.Now,
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OptId = req.userId,
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OptName = req.userName,
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ClientId = item.Trade.ClientId,
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ValueDate = req.settleDate,
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UnderlyingId = item.Trade.UnderlyingId,
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UnderlyingCode = item.Trade.UnderlyingCode,
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DeltaMargin = margin,
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WorstCastClientPayable = margin,
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Comment = $"delta:{deltaMerge},closePrice:{closePrice},pv:{pvMerge}" +
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$",gamma{gammaMerge},交易员方向:{item.Trade.BuySell},持仓盈亏：{PositionPnl},预付金率：{tempVariety.Margin},单双向：{client.MarginOptionType}"
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});
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}
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return tradeSpans;
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}
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}
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private List<trade_span> ForwardMarginCalculation(RunMarginCalculationReq req, RunMarginCalculationHelper helper)
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{
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var futureTradeList = req.tradeList;
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var tradeSpans = new List<trade_span>();
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using (var db = new YLContext())
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{
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if (!req.hasOptionInfo)
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{
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tradeBLL.SetFieldsByTradeType(futureTradeList);
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}
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: futureTradeList,
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calcScenario: req.GetCalcScenario(),
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.BASIC_GREEKS, addVolRateDic: null,
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volType: req.volType, isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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logger.Info($"远期预付金计算,交易入:[{futureTradeList.Count}条],返回[{tradeRiskResult.Results.Count}],错误:{tradeRiskResult.ErrorMessage}");
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//计算预付金包含错误信息时弹出错误信息
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if (!string.IsNullOrWhiteSpace(tradeRiskResult.ErrorMessage))
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{
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throw new Exception(tradeRiskResult.ErrorMessage);
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}
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if (tradeRiskResult.Results.Count < 1)
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{
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return tradeSpans;
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}
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var vegaCoefficient = valuedateBLL.SystemDate.FutureMarginVegaCoefficient ?? 3;
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var omegaCoefficient = valuedateBLL.SystemDate.FutureMarginOmegaCoefficient ?? 2.5;
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var alphaRate = valuedateBLL.SystemDate.FutureMarginAlphaRate ?? 1;
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//如果持仓中的所有远期delta方向相同，那么无视delta方向，每笔远期交易都按照delta绝对值计算margin；
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bool IsDeltaMerge = tradeRiskResult.Results.All(a => a.ValueResult.Delta >= 0) || tradeRiskResult.Results.All(a => a.ValueResult.Delta <= 0);
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var tradeIds = futureTradeList.Where(O => O.id > 0).Select(O => O.id);
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var tradeCashDict =
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db.trade_cash.Where(O => tradeIds.Contains(O.TradeId) && O.ValidState != "InValid" && !O.IsDeleted && O.Action != ClientCashInCashOut.系统操作_期权费)
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.AsEnumerable()
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.GroupBy(O => O.TradeId)
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.ToDictionary(K => K.Key, V => V.ToList());
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var marginCostDict = db.eod_forward_margin.Where(x => x.ValueDate == req.settleDate && tradeIds.Contains(x.TradeId))
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.AsEnumerable()
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.GroupBy(O => O.TradeId)
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.ToDictionary(K => K.Key, V => V.FirstOrDefault()?.MarginCost ?? 0);
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foreach (var item in tradeRiskResult.Results)
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{
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var tempVariety = _underlyingDataProvider.GetVariety(item.Trade.UnderlyingCode);
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double closePrice = 0.0;
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switch (req.CalcMarginType)
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{
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case CalcMarginTypeEnum.None:
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case CalcMarginTypeEnum.EodMargin:
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closePrice = req.PriceProvider.GetPrice(item.Trade.UnderlyingCode);
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break;
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case CalcMarginTypeEnum.InitialMargin:
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closePrice = item.Trade.SpotPrice ?? 0;
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break;
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default:
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break;
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}
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if (item.ValueResult == null)
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{
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throw new Exception("PV结算结果为null");
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}
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var deltaMerge = item.ValueResult.Delta;
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var vegaMerge = item.ValueResult.Vega;
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var gammaMerge = item.ValueResult.Gamma;
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var pvMerge = item.ValueResult.Pv;
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var marginCost = marginCostDict.TryGetValue(item.Trade.id, out var margincost) ? margincost : 0;
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var unwindTradeCashList = tradeCashDict.TryGetValue(item.Trade.id, out var cashList) ? cashList : new List<trade_cash>();
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//平仓比例
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double unwindRatio = unwindTradeCashList.Any() ? unwindTradeCashList.Sum(a => a.UnwindNotional.Value) / item.Trade.OriginalNotional.Value : 0;
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//持仓比例
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double positionRatio = 1 - unwindRatio;
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//持仓盈亏 = 持仓市值+开仓总费用 * 持仓比例
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var pnl = pvMerge + item.Trade.TradePrice.Value * positionRatio + marginCost;
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logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}持仓盈亏 = 持仓市值 + 开仓总费用 * 持仓比例");
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logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}PnL = {pvMerge} + {item.Trade.TradePrice.Value} * {positionRatio} + {marginCost}");
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pnl = req.CalcMarginType == CalcMarginTypeEnum.InitialMargin ? 0 : Math.Max(0, pnl);
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deltaMerge = IsDeltaMerge ? Math.Abs(deltaMerge) : deltaMerge;
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//预付金计算公式: delta * 标的收盘价 * 交易所预付金率 + 客户亏损部分
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double value = deltaMerge * closePrice * (tempVariety.Margin ?? 0) + pnl;
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logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}预付金计算公式: delta * 标的收盘价 * 交易所预付金率 + 客户亏损部分");
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logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}预付金 = {deltaMerge} * {closePrice} * {(tempVariety.Margin ?? 0)} + {pnl}");
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tradeSpans.Add(new trade_span
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{
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TradeId = item.Trade.id,//默认记录为第一条交易记录中
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OptDate = DateTime.Now,
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OptId = req.userId,
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OptName = req.userName,
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ClientId = item.Trade.ClientId,
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ValueDate = req.settleDate,
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UnderlyingId = item.Trade.UnderlyingId,
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UnderlyingCode = item.Trade.UnderlyingCode,
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DeltaMargin = value,
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WorstCastClientPayable = value,
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Comment = $"远期交易，delta:{deltaMerge},closePrice:{closePrice},pv:{pvMerge}" +
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$",gamma{gammaMerge},交易员方向:{item.Trade.BuySell},预付金率：{tempVariety.Margin}"
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});
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}
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}
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return tradeSpans;
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}
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public override double GetTradeMargin(GetTradeMarginReq req)
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{
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using (var db = new YLContext())
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{
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if (req.trade.TradeType == "结构化交易")
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{
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req.trade.SubTrades = db.trade.Where(x => x.ParentTradeId == req.trade.id).ToList();
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}
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}
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var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
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if (null != tradeMargin)
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{
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return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
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}
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return 0.0;
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}
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public override List<trade_span> CalcClientMargin(CalcClientMarginReq req)
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{
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var clientSpanNews = new List<ClientSpan>();
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using (var db = new YLContext())
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{
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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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{
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var clientGroups = req.tradeSpans.AsEnumerable().GroupBy(t => t.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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List<ClientSpan> clientSpans = new List<ClientSpan>();
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var tradeSpanGroup = clientGroup.ToList();
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var tradeIds = tradeSpanGroup.Select(a => a.TradeId).ToList();
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var notForwardTrades = db.trade.Where(a => tradeIds.Contains(a.id) && a.TradeType != "远期").ToList();
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#region 非远期
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if (notForwardTrades.Any())
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{
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var notForwardTradeIds = notForwardTrades.Select(a => a.id);
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//双向追保，客户只有买入交易 则预付金为0
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if (notForwardTrades.All(a => a.BuySell == "卖出") && HasTwoSideMargin(clientGroup.Key ?? 0))
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{
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var tradeSpansUpdate = db.trade_span.Where(x => notForwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => notForwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = 0);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = 0);
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var clientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key ?? 0,
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ValueDate = req.settleDate,
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DeltaMargin = 0,
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WorstCastClientPayable = 0
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};
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clientSpans.Add(clientSpan);
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}
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else
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{
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var umTradeSpanGroup = tradeSpanGroup.Where(x => notForwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).AsEnumerable().GroupBy(a => a.UnderlyingId);
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var umClientSpans = new List<ClientSpan>();
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foreach (var umTrade in umTradeSpanGroup)
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{
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var umClientSpan = new ClientSpan
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{
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UnderlyingId = umTrade.Key,
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ClientId = clientGroup.Key ?? 0,
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ValueDate = req.settleDate,
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DeltaMargin = umTrade.Sum(u => u.DeltaMargin) * (-1)
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};
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umClientSpans.Add(umClientSpan);
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}
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var notForwardClientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key ?? 0,
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ValueDate = req.settleDate,
|
||
//负数代表客户应缴预付金，正数代表客户应收预付金
|
||
DeltaMargin = umClientSpans.Sum(g => g.DeltaMargin),
|
||
WorstCastClientPayable = umClientSpans.Sum(g => g.DeltaMargin)
|
||
};
|
||
clientSpans.Add(notForwardClientSpan);
|
||
}
|
||
}
|
||
#endregion
|
||
#region 远期
|
||
var forwardTrades = db.trade.Where(a => tradeIds.Contains(a.id) && a.TradeType == "远期").ToList();
|
||
if (forwardTrades.Any())
|
||
{
|
||
var forwardTradeIds = forwardTrades.Select(a => a.id);
|
||
var forwardTradeSpans = tradeSpanGroup.Where(x => forwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate);
|
||
|
||
var margin = Math.Abs((forwardTradeSpans.Sum(g => g.DeltaMargin) ?? 0)) * -1;
|
||
var forwardClientSpan = new ClientSpan
|
||
{
|
||
ClientId = clientGroup.Key ?? 0,
|
||
ValueDate = req.settleDate,
|
||
//负数代表客户应缴预付金，正数代表客户应收预付金
|
||
DeltaMargin = margin,
|
||
WorstCastClientPayable = margin
|
||
};
|
||
clientSpans.Add(forwardClientSpan);
|
||
|
||
var tradeSpansUpdate = db.trade_span.Where(x => forwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
|
||
var tradeSpansReq = req.tradeSpans.Where(x => forwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
|
||
if (margin > 0)
|
||
{
|
||
tradeSpansUpdate.ForEach(a => a.WorstCastClientPayable = 0);
|
||
tradeSpansReq.ForEach(a => a.WorstCastClientPayable = 0);
|
||
}
|
||
}
|
||
#endregion
|
||
|
||
var item = new ClientSpan
|
||
{
|
||
ClientId = clientGroup.Key ?? 0,
|
||
ValueDate = req.settleDate,
|
||
//负数代表客户应缴预付金，正数代表客户应收预付金
|
||
DeltaMargin = clientSpans.Sum(g => g.DeltaMargin),
|
||
WorstCastClientPayable = clientSpans.Sum(g => g.DeltaMargin),
|
||
OptId = req.userId,
|
||
OptName = req.userName,
|
||
OptDate = DateTime.Now,
|
||
SpanType = req.SpanType,
|
||
AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
|
||
&& req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key ?? 0, out var dd) ? dd : 0
|
||
};
|
||
clientSpanNews.Add(item);
|
||
|
||
}
|
||
}
|
||
//span类型为实时删除所有实时计算的交易的预付金信息
|
||
if (req.SpanType == ClientSpan.SpanType_RealTime)
|
||
{
|
||
if (req.RefreshClientIds != null)
|
||
{
|
||
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
|
||
}
|
||
else
|
||
{
|
||
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}=@SpanType", new { req.SpanType });
|
||
}
|
||
}
|
||
else
|
||
{
|
||
if (req.ClientIds != null)
|
||
{
|
||
var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
||
db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
|
||
}
|
||
else
|
||
{
|
||
var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
||
db.BulkDelete<ClientSpan>(sql);
|
||
}
|
||
|
||
var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag).ToList();
|
||
//筛选出可以修改的clientSpan
|
||
clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
|
||
}
|
||
|
||
|
||
if (clientSpanNews.Count > 0)
|
||
{ MySqlBulkExtensions.BulkInsert(db, clientSpanNews); }
|
||
db.SaveChanges();
|
||
return req.tradeSpans;
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 预付金算法
|
||
/// </summary>
|
||
/// <returns></returns>
|
||
public double? MarginAlgorithm(double deltaMerge, double pvMerge, double closePrice, bool isTwoSide, double Margin, trade tradeModel, double PositionPnl)
|
||
{
|
||
//交易员买入 delta为正，卖出为负
|
||
deltaMerge = tradeModel.BuySell == "买入" ? Math.Abs(deltaMerge) : -Math.Abs(deltaMerge);
|
||
var value = 0.0;
|
||
// 预付金 = delta（交易员方向delta） * 标的收盘价 * 交易所预付金率 + 持亏（交易员方向）
|
||
value = deltaMerge * closePrice * Margin + PositionPnl;
|
||
|
||
if (tradeModel.BuySell == "卖出" && !isTwoSide)//单向 客户买入
|
||
{
|
||
value = 0;
|
||
}
|
||
|
||
return value;
|
||
}
|
||
}
|
||
}
|