259 lines
11 KiB
C#
259 lines
11 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using YLErp.Abstract.DataProviders;
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using YLErp.Models;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.MarginModule;
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namespace YLErp.BLL.MarginCalculation.DongWu
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{
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public class UpDownLimitMargin1Provider : IUpDownLimitProvider
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{
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private DateTime settleDate;
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private string underlyingCode;
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readonly IUnderlyingDataProvider underlyingDataProvider;
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readonly MarginParamProviderManager marginParamProviderManager;
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public UpDownLimitMargin1Provider(DateTime settleDate, string underlyingCode,
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MarginParamProviderManager marginParamProviderManager)
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{
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this.settleDate = settleDate;
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this.underlyingCode = underlyingCode;
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this.marginParamProviderManager = marginParamProviderManager;
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this.underlyingDataProvider = new UnderlyingDataProvider();
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}
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/// <summary>
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/// 计算Margin1涨跌幅
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/// 1、当天涨停板的定义：每天可以从交易所获得今天的涨跌停版,举例：设当天的涨跌停是10%，那么day1幅度=-12%到12%
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/// 2、封板的定义，获取涨停价、跌停价当天涨跌停版范围使用结算价算出来的，封板：收盘价-当日涨停价价/跌停价的绝对值小于等于2个tick
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/// ----------------------------------------
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/// T日 T-1日 T-2日 所属情景 Limit(day1幅度)
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/// 封板 封板 - 连续封板的第二天 当天涨跌停板+0.02
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/// 封板 未封板 - 首日封板 当天涨跌停板+0.03
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/// 未封板 封板 封板 封板两天后恢复 当天涨跌停板-0.05
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/// 未封板 封板 未封板 昨日封板后恢复 当天涨跌停板-0.03
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/// 未封板 未封板 封板/未封板 正常 当天涨停板
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/// </summary>
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/// <returns></returns>
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public virtual InnerUpDownLimit GetUpDownLimit()
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{
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var t0innerUnderlying = GetInnerUnlyingCode(settleDate);
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var t1innerUnderlying = GetInnerUnlyingCode(settleDate.AddDays(-1));
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var t2innerUnderlying = GetInnerUnlyingCode(settleDate.AddDays(-2));
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var marginRate= new MarginRateManager().GetMarginRate(t0innerUnderlying?.IsCover, t1innerUnderlying?.IsCover, t2innerUnderlying?.IsCover);
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var limitRate = t0innerUnderlying.OriginUpDownLimitRate + marginRate;
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var innerUnderlying = new InnerUpDownLimit()
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{
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UnderlyingCode= t0innerUnderlying.UnderlyingCode,
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//ClosePrice = t0innerUnderlying.ClosePrice,
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IsCover= t0innerUnderlying.IsCover,
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IsTouch = t0innerUnderlying.IsTouch,
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OriginUpDownLimitRate = t0innerUnderlying.OriginUpDownLimitRate,
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UplimitRate = limitRate,
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DownLimitRate = -limitRate
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};
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return innerUnderlying;
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}
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/// <summary>
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/// 查询标的信息（涨跌幅、是否封板，收盘价）
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/// -------------------------------------------------------------------
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///
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/// </summary>
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/// <param name="date"></param>
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/// <param name="underlyingCode"></param>
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/// <returns></returns>
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protected InnerUpDownLimit GetInnerUnlyingCode(DateTime date)
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{
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var um = underlyingDataProvider.GetUnderlying(underlyingCode);
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// 查询t0结算价
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var t0EodPrice = GetEodPrice(date, underlyingCode);
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//var t0SettlePrice = closePrice ?? (t0EodPrice == null ? 0.00 : t0EodPrice.SettlePrice);
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var t0HighPrice= t0EodPrice == null ? 0.00 : t0EodPrice.HighPrice??0;
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var t0LowPrice = t0EodPrice == null ? 0.00 : t0EodPrice.LowPrice??0;
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var t0ClosePrice = t0EodPrice == null ? 0.00 : t0EodPrice.ClosePrice;
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// 查询t-1结算价
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var t1EodPrice = GetEodPrice(date.AddDays(-1), underlyingCode);
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var t1SettlePrice = t1EodPrice == null ? 0.00d : t1EodPrice.SettlePrice;
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// 查询t0的涨跌停幅度(t-1结算价*t0涨跌停率)
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var limitPrice = GetLimit(date, underlyingCode, t1SettlePrice, out double limitRate);
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// t0的涨停价=t-1结算价+t0涨跌停幅度
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double upLimitPrice = t1SettlePrice + limitPrice;
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double downLimitPrice = t1SettlePrice - limitPrice;
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// 是否封板：
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// 1.找不到t-1结算价或找不到t0收盘价，则认为未封板
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// 2.t0结算价-(t0涨停价/t0跌停价)的绝对值小于等于2个tick,则为封板
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var isCover = t0EodPrice == null || t1EodPrice == null ? false : IsCover(t0ClosePrice, upLimitPrice, downLimitPrice, um.PriceTick);
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var isTouch = t0EodPrice == null || t1EodPrice == null ? false : IsTouch(t0HighPrice, t0LowPrice, upLimitPrice, downLimitPrice);
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var innerUnderlying = new InnerUpDownLimit()
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{
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UnderlyingCode = underlyingCode,
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IsCover = isCover,
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IsTouch= isTouch,
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OriginUpDownLimitRate = limitRate
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};
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return innerUnderlying;
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}
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/// <summary>
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/// 获取日终价
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/// </summary>
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/// <param name="date"></param>
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/// <param name="underlyingCode"></param>
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/// <returns></returns>
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private EodPrice GetEodPrice(DateTime date, string underlyingCode)
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{
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return EodPriceQueryService.GetEodPrice(date, underlyingCode);
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}
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/// <summary>
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/// 查询涨跌榜
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/// </summary>
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/// <param name="date"></param>
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/// <param name="underlyingCode"></param>
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/// <param name="preClosePrice"></param>
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/// <param name="limitRate"></param>
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/// <returns></returns>
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private double GetLimit(DateTime date, string underlyingCode, double preClosePrice, out double limitRate)
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{
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var mpProvider = marginParamProviderManager.GetMpProvider(date);
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double limitPrice = 0d;
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if (mpProvider.TryGetUpdownLimit(underlyingCode, out limitRate, out var isFixed))
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{
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if (!isFixed)
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{
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limitPrice = limitRate * preClosePrice;
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}
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}
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return limitPrice;
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}
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/// <summary>
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/// 是否封板：收盘价-当日涨停价价/跌停价的绝对值小于等于2个tick
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/// </summary>
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/// <param name="closePrice"></param>
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/// <param name="upLimitPrice"></param>
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/// <param name="downLimitPrice"></param>
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/// <param name="limit"></param>
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/// <param name="tick"></param>
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/// <returns></returns>
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private bool IsCover(double closePrice, double upLimitPrice, double downLimitPrice, double tick)
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{
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bool isCover= Math.Abs(closePrice - upLimitPrice) <= 2 * tick || Math.Abs(closePrice - downLimitPrice) <= 2 * tick;
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if (!isCover)
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{
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return closePrice >= upLimitPrice || closePrice <= downLimitPrice;
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}
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return isCover;
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}
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/// <summary>
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/// 是否触板：最高价>=涨停价或者最低价<=跌停价
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/// </summary>
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/// <param name="highPrice">最高价</param>
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/// <param name="lowerPrice">最低价</param>
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/// <param name="upLimitPrice">涨停价</param>
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/// <param name="downLimitPrice">跌停价</param>
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/// <returns></returns>
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private bool IsTouch(double highPrice,double lowerPrice, double upLimitPrice, double downLimitPrice)
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{
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return highPrice>= upLimitPrice || lowerPrice <= downLimitPrice;
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}
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/// <summary>
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/// 东吴涨跌涨跌幅度管理
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/// </summary>
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internal class MarginRateManager
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{
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#region
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private const string YesYesYes = "111";
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private const string YesYesNo = "110";
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private const string YesNONo = "100";
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private const string YesNOYes = "101";
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private const string NoYesYes = "011";
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private const string NoYesNo = "010";
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private const string NoNoNo = "000";
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private const string NoNoYes = "001";
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#endregion
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private static readonly Dictionary<string, double> MarginRates = new Dictionary<string, double>()
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{
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{ YesYesYes, 0.02d },
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{ YesYesNo, 0.02d },
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{ YesNONo, 0.03d },
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{ YesNOYes, 0.03d },
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{ NoYesYes, -0.05d },
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{ NoYesNo, -0.03d },
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{ NoNoNo, 0d },
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{ NoNoYes, 0d }
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};
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private int ConvertToEnum(bool isCover)
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{
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return isCover ? 1 : 0;
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}
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public enum CoverEnum
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{
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Yes = 0,
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No = 1,
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}
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public double GetMarginRate(bool? t0IsCover, bool? t1IsCover, bool? t2IsCover)
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{
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string key = $"{ConvertToEnum(t0IsCover??false)}{ConvertToEnum(t1IsCover??false)}{ConvertToEnum(t2IsCover??false)}";
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return MarginRates[key];
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}
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}
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}
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/// <summary>
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/// 预付金参数提供管理类
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/// </summary>
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public class MarginParamProviderManager
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{
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private HashSet<string> umCodeSet;
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private Dictionary<DateTime, MarginParamProvider> marginParamProviders=new Dictionary<DateTime, MarginParamProvider>();
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public MarginParamProviderManager(HashSet<string> umCodeSet)
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{
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this.umCodeSet = umCodeSet;
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}
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public void Initial(RunMarginCalculationReq req)
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{
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var t0MpProvider = new MarginParamProvider(req.UserInfo, req.settleDate);
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t0MpProvider.Initialize(umCodeSet, MarginParamTypeEnum.UpDownLimit);
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marginParamProviders.Add(req.settleDate, t0MpProvider);
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var t1MpProvider = new MarginParamProvider(req.UserInfo, req.settleDate.AddDays(-1));
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t1MpProvider.Initialize(umCodeSet, MarginParamTypeEnum.UpDownLimit);
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marginParamProviders.Add(req.settleDate.AddDays(-1), t1MpProvider);
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var t2MpProvider = new MarginParamProvider(req.UserInfo, req.settleDate.AddDays(-2));
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t2MpProvider.Initialize(umCodeSet, MarginParamTypeEnum.UpDownLimit);
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marginParamProviders.Add(req.settleDate.AddDays(-2), t2MpProvider);
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}
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public MarginParamProvider GetMpProvider(DateTime date)
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{
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if (marginParamProviders.ContainsKey(date))
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{
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return marginParamProviders[date];
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}
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return null;
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}
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}
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}
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