96 lines
4.4 KiB
C#
96 lines
4.4 KiB
C#
using YLErp.BLL.MarginCalculation;
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using YLErp.DBModels.Abstract;
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using YLErp.DBModels.Consts;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Plugins.TradeDocGenerator.Abstracts;
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namespace YLErp.Modules.TradeModule.DocGenerateModule
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{
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/// <summary>
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/// 交易结算生成上下文
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/// </summary>
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public class SettlementBillGenerateContext : ConfirmationGenerateContext, ITradeSettleBillGeneratorContext
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{
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public SettlementBillGenerateContext(IEnumerable<int> tradeCashIds, IEnumerable<trade> trades, string contractType, OptUserInfo userInfo, DateTime? startDate, DateTime? endDate)
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: base(tradeCashIds, trades, contractType, userInfo, startDate, endDate) { }
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public SettlementBillGenerateContext(int tradeCashId, trade tradeObj, string contractType, OptUserInfo userInfo)
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: base(tradeCashId, tradeObj, contractType, userInfo) { }
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public SettlementBillGenerateContext(Client client, List<swap_flow_event> flowEvents, List<swap_flow_event> allFlowEvents, List<trade> trades, List<swap_position> swapPositions, string contractType, OptUserInfo userInfo)
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:base(client, flowEvents, allFlowEvents, trades, swapPositions, contractType, userInfo)
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{
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}
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/// <summary>
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/// 获取预付金
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/// </summary>
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public double? GetMargin(double endPrice)
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{
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var req = new RunMarginCalculationReq(UserInfo)
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{
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tradeList = new List<trade> { (trade)Trade },
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settleDate = Trade.UnWindDate.Value,
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PriceProvider = new SinglePriceProvider(Trade.UnderlyingCode, endPrice)
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};
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var tradeSpans = MarginDefault.RunMarginCalculation(req);
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return tradeSpans?.FirstOrDefault()?.WorstCastClientPayable;
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}
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//交易确认书对象
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trade_contract_document _contractDoc;
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/// <summary>
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/// 获取交易确认书
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/// </summary>
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public ITradeContractDocument GetTradeContractDocument(int tradeId, string tradeNumber, bool throwException = true)
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{
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if (_contractDoc == null)
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{
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var db = DbContextFactory.GetYLDbContext();
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var query = from contractDoc in db.trade_contract_document
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join tcr in db.trade_contract_r on contractDoc.Code equals tcr.ContractCode
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where tcr.TradeId == tradeId && contractDoc.Type == ContractTypeEnum.Trade && tcr.Type == ContractTypeEnum.Trade && tcr.IsValid
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select contractDoc;
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_contractDoc = query.FirstOrDefault();
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}
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if (_contractDoc == null && throwException)
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{
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throw new ServiceException($"未找到交易确认书(交易编号:{tradeNumber})");
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}
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return _contractDoc;
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}
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public bool OnSettlmentBillGenerated()
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{
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return true;
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}
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public double GetAverageSpotPrice(OtcTradeBase trade, trade_swap trade_swap)
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{
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var trades = (from td in DbContext.trade.Where(x => x.ClientId == trade.ClientId && x.UnderlyingCode == trade.UnderlyingCode && x.BuySell == trade.BuySell && x.TradeDate == trade.TradeDate && x.ValidState != "InValid")
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join swap in DbContext.trade_swap.Where(x => x.PayLongShort == trade_swap.PayLongShort && x.GetLongShort == trade_swap.GetLongShort)
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on td.id equals swap.TradeId
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select new { td, swap }).ToList();
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var totalSpotPrice = 0.0;
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var totalNotional = 0.0;
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trades.ForEach(x =>
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{
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var tradeprice = x.swap.IsGetFloatingProfit ? (x.swap.PayTradePrice ?? 0) : (x.swap.GetTradePrice ?? 0);
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var notional = x.swap.IsGetFloatingProfit ? (x.swap.GetNotional ?? 0) : (x.swap.PayNotional ?? 0);
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var longshort = x.swap.IsGetFloatingProfit ? x.swap.GetLongShort : x.swap.PayLongShort;
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var spotprice = x.swap.IsGetFloatingProfit ? (x.swap.GetSpotPrice ?? 0) : (x.swap.PaySpotPrice ?? 0);
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var sigleprice = Math.Abs(tradeprice / notional);
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totalSpotPrice += (spotprice + (longshort == "空头" ? -1 : 1) * sigleprice) * notional;
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totalNotional += notional;
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});
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return totalNotional > 0 ? totalSpotPrice / totalNotional : 0;
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}
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}
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}
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