964 lines
40 KiB
C#
964 lines
40 KiB
C#
using Qdp.Foundation.Utilities;
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using YLErp.BLL;
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using YLErp.BLL.Eod;
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using YLErp.BLL.EodSettlement;
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using YLErp.Commons;
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using YLErp.CustomizedBizLogic;
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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.DBModels.Helpers;
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using YLErp.Model;
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using YLErp.Model.Enum;
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using YLErp.Modules.ClientModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.DealModule
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{
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/// <summary>
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///
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/// </summary>
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public class TradeCashService : TradeServiceBase
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{
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public TradeCashService(YLBaseService baseService) : base(baseService)
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{
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}
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public TradeCashService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 根据资金记录Id查找资金记录
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/// </summary>
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/// <param name="tradeCashIds">资金记录Id</param>
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/// <param name="tradeIds">交易Id</param>
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/// <returns></returns>
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/// <exception cref="ArgumentNullException"></exception>
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public List<trade_cash> SearchTradeCashList(List<int> tradeCashIds, List<int> tradeIds)
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{
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var query = DbContext.trade_cash.AsQueryable();
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if (tradeCashIds != null && tradeCashIds.Count > 0)
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{
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query = query.Where(O => tradeCashIds.Contains(O.id));
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}
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if (tradeIds != null && tradeIds.Count > 0)
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{
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query = query.Where(O => tradeIds.Contains(O.TradeId));
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}
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return query.ToList();
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}
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public List<trade_cash> SearchTradeCashLists()
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{
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var query = DbContext.trade_cash.AsQueryable();
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return query.ToList();
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}
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/// <summary>
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/// 根据交易计算行权的交割金,新生成
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/// 来自tradeBLL.ExecutionTradeCash
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/// </summary>
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public trade_cash ExecutionTradeCash(trade td, double? finalPrice = null)
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{
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var r = new trade_cash
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{
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TradeId = td.id,
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TradeType = td.BuySell,
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Trade_TradeType = td.TradeType,
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ExceciseType = "现金",
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CallPut = td.CallPut,
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Strike = td.Strike,
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Notional = td.Notional
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};
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var valueDate = valuedateBLL.ValueDate;
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if (PS.Config.Company == Configuration.CompanyEnum.厦门象屿 && td.SettlementType == SettlementTypeEnum.ReferencePrice)
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{
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valueDate = SpecialModule.XiaMenXiangYuHelper.GetRefernceValueDate(valueDate);
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}
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if (td.ExerciseDate != null && valueDate > td.ExerciseDate)
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{
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valueDate = td.ExerciseDate.Value;
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}
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r.ValueDate = valueDate;
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r.SpotPrice = EodPriceQueryService.TryGetEodPrice(valueDate, td.UnderlyingCode, out var eodPrice)
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? eodPrice.GetPrice(td.SettlementType) : DataCacheProvider.GetUnderlyingDataSource().GetPrice(r.UnderlyingId ?? 0);
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var CountRatio = UnderlyingDataProvider.GetCountRatio(td.UnderlyingCode);
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r.TradeAmount = r.Notional / CountRatio;
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//r.SpotPrice = DataCacheProvider.GetUnderlyingDataSource().GetPrice(td.UnderlyingCode);
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r.ClientName = td.ClientName;
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r.IsMoneynessOptionData = td.IsMoneynessOptionData;
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r.IsMoneynessOption = td.IsMoneynessOption == "是";
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r.InitialSpotPrice = (td.SpotPrice ?? 0);
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r.UnderlyingInstrumentType = td.UnderlyingInstrumentType;
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r.ValidStrike = r.IsMoneynessOptionData ? ((td.SpotPrice * td.Strike) ?? 0.0) : (r.Strike ?? 0.0);
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r.ExerciseCostRatio = valuedateBLL.SystemDate.ExerciseCostRatio;
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//修改只收买方行权费
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r.ExtraAmount = Math.Abs(td.StockEqvNotional * (valuedateBLL.SystemDate.ExerciseCostRatioReal ?? 0)) * ("卖出".Equals(td.BuySell) ? 1 : 0);
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tradeBLL.SetFieldsByTradeType(td);
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r.IsPossibleExec = true;
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if (finalPrice != null)
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{
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r.FinalPrice = finalPrice;
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}
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else
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{
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if (td.ExerciseDate <= valueDate && EodPriceQueryService.TryGetEodPrice(td.ExerciseDate.Value, td.UnderlyingCode, out var ep))
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{
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r.FinalPrice = ep.GetPrice(td.SettlementType);
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}
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else if (UnderlyingPriceProvider.TryGetPrice(td.UnderlyingCode, out var price))
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{
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r.FinalPrice = price;
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}
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}
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if (td.IsMoneynessOption == "是")
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{
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r.StrikeString = ((r.Strike ?? 0) * 100).ToString("0.00") + "%";
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}
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else
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{
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r.StrikeString = (r.Strike ?? 0).ToString("0.00");
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}
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var childTrades = new List<trade>();
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if (td.TradeType == "结构化交易")
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{
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childTrades = DbContext.trade.Where(x => x.ParentTradeId == td.id).ToList();
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foreach (var trade in childTrades)
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{
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if (trade.Strike != r.Strike)
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{
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r.StrikeTwo = trade.Strike;
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if (trade.IsMoneynessOption == "是")
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{
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r.StrikeTwoString = ((r.StrikeTwo ?? 0) * 100).ToString("0.00") + "%";
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}
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else
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{
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r.StrikeTwoString = (r.StrikeTwo ?? 0).ToString("0.00");
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}
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}
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}
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}
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if (td.TradeStatus == ConsTrade.行权待复核)
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{
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r.IsPossibleExec = true;
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}
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if (td.TradeType == "结构化交易")
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{
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double amount = 0;
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foreach (var trade in childTrades)
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{
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var tradeCash = new trade_cash();
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tradeBLL.SetFieldsByTradeType(trade);
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SettlementCalcCommons.SetPossibleExec(tradeCash, trade, r.FinalPrice ?? 0, true, finalPriceSettleDate: r.ValueDate);
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amount += tradeCash.Amount;
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}
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r.Amount = amount;
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r.InitialAmount = amount;
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}
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else
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{
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SettlementCalcCommons.SetPossibleExec(r, td, r.FinalPrice ?? 0, true, finalPriceSettleDate: r.ValueDate);
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}
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r.OptionType = td.TradeType;
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r.IsPossibleExec = r.IsPossibleExec && r.Amount != 0;
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r.Amount += r.ExtraAmount ?? 0;
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r.UnderlyingId = td.UnderlyingId;
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r.UnderlyingCode = td.UnderlyingCode;
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r.UnderlyingName = td.UnderlyingAssetName;
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r.DurationDays = td.DurationDays;
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//四舍五入处理，保留小数点两位
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r.Amount = Math.Round(r.Amount * 100) / 100;
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r.InitialAmount = Math.Round(r.InitialAmount * 100) / 100;
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r.OptId = UserId;
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r.OptName = UserName;
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r.OptDate = OptDate;
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return r;
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}
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/// <summary>
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/// 黑箱交易主交易tradecash保存子交易期权费加和的值
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/// clientcashincashout保存一条0的记录
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/// 主要为了解决我们是按照子交易进行结算，但是客户结算报告，又想以主交易来展示主交易资金
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/// </summary>
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/// <param name="td"></param>
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/// <returns></returns>
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public trade_cash SaveGroupOpenTradeCash(trade td)
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{
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var r = new trade_cash
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{
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TradeId = td.id,
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TradeType = td.BuySell,
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ExceciseType = "现金",
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CallPut = td.CallPut,
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Strike = td.Strike,
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Amount = ((td.BuySell == "买入" ? -1 : 1) * td.TradePrice) ?? 0,
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Notional = td.Notional,
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TradeAmount = td.TradeAmount,
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ValueDate = td.TradeDate.Value,
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Action = "系统操作-期权费",
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OptDate = OptDate,
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OptId = UserId,
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OptName = UserName
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};
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DbContext.trade_cash.Add(r);
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DbContext.SaveChanges();
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#region---存入ClientCashInCashOut---
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var cl = ClientDataQueryService.GetClient(td.ClientId, true);
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var ee = new ClientCashInCashOut
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{
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Direction = "应收",
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Number = UniqueTimeId.GetStr(),
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ClientId = cl.id,
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ClientNumber = cl.Number,
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ClientName = cl.Name,
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HappenDate = r.ValueDate,
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State = ClientCashInCashOut.已确认,
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OptId = r.OptId,
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OptName = r.OptName,
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OptDate = r.OptDate,
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CreatorId = r.OptId,
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CreatorName = r.OptName,
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CreateDate = r.OptDate,
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TradeId = r.TradeId,
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TradeCashId = r.id,
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Action = r.Action,
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TradeNumber = td.TradeNumber,
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IsGroup = td.IsGroup
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};
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DbContext.ClientCashInCashOut.Add(ee);
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#endregion
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DbContext.SaveChanges();
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return r;
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}
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/// <summary>
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/// 来自:executionTradeCashJson
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/// </summary>
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public ExecutionTradeCashResult ExecutionTradeCash(TradeCashReq req)
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{
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var isFromRecheck = false;
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var tradeDalService = new TradeDalModule.TradeDalService(OptUser);
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//修改交易主表信息交易状态为已执行
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var td = DbContext.trade.Find(req.TradeId);
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if (td.Warning)
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{
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tradeDalService.RollbackToBeforeSettle(td, valuedateBLL.ValueDate);
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}
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var unwindNotional = td.IsUsePremiumRate == true ? req.UnwindPercentRate / 100 * td.OriginalNotional : req.UnwindNotional;
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if (unwindNotional >= Math.Floor(td.Notional * Math.Pow(10, 8)) / Math.Pow(10, 8))
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{
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req.UnwindType = "全部行权";
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td.UnWindNotional = td.Notional;
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}
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else
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{
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td.UnWindNotional = unwindNotional;
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}
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//行权复核逻辑验证
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if ((valuedateBLL.SystemDate.CloseReCheck == 1) && td.TradeStatus == ConsTrade.行权待复核)
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{
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//检查行权单价
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//部分行权是按照 Action=系统操作_平仓费 来处理的
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var tcash = DbContext.trade_cash.Where(dd => dd.TradeId == req.TradeId && (dd.Action == ClientCashInCashOut.系统操作_行权费 && (dd.UnwindType == "全部行权" || dd.UnwindType.Contains("到期")) || dd.Action == ClientCashInCashOut.系统操作_平仓费 && dd.UnwindType == "部分行权") && dd.ValidState == ConsGlobal.InValid && !dd.IsDeleted).OrderByDescending(x => x.id).FirstOrDefault();
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if (req.UnwindType != null && req.UnwindType.Contains("全部") && td.OriginalStockEqvNotional > 0)
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{
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req.UnwindPercentRate = td.StockEqvNotional / td.OriginalStockEqvNotional.Value * 100;
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}
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if (td.TradeType == "自定义交易")
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{
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if (req.UnwindPrice == tcash.UnwindPrice && req.FinalPrice == tcash.FinalPrice && req.ExtraAmount == tcash.ExtraAmount && (req.UnwindNotional == tcash.UnwindNotional && td.IsUsePremiumRate != true || Math.Abs(req.UnwindPercentRate / 100 - (tcash.UnwindPercentRate ?? 0)) <= 1e-7 && td.IsUsePremiumRate == true))
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{
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isFromRecheck = true;
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td.CheckStatus = Convert.ToInt32(TradeCheckEnum.StatusOfExercise);
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DbContext.SaveChanges();
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}
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else
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{
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//审核失败
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throw new ServiceException("复核信息不一致，复核不通过");
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}
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}
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if (req.FinalPrice == tcash.FinalPrice && req.ExtraAmount == tcash.ExtraAmount && (req.UnwindNotional == tcash.UnwindNotional && td.IsUsePremiumRate != true || Math.Abs(req.UnwindPercentRate / 100 - (tcash.UnwindPercentRate ?? 0)) <= 1e-7 && td.IsUsePremiumRate == true))
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{
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isFromRecheck = true;
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td.CheckStatus = Convert.ToInt32(TradeCheckEnum.StatusOfExercise);
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DbContext.SaveChanges();
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}
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else
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{
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//审核失败
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throw new ServiceException("复核信息不一致，复核不通过");
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}
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}
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//------------------------------------
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// 存在审批流程时，走审批成功流程
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//------------------------------------
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if (valuedateBLL.SystemDate.CloseReApprove == 1 && HasTradeProcess() && td.ExerciseMode == "American")
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{
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var openResult = new TradeOpenService(this).UpdateTradeProcessLog(new TradeOpenReqModel
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{
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tradeId = td.id,
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status = "pass",
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comments = "行权复核审批成功",
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ignoreMoneyCheck = false,
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notNeedOperationHistory = true,
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isPartialExercise = req.UnwindType == "部分行权",
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isExpire = req.IsExpire
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});
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if (openResult.RetCode == TradeOpenRetCode.Success || string.IsNullOrWhiteSpace(openResult.ErrorMsg))
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{
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//生成文档
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if (PS.Config.IsAutoGenerateContracts)
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{
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new TradeContractGenerateService(this).GenerateContractsAsync(new List<int> { td.id });
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}
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SaveTradeOperationHistory(td, "行权复核");
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return new ExecutionTradeCashResult(td) { Success = true, Message = "复核审批成功!" };
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}
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return new ExecutionTradeCashResult(td) { Success = false, Message = openResult.ErrorMsg };
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}
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//------------------------------------
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// 行权操作处理
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//------------------------------------
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var result = new ExecutionTradeCashResult(td) { Success = true, Message = "执行成功" };
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//行权
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if (req.UnwindType == "部分行权")
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{
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result.TradeCash = new TradeUnwindService(this).UnwindTrade(td, req, isFromRecheck, true);
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}
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else
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{
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result.TradeCash = ExecutionTradeCashInner(td, req, isFromRecheck);
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}
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trade pairTrade = null;
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//配对 行权(不需要复核且不需要审批的行权操作)
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if (req.IsUnwindPairTrade && !string.IsNullOrEmpty(td.PairTrade))
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{
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var pairTradeId = Convert.ToInt32(td.PairTrade);
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pairTrade = DbContext.trade.Find(pairTradeId);
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if (pairTrade.Warning)
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{
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tradeDalService.RollbackToBeforeSettle(pairTrade, SystemValueDate);
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}
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if (req.UnwindType == "部分行权")
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{
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try
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{
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new TradeUnwindService(this).UnwindTrade(pairTrade, req, isFromRecheck, true);
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result.Message += ",配对交易也执行成功";
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}
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catch (Exception ex)
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{
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result.Message += ",配对交易执行失败:" + ex.Message;
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LogFactory.GetLogger("ExecutionTradeCash").Error("配对交易部分行权失败", ex);
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}
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}
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else
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{
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var tc = DbContext.trade_cash.FirstOrDefault(t => t.TradeId == pairTrade.id && !t.IsDeleted && t.Action == ClientCashInCashOut.系统操作_行权费);
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if (tc == null)
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{
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tc = ExecutionTradeCash(pairTrade, req.FinalPrice);
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}
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req.Amount = tc.Amount;
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req.ExtraAmount = tc.ExtraAmount ?? 0;
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req.TradeId = pairTradeId;
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try
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{
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ExecutionTradeCashInner(pairTrade, req, isFromRecheck);
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result.Message += ",配对交易也执行成功";
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}
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catch (Exception ex)
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{
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result.Message += ",配对交易执行失败:" + ex.Message;
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LogFactory.GetLogger("ExecutionTradeCash").Error("配对交易行权失败", ex);
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}
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}
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SaveTradeOperationHistory(pairTrade, "执行合约");
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}
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//生成文档
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if (PS.Config.IsAutoGenerateContracts)
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{
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var tradeIds = new List<int> { td.id };
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if (pairTrade != null && pairTrade.TradeStatus == ConsTrade.已执行)
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{
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tradeIds.Add(td.id);
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}
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new TradeContractGenerateService(this).GenerateContractsAsync(tradeIds);
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}
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SaveTradeOperationHistory(td, "执行合约");
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return result;
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}
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/// <summary>
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/// 行权处理(tradeCashController.executionTradeCashInner)
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/// </summary>
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protected trade_cash ExecutionTradeCashInner(trade td, TradeCashReq req, bool isFromRecheck = false)
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{
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var valueDate = td.ExerciseDate != null && td.ExerciseDate < valuedateBLL.ValueDate ? td.ExerciseDate.Value : valuedateBLL.ValueDate;
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if (td is null)
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{
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throw new ArgumentNullException(nameof(td));
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}
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if (PS.Config.TradeElement.ExecuteAfterGeneratedConfirmDoc && !td.HasGeneratedConfirmBook() && td.TradeType != "自定义交易")
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{
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throw new ServiceException("请先去生成交易确认书");
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}
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if (td.TradeStatus != ConsTrade.确认成交 && td.TradeStatus != ConsTrade.提前终止拒绝 && td.TradeStatus != ConsTrade.行权待复核)
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{
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throw new ServiceException("行权失败，状态为" + td.TradeStatus + ",该交易状态不能行权");
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}
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if (((valuedateBLL.SystemDate.CloseReCheck == 1) || (valuedateBLL.SystemDate.CloseReApprove == 1 && HasTradeProcess()))
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|
&& td.ExerciseMode == "American" && td.TradeStatus != ConsTrade.行权待复核)
|
|
{
|
|
throw new ServiceException("行权失败, 需要行权复核！");
|
|
}
|
|
|
|
td.OptDate = OptDate;
|
|
td.OptId = UserId;
|
|
td.OptName = UserName;
|
|
|
|
if (req.UnwindType != null && req.UnwindType.Contains("全部") && td.OriginalStockEqvNotional > 0)
|
|
{
|
|
req.UnwindPercentRate = td.StockEqvNotional / td.OriginalStockEqvNotional.Value * 100;
|
|
}
|
|
|
|
//增加现金交割交易
|
|
var tc = ExerciseTrade_TradeCashSave(td, req, valueDate, isFromRecheck);
|
|
var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == td.id && x.Status != "已完成");
|
|
if (groupAction != null)
|
|
{
|
|
groupAction.Status = "已完成";
|
|
tc.ParentTradeCashId = groupAction.ParentTradeCashId;
|
|
tc.ParentTradeId = groupAction.ParentTradeId;
|
|
}
|
|
tc.ValidState = ConsGlobal.Valid;
|
|
|
|
td.TradeStatus = tc.UnwindType == "到期" ? ConsTrade.已到期 : ConsTrade.已执行;
|
|
td.FinalPrice = tc.FinalPrice;
|
|
|
|
//增加执行日期
|
|
td.UnWindDate = tc.HappenedDate ?? tc.ValueDate;
|
|
td.TradeAmount = 0;
|
|
td.StockEqvNotional = 0;
|
|
td.Notional = 0;
|
|
SaveTradeCashDetail(tc, false);
|
|
|
|
//增加出入金记录
|
|
var cl = DataCacheProvider.GetClientDataSource().GetData(td.ClientId);
|
|
var ee = new ClientCashInCashOut
|
|
{
|
|
Direction = "应收",
|
|
Number = UniqueTimeId.GetStr(),
|
|
ClientId = cl.id,
|
|
ClientNumber = cl.Number,
|
|
ClientName = cl.Name,
|
|
//客户和交易员反方向
|
|
Money = tc.Amount * -1,
|
|
HappenDate = tc.ValueDate,
|
|
State = ClientCashInCashOut.已确认,
|
|
//ee.OpenBankId = bc.id + "";
|
|
//ee.OpenBankCard = bc.Card;
|
|
TradeId = tc.TradeId,
|
|
TradeCashId = tc.id,
|
|
OptId = tc.OptId,
|
|
OptName = tc.OptName,
|
|
OptDate = tc.OptDate,
|
|
CreatorId = tc.OptId,
|
|
CreatorName = tc.OptName,
|
|
CreateDate = tc.OptDate,
|
|
Action = ClientCashInCashOut.系统操作_行权费
|
|
};
|
|
ee.Number = UniqueTimeId.GetStr();
|
|
ee.TradeNumber = td.TradeNumber;
|
|
ee.IsGroup = td.IsGroup;
|
|
DbContext.ClientCashInCashOut.Add(ee);
|
|
|
|
DbContext.SaveChanges();
|
|
|
|
//Utilities.AddLog(td.id, trade.LogClass, "修改", "执行交割完成，修改交易主表状态为已执行");
|
|
//Utilities.AddLog(tc.id, trade_cash.LogClass, "创建", "执行交割增加现金交割交易记录");
|
|
//Utilities.AddLog(ee.id, ClientCashInCashOut.LogClass, "创建", "执行交割增加应收账记录");
|
|
|
|
//删除E/Bod数据
|
|
RemoveEodTradeAndFutureInfo(false, td.id, tc.ValueDate);
|
|
|
|
DbContext.SaveChanges();
|
|
|
|
return tc;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 复核的时候不需要重新赋值(这里的行为执行后整笔交易被完全了结)
|
|
/// </summary>
|
|
protected trade_cash ExerciseTrade_TradeCashSave(trade td, TradeCashReq req, DateTime valueDate, bool isFromRecheck = false)
|
|
{
|
|
var tc = DbContext.trade_cash.FirstOrDefault(t => t.TradeId == td.id && !t.IsDeleted && t.Action == ClientCashInCashOut.系统操作_行权费);
|
|
|
|
//复核审批的交易 复核时不需要再次给trade_cash重新赋值
|
|
if (isFromRecheck && tc != null)
|
|
{
|
|
if (PS.Config.SalesCommissionCalculation == "公式1")
|
|
{
|
|
//销售提成
|
|
new SalesModule.SalesCommissionDetailDataService(UserInfo).CalcuSalesCommissionDetail(tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.招证)
|
|
{
|
|
new BizLogicZhaoZheng().GenerateZhaoZhengDealNumber(td, tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.物产中大)
|
|
{
|
|
new BizLogicWCZD().GenerateWCZDNumber(DbContext, td, tc.ValueDate, tc.id);
|
|
}
|
|
return tc;
|
|
}
|
|
else if (tc == null)
|
|
{
|
|
tc = new trade_cash();
|
|
DbContext.trade_cash.Add(tc);
|
|
}
|
|
|
|
tc.ValidState = req.ValidState;
|
|
tc.OptId = UserId;
|
|
tc.OptName = UserName;
|
|
tc.OptDate = OptDate;
|
|
tc.Action = ClientCashInCashOut.系统操作_行权费;
|
|
tc.IsLastAction = true;
|
|
|
|
//执行到期时，如果有结算日期，资金记在结算日，发生日期记为到期日
|
|
if ((req.TradeStatus == ConsTrade.已到期 || req.TradeStatus == ConsTrade.已执行) && td.ExerciseDate == valueDate)
|
|
{
|
|
tc.ValueDate = td.SettlementDate ?? td.ExerciseDate.Value;
|
|
tc.HappenedDate = td.ExerciseDate;
|
|
}
|
|
else
|
|
{
|
|
tc.ValueDate = valueDate;
|
|
tc.HappenedDate = valueDate;
|
|
}
|
|
|
|
//------------------------------------------
|
|
//如果到期日为节假日则国君了结日期取节前一交易日其他公司取节后一交易日
|
|
//如果到期日为节假日则国君资金发生的日期是节后第一个交易日
|
|
//------------------------------------------
|
|
tc.ValueDate = QdpCalendarHelper.GetNonHoliday(tc.ValueDate);
|
|
if (PS.Config.IsGuoJun)
|
|
{
|
|
tc.HappenedDate = QdpCalendarHelper.GetNonHolidayDefore(tc.HappenedDate.Value);
|
|
}
|
|
else
|
|
{
|
|
tc.HappenedDate = QdpCalendarHelper.GetNonHoliday(tc.HappenedDate.Value);
|
|
}
|
|
|
|
//------------------------------------------
|
|
|
|
tc.FinalPrice = req.FinalPrice;
|
|
tc.SpotPrice = req.SpotPrice;
|
|
tc.Strike = req.Strike;
|
|
tc.CallPut = req.CallPut;
|
|
tc.Amount = req.Amount ?? 0;
|
|
tc.UnwindPrice = req.UnwindPrice;
|
|
tc.UnwindPricePercentRate = TradeHelper.GetPremiumRateByTradeSinglePrice(req.UnwindPrice, td.SpotPrice);
|
|
tc.ExtraAmount = req.ExtraAmount;
|
|
tc.Status = TradeCashStatusEnum.已执行;
|
|
tc.TradeType = td.BuySell;
|
|
tc.TradeId = td.id;
|
|
tc.ParentTradeId = td.ParentTradeId;
|
|
tc.Notional = td.Notional;
|
|
tc.UnwindTradeAmount = td.TradeAmount;
|
|
tc.UnwindType = req.TradeStatus == ConsTrade.已到期 ? "到期" : req.UnwindType;
|
|
tc.UnwindNotional = req.UnwindNotional;
|
|
tc.UnwindPercentRate = req.UnwindPercentRate / 100;
|
|
tc.NotionalPercentRate = tc.UnwindPercentRate;
|
|
tc.UnwindStockEqvNotional = req.UnwindStockEqvNotional;
|
|
tc.ExerciseWay = req.IsExpire ? TradeCashExerciseWayEnum.到期行权 : TradeCashExerciseWayEnum.提前终止行权;
|
|
tc.TradePremium = req.TradePremium;
|
|
var CountRatio = UnderlyingDataProvider.GetCountRatio(td.UnderlyingCode);
|
|
tc.TradeAmount = tc.Notional / CountRatio;
|
|
tc.ExceciseType = req.ExceciseType;
|
|
tc.UnwindVol = 0;
|
|
tc.ParentTradeCashId = req.ParentTradeCashId;
|
|
DbContext.SaveChanges();
|
|
|
|
if (PS.Config.SalesCommissionCalculation == "公式1" && isFromRecheck)
|
|
{
|
|
//销售提成
|
|
new SalesModule.SalesCommissionDetailDataService(UserInfo).CalcuSalesCommissionDetail(tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.招证)
|
|
{
|
|
new BizLogicZhaoZheng().GenerateZhaoZhengDealNumber(td, tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.物产中大)
|
|
{
|
|
new BizLogicWCZD().GenerateWCZDNumber(DbContext, td, tc.ValueDate, tc.id);
|
|
}
|
|
return tc;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 平仓保存trade_cash
|
|
/// </summary>
|
|
protected trade_cash CloseTrade_TradeCashSave(OtcTradeBase td, TradeCashReq req, bool isFromRecheckOrKO = false, bool needMinusHandle = true, bool isLastAction = false, bool saveChanges = true)
|
|
{
|
|
//增加现金交割交易记录,查询待审的现金交割记录（Invalid 这边为无效或是待审核交割记录）
|
|
var tc = DbContext.trade_cash.Where(t => t.TradeId == td.id && (t.Action == ClientCashInCashOut.系统操作_平仓费 || t.Action == ClientCashInCashOut.系统操作_互换) && t.ValidState == ConsGlobal.InValid && !t.IsDeleted).OrderByDescending(x => x.id).FirstOrDefault();
|
|
|
|
//复核审批的交易复核时不需要再次给trade_cash重新赋值
|
|
if (isFromRecheckOrKO && tc != null)
|
|
{
|
|
if (PS.Config.SalesCommissionCalculation == "公式1")
|
|
{
|
|
//销售提成
|
|
new SalesModule.SalesCommissionDetailDataService(this).CalcuSalesCommissionDetail(tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.招证)
|
|
{
|
|
new BizLogicZhaoZheng().GenerateZhaoZhengDealNumber(td, tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.物产中大)
|
|
{
|
|
new BizLogicWCZD().GenerateWCZDNumber(DbContext, td, tc.ValueDate, tc.id);
|
|
}
|
|
return tc;
|
|
}
|
|
else
|
|
{
|
|
if (tc == null)
|
|
{
|
|
tc = new trade_cash();
|
|
DbContext.trade_cash.Add(tc);
|
|
}
|
|
}
|
|
|
|
tc.ValidState = req.ValidState;
|
|
tc.OptId = UserId;
|
|
tc.OptName = UserName;
|
|
tc.OptDate = OptDate;
|
|
tc.ExceciseType = "现金";
|
|
tc.TradeType = td.BuySell;
|
|
tc.CallPut = td.CallPut;
|
|
tc.Strike = td.IsMoneynessOptionData ? (td.Strike * td.SpotPrice) : td.Strike;
|
|
tc.Notional = (req == null ? td.Notional : req.Notional) ?? 0;
|
|
tc.TradeAmount = req == null ? td.TradeAmount : req.TradeAmount;
|
|
tc.IsLastAction = isLastAction;
|
|
|
|
if (needMinusHandle)
|
|
{
|
|
if (valuedateBLL.SystemDate.UnwindSinglePriceAngle == 1)
|
|
{
|
|
//添加根据交易方向判断资金方向
|
|
tc.UnwindPrice = req.UnwindPrice * (td.TradeType == "远期" || ConsTrade.HasMinusValueOptions.Contains(td.TradeType) ? 1 : EodOperationBase.GetSign(td.BuySell));
|
|
tc.UnwindPricePercentRate = req.UnwindPricePercentRate * (td.TradeType == "远期" || ConsTrade.HasMinusValueOptions.Contains(td.TradeType) ? 1 : EodOperationBase.GetSign(td.BuySell));
|
|
}
|
|
else
|
|
{
|
|
//添加根据交易方向判断资金方向
|
|
tc.UnwindPrice = req.UnwindPrice * (td.TradeType == "远期" || !ConsTrade.HasMinusValueOptions.Contains(td.TradeType) ? 1 : EodOperationBase.GetSign(td.BuySell));
|
|
tc.UnwindPricePercentRate = req.UnwindPricePercentRate * (td.TradeType == "远期" || !ConsTrade.HasMinusValueOptions.Contains(td.TradeType) ? 1 : EodOperationBase.GetSign(td.BuySell));
|
|
}
|
|
|
|
if (valuedateBLL.SystemDate.UnwindAmountAngle == 1)
|
|
{
|
|
tc.Amount = req.UnwindFee;
|
|
tc.QuoteAmount = req.QuoteUnwindFee;
|
|
}
|
|
else
|
|
{
|
|
tc.Amount = req.UnwindFee * (td.TradeType == "远期" ? 1 : EodOperationBase.GetSign(td.BuySell));
|
|
tc.QuoteAmount = req.QuoteUnwindFee * (td.TradeType == "远期" ? 1 : EodOperationBase.GetSign(td.BuySell));
|
|
}
|
|
}
|
|
else
|
|
{
|
|
tc.Amount = req.UnwindFee;
|
|
tc.QuoteAmount = req.QuoteUnwindFee;
|
|
//部分行权和互换平仓UnwindFee包含了符号
|
|
tc.UnwindPrice = req.UnwindPrice;
|
|
tc.UnwindPricePercentRate = req.UnwindPricePercentRate;
|
|
}
|
|
|
|
tc.UnwindMethod = req.UnwindMethod;
|
|
tc.UnwindStockEqvNotional = req.UnwindStockEqvNotional ?? 0;
|
|
//1.远期存入平仓时算出的预付金占用成本
|
|
//2.部分行权时候的额外金额
|
|
//3.互换交易的平仓费用
|
|
tc.ExtraAmount = req.ExtraAmount;
|
|
|
|
tc.TradeId = td.id;
|
|
tc.FinalPrice = req.FinalPrice;
|
|
tc.SpotPrice = req.SpotPrice;
|
|
tc.UnwindVol = req.UnwindVol;
|
|
tc.HappenedDate = req.HappenedDate;
|
|
tc.BarrierPrice = req.BarrierPrice;
|
|
tc.VolType = req.VolType;
|
|
tc.UnwindType = req.UnwindType;
|
|
tc.UnwindMethod = req.UnwindMethod;
|
|
tc.UnwindStockEqvNotional = req.UnwindStockEqvNotional ?? 0;
|
|
tc.ExerciseWay = td.TradeType == "远期" ? "提前终止行权" : null;//远期了结都是提前终止
|
|
//远期页面操作平仓时,执行到这里,td.Notional已经被赋值为0了,会导致UnwindNotional错误;
|
|
if (tc.UnwindType == "全部平仓" && td.Notional != 0)
|
|
{
|
|
tc.UnwindNotional = td.Notional;
|
|
tc.UnwindTradeAmount = td.TradeAmount;
|
|
}
|
|
else
|
|
{
|
|
tc.UnwindNotional = req.UnwindNotional;
|
|
var underlying = underlying_managerBLL.GetByCode(td.UnderlyingCode);
|
|
if (underlying != null && underlying.UnderlyingInstrumentType != "Stock")
|
|
{
|
|
tc.UnwindTradeAmount = tc.UnwindNotional / underlying.CountRatio;
|
|
}
|
|
else
|
|
{
|
|
tc.UnwindTradeAmount = tc.UnwindNotional;
|
|
}
|
|
}
|
|
if (tc.UnwindMethod == 1)//选中数量平仓
|
|
{
|
|
tc.UnwindTradeAmount = req.UnwindTradeAmount;
|
|
}
|
|
tc.Action = ClientCashInCashOut.系统操作_平仓费;
|
|
tc.Status = TradeCashStatusEnum.已执行;
|
|
if (!req.ValueDate.HasValue)
|
|
{
|
|
tc.ValueDate = valuedateBLL.ValueDate;
|
|
}
|
|
else
|
|
{
|
|
tc.ValueDate = req.ValueDate.Value;
|
|
}
|
|
|
|
if ((req.TradeStatus == ConsTrade.已到期 || req.TradeStatus == ConsTrade.已执行) && td.ExerciseDate == tc.ValueDate)
|
|
{
|
|
tc.ValueDate = td.SettlementDate ?? td.ExerciseDate.Value;
|
|
tc.HappenedDate = td.ExerciseDate;
|
|
tc.HappenedDate = QdpCalendarHelper.GetNonHoliday(tc.HappenedDate.Value);
|
|
}
|
|
|
|
tc.UnwindPercentRate = req.UnwindPercentRate;
|
|
tc.NotionalPercentRate = req.UnwindPercentRate;
|
|
tc.TradePremium = req.TradePremium;
|
|
tc.AdvanceMoney = req.AdvanceMoney ?? 0;
|
|
tc.ParentTradeCashId = req.ParentTradeCashId;
|
|
//if (saveChanges)
|
|
//{
|
|
DbContext.SaveChanges();
|
|
if (PS.Config.SalesCommissionCalculation == "公式1" && isFromRecheckOrKO || (isLastAction && req.ValidState != "InValid"))
|
|
{
|
|
//销售提成
|
|
new SalesModule.SalesCommissionDetailDataService(this).CalcuSalesCommissionDetail(tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.招证)
|
|
{
|
|
new BizLogicZhaoZheng().GenerateZhaoZhengDealNumber(td, tc);
|
|
}
|
|
if (PS.Config.Company == Configuration.CompanyEnum.物产中大)
|
|
{
|
|
new BizLogicWCZD().GenerateWCZDNumber(DbContext, td, tc.ValueDate, tc.id);
|
|
}
|
|
//}
|
|
return tc;
|
|
}
|
|
|
|
protected void unwindPreHandle(TradeCashReq req, trade td, bool isFromExercise, out bool isPartialClose)
|
|
{
|
|
isPartialClose = true;
|
|
if (req != null)
|
|
{
|
|
if (req.UnwindType == "全部平仓")
|
|
{
|
|
isPartialClose = false;
|
|
req.UnwindNotional = td.TradeType == "现金流交易" ? req.UnwindNotional : td.Notional;
|
|
}
|
|
|
|
req.Notional = td.Notional;
|
|
req.TradeAmount = td.TradeAmount;
|
|
|
|
//对名义本金成交方式的平仓做数据处理
|
|
if (td.IsUsePremiumRate == true)
|
|
{
|
|
req.UnwindPercentRate /= 100;
|
|
|
|
if (td.OriginalStockEqvNotional > 0 && (req.UnwindType != null && req.UnwindType.Contains("全部") || req.UnwindPercentRate >= td.StockEqvNotional / td.OriginalStockEqvNotional))
|
|
{
|
|
req.UnwindPercentRate = td.StockEqvNotional / td.OriginalStockEqvNotional.Value;
|
|
isPartialClose = false;
|
|
}
|
|
|
|
req.UnwindPricePercentRate /= 100;
|
|
req.UnwindNotional = td.TradeType == "现金流交易" ? req.UnwindNotional : td.OriginalNotional.Value * req.UnwindPercentRate;
|
|
}
|
|
else
|
|
{
|
|
if (req.UnwindNotional >= td.Notional)
|
|
{
|
|
if (req.UnwindNotional - td.Notional > 1e-2)
|
|
{
|
|
if (isFromExercise)
|
|
{
|
|
throw new ServiceException("行权份额高于持仓份额，请刷新页面后再做行权处理");
|
|
}
|
|
else
|
|
{
|
|
throw new ServiceException("平仓份额高于持仓份额，请刷新页面后再做平仓处理");
|
|
}
|
|
}
|
|
else
|
|
{
|
|
req.UnwindNotional = td.TradeType == "现金流交易" ? req.UnwindNotional : td.Notional;
|
|
}
|
|
isPartialClose = false;
|
|
}
|
|
|
|
req.UnwindPercentRate = td.OriginalNotional > 0 ? req.UnwindNotional / td.OriginalNotional.Value : 0;
|
|
}
|
|
|
|
if (isFromExercise)
|
|
{
|
|
if (td.IsUsePremiumRate == true)
|
|
{
|
|
var unwindPricePercentRate = TradeHelper.GetPremiumRateByTradeSinglePrice(req.UnwindPrice, td.SpotPrice);
|
|
req.UnwindPricePercentRate = unwindPricePercentRate;
|
|
}
|
|
|
|
req.UnwindFee = req.Amount ?? 0;
|
|
}
|
|
|
|
if (req.ValueDate.HasValue)
|
|
{
|
|
if (req.ValueDate < td.TradeDate)
|
|
{
|
|
if (isFromExercise)
|
|
{
|
|
throw new ServiceException("行权日期不能小于交易日期");
|
|
}
|
|
else
|
|
{
|
|
throw new ServiceException("平仓日期不能小于交易日期");
|
|
}
|
|
}
|
|
if (req.ValueDate > valuedateBLL.ValueDate)
|
|
{
|
|
if (isFromExercise)
|
|
{
|
|
throw new ServiceException("行权日期不能大于系统日期");
|
|
}
|
|
else
|
|
{
|
|
throw new ServiceException("平仓日期不能大于系统日期");
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// 获取最新的了结记录
|
|
/// 行权平仓时检查未来的了结记录
|
|
/// </summary>
|
|
public trade_cash GetLastSettleInfo(int tradeId)
|
|
{
|
|
var tc = DbContext.trade_cash
|
|
.Where(O => O.TradeId == tradeId && O.Action != "系统操作-期权费" && O.ValidState != ConsGlobal.InValid && !O.IsDeleted)
|
|
.OrderByDescending(O => O.ValueDate)
|
|
.FirstOrDefault();
|
|
return tc;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 平仓保存 出入金
|
|
/// </summary>
|
|
public trade_cash_detail SaveTradeCashDetail(trade_cash tc, bool saveChanges = true)
|
|
{
|
|
var tcd = new trade_cash_detail
|
|
{
|
|
TradeId = tc.TradeId,
|
|
TradeCashId = tc.id,
|
|
Action = tc.Action,
|
|
Amount = tc.Amount,
|
|
ExtraAmount = tc.ExtraAmount,
|
|
SinglePrice = tc.UnwindPrice,
|
|
SinglePricePercentRate = tc.UnwindPricePercentRate,
|
|
ValueDate = tc.ValueDate,
|
|
OptId = tc.OptId,
|
|
OptName = tc.OptName,
|
|
OptDate = DateTime.Now
|
|
};
|
|
DbContext.trade_cash_detail.Add(tcd);
|
|
if (saveChanges)
|
|
{
|
|
DbContext.SaveChanges();
|
|
}
|
|
return tcd;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// 交易了结执行结果
|
|
/// </summary>
|
|
public class ExecutionTradeCashResult
|
|
{
|
|
public bool Success;
|
|
|
|
public string Message;
|
|
|
|
public trade Trade { get; }
|
|
|
|
public trade_cash TradeCash;
|
|
|
|
public ExecutionTradeCashResult(trade trade)
|
|
{
|
|
Trade = trade;
|
|
}
|
|
}
|
|
}
|