602 lines
29 KiB
C#
602 lines
29 KiB
C#
using Dapper;
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using YLErp.Modules.MarketRiskMoudule;
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using YLErp.Modules.MarketRiskMoudule.Dto;
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using YLErp.Modules.RiskExposure;
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using YLErp.Modules.RiskModule;
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namespace YLErp.Modules.EodModule
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{
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/// <summary>
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/// 累计总盈亏服务
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/// </summary>
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public class AccruedTotalPnlService<TEntity> : YLBaseService
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where TEntity : EodTradePosition
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{
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public AccruedTotalPnlService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public AccruedTotalPnlService(YLBaseService baseService) : base(baseService)
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{
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}
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private DateTime GetPreDate(DateTime date)
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{
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var tmpDate = DbContext.Set<TEntity>().Where(n => n.ValueDate < date).Max(t => (DateTime?)t.ValueDate);
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return tmpDate.HasValue ? tmpDate.Value.Date : DateTime.MinValue;
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}
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/// <summary>
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/// 获取起算日前的盈亏数据(交易类型:场内期权+场外交易)
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/// (在总盈亏统计中根据标的代码减去此列表结果中的响应数据)
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/// </summary>
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public IEnumerable<EodPnlStaticsDto> GetAccruedStartPnls(DateTime accruedStartDate, bool isIncludeHedge = false)
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{
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var preStartDate = GetPreDate(accruedStartDate);
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if (preStartDate.Year < 2000)
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{
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return Enumerable.Empty<EodPnlStaticsDto>();
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}
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//--------------------------------
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// 获取起始累计盈亏收盘数据列表
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//--------------------------------
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var query1 = from n in DbContext.Set<TEntity>()
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where n.ValueDate == preStartDate
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where n.TradeType == "场内期权"
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select new
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{
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TraderId = 0,
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n.TradeType,
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n.UnderlyingCode,
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n.BookId,
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n.ClientId,
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n.TotalPnL,
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n.Commission,
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n.Amount
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};
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if (isIncludeHedge)
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{
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var query = from n in DbContext.Set<TEntity>()
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where n.ValueDate == preStartDate
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where n.TradeType == "商品期货"
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select new
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{
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TraderId = 0,
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n.TradeType,
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n.UnderlyingCode,
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n.BookId,
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n.ClientId,
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n.TotalPnL,
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n.Commission,
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n.Amount
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};
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query1 = query1.Concat(query);
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}
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var query2 = from n in DbContext.Set<TEntity>()
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join t in DbContext.trade on n.TradeId equals t.id
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where n.ValueDate == preStartDate && n.TradeId > 0
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&& t.ValidState != "InValid"
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&& (t.UnWindDate > preStartDate || !ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus))
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select new
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{
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t.TraderId,
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n.TradeType,
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UnderlyingCode = t.TradeType == ConsGlobal.TradeType.CashFlow ? "现金流" : n.UnderlyingCode,
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n.BookId,
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n.ClientId,
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n.TotalPnL,
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n.Commission,
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n.Amount
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};
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var list = query1.Concat(query2).ToList();
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//------------------------------------------------------
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// 过滤并且汇总求和
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//------------------------------------------------------
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var sumQuery = from n in list
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group n by new { n.UnderlyingCode, n.BookId, n.ClientId, n.TradeType, n.TraderId } into g
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select new EodPnlStaticsDto
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{
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BookId = g.Key.BookId,
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AssetType = g.Key.TradeType,
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ClientId = g.Key.ClientId,
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TraderId = g.Key.TraderId,
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UnderlyingCode = g.Key.UnderlyingCode,
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TotalPnl = g.Sum(t => t.TotalPnL),
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TotalCommission = g.Sum(t => t.Commission),
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TotalAmount = g.Sum(t => t.Amount)
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};
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return sumQuery.ToArray();
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}
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/// <summary>
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/// 获取历史了结交易总盈亏数据
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/// </summary>
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/// <param name="startDate">开始日期(包括)</param>
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/// <param name="endDate">结束日期(包括)</param>
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/// <param name="isIncludeHedge">是否包括对冲交易</param>
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public IEnumerable<EodPnlStaticsDto> GetFinishedTradePnls(DateTime startDate, DateTime endDate, bool isIncludeHedge = false)
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{
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var sumList = new List<EodPnlStaticsDto>();
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//SetDebugSqlLog();
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//------------------------------------------------------
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// 场内期权累计盈亏统计
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//------------------------------------------------------
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var exchangeOptionQuery = from a in DbContext.exchange_list_option
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where a.MaturityDate >= startDate && a.MaturityDate <= endDate
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select new
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{
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ValueDate = a.MaturityDate,
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ExchangeOptionCode = a.ContractCode
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};
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var finishedExOptionPnlQuery = from exOption in exchangeOptionQuery
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join eodPnl in DbContext.Set<TEntity>()
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on new { exOption.ValueDate, exOption.ExchangeOptionCode }
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equals new { eodPnl.ValueDate, eodPnl.ExchangeOptionCode }
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where eodPnl.ValueDate >= startDate && eodPnl.TradeType == "场内期权"
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group eodPnl by new { eodPnl.UnderlyingCode, eodPnl.BookId } into g
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select new EodPnlStaticsDto
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{
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BookId = g.Key.BookId,
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UnderlyingCode = g.Key.UnderlyingCode,
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TotalPnl = g.Sum(n => n.TotalPnL),
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TotalCommission = g.Sum(n => n.Commission),
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TotalCount = g.Count()
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};
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var exOptionSums = finishedExOptionPnlQuery.ToArray();
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foreach (var data in exOptionSums)
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{
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data.ValueDate = endDate;
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data.AssetType = "场内期权";
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}
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sumList.AddRange(exOptionSums);
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//------------------------------
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// 商品期货累计盈亏统计(暂时不能支持股票和商品现货)
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//------------------------------
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if (isIncludeHedge)
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{
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var futureQuery = from a in DbContext.underlying_manager
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where a.MaturityDate >= startDate && a.MaturityDate <= endDate
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select new
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{
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a.UnderlyingCode,
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ValueDate = a.MaturityDate.Value
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};
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var finishedQuery = from underlying in futureQuery
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join eodPnl in DbContext.Set<TEntity>()
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on new { underlying.ValueDate, underlying.UnderlyingCode }
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equals new { eodPnl.ValueDate, eodPnl.UnderlyingCode }
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where eodPnl.ValueDate >= startDate && eodPnl.TradeType == "商品期货"
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group eodPnl by new { eodPnl.UnderlyingCode, eodPnl.BookId } into g
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select new EodPnlStaticsDto
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{
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BookId = g.Key.BookId,
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UnderlyingCode = g.Key.UnderlyingCode,
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TotalPnl = g.Sum(n => n.TotalPnL),
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TotalCommission = g.Sum(n => n.Commission),
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TotalCount = g.Count()
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};
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var futureSums = finishedQuery.ToArray();
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foreach (var data in futureSums)
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{
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data.ValueDate = endDate;
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data.AssetType = "商品期货";
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}
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sumList.AddRange(futureSums);
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}
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//------------------------------------------------------
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// 场外期权累计盈亏统计
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//------------------------------------------------------
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var tradQuery = from t in DbContext.trade
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where t.ClientId > 0 && t.UnWindDate >= startDate && t.UnWindDate <= endDate
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&& t.UnderlyingCode != null
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&& ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus)
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&& t.TradeType != "结构化交易"
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&& t.ValidState != ConsGlobal.InValid
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select new
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{
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t.id,
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t.AssetId,
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t.ClientId,
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AssetType = t.TradeType,
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UnderlyingCode = t.TradeType == ConsGlobal.TradeType.CashFlow ? "现金流" : t.UnderlyingCode,
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t.TraderId
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};
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var query = from t in tradQuery
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join tc in DbContext.trade_cash on t.id equals tc.TradeId
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where tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
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group tc by new { t.UnderlyingCode, t.AssetId, t.ClientId, t.AssetType, t.TraderId } into g
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select new EodPnlStaticsDto
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{
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TraderId = g.Key.TraderId,
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BookId = g.Key.AssetId,
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ClientId = g.Key.ClientId,
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AssetType = g.Key.AssetType,
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UnderlyingCode = g.Key.UnderlyingCode,
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TotalPnl = g.Sum(t => t.Amount),
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TotalCount = g.Count()
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};
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var otcSums = query.ToArray();
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foreach (var data in otcSums)
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{
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data.ValueDate = endDate;
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}
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sumList.AddRange(otcSums);
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//返回结果
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return sumList;
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}
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/// <summary>
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/// 获取区间内的场内期权pnl合计
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/// </summary>
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/// <param name="startDate">开始日期(包括)</param>
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/// <param name="endDate">结束日期(包括)</param>
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public double GetTotalPnlOfExchangeOption(DateTime startDate, DateTime endDate)
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{
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//------------------------------
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// 取值日的当前持仓统计
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//------------------------------
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var positionQuery = from eodPnl in DbContext.Set<TEntity>()
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where eodPnl.ValueDate == endDate && eodPnl.TradeType == "场内期权"
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group eodPnl by eodPnl.ExchangeOptionCode into g
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select new
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{
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g.Key,
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totalPnl = g.Sum(n => n.TotalPnL)
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};
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//------------------------------
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// 区间内的过期标的统计
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//------------------------------
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var exchangeOptionQuery = from a in DbContext.exchange_list_option
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where a.MaturityDate >= startDate && a.MaturityDate < endDate
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select new
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{
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ValueDate = a.MaturityDate,
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ExchangeOptionCode = a.ContractCode
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};
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var finishedQuery = from exOption in exchangeOptionQuery
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join eodPnl in DbContext.Set<TEntity>()
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on new { exOption.ValueDate, exOption.ExchangeOptionCode }
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equals new { eodPnl.ValueDate, eodPnl.ExchangeOptionCode }
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where eodPnl.ValueDate >= startDate && eodPnl.TradeType == "场内期权"
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group eodPnl by eodPnl.ExchangeOptionCode into g
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select new
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{
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g.Key,
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totalPnl = g.Sum(n => n.TotalPnL)
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};
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//------------------------------
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// 起算日前一交易日的累计数据
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//------------------------------
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var preStartDate = GetPreDate(startDate);
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var preStartQuery = from n in DbContext.Set<TEntity>()
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where n.ValueDate == preStartDate && n.TradeType == "场内期权"
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select new { n.ExchangeOptionCode, TotalPnL = (double?)n.TotalPnL };
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//------------------------------
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// 区间内的累计数据(持仓+到期-起始)
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//------------------------------
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var totalPnlQuery = from t1 in positionQuery.Concat(finishedQuery)
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join t2 in preStartQuery on t1.Key equals t2.ExchangeOptionCode into tt
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from t2 in tt.DefaultIfEmpty()
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select t1.totalPnl - (t2.TotalPnL ?? 0);
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return totalPnlQuery.Sum(n => (double?)n) ?? 0;
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}
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/// <summary>
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/// 获取区间内的商品期货pnl合计
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/// </summary>
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/// <param name="startDate">开始日期(包括)</param>
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/// <param name="endDate">结束日期(包括)</param>
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public double GetTotalPnlSumOfFutures(DateTime startDate, DateTime endDate)
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{
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//------------------------------
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// 取值日的持仓统计
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//------------------------------
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var positionQuery = from eodPnl in DbContext.Set<TEntity>()
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where eodPnl.ValueDate == endDate && eodPnl.TradeType == "商品期货"
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group eodPnl by eodPnl.UnderlyingCode into g
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select new
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{
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g.Key,
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totalPnl = g.Sum(n => n.TotalPnL)
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};
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//------------------------------
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// 区间内的过期标的统计
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//------------------------------
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var futureQuery = from a in DbContext.underlying_manager
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where a.MaturityDate >= startDate && a.MaturityDate < endDate
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select new
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{
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a.UnderlyingCode,
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ValueDate = a.MaturityDate.Value
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};
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var finishedQuery = from underlying in futureQuery
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join eodPnl in DbContext.Set<TEntity>()
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on new { underlying.ValueDate, underlying.UnderlyingCode }
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equals new { eodPnl.ValueDate, eodPnl.UnderlyingCode }
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where eodPnl.ValueDate >= startDate && eodPnl.TradeType == "商品期货"
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group eodPnl by eodPnl.UnderlyingCode into g
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select new
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{
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g.Key,
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totalPnl = g.Sum(n => n.TotalPnL)
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};
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//------------------------------
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// 起算日前一交易日的累计数据
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//------------------------------
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var preStartDate = GetPreDate(startDate);
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var preStartQuery = from n in DbContext.Set<TEntity>()
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where n.ValueDate == preStartDate && n.TradeType == "商品期货"
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select new { n.UnderlyingCode, TotalPnL = (double?)n.TotalPnL };
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//------------------------------
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// 区间内的数据合计(持仓+到期-起始)
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//------------------------------
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var totalPnlQuery = from t1 in positionQuery.Concat(finishedQuery)
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join t2 in preStartQuery on t1.Key equals t2.UnderlyingCode into tt
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from t2 in tt.DefaultIfEmpty()
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select t1.totalPnl - (t2.TotalPnL ?? 0);
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return totalPnlQuery.Sum(n => (double?)n) ?? 0;
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}
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/// <summary>
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/// 获取取值日的期权估值(公司角度)
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/// </summary>
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public double GetTotalPvOfOptions(DateTime valueDate)
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{
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//当前持仓-起算前
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var query = from t1 in DbContext.Set<TEntity>().Where(n => n.ValueDate == valueDate && n.TradeId > 0)
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join t2 in DbContext.Set<TEntity>().Where(n => n.ValueDate == valueDate && n.TradeId > 0)
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on t1.TradeId equals t2.TradeId into tt
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from t2 in tt.DefaultIfEmpty()
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select t1.Pv - (t2 == null ? 0 : t2.Pv);
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return query.Sum(n => (double?)n) ?? 0;
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}
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/// <summary>
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/// 计算综合盈亏比例: ((收取的权利金 - 支付的权利金) + 对冲盈亏 - 期权估值)/对冲账户成本
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/// </summary>
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/// <param name="startDate">开始日期(包括)</param>
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/// <param name="endDate">结束日期(包括)</param>
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public double CalcTotalPnlRate(DateTime startDate, DateTime endDate)
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{
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//对冲盈亏
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var totalHedgePnl = GetTotalPnlOfExchangeOption(startDate, endDate) + GetTotalPnlSumOfFutures(startDate, endDate);
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//公司角度期权估值(场外期权)
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var totalPv = GetTotalPvOfOptions(endDate);
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//公司角度(收取的权利金 - 支付的权利金)
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var allTotalTradePrice = -(DbContext.ClientBalanceDaily.Where(x => x.BalanceDate == endDate)
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.Sum(x => x.OptionPremiumSum) ?? 0) - (DbContext.ClientBalanceDaily.Where(x => x.BalanceDate == endDate)
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.Sum(x => x.OptionPremiumSwapSum) ?? 0);
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var preStartDate = GetPreDate(startDate);
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var lastSettleDateStartDateTotalTradePrice = -(DbContext.ClientBalanceDaily.Where(x => x.BalanceDate == preStartDate)
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.Sum(x => x.OptionPremiumSum) ?? 0) - (DbContext.ClientBalanceDaily.Where(x => x.BalanceDate == preStartDate)
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.Sum(x => x.OptionPremiumSwapSum) ?? 0);
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var totalTradePrice = allTotalTradePrice - lastSettleDateStartDateTotalTradePrice;
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//对冲账户成本
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var totalInitialCost = DbContext.exchange_account.Sum(x => x.InitialCost) ?? 0;
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if (totalInitialCost < 1)
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{
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totalInitialCost = 1;
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}
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return (totalTradePrice + totalHedgePnl - Convert.ToDouble(totalPv)) / totalInitialCost;
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}
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/// <summary>
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/// 计算估算日的场内交易，商品期货股票的手续费汇总
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/// </summary>
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/// <param name="startDate">开始日期(包括)</param>
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/// <param name="endDate">结束日期(包括)</param>
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/// <returns></returns>
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public IEnumerable<EodPnlStaticsDto> GetCommissionForHedge(DateTime startDate, DateTime endDate)
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{
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List<string> tradeTypes = new List<string>()
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{
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"场内期权",
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"商品期货",
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"股票",
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"信用债"
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};
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var sourceQuery = from t in DbContext.Set<TEntity>().Where(t => t.ValueDate >= startDate && t.ValueDate <= endDate && tradeTypes.Contains(t.TradeType))
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join un in DbContext.underlying_manager on t.UnderlyingCode equals un.UnderlyingCode
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group t by new { t.TradeId, t.HedgeUniqueCode } into g
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select new
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{
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g.Key.TradeId,
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g.Key.HedgeUniqueCode,
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maxDate = g.Max(B => B.ValueDate)
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};
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var finishedQuery = from source in sourceQuery
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join eodPnl in DbContext.Set<TEntity>()
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on new { ValueDate = source.maxDate, TradeId = source.TradeId + source.HedgeUniqueCode }
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equals new { eodPnl.ValueDate, TradeId = eodPnl.TradeId + eodPnl.HedgeUniqueCode }
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select new
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{
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eodPnl.UnderlyingCode,
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eodPnl.BookId,
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eodPnl.ClientId,
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eodPnl.TradeType,
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TraderId = 0,
|
|
eodPnl.Commission
|
|
};
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|
//------------------------------------------------------
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|
// 过滤并且汇总求和
|
|
//------------------------------------------------------
|
|
|
|
var sumQuery = from n in finishedQuery
|
|
group n by new { n.UnderlyingCode, n.BookId, n.ClientId, n.TradeType, n.TraderId } into g
|
|
select new EodPnlStaticsDto
|
|
{
|
|
BookId = g.Key.BookId,
|
|
AssetType = g.Key.TradeType,
|
|
ClientId = g.Key.ClientId,
|
|
TraderId = g.Key.TraderId,
|
|
UnderlyingCode = g.Key.UnderlyingCode,
|
|
TotalCommission = g.Sum(t => t.Commission),
|
|
ValueDate = endDate
|
|
};
|
|
|
|
return sumQuery.ToArray();
|
|
|
|
}
|
|
|
|
//todo public
|
|
|
|
|
|
public List<TradePositionTotalPnLModel> CalcuTotalPnl(out List<T2PositionDataDto> t2PositionDataDtos, DateTime dateT1, DateTime dateT2, RiskRequestModel reqModel)
|
|
{
|
|
// 2、查询三点数据 t1到t2已了结持仓数据
|
|
var task1 = new MarketRiskService<TEntity>(UserInfo).CreateGetT1DatasTask(dateT1);
|
|
|
|
string tradeWhere, onSiteTradeWhere, predicateWhere, inSiteWhere;
|
|
new MarketRiskService<TEntity>(UserInfo).MakeCondition(reqModel, out tradeWhere, out onSiteTradeWhere, out predicateWhere, out inSiteWhere);
|
|
var task2 = CreateGetT2DatasTask(dateT2, reqModel, predicateWhere);
|
|
tradeWhere = " UnWindDate>@StartTime and UnWindDate<@EndTime and TradeStatus in @TradeCompletedStatus and " + tradeWhere;
|
|
var task3 = new MarketRiskService<TEntity>(UserInfo).CreateGetT1ToT2DatasTask(reqModel, dateT1, dateT2, onSiteTradeWhere, tradeWhere, inSiteWhere);
|
|
|
|
task1.Start();
|
|
task2.Start();
|
|
task3.Start();
|
|
System.Threading.Tasks.Task.WaitAll(task1, task2, task3);
|
|
|
|
var t1DatasDic = task1.Result.ToDictionary(p => p.TradeId + "_" + (String.IsNullOrEmpty(p.HedgeUniqueCode) ? "" : p.HedgeUniqueCode), p => p);
|
|
//数据整合
|
|
if (t1DatasDic == null)
|
|
{
|
|
t1DatasDic = new Dictionary<string, T1DataDto>();
|
|
}
|
|
List<TradePositionTotalPnLModel> tradePositionTotalPnLModel = new List<TradePositionTotalPnLModel>();
|
|
t2PositionDataDtos = task2.Result;
|
|
if (task2.Result != null && task2.Result.Count > 0)
|
|
{
|
|
task2.Result.ForEach(p =>
|
|
{
|
|
var model = new TradePositionTotalPnLModel
|
|
{
|
|
ValueDate = p.ValueDate,
|
|
TradeId = p.TradeId,
|
|
ParentTradeId = p.ParentTradeId ?? 0,
|
|
UnderlyingCode = p.UnderlyingCode,
|
|
OptionCode = p.ExchangeOptionCode,
|
|
UnderlyingId = p.UnderlyingId ?? 0,
|
|
BookId = p.BookId ?? 0,
|
|
TradeType = p.StructureType == null || p.StructureType == "" ? p.TradeType : p.StructureType,
|
|
AccruedTotalPnL = p.TotalPnL,
|
|
HedgeUniqueCode = p.HedgeUniqueCode,
|
|
};
|
|
var key = p.TradeId + "_" + (String.IsNullOrEmpty(p.HedgeUniqueCode) ? "" : p.HedgeUniqueCode);
|
|
var t1Data = t1DatasDic.ContainsKey(key) ? t1DatasDic[key] : null;
|
|
if (t1Data != null)
|
|
{
|
|
model.AccruedTotalPnL = model.AccruedTotalPnL - (t1Data.TotalPnL ?? 0);
|
|
}
|
|
tradePositionTotalPnLModel.Add(model);
|
|
});
|
|
}
|
|
if (task3.Result != null && task3.Result.Count > 0)
|
|
{
|
|
task3.Result.ForEach(p =>
|
|
{
|
|
var model = new TradePositionTotalPnLModel
|
|
{
|
|
ValueDate = p.ValueDate,
|
|
TradeId = p.TradeId,
|
|
ParentTradeId = p.ParentTradeId ?? 0,
|
|
UnderlyingCode = p.UnderlyingCode,
|
|
OptionCode = p.ExchangeOptionCode,
|
|
UnderlyingId = p.UnderlyingId ?? 0,
|
|
BookId = p.BookId,
|
|
TradeType = p.StructureType == null || p.StructureType == "" ? p.TradeType : p.StructureType,
|
|
AccruedTotalPnL = p.TotalPnL,
|
|
HedgeUniqueCode = p.HedgeUniqueCode,
|
|
};
|
|
var key = p.TradeId + "_" + (String.IsNullOrEmpty(p.HedgeUniqueCode) ? "" : p.HedgeUniqueCode);
|
|
var t1Data = t1DatasDic.ContainsKey(key) ? t1DatasDic[key] : null;
|
|
if (t1Data != null)
|
|
{
|
|
model.AccruedTotalPnL = model.AccruedTotalPnL - (t1Data.TotalPnL ?? 0);
|
|
}
|
|
tradePositionTotalPnLModel.Add(model);
|
|
});
|
|
}
|
|
return tradePositionTotalPnLModel;
|
|
}
|
|
private Task<List<T2PositionDataDto>> CreateGetT2DatasTask(DateTime dateT2, RiskRequestModel reqModel, string predicateWhere)
|
|
{
|
|
return new Task<List<T2PositionDataDto>>(() =>
|
|
{
|
|
using (var db = DbContextFactory.GetYLDbContext())
|
|
{
|
|
var t2PositionDateSql = string.Format("select id,ValueDate,TradeId,HedgeUniqueCode,ParentTradeId,UnderlyingCode,ExchangeOptionCode,UnderlyingId,BookId,StructureType,TradeType,Amount,TotalPnL,Pv,Cost,Commission,DailyPnL,RoundedPv,PositionPnL,RoundedPositionPnL,Margin from {0} where {1}", db.GetTableName<TEntity>(), predicateWhere);
|
|
db.Database.SetCommandTimeout(1800);
|
|
var conn = db.Database.GetDbConnection();
|
|
var t2PositionDatas = conn.Query<T2PositionDataDto>(t2PositionDateSql, new
|
|
{
|
|
EndTime = dateT2,
|
|
UserAssets = reqModel.UserAssets,
|
|
UserClients = reqModel.UserClients,
|
|
ClientIds = reqModel.ClientIds,
|
|
BookIds = reqModel.BookIds,
|
|
TradeTypes = reqModel.TradeTypes,
|
|
TraderIds = reqModel.TraderIds,
|
|
TagIds = reqModel.TagIds,
|
|
UnderlyingIds = reqModel.UnderlyingIds,
|
|
VarietyIds = reqModel.VarietyIds
|
|
}, commandTimeout: 1800).ToList();
|
|
return t2PositionDatas;
|
|
}
|
|
});
|
|
}
|
|
}
|
|
}
|
|
|
|
//如果数据未获取到，sum时报错，这时需要加nullable类型转换
|
|
|