289 lines
17 KiB
C#
289 lines
17 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.DBModels;
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//using YLErp.DBModels.Consts;
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//using YLErp.Model;
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//using YLErp.Modules.MarginModule;
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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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// /// 申银万国
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// /// </summary>
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// public class SYWGMarginCalculation : 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 SYWGMarginCalculation Instance;
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// static SYWGMarginCalculation()
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// {
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// Instance = new SYWGMarginCalculation();
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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 SYWGMarginCalculation()
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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>();
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// if (tradeList != null && tradeList.Count > 0)
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// {
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// var tempStockTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
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// if (tempStockTradeList.Any())
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// {
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// var stockTradeSpanlist = StockMarginCalculation(userId, userName, tempStockTradeList, settleDate, isEodSettle);
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// if (stockTradeSpanlist.Count > 0)
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// {
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// tradeSpans.AddRange(stockTradeSpanlist);
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// }
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// }
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// var tempFutureTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
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// if (tempFutureTradeList.Any())
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// {
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// if (!(priceDict?.Count > 0))
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// {
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// var codes = tempFutureTradeList.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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// var futureTradeSpanlist = FutureMarginCalculation(userId, userName, tempFutureTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle, volType);
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// if (futureTradeSpanlist.Count > 0)
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// {
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// tradeSpans.AddRange(futureTradeSpanlist);
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// }
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// }
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// }
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// }
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// return tradeSpans;
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// }
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// /// <summary>
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// /// 股票类期权计算保证金
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// /// </summary>
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// public List<trade_span> StockMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, bool isEodSettle)
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// {
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// List<trade_span> tradeSpans = new List<trade_span>();
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// if (tradeList != null && tradeList.Count > 0)
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// {
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// using (YLContext db = new YLContext())
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// {
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// var marginRation = valuedateBLL.SystemDate.MarginRatio ?? 0.15;
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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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// if (clientList != null)
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// {
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// tradeList.ForEach(t =>
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// {
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// var client = clientList.FirstOrDefault(c => c.client.id == t.ClientId);
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// if (client != null)
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// {
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// var clientRatio = client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0);
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// //如果是股票去名义本金，如果是期货取：份额 * 即期价格
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// var value = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : 0) * clientRatio;
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// if (t.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 == t.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(t.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:{t.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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// tradeSpans.Add(new trade_span
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// {
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// TradeId = t.id,
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// OptDate = DateTime.Now,
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// OptId = userId,
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// OptName = userName,
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// ClientId = client.client.id,
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// UnderlyingId = t.UnderlyingId,
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// UnderlyingCode = t.UnderlyingCode,
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// ValueDate = settleDate,
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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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// });
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// }
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// });
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// }
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// }
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// }
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// return tradeSpans;
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// }
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// /// <summary>
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// /// 商品期权计算保证金
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// /// </summary>
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// public List<trade_span> FutureMarginCalculation(int userId, string userName, List<trade> futureTradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false, string volType = "交易")
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// {
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// if (futureTradeList == null || !futureTradeList.Any())
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// {
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// return new List<trade_span>(0);
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// }
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// var tradeSpans = new List<trade_span>();
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// using (var db = new YLContext())
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// {
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// if (!hasOptionInfo)
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// {
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// tradeBLL.SetFieldsByTradeType(futureTradeList);
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// }
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// var underlyingCodes = futureTradeList.Select(t => t.UnderlyingCode).ToHashSet();
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// var mpProvider = new MarginParamProvider(new OptUserInfo(0, "系统"), settleDate).Initialize(underlyingCodes, MarginParamTypeEnum.MarginRate);
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// var overrideVolsForTrades = VolCaculator.Instance.GetVol(futureTradeList, settleDate);
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// var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(userId + "", settleDate, futureTradeList, priceDict, ValueCalculator.BASIC_GREEKS, null, isEodSettle, volType, overrideVolsForTrade: overrideVolsForTrades, isUseTradeVol: PS.Config.IsTradeVol, PreciseTimeMode: !isEodSettle);
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// logger.Info($"商品期货保证金计算,交易入:[{futureTradeList.Count}条],返回[{tradeRiskResult.Results.Count}],错误:{tradeRiskResult.ErrorMessage}");
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// var alphaRate = valuedateBLL.SystemDate.FutureMarginAlphaRate ?? 1;
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// var FutureMarginAddRatio = valuedateBLL.SystemDate.FutureMarginAddRatio ?? 0;
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// //客户对应等级系数
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// var clientIds = futureTradeList.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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// if (tradeRiskResult.Results.Count > 0)
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// {
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// var underlyingCodeLookup = futureTradeList.ToLookup(t => new { t.UnderlyingId, t.ClientId });
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// foreach (var trade in futureTradeList)
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// {
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// var closePrice = priceDict.ContainsKey(trade.UnderlyingId) ? priceDict[trade.UnderlyingId] : 0.0;
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// var optionValueList = tradeRiskResult.Results.Where(t => t.Trade.id == trade.id && t.ValueResult != null && t.Trade != null && !double.IsNaN(t.ValueResult.Delta) && !double.IsNaN(t.ValueResult.Vega) && !double.IsNaN(t.ValueResult.Gamma)).ToList();
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// //未设置相关保证金系数默认为1.0
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// var client = clientList.FirstOrDefault(c => c.client.id == 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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// var clientAddRatio = client == null ? 0.0 : (client.clientlevel == null ? 0.0 : (client.clientlevel.AddRatio ?? 0.0));
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// if (optionValueList.Any())
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// {
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// var deltaMerge = 0.0;
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// var deltaShort = optionValueList.Sum(t => t.ValueResult.Delta * (t.Trade.BuySell == "买入" ? 1 : 0));
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// var deltaMax = optionValueList.Sum(t => t.ValueResult.DeltaMax * (t.Trade.BuySell == "买入" ? 1 : 0));
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// //跨式组合和宽跨式组合用到的是组合交易里面的Max Delta作为deltaMerge参与保证金的计算
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// deltaMerge = trade.TradeType == "结构化交易" && (trade.StructureType == "跨式组合" || trade.StructureType == "宽跨式组合") ? Math.Abs(deltaMax) : Math.Abs(deltaShort);
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// logger.Info("交易id为" + trade.id + "的delta:" + deltaMerge);
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// //if (deltaLong * deltaShort == 0)
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// //{
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// // deltaMerge = Math.Abs(deltaShort);
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// //}
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// //else if (deltaLong * deltaShort < 0)
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// //{
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// // if (Math.Abs(deltaLong) >= Math.Abs(deltaShort))
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// // {
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// // deltaMerge = 0;
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// // }
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// // else
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// // {
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// // deltaMerge = Math.Abs(deltaShort) - Math.Abs(deltaLong);
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// // }
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// //}
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// //else
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// //{
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// // deltaMerge = Math.Abs(deltaShort);
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// //}
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// mpProvider.TryGetMarginRate(trade.UnderlyingCode, out double marginRate);
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// //保证金 = (交易保证金率+公司保证金率加点)*合约名义金额(期货价格*数量)*delta
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// var value = deltaMerge * closePrice * (marginRate + FutureMarginAddRatio + clientAddRatio) * alphaRate * clientRatio;
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// if (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 == 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(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:{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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// tradeSpans.Add(new trade_span
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// {
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// TradeId = 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 = 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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// 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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// Comment = $"标的{trade.UnderlyingCode},deltaMerge:{deltaMerge},closePrice:{closePrice},Margin:{marginRate},FutureMarginAddRatio:{FutureMarginAddRatio},clientAddRatio:{clientAddRatio},alphaRate:{alphaRate},clientRatio:{clientRatio}"
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// });
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// }
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// else
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// {
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// var nanTradeValue = tradeRiskResult.Results.Where(t => t.Trade.id == trade.id && (double.IsNaN(t.ValueResult.Delta) || !double.IsNaN(t.ValueResult.Vega) || !double.IsNaN(t.ValueResult.Gamma))).Select(t => t.ValueResult).ToList();
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// nanTradeValue.ForEach(optionValue =>
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// {
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// logger.Error($"交易ID:{trade.UnderlyingId},Delta:{optionValue.Delta},DeltaCash{optionValue.DeltaCash},Vega{optionValue.Vega},Gamma:{optionValue.Gamma},vol:{optionValue.Vol}");
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// });
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// }
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// }
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// }
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// return tradeSpans;
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// }
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// }
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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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// using (YLContext 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(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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