513 lines
17 KiB
C#
513 lines
17 KiB
C#
using Qdp.Pricing.Library.Common.Products.Rates;
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using System.Linq.Expressions;
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using System.Runtime.Intrinsics.Arm;
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using YLErp.BLL;
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using YLErp.Modules.DataProviderModule;
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namespace YLErp.Modules.UnderlyingModule
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{
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/// <summary>
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/// 标的选项服务
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/// </summary>
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public class UnderlyingSelectService : YLBaseService
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{
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public UnderlyingSelectService(YLBaseService baseService) : base(baseService)
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{
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}
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public UnderlyingSelectService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 获取标的选项
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/// </summary>
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public IEnumerable<UnderlyingSelectItem> GetSelectItems(UnderlyingSelectRequest req)
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{
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if (req.MaxShowLength < 1) req.MaxShowLength = 1;
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IEnumerable<UnderlyingSelectItem> datas = null;
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var predicate = BuildPredicate(req);
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var query = DataCacheProvider.GetUnderlyingDataSource().AsQueryable().Where(predicate).Take(req.MaxShowLength).ToList();
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if (req.UseForTrading)
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{
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List<string> Codes = null;
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var useWhiteCode = req.BlackLimit > 0 && new StockBlackWhiteService(UserInfo).GetStockBlackWhiteList((Configuration.Enums.LimitRangeEnum)req.BlackLimit, out Codes);
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UnderlyingSelectItem2 convert(underlying_manager n)
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{
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var item = new UnderlyingSelectItem2
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{
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id = n.id,
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Code = n.UnderlyingCode,
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Name = n.CalcTypeIsStock() && !n.IsSynthetic() ? n.UnderlyingName : "",
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VarietyId = n.UnderlyingTypeId,
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MaturityDate = n.CalcTypeIsStock() || n.IsCommoditySpot() || !n.MaturityDate.HasValue ? "" : n.MaturityDate.Value.ToString("yyyy-MM-dd"),
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CountRatio = n.CountRatio,
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ContractSize = n.ContractSize,
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Price = n.IsBasket() ? DataCacheProvider.GetUnderlyingDataSource().GetPrice(n.UnderlyingCode) : n.Price ?? 0,
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IsSynthetic = n.IsSynthetic(),
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IsBasket = n.IsBasket(),
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InstrumentType = n.UnderlyingInstrumentType,
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DividendRate = n.DividendRate,
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QuoteUnitString = n.QuoteUnitString,
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BlackWhiteState = req.BlackLimit == 0 ? 0 : useWhiteCode ? 1 : 2,
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Disallow = req.BlackLimit != 0 && n.IsStock() && !n.IsSynthetic() && !n.IsBasket() && Codes != null && useWhiteCode == Codes.Contains(n.UnderlyingCode),
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UpDownLimit = n.UpDownLimit,
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PrevClosePrice = n.PrevClosePrice
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};
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if (n.IsBond()&&!string.IsNullOrEmpty(n.ExJson))
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{
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var bond = JsonHelper.Deserialize<UnderlyingBond>(n.ExJson);
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item.Name = n.UnderlyingName;
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item.UnderlyingFullName=bond.UnderlyingFullName;
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item.UnderlyingIssuer = bond.UnderlyingIssuer;
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item.IssueSize = bond.IssueSize;
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}
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return item;
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}
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datas = query.Select(convert).Take(req.MaxShowLength).ToArray();
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Variety variety = null;
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foreach (UnderlyingSelectItem2 item in datas)
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{
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if (string.IsNullOrWhiteSpace(item.UpDownLimit))
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{
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if (variety != null && variety.id == item.VarietyId)
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{
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item.UpDownLimit = variety.UpLimit;
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}
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else
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{
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variety = DataCacheProvider.GetVarietyDataSource().GetData(item.VarietyId);
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if (variety != null)
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{
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item.UpDownLimit = variety.UpLimit;
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}
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}
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}
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if (Codes == null)
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{
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continue;
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}
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if (item.IsSynthetic)
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{
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var underlyingInfo = DataCacheProvider.GetUnderlyingDataSource().GetSyntheticUnderlying(item.Code);
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item.Disallow = underlyingInfo.GetUnderlyingCodes().Any(O =>
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{
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(O);
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return req.BlackLimit != 0 && um.IsStock() && !um.IsSynthetic() && !um.IsBasket() && Codes != null && useWhiteCode == Codes.Contains(O);
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});
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}
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if (item.IsBasket)
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{
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var underlyingInfo = DataCacheProvider.GetUnderlyingDataSource().GetData(item.Code);
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var data = JsonHelper.Deserialize<List<BasketUnderlyingItem>>(underlyingInfo.SubData);
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item.Disallow = data.Any(O =>
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{
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(O.code);
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return um == null ? true : req.BlackLimit != 0 && um.IsStock() && !um.IsSynthetic() && !um.IsBasket() && Codes != null && useWhiteCode == Codes.Contains(O.code);
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});
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}
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}
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}
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else
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{
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var query2 = query.Select(n => new UnderlyingSelectItem
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{
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id = n.id,
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Code = n.UnderlyingCode,
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Name = ConsGlobal.InstrumentType.CalcTypeIsStock(n.UnderlyingInstrumentType) ? n.UnderlyingName : "",
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VarietyId = n.UnderlyingTypeId
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}).Take(req.MaxShowLength);
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datas = query2.ToArray();
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}
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if (req.MustRetOne && !datas.Any())
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{
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req.MustRetOne = false;
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req.MaxShowLength = 1;
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req.FilterCode = null;
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return GetSelectItems(req);
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}
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return datas;
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}
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//创建标的查询预测
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private Expression<Func<underlying_manager, bool>> BuildPredicate(UnderlyingSelectRequest req)
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{
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if (req.UnderlyingId > 0)
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{
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return PredicateBuilder.Create<underlying_manager>(n => n.id == req.UnderlyingId);
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}
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if (req.ExcatCodeFilter)
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{
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return string.IsNullOrWhiteSpace(req.FilterCode)
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? PredicateBuilder.False<underlying_manager>()
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: PredicateBuilder.Create<underlying_manager>(n => n.UnderlyingCode==req.FilterCode);
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}
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var predicate = PredicateBuilder.True<underlying_manager>();
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//标的品种
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IEnumerable<int> varietyids = null;
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if (req.ClientId > 0)
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{
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varietyids = TradeRightProvider.GetClientVarietyIds(req.ClientId);
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}
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if (req.UseRightFilter)
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{
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var varietyids2 = TradeRightProvider.GetUserVarietyIds(UserId);
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varietyids = varietyids == null ? varietyids2 : varietyids.Concat(varietyids2);
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}
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if (varietyids != null)
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{
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if (!varietyids.Any(n => n > 0))
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{
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return PredicateBuilder.False<underlying_manager>();
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}
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predicate = predicate.And(n => varietyids.Contains(n.UnderlyingTypeId));
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}
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//是否启用
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if (req.CheckLaunch)
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{
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predicate = predicate.And(n => n.LaunchState == "1");
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}
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//资产类型
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List<string> instTypes = null;
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if (req.InstrumentTypes != null && req.InstrumentTypes.Any(n => !string.IsNullOrEmpty(n)))
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{
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instTypes = req.InstrumentTypes.Where(n => !string.IsNullOrEmpty(n)).ToList();
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}
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if (!string.IsNullOrWhiteSpace(req.Scenario))
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{
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if (instTypes == null)
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{
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instTypes = new List<string>();
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}
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if (req.Scenario == "期权交易")
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{
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instTypes.AddRange(ConsGlobal.InstrumentType.GetFutureTypes());
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instTypes.AddRange(ConsGlobal.InstrumentType.GetSpotTypes());
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instTypes.AddRange(ConsGlobal.InstrumentType.GetStockTypes());
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}
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}
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if (instTypes != null)
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{
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if (!instTypes.Any())
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{
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return PredicateBuilder.False<underlying_manager>();
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}
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predicate = predicate.And(n => instTypes.Contains(n.UnderlyingInstrumentType));
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}
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//组合标的
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if (req.OnlySynthetic)
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{
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predicate = predicate.And(n => n.CommodityCode == "组合标的");
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}
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else if (!req.IncludeSynthetic)
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{
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predicate = predicate.And(n => n.CommodityCode != "组合标的");
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}
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//篮子标的
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if (req.OnlyBasket)
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{
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predicate = predicate.And(n => n.CommodityCode == "篮子标的");
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}
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else if (!req.IncludeBasket)
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{
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predicate = predicate.And(n => n.CommodityCode != "篮子标的");
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}
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//过期标的
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if (req.MinMaturityDate.HasValue)
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{
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predicate = predicate.And(n => n.UnderlyingInstrumentType != ConsGlobal.InstrumentType.CommodityFutures || n.MaturityDate >= req.MinMaturityDate.Value);
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}
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else if (!req.IncludeMatured)
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{
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var valueDate = valuedateBLL.ValueDate;
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predicate = predicate.And(n => n.UnderlyingInstrumentType != ConsGlobal.InstrumentType.CommodityFutures || n.MaturityDate >= valueDate);
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}
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//标的代码
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var filterCode = req.FilterCode.TrimToNull();
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if (filterCode != null)
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{
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predicate = predicate.And(n => n.UnderlyingCode.StartsWith(filterCode));
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if (filterCode.Length >= 4 && req.MaxShowLength > 10)
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{
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req.MaxShowLength = 10;
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}
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}
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else if (req.VarietyId != 0) //品种ID
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{
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predicate = predicate.And(n => n.UnderlyingTypeId == req.VarietyId);
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}
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return predicate;
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}
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}
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/// <summary>
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/// 标的选择请求Model
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/// </summary>
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public class UnderlyingSelectRequest
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{
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/// <summary>
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/// 最大显示条目数(默认20)
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/// </summary>
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public int MaxShowLength { get; set; } = 20;
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/// <summary>
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/// 客户ID(用于客户授信时配置的限制交易品种过滤)
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/// </summary>
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public int ClientId { get; set; }
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/// <summary>
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/// 使用角色权限过滤(默认false)
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/// </summary>
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public bool UseRightFilter { get; set; }
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/// <summary>
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/// 标的资产类型
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/// </summary>
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public IEnumerable<string> InstrumentTypes { get; set; }
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/// <summary>
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/// 包括组合标的(默认false)
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/// </summary>
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public bool IncludeSynthetic { get; set; }
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/// <summary>
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/// 只取组合标的(默认false)
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/// </summary>
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public bool OnlySynthetic { get; set; }
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/// <summary>
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/// 包括篮子标的(默认false)
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/// </summary>
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public bool IncludeBasket { get; set; }
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/// <summary>
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/// 只取篮子标的(默认false)
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/// </summary>
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public bool OnlyBasket { get; set; }
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/// <summary>
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/// 检查标的启用状态(默认true)
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/// </summary>
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public bool CheckLaunch { get; set; } = true;
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//--------特殊处理------------------------------
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/// <summary>
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/// 使用拼音过滤
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/// </summary>
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public bool UsePinYinFilter { get; set; }
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/// <summary>
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/// 包括已过期标的(默认false)()
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/// </summary>
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public bool IncludeMatured { get; set; }
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/// <summary>
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/// 代码过滤(默认null)
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/// </summary>
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public string FilterCode { get; set; }
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/// <summary>
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/// 品种ID(只在FilterCode为空时时所用)
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/// </summary>
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public int VarietyId { get; set; }
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/// <summary>
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/// 只使用FilterCode精确匹配
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/// </summary>
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public bool ExcatCodeFilter { get; set; }
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/// <summary>
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/// 必须返回一个标的
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/// </summary>
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public bool MustRetOne { get; set; }
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//--------数据用途------------------------------
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/// <summary>
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/// 用于交易
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/// </summary>
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public bool UseForTrading { get; set; }
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/// <summary>
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/// 大于0时用于区分互换还是场外
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/// </summary>
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public int BlackLimit { get; set; }
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//--------标的ID------------------------------
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/// <summary>
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/// 标的ID
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/// </summary>
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public int UnderlyingId { get; set; }
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/// <summary>
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/// 使用场景
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/// </summary>
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public string Scenario { get; set; }
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//--------到期日限定------------------------------
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/// <summary>
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/// 最小到期日
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/// </summary>
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public DateTime? MinMaturityDate { get; set; }
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public override string ToString()
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{
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return $"{FilterCode}";
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}
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}
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/// <summary>
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/// 标的选项
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/// </summary>
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public class UnderlyingSelectItem
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{
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/// <summary>
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/// 标的ID
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/// </summary>
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public int id { get; set; }
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/// <summary>
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/// 标的名称
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/// </summary>
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public string Name { get; set; }
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/// <summary>
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/// 标的代码
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/// </summary>
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public string Code { get; set; }
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/// <summary>
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/// 品种ID
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/// </summary>
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public int VarietyId { get; set; }
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public override string ToString()
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{
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return $"{id}--{Name}--{Code}--{VarietyId}";
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}
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}
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/// <summary>
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/// 标的选项
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/// </summary>
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public class UnderlyingSelectItem2 : UnderlyingSelectItem
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{
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/// <summary>
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/// 是否组合标的
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/// </summary>
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public bool IsSynthetic { get; set; }
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/// <summary>
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/// 是否属于篮子标的
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/// </summary>
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public bool IsBasket { get; set; }
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/// <summary>
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/// 资产类型
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/// </summary>
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public string InstrumentType { get; set; }
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/// <summary>
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/// 到期日
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/// </summary>
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public string MaturityDate { get; set; }
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/// <summary>
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/// 份额和数量的乘积因子
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/// </summary>
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public int CountRatio { get; set; } = 1;
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/// <summary>
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/// 合约乘数
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/// </summary>
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public double ContractSize { get; set; } = 1;
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/// <summary>
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/// 最新价格
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/// </summary>
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public double Price { get; set; }
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/// <summary>
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/// 分红率
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/// </summary>
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public double? DividendRate { get; set; }
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/// <summary>
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/// 交易单位
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/// </summary>
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public string QuoteUnitString { get; set; }
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/// <summary>
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/// 当前黑白名单模式
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/// <para>1:黑名单</para>
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/// <para>2:白名单</para>
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/// </summary>
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public int BlackWhiteState { get; set; }
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/// <summary>
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/// 允许选择
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/// </summary>
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public bool Disallow { get; set; }
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/// <summary>
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/// 涨跌停幅度
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/// </summary>
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public string UpDownLimit { get; set; }
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/// <summary>
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/// 涨停价跌停价
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/// </summary>
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public double? PrevClosePrice { get; set; }
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/// <summary>
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/// 债券全名
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/// </summary>
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public string UnderlyingFullName { get; set; }
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/// <summary>
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/// 标的发行量（亿）
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/// </summary>
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public decimal? IssueSize { get; set; }
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/// <summary>
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/// 标的证券发行人
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/// </summary>
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public string UnderlyingIssuer { get; set; }
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}
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}
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