495 lines
21 KiB
C#
495 lines
21 KiB
C#
using YLErp.BLL.Calculation;
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using YLErp.Commons;
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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;
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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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/// 兴证预付金计算
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/// </summary>
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public class XingZhengMarginCalculation : 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 XingZhengMarginCalculation Instance;
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static XingZhengMarginCalculation()
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{
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Instance = new XingZhengMarginCalculation();
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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 XingZhengMarginCalculation()
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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 resultMap = new Dictionary<int, trade_span>();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var underlyingCodes = req.tradeList.Select(t => t.UnderlyingCode).ToHashSet();
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var mpProvider = helper.GetMarginParamProvider(MarginParamTypeEnum.MarginRate | MarginParamTypeEnum.UpDownLimit);
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helper.SetFieldsByTradeType();
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var addVolRateDic = req.tradeList.Select(t =>
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{
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var volRate = 0d;
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var client = helper.GetClient(t);
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if (client?.QuestionnaireScore == null || client.QuestionnaireScore < 60)
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{
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volRate = 0.03;
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}
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return (t.id, volRate);
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}).Where(d => d.volRate > 0).ToDictionary(d => d.id, d => d.volRate);
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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var userIdNew = UniqueTimeId.Get().ToString();
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var calcTradeList = req.tradeList.Where(t => t.TradeType != "雪球期权").ToArray();
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var prices = new[] { ("up", upLimitPrices), ("down", downLimitPrices), ("normal", req.PriceProvider) };
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foreach (var price in prices)
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{
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var key = price.Item1;
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var calcReq = helper.GetCalculateRisksForTradesReq(priceProvider: price.Item2, addVolRateDic: addVolRateDic, overrideVols: null, pricingRequest: QdpPricingRequest.BASIC_PRICING);
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calcReq.tradeList = calcTradeList;
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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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foreach (var item in tradeRiskResult.Results)
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{
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var pv = double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv;
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var hasSpecialMargin = helper.GetSpecialMargin(item.Trade, pv, out var value);
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if (!hasSpecialMargin)
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{
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var client = helper.GetClient(item.Trade);
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value = pv * (client == null ? 1d : (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin ? client.Ratio1 : client.Ratio) ?? 0);
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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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tempTradeSpan.UnderlyingPrice = req.PriceProvider.GetPrice(item.Trade.UnderlyingCode);
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}
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switch (key)
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{
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case "up":
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tempTradeSpan.Spv1 = value;
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break;
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case "down":
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tempTradeSpan.Spv2 = value;
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break;
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case "normal":
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tempTradeSpan.Spv = value;
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tempTradeSpan.Delta = item.ValueResult.Delta;
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mpProvider.TryGetMarginRate(item.ValueResult.UnderlyingCode, out var marginRate);
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tempTradeSpan.DeltaMargin = (tempTradeSpan.Delta * tempTradeSpan.UnderlyingPrice * marginRate) ?? 0;
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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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}
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}
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}
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var snowballMargin = new SnowballMarginService();
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foreach (var td in req.tradeList)
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{
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if (td.TradeType != "雪球期权")
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{
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continue;
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}
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var um = helper.GetUnderlying(td.UnderlyingCode);
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var spotPrice = req.PriceProvider.GetPrice(td.UnderlyingCode);
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trade_span tempTradeSpan;
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resultMap[td.id] = tempTradeSpan = helper.CreateTradeSpan(td, um);
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tempTradeSpan.UnderlyingPrice = spotPrice;
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var margin = snowballMargin.CalcMargin(req.settleDate, td, td.trade_snowball, um, spotPrice);
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tempTradeSpan.Spv1 = tempTradeSpan.Spv2
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= tempTradeSpan.Spv3 = tempTradeSpan.Spv4
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= tempTradeSpan.WorstCastClientPayable = margin;
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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 = DbContextFactory.GetYLDbContext())
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{
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//删除
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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 = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id))
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.Select(n => new { n.id, n.ClientId, n.UnderlyingId }).ToList();
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var tradeSpanInfos = (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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var clientGroups = tradeSpanInfos.GroupBy(t => t.trade.ClientId);
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var clientIds = clientGroups.Select(n => n.Key).ToArray();
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var dbTradeSpans = db.trade_span.Where(x => x.ValueDate == req.settleDate && x.ClientId != null && clientIds.Contains(x.ClientId.Value)).ToArray();
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foreach (var clientGroup in clientGroups)
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{
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#region Span Margin Method
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var client = DataCacheProvider.GetClientDataSource().GetData(clientGroup.Key);
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var underlyingGroup = clientGroup.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),
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Spv2 = -t.Sum(g => g.tradeSpan.Spv2),
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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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DeltaMargin = -t.Sum(g => g.tradeSpan.DeltaMargin)
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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(item.Spv1 ?? 0, item.Spv2 ?? 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 = dbTradeSpans.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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#endregion
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保)
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{
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item.WorstCastClientPayable = Math.Min(item.WorstCastClientPayable.Value, 0);
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.对手方单向追保)
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{
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item.WorstCastClientPayable = Math.Max(item.WorstCastClientPayable.Value, 0);
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}
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}
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#endregion
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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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DeltaMargin = underlyingGroup.Sum(g => g.DeltaMargin),
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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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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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if (clientSpan.WorstCastClientPayable > clientSpan.DeltaMargin)
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{
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clientSpan.WorstCastClientPayable = clientSpan.DeltaMargin;
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//取delta预付金作为最终预付金
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var tradeSpansUpdate = dbTradeSpans.Where(x => x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.DeltaMargin);
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}
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if (!HasTwoSideMargin(clientGroup.Key))
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{
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clientSpan.WorstCastClientPayable = Math.Min(clientSpan.WorstCastClientPayable ?? 0, 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)
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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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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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var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
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if (tradeMargin != null && tradeMargin.FirstOrDefault() != null && trade.BuySell == "买入")
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{
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var margin = tradeMargin.FirstOrDefault().WorstCastClientPayable ?? 0.0;
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var mpProvider = new MarginParamProvider(OptUserInfo.SystemUser, valuedateBLL.ValueDate.Date).Initialize(new List<string> { trade.UnderlyingCode }.ToHashSet(), MarginParamTypeEnum.MarginRate);
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mpProvider.TryGetMarginRate(trade.UnderlyingCode, out var marginRate);
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var deltaMargin = Math.Abs(tradeMargin.FirstOrDefault().Delta ?? 0) * (trade.SpotPrice ?? 0) * marginRate;
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//单笔交易的初始预付金 = 维持预付金 × 105%（初始预付金是为避免客户频繁转账，在盘中对当天收盘时的维持预付金的预估，该比例不低于105%，可根据不同客户情况进行调整）
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var client = GetClientInfo(trade.ClientId);
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var ratio = client == null ? 1 : (client.Ratio1 ?? 1);
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return (margin > deltaMargin ? margin : deltaMargin) * ratio;
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}
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}
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return 0.0;
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}
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/// <summary>
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/// 雪球期权预付金计算
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/// </summary>
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class SnowballMarginService : YLBaseService
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{
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const string MK_MarginSpot1 = "MarginSpot1";
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const string MK_MarginSpot2 = "MarginSpot2";
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public SnowballMarginService() : base(OptUserInfo.SystemUser)
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{
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}
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public double CalcMargin(DateTime settleDate, OtcTradeBase td, trade_snowball snowball, underlying_manager um, double spotPrice)
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{
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if (GetObSpots(td, out var spot1, out var spot2))
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{
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var obDates = GetObDates(snowball.ObservationDates, td.TradeDate.Value, settleDate);
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if (td.id > 0 && !IsCalcEnable(obDates, um, spot1))
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{
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return 0;
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}
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var marginRate = 1d;
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if (spotPrice < spot2)
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{
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var perUnit = (td.SpotPrice ?? 0) * 0.05;//不考虑为0的情况了太累
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marginRate += Math.Floor((spot2 - spotPrice) / perUnit);
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}
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return marginRate * td.StockEqvNotional * 0.05;
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}
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return 0;
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}
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//获取是否追保处理
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private bool IsCalcEnable(List<DateTime> obDates, underlying_manager um, double spot1)
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{
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if (ConsGlobal.InstrumentType.CalcTypeIsFutures(um.UnderlyingCode) || ConsGlobal.InstrumentType.IsCommoditySpot(um.UnderlyingCode))
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{
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var query = from t in DbContext.eod_commodity_future_price
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where obDates.Contains(t.ValueDate)
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&& t.UnderlyingCode == um.UnderlyingCode && t.SettlePrice < spot1
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select t;
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return query.Any();
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}
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else
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{
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var query = from t in DbContext.eod_stock_price
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where obDates.Contains(t.ValueDate)
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&& t.UnderlyingCode == um.UnderlyingCode && t.ClosePrice < spot1
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select t;
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return query.Any();
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}
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}
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//获取追保价格
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private bool GetObSpots(OtcTradeBase td, out double spot1, out double spot2)
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{
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spot1 = 0;
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spot2 = 0;
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TradeMetaDto[] metas;
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if (td.MetaDic.ContainsKey(MK_MarginSpot1))
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{
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metas = new[] { new TradeMetaDto { MetaKey = MK_MarginSpot1, MetaValue = td.MetaDic[MK_MarginSpot1] } };
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if (td.MetaDic.ContainsKey(MK_MarginSpot2))
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{
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metas = new[] {
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metas[0],
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new TradeMetaDto { MetaKey = MK_MarginSpot2, MetaValue = td.MetaDic[MK_MarginSpot2] }
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};
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}
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}
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else if (td.id > 0)
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{
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var metaKeys = new[] { MK_MarginSpot1, MK_MarginSpot2 };
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metas = DbContext.TradeMeta.Where(n => n.TradeId == td.id && metaKeys.Contains(n.MetaKey))
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.Select(n => new TradeMetaDto { MetaKey = n.MetaKey, MetaValue = n.MetaValue }).ToArray();
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}
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else
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{
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return false;
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}
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if (!metas.Any())
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{
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return false;
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}
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foreach (var m in metas)
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{
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if (MK_MarginSpot1.Equals(m.MetaKey, StringComparison.OrdinalIgnoreCase))
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{
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NumberHelper.TryParse(m.MetaValue, out spot1, out _);
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}
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else
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{
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NumberHelper.TryParse(m.MetaValue, out spot2, out _);
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}
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}
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if (td.IsMoneynessOption == "是")
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{
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spot1 *= td.SpotPrice ?? 0;
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spot2 *= td.SpotPrice ?? 0;
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}
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if (spot1 < 1e-2)
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{
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return false;
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}
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return true;
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}
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//获取敲入观察日列表
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private List<DateTime> GetObDates(string ObservationDates, DateTime startDate, DateTime endDate)
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{
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var dateList = new List<DateTime>();
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if (string.IsNullOrWhiteSpace(ObservationDates))
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{
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var obDate = startDate;
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for (var i = 0; i < 10000; i++)
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{
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obDate = QdpCalendarHelper.GetNonHoliday(obDate);
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if (obDate > endDate)
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{
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break;
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}
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else
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{
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|
dateList.Add(obDate);
|
|
}
|
|
|
|
obDate = obDate.AddDays(1);
|
|
}
|
|
}
|
|
else
|
|
{
|
|
var obStrs = ObservationDates.Split(',');
|
|
|
|
foreach (var str in obStrs)
|
|
{
|
|
if (DateTime.TryParse(str, out var obDate) && obDate >= startDate && obDate <= endDate)
|
|
{
|
|
obDate = QdpCalendarHelper.GetNonHoliday(obDate);
|
|
dateList.Add(obDate);
|
|
}
|
|
}
|
|
}
|
|
|
|
return dateList;
|
|
}
|
|
}
|
|
}
|
|
}
|