411 lines
14 KiB
C#
411 lines
14 KiB
C#
using YLErp.BLL;
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using YLErp.BLL.Eod;
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using YLErp.DBModels.Consts;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule
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{
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/// <summary>
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/// 交易历史记录服务
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/// </summary>
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public class TradeHisDataService : TradeServiceBase
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{
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public TradeHisDataService(YLBaseService baseService) : base(baseService)
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{
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}
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public TradeHisDataService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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#region----对冲波动率----
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/// <summary>
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/// 根据交易ID获取最新的对冲波动率
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/// </summary>
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/// <returns>返回交易ID为Key,对冲波动率为Value的字典</returns>
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public Dictionary<int, double> GetLatestHedgeVol(IEnumerable<int> tradeIds)
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{
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if (tradeIds is null)
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{
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throw new ArgumentNullException(nameof(tradeIds));
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}
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var count = tradeIds.Count();
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var dic = new Dictionary<int, double>();
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for (var i = 0; i < count; i += 1000)
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{
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var subIds = tradeIds.Skip(i).Take(1000);
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var query2 = from tv in DbContext.trade_hedge_vol
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where subIds.Contains(tv.TradeId)
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group tv by tv.TradeId into g
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select g.Max(n => n.id);
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var query3 = from tv2 in query2
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join tv in DbContext.trade_hedge_vol on tv2 equals tv.id
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select new
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{
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tv.TradeId,
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tv.TradeSavedVol
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};
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foreach (var item in query3)
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{
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dic.Add(item.TradeId, item.TradeSavedVol);
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}
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}
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return dic;
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}
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/// <summary>
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/// 保存对冲波动率
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/// </summary>
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public int SaveHedgeVol(string tradeNumber, DateTime valueDate, double value)
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{
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if (string.IsNullOrEmpty(tradeNumber))
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{
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throw new ArgumentException("参数不能为空值", nameof(tradeNumber));
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}
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var td = DbContext.trade.FirstOrDefault(n => n.TradeNumber == tradeNumber);
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if (td == null)
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{
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throw new ServiceException("保存对冲波动率失败，找不到交易信息,交易编号:" + tradeNumber);
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}
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return InnerSaveHedgeVol(td, valueDate, value);
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}
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/// <summary>
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/// 保存对冲波动率
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/// </summary>
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public int SaveHedgeVol(int tradeId, DateTime valueDate, double value)
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{
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if (tradeId <= 0)
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{
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throw new ServiceException($"{nameof(tradeId)}应该大于0");
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}
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var td = DbContext.trade.Find(tradeId);
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if (td == null)
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{
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throw new ServiceException("保存对冲波动率失败，找不到交易信息,交易ID:" + tradeId);
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}
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return InnerSaveHedgeVol(td, valueDate, value);
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}
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/// <summary>
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/// 保存对冲波动率
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/// </summary>
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public int InnerSaveHedgeVol(trade td, DateTime valueDate, double value)
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{
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if (td == null)
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{
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throw new ServiceException("保存对冲波动率失败，找不到交易信息");
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}
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if (valueDate == valuedateBLL.ValueDate)
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{
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td.TradeSavedVol = value;
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}
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else if (valueDate > valuedateBLL.ValueDate)
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{
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throw new ServiceException("保存对冲波动率失败，因为赋值日期大于系统日期");
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}
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var hedgeTradeVol = DbContext.trade_hedge_vol.FirstOrDefault(v => v.TradeId == td.id && v.ValueDate == valueDate);
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if (hedgeTradeVol == null)
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{
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hedgeTradeVol = new trade_hedge_vol
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{
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TradeId = td.id,
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ValueDate = valueDate,
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};
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DbContext.trade_hedge_vol.Add(hedgeTradeVol);
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}
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SetDBModelOpt(hedgeTradeVol);
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hedgeTradeVol.TradeSavedVol = value;
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return DbContext.SaveChanges();
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}
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#endregion
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#region----无风险利率/分红率---
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/// <summary>
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/// 保存无风险利率历史
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/// </summary>
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public int SaveNoRiskRate(int tradeId, DateTime valueDate, double value)
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{
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return SaveHisData(tradeId, valueDate, ConsTradeField.NoRiskRate, value);
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}
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/// <summary>
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/// 保存无风险利率历史
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/// </summary>
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public int SaveNoRiskRate(string tradeNumber, DateTime valueDate, double value)
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{
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if (string.IsNullOrEmpty(tradeNumber))
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{
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throw new ArgumentException("参数不能为空值", nameof(tradeNumber));
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}
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var td = DbContext.trade.FirstOrDefault(n => n.TradeNumber == tradeNumber);
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if (td == null)
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{
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throw new ServiceException("保存无风险利率失败，找不到交易信息,交易编号:" + tradeNumber);
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}
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return InnerSaveHisData(td, valueDate, ConsTradeField.NoRiskRate, value);
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}
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/// <summary>
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/// 保存分红率历史
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/// </summary>
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public int SaveDividendRate(int tradeId, DateTime valueDate, double value)
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{
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return SaveHisData(tradeId, valueDate, ConsTradeField.DividendRate, value);
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}
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/// <summary>
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/// 保存分红率历史
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/// </summary>
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public int SaveDividendRate(string tradeNumber, DateTime valueDate, double value)
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{
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if (string.IsNullOrEmpty(tradeNumber))
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{
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throw new ArgumentException("参数不能为空值", nameof(tradeNumber));
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}
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var td = DbContext.trade.FirstOrDefault(n => n.TradeNumber == tradeNumber);
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if (td == null)
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{
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throw new ServiceException("保存分红率失败，找不到交易信息,交易编号:" + tradeNumber);
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}
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return InnerSaveHisData(td, valueDate, ConsTradeField.DividendRate, value);
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}
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/// <summary>
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/// 保存交易数据历史(valueType:ConsTradeField)
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/// </summary>
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public int SaveHisData(int tradeId, DateTime valueDate, string valueType, double value)
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{
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if (tradeId < 1)
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{
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throw new ServiceException($"{nameof(tradeId)}应该大于0");
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}
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if (string.IsNullOrWhiteSpace(valueType))
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{
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throw new ArgumentException("不能为空", nameof(valueType));
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}
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var td = DbContext.trade.Find(tradeId);
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if (td == null)
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{
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throw new ServiceException("更新失败，找不到交易信息，交易ID:" + tradeId);
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}
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return InnerSaveHisData(td, valueDate, valueType, value);
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}
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/// <summary>
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/// 保存交易数据历史(valueType:ConsTradeField)
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/// </summary>
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private int InnerSaveHisData(trade td, DateTime valueDate, string valueType, double value)
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{
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if (td == null)
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{
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throw new ServiceException("更新失败，找不到交易信息");
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}
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switch (valueType)
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{
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case ConsTradeField.NoRiskRate:
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if (valueDate == valuedateBLL.ValueDate)
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{
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td.NoRiskRate = value;
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}
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else if (valueDate > valuedateBLL.ValueDate)
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{
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throw new ServiceException("保存无风险利率失败，因为赋值日期大于系统日期");
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}
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break;
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case ConsTradeField.DividendRate:
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if (valueDate == valuedateBLL.ValueDate)
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{
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td.DividendRate = value;
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}
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else if (valueDate > valuedateBLL.ValueDate)
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{
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throw new ServiceException("保存分红率失败，因为赋值日期大于系统日期");
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}
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break;
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default: throw new ServiceException("不支持:" + valueType);
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}
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var dbModel = DbContext.TradeHisData.FirstOrDefault(v => v.TradeId == td.id && v.ValueDate == valueDate && v.ValueType == valueType);
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if (dbModel == null)
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{
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dbModel = new TradeHisData
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{
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TradeId = td.id,
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ValueDate = valueDate,
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ValueType = valueType
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};
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DbContext.TradeHisData.Add(dbModel);
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}
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dbModel.Value = value;
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SetDBModelOpt(dbModel);
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return DbContext.SaveChanges();
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}
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#endregion
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/// <summary>
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/// 保存交易持仓波动率
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/// </summary>
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public TradeVolatility SaveTradeVolatility(TradeVolatilityDto req, bool refreshRisk)
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{
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var tradePositionVolatility = req.TradePositionVolatility ?? 0;
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var tradeCloseVolatility = req.TradeCloseVolatility ?? 0;
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var numOfSmoothingDays = req.NumOfSmoothingDays ?? 0;
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if (tradePositionVolatility <= 0)
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{
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throw new ServiceException("持仓波动率必须大于0");
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}
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if (tradeCloseVolatility <= 0)
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{
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throw new ServiceException("目标波动率必须大于0");
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}
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if (numOfSmoothingDays <= 0)
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{
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throw new ServiceException("平滑天数必须大于0");
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}
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trade td = null;
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if (req.TradeId > 0)
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{
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td = DbContext.trade.Find(req.TradeId);
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}
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else if (!string.IsNullOrWhiteSpace(req.TradeNumber))
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{
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td = DbContext.trade.FirstOrDefault(n => n.TradeNumber == req.TradeNumber);
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}
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else
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{
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throw new ServiceException("参数错误:req.TradeId(TradeNumber)");
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}
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if (td == null)
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{
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throw new ServiceException("找不到交易数据:" + req.TradeNumber);
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}
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var valueDate = valuedateBLL.ValueDate;
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var remianDays = QdpCalendarHelper.GetNonHolidayDaysBetween(valueDate, td.ExerciseDate.Value) + 1;
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if (td.ExerciseDate.HasValue && numOfSmoothingDays > remianDays)
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{
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throw new ServiceException($"平滑过渡天数{req.NumOfSmoothingDays}不能大于存续天数{remianDays}天");
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}
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td.NumOfSmoothingDays = numOfSmoothingDays;
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td.TradeCloseVolatility = tradeCloseVolatility;
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//数据库中tradeid+valuedate是唯一索引
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var dbModel = DbContext.TradeVolatility.FirstOrDefault(x => x.ValueDate == valueDate && x.TradeId == td.id);
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if (dbModel == null)
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{
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dbModel = new TradeVolatility
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{
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TradeId = td.id,
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ValueDate = valueDate
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};
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DbContext.TradeVolatility.Add(dbModel);
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}
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SetDBModelOpt(dbModel);
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dbModel.NumOfSmoothingDays = numOfSmoothingDays;
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dbModel.TradePositionVolatility = tradePositionVolatility;
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dbModel.TradeCloseVolatility = tradeCloseVolatility;
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dbModel.IsFromTradeAdd = false;
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DbContext.SaveChanges();
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if (refreshRisk)
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{
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RealtimePnlCalc.RefreshRiskAndIntradayPositionForOtc(new List<trade>() { td }, UserInfo);
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}
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AddTradeOperationHistoryAndSetParentTradeInfo(true, td, "修改交易持仓波动率");
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return dbModel;
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}
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/// <summary>
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/// 使用历史数据更新交易数据(一般用于历史日期平仓结算)
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/// </summary>
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public void UpdateTradeWithHisData(OtcTradeBase td, DateTime hisDate)
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{
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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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var query1 = DbContext.TradeHisData.AsNoTracking()
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.Where(v => v.TradeId == td.id && v.ValueDate <= hisDate && v.ValueType == ConsTradeField.NoRiskRate)
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.OrderByDescending(n => n.ValueDate).Select(n => new { n.ValueType, n.Value });
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var query2 = DbContext.TradeHisData.AsNoTracking()
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.Where(v => v.TradeId == td.id && v.ValueDate <= hisDate && v.ValueType == ConsTradeField.DividendRate)
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.OrderByDescending(n => n.ValueDate).Select(n => new { n.ValueType, n.Value });
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var datas = query1.Concat(query2).ToArray();
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if (!datas.Any())
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{
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return;
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}
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foreach (var data in datas)
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{
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if (ConsTradeField.NoRiskRate.Equals(data.ValueType, StringComparison.OrdinalIgnoreCase))
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{
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td.NoRiskRate = data.Value;
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}
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else if (ConsTradeField.DividendRate.Equals(data.ValueType, StringComparison.OrdinalIgnoreCase))
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{
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td.DividendRate = data.Value;
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}
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}
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}
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}
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}
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