351 lines
9.6 KiB
C#
351 lines
9.6 KiB
C#
using YLErp.Commons;
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using YLErp.DBModels.Helpers;
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using YLErp.Helpers;
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namespace YLErp.Model
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{
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public class EodPositionModelBase
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{
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private string _tradeJson;
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public int? ClientId { get; set; }
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public DateTime? ValueDate { get; set; }
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public string UnderlyingCode { get; set; }
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public string UnderlyingAssetName => trade?.UnderlyingAssetName;
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public int TradeId { get; set; }
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public string TradeType { get; set; }
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public string TradeNumber { get; set; }
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public string TradeContractCode { get; set; }
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public double? UnderlyingPrice { get; set; }
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public string BasisUnderlyingCode { get; set; }
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public string BasisUnderlyingName { get; set; }
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public double? BasisGap { get; set; }
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public double? Lots { get; set; }
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/// <summary>
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/// 交易预付金
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/// </summary>
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public double? Margin { get; set; }
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/// <summary>
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/// 持仓实现金额（目前指持仓时的票息和互换金额）
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/// </summary>
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public double? PositionRelizedAmount { get; set; }
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/// <summary>
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/// 报价单位
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/// </summary>
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public string QuoteUnitSingle { get; set; }
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/// <summary>
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/// 交易所代码
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/// </summary>
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public string MarketCode { get; set; }
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//---------------------------------------------
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internal string TradeJson
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{
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get => _tradeJson;
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set
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{
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_tradeJson = value;
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_trade = null;
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}
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}
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internal trade tradeOrigin { get; set; }
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trade _trade;
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public trade trade
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{
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get
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{
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if (_trade != null)
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{
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return _trade.IsDefault() ? null : _trade;
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}
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//优先从TradeJson取数据;
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if (!string.IsNullOrEmpty(TradeJson))
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{
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try
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{
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return _trade = TradeHelper2.Deserialize(TradeJson);
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}
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catch (Exception e)
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{
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LogFactory.GetLogger<eod_position>().Error("EodTrade Trade", e);
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}
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}
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if (tradeOrigin != null)
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{
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return _trade = tradeOrigin;
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}
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_trade = trade.Default;
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return null;
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}
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}
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public string ExerciseMode => trade?.ExerciseMode;
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public string OptionType => trade?.OptionType;
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public bool? IsUsePremiumRate => trade?.IsUsePremiumRate;
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public double? PremiumRate => trade?.PremiumRate;
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public double? SpotPrice => trade?.SpotPrice;
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public double? Strike => trade?.Strike;
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public string StrikeToShow => trade?.StrikeToShow;
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public string IsMoneynessOption => trade?.IsMoneynessOption;
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/// <summary>
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/// 从客户角度看，方向转换
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/// </summary>
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public string BuySell => trade != null ? trade.BuySell == "买入" ? "卖出" : "买入" : null;
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private Dictionary<string, string> _dic;
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public Dictionary<string, string> dic
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{
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get => _dic ?? (_dic = new Dictionary<string, string>());
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set => _dic = value;
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}
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//---------------------------------------------
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public override string ToString()
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{
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return $"{TradeNumber}--{TradeType}--{TradeId}--{ClientId}";
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}
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}
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public class eod_position : EodPositionModelBase
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{
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/// <summary>
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/// 加密TradeId
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/// </summary>
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public string EncryptTradeId => DataProtectHelper.Encrypt(TradeId);
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public DateTime? TradeDate { get; set; }
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public DateTime? ExerciseDate { get; set; }
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public string ClientName { get; set; }
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public double AnnualizeFactor { get; set; }
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public double ParticipationRate { get; set; }
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public double PrincipalRate { get; set; }
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public double NoRiskRate { get; set; }
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/// <summary>
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/// 双向预付金
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/// </summary>
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public int? MarginOptionType { get; set; }
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public double? ExercisePrice => trade?.Strike;
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public double? Notional => trade != null ? trade.Notional : (double?)null;
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public double? TradeAmount => trade?.TradeAmount;
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public double? TradePrice
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{
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get
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{
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if (trade == null)
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{
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return null;
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}
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else if (trade.TradeType == "远期")
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{
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return trade.TradePrice * -1;//结算报告：资金明细。远期交易总额为客户付出的开仓费用。
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}
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else
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{
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return trade.TradePrice * ("卖出".Equals(trade.BuySell) ? -1 : 1);
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}
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}
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}
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public double? CurrentPrice
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{
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get
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{
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if (trade == null)
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{
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return null;
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}
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//RoundedPv是客户方向，先反向取交易员方向，再算出单价再加负号变成客户方向
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var tradeSinglePrice = -TradeHelper.GetTradeSinglePriceByTradePrice(-(YLErp.PS.Config.IsPVRounded ? RoundedPv : Pv), trade.Notional, PS.Config.ErpElement.IsPVIncludePrincipal ? trade.PrincipalSum() : 0, trade.BuySell, trade.TradeType, false);
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return tradeSinglePrice;
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}
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}
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public double? Pv { get; set; }
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public double? RoundedPv { get; set; }
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public double? Pnl { get; set; }
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public double? RoundedPnl { get; set; }
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public double? PvDouble { get; set; }
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public double? RoundedPvDouble { get; set; }
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public double? PnlDouble { get; set; }
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public double? RoundedPnlDouble { get; set; }
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//数据如果不对就解决不要依靠其他数据合成
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public double? StockEqvNotional => trade == null ? null : trade.StockEqvNotional / trade.OriginalStockEqvNotional * trade.OriginalStockEqvNotionalV2;
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//数据如果不对就解决不要依靠其他数据合成
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public double? OriginalStockEqvNotional => trade?.OriginalStockEqvNotionalV2;
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public double? InitialSpotPrice => trade?.SpotPrice ?? 0;
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public double? Strike => trade != null ? trade.IsMoneynessOptionData ? trade.Strike * trade.SpotPrice : trade.Strike : null;
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public double? TradeSinglePrice => trade?.TradeSinglePrice ?? 0;
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public string CallPut => trade?.OptionType;
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public string TradeMultipleType => trade?.TradeMultipleType;
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public double? TradeOriginalAmount => trade != null ?
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CountRatio > 0 ? trade.OriginalNotional / CountRatio : trade.OriginalNotional : null;
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public string SyntheticUnderlyingTipsInfo { get; set; }
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/// <summary>
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/// 持仓波动率
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/// </summary>
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public double? Vol { get; set; }
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/// <summary>
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/// 开仓波动率
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/// </summary>
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public double? TradeOpenVolatility => trade?.TradeOpenVolatility;
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public double? Delta { get; set; }
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public double? Gamma { get; set; }
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public double? Theta { get; set; }
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public double? Vega { get; set; }
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public double? Rho { get; set; }
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public double? GammaCash { get; set; }
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public string InstrumentType { get; set; }
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/// <summary>
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/// 合约乘数
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/// </summary>
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public double ContractSize { get; set; } = 1;
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/// <summary>
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/// 乘积因子
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/// </summary>
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public int CountRatio { get; set; }
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public string BBGTicker { get; set; }
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/// <summary>
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/// 客户端使用这个属性取TradeUnitValue
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/// </summary>
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public Variety2 Variety { get; set; }
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/// <summary>
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/// 是否为分组交易
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/// </summary>
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public int IsGroup { get; set; }
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/// <summary>
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/// 客户预付金最大亏损
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/// </summary>
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public double? MaxlossMargin { get; set; }
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/// <summary>
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/// 客户预付金最大亏损
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/// </summary>
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public double? ChangeMargin { get; set; }
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/// <summary>
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/// 结算标识（0：正常结算，1：延期结算）
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/// </summary>
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public int SettlementFlag { get; set; }
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public string SettlementFlagStr
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{
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get
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{
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return SettlementFlag == 1 ? "是" : "否";
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}
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}
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internal SettlementTypeEnum SettlementType { get; set; }
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/// <summary>
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/// 宏源 A/B团队
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/// </summary>
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public string UserGroup { get; set; }
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public string UserGroupStr
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{
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get
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{
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if (!string.IsNullOrWhiteSpace(UserGroup) && PS.Config.Is宏源)
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{
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return UserGroup == "A" ? "A团队" : "B团队";
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}
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else
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{
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return null;
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}
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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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/// 客户端取TradeUnitValue
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/// </summary>
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public class Variety2
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{
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private double tradeUnitValue = 1;
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/// <summary>
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/// 合约乘数
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/// </summary>
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public double TradeUnitValue
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{
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get => tradeUnitValue;
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set => tradeUnitValue = value < 1 ? 1 : value;
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}
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} |