466 lines
17 KiB
C#
466 lines
17 KiB
C#
using Qdp.ComputeServiceV2.Data.CommonModels.TradeInfos;
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using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Utilities;
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using System.Runtime.CompilerServices;
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using YLErp.BLL;
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using YLErp.BLL.Calculation;
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using YLErp.QdpModule;
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namespace YLErp.Modules.CalculationModule
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{
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/// <summary>
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/// 交易计算帮助类
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/// </summary>
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public static class TradeCalcHelper
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{
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/// <summary>
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/// [交易员角度]根据交易方向判断了结金额是否需要加符号
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/// <para>开仓费不适用 -- 开仓费是客户方向</para>
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static int GetBuySellSign(string buySell)
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{
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switch (buySell)
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{
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case "卖出":
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case "融券卖出":
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case "多头平仓":
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case "空头开仓":
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return -1;
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default:
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return 1;
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}
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}
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/// <summary>
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/// [交易员角度]根据交易方向判断了结金额是否需要加符号
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/// <para>开仓费不适用 -- 开仓费是客户方向</para>
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static int GetSign(string buySell)
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{
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return GetBuySellSign(buySell);
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}
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/// <summary>
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/// 远期计算(从交易员角度计算)
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/// </summary>
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public static void CalcForwardValue(OtcTrade trade, double spotPrice, out double pv, out double pnl)
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{
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//1.结算报告，期权价格 / 单价： 现价 - 交割价格
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//2.持仓市值： 期权价格* 持仓数量
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//3.持仓盈亏： 持仓市值 - 持仓数量比率 * 开仓总费用
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pv = pnl = 0;
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if (trade.Notional <= 1e-7)
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{
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return;
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}
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var priceChange = 0d;
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if (trade.OptionType == "看涨")
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{
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priceChange = spotPrice - (trade?.Strike ?? 0);
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}
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else if (trade.OptionType == "看跌")
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{
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priceChange = (trade?.Strike ?? 0) - spotPrice;
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}
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//以交易员角度
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if (trade.BuySell == "卖出")
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{
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priceChange = -priceChange;
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}
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pv = priceChange * trade.Notional;
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pnl = pv + (trade.OriginalNotional > 0 && trade.TradePrice >= 0 ? trade.TradePrice.Value * trade.Notional / trade.OriginalNotional.Value : 0);
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}
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/// <summary>
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/// 对冲交易 根据结构类型 买卖方向 看涨看跌 获取持仓long short
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/// </summary>
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public static string GetHedgeLongShort(string TradeType, string BuySell)
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{
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switch (TradeType)
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{
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case "信用债":
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case "商品期货":
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case "场内期权":
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return BuySell.Contains("多头") ? "long" : "short";
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case "股票":
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default: return "long";
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}
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}
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/// <summary>
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/// 根据期权交易获取QDP Trade
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/// </summary>
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public static TradeBase GetQdpTrade(trade tr, DateTime? valueDate = null, string fixings = null)
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{
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if (!valueDate.HasValue)
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{
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valueDate = valuedateBLL.ValueDate;
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}
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TradeBase tempTrade = null;
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var sysRiskRate = valuedateBLL.RiskFreeRate / 100;
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OptionTradeParamRequest getRequest()
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{
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return new OptionTradeParamRequest(sysRiskRate)
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{
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tradeId = tr.TradeNumber,
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fixings = null,
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hasNightMarket = false,
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maturityShift = 0,
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ParamOverride = null,
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preciseTimeMode = false,
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timeToMaturityDays = double.NaN,
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volSurfaceNames = null
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};
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}
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switch (tr.TradeType)
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{
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case "自定义交易":
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{
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tempTrade = new ManualTrade(tr.id.ToString(), new Date(tr.TradeDate.Value.Date),
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new Date(tr.StartDate ?? valueDate.Value), new Date(tr.MaturityDate ?? valueDate.Value),
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QdpConverter.ConvertTradeType(tr.BuySell), tr.Notional, 0);
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break;
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}
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case "收益互换":
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{
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tempTrade = new SwapTrade(tr.id.ToString(), new Date(tr.TradeDate.Value.Date),
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new Date(tr.StartDate ?? valueDate.Value), new Date(tr.MaturityDate ?? valueDate.Value),
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QdpConverter.ConvertTradeType(tr.BuySell), tr.Notional, tr.SpotPrice ?? 0);
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break;
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}
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case "亚式期权":
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{
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var request = getRequest();
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request.fixings = fixings.TrimToNull() ?? AsianOptionFixingService.GetFixingString(valueDate.Value, tr);
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tempTrade = QdpTradeBuilder.GetAsianOptionTrade(tr, tr.trade_asian_option, request);
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break;
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}
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case "彩虹期权":
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tempTrade = QdpTradeBuilder.GetRainbowOptionTrade(tr, tr.trade_rainbow_option, getRequest());
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break;
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case "合成价差期权":
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tempTrade = QdpTradeBuilder.GetSSpreadOptionTrade(tr, getRequest());
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break;
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case "香草期权":
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tempTrade = QdpTradeBuilder.GetVanillaOptionTrade(tr, getRequest(), false);
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break;
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case "Risky期权":
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tempTrade = QdpTradeBuilder.GetVanillaOptionTrade(tr, getRequest(), false);
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break;
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case "障碍期权":
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tempTrade = QdpTradeBuilder.GetBarrierOptionTrade(tr, tr.trade_barrier_option, getRequest());
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break;
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case "二元期权":
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tempTrade = QdpTradeBuilder.GetBinaryOptionTrade(tr, tr.trade_binary_option, getRequest());
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break;
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case "双鲨期权":
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tempTrade = QdpTradeBuilder.GetDoubleSharkFinOptionTrade(tr, tr.trade_double_sharkfin_option, getRequest());
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break;
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case "凤凰期权":
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tempTrade = QdpTradeBuilder.GetAutocallOptionTrade(tr, tr.trade_autocall, getRequest());
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break;
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case "雪球期权":
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tempTrade = QdpTradeBuilder.GetSnowballOptionTrade(tr, tr.trade_snowball, getRequest());
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break;
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case "区间累积期权":
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tempTrade = QdpTradeBuilder.GetRangeAccrualTrade(tr, tr.trade_rangeaccrual, getRequest());
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break;
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case "气囊结构":
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tempTrade = QdpTradeBuilder.GetAirbagOptionTrade(tr, tr.trade_airbag, getRequest());
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break;
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case "累计期权":
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{
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var req = getRequest();
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req.happenedObservations = ObservationDataService.QueryDatas(tr.id, valueDate.Value);
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tempTrade = QdpTradeBuilder.GetAccumulatorOptionTrade(tr, tr.trade_accumulator_option, req);
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}
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break;
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case "收益增强结构":
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tempTrade = QdpTradeBuilder.GetUnderlyingEnhanceTrade(tr, tr.trade_underlying_enhance, getRequest());
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break;
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case "现金流交易":
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tempTrade = QdpTradeBuilder.GetCashFlowTrade(tr, tr.trade_cashflow, getRequest());
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break;
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}
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return tempTrade;
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}
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/// <summary>
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/// 根据valuedate配置判断是否使用收盘价进行结算
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/// </summary>
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public static bool UseClosePrice()
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{
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return ConsGlobal.SettlePriceMode.UseClosePrice(valuedateBLL.SystemDate.EodSettlePriceMode);
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}
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/// <summary>
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/// 根据valuedate配置获取收盘结算价类型
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/// </summary>
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public static SettlementTypeEnum GetSettlementType()
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{
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return ConsGlobal.SettlePriceMode.GetSettlementType(valuedateBLL.SystemDate.EodSettlePriceMode);
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}
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/// <summary>
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///
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/// </summary>
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public static string GetTradeStatus(trade trade, trade_cash tradeCash)
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{
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if (tradeCash.Action == "系统操作-平仓费" && (tradeCash.UnwindType == "部分平仓" || tradeCash.UnwindType == "全部平仓"))
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{
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return "已平仓";
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}
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if (tradeCash.Action == "系统操作-行权费" && tradeCash.ExerciseWay == "到期行权" && tradeCash.UnwindType == "到期")
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{
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return "已到期";
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}
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if ((tradeCash.Action == "系统操作-平仓费" && tradeCash.UnwindType == "部分行权") || tradeCash.Action == "系统操作-行权费")
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{
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return "已行权";
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}
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return trade.TradeStatus;
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}
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/// <summary>
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/// 以交易员角度计算盈亏
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/// </summary>
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/// <param name="buySell">交易方向</param>
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/// <param name="tradePrice">交易总额</param>
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/// <param name="tcUnwindPercent">平仓比例</param>
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/// <param name="tcAmount">平仓收支</param>
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public static double CalcWinLoss(string tradeType, string buySell, double tradePrice, double tcUnwindPercent, double tcAmount)
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{
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int costSign = 1; //收入计为1,支出计为-1
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if (tradeType != "远期")
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{
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switch (buySell)
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{
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case "卖出":
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case "融券卖出":
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case "多头平仓":
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case "空头开仓": break;
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default:
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costSign = -1;
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break;
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}
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}
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return tcAmount + tradePrice * tcUnwindPercent * costSign;
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}
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/// <summary>
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/// 计算单笔交易或多笔交易实现盈亏
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/// </summary>
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/// <param name="td"></param>
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/// <param name="tc"></param>
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/// <param name="IsUsePremiumRate"></param>
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/// <param name="CountRatio"></param>
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/// <returns></returns>
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public static double CalcChildTradeSumWinLoss(trade td, trade_cash tc, bool IsUsePremiumRate = false, int CountRatio = 0)
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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double TcTradePrice = 0;
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if (td.IsGroup == 1)
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{
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var childTradeCashs = db.trade_cash.Where(x => x.ParentTradeCashId == tc.id).ToList();
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var childTradeIds = childTradeCashs.Select(x => x.TradeId).Distinct().ToList();
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var childTrades = db.trade.Where(x => childTradeIds.Contains(x.id)).ToList();
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childTradeCashs.ForEach(x =>
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{
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var trade = childTrades.FirstOrDefault(y => y.id == x.TradeId);
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TcTradePrice += (x.UnwindPercentRate * trade?.TradePrice * (trade?.BuySell == "买入" ? -1 : 1)) ?? 0;
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});
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return tc.Amount + TcTradePrice;
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}
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else
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{
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if (IsUsePremiumRate)
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{
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return (tc.Amount + (td.BuySell == "卖出" ? 1 : -1) * ((tc?.UnwindTradeAmount ?? 0) * CountRatio / td.OriginalNotional) * td.TradePrice) ?? 0;
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}
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return (tc.Amount + (td.BuySell == "卖出" ? 1 : -1) * (tc?.UnwindPercentRate ?? 0) * td?.TradePrice) ?? 0;
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}
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}
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}
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/// <summary>
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/// 计算TTM
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/// </summary>
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public static double CalculateTTMDays(DateTime from, DateTime to, int varietyid, bool precisionOfMinute, DateTime? serverDateTime = null)
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{
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var dayCount = valuedateBLL.TradeDayCount.ToDayCountImpl();
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var variety = DataCacheProvider.GetVarietyDataSource().GetData(varietyid);
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if (serverDateTime == null)
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{
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serverDateTime = DateTime.Now;
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}
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return QdpHelper.CalculateTTMDays(from, to, valuedateBLL.ValueDate, serverDateTime.Value, dayCount, variety != null && variety.HasNightMarket, precisionOfMinute);
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}
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/// <summary>
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/// 计算TTM
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/// </summary>
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public static double CalculateTTMDaysForXiangYu(DateTime from, DateTime to, int varietyid, bool precisionOfMinute, DateTime? serverDateTime = null)
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{
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var dayCount = valuedateBLL.TradeDayCount.ToDayCountImpl();
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var variety = DataCacheProvider.GetVarietyDataSource().GetData(varietyid);
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if (serverDateTime == null)
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{
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serverDateTime = DateTime.Now;
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}
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return QdpHelper.CalculateTTMDaysForXiangYu(from, to, valuedateBLL.ValueDate, serverDateTime.Value, dayCount, variety != null && variety.HasNightMarket, precisionOfMinute);
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}
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/// <summary>
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/// 传入OTC买卖方向判断是否买入方向
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/// </summary>
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public static bool IsBuy(string buySell)
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{
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return buySell == "Buy" || buySell == "买入" || string.IsNullOrWhiteSpace(buySell);
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}
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/// <summary>
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/// 用于计算成交数量(虚拟),如果countRatio传入的是1，就可以用来计算成交份额
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/// </summary>
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public static double GetTradeAmountV(OtcTradeBase trade, int? countRatio = null)
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{
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return InnerGetTradeAmountV(trade, null, countRatio);
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}
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/// <summary>
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/// 用于计算成交数量(虚拟),如果countRatio传入的是1，就可以用来计算成交份额
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/// </summary>
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public static double GetTradeAmountV(OtcTradeBase trade, double notional, int? countRatio = null)
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{
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return InnerGetTradeAmountV(trade, notional, countRatio);
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}
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/// <summary>
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/// 用于计算成交数量(实际),如果countRatio传入的是1，就可以用来计算成交份额
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/// </summary>
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public static double GetTradeAmount(OtcTradeBase trade, double notional, int? countRatio = null)
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{
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return InnerGetTradeAmount(trade, notional, countRatio);
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}
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/// <summary>
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///
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/// </summary>
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private static double InnerGetTradeAmountV(OtcTradeBase trade, double? notional, int? countRatio)
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{
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if (trade is null)
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{
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throw new ArgumentNullException(nameof(trade));
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}
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var CountRatio = countRatio ?? trade.CountRatio ?? 0;
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if (CountRatio < 1)
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{
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CountRatio = DataCacheProvider.GetUnderlyingDataSource().GetData(trade.UnderlyingCode)?.CountRatio ?? 1;
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}
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if (trade.TradeType == "累计期权")
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{
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return (notional ?? trade.OriginalNotional ?? 0) / CountRatio;
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}
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if (!notional.HasValue)
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{
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var SpotPrice = trade.SpotPrice ?? 0;
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if (Math.Abs(SpotPrice) > 0)
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{
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return (trade.OriginalStockEqvNotional ?? 0) / Math.Abs(SpotPrice) / CountRatio;
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}
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}
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var annRate = (trade.ParticipationRate ?? 1) * (trade.AnnualizeFactor ?? 1);
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if (annRate < 1e-8)
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{
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annRate = 1;
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}
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return (notional ?? trade.OriginalNotional ?? 0) / annRate / CountRatio;
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}
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/// <summary>
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///
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/// </summary>
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private static double InnerGetTradeAmount(OtcTradeBase trade, double? notional, int? countRatio)
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{
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if (trade is null)
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{
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throw new ArgumentNullException(nameof(trade));
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}
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var CountRatio = countRatio ?? trade.CountRatio ?? 0;
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if (CountRatio < 1)
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{
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CountRatio = DataCacheProvider.GetUnderlyingDataSource().GetData(trade.UnderlyingCode)?.CountRatio ?? 1;
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}
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if (trade.TradeType == "累计期权")
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{
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return (notional ?? trade.OriginalNotional ?? 0) / CountRatio;
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}
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if (!notional.HasValue)
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{
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var SpotPrice = trade.SpotPrice ?? 0;
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if (Math.Abs(SpotPrice) > 0)
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{
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return (trade.OriginalStockEqvNotional ?? 0) / Math.Abs(SpotPrice) / CountRatio;
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}
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}
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var annRate = (trade.ParticipationRate ?? 1) * (trade.AnnualizeFactor ?? 1);
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if (annRate < 1e-8)
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{
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annRate = 1;
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}
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return (notional ?? trade.OriginalNotional ?? 0) * annRate / CountRatio;
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}
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}
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}
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