317 lines
17 KiB
C#
317 lines
17 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using YLErp.BLL;
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using YLErp.BLL.Eod;
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using YLErp.BLL.EodSettlement;
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using YLErp.DBModels;
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using YLErp.Model;
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using YLErp.Models;
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using YLErp.Modules.EodModule.QueryModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// trs交易端客户资金监控服务
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/// </summary>
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public class SwapMonitorService : YLBaseService
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{
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public SwapMonitorService(OptUserInfo optUser) : base(optUser)
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{
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}
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public ClientBalanceMonitorForTrsRespone GetMonitorForTrsRespone(ClientBalanceMonitorFroTrsRequest request)
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{
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var valueDate = valuedateBLL.ValueDate;
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ClientBalanceMonitorForTrsRespone balanceMonitorForTrsRespone = new ClientBalanceMonitorForTrsRespone();
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var swapMonitorConfgValue = AppManager.GetSwapMonitorValue();
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SwapMonitorConfig monitorConfig = new SwapMonitorConfig();
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if (!string.IsNullOrEmpty(swapMonitorConfgValue))
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{
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monitorConfig = JsonHelper.Deserialize<SwapMonitorConfig>(swapMonitorConfgValue);
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}
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balanceMonitorForTrsRespone.WarningLine = monitorConfig.WarningLine * 0.01;
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balanceMonitorForTrsRespone.UnwindLine = monitorConfig.UnwindLine * 0.01;
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if (!request.ClientIds.Any())
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{
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var clientPredicate = PredicateBuilder.Create<Client>(x => x.ProcessStatus == "已开户");
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var clientquery = DataCacheProvider.GetClientDataSource().AsQueryable(clientPredicate);
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request.ClientIds = clientquery.Select(s => s.id).ToList();
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}
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var balances = ClientBalanceUtility.GetClientBanlances(request.ClientIds, DateTime.MinValue, valueDate).ToList();
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balanceMonitorForTrsRespone.BalanceMonitorForTrsItems = MapToMonitorForTrsItems(balances);
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var lastBalances = clientBalanceDailies(request.ClientIds, 1, valueDate);
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MapToClientBalanceMonitor(balanceMonitorForTrsRespone, balances, lastBalances);
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return balanceMonitorForTrsRespone;
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}
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/// <summary>
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/// 获取客户历史资金记录
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/// </summary>
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/// <param name="request"></param>
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/// <returns></returns>
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public List<ClientBalanceMonitorForTrsItem> GetMonitorForTrsBuyDailyRespone(ClientBalanceMonitorFroTrsRequest request)
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{
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var valueDate = valuedateBLL.ValueDate;
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var lastBalances = clientBalanceDailies(request.ClientIds, request.SearchDays, valueDate);
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return MapToMonitorForTrsItems(lastBalances);
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}
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/// <summary>
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/// 获取客户历史资金结算
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/// </summary>
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/// <param name="clientIds"></param>
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/// <param name="searchDays"></param>
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/// <param name="valueDate"></param>
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/// <returns></returns>
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private List<ClientSettleBalance> clientBalanceDailies(List<int> clientIds, int searchDays, DateTime valueDate)
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{
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List<ClientSettleBalance> clientSettleBalances = new List<ClientSettleBalance>();
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if (!clientIds.Any()|| searchDays == 0)
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{
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return clientSettleBalances;
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}
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var lastBalanceDate = EodOperationBase.GetLastSettlementDate(valueDate);
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if (lastBalanceDate == valueDate)
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{
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lastBalanceDate = QdpCalendarHelper.GetNonHolidayDefore(valueDate.AddDays(-1));
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}
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var days = QdpCalendarHelper.GetWorkingDatesBeforeDate(lastBalanceDate, searchDays);
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var firstDay = days.OrderBy(s => s).First();
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var endQuery = from t in DbContext.ClientBalanceDaily
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join cs in DbContext.client_span.Where(eod_cs => eod_cs.SpanType == ClientSpan.SpanType_Eod) on new { t.ClientId, ValueDate = t.BalanceDate } equals new { cs.ClientId, cs.ValueDate }
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into eodClientSpan
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from cs in eodClientSpan.DefaultIfEmpty()
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where t.BalanceDate >= firstDay
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&& clientIds.Contains(t.ClientId)
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select new
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{
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ClientId = t.ClientId,
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ValueDate = t.BalanceDate,
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FreezePremium = t.FrozenPremium ?? 0.0,
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ReceivablesPremium = 0.0,
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AmountFund = t.ToDayRemainFund ?? 0.0,
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GuaranteesTotalAmount = t.TodayRemianFundProduct ?? 0.0,
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//仅用于广期资本可用资金计算
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//可用资金1 = 净入金 + 已实现盈亏 + 浮动盈亏 - 次日最大亏损；
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//可用资金2 = 净入金 + 已实现盈亏 - 持仓期初净支付权利金；
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//可用资金 = min(可用资金1，可用资金2)；
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AvailableAmount1 = (t.NetFundSum ?? 0) + (t.WinLossSum ?? 0) + (t.PositionPnl ?? 0) + (cs.WorstCastClientPayable ?? 0),
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AvailableAmount2 = (t.NetFundSum ?? 0) + (t.WinLossSum ?? 0) - (t.OptionPremiumSum ?? 0) - (t.OptionPremiumSwapSum ?? 0),
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AvailableAmount = (t.MarginBalance ?? 0.0) + (t.PayableMargin ?? 0.0) - (t.FrozenMarginMoney ?? 0.0) - (t.TodayRemianFundProduct ?? 0.0),//t.FrozenMarginMoney是通道业务显示所用到的
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TotalCredit = t.Credit ?? 0.0,
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PayableMargin = t.PayableMargin ?? 0.0,
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DeltaMargin = t.DeltaMargin ?? 0d,
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SwapPayableMargin = t.SwapPayableMargin ?? 0.0,
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SwapUnPayableMargin = t.SwapUnPayableMargin ?? 0.0,
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TwoSideMargin = t.TwoSideMargin ?? 0.0,
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OtherSideMargin = t.OtherSideMargin ?? 0.0,
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MySideMargin = t.MySideMargin ?? 0.0,
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IsPayableMarginManual = t.IsPayableMarginManual,
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IsPayableMarginLock = cs == null ? false : cs.ModifiedFlag,
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FrozenMarginMoney = t.FrozenMarginMoney ?? 0.0,
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FrozenOutFund = t.FrozenOutFund ?? 0.0,
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MarginBalance = t.MarginBalance ?? 0.0,
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Coupon = t.Coupon ?? 0.0,
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SwapBalance = t.SwapBalance ?? 0.0,
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Margin = t.Margin ?? 0.0,
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//IsTradeCredit = t.IsTradeCredit ?? c.IsTradeCredit == 1,
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TodayNewMargin = 0,
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PositionPv = t.Pv ?? 0,
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RoundedPositionPv = t.RoundedPv ?? 0,
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SellPv = t.SellPv ?? 0,
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PrepaymentAmount = t.PrepaymentAmount ?? 0.0,
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DaliyPnl = t.DailyPnl ?? 0,
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PositionPnl = t.PositionPnl ?? 0,
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RoundedPositionPnl = t.RoundedPositionPnl ?? 0,
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ClientSellPositionPnl = t.ClientSellPositionPnl ?? 0,
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PositionPremiumNetCash = t.PositionPremiumNetCash ?? 0,
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LastDayPositionPremiumNetCash = t.LastDayPositionPremiumNetCash ?? 0,
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SellTradePrice = t.SellTradePrice,
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AvailableStockEqvNotional = t.AvailableStockEqvNotional ?? 0,
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FrozenBalance = t.FrozenBalance ?? 0,
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TdWinLoss = t.WinLoss,
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MarginJson = cs.PVJsons
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};
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var endDatas = endQuery.ToArray();
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foreach (var data in endDatas)
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{
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var client = DataCacheProvider.GetClientDataSource().GetData(data.ClientId);
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ClientSettleBalance balance = new ClientSettleBalance();
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balance.ClientId = data.ClientId;
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balance.ValueDate = data.ValueDate;
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balance.FrozenBalance = data.FrozenBalance;
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balance.FreezePremium = data.FreezePremium;
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balance.ReceivablesPremium = data.ReceivablesPremium;
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balance.AmountFund = data.AmountFund;
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balance.AvailableAmount = data.AvailableAmount;
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balance.TotalCredit = data.TotalCredit;
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balance.PayableMargin = data.PayableMargin;
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balance.GuaranteesTotalAmount = data.GuaranteesTotalAmount;
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balance.AvailableAmount = balance.AmountFund + balance.TotalCredit + balance.PayableMargin + balance.GuaranteesTotalAmount;
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balance.DeltaMargin = data.DeltaMargin;
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balance.SwapPayableMargin = data.SwapPayableMargin;
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balance.SwapUnMargin = data.SwapUnPayableMargin;
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balance.TwoSideMargin = data.TwoSideMargin;
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balance.OtherSideMargin = data.OtherSideMargin;
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balance.MySideMargin = data.MySideMargin;
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balance.IsPayableMarginManual = data.IsPayableMarginManual;
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balance.IsPayableMarginLock = data.IsPayableMarginLock;
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balance.FrozenMarginMoney = data.FrozenMarginMoney;
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balance.FrozenOutFund = data.FrozenOutFund;
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balance.MarginBalance = data.MarginBalance;
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balance.Margin = data.Margin;
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balance.UpdateDate = DateTime.Now;
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balance.IsTradeCredit = client?.IsTradeCredit == 1;
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balance.TodayNewMargin = data.TodayNewMargin;
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balance.PositionPv = data.PositionPv;
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balance.RoundedPositionPv = data.RoundedPositionPv;
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balance.SellPv = data.SellPv;
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balance.PrepaymentAmount = data.PrepaymentAmount;
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balance.DaliyPnl = data.DaliyPnl;
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balance.PositionPnl = data.PositionPnl;
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balance.RoundedPositionPnl = data.RoundedPositionPnl;
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balance.ClientSellPositionPnl = data.ClientSellPositionPnl;
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balance.PositionPremiumNetCash = data.PositionPremiumNetCash;
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balance.SellTradePrice = data.SellTradePrice ?? 0;
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balance.LastDayPositionPremiumNetCash = data.LastDayPositionPremiumNetCash;
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balance.MarginOptionType = client?.MarginOptionType ?? 0;
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balance.IsLatestDate = true;
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balance.IsEodData = true;
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balance.TdWinLoss = data.TdWinLoss ?? 0;
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balance.AvailableStockEqvNotional = data.AvailableStockEqvNotional;
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balance.MarginJson = data.MarginJson;
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balance.ClientType = client.SwapTradeType ?? 0;
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balance.ClientName = client.Name;
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balance.ClientNumber = client.Number;
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clientSettleBalances.Add(balance);
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}
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return clientSettleBalances;
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}
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private List<ClientBalanceMonitorForTrsItem> MapToMonitorForTrsItems(List<ClientSettleBalance> clientSettleBalances)
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{
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List<ClientBalanceMonitorForTrsItem> monitorForTrsItems = new List<ClientBalanceMonitorForTrsItem>();
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clientSettleBalances.ForEach(item =>
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{
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ClientBalanceMonitorForTrsItem clientBalanceMonitorForTrsItem = new ClientBalanceMonitorForTrsItem()
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{
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ClientId=item.ClientId,
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ClientName = item.ClientName,
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ClientNumber = item.ClientNumber,
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ClientTypeStr = item.ClientTypeStr,
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AmountFund = item.AvailableAmount,
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MaintenanceLine = item.MaintenanceLine,
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MarginByPayableMarginTotal = item.MarginByPayableMargin,
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ValueDate = item.ValueDate
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};
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monitorForTrsItems.Add(clientBalanceMonitorForTrsItem);
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});
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return monitorForTrsItems;
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}
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/// <summary>
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/// 与昨日比较
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/// </summary>
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/// <param name="balanceMonitorForTrsRespone"></param>
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/// <param name="balances"></param>
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/// <param name="lastBalances"></param>
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private void MapToClientBalanceMonitor(ClientBalanceMonitorForTrsRespone balanceMonitorForTrsRespone, List<ClientSettleBalance> balances, List<ClientSettleBalance> lastBalances)
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{
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var lastDurationNotionalPrincipal = lastBalances.Sum(s => Math.Abs(s.PositionNotionalPrincipal));
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var lastDurationClient = lastBalances.Count(s => s.PositionPv != 0);
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var lastUnwindlineClient = lastBalances.Count(s => s.MaintenanceLine <= balanceMonitorForTrsRespone.UnwindLine);
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var lastFundShortageClient = lastBalances.Count(s => s.AvailableAmount < 0);
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var lastWarninglineClient = lastBalances.Count(s => s.MaintenanceLine <= balanceMonitorForTrsRespone.WarningLine&&s.MaintenanceLine> balanceMonitorForTrsRespone.UnwindLine);
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balanceMonitorForTrsRespone.DurationNotionalPrincipal = balances.Sum(s => Math.Abs(s.PositionNotionalPrincipal));
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var DurationNotionalPrincipalCompareLastDay= Convert.ToDouble(balanceMonitorForTrsRespone.DurationNotionalPrincipal - lastDurationNotionalPrincipal);
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if (lastDurationNotionalPrincipal==0)
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{
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if (DurationNotionalPrincipalCompareLastDay == 0)
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{
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balanceMonitorForTrsRespone.DurationNotionalPrincipalCompareLastDay = 0;
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}
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else
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{
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balanceMonitorForTrsRespone.DurationNotionalPrincipalCompareLastDay = 1;
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}
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}
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else
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{
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balanceMonitorForTrsRespone.DurationNotionalPrincipalCompareLastDay = DurationNotionalPrincipalCompareLastDay / Convert.ToDouble(lastDurationNotionalPrincipal);
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}
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balanceMonitorForTrsRespone.DurationClient = balances.Count(s => s.PositionPv != 0);
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var DurationClientCompareLastDay = Convert.ToDouble(balanceMonitorForTrsRespone.DurationClient - lastDurationClient);
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if (lastDurationClient == 0)
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{
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if (DurationClientCompareLastDay == 0)
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{
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balanceMonitorForTrsRespone.DurationClientCompareLastDay = 0;
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}
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else
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{
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balanceMonitorForTrsRespone.DurationClientCompareLastDay = 1;
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}
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}
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else
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{
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balanceMonitorForTrsRespone.DurationClientCompareLastDay = DurationClientCompareLastDay / Convert.ToDouble(lastDurationClient);
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}
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balanceMonitorForTrsRespone.UnwindlineClient = balances.Count(s => s.MaintenanceLine <= balanceMonitorForTrsRespone.UnwindLine);
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var UnwindlineClientCompareLastDay = Convert.ToDouble(balanceMonitorForTrsRespone.UnwindlineClient - lastUnwindlineClient);
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if (lastUnwindlineClient == 0)
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{
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if (UnwindlineClientCompareLastDay == 0)
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{
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balanceMonitorForTrsRespone.UnwindlineClientCompareLastDay = 0;
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}
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else
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{
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balanceMonitorForTrsRespone.UnwindlineClientCompareLastDay = 1;
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}
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}
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else
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{
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balanceMonitorForTrsRespone.UnwindlineClientCompareLastDay = UnwindlineClientCompareLastDay / Convert.ToDouble(lastUnwindlineClient);
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}
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balanceMonitorForTrsRespone.FundShortageClient = balances.Count(s => s.AvailableAmount < 0);
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var FundShortageClientCompareLastDay = Convert.ToDouble(balanceMonitorForTrsRespone.FundShortageClient - lastFundShortageClient);
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if (lastFundShortageClient == 0)
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{
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if (FundShortageClientCompareLastDay == 0)
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{
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balanceMonitorForTrsRespone.FundShortageClientCompareLastDay = 0;
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}
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else
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{
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balanceMonitorForTrsRespone.FundShortageClientCompareLastDay = 1;
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}
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}
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else
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{
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balanceMonitorForTrsRespone.FundShortageClientCompareLastDay = FundShortageClientCompareLastDay / Convert.ToDouble(lastFundShortageClient);
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}
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balanceMonitorForTrsRespone.WarninglineClient = balances.Count(s => s.MaintenanceLine <= balanceMonitorForTrsRespone.WarningLine && s.MaintenanceLine > balanceMonitorForTrsRespone.UnwindLine);
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var WarninglineClientCompareLastDay = Convert.ToDouble(balanceMonitorForTrsRespone.WarninglineClient - lastWarninglineClient);
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if (lastWarninglineClient == 0)
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{
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if (WarninglineClientCompareLastDay == 0)
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{
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balanceMonitorForTrsRespone.WarninglineClientCompareLastDay = 0;
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}
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else
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{
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balanceMonitorForTrsRespone.WarninglineClientCompareLastDay = 1;
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}
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}
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else
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{
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balanceMonitorForTrsRespone.WarninglineClientCompareLastDay = WarninglineClientCompareLastDay / Convert.ToDouble(lastWarninglineClient);
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}
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}
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}
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}
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