893 lines
27 KiB
C#
893 lines
27 KiB
C#
namespace YLErp.Modules.IntradayModule
|
|
{
|
|
/// <summary>
|
|
/// 日终清算--持仓列表结果
|
|
/// </summary>
|
|
public class IntradayTradePositionResult
|
|
{
|
|
public List<IntradayOptionPositionField> OptionPositions { get; set; }
|
|
|
|
public List<IntradayForwardPositionField> ForwardPositions { get; set; }
|
|
|
|
public List<IntradayPayOffSwapPositionField> SwapPositions { get; set; }
|
|
}
|
|
|
|
/// <summary>
|
|
/// 持仓记录
|
|
/// </summary>
|
|
public abstract class IntradayPositionField
|
|
{
|
|
private double _contractSize = 1;
|
|
|
|
/// <summary>
|
|
/// 交易编号
|
|
/// </summary>
|
|
public string TradeNumber { get; set; }
|
|
|
|
/// <summary>
|
|
/// 簿记账户
|
|
/// </summary>
|
|
public string AssetBookName { get; set; }
|
|
|
|
/// <summary>
|
|
/// 交易员
|
|
/// </summary>
|
|
public string TraderName { get; set; }
|
|
|
|
/// <summary>
|
|
/// 交易对手方
|
|
/// </summary>
|
|
public string ClientName { get; set; }
|
|
|
|
/// <summary>
|
|
/// 交易对手方编号
|
|
/// </summary>
|
|
public string ClientNumber { get; set; }
|
|
|
|
/// <summary>
|
|
/// 成交日期
|
|
/// </summary>
|
|
public string TradeDate { get; set; }
|
|
|
|
/// <summary>
|
|
/// 到期日期
|
|
/// </summary>
|
|
public string ExerciseDate { get; set; }
|
|
|
|
/// <summary>
|
|
/// 交易备注
|
|
/// </summary>
|
|
public string Comments { get; set; }
|
|
|
|
/// <summary>
|
|
/// 日终结算价格
|
|
/// </summary>
|
|
public double SettlePrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// 剩余交易日
|
|
/// </summary>
|
|
public int DaysToExpiration { get; set; }
|
|
|
|
/// <summary>
|
|
/// 实现盈亏
|
|
/// </summary>
|
|
public double RealizedPnl { get; set; }
|
|
|
|
/// <summary>
|
|
/// 合约乘数
|
|
/// </summary>
|
|
public double ContractSize { get => _contractSize; set => _contractSize = value < 1 ? 1 : value; }
|
|
}
|
|
|
|
/// <summary>
|
|
/// (日终清算)场外期权持仓数据字段
|
|
/// </summary>
|
|
public class IntradayOptionPositionField : IntradayPositionField
|
|
{
|
|
#region----基本要素----
|
|
|
|
/// <summary>
|
|
/// 交易类型
|
|
/// </summary>
|
|
public string TradeType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 结构类型
|
|
/// </summary>
|
|
public string StructureType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 行权方式
|
|
/// </summary>
|
|
public string ExerciseMode { get; set; }
|
|
|
|
/// <summary>
|
|
/// 看涨看跌
|
|
/// </summary>
|
|
public string CallPut { get; set; }
|
|
|
|
/// <summary>
|
|
/// 结算日期
|
|
/// </summary>
|
|
public string SettlementDate { get; set; }
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public string TradeSide { get; set; }
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public string UnderlyingCode { get; set; }
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public string UnderlyingName { get; set; }
|
|
|
|
/// <summary>
|
|
/// 期初标的价格
|
|
/// </summary>
|
|
public double InitSpotPrice { get; set; }
|
|
|
|
public string Strike { get; set; }
|
|
|
|
public string IsMoneynessOption { get; set; }
|
|
|
|
public string Premium { get; set; }
|
|
|
|
public string IsUsePremiumRate { get; set; }
|
|
|
|
/// <summary>
|
|
/// 初始预付金
|
|
/// </summary>
|
|
public double InitialMargin { get; set; }
|
|
|
|
/// <summary>
|
|
/// 有效成交数量
|
|
/// </summary>
|
|
public double TradeAmount { get; set; }
|
|
|
|
/// <summary>
|
|
/// 成交金额
|
|
/// </summary>
|
|
public double TradePrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// 名义本金(成交)
|
|
/// </summary>
|
|
public double StockEqvNotional { get; set; }
|
|
|
|
/// <summary>
|
|
/// 实际名义本金(成交)
|
|
/// </summary>
|
|
public double StockEqvNotionalReal { get; set; }
|
|
|
|
public string IsAnnualized { get; set; }
|
|
|
|
public string AnnualizeFactor { get; set; }
|
|
|
|
public string PrincipalRate { get; set; }
|
|
|
|
public string ParticipationRate { get; set; }
|
|
|
|
public string NoRiskRate { get; set; }
|
|
|
|
public string DividendRate { get; set; }
|
|
|
|
public string TradeOpenVolatility { get; set; }
|
|
|
|
public string TradeCloseVolatility { get; set; }
|
|
|
|
/// <summary>
|
|
/// 平滑过渡天数
|
|
/// </summary>
|
|
public int NumOfSmoothingDays { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----亚式期权----
|
|
|
|
/// <summary>
|
|
/// 均价起算日 格式：yyyy-MM-dd
|
|
/// </summary>
|
|
public string AsianAveragingPeriodStartDate { get; set; }
|
|
|
|
/// <summary>
|
|
/// 均价计算方式(算术平均|几何平均|算术平均(离散)|增强算术平均)
|
|
/// </summary>
|
|
public string AsianPayoffType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 行权价类型(固定行权价|浮动行权价|分段式)
|
|
/// </summary>
|
|
public string AsianStrikeType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 杠杆率(百分数)
|
|
/// </summary>
|
|
public string AsianStrikeGearingFactor { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----障碍期权----
|
|
|
|
/// <summary>
|
|
/// 障碍类型(上升敲入|上升敲出|下降敲入|下降敲出|双障碍敲入|双障碍敲出)
|
|
/// </summary>
|
|
public string BarrierType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 障碍价格 IsMoneynessOption等于‘是’时为百分数，否则为绝对数值
|
|
/// </summary>
|
|
public string BarrierPrice { get; set; }
|
|
/// <summary>
|
|
/// 高障碍价格 IsMoneynessOption等于‘是’时为百分数，否则为绝对数值
|
|
/// </summary>
|
|
public string BarrierPriceHigh { get; set; }
|
|
/// <summary>
|
|
/// 障碍偏移
|
|
/// </summary>
|
|
public double? BarrierShift { get; set; }
|
|
/// <summary>
|
|
/// 补偿金额 IsUsePremiumRate等于‘是’时为百分数，否则为绝对数值
|
|
/// </summary>
|
|
public string BarrierRebate { get; set; }
|
|
/// <summary>
|
|
/// 补偿支付方式(立即|递延)
|
|
/// </summary>
|
|
public string BarrierRebateType { get; set; }
|
|
/// <summary>
|
|
/// 观察方式(离散|连续)
|
|
/// </summary>
|
|
public string BarrierDiscrete { get; set; }
|
|
/// <summary>
|
|
/// 敲入敲出状态(观察中|已敲入|已敲出)
|
|
/// </summary>
|
|
public string BarrierKnockInOutStatus { get; set; }
|
|
/// <summary>
|
|
/// 敲入敲出日期(格式：yyyy-MM-dd)
|
|
/// </summary>
|
|
public string BarrierKnockInOutDate { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----双鲨期权----
|
|
|
|
/// <summary>
|
|
/// 低障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string DbSharkBarrierLow { get; set; }
|
|
/// <summary>
|
|
/// 高障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string DbSharkBarrierHigh { get; set; }
|
|
/// <summary>
|
|
/// 高行权价(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string DbSharkStrikeHigh { get; set; }
|
|
/// <summary>
|
|
/// 高参与率(百分数)
|
|
/// </summary>
|
|
public string DbSharkCallParticipationRate { get; set; }
|
|
/// <summary>
|
|
/// 低参与率(百分数)
|
|
/// </summary>
|
|
public string DbSharkPutParticipationRate { get; set; }
|
|
/// <summary>
|
|
/// 补偿金额(IsUsePremiumRate等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string DbSharkRebate { get; set; }
|
|
/// <summary>
|
|
/// 高障碍补偿金额(IsUsePremiumRate等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string DbSharkRebateHigh { get; set; }
|
|
/// <summary>
|
|
/// 补偿支付方式(立即|递延)
|
|
/// </summary>
|
|
public string DbSharkRebateType { get; set; }
|
|
/// <summary>
|
|
/// 观察方式(离散|连续)
|
|
/// </summary>
|
|
public string DbSharkDiscrete { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲入敲出状态 观察中|已敲入|已敲出
|
|
/// </summary>
|
|
public string DbsharkKnockInOutStatus { get; set; }
|
|
/// <summary>
|
|
/// 敲入敲出日期 格式：yyyy-MM-dd
|
|
/// </summary>
|
|
public string DbsharkKnockInOutDate { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----二元期权----
|
|
|
|
/// <summary>
|
|
/// 二元类型 "欧式期权: CashOrNothing|AssetOrNothing
|
|
/// 美式期权: UpOneTouch|DownOneTouch|UpNoTouch|DownNoTouch|DoubleOneTouch|DoubleNoTouch"
|
|
/// </summary>
|
|
public string BinaryPayoffType { get; set; }
|
|
/// <summary>
|
|
/// 高障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string BinaryUpperBarrier { get; set; }
|
|
/// <summary>
|
|
/// 补偿金额(IsUsePremiumRate等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string BinaryCashOrNothingAmount { get; set; }
|
|
/// <summary>
|
|
/// 高障碍补偿金额(IsUsePremiumRate等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string BinaryCashOrNothingAmountHigh { get; set; }
|
|
/// <summary>
|
|
/// 观察方式(离散|连续)
|
|
/// </summary>
|
|
public string BinaryMonitorType { get; set; }
|
|
/// <summary>
|
|
/// 补偿支付方式(立即|递延)
|
|
/// </summary>
|
|
public string BinaryRebateType { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----区间累积期权----
|
|
|
|
/// <summary>
|
|
/// 区间下限(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string RangeAccrualLowerRange { get; set; }
|
|
/// <summary>
|
|
/// 区间上限(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string RangeAccrualUpperRange { get; set; }
|
|
/// <summary>
|
|
/// 区间收益(百分数)
|
|
/// </summary>
|
|
public string RangeAccrualBonusRate { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----气囊结构----
|
|
|
|
/// <summary>
|
|
/// 障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AirbagBarrier { get; set; }
|
|
/// <summary>
|
|
/// 是否离散观察(是|否)
|
|
/// </summary>
|
|
public string AirbagIsDiscrete { get; set; }
|
|
/// <summary>
|
|
/// 敲入参与率(百分数)
|
|
/// </summary>
|
|
public string AirbagKIParticipationRate { get; set; }
|
|
/// <summary>
|
|
/// 收益封顶(是|否)
|
|
/// </summary>
|
|
public string AirbagHasPayoffLimit { get; set; }
|
|
/// <summary>
|
|
/// 收益封顶价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AirbagHighStrike { get; set; }
|
|
|
|
//收益增强结构
|
|
/// <summary>
|
|
/// 年化增强收益(百分数)
|
|
/// </summary>
|
|
public string AnnualizedEnhanceRate { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----凤凰期权----
|
|
|
|
/// <summary>
|
|
/// 票息年化(是|否)
|
|
/// </summary>
|
|
public string AutocallIsAnnualizedCoupon { get; set; }
|
|
/// <summary>
|
|
/// 票息率(百分数)
|
|
/// </summary>
|
|
public string AutocallCoupon { get; set; }
|
|
/// <summary>
|
|
/// 票息障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AutocallCouponBarrier { get; set; }
|
|
/// <summary>
|
|
/// 票息结算方式(产生时支付|敲出时支付|期末支付)
|
|
/// </summary>
|
|
public string AutocallCouponPayType { get; set; }
|
|
/// <summary>
|
|
/// 敲出障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AutocallKOBarrier { get; set; }
|
|
/// <summary>
|
|
/// 敲入障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AutocallKIBarrier { get; set; }
|
|
/// <summary>
|
|
/// 敲入到期是否支付票息(是|否)
|
|
/// </summary>
|
|
public string AutocallIncludeCouponAfterKI { get; set; }
|
|
/// <summary>
|
|
/// 敲入到期支付类别(无|敲入转期权|敲入转价差期权)
|
|
/// </summary>
|
|
public string AutocallKIPayoffType { get; set; }
|
|
/// <summary>
|
|
/// 敲入行权价1(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AutocallKIStrike1 { get; set; }
|
|
/// <summary>
|
|
/// 敲入行权价2(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AutocallKIStrike2 { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲入敲出状态 观察中|已敲入|已敲出
|
|
/// </summary>
|
|
public string AutocallKnockInOutStatus { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲入敲出日期 格式：yyyy-MM-dd
|
|
/// </summary>
|
|
public string AutocallKnockInOutDate { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----雪球期权----
|
|
|
|
/// <summary>
|
|
/// 敲出障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string SnowballKOBarrier { get; set; }
|
|
/// <summary>
|
|
/// 敲出赔付类别(票息补偿|敲出转期权|敲出转价差期权)
|
|
/// </summary>
|
|
public string SnowballKOPayoffType { get; set; }
|
|
/// <summary>
|
|
/// 票息年化(是|否, SnowballKOPayoffType等于‘票息补偿’时有值)
|
|
/// </summary>
|
|
public string SnowballIsAnnualizedCoupon { get; set; }
|
|
/// <summary>
|
|
/// 票息率(百分数, SnowballKOPayoffType等于‘票息补偿’时有值)
|
|
/// </summary>
|
|
public string SnowballKORebate { get; set; }
|
|
/// <summary>
|
|
/// 年化期权费率(百分数, SnowballKOPayoffType等于‘票息补偿’时有值)
|
|
/// </summary>
|
|
public string SnowballAnnualizedPremiumRate { get; set; }
|
|
/// <summary>
|
|
/// 票息支付日期(以逗号分隔的日期序列)
|
|
/// </summary>
|
|
public string SnowballKOObservationSettleDates { get; set; }
|
|
/// <summary>
|
|
/// 敲出行权价1(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值, SnowballKOPayoffType等于‘票息补偿’或‘敲出转价差期权’时有值)
|
|
/// </summary>
|
|
public string SnowballKOStrike1 { get; set; }
|
|
/// <summary>
|
|
/// 敲出行权价2(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值, SnowballKOPayoffType等于‘敲出转价差期权’时有值)
|
|
/// </summary>
|
|
public string SnowballKOStrike2 { get; set; }
|
|
/// <summary>
|
|
/// 敲出支付方式(立即|期末)
|
|
/// </summary>
|
|
public string SnowballKORebateType { get; set; }
|
|
/// <summary>
|
|
/// 敲入障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string SnowballKIBarrier { get; set; }
|
|
/// <summary>
|
|
/// 敲入到期支付类别(无|敲入转期权|敲入转价差期权)
|
|
/// </summary>
|
|
public string SnowballKIPayoffType { get; set; }
|
|
/// <summary>
|
|
/// 敲入行权价1(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值, SnowballKIPayoffType等于‘票息补偿’或‘敲出转价差期权’时有值)
|
|
/// </summary>
|
|
public string SnowballKIStrike1 { get; set; }
|
|
/// <summary>
|
|
/// 敲入行权价2(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值, SnowballKIPayoffType等于‘敲出转价差期权’时有值)
|
|
/// </summary>
|
|
public string SnowballKIStrike2 { get; set; }
|
|
/// <summary>
|
|
/// 非敲入到期支付票息(百分数)
|
|
/// </summary>
|
|
public string SnowballNoKICoupon { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲入敲出状态 观察中|已敲入|已敲出
|
|
/// </summary>
|
|
public string SnowballKnockInOutStatus { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲入敲出日期 格式：yyyy-MM-dd
|
|
/// </summary>
|
|
public string SnowballKnockInOutDate { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----自定义交易----
|
|
|
|
/// <summary>
|
|
/// 自定义结构类型
|
|
/// </summary>
|
|
public string StructureTypeSpec { get; set; }
|
|
|
|
/// <summary>
|
|
/// 自定义结构说明
|
|
/// </summary>
|
|
public string StructureIntroduction { get; set; }
|
|
|
|
/// <summary>
|
|
/// 交易扩展信息
|
|
/// </summary>
|
|
public string ExtendInfo { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----累计期权----
|
|
|
|
/// <summary>
|
|
/// 敲出障碍价格(IsMoneynessOption等于‘是’时为百分数，否则为绝对数值)
|
|
/// </summary>
|
|
public string AccumulatorKOBarrier { get; set; }
|
|
|
|
/// <summary>
|
|
/// 上端收益类型 浮动|固定
|
|
/// </summary>
|
|
public string AccumulatorPayoffType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 票息 带'%'后缀的为百分比格式的票息率方式，否则为单份票息金额方式,'上端收益类型'为‘票息’时适用
|
|
/// </summary>
|
|
public string AccumulatorCoupon { get; set; }
|
|
|
|
/// <summary>
|
|
/// 票息年化 是|否，为'否'时票息年化,'上端收益类型'为‘票息’时适用
|
|
/// </summary>
|
|
public string AccumulatorIsAnnualizedCoupon { get; set; }
|
|
|
|
/// <summary>
|
|
/// 票息日历规则,为空时则默认为Act365
|
|
/// </summary>
|
|
public string AccumulatorCouponDayCount { get; set; }
|
|
|
|
/// <summary>
|
|
/// 杠杆倍数
|
|
/// </summary>
|
|
public double? AccumulatorMultiplier { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲出是否终止 是|否
|
|
/// </summary>
|
|
public string AccumulatorEarlyTerminate { get; set; }
|
|
|
|
/// <summary>
|
|
/// 结算方式 现金结算(当日)|现金结算(期末)|实物交割
|
|
/// </summary>
|
|
public string AccumulatorSettlementMode { get; set; }
|
|
|
|
/// <summary>
|
|
/// 累计类型 子弹|空值
|
|
/// </summary>
|
|
public string AccumulatorAccumuType { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----敲入敲出观察----
|
|
|
|
/// <summary>
|
|
/// 观察频率 以逗号分隔的日期序列,适用于:障碍期权,
|
|
/// </summary>
|
|
public string ObservationDates { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲出观察频率 以逗号分隔的日期序列,适用于:障碍期权,
|
|
/// </summary>
|
|
public string KOObservationDates { get; set; }
|
|
|
|
/// <summary>
|
|
/// 敲入观察频率 以逗号分隔的日期序列,适用于:障碍期权,
|
|
/// </summary>
|
|
public string KIObservationDates { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----持仓信息----
|
|
|
|
/// <summary>
|
|
/// 持仓数量
|
|
/// </summary>
|
|
public double PositionTradeAmount { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓市值
|
|
/// </summary>
|
|
public double PositionPv { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓盈亏
|
|
/// </summary>
|
|
public double PositionPnl { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓波动率(百分数)
|
|
/// </summary>
|
|
public string PositionVol { get; set; }
|
|
|
|
/// <summary>
|
|
/// 当日盈亏
|
|
/// </summary>
|
|
public double DailyPnl { get; set; }
|
|
|
|
#endregion
|
|
|
|
#region----风险信息----
|
|
|
|
/// <summary>
|
|
/// 持仓Delta
|
|
/// </summary>
|
|
public double Delta { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓Delta手数
|
|
/// </summary>
|
|
public double DeltaLots => Delta / ContractSize;
|
|
|
|
/// <summary>
|
|
/// 持仓Gamma
|
|
/// </summary>
|
|
public double Gamma { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓Vega
|
|
/// </summary>
|
|
public double Vega { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓Theta
|
|
/// </summary>
|
|
public double Theta { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓Rho
|
|
/// </summary>
|
|
public double Rho { get; set; }
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public double DeltaCash { get; set; }
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public double GammaCash { get; set; }
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public double VegaCash { get; set; }
|
|
|
|
#endregion
|
|
}
|
|
|
|
/// <summary>
|
|
/// (日终清算)收益互换持仓数据字段
|
|
/// </summary>
|
|
public class IntradayPayOffSwapPositionField : IntradayPositionField
|
|
{
|
|
/// <summary>
|
|
/// 结构类型
|
|
/// </summary>
|
|
public string StructureType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 名义本金
|
|
/// </summary>
|
|
public double StockEqvNotional { get; set; }
|
|
|
|
/// <summary>
|
|
/// [收取]浮动收益(是|否)
|
|
/// </summary>
|
|
public string IsGetFloatingProfit { get; set; }
|
|
|
|
/// <summary>
|
|
/// [收取]标的代码
|
|
/// </summary>
|
|
public string GetUnderlyingCode { get; set; }
|
|
|
|
/// <summary>
|
|
/// [收取]多头空头(多头|空头)
|
|
/// </summary>
|
|
public string GetLongShort { get; set; }
|
|
|
|
/// <summary>
|
|
/// [收取]标的期初价格
|
|
/// </summary>
|
|
public double? GetSpotPrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// [收取]交易费用
|
|
/// </summary>
|
|
public double? GetTradePrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// [收取]初始预付金率(百分数)
|
|
/// </summary>
|
|
public string GetMarginRate { get; set; }
|
|
|
|
/// <summary>
|
|
/// [收取]固定收益
|
|
/// </summary>
|
|
public double? GetFixedProfit { get; set; }
|
|
/// <summary>
|
|
/// [支付]浮动收益(是|否)
|
|
/// </summary>
|
|
public string IsPayFloatingProfit { get; set; }
|
|
/// <summary>
|
|
/// [支付]标的代码
|
|
/// </summary>
|
|
public string PayUnderlyingCode { get; set; }
|
|
/// <summary>
|
|
/// [支付]多头空头(多头|空头)
|
|
/// </summary>
|
|
public string PayLongShort { get; set; }
|
|
/// <summary>
|
|
/// [支付]标的期初价格
|
|
/// </summary>
|
|
public double? PaySpotPrice { get; set; }
|
|
/// <summary>
|
|
/// [支付]交易费用
|
|
/// </summary>
|
|
public double? PayTradePrice { get; set; }
|
|
/// <summary>
|
|
/// [支付]固定收益
|
|
/// </summary>
|
|
public double? PayFixedProfit { get; set; }
|
|
/// <summary>
|
|
/// [支付]初始预付金率(百分数)
|
|
/// </summary>
|
|
public string PayMarginRate { get; set; }
|
|
|
|
//持仓信息
|
|
|
|
/// <summary>
|
|
/// 持仓名义本金
|
|
/// </summary>
|
|
public double PositionStockEqvNotional { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓市值
|
|
/// </summary>
|
|
public double PositionPv { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓盈亏
|
|
/// </summary>
|
|
public double PositionPnl { get; set; }
|
|
|
|
/// <summary>
|
|
/// 当日盈亏
|
|
/// </summary>
|
|
public double DailyPnl { get; set; }
|
|
}
|
|
|
|
/// <summary>
|
|
/// (日终清算)远期持仓数据字段
|
|
/// </summary>
|
|
public class IntradayForwardPositionField : IntradayPositionField
|
|
{
|
|
/// <summary>
|
|
/// 结构类型
|
|
/// </summary>
|
|
public string StructureType { get; set; }
|
|
|
|
/// <summary>
|
|
/// 标的代码
|
|
/// </summary>
|
|
public string UnderlyingCode { get; set; }
|
|
|
|
/// <summary>
|
|
/// 标的名称
|
|
/// </summary>
|
|
public string UnderlyingName { get; set; }
|
|
|
|
/// <summary>
|
|
/// 挂钩标的
|
|
/// </summary>
|
|
public string BasisUnderlyingCode { get; set; }
|
|
|
|
/// <summary>
|
|
/// 基差
|
|
/// </summary>
|
|
public double? BasisGap { get; set; }
|
|
|
|
/// <summary>
|
|
/// 交易方向(买入|卖出)
|
|
/// </summary>
|
|
public string TradeSide { get; set; }
|
|
|
|
/// <summary>
|
|
/// 多头空头(多头|空头)
|
|
/// </summary>
|
|
public string CallPut { get; set; }
|
|
|
|
/// <summary>
|
|
/// 成交数量
|
|
/// </summary>
|
|
public double TradeAmount { get; set; }
|
|
|
|
/// <summary>
|
|
/// 交割价格
|
|
/// </summary>
|
|
public double Strike { get; set; }
|
|
|
|
/// <summary>
|
|
/// 期初标的价格
|
|
/// </summary>
|
|
public double InitSpotPrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// 开仓费用(每手单价)
|
|
/// </summary>
|
|
public double OpenFee { get; set; }
|
|
|
|
/// <summary>
|
|
/// 开仓总费用
|
|
/// </summary>
|
|
public double TotalFee { get; set; }
|
|
|
|
/// <summary>
|
|
/// 年化预付金成本率(百分数)
|
|
/// </summary>
|
|
public string AnnualMarginRate { get; set; }
|
|
|
|
/// <summary>
|
|
/// 年化仓储成本(单价)
|
|
/// </summary>
|
|
public double AnnualStoragePrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// 无风险利率(百分数)
|
|
/// </summary>
|
|
public string NoRiskRate { get; set; }
|
|
|
|
/// <summary>
|
|
/// 均价结算设置
|
|
/// </summary>
|
|
public string ObservationDates { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓数量
|
|
/// </summary>
|
|
public double PositionTradeAmount { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓市值
|
|
/// </summary>
|
|
public double PositionPv { get; set; }
|
|
|
|
/// <summary>
|
|
/// 持仓盈亏
|
|
/// </summary>
|
|
public double PositionPnl { get; set; }
|
|
|
|
/// <summary>
|
|
/// 当日盈亏
|
|
/// </summary>
|
|
public double DailyPnl { get; set; }
|
|
}
|
|
|
|
public class ClientSettleBalancesSumInfo
|
|
{
|
|
public double WinLossSum { get; set; }
|
|
|
|
public double TdWinLossSum { get; set; }
|
|
|
|
public double PositionPnlSum { get; set; }
|
|
}
|
|
}
|