476 lines
22 KiB
C#
476 lines
22 KiB
C#
using CsvHelper;
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using DocumentFormat.OpenXml.Drawing.Diagrams;
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using DocumentFormat.OpenXml.Office2010.PowerPoint;
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using Newtonsoft.Json;
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using NPOI.SS.Formula.Functions;
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using Qdp.Pricing.Base.Enums;
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using System.Linq.Expressions;
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using YLErp.BLL;
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using YLErp.Commons;
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namespace YLErp.Modules.SwapModule
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{
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public class SwapTradeBaseService : YLBaseService
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{
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public SwapTradeBaseService(OptUserInfo optUser) : base(optUser)
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{
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}
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public SwapTradeBaseService(YLBaseService baseService) : base(baseService)
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{
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}
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/// <summary>
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/// 校验标的是否存在
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/// </summary>
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/// <param name="underlyingCode"></param>
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/// <returns>不存在返回空</returns>
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public bool GetUnderlyingCode(string underlyingCode)
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{
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
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return underlying == null ? false : true;
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}
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/// <summary>
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///新增日终归档信息时 修改 持仓腿信息
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/// </summary>
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/// <param name="eodPayPosition"></param>
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public void UpdateSwapPosition(eod_swap_position eodPayPosition, string tradeNumber)
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{
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var position = DbContext.swap_position.Find(eodPayPosition.PositionId);
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position.ContractSize = eodPayPosition.ContractSize;
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position.PositionType = eodPayPosition.PositionType;
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position.PosiTradingFee = eodPayPosition.PosiTradingFee;
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position.PosiTradingFeePending = eodPayPosition.PosiFeePending;
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position.PosiTradingFeeUnit = eodPayPosition.PosiQuantity == 0 ? 0 : eodPayPosition.PosiTradingFee / eodPayPosition.PosiQuantity;
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position.UnderlyingCode = eodPayPosition.UnderlyingCode;
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position.UnderlyingInstrumentType = eodPayPosition.UnderlyingInstrumentType;
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position.PosiDirection = eodPayPosition.PosiDirection;
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position.PosiNetPrice = eodPayPosition.PosiNetPrice;
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position.PosiGrossPrice = eodPayPosition.PosiGrossPrice;
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position.PosiNetFeePrice = eodPayPosition.PosiNetFeePrice;
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position.PosiNetNoFeePrice = eodPayPosition.PosiNetNoFeePrice;
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position.PosiNotionalValue = eodPayPosition.PosiNotionalValue;
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position.PosiQuantity = eodPayPosition.PosiQuantity;
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position.PosiStartDate = eodPayPosition.PosiStartDate;
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position.OptTime = DateTime.Now;
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position.OptId = UserInfo.UserId;
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position.OptName = UserInfo.UserName;
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position.PosiNumber = $"{tradeNumber}-{position.id}";
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}
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/// <summary>
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/// 平仓后更新持仓
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/// </summary>
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/// <param name="eodPayPosition"></param>
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public void UpdateSwapPositionWithRealTime(eod_swap_position eodPayPosition)
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{
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var position = DbContext.swap_position.FirstOrDefault(x => x.PositionId == eodPayPosition.PositionId);
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if (position != null)
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{
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position.PosiQuantity = eodPayPosition.PosiQuantity;
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position.PosiTradingFee = eodPayPosition.PosiTradingFee;
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position.PosiNetPrice = eodPayPosition.PosiNetPrice;
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position.PosiGrossPrice = eodPayPosition.PosiGrossPrice;
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position.PosiNetFeePrice = eodPayPosition.PosiNetFeePrice;
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position.PosiNetNoFeePrice = eodPayPosition.PosiNetNoFeePrice;
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position.PosiNotionalValue = eodPayPosition.PosiNotionalValue;
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position.PosiTradingFeePending = eodPayPosition.PosiFeePending;
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position.PosiQuantity = eodPayPosition.PosiQuantity;
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position.PosiDirection = eodPayPosition.PosiDirection;
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position.PositionType = eodPayPosition.PositionType;
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position.OptTime = DateTime.Now;
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position.OptId = UserInfo.UserId;
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position.OptName = UserInfo.UserName;
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}
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else
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{
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position = DbContext.swap_position.FirstOrDefault(x => x.id == eodPayPosition.PositionId);
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var posi = position.Clone();
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posi.id = 0;
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posi.PositionId = position.id;
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posi.IsInitial = false;
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DbContext.swap_position.Add(posi);
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}
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}
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/// <summary>
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/// 获取同一互换编码，标的 持仓id
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/// </summary>
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/// <param name="swapTradeId">互换框架合约id</param>
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/// <param name="underlyingCode">标的代码</param>
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/// <returns></returns>
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public long GetMaxPositionId(swap_flow_merge swap_Flow_Summary, DateTime matuirityDate, int direction, string tradeNumber)
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{
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long max = 0;
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var position = DbContext.swap_position.FirstOrDefault(x => x.SwapTradeId == swap_Flow_Summary.SwapTradeId && x.UnderlyingCode == swap_Flow_Summary.UnderlyingCode && x.PosiQuantity != 0 && !x.IsInitial&&!x.Invalid);
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if (position != null)
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{
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max = position.PositionId;
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}
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else
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{
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swap_position swap_Position = new swap_position();
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swap_Position.PosiDirection = direction;
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swap_Position.PositionType = swap_Flow_Summary.BsType;
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swap_Position.SwapTradeId = swap_Flow_Summary.SwapTradeId ?? 0;
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swap_Position.UnderlyingCode = swap_Flow_Summary.UnderlyingCode;
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swap_Position.PosiQuantity = swap_Flow_Summary.TradingQty;
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swap_Position.PosiTradingFee = swap_Flow_Summary.TradingFee;
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swap_Position.ContractSize = swap_Flow_Summary.ContractSize;
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swap_Position.IsInitial = true;
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swap_Position.PosiStartDate = swap_Flow_Summary.OccurTime;
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swap_Position.PosiMatuirityDate = matuirityDate;
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swap_Position.OptId = UserId;
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swap_Position.OptName = UserName;
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swap_Position.OptTime = DateTime.Now;
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DbContext.swap_position.Add(swap_Position);
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DbContext.SaveChanges();
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max = swap_Position.id;
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swap_Position.PosiNumber = $"{tradeNumber}-{max}";
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}
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return max;
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}
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public long GetPositionId(swap_flow_merge swap_Flow_Summary, DateTime matuirityDate, int direction, string tradeNumber)
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{
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long max = 0;
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swap_position swap_Position = new swap_position();
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swap_Position.PosiDirection = direction;
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swap_Position.PositionType = swap_Flow_Summary.BsType;
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swap_Position.SwapTradeId = swap_Flow_Summary.SwapTradeId ?? 0;
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swap_Position.UnderlyingCode = swap_Flow_Summary.UnderlyingCode;
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swap_Position.PosiQuantity = swap_Flow_Summary.TradingQty;
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swap_Position.PosiTradingFee = swap_Flow_Summary.TradingFee;
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swap_Position.ContractSize = swap_Flow_Summary.ContractSize;
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swap_Position.IsInitial = true;
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swap_Position.PosiStartDate = swap_Flow_Summary.OccurTime;
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swap_Position.PosiMatuirityDate = matuirityDate;
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swap_Position.OptId = UserId;
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swap_Position.OptName = UserName;
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swap_Position.OptTime = DateTime.Now;
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DbContext.swap_position.Add(swap_Position);
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DbContext.SaveChanges();
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max = swap_Position.id;
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swap_Position.PosiNumber = $"{tradeNumber}-{max}";
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return max;
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}
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/// <summary>
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/// 添加交易操作日志
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/// </summary>
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public void AddTradeOperationHistory(bool saveChanges, OtcTradeBase trade, string optType, string comments = null)
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{
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DbContext.TradeAuditLog.Add(new TradeAuditLog
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{
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TradeId = trade.id,
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AuditFlag = TradeAuditFlag.operation,
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OptType = optType,
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Changes = comments ?? string.Empty,
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DataType = "00",
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OptId = UserId,
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OptName = UserName,
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OptDate = OptDate
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});
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if (saveChanges)
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{
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DbContext.SaveChanges();
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}
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}
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/// <summary>
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/// 获取平仓/互换记录
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/// </summary>
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/// <param name="tradeId">交易编码</param>
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/// <param name="valueDate">日期</param>
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/// <param name="eventTypes">互换事件类型</param>
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/// <param name="lessValueDate">是否查询小于日期</param>
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/// <returns></returns>
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public List<swap_flow_event> GetSwapFlowEvents(int tradeId, DateTime? valueDate, List<int> eventTypes)
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{
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Expression<Func<swap_flow_event, bool>> eventExpression = x => x.SwapTradeId == tradeId && x.DataState == (int)SwapFlowDateStateEnum.完成 && eventTypes.Contains(x.EventType);
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if (valueDate.HasValue)
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{
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eventExpression = eventExpression.And(x => x.UnwindDate == valueDate);
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}
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List<swap_flow_event> swapFlowEvents = DbContext.swap_flow_event.Where(eventExpression).ToList();
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return swapFlowEvents;
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}
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/// <summary>
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/// 获取交易平仓/互换事件所有信息
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/// </summary>
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/// <param name="tradeId"></param>
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/// <param name="eventTypes"></param>
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/// <returns></returns>
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public List<swap_event> GetSwapEvents(int tradeId, List<int> eventTypes)
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{
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Expression<Func<swap_event, bool>> eventExpression = x => x.SwapTradeId == tradeId && !x.Invalid && eventTypes.Contains(x.EventType) && x.ClientCashId > 0;
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var swapEvents = DbContext.swap_event.Where(eventExpression).ToList();
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var swapFlowEvents = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId && x.DataState == (int)SwapFlowDateStateEnum.完成);
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var swapPositions = DbContext.swap_position.Where(x => x.SwapTradeId == tradeId && !string.IsNullOrEmpty(x.UnderlyingCode) && !x.Invalid).ToList();
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foreach (var item in swapEvents)
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{
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item.unwindData = JsonConvert.DeserializeObject<UnwindData>(item.EventData);
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item.unwindData.FlowEvents = swapFlowEvents.Where(x => x.EventId == item.id).ToList();
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item.unwindData.FlowEvents.ForEach(x =>
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{
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var position = swapPositions.FirstOrDefault(n => n.id == x.PositionId && n.IsInitial);
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var positionReal = swapPositions.FirstOrDefault(n => n.PositionId == x.PositionId && !n.IsInitial);
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if (position != null)
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{
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x.PosiGrossPrice = position.PosiGrossPrice;
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x.PosiNetPrice = position.PosiNetPrice;
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}
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//if (positionReal!=null)
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//{
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// x.PositionQty = positionReal.PosiQuantity;
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//}
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});
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}
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return swapEvents;
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}
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/// <summary>
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/// 获取平仓/互换信息
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/// </summary>
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/// <param name="tradeId"></param>
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/// <param name="eventType"></param>
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/// <returns></returns>
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public swap_event GetSwapEvent(int tradeId, int eventType)
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{
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Expression<Func<swap_event, bool>> eventExpression = x => x.SwapTradeId == tradeId && !x.Invalid && x.EventType == eventType && x.ClientCashId == 0;
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var swapEvent = DbContext.swap_event.Where(eventExpression).OrderByDescending(o => o.id).FirstOrDefault();
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var swapFlowEvents = DbContext.swap_flow_event.Where(x => x.EventId == swapEvent.id);
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var swapPositions = DbContext.swap_position.Where(x => x.SwapTradeId == tradeId && !string.IsNullOrEmpty(x.UnderlyingCode) && !x.Invalid).ToList();
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if (swapEvent != null)
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{
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swapEvent.unwindData = JsonConvert.DeserializeObject<UnwindData>(swapEvent.EventData);
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swapEvent.unwindData.FlowEvents = swapFlowEvents.Where(x => x.EventDate == swapEvent.ValueDate).ToList();
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swapEvent.unwindData.FlowEvents.ForEach(x =>
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{
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var position = swapPositions.FirstOrDefault(n => n.id == x.PositionId && n.IsInitial);
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if (position != null)
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{
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x.PosiGrossPrice = position.PosiGrossPrice;
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x.PosiNetPrice = position.PosiNetPrice;
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//if (eventType==(int)SwapEventTypeEnum.互换)
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//{
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// x.TradingAmountAvg = x.TradingAmount / (x.PositionQty*x.ContractSize);
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//}
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//else
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//{
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// x.TradingAmountAvg = x.TradingAmount / (swapEvent.unwindData.CloseQty * x.ContractSize);
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//}
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}
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});
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}
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return swapEvent;
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}
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/// <summary>
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/// 获取上一互换交易事件处理日期
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/// </summary>
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/// <param name="tradeId"></param>
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/// <param name="valueDate"></param>
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/// <param name="eventTypes"></param>
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/// <returns></returns>
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public DateTime? GetPreDealDate(int tradeId, DateTime valueDate, List<int> eventTypes)
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{
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Expression<Func<swap_event, bool>> eventExpression = x => x.SwapTradeId == tradeId && x.ValueDate <= valueDate && !x.Invalid && eventTypes.Contains(x.EventType);
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var swapEvent = DbContext.swap_event.Where(eventExpression).OrderByDescending(o => o.ValueDate).FirstOrDefault();
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if (swapEvent == null)
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{
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return null;
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}
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return swapEvent.ValueDate;
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}
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/// <summary>
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/// 收益互换 客户资金记录保存
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/// </summary>
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/// <param name="td">主交易信息</param>
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/// <param name="amount">平仓盈亏</param>
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/// <param name="action">操作类型</param>
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/// <param name="valueDate">操作日期</param>
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/// <returns></returns>
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/// <exception cref="Exception"></exception>
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public int CloseTrade_ClientCashInCashOut(OtcTradeBase td, double amount, string action, DateTime valueDate)
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{
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var cl = DataCacheProvider.GetClientDataSource().GetData(td.ClientId);
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if (cl == null)
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{
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throw new Exception("客户信息未找到,交易编号:" + td.TradeNumber);
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}
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var ee = DbContext.ClientCashInCashOut.FirstOrDefault(x => x.TradeId == td.id && x.Action == action && x.HappenDate == valueDate);
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if (ee == null)
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{
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//增加出入金记录
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ee = new ClientCashInCashOut();
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ee.CreateDate = DateTime.Now;
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ee.CreatorId = UserId;
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ee.CreatorName = UserName;
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}
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ee.Direction = "应收";
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ee.Number = UniqueTimeId.GetStr();
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ee.ClientId = cl.id;
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ee.ClientNumber = cl.Number;
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ee.ClientName = cl.Name;
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ee.Money = amount;
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ee.CurrencyCode = td.SettlementCurrency;
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ee.HappenDate = valueDate;
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ee.State = ClientCashInCashOut.已确认;
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ee.OptId = UserId;
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ee.OptName = UserName;
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ee.OptDate = DateTime.Now;
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ee.TradeId = td.id;
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ee.Action = action;
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ee.ValidState = "Valid";
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ee.TradeNumber = td.TradeNumber;
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ee.CurrencyCode = "CNY";
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if (ee.id == 0)
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{
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DbContext.ClientCashInCashOut.Add(ee);
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}
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DbContext.SaveChanges();
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return ee.id;
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}
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public void AddClientCashInCashOut(OtcTradeBase td, double amount, string action, DateTime valueDate)
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{
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var cl = DataCacheProvider.GetClientDataSource().GetData(td.ClientId);
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if (cl == null)
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{
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throw new Exception("客户信息未找到,交易编号:" + td.TradeNumber);
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}
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//增加出入金记录
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var ee = new ClientCashInCashOut();
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ee.CreateDate = DateTime.Now;
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ee.CreatorId = UserId;
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ee.CreatorName = UserName;
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ee.Direction = "应收";
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ee.Number = UniqueTimeId.GetStr();
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ee.ClientId = cl.id;
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ee.ClientNumber = cl.Number;
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ee.ClientName = cl.Name;
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ee.Money = amount;
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ee.CurrencyCode = td.SettlementCurrency;
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ee.HappenDate = valueDate;
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ee.State = ClientCashInCashOut.已确认;
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ee.OptId = UserId;
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ee.OptName = UserName;
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ee.OptDate = DateTime.Now;
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ee.TradeId = td.id;
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ee.Action = action;
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ee.ValidState = "Valid";
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ee.TradeNumber = td.TradeNumber;
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ee.CurrencyCode = "CNY";
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DbContext.ClientCashInCashOut.Add(ee);
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DbContext.SaveChanges();
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}
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/// <summary>
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/// 初始化 利息计算起始日期
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="preSettleDate">上一交易日</param>
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/// <param name="td">互换交易主信息</param>
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/// <param name="interestMode">计息方式</param>
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/// <param name="interestStart">计息开始日期</param>
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/// <param name="interestEnd">计息结束日期</param>
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public bool InitInterestDate(DateTime valueDate, DateTime? preSettleDate, trade td, bool tdClose,bool calcLastNew,out DateTime interestStart, out DateTime interestEnd)
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{
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interestStart = td.StartDate.Value;
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var exerciseDate = td.ExerciseDate.Value;
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interestEnd = valueDate> exerciseDate? exerciseDate : valueDate;
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bool calcFirst = true;
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bool calcLast = true;
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if (td.trade_extend != null)
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{
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calcFirst = td.trade_extend.ExtendObj.InterestCalcMode.StartsWith("1");//算头
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calcLast = td.trade_extend.ExtendObj.InterestCalcMode.EndsWith("1");//算尾
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}
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interestStart = calcFirst ? interestStart : interestStart.AddDays(1);
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if (preSettleDate.HasValue)
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{
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interestStart = preSettleDate.Value;
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}
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if ((interestEnd == exerciseDate && !calcLast)|| !calcLastNew)
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{
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interestEnd = interestEnd.AddDays(-1);
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}
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if (interestStart > interestEnd)
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{
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interestStart = interestEnd;
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return true;//不记利息
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}
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if (tdClose)
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{
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interestStart = valueDate;
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}
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return false;
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}
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public void UpdateDbOption(DBModelBaseV2 dBModel)
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{
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dBModel.OptTime = DateTime.Now;
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dBModel.OptName = UserName;
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dBModel.OptId = UserId;
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}
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/// <summary>
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/// 合成持仓/日终归档 清除互换持仓所有信息
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/// </summary>
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/// <param name="tradeId"></param>
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public void ClearSwapPositions(trade td, DateTime valueDate, List<int> eventTypes, bool delAfter)
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{
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var swapEvents = DbContext.swap_event.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate && eventTypes.Contains(x.EventType));
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var eventIds = swapEvents.Select(s => s.id).ToList();
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var eodSwaps = DbContext.eod_swap.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate).ToList();
|
|
if (delAfter)
|
|
{
|
|
var swapFlowEvents = DbContext.swap_flow_event.Where(x => x.SwapTradeId == td.id && x.UnwindDate >= valueDate && x.DataState > (int)SwapFlowDateStateEnum.废弃 && eventTypes.Contains(x.EventType)).ToList();
|
|
var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate).ToList();
|
|
DbContext.eod_swap_position.RemoveRange(eodSwapPositions);
|
|
DbContext.swap_flow_event.RemoveRange(swapFlowEvents);
|
|
}
|
|
DbContext.swap_event.RemoveRange(swapEvents);
|
|
DbContext.eod_swap.RemoveRange(eodSwaps);
|
|
DbContext.SaveChanges();
|
|
}
|
|
/// <summary>
|
|
/// 获取上一交易日
|
|
/// </summary>
|
|
/// <param name="valueDate">当前交易日</param>
|
|
/// <returns></returns>
|
|
public DateTime GetPreValueDate(DateTime valueDate)
|
|
{
|
|
var preSettleDate = valuedateBLL.GetNonHolidayDefore(valueDate.AddDays(-1));//上一交易日
|
|
return preSettleDate;
|
|
}
|
|
/// <summary>
|
|
/// 判断交易上一交易日是否收盘
|
|
/// </summary>
|
|
/// <param name="valueDate">交易日期</param>
|
|
/// <param name="tradeStartDate">交易开始日期</param>
|
|
/// <returns></returns>
|
|
/// <exception cref="ServiceException"></exception>
|
|
public DateTime CheckLastEod(DateTime valueDate, DateTime tradeStartDate, int tradeId)
|
|
{
|
|
var preSettleDate = GetPreValueDate(valueDate);//上一交易日期
|
|
List<eod_swap_position> lastEodPositions = new SwapEodPositionService(this).GetPreEodPositions(tradeId, preSettleDate);//上一交易数据
|
|
if (preSettleDate > tradeStartDate && lastEodPositions.Count == 0)
|
|
{
|
|
throw new ServiceException($"上一交易日【{preSettleDate:D}】未收盘");
|
|
}
|
|
return preSettleDate;
|
|
}
|
|
/// <summary>
|
|
/// 是否有审批流程
|
|
/// </summary>
|
|
/// <returns></returns>
|
|
public bool HasTradeProcess()
|
|
{
|
|
return DbContext.approvalprocess.Where(t => t.processType == "TradeProcess").Any();
|
|
}
|
|
}
|
|
}
|