339 lines
16 KiB
C#
339 lines
16 KiB
C#
//using BaseOUDAL;
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//using System;
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//using System.Collections.Generic;
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//using System.Linq;
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//using YLErp.BLL.Calculation;
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//using YLErp.BLL.Calculation.V2;
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//using YLErp.BLL.Eod;
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//using YLErp.DBModels;
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//using YLErp.DBModels.Consts;
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//using YLErp.Model;
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//using YLErp.Modules.DataCacheModule;
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//using YLErp.Modules.TradeDalModule;
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//using YLErp.Modules.VolatilityModule;
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//using YLErp.QdpModule;
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//using CalculatorHelper = YLErp.BLL.Calculation.CalculatorHelperOld;
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//namespace YLErp.BLL.MarginCalculationBak
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//{
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// /// <summary>
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// /// 方顿
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// /// </summary>
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// public class FDMarginCalculation : 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 FDMarginCalculation Instance;
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// static FDMarginCalculation()
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// {
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// Instance = new FDMarginCalculation();
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// }
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// // 定义私有构造函数，使外界不能创建该类实例
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// private FDMarginCalculation()
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// {
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// }
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// public override List<trade_span> RunMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易", bool forOtherSide = false)
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// {
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// List<trade_span> tradeSpans = new List<trade_span>();//结果集
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// if (!(priceDict?.Count > 0))
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// {
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// var codes = tradeList.Select(O => O.UnderlyingCode).ToArray();
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// priceDict = base.GetSettlePrice(codes, settleDate);
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// }
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// if (priceDict.Count == 0)
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// {
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// //如果价格没有传入也没从数据库获取到，就直接返回，没必要往下运行了。但不应该报错;
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// return tradeSpans;
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// }
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// using (YLContext db = new YLContext())
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// {
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// if (!hasOptionInfo)
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// {
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// tradeBLL.SetFieldsByTradeType(tradeList);
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// }
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// var lastSettleDate = EodOperationBase.GetLastSettlementDate(settleDate, true);
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// var tradeIds = tradeList.Select(t => t.id).ToList();
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// var tradeMetaDatas = db.TradeMeta.Where(m => tradeIds.Contains(m.TradeId)).ToList().GroupBy(t => t.TradeId).ToDictionary(g => g.Key, g => g.ToDictionary(m => m.MetaKey, m => m.MetaValue));
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// var positionMaginRatioDic = db.TradeMeta.Where(m => tradeIds.Contains(m.TradeId) && m.MetaKey == ConsTradeMetaKey.PositionMarginRate)
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// .ToList().ToDictionary(m => m.TradeId, m => DataConvert.ToDouble(m.MetaValue));
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// new TradeDalService(new OptUserInfo(userId, userName)).SetSubTradeList(tradeList);
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// var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(userId + "", settleDate, tradeList, priceDict, ValueCalculator.BASIC_PRICING, null, isEodSettle, volType, isUseTradeVol: PS.Config.IsTradeVol);
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// logger.Info($"商品期货保证金计算,交易入:[{tradeList.Count}条],返回[{tradeRiskResult.Results.Count}],错误:{tradeRiskResult.ErrorMessage}");
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// //客户对应等级系数
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// var clientIds = tradeList.Select(t => t.ClientId).ToList();
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// var clientList = (from client in db.client
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// join clientlevel in db.clientlevel
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// on client.LevelId equals clientlevel.id into tempClientlevel
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// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
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// where clientIds.Contains(client.id)
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// select new
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// {
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// client,
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// clientlevel = clientlevelTT
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// }).ToList();
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// //计算保证金包含错误信息时弹出错误信息
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// if (!string.IsNullOrWhiteSpace(tradeRiskResult.ErrorMessage))
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// {
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// throw new ServiceException(tradeRiskResult.ErrorMessage);
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// }
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// if (tradeRiskResult.Results.Count > 0)
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// {
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// var lastTradeSpanList = db.trade_span.Where(s => s.ValueDate == lastSettleDate).ToList();
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// foreach (var item in tradeRiskResult.Results)
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// {
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// var client = clientList.FirstOrDefault(c => c.client.id == item.Trade.ClientId);
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// Dictionary<string, string> metaDics = null;
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// if (tradeMetaDatas.ContainsKey(item.Trade.id))
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// {
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// metaDics = tradeMetaDatas[item.Trade.id];
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// }
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// #region 维持保证金率
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// var positionMaginRatio = 0.0;
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// if (metaDics != null && metaDics.ContainsKey(ConsTradeMetaKey.PositionMarginRate))
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// {
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// positionMaginRatio = DataConvert.ToDouble(metaDics[ConsTradeMetaKey.PositionMarginRate]);
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// }
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// #endregion
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// #region 当前保证金额
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// var cashDeposit = 0.0;
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// var lastTradeSpan = lastTradeSpanList.FirstOrDefault(s => s.TradeId == item.Trade.id);
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// if (lastTradeSpan != null)
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// {
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// cashDeposit = (lastTradeSpan.CashDeposit ?? 0) + (lastTradeSpan.Margin ?? 0);
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// }
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// else if (metaDics != null && metaDics.ContainsKey(ConsTradeMetaKey.InitialMarginMoney))
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// {
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// cashDeposit = DataConvert.ToDouble(metaDics[ConsTradeMetaKey.InitialMarginMoney]);
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// }
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// #endregion
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// var value = Math.Abs(item.ValueResult.DeltaCash) * positionMaginRatio * (item.Trade.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.client.HasTwoSideMargin == 1 ? -1 : 0));
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// var twoSideMargin = Math.Abs(item.ValueResult.DeltaCash) * positionMaginRatio * (item.Trade.BuySell == "买入" ? 1 : -1);
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// if (item.Trade.TradeType == "自定义交易")
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// {
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// var eodTradeRiskManual = db.eod_trade_risk_manual.Where(x => x.ValueDate <= settleDate && x.TradeId == item.Trade.id).OrderByDescending(x => x.ValueDate).FirstOrDefault();
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// //收盘时如果自定义交易还活着且没有维护当日风险，并且收的时系统日期当日的盘，抛出exception
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// if (isEodSettle && !ConsTrade.TradeCompleteStatus.Contains(item.Trade.TradeStatus) && settleDate == valuedateBLL.SystemDate.ValueDate)
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// {
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// if (eodTradeRiskManual == null || eodTradeRiskManual.ValueDate != settleDate)
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// {
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// var error = $"TradeNumber:{item.Trade.TradeNumber}在{settleDate:yyyy-MM-dd}需先进行交易风险维护";
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// throw new Exception(error);
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// }
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// }
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// value = eodTradeRiskManual?.Margin ?? 0;
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// twoSideMargin = eodTradeRiskManual?.Margin ?? 0;
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// }
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// #region 风险敞口
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// var riskExposure = 0.0;
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// if (item.Trade.BuySell == "买入")
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// {
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// //这个地方很诡异，GetAsianFinalPrice和ActualStrike使用了相同的逻辑取均价，不同的地方在于ActualStrike使用的是系统日期，但这样又会造成历史收盘的偏差
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// riskExposure = Math.Max(0, (trade_asian_optionBLL.GetAsianFinalPrice(item.Trade, settleDate) - item.Trade.ActualStrike ?? 0) * (item.Trade.OptionType == "看涨" ? 1 : -1)) * item.Trade.Notional;
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// }
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// #endregion
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// //是否需要追保
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// var needMargin = (riskExposure - cashDeposit) > 0;
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// tradeSpans.Add(new trade_span
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// {
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// TradeId = item.Trade.id,//默认记录为第一条交易记录中
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// OptDate = DateTime.Now,
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// OptId = userId,
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// OptName = userName,
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// ClientId = item.Trade.ClientId,
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// ValueDate = settleDate,
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// UnderlyingId = item.Trade.UnderlyingId,
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// UnderlyingCode = item.Trade.UnderlyingCode,
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// Spv1 = value,
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// Spv2 = value,
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// Spv3 = value,
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// Spv4 = value,
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// WorstCastClientPayable = value,
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// TwoSideMargin = twoSideMargin,
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// RiskExposure = riskExposure,
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// CashDeposit = cashDeposit,
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// Margin = needMargin ? (riskExposure - cashDeposit + Math.Max(value, 0)) : 0,
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// Comment = $"DeltaCash:{item.ValueResult.DeltaCash},PositionMaginRatio:{positionMaginRatio}"
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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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// }
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// /// <summary>
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// /// 获取初始保证金率
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// /// </summary>
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// /// <param name="trade"></param>
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// /// <returns></returns>
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// public double? GetInitialMarginRatio(trade trade)
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// {
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// if (trade == null)
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// {
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// return 0;
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// }
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// if (!trade.VarietyId.HasValue || trade.VarietyId <= 0)
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// {
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// return 0;
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// }
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// if (!trade.StockEqvNotional.HasValue)
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// {
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// return 0;
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// }
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// var variety = DataCacheManager.GetVarietyDataSource().GetData(trade.VarietyId ?? 0);
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// if (variety == null)
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// {
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// return 0;
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// }
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// //OTC-8856 Start
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// var UpLimitValue = variety.UpLimitValue;
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// //var UpLimitValue =((Math.Abs(trade.Underlying.UpDownLimitValue) > 1e-5) ? trade.Underlying.UpDownLimitValue : variety.UpLimitValue);
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// //End
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// if (trade.StockEqvNotional <= 5000000)
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// {
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// return 2 * UpLimitValue;
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// }
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// else if (trade.StockEqvNotional <= 10000000)
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// {
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// return 2.5 * UpLimitValue;
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// }
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// else if (trade.StockEqvNotional <= 20000000)
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// {
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// return 3 * UpLimitValue;
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// }
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// return null;
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// }
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// /// <summary>
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// /// 获取维持保证金率
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// /// </summary>
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// /// <param name="trade"></param>
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// /// <returns></returns>
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// public double? GetPositionMarginRatio(trade trade)
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// {
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// if (trade == null)
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// {
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// return 0;
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// }
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// if (!trade.VarietyId.HasValue || trade.VarietyId <= 0)
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// {
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// return 0;
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// }
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// if (!trade.StockEqvNotional.HasValue)
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// {
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// return 0;
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// }
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// //underlying_manager
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// var variety = DataCacheManager.GetVarietyDataSource().GetData(trade.VarietyId ?? 0);
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// if (variety == null)
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// {
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// return 0;
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// }
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// if (trade.StockEqvNotional <= 5000000)
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// {
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// return 1.5 * variety.UpLimitValue;
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// }
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// else if (trade.StockEqvNotional <= 10000000)
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// {
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// return 2 * variety.UpLimitValue;
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// }
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// else if (trade.StockEqvNotional <= 20000000)
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// {
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// return 2.5 * variety.UpLimitValue;
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// }
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// return null;
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// }
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// /// <summary>
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// /// 获取初始保证金
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// /// </summary>
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// /// <param name="trade"></param>
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// /// <returns></returns>
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// public double GetInitialMargin(trade trade)
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// {
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// return DoInitialMarginCalculationV2(trade);
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// }
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// public double DoInitialMarginCalculationV2(trade trade)
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// {
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// if (trade.BuySell == "卖出")
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// {
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// return 0;
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// }
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// var underlying = DataCacheManager.GetUnderlyingDataSource().GetData(trade.UnderlyingId);
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// underlying.QuotationDate = trade.TradeDate;
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// var spotPrices = new double[] { trade.SpotPrice ?? 0 };
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// string userGroup = UserBLL.GetUserGroup(trade.TraderId ?? 0);
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// var volSurfaceData = VolatilityHelper.GetVol(underlying.QuotationDate.Value, "交易", underlying.UnderlyingCode, userGroup);
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// var vol = OptionCalculator.GetInterpolatedVol(
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// VolConstructionType.Normal,
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// trade.OptId.ToString(),
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// volSurfaceData,
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// underlying.QuotationDate?.ToString("yyyy-MM-dd"),
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// underlying.UnderlyingCode,
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// trade.ExerciseDate?.ToString("yyyy-MM-dd"),
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// trade.Strike ?? 0.0,
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// isBuy: true,
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// isCall: trade.CallPut == "Call",
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// spotPrice: spotPrices[0],
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// isMoneynessOption: trade.IsMoneynessOptionData,
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// timeToMaturityDays: trade.TTMDays ?? double.NaN);
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// if (!trade.NoRiskRate.HasValue)
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// {
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// trade.NoRiskRate = (valuedateBLL.SystemDate.RiskFreeRate ?? 0) * 0.01;
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// }
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// string fixing = null;
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// //亚式期权
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// if (trade.TradeType == "亚式期权" || trade.StructureType == "亚式熊市价差")
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// {
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// fixing = CalculatorHelper.GetFixingStringForAsianOption(trade, trade.TradeDate);
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// }
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// var optionValue = ValueCalculator.GetOptionValueResultV2(
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// trade.OptId.ToString(),
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// underlying,
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// trade,
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// new double[] { vol },
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// spotPrices,
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// fixing,
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// commodityFuturesPreciseTimeMode: true);
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// //保证金初始价值=期初期权价值+CashDelta(t）*保证金初始比例(保证金初始比例)
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// return (trade.TradePrice ?? 0) + ((optionValue == null) ? 0 : Math.Abs(optionValue.DeltaCash)) * (trade.InitialMarginRatio ?? 0);
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// }
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// public override double GetTradeMargin(trade trade, double price, bool isInitialMargin = false, bool hasOptionInfo = false)
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// {
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// var tradeMargin = RunMarginCalculation(0, "系统", new List<trade> { trade }, isInitialMargin ? (trade.TradeDate ?? valuedateBLL.ValueDate) : valuedateBLL.ValueDate, new Dictionary<int, double> { { trade.UnderlyingId, price } }, hasOptionInfo: hasOptionInfo);
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// if (null != tradeMargin)
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// {
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// return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
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// }
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// return 0.0;
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// }
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// }
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//}
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