zszq-trs/YLErpDAL/Modules/EodModule/SettlementModule/EodForwardMarginSettlement.cs

using YLErp.DBModels.Enums;

namespace YLErp.Modules.EodModule.SettlementModule
{
    /// <summary>
    /// 远期预付金收盘结算
    /// </summary>
    class EodForwardMarginSettlement : EodSettleServiceBaseV2
    {
        public const string Step = "远期预付金结算";

        public EodForwardMarginSettlement(EodSettlementContextV2 context) : base(context)
        {

        }

        /// <summary>
        /// 远期预付金收盘结算
        /// </summary>
        public void Execute()
        {
            var settleDate = _context.SettleDate;

            //计息天数--如果大于1时判断中间的日期是否遗漏了收盘
            var interestDays = (settleDate - _context.PreSettleDate).Days;

            //--------------------------------------------
            // 删除旧数据
            //--------------------------------------------
            if (_context.ClienIds!=null&& _context.ClienIds.Any())
            {
                var forwardTradeId = _context.OtcTrades.Where(t => t.TradeType == "远期").Where(l => _context.ClienIds.Contains(l.ClientId)).Select(l => l.id);
              
                var forwardTradeIdStr = string.Join(",", forwardTradeId);
                if (!string.IsNullOrEmpty(forwardTradeIdStr))
                {
                    DbContext.BulkDelete<eod_forward_margin>($" TradeId in({forwardTradeIdStr}) and ValueDate='{settleDate:yyyy-MM-dd}'");
                }
            }
            else
            {
                DbContext.BulkDelete<eod_forward_margin>($"ValueDate='{settleDate:yyyy-MM-dd}'");
            }
            //--------------------------------------------
            // 基础数据查询 -- 构建查询时需要考虑历史收盘
            // 最后一天为特殊场景，需要考虑到和上一交易日中间有假期的情况
            //--------------------------------------------

            var tradeInfos = _context.OtcTrades.Where(t => t.TradeType == "远期").Select(GetTradeInfo).ToArray();

            _context.CheckCanceled();

            if (!tradeInfos.Any())
            {
                return;
            }

            var eodLastDic = DbContext.eod_forward_margin.Where(a => a.ValueDate == _context.PreSettleDate).ToDictionary(n => n.TradeId);

            foreach (var td in tradeInfos)
            {
                eodLastDic.TryGetValue(td.TradeId, out var lastMargin);

                if (lastMargin == null && _context.PreSettleDate >= td.TradeDate)
                {
                    _context.RaiseError(Step, $"交易'{td.TradeNumber}'缺少上一交易日({_context.PreSettleDate.OtcFormatDate()})结算数据");
                }

                var margin = CalcMargin(td, lastMargin, interestDays);

                DbContext.eod_forward_margin.Add(margin);
            }

            DbContext.SaveChanges(_context.CancellationToken);
        }

        private eod_forward_margin CalcMargin(TradeInfo td, eod_forward_margin lastMargin, int interestDays)
        {
            var margin = new eod_forward_margin
            {
                AnnualRate = td.AnnualMarginRate,
                Notional = td.Notional,
                TradeId = td.TradeId,
                ValueDate = _context.SettleDate,
                MarginRate = 0,
                SettlePrice = 0,
                MarginSum = 0,
                CloseMarginSum = 0,
                InterestDays = 0,
                MarginCost = 0
            };

            double? settlePrice = null;

            switch (td.MarginType)
            {
                case MarginTypeEnum.NONE:
                    margin.MarginRate = 0;
                    break;
                case MarginTypeEnum.FIXED:
                    margin.MarginRate = td.PositionMarginRate;
                    settlePrice = td.SpotPrice;
                    break;
                case MarginTypeEnum.FLOAT:
                    margin.MarginRate = td.MarginRate;
                    break;
                default:
                    var um = UnderlyingDataProvider.GetUnderlying(td.UnderlyingCode);
                    if (um == null)
                    {
                        _context.RaiseError(Step, $"交易'{td.TradeNumber}'未找到标的数据:{td.UnderlyingCode}");
                    }
                    margin.MarginRate = um.MarginRate ?? 0;
                    break;
                case MarginTypeEnum.FLOATP:
                    margin.MarginRate = td.PositionMarginRate;
                    break;
            }

            if (settlePrice == null)
            {
                if (_context.GetEodPriceProvider().TryGetPrice(td.UnderlyingCode, SettlementTypeEnum.ClosePrice, out var price))
                {
                    settlePrice = price;
                }
                else
                {
                    _context.RaiseError(Step, $"交易'{td.TradeNumber}'未找到标的结算价:{td.UnderlyingCode}");
                }
            }

            margin.SettlePrice = settlePrice.Value;

            if (lastMargin != null)
            {
                margin.MarginSum = lastMargin.MarginSum;
                margin.CloseMarginSum = lastMargin.CloseMarginSum;

                //首先结算假期日的预付金成本
                if (interestDays > 1)
                {
                    margin.InterestDays = interestDays - 1;
                    //使用上一交易日结算数据重算(因为上一交易日也可能会有假期日的计息)
                    margin.MarginCost = lastMargin.Notional * settlePrice.Value * lastMargin.MarginRate * lastMargin.AnnualRate * margin.InterestDays / 365;
                }
            }

            //当前交易日持仓预付金成本结算
            if (td.IsCompleted)
            {
                margin.Notional = 0;
            }
            else
            {
                margin.InterestDays += 1;

                if (lastMargin != null && lastMargin.Notional > td.Notional)
                {
                    //算法:昨日预付金累计+(昨日持仓预付金累计=昨日预付金累计-昨日平仓预付金累计)*(今日平仓数量=昨日持仓份额-今日持仓份额)/昨日持仓份额
                    margin.CloseMarginSum += (lastMargin.MarginSum - lastMargin.CloseMarginSum) * (lastMargin.Notional - td.Notional) / lastMargin.Notional;
                }

                margin.MarginCost += margin.Notional * settlePrice.Value * margin.MarginRate * margin.AnnualRate / 365;
            }

            margin.MarginSum += margin.MarginCost;

            return margin;
        }

        class TradeInfo
        {
            public int TradeId { get; set; }

            public string TradeNumber { get; set; }

            public DateTime TradeDate { get; set; }

            public double Notional { get; set; }

            public MarginTypeEnum MarginType { get; set; }

            public double AnnualMarginRate { get; set; }

            public string UnderlyingCode { get; set; }

            public double SpotPrice { get; set; }

            public double MarginRate { get; set; }

            public double PositionMarginRate { get; set; }

            public bool IsCompleted { get; set; }

            public override string ToString()
            {
                return $"{UnderlyingCode}--{TradeId}--{TradeNumber}";
            }
        }

        private TradeInfo GetTradeInfo(trade td)
        {
            if (td.TradeDate == null)
            {
                _context.RaiseError(Step, "缺少交易日期:" + td.TradeNumber);
                return null;
            }

            if (td.trade_forward == null)
            {
                _context.RaiseError(Step, "缺少远期交易数据:" + td.TradeNumber);
                return null;
            }

            return new TradeInfo
            {
                TradeId = td.id,
                TradeNumber = td.TradeNumber,
                TradeDate = td.TradeDate.Value,
                MarginType = td.MarginType,
                Notional = td.Notional,
                AnnualMarginRate = td.trade_forward.AnnualMarginRate,
                UnderlyingCode = td.UnderlyingCode,
                SpotPrice = td.SpotPrice ?? 0,
                MarginRate = td.MarginRate,
                PositionMarginRate = td.PositionMarginRate,
                IsCompleted = ConsTrade.TradeCompleteStatus.Contains(td.TradeStatus)
            };
        }
    }
}