514 lines
21 KiB
C#
514 lines
21 KiB
C#
using Qdp.Pricing.Base.Implementations;
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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.Modules.DataProviderModule;
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using YLErp.Modules.MarginModule;
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namespace YLErp.BLL.MarginCalculation
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{
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public class GDGZMarginCalculation : MarginCalculationBase
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{
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// 定义一个静态变量来保存类的实例(单例模式)
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public static readonly GDGZMarginCalculation Instance;
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static GDGZMarginCalculation()
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{
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Instance = new GDGZMarginCalculation();
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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 GDGZMarginCalculation()
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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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if (req.tradeList == null || !req.tradeList.Any())
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{
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return new List<trade_span>(0);
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}
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return new InnerRunMarginCalculation(req, _underlyingDataProvider).CalcMargin();
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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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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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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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{
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db.client_span.AddRange(clientSpanNews);
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}
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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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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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/// <summary>
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/// 内部计算交易预付金类
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/// </summary>
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class InnerRunMarginCalculation
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{
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readonly RunMarginCalculationReq _req;
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readonly List<trade_span> _tradeSpans;
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readonly bool _isInitialMargin;
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readonly RunMarginCalculationHelper _helper;
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MarginParamProvider _mpProvider;
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public InnerRunMarginCalculation(RunMarginCalculationReq req, UnderlyingDataProvider underlyingDataProvider)
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{
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_req = req;
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_tradeSpans = new List<trade_span>();
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_isInitialMargin = req.CalcMarginType == CalcMarginTypeEnum.InitialMargin;
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_helper = new RunMarginCalculationHelper(_req, underlyingDataProvider);
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}
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public List<trade_span> CalcMargin()
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{
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_tradeSpans.Clear();
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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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//设置详细信息
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_helper.SetFieldsByTradeType();
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//计算一组数据的交易风险指标
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var calcReq = _helper.GetCalculateRisksForTradesReq(
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priceProvider: _req.PriceProvider,
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addVolRateDic: null, overrideVols: null,
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pricingRequest: PricingRequest.Pv | PricingRequest.Delta | PricingRequest.Gamma);
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
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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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//跨式组合
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var tradeStraddleList = new List<TradeRiskResultRecord>();
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//结构化交易组合
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var tradeStructureList = new List<TradeRiskResultRecord>();
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//这个循环只处理最简单的情况
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foreach (var item in tradeRiskResult.Results)
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{
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if (item.Trade.StructureType == "跨式组合" || item.Trade.StructureType == "宽跨式组合")
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{
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tradeStraddleList.Add(item);
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}
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else if (item.Trade.StructureType == "结构化交易")
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{
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tradeStructureList.Add(item);
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}
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else
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{
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ProcessSingleTrade(item);
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}
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}
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//处理跨式交易
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var groups = tradeStraddleList.GroupBy(n => n.Trade.ParentTradeId);
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foreach (var grp in groups)
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{
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ProcessStraddleTrades(grp.ToArray());
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}
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//处理结构化组合交易
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groups = tradeStructureList.GroupBy(n => n.Trade.ParentTradeId);
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foreach (var grp in groups)
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{
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ProcessStructureTrades(grp.ToArray());
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}
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return _tradeSpans;
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}
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/// <summary>
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/// 处理单个交易
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/// </summary>
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private void ProcessSingleTrade(TradeRiskResultRecord item)
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{
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var margin = GetUpDownEffectValue(item.ValueResult, out var updownLimit);
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if (!_isInitialMargin)
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{
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margin += item.ValueResult.Pv;
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margin = GetRealMargin(margin, item.Trade.BuySell, item.Trade.ClientId, out _);
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}
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else if (item.Trade.BuySell == "卖出")
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{
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margin = -margin;
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}
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var tradeSpan = _helper.CreateTradeSpan(item.Trade).SetAllSpvAndWorst(margin);
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tradeSpan.Comment = GetComment(item.ValueResult, updownLimit);
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_tradeSpans.Add(tradeSpan);
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}
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/// <summary>
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/// 处理跨式交易
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/// </summary>
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private void ProcessStraddleTrades(TradeRiskResultRecord[] items)
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{
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var firstItem = items[0];
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//组内只有一条交易
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if (items.Length == 1)
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{
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ProcessSingleTrade(firstItem);
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return;
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}
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//初始预付金:两腿初始预付金平分
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//跨式组合的两腿交易方向是一致的
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if (_isInitialMargin)
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{
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var spans1 = items.Select(n =>
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{
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var tradeSpan = _helper.CreateTradeSpan(n.Trade);
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tradeSpan.WorstCastClientPayable = n.ValueResult.Pv + GetUpDownEffectValue(n.ValueResult, out var updownLimit);
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tradeSpan.Comment = GetComment(n.ValueResult, updownLimit);
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return tradeSpan;
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}).ToArray();
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var margin = spans1.Average(n => n.WorstCastClientPayable ?? 0);
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if (firstItem.Trade.BuySell == "卖出")
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{
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margin = -margin;
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}
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foreach (var span in spans1)
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{
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span.SetAllSpvAndWorst(margin);
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}
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_tradeSpans.AddRange(spans1);
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return;
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}
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//持仓预付金
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//一腿预付金为期末结算收支
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//另一腿预付金为期末结算收支+两腿标的涨跌停造成期权价值变化孰大者
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var maxEffectVal = 0d;
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var lastItem = items.Last();
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InnerClient client = null;
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var spans2 = items.Select(n =>
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{
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var effectVal = GetUpDownEffectValue(n.ValueResult, out var updownLimit);
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maxEffectVal = Math.Max(maxEffectVal, effectVal);
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var tradeSpan = _helper.CreateTradeSpan(n.Trade);
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tradeSpan.Comment = GetComment(n.ValueResult, updownLimit);
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var margin = n == lastItem ? n.ValueResult.Pv + maxEffectVal : n.ValueResult.Pv;
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if (client != null && client.ClientId == n.Trade.ClientId)
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{
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margin = GetRealMargin(margin, n.Trade.BuySell, (MarginOptionEnum)client.MarginOptionType);
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}
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else
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{
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margin = GetRealMargin(margin, n.Trade.BuySell, n.Trade.ClientId, out client);
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}
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//设置预付金
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tradeSpan.SetAllSpvAndWorst(margin);
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return tradeSpan;
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});
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_tradeSpans.AddRange(spans2);
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}
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/// <summary>
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/// 处理结构化组合交易
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/// </summary>
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private void ProcessStructureTrades(TradeRiskResultRecord[] items)
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{
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var firstItem = items[0];
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InnerClient client = null;
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client = _helper.GetClient(firstItem.Trade.ClientId);
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double margin = 0d, updownLimit = 0;
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//远期:光子买的腿，初始预付金为期初权利金*2,持仓预付金计算公式与香草一致
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if (firstItem.Trade.TradeNumber.Contains("FWD"))
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{
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foreach (var item in items)
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{
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if (_isInitialMargin)
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{
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if (item.Trade.BuySell == "买入")
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{
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updownLimit = 0;
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margin = item.ValueResult.Pv * 2;
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}
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else
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{
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margin = -GetUpDownEffectValue(item.ValueResult, out updownLimit);
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}
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}
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else
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{
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margin = item.ValueResult.Pv + GetUpDownEffectValue(item.ValueResult, out updownLimit);
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if (client != null && client.ClientId == item.Trade.ClientId)
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{
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margin = GetRealMargin(margin, item.Trade.BuySell, (MarginOptionEnum)client.MarginOptionType);
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}
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else
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{
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margin = GetRealMargin(margin, item.Trade.BuySell, item.Trade.ClientId, out client);
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}
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}
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var tradeSpan = _helper.CreateTradeSpan(item.Trade).SetAllSpvAndWorst(margin);
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tradeSpan.Comment = GetComment(item.ValueResult, updownLimit);
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_tradeSpans.Add(tradeSpan);
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}
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return;
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}
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//价差
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if (firstItem.Trade.TradeNumber.Contains("SPD"))
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{
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//行权价 K1=4000，K2=4500，Notional=10：
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//单向追保：
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//1.交易员买入，预付金5000
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//2.交易员卖出，预付金0
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//双向追保：
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//1.交易员买入，预付金5000
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//2.交易员卖出，预付金 - 5000
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//对手方单向追保：
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//1.交易员买入，预付金0
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//2.交易员卖出，预付金 - 5000
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//双向追保 交易员买入 买入 + 卖出 0
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// 卖出 买入 0 卖出 -
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var sumBuy = items.Sum(n => n.Trade.BuySell == "买入" ? (n.Trade.TradePrice ?? 0) : 0);
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var sumSell = items.Sum(n => n.Trade.BuySell == "买入" ? 0 : (n.Trade.TradePrice ?? 0));
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//行权价之差的绝对值，因为取得时总和的绝对值所以在任何方向取负值都没问题
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var strikeDiff = Math.Abs(items.Sum(n => (n.Trade.BuySell == "买入" ? -1 : 1) * (n.Trade.Strike ?? 0) * n.Trade.TradeAmount));
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//交易员买入价差
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if (sumBuy > sumSell)
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{
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if ((MarginOptionEnum)client.MarginOptionType == MarginOptionEnum.对手方单向追保)
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{
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margin = 0;
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}
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else
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{
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margin = strikeDiff;
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}
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//最后一笔交易员买入
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var lastItem = items.LastOrDefault(n => n.Trade.BuySell == "买入");
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var spans = items.Select(n =>
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{
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var tradeSpan = _helper.CreateTradeSpan(n.Trade);
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if (n == lastItem)
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{
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tradeSpan.SetAllSpvAndWorst(margin);
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tradeSpan.Comment = "客户卖出价差LAST";
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}
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else
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{
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tradeSpan.Comment = "客户卖出价差";
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}
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return tradeSpan;
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}).ToArray();
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_tradeSpans.AddRange(spans);
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}
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else
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{
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//最后一笔客户卖出腿/交易员买入
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var lastItem = items.LastOrDefault(n => n.Trade.BuySell == "买入");
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if ((MarginOptionEnum)client.MarginOptionType == MarginOptionEnum.单向追保)
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{
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margin = 0;
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}
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else
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{
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margin = -strikeDiff;
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}
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var spans = items.Select(n =>
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{
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var tradeSpan = _helper.CreateTradeSpan(n.Trade);
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if ((n == lastItem && (MarginOptionEnum)client.MarginOptionType != MarginOptionEnum.双向追保) || (n != lastItem && (MarginOptionEnum)client.MarginOptionType == MarginOptionEnum.双向追保))
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{
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tradeSpan.SetAllSpvAndWorst(margin);
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tradeSpan.Comment = "客户卖出价差LAST";
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}
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else
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{
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tradeSpan.Comment = "客户卖出价差";
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}
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return tradeSpan;
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}).ToArray();
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_tradeSpans.AddRange(spans);
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}
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}
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else
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{
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foreach (var item in items)
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{
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ProcessSingleTrade(item);
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}
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}
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}
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/// <summary>
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/// 获取涨跌停造成期权价值变化
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/// </summary>
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private double GetUpDownEffectValue(TradeValueResult ValueResult, out double updownLimit)
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{
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if (_mpProvider == null)
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{
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_mpProvider = new MarginParamProvider(_req.UserInfo, _req.settleDate);
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}
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if (!_mpProvider.TryGetUpdownLimit(ValueResult.UnderlyingCode, out updownLimit, out _))
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{
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return 0;
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}
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var spotPrice = ValueResult.SpotPrice ?? 0;
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var spotPriceLimit = spotPrice * updownLimit;
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return Math.Abs(ValueResult.Delta * spotPriceLimit) + Math.Abs(ValueResult.Gamma * spotPriceLimit * spotPriceLimit) / 2;
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}
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/// <summary>
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/// 根据买卖方向和客户追保方向获取预付金实际取值(只用于持仓预付金)
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/// </summary>
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private double GetRealMargin(double margin, string buysell, int clientId, out InnerClient client)
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{
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client = _helper.GetClient(clientId);
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if (client != null)
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{
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return GetRealMargin(margin, buysell, (MarginOptionEnum)client.MarginOptionType);
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}
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return margin;
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}
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/// <summary>
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/// 根据买卖方向和客户追保方向获取预付金实际取值(只用于持仓预付金)
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/// </summary>
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private static double GetRealMargin(double margin, string buysell, MarginOptionEnum marginOptionType)
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{
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if (marginOptionType == MarginOptionEnum.单向追保)
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{
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return buysell == "卖出" ? 0 : Math.Max(margin, 0);
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}
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if (marginOptionType == MarginOptionEnum.对手方单向追保)
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{
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return buysell == "卖出" ? Math.Min(margin, 0) : 0;
|
||
}
|
||
|
||
return margin;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 获取交易预付金备注
|
||
/// </summary>
|
||
private static string GetComment(TradeValueResult ValueResult, double updownLimit)
|
||
{
|
||
return $"Delta:{ValueResult.Delta},closePrice:{ValueResult.SpotPrice},Gamma:{ValueResult.Gamma},updownLimit:{updownLimit:0.00%}";
|
||
}
|
||
}
|
||
}
|
||
}
|