423 lines
21 KiB
C#
423 lines
21 KiB
C#
using Qdp.Pricing.Base.Implementations;
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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.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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/// <summary>
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/// 国泰君安预付金计算
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/// </summary>
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public class XMXYMarginCalculation : 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 XMXYMarginCalculation Instance;
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static XMXYMarginCalculation()
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{
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Instance = new XMXYMarginCalculation();
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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 XMXYMarginCalculation()
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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>();
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}
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var tradeSpans = RunMarginCalculationForCommodity(helper);
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using (var db = new YLContext())
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{
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var tradeIds = req.tradeList.Select(x => x.id);
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var tradeMarginTemplates = db.trade_margin_template.Where(x => tradeIds.Contains(x.TradeId)).ToList();
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tradeSpans.ForEach(x =>
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{
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var trade = req.tradeList.FirstOrDefault(y => y.id == x.TradeId);
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var tradeMarginTemplate = tradeMarginTemplates.Where(y => y.TradeId == x.TradeId && x.ValueDate <= req.settleDate).OrderByDescending(y => y.ValueDate).FirstOrDefault();
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if (tradeMarginTemplate != null)
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{
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var marginTemplate = db.margin_template_v2.Find(tradeMarginTemplate.MarginTemplateId);
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if (marginTemplate != null)
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{
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switch (marginTemplate.RuleType)
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{
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case (int)MarginRuleTypeEnum.无预付金:
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CalcAsNo(x);
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break;
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case (int)MarginRuleTypeEnum.交易所基本规则:
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var PriceProvider = new EodPriceProvider(req.settleDate).GetPriceProvider(SettlementTypeEnum.ClosePrice);
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CalcAsExchangeBasicRule(x, trade, req, PriceProvider);
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break;
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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 tradeSpans;
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}
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private void CalcAsNo(trade_span span)
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{
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span.Spv1 = 0;
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span.Spv2 = 0;
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span.Spv3 = 0;
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span.Spv4 = 0;
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span.WorstCastClientPayable = 0;
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span.MaxlossMargin = 0;
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span.IsSingleMargin = true;
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}
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private void CalcAsExchangeBasicRule(trade_span span, trade trade, RunMarginCalculationReq req, IEodPriceProviderWrap priceProvider)
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{
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if (trade.BuySell == "买入")
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{
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var mpProvider = helper.GetMarginParamProvider(MarginParamTypeEnum.MarginRate | MarginParamTypeEnum.UpDownLimit);
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mpProvider.TryGetMarginRate(trade.UnderlyingCode, out var marginRate);
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var price = req.PriceProvider.GetPrice(trade.UnderlyingCode);
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if (req.CalcMarginType == CalcMarginTypeEnum.EodMargin)
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{
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price = new EodPriceProvider(req.settleDate).GetPrice(trade.UnderlyingCode, SettlementTypeEnum.ClosePrice);
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}
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double RoundedPv = 0;
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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,//req.PriceProvider,
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pricingRequest = PricingRequest.Pv | PricingRequest.Delta | PricingRequest.Gamma,
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addVolRateDic = null,
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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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overrideVolsForTrade = null,
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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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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(reqConv);
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RoundedPv = tradeRiskResult.Results.Where(x => x.Trade.id == trade.id).FirstOrDefault().ValueResult.Pv;
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var margin1 = RoundedPv + 0.5 * price * trade.TradeAmount * marginRate;
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var margin2 = RoundedPv + price * trade.TradeAmount * marginRate - (trade.OptionType == "看涨" ? Math.Max((trade.ActualStrike ?? 0) - price, 0) : Math.Max(price - (trade.ActualStrike ?? 0), 0)) * trade.Notional / 2;
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//var margin1 = price * trade.Notional + 0.5 * trade.StockEqvNotional * marginRate;
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//var margin2 = price * trade.Notional + trade.StockEqvNotional * marginRate - (trade.OptionType == "看涨" ? Math.Max((trade.ActualStrike ?? 0) - price, 0) : Math.Max(price - (trade.ActualStrike ?? 0), 0)) * trade.Notional / 2;
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var value = Math.Max(margin1, margin2);
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span.Spv1 = value;
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span.Spv2 = value;
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span.Spv3 = value;
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span.Spv4 = value;
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span.WorstCastClientPayable = value;
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span.MaxlossMargin = value;
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span.IsSingleMargin = true;
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}
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}
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//商品类预付金计算
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private static List<trade_span> RunMarginCalculationForCommodity(RunMarginCalculationHelper helper)
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{
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var resultMap = new Dictionary<int, trade_span>();
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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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helper.SetFieldsByTradeType();
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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helper.GetTradVolRateDic(out var tradeVolRateDic);
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var vols = new[] { null, tradeVolRateDic };
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var prices = new (string, IPriceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices) };
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var loops = prices.SelectMany(n => vols.Select(m => new
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{
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pricekey = n.Item1,
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priceProvider = n.Item2,
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addVolRateDic = m
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})).ToArray();
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foreach (var loop in loops)
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{
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var calcReq = helper.GetCalculateRisksForTradesReq(priceProvider: loop.priceProvider, addVolRateDic: loop.addVolRateDic, overrideVols: null);
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
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if (tradeRiskResult.Results == null || tradeRiskResult.Results.Count < 1)
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{
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continue;
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}
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var key = $"{loop.pricekey}_{(loop.addVolRateDic == null ? 0 : 1)}";
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foreach (var item in tradeRiskResult.Results)
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{
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var pv = item.ValueResult.Pv;
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if (!helper.GetSpecialMargin(item.Trade, pv, out var value, helper.req.forOtherSide))
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{
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var clientRatio = helper.GetClient(item.Trade)?.Ratio ?? 1.0;
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value = double.IsNaN(pv) ? 0 : pv * clientRatio;
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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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tempTradeSpan.MaxlossMargin = tempTradeSpan.WorstCastClientPayable;
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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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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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var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
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var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();
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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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where tradeSpan.ValueDate == req.settleDate
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select new { trade, tradeSpan }).ToList();
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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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{
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var tradeSpanInfoOtherSide = (from tradeSpan in req.tradeSpansOtherSide
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join
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trade in tradeList on tradeSpan.TradeId equals trade.id
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where tradeSpan.ValueDate == req.settleDate
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select new { trade, tradeSpan }).ToList();
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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 underlyingGroup = clientGroup.Where(O => O.trade.MarginType == DBModels.Enums.MarginTypeEnum.DEFAULT && O.tradeSpan.IsSingleMargin != true).GroupBy(t => t.trade.UnderlyingId).Select(t => new ClientSpan
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{
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UnderlyingId = t.Key,
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
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Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
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Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
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Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
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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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}).ToList();
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foreach (var item in underlyingGroup)
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{
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item.WorstCastClientPayable = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
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item.TwoSideMargin = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
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#region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
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var tradeIdList = clientGroup.Select(x => x.tradeSpan.TradeId);
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var tradeSpansUpdate = db.trade_span.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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if (item.WorstCastClientPayable == item.Spv1)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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}
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else if (item.WorstCastClientPayable == item.Spv2)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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}
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else if (item.WorstCastClientPayable == item.Spv3)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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}
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else if (item.WorstCastClientPayable == item.Spv4)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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}
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#endregion
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}
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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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Spv1 = underlyingGroup.Sum(g => g.Spv1),
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Spv2 = underlyingGroup.Sum(g => g.Spv2),
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Spv3 = underlyingGroup.Sum(g => g.Spv3),
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Spv4 = underlyingGroup.Sum(g => g.Spv4),
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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 = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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MySideMargin = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
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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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//单笔预付金算法的交易不参与品种轧差;
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var singleMarginTrade = clientGroup.Where(O => O.trade.MarginType != DBModels.Enums.MarginTypeEnum.DEFAULT || O.tradeSpan.IsSingleMargin == true).Select(O => O.tradeSpan);
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clientSpan.Spv1 += singleMarginTrade.Sum(O => O.Spv1 * (-1));
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clientSpan.Spv2 += singleMarginTrade.Sum(O => O.Spv2 * (-1));
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clientSpan.Spv3 += singleMarginTrade.Sum(O => O.Spv3 * (-1));
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clientSpan.Spv4 += singleMarginTrade.Sum(O => O.Spv4 * (-1));
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clientSpan.WorstCastClientPayable += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
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clientSpan.MySideMargin += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
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clientSpan.TwoSideMargin += singleMarginTrade.Sum(O => O.TwoSideMargin);
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clientSpan.MySideMargin = Math.Min(clientSpan.MySideMargin ?? 0, 0);
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clientSpan.WorstCastClientPayable = Math.Min(clientSpan.WorstCastClientPayable ?? 0, 0);
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clientSpanNews.Add(clientSpan);
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}
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//处理从客户角度的预付金计算（将交易买卖方向反向处理）
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var clientGroupsOtherSide = tradeSpanInfoOtherSide.GroupBy(t => t.trade.ClientId);
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foreach (var clientGroup in clientGroupsOtherSide)
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{
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var underlyingGroup = clientGroup.Where(O => O.trade.MarginType == DBModels.Enums.MarginTypeEnum.DEFAULT).GroupBy(t => t.trade.UnderlyingId).Select(t => new ClientSpan
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{
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
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Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
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Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
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Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
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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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}).ToList();
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foreach (var item in underlyingGroup)
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{
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item.WorstCastClientPayable = new[] { item.Spv1 ?? 0, item.Spv2 ?? 0, item.Spv3 ?? 0, item.Spv4 ?? 0 }.Min();
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}
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var clientSpan = clientSpanNews.FirstOrDefault(x => x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate);
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clientSpan.OtherSideMargin = underlyingGroup.Sum(g => g.WorstCastClientPayable);
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var singleMarginTrade = clientGroup.Where(O => O.trade.MarginType != DBModels.Enums.MarginTypeEnum.DEFAULT).Select(O => O.tradeSpan);
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clientSpan.OtherSideMargin += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
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clientSpan.OtherSideMargin = Math.Min(clientSpan.OtherSideMargin ?? 0, 0);
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if (HasTwoSideMargin(clientGroup.Key))
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{
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clientSpan.WorstCastClientPayable = clientSpan.MySideMargin - clientSpan.OtherSideMargin;
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}
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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)
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.Select(n => new { n.ValueDate, n.ClientId }).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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{
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MySqlBulkExtensions.BulkInsert(db, 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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var marginReq = req.GetRunMarginCalculationReq();
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if (req.trade.IsGroup == 1)
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{
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marginReq.tradeList = db.trade.Where(x => x.ParentTradeId == req.trade.id).ToList();
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}
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var tradeMargin = RunMarginCalculation(marginReq);
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if (null != tradeMargin)
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{
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var margin = req.trade.IsGroup == 1 ? tradeMargin.Sum(x => x.WorstCastClientPayable ?? 0) : (tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0);
|
|
return margin;
|
|
}
|
|
return 0.0;
|
|
}
|
|
}
|
|
}
|
|
}
|