hjhan
03629a6dcd
- EOD追保生成主流程：入口汇总/六处跳过原因/决策中间量（维持·已缴·目标·已补足·增量）/建腿落库/幂等清理/收尾汇总，顶层异常Error留栈 - 预付金模板取数：三级层级命中来源（交易绑定/客户默认/全局默认）+明细行命中（品种·期限档·x/y），null返回各留一句 - 规则15引擎：成功路径补收盘价→维持保证金，与既有无价格告警闭环 - EOD/实时客户资金：每客户一行维度分流结果（MarginWatchRule·可用资金·追保金额·可取资金及全部输入） - 预付金缺口查询：非规则15剔除数与按客户追加合计；预付金簿记：授信/现金拆分结果
543 lines
26 KiB
C#
543 lines
26 KiB
C#
using YLErp.Abstract.DataProviders;
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Model.Enum;
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using YLErp.Modules;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.MarginModule;
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using YLErp.Modules.SwapModule.Margin;
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using YLErp.Modules.TradeModule;
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namespace YLErp.BLL.MarginCalculation
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{
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/// <summary>
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/// 预付金计算
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/// </summary>
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public partial class MarginCalculationBase
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{
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protected static readonly IYcLogger logger = LogFactory.GetLogger("预付金计算");
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protected readonly UnderlyingDataProvider _underlyingDataProvider;
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protected MarginCalculationBase()
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{
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_underlyingDataProvider = new UnderlyingDataProvider();
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}
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public virtual List<trade_span> CalcClientMargin(CalcClientMarginReq req)
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{
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var clientSpanNews = new List<ClientSpan>();
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using (var db = new YLContext())
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{
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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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{
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var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
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var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();
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var tradeSpanInfo = (from tradeSpan in req.tradeSpans
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join trade in tradeList on tradeSpan.TradeId equals trade.id
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where tradeSpan.ValueDate == req.settleDate
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select new { trade, tradeSpan }).ToList();
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var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var client = DataCacheProvider.GetClientDataSource().GetData(clientGroup.Key);
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var underlyingGroup = clientGroup.GroupBy(t => t.trade.UnderlyingId).Select(t => new ClientSpan
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{
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UnderlyingId = t.Key,
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
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Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
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Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
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Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
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SwapWorstCastClientPayable = t.Where(g => g.trade.TradeType == "收益互换").Sum(g => g.tradeSpan.WorstCastClientPayable) * (-1),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType
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}).ToList();
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foreach (var item in underlyingGroup)
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{
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item.WorstCastClientPayable = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
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item.TwoSideMargin = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
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#region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
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var tradeIdList = clientGroup.Select(x => x.tradeSpan.TradeId);
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var tradeSpansUpdate = db.trade_span.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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if (item.WorstCastClientPayable == item.Spv1)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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}
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else if (item.WorstCastClientPayable == item.Spv2)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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}
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else if (item.WorstCastClientPayable == item.Spv3)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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}
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else if (item.WorstCastClientPayable == item.Spv4)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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}
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#endregion
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}
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var clientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = underlyingGroup.Sum(g => g.Spv1),
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Spv2 = underlyingGroup.Sum(g => g.Spv2),
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Spv3 = underlyingGroup.Sum(g => g.Spv3),
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Spv4 = underlyingGroup.Sum(g => g.Spv4),
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//负数代表客户应缴预付金，正数代表客户应收预付金
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WorstCastClientPayable = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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SwapWorstCastClientPayable = underlyingGroup.Sum(g => g.SwapWorstCastClientPayable),
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MySideMargin = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType,
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AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
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&& req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key, out var dd) ? dd : 0
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};
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保)
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{
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clientSpan.WorstCastClientPayable = Math.Min(clientSpan.WorstCastClientPayable.Value, 0);
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.对手方单向追保)
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{
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clientSpan.WorstCastClientPayable = Math.Max(clientSpan.WorstCastClientPayable.Value, 0);
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}
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clientSpanNews.Add(clientSpan);
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}
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}
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//span类型为实时删除所有实时计算的交易的预付金信息
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if (req.SpanType == ClientSpan.SpanType_RealTime)
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{
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if (req.RefreshClientIds != null)
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{
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db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
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}
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else
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{
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db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}={req.SpanType}");
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}
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}
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else
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{
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if (req.ClientIds != null)
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{
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var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
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db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
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}
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else
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{
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var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
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db.BulkDelete<ClientSpan>(sql);
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}
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var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag)
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.Select(n => new { n.ValueDate, n.ClientId }).ToList();
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//筛选出可以修改的clientSpan
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clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
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}
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if (clientSpanNews.Count > 0)
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{
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//MySqlBulkExtensions.BulkInsert(db, clientSpanNews);
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db.client_span.AddRange(clientSpanNews);
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}
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db.SaveChanges();
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return req.tradeSpans;
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}
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}
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public virtual List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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if (req.tradeList == null || !req.tradeList.Any())
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{
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return new List<trade_span>();
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}
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var tradeSpanList = new List<trade_span>();
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//收益互换交易单独计算trade_span
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if (req.tradeList.Any(t => t.TradeType == "收益互换"))
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{
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var tradeList = req.tradeList.Where(t => t.TradeType == "收益互换").ToList();
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tradeSpanList.AddRange(SwapTradeMarginCalculation(req.Clone(tradeList)));
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}
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//剔除收益互换交易
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req.tradeList = req.tradeList.Where(t => t.TradeType != "收益互换").ToList();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var resultMap = new Dictionary<int, trade_span>();
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//为了算客户角度的一个预付金数值
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helper.ReverseTradeSide();
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helper.SetFieldsByTradeType();
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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helper.GetTradVolRateDic(out var tradeVolRateDic);
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var vols = new[] { null, tradeVolRateDic };
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var prices = new (string, IPriceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices) };
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var loops = prices.SelectMany(n => vols.Select(m => new
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{
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pricekey = n.Item1,
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priceProvider = n.Item2,
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addVolRateDic = m
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})).ToArray();
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foreach (var loop in loops)
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{
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var calcReq = helper.GetCalculateRisksForTradesReq(priceProvider: loop.priceProvider, addVolRateDic: loop.addVolRateDic, overrideVols: null);
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
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if (tradeRiskResult.Results == null || tradeRiskResult.Results.Count < 1)
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{
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continue;
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}
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var key = $"{loop.pricekey}_{(loop.addVolRateDic == null ? 0 : 1)}";
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foreach (var item in tradeRiskResult.Results)
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{
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var pv = item.ValueResult.Pv;
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if (!helper.GetSpecialMargin(item.Trade, pv, out var value))
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{
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var clientRatio = helper.GetClient(item.Trade)?.Ratio ?? 1.0;
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value = double.IsNaN(pv) ? 0 : pv * clientRatio;
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}
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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if (!contains)
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{
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resultMap[item.Trade.id] = tempTradeSpan = helper.CreateTradeSpan(item.Trade);
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}
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switch (key)
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{
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case "up_0":
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tempTradeSpan.Spv1 = value; break;
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case "up_1":
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tempTradeSpan.Spv2 = value; break;
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case "down_0":
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tempTradeSpan.Spv3 = value; break;
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case "down_1":
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tempTradeSpan.Spv4 = value; break;
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}
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if (contains)
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{
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tempTradeSpan.SetWorstCastClientPayable();
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}
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}
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}
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tradeSpanList.AddRange(resultMap.Values.ToList());
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return tradeSpanList;
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}
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public virtual double GetTradeMargin(GetTradeMarginReq req)
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{
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using (var db = new YLContext())
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{
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var marginReq = req.GetRunMarginCalculationReq();
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if (req.trade.IsGroup == 1)
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{
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marginReq.tradeList = db.trade.Where(x => x.ParentTradeId == req.realTradeId).ToList();
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if (marginReq.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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foreach (var item in marginReq.tradeList)
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{
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item.id = 0;
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}
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}
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}
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var tradeMargin = RunMarginCalculation(marginReq);
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if (null != tradeMargin)
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{
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var margin = req.trade.IsGroup == 1 ? tradeMargin.Sum(x => x.WorstCastClientPayable ?? 0) : (tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0);
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return margin;
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}
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return 0.0;
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}
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}
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//为了算客户角度的一个预付金数值
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//RunMarginCalculation时forOtherSide为true时调用
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protected List<trade_span> RunMarginCalculationOtherSide(RunMarginCalculationReq req)
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{
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void RevertBuySell()
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{
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foreach (var x in req.tradeList)
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{
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x.BuySell = x.BuySell == "买入" ? "卖出" : "买入";
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if (x.SubTrades != null && x.SubTrades.Any())
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{
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foreach (var xs in x.SubTrades)
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{
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xs.BuySell = xs.BuySell == "买入" ? "卖出" : "买入";
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}
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}
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}
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}
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RevertBuySell();
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req.forOtherSide = false;
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var results = RunMarginCalculation(req);
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RevertBuySell();
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return results;
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}
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/// <summary>
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/// 是否客户有双向预付金
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/// </summary>
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protected bool HasTwoSideMargin(int clientId)
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{
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if (PS.Config.ErpElement.TwoSideMargin)
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{
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var client = DataCacheProvider.GetClientDataSource().GetData(clientId);
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return client?.MarginOptionType == (int)MarginOptionEnum.双向追保;
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}
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return false;
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}
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/// <summary>
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/// 获取客户信息
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/// </summary>
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protected InnerClient GetClientInfo(int clientId)
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{
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if (clientId < 1)
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{
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return null;
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}
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using (var db = DbContextFactory.GetClientDbContext(null))
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{
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var query = from c in db.client
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join cl in db.clientlevel on c.LevelId equals cl.id into t_cl
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from cl in t_cl.DefaultIfEmpty()
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where clientId == c.id
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select new InnerClient
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{
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ClientId = c.id,
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Ratio = cl == null ? null : cl.Ratio,
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Ratio1 = cl == null ? null : cl.Ratio1,
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AddRatio = cl == null ? null : cl.AddRatio,
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MarginOptionType = c.MarginOptionType,
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ProperClientClass = c.ProperClientClass,
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QuestionnaireScore = c.QuestionnaireScore,
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RuleT0orT1 = c.RuleT0orT1
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};
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return query.FirstOrDefault();
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}
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}
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//收益互换预付金计算
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//预付金模板V2迁移：按 R1 三层级（交易绑定→客户默认→全局默认，ResolveTieredTemplates 找到即停）解析模板——
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//无预付金=0；区间追保结构=名义本金×x（初始）/名义本金×y（持仓），x/y 由 MarginTemplateV2RateHelper 按 期限档+资产类型 匹配明细取得。
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//三级均未命中或命中其他规则的互换交易维持现状（不产出 trade_span），与确认书/取数口径一致（BUG-02 修正）。
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//阶段三 §3.1：区间追保结构明细按方案B录入新区间结构（SpanConfig.LongSpans/ShortSpans）时切换新引擎——
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//每日取标的收盘价落档（债券净价/指数及ETF收盘价），维持保证金 = (初始保证金 + 总追加保证金) × 我方净收取方向；
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//存量 x/y 配置（无新区间结构）维持 名义×y 公式不变。
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private static List<trade_span> SwapTradeMarginCalculation(RunMarginCalculationReq req)
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{
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var result = new List<trade_span>();
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var calcTrades = req.tradeList.Where(t => t.ParentTradeId == 0 && t.id > 0).ToList();
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if (calcTrades.Count == 0)
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{
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return result;
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}
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var swapTradeIds = calcTrades.Select(t => t.id).ToList();
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using (var db = new YLContext())
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{
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//R1 三层级找到即停（BUG-02 修正）：交易绑定 → 客户默认 → 全局默认 统一解析，
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//只配了客户/全局默认模板的交易与交易级绑定同权生效，与确认书/取数口径一致
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var templatesByTrade = MarginTemplateV2RateHelper.ResolveTieredTemplates(calcTrades, req.settleDate, db);
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//期初腿数据：标的腿（多空）取 期初价格/数量/方向，初始预付金腿取 初始保证金与收取方向
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var swapPositions = db.swap_position.AsNoTracking()
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.Where(x => swapTradeIds.Contains(x.SwapTradeId) && !x.Invalid && x.IsInitial)
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.ToList();
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var positionsByTrade = swapPositions.GroupBy(x => x.SwapTradeId).ToDictionary(g => g.Key, g => g.ToList());
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foreach (var trade in req.tradeList)
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{
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//剔除多空组合子交易
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if (trade.ParentTradeId > 0 || trade.id <= 0)
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{
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continue;
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}
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if (!templatesByTrade.TryGetValue(trade.id, out var template))
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{
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continue;
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}
|
|
|
|
double? margin;
|
|
if (template.RuleType == (int)MarginRuleTypeEnum.无预付金)
|
|
{
|
|
margin = 0;
|
|
}
|
|
else if (template.RuleType == (int)MarginRuleTypeEnum.区间追保结构)
|
|
{
|
|
var rateResult = MarginTemplateV2RateHelper.GetRateByTemplate(template, trade.UnderlyingCode, trade.UnderlyingInstrumentType, req.settleDate, db);
|
|
if (rateResult == null)
|
|
{
|
|
continue;
|
|
}
|
|
|
|
var spanCfg = rateResult.Detail?.SpanConfig;
|
|
if (SwapSpanMarginCalc.HasSpanConfig(spanCfg))
|
|
{
|
|
//方案B新结构：收盘价落档 → 维持保证金 = (初始 + 总追加) × 方向
|
|
margin = CalcSwapSpanMaintenanceMargin(trade, spanCfg,
|
|
positionsByTrade.TryGetValue(trade.id, out var legs) ? legs : new List<swap_position>(),
|
|
req.CalcMarginType == CalcMarginTypeEnum.InitialMargin, req.settleDate);
|
|
}
|
|
else
|
|
{
|
|
//存量 x/y 配置：初始预付金=名义本金×x；持仓预付金=名义本金×y
|
|
var rate = (double)(req.CalcMarginType == CalcMarginTypeEnum.InitialMargin
|
|
? rateResult.InitRate ?? 0m
|
|
: rateResult.MaintainRate ?? 0m);
|
|
margin = rate * trade.StockEqvNotional;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
//其他规则不在默认引擎支持范围，显式跳过
|
|
continue;
|
|
}
|
|
|
|
if (margin == null)
|
|
{
|
|
//新引擎无法计算（缺标的腿等），不产出 trade_span，与未匹配明细行为一致
|
|
continue;
|
|
}
|
|
|
|
result.Add(new trade_span()
|
|
{
|
|
TradeId = trade.id,
|
|
OptDate = DateTime.Now,
|
|
OptId = req.userId,
|
|
OptName = req.userName,
|
|
ClientId = trade.ClientId,
|
|
UnderlyingId = trade.UnderlyingId,
|
|
UnderlyingCode = trade.UnderlyingCode,
|
|
ValueDate = req.settleDate,
|
|
Spv1 = margin.Value,
|
|
Spv2 = margin.Value,
|
|
Spv3 = margin.Value,
|
|
Spv4 = margin.Value,
|
|
Spv5 = margin.Value,
|
|
Spv6 = margin.Value,
|
|
Spv7 = margin.Value,
|
|
Spv8 = margin.Value,
|
|
Spv = margin.Value,
|
|
WorstCastClientPayable = margin.Value,
|
|
Margin = 0
|
|
});
|
|
}
|
|
}
|
|
|
|
return result;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 阶段三 §3.1 新引擎：规则15 方案B配置的维持保证金（DB 胶水层——只负责解析收盘价，计算在 SwapSpanMarginCalc.CalcTradeMaintenanceMargin 纯函数，单测覆盖）。
|
|
/// 收盘价口径：债券取中债估值净价（GetBondPrice 口径 SettlePrice=净价；取 ≤计算日 最近一条，盘中跑用最近已有估值），
|
|
/// 指数/ETF取收盘价（InnerGetEodPrice 将日期规整到最近交易日）；未取到 → closePrice=0（追加按0、维持=初始），仅记日志不抛错。
|
|
/// </summary>
|
|
private static double? CalcSwapSpanMaintenanceMargin(trade trade, SpanConfig spanCfg, List<swap_position> legs, bool isInitialCalc, DateTime settleDate)
|
|
{
|
|
//标的腿（多空）：期初价格、数量、客户方向
|
|
var underlyingLeg = legs.FirstOrDefault(x => x.PositionType == (int)PositionTypeFlag.Long || x.PositionType == (int)PositionTypeFlag.Short);
|
|
if (underlyingLeg == null || underlyingLeg.PosiGrossPrice <= 0)
|
|
{
|
|
logger.Info($"【警告】规则15新引擎：交易{trade.id}无有效标的腿（期初价），跳过新公式计算");
|
|
return null;
|
|
}
|
|
|
|
double closePrice;
|
|
if (isInitialCalc)
|
|
{
|
|
//试算初始不依赖收盘价
|
|
closePrice = 0;
|
|
}
|
|
else
|
|
{
|
|
var underlyingCode = !string.IsNullOrEmpty(underlyingLeg.UnderlyingCode) ? underlyingLeg.UnderlyingCode : trade.UnderlyingCode;
|
|
var isBond = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode)?.IsBond() ?? false;
|
|
if (isBond)
|
|
{
|
|
if (!EodPriceQueryService.TryGetBondEodPrice(settleDate, underlyingCode, out var bondPrice))
|
|
{
|
|
logger.Info($"【警告】规则15新引擎：交易{trade.id}标的{underlyingCode}无债券估值净价，追加保证金按0计（维持=初始）");
|
|
closePrice = 0;
|
|
}
|
|
else
|
|
{
|
|
closePrice = bondPrice.GetPrice(SettlementTypeEnum.SettlePrice);
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (!EodPriceQueryService.TryGetEodPrice(settleDate, underlyingCode, out var eodPrice))
|
|
{
|
|
logger.Info($"【警告】规则15新引擎：交易{trade.id}标的{underlyingCode}无收盘价，追加保证金按0计（维持=初始）");
|
|
closePrice = 0;
|
|
}
|
|
else
|
|
{
|
|
closePrice = eodPrice.GetPrice(SettlementTypeEnum.ClosePrice);
|
|
}
|
|
}
|
|
}
|
|
|
|
var margin = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(trade.InitialMargin, spanCfg, legs, isInitialCalc, closePrice);
|
|
if (margin.HasValue)
|
|
{
|
|
logger.Info($"规则15新引擎：交易{trade.id} 标的{trade.UnderlyingCode} 收盘价={closePrice:0.####}（试算初始={isInitialCalc}）→ 维持保证金={margin.Value:0.00}");
|
|
}
|
|
return margin;
|
|
}
|
|
}
|
|
}
|