321 lines
14 KiB
C#
321 lines
14 KiB
C#
using YLErp.Abstract.DataProviders;
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Model.Enum;
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using YLErp.Modules.CalculationModule;
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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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/// 伴兴预付金计算
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/// </summary>
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public class BXMarginCalculation : 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 BXMarginCalculation Instance;
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static BXMarginCalculation()
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{
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Instance = new BXMarginCalculation();
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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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protected BXMarginCalculation()
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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 resultMap = new List<trade_span>();
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var list2 = new List<trade>(req.tradeList.Count);
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foreach (var td in req.tradeList)
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{
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if (td.InitialMargin != null && td.CalcFlag == (int)CalcFlagEnum.IgnoreMarginCalc)
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{
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var initMargin = td.InitialMargin * (td.Notional / td.OriginalNotional);
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var ts = new trade_span()
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{
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TradeId = td.id,
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ClientId = td.ClientId,
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ValueDate = req.settleDate,
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UnderlyingId = td.UnderlyingId,
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UnderlyingCode = td.UnderlyingCode,
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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Spv1 = initMargin,
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Spv2 = initMargin,
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Spv3 = initMargin,
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Spv4 = initMargin,
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};
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ts.SetWorstCastClientPayable();
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resultMap.Add(ts);
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}
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else
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{
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list2.Add(td);
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}
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}
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resultMap.AddRange(marginCalculation(req.Clone(list2)));
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return resultMap;
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}
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private List<trade_span> marginCalculation(RunMarginCalculationReq req)
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{
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var resultMap = new Dictionary<int, trade_span>();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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helper.SetFieldsByTradeType();
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using (var db = new YLContext())
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{
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helper.GetTradVolRateDic(out var tradeVolRateDic, t =>
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{
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var pclass = helper.GetClient(t.ClientId)?.ProperClientClass;
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return pclass != null && pclass.Contains("普通投资者") ? 0.02 : 0;
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});
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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var prices = new (string, IPriceProvider)[] {
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("up", upLimitPrices),
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("down", downLimitPrices)
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};
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foreach (var price in prices)
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{
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foreach (var addVolRateDic in new[] { null, tradeVolRateDic })
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{
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var key = $"{price.Item1}_{(addVolRateDic == null ? 0 : 1)}";
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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calcScenario: req.GetCalcScenario(),
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tradeList: req.tradeList,
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priceProvider: price.Item2,
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pricingRequest: QdpPricingRequest.PV_ONLY,
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addVolRateDic: addVolRateDic,
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volType: req.volType,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin,
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isAddVolPercent: false);
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if (tradeRiskResult.Results != null && tradeRiskResult.Results.Count > 0)
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{
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foreach (var item in tradeRiskResult.Results)
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{
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var client = helper.GetClient(item.Trade);
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var clientRatio = client?.Ratio ?? 1.0;
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var pv = item.ValueResult.Pv;
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//if (item.Trade.TradeType == "收益互换")
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//{
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// var getclosePrice = req.PriceProvider.GetPrice(item.Trade.trade_swap.GetUnderlyingCode);
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// UpdownLimit getprice = helper.GetUpDownLimit(item.Trade.trade_swap.GetUnderlyingCode, getclosePrice);
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// var payclosePrice = req.PriceProvider.GetPrice(item.Trade.trade_swap.PayUnderlyingCode);
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// UpdownLimit payprice = helper.GetUpDownLimit(item.Trade.trade_swap.PayUnderlyingCode, payclosePrice);
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// TradeValueResult optionValue = null;
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// if (key == "up_0")
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// {
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// var priceProvidr = new ManualPriceProvider();
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// priceProvidr.SetPrice(item.Trade.trade_swap.GetUnderlyingCode, getprice.UpLimitPrice);
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// priceProvidr.SetPrice(item.Trade.trade_swap.PayUnderlyingCode, payprice.UpLimitPrice);
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// optionValue = PayoffSwapCalcService.CalcValue(item.Trade, item.Trade.trade_swap, req.settleDate, null, req.CalcMarginType == DBModels.Enums.CalcMarginTypeEnum.EodMargin);
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// optionValue = PayoffSwapCalcService.CalcValue(item.Trade, item.Trade.trade_swap, req.settleDate, priceProvidr, req.CalcMarginType == DBModels.Enums.CalcMarginTypeEnum.EodMargin);
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// }
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// else if (key == "down_0")
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// {
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// var priceProvidr = new ManualPriceProvider();
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// priceProvidr.SetPrice(item.Trade.trade_swap.GetUnderlyingCode, getprice.DownLimitPrice);
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// priceProvidr.SetPrice(item.Trade.trade_swap.PayUnderlyingCode, payprice.DownLimitPrice);
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// optionValue = PayoffSwapCalcService.CalcValue(item.Trade, item.Trade.trade_swap, req.settleDate, priceProvidr, req.CalcMarginType == DBModels.Enums.CalcMarginTypeEnum.EodMargin);
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// }
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// pv = optionValue == null ? 0 : optionValue.Pv;
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//}
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if (!helper.GetSpecialMargin(item.Trade, pv, out var value))
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{
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if (item.Trade.CalcFlag == (int)CalcFlagEnum.IgnoreMarginCalc)
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{
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value = item.Trade.InitialMargin ?? 0;
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}
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else
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{
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value = GetMargin(item.Trade, item.ValueResult, clientRatio);
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}
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}
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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if (!contains)
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{
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resultMap[item.Trade.id] = tempTradeSpan = helper.CreateTradeSpan(item.Trade);
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}
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switch (key)
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{
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case "up_0":
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tempTradeSpan.Spv1 = value; break;
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case "up_1":
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tempTradeSpan.Spv2 = value; break;
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case "down_0":
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tempTradeSpan.Spv3 = value; break;
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case "down_1":
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tempTradeSpan.Spv4 = value; break;
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}
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if (contains)
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{
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tempTradeSpan.SetWorstCastClientPayable();
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var value2 = (double)tempTradeSpan.WorstCastClientPayable;
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保)
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{
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value2 = item.Trade.BuySell == "卖出" ? 0 : Math.Max(value2, 0);
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.对手方单向追保)
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{
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value2 = item.Trade.BuySell == "卖出" ? Math.Min(value2, 0) : 0;
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}
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tempTradeSpan.WorstCastClientPayable = value2;
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}
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}
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}
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}
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}
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return resultMap.Values.ToList();
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}
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}
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private double GetMargin(trade trade, TradeValueResult valueResult, double clientRatio)
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{
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var value = 0.0;
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//预付金不再传入结构化主交易数据
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//if (trade.TradeType == "结构化交易")
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//{
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// if (trade.StructureType != null && trade.StructureType.Contains("跨式"))
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// {
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// value = valueResult.MaxAbsPv;
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// }
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// else
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// {
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// value = valueResult.SellPv;
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// }
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//}
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if (trade.TradeType != "自定义交易")
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{
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value = valueResult.Pv;
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}
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return (double.IsNaN(value) ? 0 : value) * clientRatio;
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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.GroupBy(t => t.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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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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//负数代表客户应缴预付金，正数代表客户应收预付金
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Spv1 = -clientGroup.Sum(g => g.Spv1),
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Spv2 = -clientGroup.Sum(g => g.Spv2),
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Spv3 = -clientGroup.Sum(g => g.Spv3),
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Spv4 = -clientGroup.Sum(g => g.Spv4),
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WorstCastClientPayable = -clientGroup.Sum(g => g.WorstCastClientPayable),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType,
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AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
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&& req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key ?? 0, out var dd) ? dd : 0
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};
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clientSpanNews.Add(clientSpan);
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}
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}
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//span类型为实时删除所有实时计算的交易的预付金信息
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if (req.SpanType == ClientSpan.SpanType_RealTime)
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{
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if (req.RefreshClientIds != null)
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{
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db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
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}
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else
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{
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db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}=@SpanType", new { req.SpanType });
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}
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}
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else
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{
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if (req.ClientIds != null)
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{
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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";
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db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
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}
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else
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{
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var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
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db.BulkDelete<ClientSpan>(sql);
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}
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var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag).ToList();
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//筛选出可以修改的clientSpan
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clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
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}
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if (clientSpanNews.Count > 0)
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{ MySqlBulkExtensions.BulkInsert(db, clientSpanNews); }
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db.SaveChanges();
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return req.tradeSpans;
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}
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}
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public override double GetTradeMargin(GetTradeMarginReq req)
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{
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var trade = req.trade;
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if (trade.TradeType == "结构化交易" && trade.id > 0)
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{
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using (var db = new YLContext())
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{
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trade.SubTrades = db.trade.Where(x => x.ParentTradeId == 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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}
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}
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