339 lines
17 KiB
C#
339 lines
17 KiB
C#
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.Model.Enum;
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using YLErp.QdpModule;
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namespace YLErp.BLL.MarginCalculation
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{
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public class ZhongLiangMarginCalculation : MarginCalculationBase
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{
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public static readonly ZhongLiangMarginCalculation Instance;
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static ZhongLiangMarginCalculation()
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{
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Instance = new ZhongLiangMarginCalculation();
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}
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public ZhongLiangMarginCalculation()
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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 calcTradeList = req.tradeList.ToList();
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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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helper.SetFieldsByTradeType();
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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helper.GetUpDownVolRateDic(out var tradeVolRateDicUp, out var tradeVolRateDicDown);
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var prices = new (string, IPriceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices), ("normal", req.PriceProvider) };
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var volRates = new (int, Dictionary<int, double>)[] {
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(0, null),
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(1, tradeVolRateDicUp),
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(2, tradeVolRateDicDown)
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};
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foreach (var price in prices)
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{
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foreach (var itemDic in volRates)
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{
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var key = $"{price.Item1}_{itemDic.Item1}";
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if (key == "normal_0")
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{
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continue;
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}
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: calcTradeList,
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calcScenario: req.GetCalcScenario(),
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priceProvider: price.Item2,
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pricingRequest: QdpPricingRequest.PV_ONLY,
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addVolRateDic: itemDic.Item2,
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volType: req.volType,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin,
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isAddVolPercent: false);
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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 client = helper.GetClient(item.Trade.ClientId);
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var clientRatio = client?.Ratio ?? 1.0;
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var clientRatio1 = client?.Ratio1 ?? 1.0;
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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var pv = item.ValueResult.Pv;
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if (!helper.GetSpecialMargin(item.Trade, pv, out var value))
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{
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if (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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value = double.IsNaN(pv) ? 0 : pv * clientRatio1;
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}
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else
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{
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value = double.IsNaN(pv) ? 0 : pv * clientRatio;
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}
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}
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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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if (item.Trade.TradeType == "雪球期权" && item.Trade.BuySell == "买入")
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{
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resultMap[item.Trade.id].IsSingleMargin = true;
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resultMap[item.Trade.id].Comment = "雪球买入";
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}
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}
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switch (key)
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{
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case "up_1":
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tempTradeSpan.Spv1 = value; break;
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case "up_0":
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tempTradeSpan.Spv2 = value; break;
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case "up_2":
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tempTradeSpan.Spv3 = value; break;
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case "normal_1":
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tempTradeSpan.Spv4 = value; break;
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case "normal_2":
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tempTradeSpan.Spv5 = value; break;
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case "down_1":
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tempTradeSpan.Spv6 = value; break;
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case "down_0":
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tempTradeSpan.Spv7 = value; break;
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case "down_2":
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tempTradeSpan.Spv8 = 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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if (client != null)
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{
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var value2 = (double)tempTradeSpan.WorstCastClientPayable;
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保)
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{
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value2 = item.Trade.BuySell == "卖出" ? 0 : Math.Max(value2, 0);
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.对手方单向追保 || client.MarginOptionType == (int)MarginOptionEnum.其他)
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{
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value2 = 0;
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.双向追保)
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{
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value2 = Math.Max(value2, 0);
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}
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tempTradeSpan.WorstCastClientPayable = value2;
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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 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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var runMargin = new RunMarginCalculationReq(req.UserInfo);
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runMargin.settleDate = req.settleDate;
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var helper = new RunMarginCalculationHelper(runMargin, _underlyingDataProvider);
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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 underlyingIdList = tradeList.Select(t => t.UnderlyingId).ToList();
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var underlyingList = db.underlying_manager.AsNoTracking().Where(t => underlyingIdList.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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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 varietyGroups = clientGroup.GroupBy(t => t.trade.UnderlyingId).Select(t => new ClientSpan
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{
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VarietyId = 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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Spv5 = t.Sum(g => g.tradeSpan.Spv5) * (-1),
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Spv6 = t.Sum(g => g.tradeSpan.Spv6) * (-1),
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Spv7 = t.Sum(g => g.tradeSpan.Spv7) * (-1),
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Spv8 = t.Sum(g => g.tradeSpan.Spv8) * (-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 varietyGroups)
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{
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item.WorstCastClientPayable = Math.Min(Math.Min(Math.Min(Math.Min(Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0), item.Spv5 ?? 0), item.Spv6 ?? 0), item.Spv7 ?? 0), item.Spv8 ?? 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.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && 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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else if (item.WorstCastClientPayable == item.Spv5)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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}
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else if (item.WorstCastClientPayable == item.Spv6)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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}
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else if (item.WorstCastClientPayable == item.Spv7)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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}
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else
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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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 = varietyGroups.Sum(g => g.Spv1),
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Spv2 = varietyGroups.Sum(g => g.Spv2),
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Spv3 = varietyGroups.Sum(g => g.Spv3),
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Spv4 = varietyGroups.Sum(g => g.Spv4),
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Spv5 = varietyGroups.Sum(g => g.Spv5),
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Spv6 = varietyGroups.Sum(g => g.Spv6),
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Spv7 = varietyGroups.Sum(g => g.Spv7),
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Spv8 = varietyGroups.Sum(g => g.Spv8),
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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 = varietyGroups.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 (!HasTwoSideMargin(clientGroup.Key) && varietyGroups.Sum(g => g.WorstCastClientPayable) > 0)
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{
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clientSpan.WorstCastClientPayable = 0;
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foreach (var item in varietyGroups)
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{
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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.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.ValueDate == req.settleDate).ToList();
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = 0);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = 0);
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}
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}
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clientSpanNews.Add(clientSpan);
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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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}
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var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
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if (null != tradeMargin && tradeMargin.FirstOrDefault() != null)
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{
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var margin = tradeMargin.FirstOrDefault().WorstCastClientPayable ?? 0.0;
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return margin;
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}
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return 0.0;
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}
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}
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}
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