713 lines
35 KiB
C#
713 lines
35 KiB
C#
using System.Data;
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using YLErp.BLL;
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using YLErp.DBModels.Enums;
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using YLErp.DBModels.Helpers;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.EodModule;
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using YLErp.Modules.TradeModule;
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namespace YLErp.Modules.ClientModule
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{
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/// <summary>
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/// 客户持仓服务
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/// </summary>
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public class ClientPositionService : YLBaseService
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{
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public ClientPositionService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public ClientPositionService(YLBaseService baseService) : base(baseService)
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{
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}
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/// <summary>
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/// 获取客户持仓(返回分页数据)
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/// </summary>
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public IPagedList<ClientPositionModel> GetAllPositionsV1(ClientPositionQueryModel queryModel)
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{
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return InnerGetAllPositionsV1(queryModel);
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}
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private IPagedList<ClientPositionModel> InnerGetAllPositionsV1(ClientPositionQueryModel queryModel, ApiVersion apiVersion = ApiVersion.v1)
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{
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if (queryModel.ValueDate == null)
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{
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queryModel.ValueDate = valuedateBLL.ValueDate;
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}
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//日终结算数据
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if (queryModel.ValueDate <= EodDataHelper.GetLastSettleDate(valuedateBLL.ValueDate))
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{
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var query = CreateEodPositionQuery(queryModel);
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var pagedList = query.ToPagedList(queryModel);
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ProcessClientPositionModel(apiVersion, pagedList, queryModel.ValueDate.Value, true);
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LoadTradeMeta(pagedList);
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return pagedList;
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}
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else //日内实时数据
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{
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var query = CreateIntradayPositionQuery(queryModel);
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var pagedList = query.ToPagedList(queryModel);
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ProcessClientPositionModel(apiVersion, pagedList, queryModel.ValueDate.Value, false);
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//读取交易的期权结构信息
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LoadTradeExtend(pagedList);
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LoadTradeMeta(pagedList);
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return pagedList;
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}
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}
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/// <summary>
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/// 获取客户持仓V2(返回分页数据)
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/// </summary>
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public IPagedList<ClientPositionModel> GetAllPositionsV2(ClientPositionQueryModel queryModel)
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{
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return InnerGetAllPositionsV2(queryModel);
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}
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private IPagedList<ClientPositionModel> InnerGetAllPositionsV2(ClientPositionQueryModel queryModel, ApiVersion apiVersion = ApiVersion.v2)
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{
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queryModel.AllStatusIncluded = true;
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var pagedList = GetAllPositionsV1(queryModel);
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//获取平仓价和平仓标的价
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//平仓价和平仓标的价只有交易确认后才有
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var tradeIds = pagedList.Where(n => n.TradeStatus >= EnumTradeStatus.confirmed).Select(n => n.TradeId).ToArray();
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var tcDic = new Dictionary<int, TradeCashData>(tradeIds.Length);
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for (var i = 0; i < tradeIds.Length; i += 1000)
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{
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var subTradeIds = tradeIds.Skip(i).Take(1000);
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var query = from tc in DbContext.trade_cash
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where subTradeIds.Contains(tc.TradeId)
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&& tc.Action != ClientCashInCashOut.系统操作_期权费
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&& tc.ValidState != "InValid" && !tc.IsDeleted
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group tc by tc.TradeId into g
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select new TradeCashData
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{
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tradeId = g.Key,
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UnwindNotional = g.Sum(n => n.UnwindNotional ?? 0),
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UnwindAmount = g.Sum(n => n.Amount),
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FinalPrice = g.Sum(n => (n.FinalPrice ?? 0) * (n.UnwindNotional ?? 0)),
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UnwindDate = g.Max(n => n.ValueDate)
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};
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foreach (var item in query)
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{
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tcDic.Add(item.tradeId, item);
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}
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}
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//获取对冲波动率
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//所有交易状态的对冲波动率都需要
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tradeIds = pagedList.Select(n => n.TradeId).ToArray();
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var dic2 = new TradeHisDataService(this).GetLatestHedgeVol(tradeIds);
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//赋值
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foreach (var item in pagedList)
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{
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if (tcDic.TryGetValue(item.TradeId, out var data) && data.UnwindNotional > 0)
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{
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//把平仓总额转为正向值(这样平仓单价和界面输入时的符号一致)
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var amount = data.UnwindAmount * TradeCalcHelper.GetBuySellSign(item.BuySell);
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item.UnwindPrice = amount / data.UnwindNotional;
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item.FinalPrice = data.FinalPrice / data.UnwindNotional;
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item.UnwindDate = data.UnwindDate;
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}
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else
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{
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item.UnwindPrice = 0;
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item.FinalPrice = 0;
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}
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if (dic2.TryGetValue(item.TradeId, out var hedgeVol))
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{
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item.HedgeVol = hedgeVol;
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}
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}
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return pagedList;
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}
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/// <summary>
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/// 获取客户持仓V3(返回分页数据)
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/// </summary>
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public IPagedList<ClientPositionModel> GetAllPositionsV3(ClientPositionQueryModel queryModel)
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{
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if ("v2".Equals(queryModel.DataVersion, StringComparison.OrdinalIgnoreCase))
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{
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return InnerGetAllPositionsV2(queryModel, ApiVersion.v3);
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}
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return InnerGetAllPositionsV1(queryModel, ApiVersion.v3);
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}
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/// <summary>
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/// 创建客户日内持仓查询语句
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/// </summary>
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/// <param name="clientId">客户ID，为0表示所有客户</param>
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private IQueryable<ClientPositionModel> CreateIntradayPositionQuery(ClientPositionQueryModel queryModel)
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{
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var clientId = queryModel.ClientId;
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var clientNumber = queryModel.ClientNumber.TrimToNull();
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var tradeStatus = queryModel.TradeStatus;
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if (clientId < 1 && !string.IsNullOrEmpty(clientNumber))
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{
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var cid = DataCacheProvider.GetClientDataSource().AsQueryable()
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.Where(n => clientNumber.Equals(n.Number, StringComparison.OrdinalIgnoreCase))
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.Select(n => (int?)n.id).FirstOrDefault();
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if (!cid.HasValue)
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{
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return Array.Empty<ClientPositionModel>().AsQueryable();
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}
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clientId = cid.Value;
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}
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var ValueDate = valuedateBLL.ValueDate;
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var predicate = PredicateBuilder.Create<trade>(n => n.ClientId > 0
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&& n.ValidState != ConsGlobal.InValid && (n.TradeType != "结构化交易" || n.IsGroup == 1));
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if (clientId > 0)
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{
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predicate = PredicateBuilder.Create<trade>(n => n.ClientId == clientId).And(predicate);
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}
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if (queryModel.AllStatusIncluded)
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{
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if (tradeStatus != null && tradeStatus.Any(n => n > 0))
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{
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var status = tradeStatus.Select(n => TradeHelper.GetTradeStatus(n)).ToHashSet();
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predicate = predicate.And(n => status.Contains(n.TradeStatus));
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}
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}
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else
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{
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var suspensionUnderlyingIdList = DbContext.underlying_manager.Where(t => t.UnderlyingStatus == underlying_manager.Status_Suspension).Select(t => t.id).ToList();
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predicate = predicate.And(n => ConsTrade.NeedMarginTradeStatusList.Contains(n.TradeStatus)
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&& (n.ExerciseDate >= ValueDate || suspensionUnderlyingIdList.Contains(n.UnderlyingId)));
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}
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var riskQuery = from tr in DbContext.realtime_trade_risk where tr.ValueDate == ValueDate && tr.VolType == "持仓" select tr;
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var posiQuery = from tr in DbContext.intraday_trade_position where tr.ValueDate == ValueDate select new { tr.TradeId, tr.Margin };
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var snowballQuery = DbContext.trade_snowball.AsNoTracking();
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var asianQuery = DbContext.trade_asian_option.AsNoTracking();
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var barrierQuery = DbContext.trade_barrier_option.AsNoTracking();
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var binaryOptionQuery = DbContext.trade_binary_option.AsNoTracking();
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var rainbowOptionQuery = DbContext.trade_rainbow_option.AsNoTracking();
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var spreadOptionQuery = DbContext.trade_spread_option.AsNoTracking();
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var doubleSharkfinOptionQuery = DbContext.trade_double_sharkfin_option.AsNoTracking();
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var rangeaccrualOptionQuery = DbContext.trade_rangeaccrual.AsNoTracking();
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var underlyingEnhanceOptionQuery = DbContext.trade_underlying_enhance.AsNoTracking();
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var airbagOptionQuery = DbContext.trade_airbag.AsNoTracking();
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var autocallOptionQuery = DbContext.trade_autocall.AsNoTracking();
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var query = from trade in DbContext.trade.Where(predicate)
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join assetbook in DbContext.assetunit on trade.AssetId equals assetbook.id
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join risk in riskQuery on trade.id equals risk.TradeId into risks
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from risk in risks.DefaultIfEmpty()
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join epos in DbContext.eod_trade_position on new { valueDate = ValueDate, id = trade.TraderId } equals new { valueDate = epos.ValueDate, id = epos.TradeId } into positions
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from epos in positions.DefaultIfEmpty()
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join posi in posiQuery on trade.id equals posi.TradeId into posis
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from posi in posis.DefaultIfEmpty()
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join asian in asianQuery on new { TradeId = trade.id, trade.TradeType } equals new { asian.TradeId, TradeType = "亚式期权" } into asian_t
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from asian in asian_t.DefaultIfEmpty()
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join barrier in barrierQuery on new { TradeId = trade.id, trade.TradeType } equals new { barrier.TradeId, TradeType = "障碍期权" } into barrier_t
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from barrier in barrier_t.DefaultIfEmpty()
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join snowball in snowballQuery on new { TradeId = trade.id, trade.TradeType } equals new { snowball.TradeId, TradeType = "雪球期权" } into snowball_t
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from snowball in snowball_t.DefaultIfEmpty()
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join binary in binaryOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { binary.TradeId, TradeType = "二元期权" } into binary_t
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from binary in binary_t.DefaultIfEmpty()
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join rainbow in rainbowOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { rainbow.TradeId, TradeType = "彩虹期权" } into rainbow_t
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from rainbow in rainbow_t.DefaultIfEmpty()
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join spread in spreadOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { spread.TradeId, TradeType = "价差期权" } into spread_t
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from spread in spread_t.DefaultIfEmpty()
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join doublesharkfin in doubleSharkfinOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { doublesharkfin.TradeId, TradeType = "双鲨期权" } into doublesharkfin_t
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from doublesharkfin in doublesharkfin_t.DefaultIfEmpty()
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join rangeaccrual in rangeaccrualOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { rangeaccrual.TradeId, TradeType = "区间累积期权" } into rangeaccrual_t
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from rangeaccrual in rangeaccrual_t.DefaultIfEmpty()
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join underlyingEnhance in underlyingEnhanceOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { underlyingEnhance.TradeId, TradeType = "收益增强结构" } into underlyingEnhance_t
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from underlyingEnhance in underlyingEnhance_t.DefaultIfEmpty()
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join airbag in airbagOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { airbag.TradeId, TradeType = "气囊结构" } into airbag_t
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from airbag in airbag_t.DefaultIfEmpty()
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join autocall in autocallOptionQuery on new { TradeId = trade.id, trade.TradeType } equals new { autocall.TradeId, TradeType = "凤凰期权" } into autocall_t
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from autocall in autocall_t.DefaultIfEmpty()
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orderby trade.id descending
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select new ClientPositionModel
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{
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ClientId = trade.ClientId,
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TradeNumber = trade.TradeNumber,
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UnderlyingCode = trade.UnderlyingCode,
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BuySell = trade.BuySell,//交易员角度提供数据
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RoundedPv = risk == null ? 0 : (double?)risk.RoundedPv.Value,
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RoundedPnl = risk == null ? 0 : (double?)risk.RoundedPositionPnl.Value,
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ExerciseDate = trade.ExerciseDate,
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InitialSpotPrice = trade.SpotPrice ?? 0,
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Strike = trade.Strike ?? 0,
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OriginalStockEqvNotional = trade.OriginalStockEqvNotional ?? 0,
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TradeAmount = trade.TradeAmount,
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TradeDate = trade.TradeDate,
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ExerciseMode = trade.ExerciseMode,
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CallPut = trade.OptionType,
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TradeType = trade.TradeType,
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StructureType = trade.StructureType,
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TradeOpenVolatility = trade.TradeOpenVolatility ?? 0,
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OriginalNotional = trade.OriginalNotional ?? 0,
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TradePrice = trade.TradePrice ?? 0,
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TradeSinglePrice = trade.TradeSinglePrice ?? 0,
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PosiSettlePrice = risk == null ? null : (double?)risk.UnderlyingPrice,
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Vol = risk.Vol ?? 0,
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Delta = risk.Delta ?? 0,
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Gamma = risk.Gamma ?? 0,
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Theta = risk.Theta ?? 0,
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Vega = risk.Vega ?? 0,
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Rho = risk.Rho ?? 0,
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Pv = risk.Pv ?? 0,
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Notional = trade.Notional,
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InstrumentType = trade.UnderlyingInstrumentType,
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TradeId = trade.id,
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ParticipationRate = trade.ParticipationRate ?? 1,
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PrincipalSum = (trade.OriginalPrincipalSum * trade.StockEqvNotional / trade.OriginalStockEqvNotional) ?? 0,
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AnnualizeFactor = trade.AnnualizeFactor ?? 1,
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AssetBookName = assetbook.Name,
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DeltaLots = 0,
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GammaLots = 0,
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CurrentPrice = 0,
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Comments = trade.Comments,
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TradeStatusProxy = trade.TradeStatus,
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TradeCloseVolatility = trade.TradeCloseVolatility ?? 0,
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ParentTradeId = trade.IsGroup == 2 ? trade.ParentTradeId : 0,
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//下面这行在数据库字段定义为bit null的情况下会报FormatException
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//IsUsePremiumRate = trade.IsUsePremiumRate ?? false,
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IsUsePremiumRate = trade.IsUsePremiumRate == true,
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IsUseTotalPremium = trade.IsTradePricePayType,
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IsMoneynessOption = trade.IsMoneynessOption == "是",
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AsianOption = asian,
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BarrierOption = barrier,
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SnowballOption = snowball,
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BinaryOption = binary,
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DoubleSharkfinOption = doublesharkfin,
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RangeaccrualOption = rangeaccrual,
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UnderlyingEnhanceOption = underlyingEnhance,
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AirbagOption = airbag,
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AutocallOption = autocall,
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Margin = posi != null ? (double?)posi.Margin : default,
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KeepMargin = epos != null ? epos.Margin : default,
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InitMargin = trade.InitialMargin ?? 0
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};
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return query;
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}
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/// <summary>
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/// 创建客户日终持仓查询语句
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/// </summary>
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/// <param name="clientId">客户ID，为0表示所有客户</param>
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private IQueryable<ClientPositionModel> CreateEodPositionQuery(ClientPositionQueryModel queryModel)
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{
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var clientId = queryModel.ClientId;
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var clientNumber = queryModel.ClientNumber.TrimToNull();
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var tradeStatus = queryModel.TradeStatus;
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if (clientId < 1 && !string.IsNullOrEmpty(clientNumber))
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{
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var cid = DataCacheProvider.GetClientDataSource().AsQueryable()
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.Where(n => clientNumber.Equals(n.Number, StringComparison.OrdinalIgnoreCase))
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.Select(n => (int?)n.id).FirstOrDefault();
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if (!cid.HasValue)
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{
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return Array.Empty<ClientPositionModel>().AsQueryable();
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}
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clientId = cid.Value;
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}
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var valueDate = queryModel.ValueDate.Value;
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var predicate = PredicateBuilder.Create<trade>(n => n.ClientId > 0
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&& n.ValidState != ConsGlobal.InValid && (n.TradeType != "结构化交易" || n.IsGroup == 1));
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if (clientId > 0)
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{
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predicate = PredicateBuilder.Create<trade>(n => n.ClientId == clientId).And(predicate);
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}
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var riskQuery = DbContext.eod_trade_risk.Where(tr => tr.ValueDate == valueDate);
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var posiQuery = DbContext.eod_trade_position.Where(tr => tr.ValueDate == valueDate);
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var query = from et in DbContext.eod_trade
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join trade in DbContext.trade.Where(predicate) on et.TradeId equals trade.id
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join assetbook in DbContext.assetunit on trade.AssetId equals assetbook.id
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join risk in riskQuery on trade.id equals risk.TradeId into risks
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from risk in risks.DefaultIfEmpty()
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join posi in posiQuery on trade.id equals posi.TradeId into posis
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from posi in posis.DefaultIfEmpty()
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where et.ValueDate == valueDate
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orderby trade.id descending
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select new ClientPositionModelEod
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{
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ClientId = trade.ClientId,
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TradeNumber = trade.TradeNumber,
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UnderlyingCode = trade.UnderlyingCode,
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BuySell = trade.BuySell,//交易员角度提供数据
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RoundedPv = posi.RoundedPv,
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RoundedPnl = posi.RoundedPositionPnL,
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ExerciseDate = trade.ExerciseDate,
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InitialSpotPrice = trade.SpotPrice ?? 0,
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Strike = trade.Strike ?? 0,
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OriginalStockEqvNotional = trade.OriginalStockEqvNotional ?? 0,
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TradeAmount = posi != null ? posi.Amount : trade.TradeAmount,
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Notional = posi != null ? posi.Amount : trade.Notional,
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TradeDate = trade.TradeDate,
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ExerciseMode = trade.ExerciseMode,
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CallPut = trade.OptionType,
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TradeType = trade.TradeType,
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StructureType = trade.StructureType,
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TradeOpenVolatility = trade.TradeOpenVolatility ?? 0,
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OriginalNotional = trade.OriginalNotional ?? 0,
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TradePrice = trade.TradePrice ?? 0,
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TradeSinglePrice = trade.TradeSinglePrice ?? 0,
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InstrumentType = trade.UnderlyingInstrumentType,
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PosiSettlePrice = posi.UnderlyingPrice,
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Vol = risk.Vol,
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Delta = risk.Delta,
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Gamma = risk.Gamma,
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Theta = risk.Theta,
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Vega = risk.Vega,
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Rho = risk.Rho,
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Pv = risk.Pv,
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TradeId = trade.id,
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ParticipationRate = trade.ParticipationRate ?? 1,
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PrincipalSum = (trade.OriginalPrincipalSum * trade.StockEqvNotional / trade.OriginalStockEqvNotional) ?? 0,
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AnnualizeFactor = trade.AnnualizeFactor ?? 1,
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AssetBookName = assetbook.Name,
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DeltaLots = 0,
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GammaLots = 0,
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CurrentPrice = 0,
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Comments = trade.Comments,
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TradeStatusProxy = trade.TradeStatus,
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TradeCloseVolatility = trade.TradeCloseVolatility ?? 0,
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ParentTradeId = trade.IsGroup == 2 ? trade.ParentTradeId : 0,
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//下面这行在数据库字段定义为bit null的情况下会报FormatException
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//IsUsePremiumRate = trade.IsUsePremiumRate ?? false,
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IsUsePremiumRate = trade.IsUsePremiumRate == true,
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IsUseTotalPremium = trade.IsTradePricePayType,
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IsMoneynessOption = trade.IsMoneynessOption == "是",
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Margin = posi.Margin,
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InitMargin = trade.InitialMargin ?? 0,
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TradeJson = et.TradeJson
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};
|
|
|
|
return query;
|
|
}
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
private void ProcessClientPositionModel(ApiVersion apiVersion, IEnumerable<ClientPositionModel> clientPositionModels, DateTime valueDate, bool isEodPosition)
|
|
{
|
|
(string tradeType, Action<ClientPositionModel> setNull)[] setNullArr = null;
|
|
|
|
var eodPriceProvider = new Lazy<EodPriceProvider>(() => new EodPriceProvider(valueDate));
|
|
|
|
foreach (var item in clientPositionModels)
|
|
{
|
|
var um = UnderlyingDataProvider.GetUnderlying(item.UnderlyingCode);
|
|
|
|
if (um != null)
|
|
{
|
|
if (item.UnderlyingPrice == null)
|
|
{
|
|
item.UnderlyingPrice = um.Price ?? 0;
|
|
}
|
|
|
|
item.UnderlyingName = um.UnderlyingName;
|
|
|
|
//成交数量
|
|
item.TradeOriginalAmount = item.OriginalNotional / um.CountRatio;
|
|
|
|
if (um.IsSynthetic())
|
|
{
|
|
var synthetic = UnderlyingDataProvider.GetSyntheticUnderlying(um.UnderlyingCode);
|
|
if (synthetic != null)
|
|
{
|
|
item.Synthetic = synthetic.GetSyntheticPriceModel();
|
|
}
|
|
}
|
|
}
|
|
else
|
|
{
|
|
item.TradeOriginalAmount = item.OriginalNotional;
|
|
}
|
|
|
|
if (apiVersion < ApiVersion.v3)
|
|
{
|
|
item.RoundedPv = -item.RoundedPv;
|
|
item.RoundedPnl = -item.RoundedPnl;
|
|
|
|
var pv = PS.Config.IsPVRounded ? item.RoundedPv : item.Pv;
|
|
|
|
//传入的pv是客户角度但是TradeHelper.GetTradeSinglePriceByTradePrice用的是交易员角度所以需要pv再取反
|
|
//RoundedPv用的是客户方向，pv用的是交易员方向，所以CurrentPrice的方向受到了IsPVRounded配置影响，这其实是个bug，但是国君希望原来的数据逻辑不动，所以保留
|
|
item.CurrentPrice = TradeHelper.GetTradeSinglePriceByTradePrice(-pv, item.Notional, !PS.Config.ErpElement.IsPVIncludePrincipal ? 0 : item.PrincipalSum, item.BuySell, item.TradeType, false);
|
|
}
|
|
else
|
|
{
|
|
var pv = PS.Config.IsPVRounded ? item.RoundedPv : item.Pv;
|
|
item.CurrentPrice = TradeHelper.GetTradeSinglePriceByTradePrice(pv, item.Notional, !PS.Config.ErpElement.IsPVIncludePrincipal ? 0 : item.PrincipalSum, item.BuySell, item.TradeType, false);
|
|
}
|
|
|
|
//delta手数&gamma手数
|
|
if (item.Delta == null || double.IsNaN(item.Delta.Value))
|
|
{
|
|
item.Delta = 0;
|
|
}
|
|
|
|
if (item.Gamma == null || double.IsNaN(item.Gamma.Value))
|
|
{
|
|
item.Gamma = 0;
|
|
}
|
|
|
|
var contractSize = um?.ContractSize ?? (ConsGlobal.InstrumentType.IsStock(item.InstrumentType) ? 100 : 1);
|
|
item.DeltaLots = item.Delta.Value / contractSize;
|
|
item.GammaLots = item.Gamma.Value / contractSize;
|
|
|
|
item.ClientNumber = DataCacheProvider.GetClientDataSource().GetData(item.ClientId)?.Number;
|
|
|
|
if (isEodPosition)
|
|
{
|
|
var eodPosi = (ClientPositionModelEod)item;
|
|
var td = TradeHelper2.Deserialize(eodPosi.TradeJson);
|
|
if (td != null)
|
|
{
|
|
item.AsianOption = td.trade_asian_option;
|
|
item.BarrierOption = td.trade_barrier_option;
|
|
item.SnowballOption = td.trade_snowball;
|
|
item.BinaryOption = td.trade_binary_option;
|
|
item.DoubleSharkfinOption = td.trade_double_sharkfin_option;
|
|
item.RangeaccrualOption = td.trade_rangeaccrual;
|
|
item.UnderlyingEnhanceOption = td.trade_underlying_enhance;
|
|
item.AirbagOption = td.trade_airbag;
|
|
item.AutocallOption = td.trade_autocall;
|
|
item.AccumulatorOption = td.trade_accumulator_option;
|
|
item.Forward = td.trade_forward;
|
|
item.Swap = td.trade_swap;
|
|
item.CashFlow = td.trade_cashflow;
|
|
item.CustomOption = td.trade_custom;
|
|
}
|
|
|
|
item.UnderlyingPrice = eodPriceProvider.Value.GetPrice(item.UnderlyingCode, td?.SettlementType ?? SettlementTypeEnum.ClosePrice);
|
|
|
|
if (item.Synthetic?.SuList != null)
|
|
{
|
|
foreach (var su in item.Synthetic.SuList)
|
|
{
|
|
su.Price = eodPriceProvider.Value.GetPrice(su.UnderlyingCode, td?.SettlementType ?? SettlementTypeEnum.ClosePrice);
|
|
}
|
|
|
|
item.Synthetic.Price = item.Synthetic.SuList.Sum(n => n.Coefficient * n.Price) + item.Synthetic.Constant;
|
|
}
|
|
|
|
if (um != null)
|
|
{
|
|
item.TradeAmount = item.Notional / um.CountRatio;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (item.TradeStatus >= EnumTradeStatus.closed)
|
|
{
|
|
item.CurrentPrice = 0;
|
|
item.Pv = item.RoundedPv = item.RoundedPnl = 0;
|
|
item.Delta = item.Gamma = 0;
|
|
item.DeltaLots = item.GammaLots = 0;
|
|
item.TradeAmount = item.Notional = 0;
|
|
}
|
|
|
|
if (item.Synthetic?.SuList != null)
|
|
{
|
|
foreach (var su in item.Synthetic.SuList)
|
|
{
|
|
su.Price = UnderlyingDataProvider.GetUnderlying(su.UnderlyingCode)?.Price ?? 0;
|
|
}
|
|
|
|
item.Synthetic.Price = item.Synthetic.SuList.Sum(n => n.Coefficient * n.Price) + item.Synthetic.Constant;
|
|
}
|
|
}
|
|
|
|
if (item.UnderlyingPrice == null)
|
|
{
|
|
item.UnderlyingPrice = 0;
|
|
}
|
|
|
|
if (item.PosiSettlePrice == null)
|
|
{
|
|
item.PosiSettlePrice = item.UnderlyingPrice;
|
|
}
|
|
|
|
setNullValues(item);
|
|
}
|
|
|
|
void setNullValues(ClientPositionModel model)
|
|
{
|
|
if (setNullArr == null)
|
|
{
|
|
setNullArr = new (string tradeType, Action<ClientPositionModel> setNull)[] {
|
|
("亚式期权", m=> m.AsianOption = null ),
|
|
("障碍期权", m=> m.BarrierOption = null),
|
|
("二元期权", m=> m.BinaryOption = null ),
|
|
("双鲨期权", m=> m.DoubleSharkfinOption = null ),
|
|
("雪球期权", m=> m.SnowballOption = null ),
|
|
("凤凰期权", m=> m.AutocallOption = null ),
|
|
("累计期权", m=> m.AccumulatorOption = null ),
|
|
("区间累积期权", m=> m.RangeaccrualOption = null ),
|
|
("收益增强结构", m=> m.UnderlyingEnhanceOption = null ),
|
|
("气囊结构", m=> m.AirbagOption = null ),
|
|
("远期", m=> m.Forward = null ),
|
|
("收益互换", m=> m.Swap = null ),
|
|
("现金流", m=> m.CashFlow = null ),
|
|
("自定义交易", m=> m.CustomOption = null ),
|
|
};
|
|
}
|
|
|
|
foreach (var item in setNullArr)
|
|
{
|
|
if (model.TradeType == "结构化交易")
|
|
{
|
|
if (item.tradeType != model.StructureType)
|
|
{
|
|
item.setNull(model);
|
|
}
|
|
}
|
|
else if (item.tradeType != model.TradeType)
|
|
{
|
|
item.setNull(model);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
private void LoadTradeExtend(IEnumerable<ClientPositionModel> clientPositionModels)
|
|
{
|
|
var forwardTradeIds = clientPositionModels.Where(b => b.TradeType == "远期").Select(b => b.TradeId).ToList();
|
|
var forwardOptions = DbContext.trade_forward.Where(b => forwardTradeIds.Contains(b.TradeId))?.ToDictionary(b => b.TradeId, b => b);
|
|
|
|
var swapTradeIds = clientPositionModels.Where(b => b.TradeType == "收益互换").Select(b => b.TradeId).ToList();
|
|
var swapOptions = DbContext.trade_swap.Where(b => swapTradeIds.Contains(b.TradeId))?.ToDictionary(b => b.TradeId, b => b);
|
|
|
|
var cashTradeIds = clientPositionModels.Where(b => b.TradeType == "现金流交易").Select(b => b.TradeId).ToList();
|
|
var cashOptions = DbContext.trade_cashflow.Where(b => swapTradeIds.Contains(b.TradeId))?.ToDictionary(b => b.TradeId, b => b);
|
|
|
|
var accumulatorTradeIds = clientPositionModels.Where(b => b.TradeType == "累计期权").Select(b => b.TradeId).ToList();
|
|
var accumulatorOptions = DbContext.trade_accumulator_option.Where(b => swapTradeIds.Contains(b.TradeId))?.ToDictionary(b => b.TradeId, b => b);
|
|
|
|
var customTradeIds = clientPositionModels.Where(b => b.TradeType == "自定义交易").Select(b => b.TradeId).ToList();
|
|
var customOptions = DbContext.trade_custom.Where(b => swapTradeIds.Contains(b.TradeId))?.ToDictionary(b => b.TradeId, b => b);
|
|
|
|
foreach (var model in clientPositionModels)
|
|
{
|
|
switch (model.TradeType)
|
|
{
|
|
case "远期":
|
|
if (forwardOptions != null && forwardOptions.TryGetValue(model.TradeId, out var forward))
|
|
{
|
|
model.Forward = forward;
|
|
}
|
|
break;
|
|
case "收益互换":
|
|
if (swapOptions != null && swapOptions.TryGetValue(model.TradeId, out var swap))
|
|
{
|
|
model.Swap = swap;
|
|
}
|
|
break;
|
|
case "现金流交易":
|
|
if (cashOptions != null && cashOptions.TryGetValue(model.TradeId, out var cash))
|
|
{
|
|
model.CashFlow = cash;
|
|
}
|
|
break;
|
|
case "累计期权":
|
|
if (accumulatorOptions != null && accumulatorOptions.TryGetValue(model.TradeId, out var accumulator))
|
|
{
|
|
model.AccumulatorOption = accumulator;
|
|
}
|
|
break;
|
|
case "自定义交易":
|
|
if (customOptions != null && customOptions.TryGetValue(model.TradeId, out var custom))
|
|
{
|
|
model.CustomOption = custom;
|
|
}
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
|
|
private void LoadTradeMeta(IEnumerable<ClientPositionModel> clientPositionModels)
|
|
{
|
|
var tradeIds = clientPositionModels.Select(b => b.TradeId).ToList();
|
|
|
|
var metaDics = DbContext.TradeMeta.Where(b => tradeIds.Contains(b.TradeId))
|
|
.Select(n => new { n.TradeId, n.MetaKey, n.MetaValue })
|
|
.ToArray().GroupBy(n => n.TradeId)
|
|
.ToDictionary(n => n.Key, n => n.ToDictionary(m => m.MetaKey, m => m.MetaValue));
|
|
|
|
foreach (var posi in clientPositionModels)
|
|
{
|
|
if (metaDics.TryGetValue(posi.TradeId, out var mdic))
|
|
{
|
|
posi.MetaDic = mdic;
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// v3全部统一成交易员方向，原来的v1和v2既有交易员方向也有客户方向，太烧脑
|
|
/// </summary>
|
|
enum ApiVersion { v1, v2, v3 }
|
|
|
|
class TradeCashData
|
|
{
|
|
public int tradeId { get; set; }
|
|
|
|
public double UnwindNotional { get; set; }
|
|
|
|
public double UnwindAmount { get; set; }
|
|
|
|
public double FinalPrice { get; set; }
|
|
|
|
public DateTime UnwindDate { get; set; }
|
|
}
|
|
|
|
class ClientPositionModelEod : ClientPositionModel
|
|
{
|
|
internal string TradeJson { get; set; }
|
|
}
|
|
}
|
|
}
|