334 lines
18 KiB
C#
334 lines
18 KiB
C#
using Qdp.Pricing.Library.Base.Utilities;
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using System.Linq;
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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.ApiModule;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.QdpModule;
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namespace YLErp.BLL.MarginCalculation
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{
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/// <summary>
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/// 广期资本
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/// </summary>
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public class GQMarginCalculation : MarginCalculationBase
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{
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// 定义一个静态变量来保存类的实例
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public static readonly GQMarginCalculation Instance;
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static GQMarginCalculation()
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{
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Instance = new GQMarginCalculation();
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}
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// 定义私有构造函数，使外界不能创建该类实例
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protected GQMarginCalculation()
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{
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}
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public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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var resultMap = new List<trade_span>();
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resultMap.AddRange(marginCalculation(req));
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return resultMap;
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}
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/// <summary>
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/// 计算同一交易
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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private List<trade_span> marginCalculation(RunMarginCalculationReq req)
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{
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//结果集
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var resultMap = new Dictionary<int, trade_span>();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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//var mpProvider = helper.GetMarginParamProvider(MarginParamTypeEnum.MarginRate | MarginParamTypeEnum.UpDownLimit);
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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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//取出张跌停价格
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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//up涨停价 //down跌停价 //normal期权价
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var prices = new (string, IPriceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices), ("normal", req.PriceProvider) };//期初价格
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foreach (var price in prices)
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{
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var key = $"{price.Item1}";
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//计算交易风险指标 计算Pv
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var tradeRiskResult2 = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: req.tradeList,
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calcScenario: req.GetCalcScenario(),//日终持仓预付金
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priceProvider: price.Item2,//计算接口期初价格
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pricingRequest: QdpPricingRequest.PV_ONLY,
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addVolRateDic: null,
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volType: req.volType,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin,
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isAddVolPercent: false);
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if (tradeRiskResult2.Results == null || tradeRiskResult2.Results.Count < 1)
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{
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continue;
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}
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foreach (var item in tradeRiskResult2.Results)
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{
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//var client= helper.GetClient(item.Trade.ClientId);
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//获取交易值和span
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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var value = item.ValueResult.Pv;
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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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//算出三个pv
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case "up":
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tempTradeSpan.Spv1 = value;
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break;
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case "normal":
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tempTradeSpan.Spv2 = value;
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tempTradeSpan.Comment += " normal:" + item.ValueResult.Pv.ToString() + " ;";
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break;
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case "down":
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tempTradeSpan.Spv3 = value;
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tempTradeSpan.Comment += " down:" + item.ValueResult.Pv.ToString() + " ;";
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break;
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}
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// tempTradeSpan.Spv4 = item.Trade.TradePrice;
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double key_up = 0;
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double key_down = 0;
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//该笔交易涨跌停盈亏为卖出并且期初权利金为0
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if (contains && item.Trade.BuySell == "卖出" && item.Trade.TradePrice != 0)
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{
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key_up = Math.Max((tempTradeSpan.Spv1 ?? 0) - (tempTradeSpan.Spv2 ?? 0), 0);
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logger.Info($"该交易;{item.Trade.TradeNumber} 價格：{price.Item2.GetPrice(item.Trade.UnderlyingCode)} 卖出并且期初权利金不为0涨盈亏为：{key_up} PV1-PV{tempTradeSpan.Spv1}-{tempTradeSpan.Spv2}");
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}
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else
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{
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key_up = (tempTradeSpan.Spv1 ?? 0) - (tempTradeSpan.Spv2 ?? 0);
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logger.Info($"该交易;{item.Trade.TradeNumber} 價格：{price.Item2.GetPrice(item.Trade.UnderlyingCode)} 涨盈亏为：{key_up} PV1-PV{tempTradeSpan.Spv1}-{tempTradeSpan.Spv2}");
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}
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//跌停盈亏
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if (contains && item.Trade.BuySell == "卖出" && item.Trade.TradePrice != 0)
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{
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key_down = Math.Max((tempTradeSpan.Spv3 ?? 0) - (tempTradeSpan.Spv2 ?? 0), 0);
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logger.Info($"该交易;{item.Trade.TradeNumber} 價格：{price.Item2.GetPrice(item.Trade.UnderlyingCode)} 卖出并且期初权利金不为0跌盈亏为：{key_down} PV-PV2{tempTradeSpan.Spv2}-{tempTradeSpan.Spv3} ");
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}
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else
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{
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key_down = (tempTradeSpan.Spv3 ?? 0) - (tempTradeSpan.Spv2 ?? 0);
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logger.Info($"该交易;{item.Trade.TradeNumber} 價格：{price.Item2.GetPrice(item.Trade.UnderlyingCode)} 跌盈亏为：{key_down} PV-PV2{tempTradeSpan.Spv2}-{tempTradeSpan.Spv3} ");
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}
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tempTradeSpan.WorstCastClientPayable = Math.Max(key_up, key_down);
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LogFactory.GetLogger("涨跌盈亏最大").Info(tempTradeSpan.WorstCastClientPayable.ToString());
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}
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}
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return resultMap.Values.ToList();
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}
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/// <summary>
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/// 计算同一客户
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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public override 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 trades = req.tradeSpans;
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var clientGroups = req.tradeSpans.GroupBy(t => t.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var underlyingMarginDic = new Dictionary<string, double?[]>();
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var vIds = clientGroup.Select(o => o.VarietyId).Distinct();//所有品种
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//计算出所有标的pv
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foreach (var ts in clientGroup)
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{
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var td = trades.FirstOrDefault(o => o.id == ts.TradeId);
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var key = ts.UnderlyingCode + "_" + ts.VarietyId.ToString();// + "_" + td.BuySell;标的 ///VarietyId品种ID
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if (!underlyingMarginDic.ContainsKey(key))
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{
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underlyingMarginDic.Add(key, new double?[3] { ts.Spv1, ts.Spv2, ts.Spv3 });
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}
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else
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{
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var us = underlyingMarginDic[key];
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us[0] += ts.Spv1;
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us[1] += ts.Spv2;
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us[2] += ts.Spv3;
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}
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}
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//标的层面的盈亏
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var underlyingMargins = new Dictionary<string, double>();
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var VarietyMarginsByUpDown = new Dictionary<string, double>();
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var VarietyMargins = new Dictionary<string, double>();
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foreach (var item in underlyingMarginDic)
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{
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var uvCode = item.Key;
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var key_up = uvCode + "_up";
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//uvCode.Split('_')[0] + "_" + uvCode.Split('_')[1]
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var key_down = uvCode + "_down";
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if (!underlyingMargins.ContainsKey(key_up))
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{
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//与0相比取最大
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underlyingMargins.Add(key_up, Math.Max((item.Value[0] ?? 0) - (item.Value[1] ?? 0), 0));
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LogFactory.GetLogger("标的合约下所有的盈利合计= pv1-pv").Info($"{underlyingMargins.Values.ToString()}={(item.Value[0] ?? 0)} -{(item.Value[1] ?? 0)},0)");
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}
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if (!underlyingMargins.ContainsKey(key_down))
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{
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//与0相比
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underlyingMargins.Add(key_down, Math.Max((item.Value[2] ?? 0) - (item.Value[1] ?? 0), 0));
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LogFactory.GetLogger("标的合约下所有的亏损合计= pv-pv2").Info($"{underlyingMargins.Values.ToString()}={(item.Value[1] ?? 0)} -{(item.Value[2] ?? 0)},0)");
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}
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}
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//计算同一客户单品标的合约盈亏累计的和 A00_Id_up/down
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foreach (var item in underlyingMargins)
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{
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//品种 标的id盈亏
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var uvCode = item.Key;
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var vId = uvCode.Split('_')[1];
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var upDown = uvCode.Split('_')[2];
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vId = vId + upDown;
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if (VarietyMarginsByUpDown.ContainsKey(vId))
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{
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//所有盈亏累加
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VarietyMarginsByUpDown[vId] += item.Value;
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LogFactory.GetLogger("计算同一客户单品盈亏总和累计").Info(VarietyMarginsByUpDown[vId].ToString());
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}
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else
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{
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VarietyMarginsByUpDown.Add(vId, item.Value);
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LogFactory.GetLogger("1计算同一客户单品盈亏总和累计").Info(VarietyMarginsByUpDown[vId].ToString());
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}
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}
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//根据客户涨跌停品种取出合计
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foreach (var item in vIds)
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{
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var upCode = item.ToString() + "up";
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var downCode = item.ToString() + "down";
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try
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{
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var upMargin = VarietyMarginsByUpDown[upCode];
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var downMargin = VarietyMarginsByUpDown[downCode];
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if (!VarietyMargins.ContainsKey(item.ToString()))
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{
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//取最大
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VarietyMargins.Add(item.ToString(), Math.Max(upMargin, downMargin));
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LogFactory.GetLogger("客户涨跌停盈亏分别为：").Info($"{upMargin},{downMargin}");
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LogFactory.GetLogger("根据客户涨跌停品种判断取出合计").Info(VarietyMargins.Values.ToString());
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}
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}
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catch (Exception)
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{
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VarietyMargins.Add(item.ToString(), 0);
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}
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}
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foreach (var item in VarietyMargins)
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{
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if (int.TryParse(item.Key, out int varietyId))
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{
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//根据品种
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var varietyGroup = clientGroup.Where(o => o.VarietyId == varietyId);
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//var tradePricedic = trades.GroupBy(l => new { l.ClientId }).(tradePricedic.Where(t => t.kv == ts.VarietyId && t.kc == ts.ClientId).FirstOrDefault()?.v) ?item.Value : 0;
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//Select(s => new { kc = s.Key.ClientId, v = Math.Min(s.Sum(item.Key) ?? 0,0) });
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var t = 0;
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foreach (var ts in varietyGroup)
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{
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//所有单客户品种所有标的期初取最小 //因为不与单客户收支比较因此取客户涨停盈亏合计
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// var sh = Math.Max(varietyGroup.Sum(s => s.Spv4) ?? 0, 0);
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//单品种维持预付金
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var aa = item.Value; //> sh ? item.Value : 0;
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var dbts = db.trade_span.FirstOrDefault(o => o.id == ts.id);
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if (dbts != null)
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{
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dbts.WorstCastClientPayable = t == 0 ? aa : 0;//将多笔交易放到一笔交易
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logger.Info($"单客户涨跌停品种盈亏合计为{aa}");
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}
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var dbts1 = req.tradeSpans.FirstOrDefault(o => o.id == ts.id);
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dbts1.WorstCastClientPayable = t == 0 ? aa : 0;
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t++;
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}
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}
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}
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//所有品种维持预付金加总
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var clientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key ?? 0,
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ValueDate = req.settleDate,
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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 = req.tradeSpans.Where(O => O.ClientId == (clientGroup.Key ?? 0)).Sum(O => O.WorstCastClientPayable ?? 0) * -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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AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
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&& req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key ?? 0, out var dd) ? dd : 0
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};
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LogFactory.GetLogger("该客户当日维持预付金所有预付金总和：").Info(clientSpan.ToString());
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LogFactory.GetLogger("该客户当日维持预付金所有预付金VarietyMargins总和：").Info(clientSpan.VariationMargin.ToString());
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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)}=@SpanType", new { 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).ToList();
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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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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 override 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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if (req.trade.TradeType == "结构化交易")
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{
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req.trade.SubTrades = db.trade.Where(x => x.ParentTradeId == req.trade.id).ToList();
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}
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}
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var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
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if (null != tradeMargin)
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{
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return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
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}
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return 0.0;
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}
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}
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}
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