488 lines
29 KiB
C#
488 lines
29 KiB
C#
//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.V2;
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//using YLErp.Commons;
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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.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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// /// 国泰君安保证金计算
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// /// </summary>
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// public class GTJAMarginCalculation : 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 GTJAMarginCalculation Instance;
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// static GTJAMarginCalculation()
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// {
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// Instance = new GTJAMarginCalculation();
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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 GTJAMarginCalculation()
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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,
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// 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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// //结果集
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// Dictionary<int, trade_span> resultMap = new Dictionary<int, trade_span>();
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// using (YLContext db = new YLContext())
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// {
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// //为了算客户角度的一个保证金数值
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// if (forOtherSide)
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// {
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// tradeList.ForEach(x => x.BuySell = x.BuySell == "买入" ? "卖出" : "买入");
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// }
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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 = GetSettlePrice(codes, settleDate, "收盘价");
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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 resultMap.Values.ToList();
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// }
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// var underlyingIds = priceDict.Keys.ToList();
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// //获取标的涨跌幅限制
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// var umDatas = (from um in db.underlying_manager
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// join variety in db.variety on um.UnderlyingTypeId equals variety.id into t_variety
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// from variety in t_variety.DefaultIfEmpty()
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// where underlyingIds.Contains(um.id)
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// select new
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// {
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// um.id,
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// um.VolatilityRate,
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// um.UpDownLimit,
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// defUpLimit = variety == null ? null : variety.UpLimit,
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// defDownLimit = variety == null ? null : variety.DownLimit,
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// defVolatilityRate = variety == null ? null : variety.VolatilityRate
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// }).ToList();
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// var UpLimitDict = new Dictionary<int, string>();
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// var DownLimitDict = new Dictionary<int, string>();
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// var umVolatilityRateDic = new Dictionary<int, double>();
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// if (umDatas != null && umDatas.Count > 0)
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// {
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// umDatas.ForEach(t =>
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// {
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// //OTC-8856 Start
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// //1.波动率变化
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// if (DataConvert.TryParsePercentValue(t.VolatilityRate, out double pvalue) && (Math.Abs(pvalue) >= 1e-5))
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// {
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// umVolatilityRateDic[t.id] = pvalue;
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// }
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// else if (DataConvert.TryParsePercentValue(t.defVolatilityRate, out pvalue) && (Math.Abs(pvalue) >= 1e-5))
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// {
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// umVolatilityRateDic[t.id] = pvalue;
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// }
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// //2.涨跌停板幅度
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// if (!string.IsNullOrWhiteSpace(t.UpDownLimit))
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// {
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// UpLimitDict[t.id] = t.UpDownLimit;//百分比或绝对值
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// DownLimitDict[t.id] = t.UpDownLimit;
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// }
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// else
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// {
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// UpLimitDict[t.id] = t.defUpLimit?.ToString() ?? "5%";
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// DownLimitDict[t.id] = t.defDownLimit?.ToString() ?? "5%";
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// }
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// });
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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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// //判断当日结算价是否已经入库
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// //if (priceDict == null || priceDict.Count == 0)
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// //{
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// // throw new Exception("当日结算价还未同步，请等待结算价自动同步完成或手动同步后再执行收盘操作！");
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// //}
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// var tradeVolatilityRateDic = tradeList.ToDictionary(t => t.id, t => umVolatilityRateDic.ContainsKey(t.UnderlyingId) ? umVolatilityRateDic[t.UnderlyingId] : 0)
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// .Where(d => d.Value > 0).ToDictionary(d => d.Key, d => d.Value);
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// Dictionary<string, Dictionary<int, double>> eodPriceDict = new Dictionary<string, Dictionary<int, double>>();
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// var upLimitPrices = new Dictionary<int, double>();
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// var downLimitPrices = new Dictionary<int, double>();
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// double tempDouble;
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// //根据涨跌幅限制以及当日结算价计算涨停价以及跌停价
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// if (priceDict != null && priceDict.Count > 0)
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// {
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// foreach (var t in priceDict)
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// {
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// //OTC-8856 Start
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// //UpLimit
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// if (UpLimitDict.ContainsKey(t.Key))
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// {
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// var tempVaue = UpLimitDict[t.Key];
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// if (tempVaue.Contains("%"))
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// {
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// //百分比
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// double.TryParse(tempVaue.Replace("%", ""), out tempDouble);
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// upLimitPrices[t.Key] = t.Value + Math.Abs(t.Value * tempDouble * 0.01);
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// }
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// else
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// {
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// //绝对值
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// double.TryParse(tempVaue, out double tempAbs);
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// upLimitPrices[t.Key] = t.Value + Math.Abs(tempAbs);
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// }
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// }
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// else
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// {
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// upLimitPrices[t.Key] = t.Value * 1.05;
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// }
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// //DownLimit
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// if (DownLimitDict.ContainsKey(t.Key))
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// {
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// var tempVaue = DownLimitDict[t.Key];
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// if (tempVaue.Contains("%"))
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// {
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// //百分比
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// double.TryParse(tempVaue.Replace("%", ""), out tempDouble);
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// downLimitPrices[t.Key] = t.Value - Math.Abs(t.Value * tempDouble * 0.01);
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// }
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// else
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// {
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// //绝对值
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// double.TryParse(tempVaue, out double tempAbs);
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// downLimitPrices[t.Key] = t.Value - Math.Abs(tempAbs);
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// }
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// }
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// else
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// {
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// downLimitPrices[t.Key] = t.Value * 0.95;
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// }
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// //End
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// }
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// eodPriceDict["up"] = upLimitPrices;
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// eodPriceDict["down"] = downLimitPrices;
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// }
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// //波动率变化
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// var addVolRateList = new List<Dictionary<int, double>> { null, tradeVolatilityRateDic };
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// //交易对应客户信息
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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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// var userIdNew = UniqueTimeId.Get().ToString();
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// try
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// {
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// foreach (var price in eodPriceDict)
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// {
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// addVolRateList.ForEach(addVolRateDic =>
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// {
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// var key = $"{price.Key}_{(addVolRateDic == null ? 0 : 1)}";
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// var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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// userIdNew, // userId + "_" + price.Key,
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// settleDate,
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// tradeList,
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// price.Value,
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// ValueCalculator.PV_ONLY,
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// addVolRateDic,
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// isEodSettle,
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// volType,
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// isUseTradeVol: PS.Config.IsTradeVol,
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// PreciseTimeMode: !isEodSettle,
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// isAddVolPercent: false);
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// if (tradeRiskResult.Results != null && tradeRiskResult.Results.Count > 0)
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// {
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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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// var clientRatio = client == null ? 1.0 : (client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0));
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// double value = 0;
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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.ToString("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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// }
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// else if (item.Trade.TradeType == "权益互换")
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// {
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// value = (item.Trade.trade_swap.GetMarginRate ?? 0) * (item.Trade.StockEqvNotional ?? 0) + Math.Max((double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv), 0);
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// }
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// if (resultMap.ContainsKey(item.Trade.id))
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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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// resultMap[item.Trade.id].Spv1 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// case "up_1":
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// resultMap[item.Trade.id].Spv2 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// case "down_0":
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// resultMap[item.Trade.id].Spv3 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// case "down_1":
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// resultMap[item.Trade.id].Spv4 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// default:
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// break;
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// }
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// resultMap[item.Trade.id].setWorstCastClientPayable4();
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// }
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// else
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// {
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// var trade = tradeList.FirstOrDefault(t => t.id == item.Trade.id);
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// var tempTradeSpan = new trade_span
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// {
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// TradeId = item.Trade.id,
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// ClientId = trade.ClientId,
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// ValueDate = settleDate,
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// UnderlyingId = trade.UnderlyingId,
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// UnderlyingCode = trade.UnderlyingCode,
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// OptId = userId,
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// OptName = userName,
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// OptDate = DateTime.Now
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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 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// case "up_1":
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// tempTradeSpan.Spv2 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// case "down_0":
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// tempTradeSpan.Spv3 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// case "down_1":
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// tempTradeSpan.Spv4 = item.Trade.TradeType == "自定义交易" || item.Trade.TradeType == "权益互换" ? value : (double.IsNaN(item.ValueResult.Pv) ? 0 : item.ValueResult.Pv) * clientRatio;
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// break;
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// default:
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// break;
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// }
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// resultMap[item.Trade.id] = tempTradeSpan;
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// }
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// }
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// }
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// });
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// }
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// }
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// finally
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// {
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// //上面的计算用到静态生成market，需要清除
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// QdpMarketManager.Instance.RemovePrebuiltMarketProxy(userIdNew);
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// }
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// //为了保持原有交易买卖方向不变
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// if (forOtherSide)
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// {
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// tradeList.ForEach(x => x.BuySell = x.BuySell == "买入" ? "卖出" : "买入");
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// }
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// return resultMap.Values.ToList();
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// }
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// }
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// public override bool CalcClientMargin(int userId, string userName, DateTime settleDate, List<trade_span> tradeSpans, List<trade_span> tradeSpansOtherSide, int SpanType = 0, List<int> RefreshClientIds = null, bool OnlyBuyer = false, Dictionary<int, double> clientAdditionalMarginDic = null)
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// {
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// using (YLContext db = new YLContext())
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// {
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// //删除
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// if (tradeSpans != null && tradeSpans.Count > 0)
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// {
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// var tradeIds = 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 clientIds = tradeSpans.Select(t => t.ClientId).Distinct().ToList();
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// var clientList = db.client.Where(x => clientIds.Contains(x.id)).ToList();
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// var tradeSpanInfo = (from tradeSpan in tradeSpans
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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 == settleDate
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// select new { trade, tradeSpan }).ToList();
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// var tradeSpanInfoOtherSide = (from tradeSpan in 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 == settleDate
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// select new { trade, tradeSpan }).ToList();
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// var clientSpanNews = new List<client_span>();
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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.GroupBy(t => t.trade.UnderlyingId).Select(t => new client_span
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// {
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// UnderlyingId = t.Key,
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// ClientId = clientGroup.Key,
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// ValueDate = 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 = userId,
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// OptName = userName,
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// OptDate = DateTime.Now,
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// SpanType = 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保证金和客户保证金计算用的Spv组保持一致
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// var tradeSpansUpdate = db.trade_span.Where(x => x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == 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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// }
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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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// }
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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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// }
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// else
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// {
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// tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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// }
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// #endregion
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// if (!PS.Config.ErpElement.NonInterBankMarginNetting)
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// {
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// item.WorstCastClientPayable = Math.Min(item.WorstCastClientPayable.Value, 0);
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// }
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// }
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// var clientSpan = new client_span
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// {
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// ClientId = clientGroup.Key,
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// ValueDate = 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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// //负数代表客户应缴保证金，正数代表客户应收保证金
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// WorstCastClientPayable = (PS.Config.ErpElement.TwoSideMargin && clientList.FirstOrDefault(x => x.id == clientGroup.Key) != null && clientList.FirstOrDefault(x => x.id == clientGroup.Key).HasTwoSideMargin == 1) ? underlyingGroup.Sum(g => g.WorstCastClientPayable) : underlyingGroup.Sum(g => g.WorstCastClientPayable) < 0 ? underlyingGroup.Sum(g => g.WorstCastClientPayable) : 0,
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// TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
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// OptId = userId,
|
|
// OptName = userName,
|
|
// OptDate = DateTime.Now,
|
|
// SpanType = SpanType,
|
|
// AdditionalWorstCastClientPayable = clientAdditionalMarginDic == null ? 0 : (clientAdditionalMarginDic.ContainsKey(clientGroup.Key ?? 0) ? clientAdditionalMarginDic[clientGroup.Key ?? 0] : 0)
|
|
// };
|
|
// clientSpanNews.Add(clientSpan);
|
|
// }
|
|
|
|
// //处理从客户角度的保证金计算（将交易买卖方向反向处理）
|
|
// var clientGroupsOtherSide = tradeSpanInfoOtherSide.GroupBy(t => t.trade.ClientId);
|
|
// foreach (var clientGroup in clientGroupsOtherSide)
|
|
// {
|
|
// var underlyingGroup = clientGroup.GroupBy(t => t.trade.UnderlyingId).Select(t => new client_span
|
|
// {
|
|
// ClientId = clientGroup.Key,
|
|
// ValueDate = settleDate,
|
|
// Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
|
|
// Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
|
|
// Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
|
|
// Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
|
|
// OptId = userId,
|
|
// OptName = userName,
|
|
// OptDate = DateTime.Now,
|
|
// SpanType = SpanType
|
|
// }).ToList();
|
|
// foreach (var item in underlyingGroup)
|
|
// {
|
|
// if (PS.Config.ErpElement.NonInterBankMarginNetting)
|
|
// {
|
|
// item.WorstCastClientPayable = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
|
|
// }
|
|
// else
|
|
// {
|
|
// item.WorstCastClientPayable = Math.Min(Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0), 0);
|
|
// }
|
|
// }
|
|
|
|
// var clientSpan = clientSpanNews.FirstOrDefault(x => x.ClientId == clientGroup.Key && x.ValueDate == settleDate);
|
|
// clientSpan.OtherSideMargin = (PS.Config.ErpElement.TwoSideMargin && clientList.FirstOrDefault(x => x.id == clientGroup.Key) != null && clientList.FirstOrDefault(x => x.id == clientGroup.Key).HasTwoSideMargin == 1) ? underlyingGroup.Sum(g => g.WorstCastClientPayable) : underlyingGroup.Sum(g => g.WorstCastClientPayable) < 0 ? underlyingGroup.Sum(g => g.WorstCastClientPayable) : 0;
|
|
// }
|
|
|
|
// //span类型为实时删除所有实时计算的交易的保证金信息
|
|
// if (SpanType == client_span.SpanType_RealTime)
|
|
// {
|
|
// if (RefreshClientIds != null)
|
|
// {
|
|
// db.BulkDelete<client_span>($"{nameof(client_span.ClientId)} in @ids", new { ids = RefreshClientIds });
|
|
// }
|
|
// else
|
|
// {
|
|
// db.BulkDelete<client_span>($"{nameof(client_span.SpanType)}=@SpanType", new { SpanType });
|
|
// }
|
|
// MySqlBulkExtensions.BulkInsert(db, clientSpanNews);
|
|
// }
|
|
// else
|
|
// {
|
|
// db.BulkDelete<client_span>($"{nameof(client_span.ValueDate)}=@settleDate and {nameof(client_span.SpanType)}=@SpanType and {nameof(client_span.ModifiedFlag)}=0", new { settleDate, SpanType });
|
|
|
|
// var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == settleDate && t.SpanType == SpanType && t.ModifiedFlag)
|
|
// .Select(n => new { n.ValueDate, n.ClientId }).ToList();
|
|
// //筛选出可以修改的clientSpan
|
|
// clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
|
|
// MySqlBulkExtensions.BulkInsert(db, clientSpanNews);
|
|
// }
|
|
|
|
// db.SaveChanges();
|
|
// }
|
|
// return true;
|
|
// }
|
|
// }
|
|
|
|
// public override double GetTradeMargin(trade trade, double price, bool isInitialMargin = false, bool hasOptionInfo = false)
|
|
// {
|
|
// using (YLContext db = new YLContext())
|
|
// {
|
|
// if (trade.TradeType == "结构化交易")
|
|
// {
|
|
// trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
|
|
// }
|
|
// }
|
|
|
|
// 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);
|
|
// if (null != tradeMargin)
|
|
// {
|
|
// return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
|
|
// }
|
|
// return 0.0;
|
|
// }
|
|
// }
|
|
//}
|