277 lines
12 KiB
C#
277 lines
12 KiB
C#
using System.Linq.Expressions;
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using YLErp.Helpers;
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using YLErp.Model;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.SwapModule;
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using YLErp.Modules.TradeModule;
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using YLErp.Modules.TradeModule.DealModule;
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using YLErp.Modules.TradeModule.ExoticOptionModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.EodModule.SettlementModule
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{
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/// <summary>
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/// 检查障碍期权、美式二元等待观察的期权交易状态 并同步日终快照信息
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/// </summary>
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class EodCheckMonitoredTrade : EodSettleServiceBaseV2
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{
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public const string Step = "检查期权观察状态";
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private static IYcLogger logger = LogFactory.GetLogger<EodCheckMonitoredTrade>();
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readonly IEnumerable<trade> _trades;
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public EodCheckMonitoredTrade(EodSettlementContextV2 context) : base(context)
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{
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if (_context is EodSettlementContextV2 contextV2)
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{
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_trades = contextV2.OtcTrades;
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}
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}
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private Action<OtcTrade, T> getAfterKnowInOut<T>(Expression<Func<trade, T>> propExp)
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{
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if (_trades == null) return null;
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var valueParam = Expression.Parameter(typeof(T));
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var assign = Expression.Lambda<Action<trade, T>>(
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Expression.Assign(propExp.Body, valueParam), propExp.Parameters.Single(), valueParam).Compile();
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return new Action<OtcTrade, T>((td, tdex) =>
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{
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if (td != null && tdex != null)
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{
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var otd = _trades.FirstOrDefault(t => t.id == td.id);
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if (otd != null)
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{
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assign(otd, tdex);
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otd.MetaDic.Remove("from_eod_trade");
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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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/// 检查障碍期权、美式二元等待观察的期权交易状态 并同步日终快照信息
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/// </summary>
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public void ExecuteTask1(Action<string> setTaskStep)
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{
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var blReset = false;
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var settleDate = _context.SettleDate;
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var clienIds = _context.Request.ClientIds;
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var eodPriceProvider = _context.GetEodPriceProvider();
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//设置障碍期权敲入敲出
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setTaskStep?.Invoke("设置障碍期权敲入敲出");
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new BarrierOptionKnockioService(OptUser).SetKnockInOut(settleDate, eodPriceProvider, _context.StartDate
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, getAfterKnowInOut(t => t.trade_barrier_option),clienIds);
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//检查美式二元期权状态
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setTaskStep?.Invoke("检查美式二元期权状态");
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new BinaryOptionDealService(OptUser).CheckTouchStatus(settleDate, eodPriceProvider, _context.StartDate
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, getAfterKnowInOut(t => t.trade_binary_option), clienIds);
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//检查双鲨期权
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setTaskStep?.Invoke("检查双鲨期权");
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new DoubleSharkOptionKnockoutService(OptUser).CheckKnockoutStatus(settleDate, eodPriceProvider, _context.StartDate
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, getAfterKnowInOut(t => t.trade_double_sharkfin_option), clienIds);
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//检查区间累积期权
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setTaskStep?.Invoke("检查区间累积期权");
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new TradeRangeAccrualService(OptUser).CheckStatus(settleDate, eodPriceProvider, _context.StartDate
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, getAfterKnowInOut(t => t.trade_rangeaccrual), clienIds);
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//检查气囊结构
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setTaskStep?.Invoke("检查气囊结构");
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new TradeAirbagService(OptUser).SetKnockIn(settleDate, eodPriceProvider, _context.StartDate
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, getAfterKnowInOut(t => t.trade_airbag), clienIds);
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//检查互换结算日资金处理
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setTaskStep?.Invoke("检查互换结算日处理");
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new TradeSwapService(OptUser).HandleSwapTradeCashPre(settleDate, clienIds);
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//检查累计期权
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setTaskStep?.Invoke("检查累计期权");
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new TradeModule.AccumulatorOptionModule.TradeAccumulatorService(OptUser).CheckSettleStatus(settleDate, eodPriceProvider, out var tdForwadList, _context.StartDate, (td, tdAcc) =>
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{
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blReset = ConsTrade.TradeCompleteStatus.Contains(td.TradeStatus);
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}, clienIds);
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if (blReset)
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{
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_context.InitOtcTrades();
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}
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else if (tdForwadList != null && tdForwadList.Any())
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{
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_context.OtcTrades.AddRange(tdForwadList);
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}
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}
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/// <summary>
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/// 检查障碍期权、美式二元等待观察的期权交易状态 并同步日终快照信息
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/// </summary>
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public void ExecuteTask2(Action<string> setTaskStep)
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{
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var settleDate = _context.SettleDate;
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var eodPriceProvider = _context.GetEodPriceProvider();
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var clienIds = _context.Request.ClientIds;
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//检查凤凰期权
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setTaskStep?.Invoke("检查凤凰期权");
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new TradeAutocallBLL(OptUser).CheckStatus(settleDate, eodPriceProvider, _context.StartDate
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, getAfterKnowInOut(t => t.trade_autocall), clienIds);
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//检查雪球期权
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setTaskStep?.Invoke("检查雪球期权");
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new TradeSnowballBLL(OptUser).CheckStatus(settleDate, eodPriceProvider, _context.StartDate
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, getAfterKnowInOut(t => t.trade_snowball), clienIds);
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}
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/// <summary>
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/// 自动定期计算互换收益
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/// </summary>
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/// <param name="setTaskStep"></param>
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public void ExecuteBalanceSwapProfit(Action<string> setTaskStep)
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{
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setTaskStep?.Invoke("定期结算互换收益");
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var settleDate = _context.SettleDate;
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var clientIds=_context.Request.ClientIds;
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new EodSwapSettleService(OptUser).BalanceSwapTrade(settleDate, clientIds);
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}
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/// <summary>
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/// 自动归档收益互换
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/// </summary>
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/// <param name="setTaskStep"></param>
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public void ExecuteEodSwapPosition(Action<string> setTaskStep)
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{
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setTaskStep?.Invoke("定期归档收益互换");
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var settleDate = _context.SettleDate;
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var clientIds = _context.Request.ClientIds;
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var nextSettleDate = QdpCalendarHelper.GetNonHoliday(settleDate.AddDays(1));
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var days = (nextSettleDate - settleDate).Days;
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logger.Info("settleDate:" + settleDate.ToString("yyyy-MM-dd") + " nextSettleDate:" + nextSettleDate + " days:" + days);
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for (var i = 0; i < days; i++)
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{
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var yesterday = settleDate.AddDays(i - 1);
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var today = settleDate.AddDays(i);
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new SwapEodPositionService(OptUser).SwapPositionCompose(today, yesterday, clientIds);
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CalculateMargin(today, yesterday, clientIds);
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new SwapEodPositionService(OptUser).SwapEodCompose(today, yesterday, clientIds);
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}
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}
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/// <summary>
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/// 计算互换预付金（保证金模板V2 引擎，本端闭环）。
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/// 2026-08-26 收口：原实现 HTTP 调 bond-oms /marginAlgorithm/triggerMarginCalc——Java 按 marginrate
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/// （旧预付金率维护数据）对在市互换算盯市并清写当天 trade_span/client_span；现改为直接跑本端预付金引擎
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/// EodWorstClientPayableCalc（模板V2 三级层解析：无预付金=0、区间追保结构 x/y 或方案B收盘落档，
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/// 产出 trade_span.Spv 并聚合 client_span），保证金计算→追加预付金生成闭环全部在 .NET。
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/// 交易范围与原 Java selectPreCloseTradeList 同口径：在市收益互换（确认成交未到期 + 平仓日落在区间），
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/// 剔除多空组合子交易（引擎本身跳过）；"日终持仓结算"步骤随后会对确认成交全集幂等重算覆盖。
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/// Java 侧自此仅保留资金通知书邮件与 DMA 实时预付金（RealtimePnlCalc.CalcDMAMargin，迁移方案阶段三待切项）。
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/// preSettleDate 参数保留以维持调用签名，引擎取数按 settleDate 自行解析。
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/// </summary>
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/// <returns></returns>
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public bool CalculateMargin(DateTime settleDate, DateTime preSettleDate, IEnumerable<int> ClientIds)
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{
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var clientIds = ClientIds?.Where(x => x > 0).Distinct().ToList();
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List<trade> tradeList;
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using (var db = new YLErp.BLL.YLContext())
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{
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var query = db.trade.Where(t => t.TradeType == "收益互换"
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&& t.ValidState != YLErp.ConsGlobal.InValid
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&& t.ParentTradeId == 0
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&& ((t.TradeStatus == YLErp.DBModels.ConsTrade.确认成交 && t.TradeDate <= settleDate && t.ExerciseDate >= settleDate)
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|| (t.TradeStatus == YLErp.DBModels.ConsTrade.已平仓 && t.TradeDate <= settleDate
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&& t.UnWindDate > settleDate && t.UnWindDate > t.StartDate)));
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if (clientIds != null && clientIds.Count > 0)
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{
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var idScope = clientIds;
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query = query.Where(t => idScope.Contains(t.ClientId));
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}
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tradeList = query.ToList();
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}
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new EodWorstClientPayableCalc(_context).WorstClientPayableCalc(tradeList);
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return true;
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}
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}
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/// <summary>
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/// 检查障碍期权、美式二元等待观察的期权交易状态 并同步日终快照信息
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/// </summary>
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public class EodCheckMonitoredTradeSingle
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{
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public const string Step = "检查期权观察状态";
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OptUserInfo user;
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public EodCheckMonitoredTradeSingle(OptUserInfo opt)
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{
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user = opt;
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}
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/// <summary>
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/// 检查障碍期权、美式二元等待观察的期权交易状态 并同步日终快照信息
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/// </summary>
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public void ExecuteTask(DateTime StartDate, List<int> ClientIds)
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{
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var blReset = false;
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var settleDate = StartDate;
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var clienIds = ClientIds;
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var eodPriceProvider = new EodPriceProvider(settleDate);
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//设置障碍期权敲入敲出
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new BarrierOptionKnockioService(user).SetKnockInOut(settleDate, eodPriceProvider, null
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, null, clienIds);
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//检查美式二元期权状态
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new BinaryOptionDealService(user).CheckTouchStatus(settleDate, eodPriceProvider, null
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, null, clienIds);
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//检查双鲨期权
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new DoubleSharkOptionKnockoutService(user).CheckKnockoutStatus(settleDate, eodPriceProvider, null
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, null, clienIds);
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//检查区间累积期权
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new TradeRangeAccrualService(user).CheckStatus(settleDate, eodPriceProvider, null
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, null, clienIds);
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//检查气囊结构
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new TradeAirbagService(user).SetKnockIn(settleDate, eodPriceProvider, null
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, null, clienIds);
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//检查互换结算日资金处理
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new TradeSwapService(user).HandleSwapTradeCashPre(settleDate, clienIds);
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//检查累计期权
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new TradeModule.AccumulatorOptionModule.TradeAccumulatorService(user).CheckSettleStatus(settleDate, eodPriceProvider, out var tdForwadList, null, (td, tdAcc) =>
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{
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blReset = ConsTrade.TradeCompleteStatus.Contains(td.TradeStatus);
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}, clienIds);
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//检查凤凰期权
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new TradeAutocallBLL(user).CheckStatus(settleDate, eodPriceProvider, null
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, null, clienIds);
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//检查雪球期权
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new TradeSnowballBLL(user).CheckStatus(settleDate, eodPriceProvider, null
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, null, clienIds);
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}
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}
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}
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