421 lines
17 KiB
C#
421 lines
17 KiB
C#
using BaseOUDAL;
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using System.Linq.Expressions;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.QueryModule
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{
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public class TradeCreditRiskQueryService : YLBaseService
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{
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public TradeCreditRiskQueryService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public TradeCreditRiskQueryService(YLBaseService baseService) : base(baseService)
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{
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}
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/// <summary>
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/// 查询客户交易明细
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/// </summary>
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public SearchListResult<TradeCreditRisk> SearchTradeCreditRisk(TradeCreditRiskReq req)
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{
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BuildTradePredicate(req, out var tradPredicate);
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DateTime tradingday = QdpCalendarHelper.GetNonHolidayDefore(req.EndDate.Value);
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DateTime lastdate = req.EndDate.Value.AddDays(1 - req.EndDate.Value.Day).AddMonths(1).AddDays(-1);
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DateTime lastdatetrading = QdpCalendarHelper.GetNonHolidayDefore(lastdate);
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if (tradingday != lastdatetrading)
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{
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lastdatetrading = QdpCalendarHelper.GetNonHolidayDefore(lastdate.AddDays(1 - lastdate.Day).AddDays(-1));
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}
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var query = from td in DbContext.trade.Where(tradPredicate)
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join et in DbContext.eod_trade.Where(O => O.ValueDate == req.EndDate.Value) on td.id equals et.TradeId into tempEt
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from et in tempEt.DefaultIfEmpty()
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join etp in DbContext.eod_trade_position.Where(O => O.ValueDate == lastdate) on td.id equals etp.TradeId into tempEtp
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from etp in tempEtp.DefaultIfEmpty()
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where et != null
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select new TradeCreditRisk
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{
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id = td.id,
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TradeNumber = td.TradeNumber,
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tradecode = "",
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ClientId = td.ClientId,
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BuySell = td.BuySell,
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OptionType = td.OptionType,
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StructureType = td.StructureType,
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TradeType = td.TradeType,
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TradeDate = td.TradeDate,
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ExerciseDate = td.ExerciseDate,
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SettlementDate = td.SettlementDate,
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PremiumPayDate = td.PremiumPayDate,
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Strike = td.Strike,
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UnderlyingCode = td.UnderlyingCode,
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BasisUnderlyingCode = td.BasisUnderlyingCode,
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StockEqvNotional = td.StockEqvNotional,
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StockEqvNotionalMax = td.StockEqvNotionalMax,
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OriginalStockEqvNotional = td.OriginalStockEqvNotional,
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TradePrice = td.TradePrice,
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InitialMargin = td.TradePrice,
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Notional = td.Notional,
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tradevalue = etp == null ? 0 : etp.Pv,
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et = et,
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};
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if (string.IsNullOrWhiteSpace(req.sidx))
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{
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req.sidx = "id";
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req.sord = "desc";
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}
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var list = query.ToSearchList(req);
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var clients = DataCacheProvider.GetClientDataSource().AsQueryable();
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var underly = DataCacheProvider.GetUnderlyingDataSource().AsQueryable();
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var varietys = DataCacheProvider.GetVarietyDataSource().AsQueryable();
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var markets = DataCacheProvider.GetMarketDataSource().AsQueryable();
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foreach (var item in list.rows)
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{
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if (item.et != null)
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{
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item.Strike = item.et.trade.Strike;
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item.UnderlyingCode = item.et.trade.UnderlyingCode;
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item.BasisUnderlyingCode = item.et.trade.BasisUnderlyingCode;
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item.StockEqvNotional = item.et.trade.StockEqvNotional;
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item.StockEqvNotionalMax = item.et.trade.StockEqvNotionalMax;
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item.OriginalStockEqvNotional = item.et.trade.OriginalStockEqvNotional;
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item.TradePrice = item.et.trade.TradePrice;
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item.InitialMargin = item.et.trade.InitialMargin;
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item.Notional = item.et.trade.Notional;
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}
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var client = clients.FirstOrDefault(x => x.id == item.ClientId);
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item.ClientName = client.Name;
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item.ClientNumber = client.Number;
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item.MainProtocolCode = client.MainProtocolCode;
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item.LicenseType = client.LicenseType;
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item.LicenseCode = client.LicenseCode;
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item.buysell_show = item.BuySell == "买入" ? "B" : "S";
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item.CallorPut = item.OptionType == "看涨" ? "Call" : "Put";
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item.multishort = item.OptionType == "看涨" ? "多头" : "空头";
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item.tradetype_show = item.StructureType ?? item.TradeType;
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var un = underly.FirstOrDefault(x => x.UnderlyingCode == item.UnderlyingCode);
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var va = un == null ? null : varietys.FirstOrDefault(x => x.id == un.UnderlyingTypeId);
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var ma = un == null ? null : markets.FirstOrDefault(x => x.ExchangeNo == un.MarketCode);
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item.UnderlyingAssetName = un?.UnderlyingName;
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item.QuoteCurrency = va?.QuoteCurrency ?? "CNY";
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item.UnderlyingAssetName = un?.UnderlyingName;
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item.MarketName = ma?.MarketName;
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if (item.et != null)
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{
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var eodpostion = DbContext.eod_trade_position.FirstOrDefault(O => O.ValueDate == req.EndDate && O.TradeId == item.et.TradeId);
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item.pv = eodpostion?.Pv;
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item.valuedate = eodpostion?.ValueDate;
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}
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if (item.TradeType == "远期")
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{
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var lasteodpostion = DbContext.eod_trade_position.FirstOrDefault(O => O.ValueDate == lastdatetrading && O.TradeId == item.et.TradeId);
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item.tradevalue = lasteodpostion?.Pv;
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item.producttype = string.IsNullOrWhiteSpace(item.BasisUnderlyingCode) ? "商品远期" : "商品互换";
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}
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else if (item.TradeType == "收益互换")
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{
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var swap = DbContext.trade_swap.FirstOrDefault(O => O.TradeId == item.id && O.TradeId == item.et.TradeId);
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item.payfloattype = swap.IsPayFloatingProfit == true ? "2:支付浮动" : "1:支付固定";
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item.producttype = "收益互换";
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if (swap.IsPayFloatingProfit)
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{
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var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(swap.GetSwapTimeAndRate);
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if (customizedResults.Item1 == null)
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{
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item.SwapTime = null;
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}
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else
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{
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item.SwapTime = customizedResults.Item1[0];
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}
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item.Strike = swap.PaySpotPrice + (swap.PayLongShort == "多头" ? 1 : -1) * ((swap.GetSingleFee ?? 0) / un.ContractSize + (swap.PaySpotPrice * swap.GetUnAnnualRate ?? 0));
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}
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else
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{
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var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(swap.PaySwapTimeAndRate);
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if (customizedResults.Item1 == null)
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{
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item.SwapTime = null;
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}
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else
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{
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item.SwapTime = customizedResults.Item1[0];
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}
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item.Strike = swap.GetSpotPrice + (swap.GetLongShort == "多头" ? 1 : -1) * ((swap.PaySingleFee ?? 0) / un.ContractSize + (swap.GetSpotPrice * swap.PayUnAnnualRate ?? 0));
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}
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}
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else
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{
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item.producttype = un == null ? "商品期货" : un.IsCommoditySpot() ? "商品现货" : "商品期货";
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if(item.et != null && item.et.trade.IsGroup ==1)
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{
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if (double.TryParse(item.et.trade.Propertys?.Where(x => x.name == "行权价格").FirstOrDefault()?.value ?? "", out double strike))
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{
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item.Strike = strike;
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}
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if (DateTime.TryParse(item.et.trade.Propertys?.Where(x => x.name == "期权费支付日").FirstOrDefault()?.value ?? "", out DateTime premiumPayDate))
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{
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item.PremiumPayDate = premiumPayDate;
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}
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else
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{
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item.PremiumPayDate = item.TradeDate;
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}
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var callorPut = item.et.trade.Propertys?.Where(x => x.name == "期权方向").FirstOrDefault()?.value ?? "";
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item.CallorPut = callorPut == "看涨" ? "Call" : "Put";
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item.multishort = callorPut == "看涨" ? "多头" : "空头";
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var subid = DbContext.trade.Where(x => x.ParentTradeId == item.et.TradeId && x.ValidState != "InValid" && x.IsGroup == 2).Select(x => x.id).ToArray();
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var subpv = DbContext.eod_trade_position.Where(O => O.ValueDate == req.EndDate && subid.Contains(O.TradeId)).Sum(x => x.Pv);
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item.pv = subpv;
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item.valuedate = req.EndDate;
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}
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}
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}
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return list;
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}
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private void BuildTradePredicate(TradeCreditRiskReq req,
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out Expression<Func<trade, bool>> tradPredicate)
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{
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//交易明细页面：组合互换 提前终止和到期都按照子交易展示
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if (req.CreditRiskType == "期权")
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{
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tradPredicate = PredicateBuilder.True<trade>().And(x => x.TradeType != "远期" && x.TradeType != "收益互换");
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}
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//交易明细页面：组合互换 成交按照主交易可展开形式展示
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else if (req.CreditRiskType == "远期")
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{
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tradPredicate = PredicateBuilder.True<trade>().And(x => x.TradeType == "远期");
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}
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//交易明细导出：组合互换都按照子交易展示
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else if (req.CreditRiskType == "互换")
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{
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tradPredicate = PredicateBuilder.True<trade>().And(x => x.TradeType == "收益互换");
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}
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else
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{
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tradPredicate = PredicateBuilder.True<trade>();
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}
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var endDate = req.EndDate.Value;
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tradPredicate = tradPredicate.And(t => t.TradeDate <= endDate && t.ValidState != "InValid" && (t.TradeType != "结构化交易" || t.IsGroup == 1) && t.IsGroup != 2);
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if (req.StartDate != null)
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{
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tradPredicate = tradPredicate.And(t => t.TradeDate >= req.StartDate);
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}
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if (!string.IsNullOrWhiteSpace(req.ClientIds))
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{
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if (req.ClientIds.Substring(0, 1) != ",")
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{
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tradPredicate = tradPredicate.And(t => req.ClientIdsInt.Contains(t.ClientId));
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}
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}
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}
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}
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/// <summary>
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/// 交易查熏
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/// </summary>
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public class TradeCreditRiskReq : BaseSearchReq
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{
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/// <summary>
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/// 客户ID列表
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/// </summary>
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public string ClientIds { get; set; }
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public List<int> ClientIdsInt
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{
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get
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{
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if (string.IsNullOrEmpty(ClientIds))
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{
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return new List<int>();
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}
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return (ClientIds + "").Split(',').Select(c => Convert.ToInt32(c)).ToList();
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}
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}
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/// <summary>
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/// 开始日期
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/// </summary>
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public DateTime? StartDate { get; set; }
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/// <summary>
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/// 结束日期
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/// </summary>
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public DateTime? EndDate { get; set; }
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/// <summary>
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/// 类型
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/// </summary>
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public string CreditRiskType { get; set; }
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}
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public class TradeCreditRisk : OtcTradeDto
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{
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/// <summary>
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/// client
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/// </summary>
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public string MainProtocolCode { get; set; }
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public string ClientNumber { get; set; }
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public string LicenseType { get; set; }
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public string LicenseCode { get; set; }
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/// <summary>
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/// trade
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/// </summary>
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public string buysell_show { get; set; }
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public string CallorPut { get; set; }
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public string multishort { get; set; }
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public string tradetype_show { get; set; }
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public string accountCode
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{
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get
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{
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return "HAZB0001";
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}
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}
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public string accountName
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{
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get
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{
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return "华安资本账户0001";
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}
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}
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//public string financeCode = "自定义";
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//public string financeName = "标的合约代码";
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public string producttype { get; set; }
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/// <summary>
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/// SPT_CMDT（商品现货）、FUT_CMDT（商品期货）、SWP_S（收益互换）、SWP_CMDT（商品互换）、FWD_FUT_CMDT（商品远期）、OPT_FUT_CMDT（场内期权）
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/// </summary>
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public string assetstype
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{
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get
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{
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if (producttype == "商品现货")
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{
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return "SPT_CMDT";
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}
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else if (producttype == "商品期货")
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{
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return "FUT_CMDT";
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}
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else if (producttype == "收益互换")
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{
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return "SWP_S";
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}
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else if (producttype == "商品互换")
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{
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return "SWP_CMDT";
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}
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else if (producttype == "商品远期")
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{
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return "FWD_FUT_CMDT";
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}
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else if (producttype == "商品远期")
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{
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return "OPT_FUT_CMDT";
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}
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else
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{
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return "";
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}
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}
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}
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public string MarketName { get; set; }
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/// <summary>
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/// 商品现货：大连商品交易所（XDCE），上海期货交易所（XSGE），郑州商品交易所（XZCE） 金交所(SGEX)
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/// 商品远期：NONE、收益互换：NONE、场外期权：NONE
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/// 商品期货：深交所（XSHE），上交所（XSHG）
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/// </summary>
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public string markettype
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{
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get
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{
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if (producttype == "商品现货")
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{
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if (MarketName == "大连商品交易所")
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{
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return "XDCE";
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}
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else if (MarketName == "上海期货交易所")
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{
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return "XSGE";
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}
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else if (MarketName == "郑州商品交易所")
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{
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return "XZCE";
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}
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else if (MarketName == "金融资产交易所")
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{
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return "SGEX";
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}
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}
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else if (producttype == "商品期货")
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{
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if (MarketName == "上海证券交易所")
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{
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return "XSHE";
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}
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else if (MarketName == "深圳证券交易所")
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{
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return "XSHG";
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}
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}
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return "NONE";
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}
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}
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/// <summary>
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/// 远期
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/// </summary>
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public double? pv { get; set; }
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public double? pnl { get; set; }
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public DateTime? valuedate { get; set; }
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/// <summary>
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/// 互换
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/// </summary>
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public string payfloattype { get; set; }
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public DateTime? SwapTime { get; set; }
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public string tradecode { get; set; }
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public double? tradevalue { get; set; }
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public eod_trade et { get; set; }
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/// <summary>
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/// 抵押品
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/// </summary>
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public string productCode { get; set; }
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public string productName { get; set; }
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public string productMaketName { get; set; }
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public string productMaketType { get; set; }
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}
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}
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