339 lines
16 KiB
C#
339 lines
16 KiB
C#
using System.Linq.Expressions;
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using YLErp.BLL;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.TradeModule;
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using YLErp.Modules.TradeModule.ForwardModule;
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namespace YLErp.Modules.EodModule.SettlementModule
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{
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/// <summary>
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/// 用于结算的数据查询服务
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/// </summary>
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public class EodSettleDataQueryService : YLBaseService
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{
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public EodSettleDataQueryService(OptUserInfo optUser) : base(optUser)
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{
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}
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public EodSettleDataQueryService(YLBaseService baseService) : base(baseService)
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{
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}
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/// <summary>
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/// 获取要结算的交易数据
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/// </summary>
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/// <param name="settleDate">结算日期</param>
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/// <param name="tradeDataPredicate">交易数据查询过滤条件</param>
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/// <param name="tradecashProvider">交易资金提供接口</param>
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/// <param name="preSettleDate">上个结算日(多交易日历场景下的假日到期交易处理时使用)</param>
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public List<trade> GetOtcTrades(DateTime settleDate, Expression<Func<trade, bool>> tradeDataPredicate
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, out TradeCashDataProvider tradecashProvider, DateTime preSettleDate = default)
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{
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if (tradeDataPredicate is null)
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{
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throw new ArgumentNullException(nameof(tradeDataPredicate));
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}
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var tradeList = new List<trade>(1000);
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//------------------------------------------------------
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// eod trades
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//------------------------------------------------------
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var etQuery = from et in DbContext.eod_trade
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join t in DbContext.trade.Where(tradeDataPredicate) on et.TradeId equals t.id
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where et.ValueDate == settleDate
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select new
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{
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t.id,
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et.TradeId,
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et.TradeJson,
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t.BuySell,
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t.AssetId,
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t.ExerciseDate,
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t.DividendRate,
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t.TradeType
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};
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var etList = etQuery.ToArray();
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List<TradeMeta> structProductTradeMetaList = null;
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if (etList != null && etList.Length > 0)
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{
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var structProductTradeIds = etList.Where(p => "结构化产品".Equals(p.TradeType)).Select(p => p.id).Distinct().ToList();
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if (structProductTradeIds != null && structProductTradeIds.Count > 0)
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{
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structProductTradeMetaList = DbContext.TradeMeta.AsNoTracking().Where(d => structProductTradeIds.Contains(d.TradeId)).ToList();
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}
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}
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if (structProductTradeMetaList == null)
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{
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structProductTradeMetaList = new List<TradeMeta>();
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}
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foreach (var item in etList)
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{
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try
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{
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var t = TradeHelper2.Deserialize(item.TradeJson);
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t.id = item.TradeId;
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t.BuySell = item.BuySell;
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t.AssetId = item.AssetId;
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if (t.ExerciseDate != item.ExerciseDate && !DbContext.ExtensionTime.Any(x => x.TradeId == t.id && x.IsValid && x.OldMaturityDate == t.ExerciseDate && x.NewMaturityDate == item.ExerciseDate && x.OptDate >= settleDate))
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{
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t.ExerciseDate = item.ExerciseDate;
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}
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t.MetaDic["from_eod_trade"] = "true";
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tradeList.Add(t);
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//先简单处理一下避免某些情况下删除eodtrade表数据
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//比如手动在数据库改了观察频率回到历史收盘(手动改是因为回到历史收盘太慢了而且涉及到除权除息的各种问题)
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if (t.TradeType == "雪球期权")
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{
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var snowball = DbContext.trade_snowball.Where(n => n.TradeId == item.id).Select(n => new
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{
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n.KOObservationDates,
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n.ObservationDates,
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n.KOObservationSettleDates
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}).FirstOrDefault();
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if (snowball != null && t.trade_snowball != null)
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{
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t.trade_snowball.ObservationDates = snowball.ObservationDates;
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t.trade_snowball.KOObservationDates = snowball.KOObservationDates;
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t.trade_snowball.KOObservationSettleDates = snowball.KOObservationSettleDates;
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}
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}
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else if (t.TradeType == "凤凰期权")
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{
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var autocall = DbContext.trade_autocall.Where(n => n.TradeId == item.id).Select(n => new
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{
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n.ObservationDates,
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n.KOObservationDates
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}).FirstOrDefault();
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if (autocall != null && t.trade_autocall != null)
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{
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t.trade_autocall.ObservationDates = autocall.ObservationDates;
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t.trade_autocall.KOObservationDates = autocall.KOObservationDates;
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}
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}
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else if (t.TradeType == "累计期权")
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{
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t.MetaDic.Remove("from_eod_trade");
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new OptionTradeActionRestoreService(this).RestoreTradeDataToSpecialDay(t, settleDate);
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}
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else if (t.TradeType == "远期")
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{
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var forwardTrade = DbContext.trade_forward.Where(n => n.TradeId == item.id).Select(n => new
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{
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n.ForwardValue,
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n.OpenCommission
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}).FirstOrDefault();
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}
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else if (t.TradeType == "结构化产品")
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{
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var tradeMetas = structProductTradeMetaList.Where(d => d.TradeId == t.id).ToDictionary(g => g.MetaKey, g => g.MetaValue);
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if (tradeMetas != null && tradeMetas.Count > 0)
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{
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foreach (var d in tradeMetas)
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{
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if (!t.MetaDic.ContainsKey(d.Key))
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{
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t.MetaDic.Add(d.Key, d.Value);
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}
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}
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}
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}
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else if (t.TradeType == "亚式期权")
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{
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if (t.trade_asian_option.PayoffType == "EnhancedArithmeticAverage" && t.trade_asian_option.EnhancedPrice == 0 && t.TradeDate < new DateTime(2023, 2, 19) && t.Strike.HasValue)
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{
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t.trade_asian_option.EnhancedPrice = t.Strike.Value;
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}
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}
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//解决收盘时从hisdata取了null并且存入了eodtrade的情况下数据问题
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if (t.DividendRate == null)
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{
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t.DividendRate = item.DividendRate;
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}
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger("eod_trade.TradeJson解析").Error(ex);
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}
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}
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//------------------------------------------------------
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// 多交易日历场景下的假日到期交易处理
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//------------------------------------------------------
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if (PS.Config.ErpElement.SupportMultiCalendar)
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{
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var pretQuery = from et in DbContext.eod_trade
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join t in DbContext.trade on et.TradeId equals t.id
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where et.ValueDate == preSettleDate
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&& !DbContext.trade.Where(tradeDataPredicate).Any(n => n.id == et.TradeId)
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select new
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{
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et.TradeId,
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et.TradeJson,
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t.BuySell,
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t.UnderlyingCode
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};
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var pretList = pretQuery.ToArray();
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if (pretList.Any())
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{
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var exHolidaySet = DataCacheProvider.GetMarketDataSource().AsQueryable()
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.Where(n => !string.IsNullOrEmpty(n.ExchangeNo) && QdpModule.QdpCalendarHelper.IsHoliday(preSettleDate, n.CalendarName.TrimToNull() ?? ConsGlobal.DefaultCalendar))
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.Select(n => n.ExchangeNo.ToUpperInvariant()).ToHashSet();
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foreach (var item in pretList)
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{
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if (!tradeList.Any(x => x.id == item.TradeId))
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{
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var un = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode);
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if (!string.IsNullOrEmpty(un.MarketCode) && exHolidaySet.Contains(un.MarketCode))
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{
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try
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{
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var t = TradeHelper2.Deserialize(item.TradeJson);
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t.id = item.TradeId;
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t.BuySell = item.BuySell;
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t.MetaDic["from_eod_trade"] = "true";
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tradeList.Add(t);
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger("eod_trade.TradeJson解析").Error(ex);
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}
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}
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}
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}
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}
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}
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//------------------------------------------------------
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// 没有出现在eodtrae表中的交易数据
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//------------------------------------------------------
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var eodTradeIds = tradeList.Select(n => n.id);
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tradeDataPredicate = tradeDataPredicate.And(t => !eodTradeIds.Contains(t.id));
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var trades = DbContext.trade.AsNoTracking().Where(tradeDataPredicate).ToArray();
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//------------------------------------------------------
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// 交易资金接口
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//------------------------------------------------------
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var tradeIds = trades.Select(x => x.id).ToList();
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tradecashProvider = new TradeCashDataProvider().Initialize(eodTradeIds.Concat(tradeIds).ToArray());
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var tradecashPreProvider = new TradeCashPreDataProvider().Initialize(eodTradeIds.Concat(tradeIds).ToArray());
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//------------------------------------------------------
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// 交易数据结果集
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//------------------------------------------------------
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if (!trades.Any())
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{
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return tradeList;
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}
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tradeList.AddRange(trades);
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structProductTradeMetaList = null;
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if (trades != null && trades.Length > 0)
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{
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var structProductTradeIds = trades.Where(p => "结构化产品".Equals(p.TradeType)).Select(p => p.id).Distinct().ToList();
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if (structProductTradeIds != null && structProductTradeIds.Count > 0)
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{
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structProductTradeMetaList = DbContext.TradeMeta.AsNoTracking().Where(d => structProductTradeIds.Contains(d.TradeId)).ToList();
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}
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}
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if (structProductTradeMetaList == null)
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{
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structProductTradeMetaList = new List<TradeMeta>();
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}
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foreach (var t in trades)
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{
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if (t.TradeType == "累计期权")
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{
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new OptionTradeActionRestoreService(this).RestoreTradeDataToSpecialDay(t, settleDate);
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}
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if (t.TradeType == "结构化产品")
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{
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var tradeMetas = structProductTradeMetaList.Where(d => d.TradeId == t.id).ToDictionary(g => g.MetaKey, g => g.MetaValue);
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if (tradeMetas != null && tradeMetas.Count > 0)
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{
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foreach (var d in tradeMetas)
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{
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if (!t.MetaDic.ContainsKey(d.Key))
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{
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t.MetaDic.Add(d.Key, d.Value);
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}
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}
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}
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}
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ProcessTrade(settleDate, tradecashProvider, tradecashPreProvider, t);
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}
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return tradeList;
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}
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public static void ProcessTrade(DateTime settleDate, TradeCashDataProvider tradecashProvider, TradeCashPreDataProvider tradecashPreProvider, trade t)
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{
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//存在收盘之后的了结记录，代表收盘日那天，交易为确认成交状态
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var tradeCashs = tradecashProvider.GetTradeCashes(t.id).Where(x => x.ValidState != "InValid" && !x.IsDeleted && x.Action != "系统操作-期权费" && (x.HappenedDate > settleDate || x.ValueDate > settleDate && x.HappenedDate == null));
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t.TradeStatus = tradeCashs.Any() ? ConsTrade.确认成交 : t.TradeStatus;
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//收历史盘时，找到收盘日之前最近一次的了结日期
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var lastSecondTradeCash = tradecashProvider.GetTradeCashes(t.id).Where(x => x.ValidState != "InValid" && !x.IsDeleted && x.Action != "系统操作-期权费" && (x.HappenedDate <= settleDate || x.ValueDate <= settleDate && x.HappenedDate == null)).OrderByDescending(y => y.id).FirstOrDefault();
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t.UnWindDate = lastSecondTradeCash?.HappenedDate ?? lastSecondTradeCash?.ValueDate;
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if (ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus))
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{
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t.Notional = 0;
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t.TradeAmount = 0;
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t.StockEqvNotional = 0;
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}
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else
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{
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var tc = tradeCashs.Where(x => x.Notional != 0).FirstOrDefault();
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if (tc != null)
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{
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t.Notional = tc.Notional;
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}
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else
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{
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//取第一个ValueDate大于settleDate的TradeCash数据(TradeCashPreDataProvider类中ValueDate已做正序处理)
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var tcPrePredicate = new Func<trade_cash_pre, bool>(x => x.Action != "系统操作-期权费" && x.Notional != 0
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&& x.ValueDate > settleDate && (x.HappenedDate > settleDate || x.HappenedDate == null));
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var tcPre = tradecashPreProvider.GetTradeCashPres(t.id).FirstOrDefault(tcPrePredicate);
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if (tcPre != null)
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{
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t.Notional = tcPre.Notional;
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}
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}
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if (t.TradeType == ConsGlobal.TradeType.CashFlow)
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{
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t.TradeAmount = 0;
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t.StockEqvNotional = t.Notional;
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}
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else
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{
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var CountRatio = (DataCacheProvider.GetUnderlyingDataSource().GetData(t.UnderlyingId)?.CountRatio) ?? 1;
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t.TradeAmount = t.Notional / CountRatio;
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t.StockEqvNotional = t.OriginalNotional == 0 ? 0 : (t.Notional / t.OriginalNotional * t.OriginalStockEqvNotional) ?? 0;
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}
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}
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tradeBLL.SetFieldsByTradeType(t, settleDate);
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}
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}
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}
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