222 lines
13 KiB
C#
222 lines
13 KiB
C#
using Newtonsoft.Json.Linq;
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using YLErp.Core.Helpers;
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using YLErp.DBModels;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Enums;
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using YLErp.Models;
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using YLErp.Plugins.TradeDocGenerator;
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using YLErp.Plugins.TradeDocGenerator.Abstracts;
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using YLErp.QdpModule;
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namespace YLErp.Plugins.GuoLian.DocumentGenerator
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{
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/// <summary>
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/// 国联证券结算单生成器
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/// </summary>
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internal class TradeSettleBillGenerator : BaseSettleBillGenerator, ITradeSettleBillGenerator
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{
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protected override string GetContractNo(out string contractIndex)
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{
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var contractNo = Context.GenerateContractNo(out contractIndex);
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return contractNo;
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}
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protected override void PrepareViewData(Dictionary<string, object> dic)
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{
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var client = Context.GetClient();
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var flowEvents = Context.GetFlowEvents();
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var allFlowEvents = Context.GetAllFlowEvents();
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var swapPositions = Context.GetSwapPositions();
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var trades = Context.Trades;
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var tradeIds = trades.Select(t => t.id).ToList();
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var tradeExtends = Context.GetTrade_Extends(tradeIds);
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List<ExcelReportModel> table = new List<ExcelReportModel>();
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SwapEndConfirmModel outPut = new SwapEndConfirmModel();
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foreach (var flowEventGroup in flowEvents)
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{
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var tradeId = flowEventGroup.SwapTradeId;
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var positions = swapPositions.Where(x => x.SwapTradeId == tradeId && x.IsInitial).ToList();
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var posi = positions.FirstOrDefault(f => f.id == flowEventGroup.PositionId);
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var unwindFlowEvents = allFlowEvents.Where(x => x.EventId == flowEventGroup.EventId);
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var trade = trades.FirstOrDefault(x => x.id == tradeId);
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var preSettleDate = flowEventGroup.UnwindDate.Value.AddDays(-1);
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var swapEodPositions = Context.GetEodPositions(tradeId, preSettleDate);
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var tradeExtend = tradeExtends.FirstOrDefault(x => x.TradeId == tradeId);
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var ratio = posi.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
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ExcelReportModel row = new ExcelReportModel();
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var confirmNo = Context.Gettrade_contract_r(tradeId, ContractTypeEnum.Trade);
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if (string.IsNullOrEmpty(confirmNo))
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{
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// 定位要点：带上事件id便于与 SwapSettlementBillGenerateService 的"生成范围扩张日志"对齐——
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// 报错交易常是扩张拉入的同客户同日平仓，并非用户勾选的那笔。
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throw new ServiceException($"{trade.TradeNumber}未生成交易确认书(平仓事件id={flowEventGroup.id}, tradeId={tradeId}, 客户={client.Name}, 平仓日={flowEventGroup.UnwindDate?.ToString("yyyy-MM-dd")})；请先为该笔交易生成交易确认书后重试");
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}
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row.TradeNumber = confirmNo;
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row.ClientName = client.Name;
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row.UnderlyingCode = flowEventGroup.UnderlyingCode;
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row.StartDate = trade.StartDate.Value.ToString("yyyy-MM-dd");
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var eventDate = flowEventGroup.UnwindDate.Value;
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row.EventDate = eventDate.ToString("yyyy-MM-dd");
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var payDate = flowEventGroup.PayDate;
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var sr = tradeExtend == null ? 0 : tradeExtend.ExtendObj.SettlementRules;
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if (!payDate.HasValue)
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{
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payDate = QdpCalendarHelper.GetNonHoliday(flowEventGroup.EventDate.AddDays(sr));
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}
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row.PayDate = payDate.Value.ToString("yyyy-MM-dd");
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row.ClosePrice = ((flowEventGroup.TradingAmountAvg) * 100).ToString("0.00000000");
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decimal interestRate = unwindFlowEvents.Where(x => ConsTrade.InterestModels.Contains(x.InterestMode)).Sum(s => s.InterestRate);
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row.InterestRate = interestRate.ToString("0.00%");
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var PosiNotionalValue = flowEventGroup.Quantity * flowEventGroup.ContractSize * posi.PosiGrossPrice;
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// EQD-6953 期末标的结算收益率：平仓簿记时随 UnwindData 存进 swap_event.EventData，
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// 此处从浮动腿(PositionType>0)回读。存储态=展示态百分数(6.3721)，导出固定 4 位不去零。
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decimal? exitYtm = null;
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if (flowEventGroup.EventId.HasValue)
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{
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var swapEvent = Context.GetEvent(flowEventGroup.EventId.Value);
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if (swapEvent != null)
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{
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swapEvent.unwindData = JsonHelper.Deserialize<UnwindData>(swapEvent.EventData);
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PosiNotionalValue = swapEvent.unwindData.CloseNotionalValue;
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exitYtm = swapEvent.unwindData.FlowEvents?
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.FirstOrDefault(f => f.PositionType > 0)?
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.ExitYtm;
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}
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}
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row.ExitYtm = exitYtm?.ToString("0.0000") ?? string.Empty;
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row.Quantity = flowEventGroup.Quantity.ToString("0.00");
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row.PosiNotionalValue = PosiNotionalValue.ToString("0.00");
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row.PosiNetPrice = (posi.PosiGrossPrice * 100).ToString("0.00000000");
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//var tradingFee = (flowEventGroup.TradingAmountFeeAvg- posi.PosiNetPrice- flowEventGroup.TradingAmountAvg+ posi.PosiGrossPrice)* PosiNotionalValue* ratio;
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var tradingFee = flowEventGroup.TradingFee + flowEventGroup.TradingFeePending;
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row.Fee = (-tradingFee).ToString("0.00");
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var RateDays = (eventDate - trade.StartDate.Value).Days;
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RateDays = RateDays < 0 ? 0 : RateDays;
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row.RateDays = RateDays.ToString();
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var MarginAmout = positions.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金).Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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row.MarginAmout = Math.Abs(MarginAmout).ToString("0.00");
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var MarginRebateRate = positions.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金).Sum(s => s.InterestRateDefault);
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row.MarginRebateRate = MarginRebateRate.ToString("0.00%");
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var MarginInterestAmount = unwindFlowEvents.Where(x => ConsTrade.InterestMarginModels.Contains(x.InterestMode)).Sum(s => s.InterestClosePnL);
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row.MarginInterestAmount = (-MarginInterestAmount).ToString("0.00");
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var InterestAmount = unwindFlowEvents.Where(x => ConsTrade.InterestModels.Contains(x.InterestMode)).Sum(s => s.InterestClosePnL) * -1;
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row.InterestAmount = InterestAmount.ToString("0.00");
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//var lastInterestAmount= swapEodPositions.Where(x => ConsTrade.InterestModels.Contains(x.InterestMode)).Sum(s => s.InterestIncomeSum);
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//var lastPosiNotionalValue = swapEodPositions.Sum(s=>s.PosiNotionalValue);
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//var InterestAmount = lastPosiNotionalValue==0?0: - lastInterestAmount* PosiNotionalValue/ lastPosiNotionalValue;
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//row.InterestAmount = InterestAmount.ToString("0.00");
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//var lastMarginAmount = swapEodPositions.Where(x => ConsTrade.InterestMarginModels.Contains(x.InterestMode)).Sum(s => s.InterestIncomeSum);
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//var MarginInterestAmount = lastMarginAmount == 0 ? 0 : -lastMarginAmount * PosiNotionalValue / lastMarginAmount;
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//row.MarginInterestAmount = MarginInterestAmount.ToString("0.00");
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var FloatRate = PosiNotionalValue == 0 ? 0 : InterestAmount / PosiNotionalValue;
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row.FloatRate = FloatRate.ToString("0.0000%");
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var PosiPnl = -flowEventGroup.MarkClosePnl;
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row.PosiPnl = PosiPnl.ToString("0.00");
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var markClosePnl = -flowEventGroup.FloatPnlSum;
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row.MarkClosePnl = markClosePnl.ToString("0.00");
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row.DividendIn = (-flowEventGroup.DividendIn).ToString("0.00");
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var marginBackAmount = unwindFlowEvents.Where(x => ConsTrade.InterestMarginModels.Contains(x.InterestMode)).Sum(s => s.InterestPrincipal);
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var NetSettleAmout = unwindFlowEvents.Sum(x => x.InterestClosePnL) * -1 + flowEventGroup.FloatPnlSum * -1 + marginBackAmount;
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row.NetSettleAmout = NetSettleAmout.ToString("0.00");
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table.Add(row);
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}
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outPut.table = table;
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dic["TRS结算单"] = outPut;
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}
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protected override void PrepareViewData(Dictionary<string, JToken> dic)
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{
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var client = Context.GetClient();
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if (string.IsNullOrEmpty(client.SettleFileNumber))
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{
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throw new ServiceException($"{client.Name}未设置定义文件编号");
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}
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var flowEvents = Context.GetFlowEvents();
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var allFlowEvents = Context.GetAllFlowEvents();
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var swapPositions = Context.GetSwapPositions();
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var trades = Context.Trades;
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var eventDate = flowEvents.First().UnwindDate;
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var td = trades.First();
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var realPositions = swapPositions.Where(x => x.PosiQuantity > 0 && !x.IsInitial).ToList();
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var posiNationalValue = realPositions.Sum(x => x.PosiNotionalValue);
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var metaDic = Context.GetTradeMetas(td.id);
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dic["主协议编号"] = metaDic[ConsTradeMetaKey.MainProtocolCode];
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dic["文件编号"] = client.SettleFileNumber;
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dic["乙方"] = client.Name;
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dic["管理人名称"] = client.Manager;
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var confirmNo = Context.Gettrade_contract_r(td.id, ContractTypeEnum.Trade);
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if (string.IsNullOrEmpty(confirmNo))
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{
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throw new ServiceException($"{td.TradeNumber}未生成交易确认书");
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}
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FormatToDict("平仓日期", eventDate, dic);
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JArray table = new JArray();
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JArray table2 = new JArray();
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foreach (var flowEvent in flowEvents)
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{
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var tradeId = flowEvent.SwapTradeId;
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var positions = swapPositions.Where(x => x.SwapTradeId == tradeId).ToList();
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var posi = positions.FirstOrDefault(f => f.PositionId == flowEvent.PositionId);
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JObject row = new JObject();
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row["交易确认书编号"] = confirmNo;
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var ratio = flowEvent.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
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row["多空方向"] = flowEvent.PositionType == (int)PositionTypeFlag.Long ? "多" : "空";
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FormatToDict("平仓日期", eventDate, row);
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underlying_manager underlying = Context.GetTradeUnderlying(flowEvent.UnderlyingCode);
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row["标的代码"] = flowEvent.UnderlyingCode;
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row["标的名称"] = underlying?.UnderlyingName;
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var preQty = flowEvent.Quantity + flowEvent.PositionQty ?? 0;
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FormatToDict("平仓前数量", Convert.ToDouble(preQty) * ratio, row);
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FormatToDict("平仓数量", Convert.ToDouble(flowEvent.Quantity), row);
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FormatToDict("平仓后数量", Convert.ToDouble(flowEvent.PositionQty ?? 0) * ratio, row);
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FormatToDict("平仓成交金额", Convert.ToDouble(flowEvent.Quantity * posi.PosiNetPrice * flowEvent.ContractSize), row);
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table.Add(row);
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}
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JObject row2 = new JObject();
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row2["交易确认书编号"] = confirmNo;
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FormatToDict("平仓日期", eventDate, row2);
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FormatToDict("平仓后名义本金", Convert.ToDouble(posiNationalValue), row2);
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table2.Add(row2);
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dic["table"] = table;
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dic["table2"] = table2;
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}
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protected override string GetTemplateFilePath()
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{
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var trades = Context.Trades;
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var templatePath = string.Empty;
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if (trades.Any(s => s.StructureType == "多空组合" || s.StructureType == "定义文件型债券收益互换"))
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{
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templatePath = MosPathHelper.Combine(GlobalConfig.PluginFolder, "App_Docs/settlement_template/dma_01.docx");
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return templatePath;
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}
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templatePath = MosPathHelper.Combine(GlobalConfig.PluginFolder, "App_Docs/settlement_template/nodma_01.xlsx");
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return templatePath;
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}
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protected override string GetOutputFileName(string contractNo, string contractIndex)
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{
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var trades = Context.Trades;
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var client = Context.GetClient();
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var flowEvents = Context.GetFlowEvents();
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var eventDate = flowEvents.FirstOrDefault().UnwindDate.Value;
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var valueDate = eventDate.ToString("yyyy-MM-dd");
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var count = Context.GetDMASelttementCount(client.id, eventDate);
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var countStr = count == 0 ? "" : "-" + (count + 1).ToString();
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var FullName = $"结算单-{client.Name}-{valueDate}{countStr}";
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if (trades.Any(s => s.StructureType == "多空组合" || s.StructureType == "定义文件型债券收益互换"))
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{
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FullName = $"{client.Name}-结算确认书-{valueDate}-交易平仓{countStr}";
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return $"{FullName}.docx";
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}
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return $"{FullName}.xlsx";
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}
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}
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}
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