315 lines
15 KiB
C#
315 lines
15 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Base.Utilities;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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using YLErp.BLL.Eod;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.TradeModule.ExoticOptionModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.DealModule
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{
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/// <summary>
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/// 二元期权操作
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/// 迁移自：trade_binary_optionBLL
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/// </summary>
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public class BinaryOptionDealService : TradeCashServiceEx
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{
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public BinaryOptionDealService(YLBaseService baseService) : base(baseService)
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{
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}
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public BinaryOptionDealService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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///
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/// </summary>
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public void CheckTouchStatus(DateTime valueDate, IEodPriceProviderV2 priceProvider, DateTime? startDate = null,
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Action<OtcTrade, trade_binary_option> afterKnowInOut = null, System.Collections.Generic.IEnumerable<int> clienIds = null)
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{
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if (priceProvider is null)
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{
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priceProvider = new EodPriceProvider(valueDate);
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}
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if (startDate == null)
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{
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startDate = valueDate.AddYears(-5);
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}
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var query = from td in DbContext.trade
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join tb in DbContext.trade_binary_option on td.id equals tb.TradeId
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where td.TradeDate > startDate.Value && td.TradeDate <= valueDate
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&& td.ExerciseDate >= valueDate
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&& ConsTrade.确认成交 == td.TradeStatus
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&& td.ValidState != ConsGlobal.InValid
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&& td.TradeType == "二元期权" && td.ExerciseMode == "American"
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&& td.DividendDate < valueDate
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select new
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{
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trade = td,
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tradeBinary = tb
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};
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#region 增加客户筛选 tw
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if (clienIds != null)
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{
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query = query.Where(l => clienIds.Contains(l.trade.ClientId));
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}
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#endregion
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var trades = query.ToList();
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if (trades == null || !trades.Any())
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{
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return;
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}
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// 美式二元检查
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foreach (var tr in trades)
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{
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if (tr.trade.ExerciseDate < valueDate)
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{
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continue;//已到期交易不再观察;
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}
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var tradeStatus = tr.trade.TradeStatus;
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if (!priceProvider.TryGetEodPrice(tr.trade.UnderlyingCode, out var eodprice))
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{
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throw new Exception($"[{tr.trade.TradeType}:{tr.trade.TradeNumber}]标的:{tr.trade.UnderlyingCode} 未找到结算价");
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}
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double? upPrice = 0, lowPrice = 0;
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var isObservationDate = false;
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//根据是否为离散观察来确定用来比较的价格
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//如果是离散观察，只用收盘价比较
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//如果是连续观察，使用最高价和最低价
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if (tr.tradeBinary.IsDiscreteMonitored)
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{
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var observationDates = QdpHelper.GetObservationDatesFromString(tr.tradeBinary.ObservationDates);
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if (observationDates == null || observationDates.Contains(valueDate))
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{
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isObservationDate = true;
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upPrice = lowPrice = eodprice.ClosePrice;
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}
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}
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else
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{
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isObservationDate = true;
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upPrice = eodprice.HighPrice;
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lowPrice = eodprice.LowPrice;
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}
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var strike = tr.trade.IsMoneynessOptionData ? tr.trade.Strike * tr.trade.SpotPrice : tr.trade.Strike;
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var UpperBarrier = new Lazy<double?>(() =>
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tr.trade.IsMoneynessOptionData ? tr.tradeBinary.UpperBarrier * tr.trade.SpotPrice : tr.tradeBinary.UpperBarrier);
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if (isObservationDate)
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{
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switch (tr.tradeBinary.PayoffType)
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{
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case "UpOneTouch":
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if (upPrice > strike)
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{
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//触碰，买方获得盈利，交易结束
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var cash = GetCashOrNothingAmount(tr.trade, tr.tradeBinary, valueDate, useHighAmount: false);
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, cash, true, upPrice);
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tr.trade.TradeStatus = ConsTrade.已执行;
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tr.trade.UnWindDate = valueDate;
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}
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else if (tr.trade.ExerciseDate <= valueDate)
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{
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, 0, false, upPrice);
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}
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break;
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case "DownOneTouch":
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if (lowPrice < strike)
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{
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//触碰，买方获得盈利，交易结束
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var cash = GetCashOrNothingAmount(tr.trade, tr.tradeBinary, valueDate, useHighAmount: false);
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, cash, true, lowPrice);
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tr.trade.TradeStatus = ConsTrade.已执行;
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tr.trade.UnWindDate = valueDate;
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}
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else if (tr.trade.ExerciseDate <= valueDate)
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{
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, 0, false, lowPrice);
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}
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break;
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case "UpNoTouch":
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if (upPrice > strike)
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{
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//触碰，买方无盈利，交易结束
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, 0, false, upPrice);
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tr.trade.TradeStatus = ConsTrade.已到期;
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tr.trade.UnWindDate = valueDate;
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}
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break;
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case "DownNoTouch":
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if (lowPrice < strike)
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{
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//触碰，买方无盈利，交易结束
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, 0, false, lowPrice);
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tr.trade.TradeStatus = ConsTrade.已到期;
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tr.trade.UnWindDate = valueDate;
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}
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break;
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case "DoubleOneTouch":
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if (upPrice >= UpperBarrier.Value || lowPrice <= strike)
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{
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var breachHighBarrier = upPrice >= UpperBarrier.Value;
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var price = breachHighBarrier ? upPrice : lowPrice;
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var cash = GetCashOrNothingAmount(tr.trade, tr.tradeBinary, valueDate, useHighAmount: breachHighBarrier);
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//触碰上限或下限，买方获得盈利，交易结束
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, cash, true, price);
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tr.trade.TradeStatus = ConsTrade.已执行;
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tr.trade.UnWindDate = valueDate;
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}
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else if (tr.trade.ExerciseDate <= valueDate)
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{
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, 0, false, eodprice.ClosePrice);
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}
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break;
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case "DoubleNoTouch":
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if (upPrice > UpperBarrier.Value || lowPrice < strike)
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{
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var price = upPrice >= tr.tradeBinary.UpperBarrier ? upPrice : lowPrice;
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//触碰上限或下限，买方无盈利，交易结束
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, 0, false, price);
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tr.trade.TradeStatus = ConsTrade.已到期;
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tr.trade.UnWindDate = valueDate;
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}
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break;
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}
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}
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//OneTouch类型，到期仍未触碰，则交易结束
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if (tr.tradeBinary.PayoffType.Contains("OneTouch") && tr.trade.ExerciseDate <= valueDate)
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{
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//SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, 0, false, eodprice.ClosePrice);
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tr.trade.TradeStatus = ConsTrade.已到期;
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tr.trade.UnWindDate = valueDate;
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}
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//NoTouch类型，到期仍未触碰，买方获得盈利，交易结束
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if (tr.tradeBinary.PayoffType.Contains("NoTouch") && tr.trade.ExerciseDate <= valueDate && !ConsTrade.TradeCompleteStatus.Contains(tr.trade.TradeStatus))
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{
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var cash = GetCashOrNothingAmount(tr.trade, tr.tradeBinary, valueDate, useHighAmount: false);
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SaveBinarySettleCash(tr.trade, tr.tradeBinary, valueDate, cash, false, eodprice.ClosePrice);
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tr.trade.TradeStatus = ConsTrade.已执行;
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tr.trade.UnWindDate = valueDate;
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}
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if (tradeStatus != tr.trade.TradeStatus)
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{
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//删除E/Bod_Trade记录
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RemoveEodTradeAndFutureInfo(false, tr.trade.id, valueDate);
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}
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if (afterKnowInOut != null && DbContext.Entry(tr.tradeBinary).State == EntityState.Modified)
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{
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afterKnowInOut(tr.trade, tr.tradeBinary);
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}
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//更新，不能放到循环外，黑箱交易的子交易相互有依赖关系
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DbContext.SaveChanges();
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}
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}
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/// <summary>
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///
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/// </summary>
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public static double GetCashOrNothingAmount(OtcTradeBase trade, trade_binary_option tradeBinary, DateTime settleDate, bool useHighAmount = false)
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{
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var result = (trade.Notional / trade.OriginalNotional * (trade.OriginalPrincipalSum ?? 0)) ?? 0;
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double refund;
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if (trade.IsUsePremiumRate == true)
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{
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var rate = useHighAmount ? tradeBinary.CashOrNothingAmountHighRate : tradeBinary.CashOrNothingAmountRate;
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refund = Math.Abs((rate ?? 0) * (trade.SpotPrice ?? 0) * trade.Notional);
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}
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else
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{
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var amount = useHighAmount ? tradeBinary.CashOrNothingAmountHigh : tradeBinary.CashOrNothingAmount;
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refund = Math.Abs((amount ?? 0) * trade.Notional);
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}
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if (tradeBinary.RebateAnnualizedAtKO)
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{
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var rebateDayCountImpl = string.IsNullOrWhiteSpace(tradeBinary.RebateDayCount) ? new Act365() : tradeBinary.RebateDayCount.ToDayCountImpl();
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var fraction = rebateDayCountImpl.CalcDayCountFraction(new Date(trade.StartDate.Value), new Date(settleDate));
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refund *= fraction;
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refund += Math.Abs((trade.TradePrice - trade.TradePrice * fraction) ?? 0);
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}
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return result + refund;
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}
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/// <summary>
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/// 美式二元期权触碰后，买方获得盈利，记录资金信息
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/// </summary>
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public trade_cash SaveBinarySettleCash(OtcTradeBase td, trade_binary_option tradeBinary, DateTime valuedate, double cash, bool earlyExecute, double? price, bool saveChanges = true)
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{
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var tradeCash = new trade_cash
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{
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ValidState = "Valid",
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OptDate = DateTime.Now,
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OptId=UserId,
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OptName=UserName,
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Action = ClientCashInCashOut.系统操作_行权费,
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IsLastAction = true,
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ValueDate = valuedate,
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Strike = td.Strike,
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CallPut = td.CallPut,
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Amount = cash * EodOperationBase.GetSign(td.BuySell),
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UnwindPrice = cash / td.Notional,
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UnwindPricePercentRate = cash / td.OriginalStockEqvNotional,
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Status = TradeCashStatusEnum.已执行,
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TradeType = td.BuySell,
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TradeId = td.id,
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Notional = td.Notional,
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TradeAmount = td.TradeAmount,
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UnwindPercentRate = td.OriginalNotional > 0 ? td.Notional / td.OriginalNotional : 0,
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FinalPrice = price,
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ExerciseWay = earlyExecute ? TradeCashExerciseWayEnum.提前终止行权 : TradeCashExerciseWayEnum.到期行权
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};
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if (tradeBinary.RebateType == "AtEnd")
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{
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tradeCash.ValueDate = td.ExerciseDate.Value;
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tradeCash.HappenedDate = valuedate;
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}
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if (saveChanges)
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{
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if (td.IsGroup == 2 && td.ParentTradeId > 0)
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{
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var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == td.id && x.Status != "已完成");
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if (groupAction != null)
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{
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groupAction.Status = "已完成";
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tradeCash.ParentTradeCashId = groupAction.ParentTradeCashId;
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tradeCash.ParentTradeId = groupAction.ParentTradeId;
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}
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else
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{
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tradeCash.ParentTradeId = td.ParentTradeId;
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tradeCash.ParentTradeCashId = SaveGroupUnwindCash(td, tradeCash.ValueDate, tradeCash.Amount, price ?? 0, out bool continueTradeCashHandle).id;
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}
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}
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DbContext.trade_cash.Add(tradeCash);
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DbContext.SaveChanges();
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SaveTradeCashDetail(tradeCash);
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new ClientCashinCashoutBLL(this).CloseTrade_ClientCashInCashOutSave(td, tradeCash, tradeCash.ValueDate);
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}
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return tradeCash;
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}
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}
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}
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