zszq-trs/YLErpDAL/Modules/TradeRiskCalcModule/RealTimeMarginService.cs

using YLErp.BLL.MarginCalculation;

namespace YLErp.Modules.TradeRiskCalcModule
{
    /// <summary>
    /// 实时预付金计算服务
    /// </summary>
    public class RealTimeMarginService : YLBaseService
    {
        static int _runingFlag;
        static IEnumerable<RealTimeMarginResult> _results;

        public RealTimeMarginService(OptUserInfo userInfo) : base(userInfo)
        {

        }

        /// <summary>
        /// 获取实时预付金计算结果(1分钟执行一次)
        /// </summary>
        public IEnumerable<RealTimeMarginResult> GetRealTimeMarginResult()
        {
            if (Interlocked.Increment(ref _runingFlag) == 1)
            {
                Task.Run(() => InnerGetRealTimeMarginResult());
            }

            return _results ?? Enumerable.Empty<RealTimeMarginResult>();
        }

        private void InnerGetRealTimeMarginResult()
        {
            try
            {
                var query = from t in DbContext.trade.AsNoTracking()
                            where t.ClientId > 0 && t.TradeType != "远期"&& t.TradeType != "现金流交易" && t.ValidState != "Invalid"
                                && !ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus)
                            select t;

                var tds = query.ToArray();
                var results = new List<RealTimeMarginResult>(tds.Length);

                foreach (var td in tds)
                {
                    var result = new RealTimeMarginResult
                    {
                        BuySell = td.BuySell,
                        ClientName = td.ClientName,
                        ExerciseDate = td.ExerciseDate?.ToString("yyyy-MM-dd"),
                        SpotPrice = td.SpotPrice,
                        Strike = td.Strike,
                        TradeDate = td.TradeDate?.ToString("yyyy-MM-dd"),
                        TradeType = td.TradeType,
                        TradeNumber = td.TradeNumber,
                        UnderlyingCode = td.UnderlyingCode,
                        StockEqvNotionalReal = td.StockEqvNotionalReal
                    };

                    try
                    {
                        var countRatio = UnderlyingDataProvider.GetCountRatio(td.UnderlyingCode);

                        var notional = td.SpotPrice.HasValue && td.SpotPrice.Value != 0
                            ? td.StockEqvNotionalReal / td.SpotPrice.Value : 0;

                        result.TradeAmount = notional / countRatio;

                        var PositionAmountPercent = 0d;
                        if (td.OriginalStockEqvNotional.HasValue && td.OriginalStockEqvNotional != 0)
                        {
                            PositionAmountPercent = td.StockEqvNotional / td.OriginalStockEqvNotional.Value;
                            result.PositionAmountPercent = PositionAmountPercent.ToString("P4");
                        }

                        if (td.IsUsePremiumRate == true)
                        {
                            result.PositionAmount = result.TradeAmount * PositionAmountPercent;
                        }
                        else
                        {
                            result.PositionAmount = td.TradeAmount;
                        }

                        var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(td.UnderlyingCode);
                        if (underlying == null)
                        {
                            result.ErrorMsg = "找不到标的信息";
                        }
                        else
                        {
                            var buysell = td.BuySell;

                            td.BuySell = "买入";
                            td.VolType = "报价Bid";
                            //关于交易id的多义性: 1.组合交易需要真实的交易id；2.考虑到波动率不能获取持仓波动率，将id赋值为0；3.定价页面结构化交易子交易id会赋值-1和-2
                            var req = new GetTradeMarginReq
                            {
                                realTradeId = td.id,
                                trade = td,
                                hasOptionInfo = true,
                                price = (underlying.Price ?? 0)
                            };
                            result.Margin = MarginDefault.GetTradeMargin(req);
                        }
                    }
                    catch (Exception ex)
                    {
                        LogFactory.GetLogger("RealTimeMarginService").Error("计算实时预付金", ex);
                        result.ErrorMsg = ex.GetBaseException().Message;
                    }

                    results.Add(result);
                }

                _results = results;
            }
            catch (Exception ex)
            {
                LogFactory.GetLogger("RealTimeMarginService").Error("计算实时预付金", ex);
            }
            finally
            {
                Thread.Sleep(30 * 1000);
                Interlocked.Exchange(ref _runingFlag, 0);
            }
        }
    }

    /// <summary>
    /// 实时预付金数据
    /// </summary>
    public class RealTimeMarginResult
    {
        /// <summary>
        /// 交易编号
        /// </summary>
        public string TradeNumber { get; set; }

        /// <summary>
        /// 交易对手方
        /// </summary>
        public string ClientName { get; set; }

        /// <summary>
        /// 交易日期
        /// </summary>
        public string TradeDate { get; set; }

        /// <summary>
        /// 到期日期
        /// </summary>
        public string ExerciseDate { get; set; }

        /// <summary>
        /// 交易方向
        /// </summary>
        public string BuySell { get; set; }

        /// <summary>
        /// 结构类型
        /// </summary>
        public string TradeType { get; set; }

        /// <summary>
        /// 标的代码
        /// </summary>
        public string UnderlyingCode { get; set; }

        /// <summary>
        /// 期初价格
        /// </summary>
        public double? SpotPrice { get; set; }

        /// <summary>
        /// 行权价
        /// </summary>
        public double? Strike { get; set; }

        /// <summary>
        /// 交易数量
        /// </summary>
        public double? TradeAmount { get; set; }

        /// <summary>
        /// 实际名义金额
        /// </summary>
        public double? StockEqvNotionalReal { get; set; }

        /// <summary>
        /// 持仓数量
        /// </summary>
        public double? PositionAmount { get; set; }

        /// <summary>
        /// 持仓比例
        /// </summary>
        public string PositionAmountPercent { get; set; }

        /// <summary>
        /// 预付金
        /// </summary>
        public double Margin { get; set; }

        /// <summary>
        /// 计算预付金错误信息
        /// </summary>
        public string ErrorMsg { get; set; }
    }
}