508 lines
22 KiB
C#
508 lines
22 KiB
C#
using Qdp.Pricing.Base.Implementations;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Linq.Dynamic.Core;
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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.BLL.Calculation;
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using YLErp.BLL.MarginCalculation.DongWu;
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using YLErp.DBModels;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Model;
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using YLErp.Model.Enum;
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using YLErp.Models;
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using YLErp.Modules;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.MarginModule;
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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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/// 东吴预付金计算
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/// TODO ：东吴预付金计算待解决问题：
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/// 1.接入收盘测试并测试
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/// 2.接入定价预付金计算并测试
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/// 3.接入实时预付金计算并测试
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/// </summary>
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public class DongWuMarginCalculation : MarginCalculationBase
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{
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private const string ExtensionNodeName = "DongWu_Margin";
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private const string Margin1PreName = "Margin1";
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private const string Margin3PreName = "Margin3";
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private const int PriceCount = 21;
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private const double CoverMarginRate = 1.4;
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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 DongWuMarginCalculation Instance;
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static DongWuMarginCalculation()
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{
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Instance = new DongWuMarginCalculation();
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}
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protected DongWuMarginCalculation()
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{
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}
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#region Override Base Method
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/// <summary>
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/// 计算交易预付金
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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// 交易预付金计算结果
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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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// 为了算客户角度的一个预付金数值
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helper.ReverseTradeSide();
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// 设置期权详情
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helper.SetFieldsByTradeType();
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//标的集合
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helper.GetMarginParamProvider(MarginParamTypeEnum.MarginRate | MarginParamTypeEnum.UpDownLimit);
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var umCodeSet = helper.GetUnderlyingCodes();
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// 预付金参数管理
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var marginParamProviderManager = new MarginParamProviderManager(umCodeSet);
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marginParamProviderManager.Initial(req);
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// 创建价格
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var priceProviders = new Dictionary<string, List<PriceProviderWrap>>();
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foreach (var underlyingCode in umCodeSet)
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{
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// 生成Margin1 价格
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double? settlePrice = null;
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if (req.CalcMarginType != CalcMarginTypeEnum.EodMargin)
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{
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// 如果是实时预付金计算，用前一天的结算价
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var settlementDayEodPrice = EodPriceQueryService.GetEodPrice(req.settleDate.AddDays(-1), underlyingCode);
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settlePrice = settlementDayEodPrice?.SettlePrice ?? 0;
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}
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IPriceFactory priceProviderFactory1 = new PriceFactory(req.settleDate, settlePrice, underlyingCode, new UpDownLimitMargin1Provider(req.settleDate, underlyingCode, marginParamProviderManager));
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var unPriceProviders1 = priceProviderFactory1.Generate(priceCount: PriceCount, preName: Margin1PreName);
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// 生成Margin3 价格
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IPriceFactory priceProviderFactory3 = new PriceFactory(req.settleDate, settlePrice, underlyingCode, new UpDownLimitMargin3Provider(req.settleDate, underlyingCode));
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var unPriceProviders3 = priceProviderFactory3.Generate(priceCount: PriceCount, preName: Margin3PreName);
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priceProviders.Add(underlyingCode, new List<PriceProviderWrap>() { unPriceProviders1, unPriceProviders3 });
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}
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foreach (var trade in req.tradeList)
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{
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// 获取标的价格
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if (!priceProviders.TryGetValue(trade.UnderlyingCode, out List<PriceProviderWrap> priceProviderWraps))
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{
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continue;
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}
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// 计算交易PV结果
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var pVJsons = new List<PVJson>();
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//计算pv方法
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Action<Dictionary<string, IPriceProvider>> calcPv = (unPriceProviders) =>
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{
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foreach (var priceProvider in unPriceProviders)
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{
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var cloneTrade = trade.Clone();
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var tradeRiskResult = CalculateRisksForTrades(req, priceProvider.Value, cloneTrade);
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var pVJson = new PVJson();
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pVJson.TradeId = trade.id;
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pVJson.UnderlyingId = trade.UnderlyingId;
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var un = DataCacheProvider.GetUnderlyingDataSource().GetData(trade.UnderlyingCode);
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pVJson.VarietyId = un.UnderlyingTypeId;
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pVJson.Name = priceProvider.Key;
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pVJson.ClientId = trade.ClientId;
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pVJson.Value = tradeRiskResult.Results.FirstOrDefault().ValueResult.Pv;
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pVJsons.Add(pVJson);
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}
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};
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// 计算 Margin1 trade pv
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var priceProviderWrap1 = priceProviderWraps.FirstOrDefault(g => g.Name == Margin1PreName);
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calcPv(priceProviderWrap1.priceProviders);
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// 计算 Margin3 trade pv
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var priceProviderWrap3 = priceProviderWraps.FirstOrDefault(g => g.Name == Margin3PreName);
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calcPv(priceProviderWrap3.priceProviders);
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// Create TradeSpan
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var contains = resultMap.TryGetValue(trade.id, out var tempTradeSpan);
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if (!contains)
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{
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resultMap[trade.id] = tempTradeSpan = helper.CreateTradeSpan(trade);
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}
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tempTradeSpan.WorstCastClientPayable = pVJsons.Max(l => l.Value);
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PriceJson priceJson = new PriceJson()
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{
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Pvs = pVJsons,
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UpLimitRate = priceProviderWrap1.UpLimitRate,
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DownLimitRate = priceProviderWrap1.DownLimitRate,
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UpLimitRate3 = priceProviderWrap3.UpLimitRate,
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DownLimitRate3 = priceProviderWrap3.DownLimitRate,
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IsCover = priceProviderWrap1.IsCover,
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IsTouch = priceProviderWrap1.IsTouch
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};
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tempTradeSpan.SetExtensions(ExtensionNodeName, priceJson);
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}
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return resultMap.Values.ToList();
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}
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/// <summary>
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/// 计算客户预付金
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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public override List<trade_span> CalcClientMargin(CalcClientMarginReq req)
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{
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// 客户预付金计算结果
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var clientSpanNews = new List<ClientSpan>();
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var updateTradeSpans = new List<trade_span>();
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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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{
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var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
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var tradeList = GetTrades(tradeIds);
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var tradeSpanInfo = (from tradeSpan in req.tradeSpans
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join trade in tradeList on tradeSpan.TradeId equals trade.id
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//2023-02-24：排除掉现金流交易，现金流交易应该不需要预付金
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where tradeSpan.ValueDate == req.settleDate && trade.TradeType != "现金流交易"
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select new
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{
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PriceJson = tradeSpan.GetFromExtensions<PriceJson>(ExtensionNodeName),
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trade,
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tradeSpan
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}).ToList();
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var varietyCoverStatus = tradeSpanInfo.GroupBy(g => g.tradeSpan.VarietyId ?? 0).ToDictionary(g => g.Key, g => g.Any(b => b.PriceJson != null && b.PriceJson.IsCover));
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var varietyTouchStatus = tradeSpanInfo.GroupBy(g => g.tradeSpan.VarietyId ?? 0).ToDictionary(g => g.Key, g => g.Any(b => b.PriceJson != null && b.PriceJson.IsTouch));
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var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var pVJsons1 = new List<DongwuPVJson>();
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var pVJsons3 = new List<DongwuPVJson>();
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foreach (var tradeInfo in clientGroup)
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{
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if (tradeInfo.PriceJson != null)
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{
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// margin1
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pVJsons1.AddRange(tradeInfo.PriceJson.Pvs.Where(b => b.Name.StartsWith(Margin1PreName)).Select(
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g => new DongwuPVJson
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{
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TradeSpanId = tradeInfo.tradeSpan.id,
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ClientId = g.ClientId,
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Describe = g.Describe,
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Name = g.Name,
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TradeId = g.TradeId,
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UnderlyingId = g.UnderlyingId,
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Value = g.Value,
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VarietyId = g.VarietyId
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}).ToList());
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// margin3
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pVJsons3.AddRange(tradeInfo.PriceJson.Pvs.Where(b => b.Name.StartsWith(Margin3PreName)).Select(
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g => new DongwuPVJson
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{
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TradeSpanId = tradeInfo.tradeSpan.id,
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ClientId = g.ClientId,
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Describe = g.Describe,
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Name = g.Name,
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TradeId = g.TradeId,
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UnderlyingId = g.UnderlyingId,
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Value = g.Value,
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VarietyId = g.VarietyId
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}).ToList());
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}
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}
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// 计算单个客户预付金
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var clientPv = CalcClientMargin(clientGroup.Key, pVJsons1, pVJsons3, (int varietyId) =>
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{
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varietyCoverStatus.TryGetValue(varietyId, out bool isCover);
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return isCover;
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}, (int varietyId) =>
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{
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varietyTouchStatus.TryGetValue(varietyId, out bool isTouch);
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return isTouch;
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}, (List<DongwuPVJson> UpdatePVJsons) =>
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{
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updateTradeSpans.AddRange(UpdatePVJsons.Select(g => new trade_span() { id = g.TradeSpanId, WorstCastClientPayable = g.Value }));
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});
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// 计算客户维度预付金
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var clientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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DeltaMargin = tradeSpanInfo.Where(g => g.trade.ClientId == clientGroup.Key).Sum(g => g.tradeSpan.DeltaMargin * -1),
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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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WorstCastClientPayable = -clientPv,
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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 && req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key, out var dd) ? dd : 0
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};
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clientSpan.PVJsonList = new List<ClientPVJson>();
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clientSpan.PVJsons = JsonHelper.ToJson(clientSpan.PVJsonList);
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clientSpanNews.Add(clientSpan);
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}
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}
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SaveClientSpan(req, clientSpanNews, updateTradeSpans);
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return req.tradeSpans;
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}
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/// <summary>
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/// 获取交易预付金计算结果
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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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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using (var db = new YLContext())
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{
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if (trade.TradeType == "结构化交易")
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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 && tradeMargin.FirstOrDefault() != null)
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{
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var margin = tradeMargin.FirstOrDefault().WorstCastClientPayable ?? 0.0;
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return Math.Max(margin, 0);
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}
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return 0.0;
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}
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#endregion
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#region
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/// <summary>
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/// 东吴-计算客户预付金逻辑
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/// </summary>
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/// <param name="pVJsons1"></param>
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/// <param name="pVJsons3"></param>
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/// <returns></returns>
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private double CalcClientMargin(int clientId, List<DongwuPVJson> pVJsons1, List<DongwuPVJson> pVJsons3, Func<int, bool> isCoverFunc, Func<int, bool> isTouchFunc, Action<List<DongwuPVJson>> updateTradespansAction)
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{
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/*
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计算客户预付金：
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1.计算标的预付金
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2.计算品种预付金
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3.计算客户预付金
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*/
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// 计算品种维度预付金方法
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var calcVarietyMargin = (List<DongwuPVJson> pVJsons) =>
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{
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var varietyMarginDic = pVJsons
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.GroupBy(g => new { g.VarietyId, g.UnderlyingId, g.Name }).Select(g => new
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{
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// 同品种、同标的、同价格合计pv
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UnderlyingId = g.Key.UnderlyingId,
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VarietyId = g.Key.VarietyId,
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Name = g.Key.Name, // 前缀+价格，例如：Margin1_3.00
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UnPriceSumPv = g.Sum(b => b.Value),
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Tradespans = g.ToList()
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})
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.GroupBy(g => new { g.VarietyId, g.UnderlyingId }).Select(g => new
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{
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// 同品种、同标的取最大pv
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UnderlyingId = g.Key.UnderlyingId,
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VarietyId = g.Key.VarietyId,
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UnPv = g.Max(g => g.UnPriceSumPv),
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Tradespans = g.Where(a => a.UnPriceSumPv == g.Max(g => g.UnPriceSumPv)).First().Tradespans
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})
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.GroupBy(g => g.VarietyId).Select(g => new
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{
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// 同品种轧差pv
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VarietyId = g.Key,
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VarietyPv = g.Sum(b => b.UnPv),
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Tradespans = g.SelectMany(a => a.Tradespans).ToList()
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}).ToDictionary(g => g.VarietyId, g => g);
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return varietyMarginDic;
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};
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// 计算品种维度margin1预付金
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var varietyMargin1Dic = calcVarietyMargin(pVJsons1);
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// 计算品种维度margin3预付金
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var varietyMargin3Dic = calcVarietyMargin(pVJsons3);
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// 品种Pv=Max(Margin1,Margin3),如果有触板的品种需要乘1.4
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Dictionary<int, double> varietyPv = new Dictionary<int, double>();
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foreach (var varietyId in varietyMargin1Dic.Keys)
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{
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var clientMargin1 = varietyMargin1Dic[varietyId];
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var clientMargin3 = varietyMargin3Dic[varietyId];
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var maxPv = 0.00;
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List<DongwuPVJson> updatePvJsons;
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if (clientMargin1.VarietyPv > clientMargin3.VarietyPv)
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{
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maxPv = clientMargin1.VarietyPv;
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updatePvJsons = clientMargin1.Tradespans;
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}
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else
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{
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maxPv = clientMargin3.VarietyPv;
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updatePvJsons = clientMargin3.Tradespans;
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}
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bool isCover = isCoverFunc(varietyId);
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bool isTouch = isTouchFunc(varietyId);
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if (!isCover && isTouch)
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{
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maxPv = CoverMarginRate * maxPv;
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}
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varietyPv.Add(varietyId, maxPv);
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// 回写trade_span预付金值
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updateTradespansAction(updatePvJsons);
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}
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// 计算客户维度pv=合计所有品种的pv
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var clientPv = varietyPv.Values.Sum();
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var client = DataCacheProvider.GetClientDataSource().GetData(clientId);
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保)
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{
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// 单项预付金如果小于0，则显示0
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clientPv = Math.Max(clientPv, 0);
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}
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return clientPv;
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}
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/// <summary>
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/// 计算交易风险
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/// </summary>
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/// <param name="req"></param>
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/// <param name="priceProvider"></param>
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/// <param name="trade"></param>
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/// <returns></returns>
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private TradeRiskResult CalculateRisksForTrades(RunMarginCalculationReq req, IPriceProvider priceProvider, trade trade)
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{
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var reqConv = new CalculateRisksForTradesReq
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{
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valueDate = req.settleDate,
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tradeList = new List<trade>() { trade },
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priceProvider = priceProvider,
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pricingRequest = QdpPricingRequest.PV_ONLY,
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volType = req.volType,
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isUseTradeVol = PS.Config.IsTradeVol,
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PreciseTimeMode = req.CalcMarginType != Enums.CalcMarginTypeEnum.EodMargin,
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isAddVolPercent = true,
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isMarginCalc = true
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};
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if (req.CalcMarginType == Enums.CalcMarginTypeEnum.EodMargin)
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{
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reqConv.calcScenario = Enums.CalcScenarioEnum.EodSettlement;
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}
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if (req.CalcMarginType == Enums.CalcMarginTypeEnum.InitialMargin)
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{
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reqConv.calcScenario = Enums.CalcScenarioEnum.InitialMargin;
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}
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return CalculatorHelper.CalculateRisksForTrades(reqConv);
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}
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/// <summary>
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/// 查询交易
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/// </summary>
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/// <param name="tradeIds"></param>
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/// <returns></returns>
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private List<trade> GetTrades(List<int> tradeIds)
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{
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using (var db = new YLContext())
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{
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var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();
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return tradeList;
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}
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}
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/// <summary>
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/// 批量保存客户预付金
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/// </summary>
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/// <param name="req"></param>
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/// <param name="clientSpanNews"></param>
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private void SaveClientSpan(CalcClientMarginReq req, List<ClientSpan> clientSpanNews, List<trade_span> updateTradeSpans)
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{
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using (var db = new YLContext())
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{
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// 回写更新交易预付金
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var tradespanids = updateTradeSpans.Select(t => t.id).ToList();
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var trade_spans = db.trade_span.Where(g => tradespanids.Contains(g.id)).ToList();
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var updatetradeSpanData = (from updatetradeSpan in updateTradeSpans
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join tradeSpan in trade_spans on updatetradeSpan.id equals tradeSpan.id
|
|
select new
|
|
{
|
|
updatetradeSpan,
|
|
tradeSpan
|
|
});
|
|
foreach (var item in updatetradeSpanData)
|
|
{
|
|
item.tradeSpan.WorstCastClientPayable = item.updatetradeSpan.WorstCastClientPayable;
|
|
}
|
|
|
|
|
|
//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)
|
|
.Select(n => new { n.ValueDate, n.ClientId }).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();
|
|
}
|
|
}
|
|
#endregion
|
|
}
|
|
|
|
public class DongwuPVJson : PVJson
|
|
{
|
|
public int TradeSpanId { get; set; }
|
|
}
|
|
}
|