389 lines
17 KiB
C#
389 lines
17 KiB
C#
using BaseOUDAL;
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using DotNetDBF;
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using YLErp.BLL;
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using YLErp.Commons;
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using YLErp.Models;
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using YLErp.Modules.TradeRiskCalcModule;
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namespace YLErp.Modules.ExchangeTradeModule
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{
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/// <summary>
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/// 对冲交易（股票、商品期货）的系统合成持仓和读取的持仓回报数据进行比对
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/// </summary>
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public class HedgePositionCheckService : YLBaseService
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{
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public HedgePositionCheckService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public List<DbfHedgePosition> CheckAndAddHedgePosition(UploadFileModel[] files, out List<string> diffAccounts, out List<string> unexistUmds)
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{
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var result = CheckHedgePosition(files, out diffAccounts, out unexistUmds);
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var tradeList = new List<trade>();
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foreach (var item in result)
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{
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var diffNotional = item.CURQTY - item.SystemNotional;
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var diffTradePrice = item.DbfTradePrice - item.SystemTradePrice;
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if (diffNotional != 0)
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{
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var hedgeTrade = new trade()
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{
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UnderlyingCode = item.Underlying.UnderlyingCode,
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UnderlyingAssetClass = item.Underlying.UnderlyingType,
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UnderlyingAssetName = item.Underlying.UnderlyingName,
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UnderlyingId = item.Underlying.id,
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UnderlyingInstrumentType = item.Underlying.UnderlyingInstrumentType,
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TradeNumber = UniqueTimeId.GetStr(),
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TradeDate = valuedateBLL.ValueDate,
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StartDate = valuedateBLL.ValueDate,
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MaturityDate = item.Underlying.MaturityDate,
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ExerciseDate = item.Underlying.MaturityDate,
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TradeStatus = ConsTrade.确认成交,
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ValidState = "Valid",
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AssetId = item.AssetUnit.id,
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AssetBookName = item.AssetUnit.Name,
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TradeType = "股票",
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TradeUnit = "100股/手",
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TraderId = item.AssetUnit.TraderIdsInt.FirstOrDefault(),
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TraderName = UserBLL.GetNameById(item.AssetUnit.TraderIdsInt.FirstOrDefault()),
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Comments = "持仓差异处理",
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SpotPrice = item.Underlying.Price,
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OptId = UserId,
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OptName = UserName,
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OptDate = DateTime.Now,
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CreatorId = UserId,
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CreatorName = UserName,
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CreateDate = DateTime.Now
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};
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hedgeTrade.OriginalNotional = Math.Abs(diffNotional);
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hedgeTrade.Notional = Math.Abs(diffNotional);
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hedgeTrade.TradeAmount = Math.Abs(diffNotional);
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hedgeTrade.Lots = Math.Abs(diffNotional) / 100;
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//正常情况下diffTradePrice和diffNotional应该同号, 此时TradePrice和TradeSinglePrice均为正
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//当diffTradePrice和diffNotional不同号时，说明系统原数据存在脏数据情况，此时需要补一笔TradePrice和TradeSinglePrice均为负的特殊交易，用来保持持仓成本一致
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hedgeTrade.TradePrice = (diffNotional > 0 ? 1 : -1) * diffTradePrice;
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hedgeTrade.TradeSinglePrice = diffTradePrice / diffNotional;
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hedgeTrade.BuySell = diffNotional > 0 ? "买入" : "卖出";
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tradeList.Add(hedgeTrade);
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}
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}
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DbContext.trade.AddRange(tradeList);
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DbContext.SaveChanges();
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return result;
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}
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public List<DbfHedgePosition> CheckHedgePosition(UploadFileModel[] files, out List<string> diffAccounts, out List<string> unexistUmds)
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{
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unexistUmds = new List<string>();
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var diffResults = new List<DbfHedgePosition>();
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var dbfHedgePositions = GetHedgePositionDbfFiles(files, out diffAccounts);
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var dbfHedgePositionGroups = dbfHedgePositions.GroupBy(x => new { x.BookId, x.BookName, x.SYMBOL }).Select(x => new DbfHedgePosition { BookId = x.Key.BookId, SYMBOL = x.Key.SYMBOL, BookName = x.Key.BookName, CURQTY = x.Sum(y => y.CURQTY), DbfTradePrice = x.Sum(y => y.CURQTY * y.COSTPRICE), AssetUnit = x.Select(y => y.AssetUnit).FirstOrDefault() });
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var umProvider = DataCacheModule.DataCacheManager.GetUnderlyingDataSource();
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foreach (var group in dbfHedgePositionGroups)
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{
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var req = new TradingRiskReqModel
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{
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Stock = true,
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AssetTypes = new[] { "股票" },
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BookIds = new List<int> { group.BookId ?? 0 }
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};
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if (unexistUmds.Contains(group.SYMBOL))
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{
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continue;
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}
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var um = umProvider.GetData(group.SYMBOL);
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if (um != null)
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{
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group.Underlying = um;
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req.UnderlyingIds = new[] { um.id };
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var result = new TradingRiskReqService(OptUser).GetResult(req);
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if (result != null)
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{
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var totalNotional = result.TradeRiskList.Sum(x => x.Notional);
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var totalTradePrice = result.TradeRiskList.Sum(x => x.TradePrice);
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if (group.CURQTY != totalNotional)
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{
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group.SystemNotional = totalNotional;
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group.SystemTradePrice = totalTradePrice;
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diffResults.Add(group);
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}
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}
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else
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{
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group.SystemNotional = 0;
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group.SystemTradePrice = 0;
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diffResults.Add(group);
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}
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}
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else
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{
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unexistUmds.Add(group.SYMBOL);
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}
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}
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return diffResults;
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}
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public List<DbfHedgePosition> CompareExchangedOptionPosition(out string message)
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{
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message = string.Empty;
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var valueDate = valuedateBLL.ValueDate;
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var diffResults = new List<DbfHedgePosition>();
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var exchangedOptionPositions = new List<DbfHedgePosition>();
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var eodTradePositionStatics = DbContext.eod_trade_position_static2.Where(x => x.ValueDate == valueDate && x.TradeType == "场内期权").ToList();
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var exchangeAccounts = DataCacheProvider.GetExchangeAccountDataSource().AsQueryable();
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var assetUnits = DataCacheProvider.GetAssetUnitDataSource();
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var underlyings = DataCacheModule.DataCacheManager.GetUnderlyingDataSource();
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var exoptions = DataCacheModule.DataCacheManager.GetExchangeListOptionDataSource();
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eodTradePositionStatics.ForEach(x =>
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{
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var exchangeAccount = exchangeAccounts.FirstOrDefault(y => y.AccountCode == x.AccountCode);
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if (exchangeAccount != null)
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{
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var exoption = exoptions.GetData(x.UnderlyingCode);
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var underlying = underlyings.GetData(exoption?.UnderlyingCode);
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if (underlying != null)
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{
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var assetUnit = assetUnits.GetData(exchangeAccount.DefaultBookId ?? 0);
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exchangedOptionPositions.Add(new DbfHedgePosition()
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{
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ACCT = x.AccountCode,
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CURQTY = x.Volume * underlying.ContractSize * (x.PositionType == "long" ? 1 : -1),
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SYMBOL = x.OptionCode,
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BookId = exchangeAccount.DefaultBookId,
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BookName = assetUnit != null ? assetUnit.Name : string.Empty
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});
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}
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}
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});
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var exchangedOptionPositionsGroups = exchangedOptionPositions.GroupBy(x => new { x.BookId, x.BookName, x.SYMBOL }).Select(x => new DbfHedgePosition { BookId = x.Key.BookId, SYMBOL = x.Key.SYMBOL, BookName = x.Key.BookName, CURQTY = x.Sum(y => y.CURQTY) });
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if (!exchangedOptionPositionsGroups.Any())
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{
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message = "未发现场内期权持仓数据";
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}
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var req = new TradingRiskReqModel
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{
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Stock = false,
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AssetTypes = new[] { "场内期权" }
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};
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var result = new TradingRiskReqService(OptUser).GetResult(req);
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foreach (var group in exchangedOptionPositionsGroups)
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{
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var tradeRiskList = result.TradeRiskList.Where(x => x.BookId == group.BookId && x.ExchangeOptionCode == group.SYMBOL);
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if (tradeRiskList != null)
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{
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var totalNotional = tradeRiskList.Sum(x => x.Notional);
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if (group.CURQTY != totalNotional)
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{
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group.SystemNotional = totalNotional;
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diffResults.Add(group);
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}
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}
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else
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{
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group.SystemNotional = 0;
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diffResults.Add(group);
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}
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}
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return diffResults;
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}
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public List<DbfHedgePosition> CompareCommodityFuturePosition(out string message)
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{
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message = string.Empty;
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var valueDate = valuedateBLL.ValueDate;
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var diffResults = new List<DbfHedgePosition>();
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var exchangedOptionPositions = new List<DbfHedgePosition>();
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var eodTradePositionStatics = DbContext.eod_trade_position_static2.Where(x => x.ValueDate == valueDate && x.TradeType == "商品期货").ToList();
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var exchangeAccounts = DataCacheProvider.GetExchangeAccountDataSource().AsQueryable();
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var assetUnits = DataCacheProvider.GetAssetUnitDataSource();
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var underlyings = DataCacheModule.DataCacheManager.GetUnderlyingDataSource();
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eodTradePositionStatics.ForEach(x =>
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{
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var exchangeAccount = exchangeAccounts.FirstOrDefault(y => y.AccountCode == x.AccountCode);
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if (exchangeAccount != null)
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{
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var underlying = underlyings.GetData(x.UnderlyingCode);
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if (underlying != null)
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{
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var assetUnit = assetUnits.GetData(exchangeAccount.DefaultBookId ?? 0);
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exchangedOptionPositions.Add(new DbfHedgePosition()
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{
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ACCT = x.AccountCode,
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CURQTY = x.Volume * underlying.ContractSize * (x.PositionType == "long" ? 1 : -1),
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SYMBOL = x.UnderlyingCode,
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BookId = exchangeAccount.DefaultBookId,
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BookName = assetUnit != null ? assetUnit.Name : string.Empty
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});
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}
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}
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});
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var exchangedOptionPositionsGroups = exchangedOptionPositions.GroupBy(x => new { x.BookId, x.BookName, x.SYMBOL }).Select(x => new DbfHedgePosition { BookId = x.Key.BookId, SYMBOL = x.Key.SYMBOL, BookName = x.Key.BookName, CURQTY = x.Sum(y => y.CURQTY) });
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if (!exchangedOptionPositionsGroups.Any())
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{
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message = "未发现商品期货持仓数据";
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}
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foreach (var group in exchangedOptionPositionsGroups)
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{
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var req = new TradingRiskReqModel
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{
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Stock = false,
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AssetTypes = new[] { "商品期货" },
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BookIds = new List<int> { group.BookId ?? 0 }
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};
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var um = underlyings.GetData(group.SYMBOL);
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if (um != null)
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{
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group.Underlying = um;
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req.UnderlyingIds = new[] { um.id };
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var result = new TradingRiskReqService(OptUser).GetResult(req);
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if (result != null)
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{
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var totalNotional = result.TradeRiskList.Sum(x => x.Notional);
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if (group.CURQTY != totalNotional)
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{
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group.SystemNotional = totalNotional;
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diffResults.Add(group);
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}
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}
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else
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{
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group.SystemNotional = 0;
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diffResults.Add(group);
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}
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}
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}
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return diffResults;
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}
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private List<DbfHedgePosition> GetHedgePositionDbfFiles(UploadFileModel[] files, out List<string> diffAccounts)
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{
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var dbfHedgePosition = new List<DbfHedgePosition>();
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diffAccounts = new List<string>();
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var exchangeAccounts = DataCacheProvider.GetExchangeAccountDataSource().AsQueryable();
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var assetUnits = DataCacheProvider.GetAssetUnitDataSource();
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for (var i = 0; i < files.Length; i++)
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{
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using (var stream = files[i].OpenReadStream())
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using (var dbf = new DBFReader(stream))
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{
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var columnCount = dbf.Fields.Length;
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if (columnCount < 12)
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{
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throw new Exception(files[i].FileName + "文件非持仓文件，不被识别");
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}
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else
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{
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if (dbf.Fields[0].Name != "ACCT"
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|| dbf.Fields[3].Name != "SYMBOL"
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|| dbf.Fields[6].Name != "CURQTY"
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|| dbf.Fields[11].Name != "COSTPRICE")
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{
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throw new Exception(files[i].FileName + "文件非持仓文件，不被识别");
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}
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}
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var count = dbf.RecordCount;
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for (var j = 0; j < count; j++)
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{
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var dbfRecord = dbf.NextRecord();
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if (dbfRecord != null)
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{
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var account = dbfRecord[0].ToString().Trim();
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if (diffAccounts.Contains(account))
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{
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continue;
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}
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var exchangeAccount = exchangeAccounts.FirstOrDefault(x => x.AccountCode == account);
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if (exchangeAccount != null)
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{
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var assetUnit = assetUnits.GetData(exchangeAccount.DefaultBookId ?? 0);
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double.TryParse(dbfRecord[6].ToString(), out var curqty);
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double.TryParse(dbfRecord[11].ToString(), out var costPrice);
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dbfHedgePosition.Add(new DbfHedgePosition()
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{
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ACCT = account,
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CURQTY = curqty,
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COSTPRICE = costPrice,
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SYMBOL = dbfRecord[3].ToString(),
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BookId = exchangeAccount.DefaultBookId,
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BookName = assetUnit != null ? assetUnit.Name : string.Empty,
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AssetUnit = assetUnit
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});
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}
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else
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{
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diffAccounts.Add(account);
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}
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}
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}
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}
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}
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return dbfHedgePosition;
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}
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}
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public class DbfHedgePosition
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{
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/// <summary>
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/// 簿记账户
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/// </summary>
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public string ACCT { get; set; }
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/// <summary>
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/// 标的代码
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/// </summary>
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public string SYMBOL { get; set; }
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/// <summary>
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/// 【dbf文件】数量
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/// </summary>
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public double CURQTY { get; set; }
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/// <summary>
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/// 【dbf文件】单价
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/// </summary>
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public double COSTPRICE { get; set; }
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/// <summary>
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/// 【dbf文件】总价
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/// </summary>
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public double DbfTradePrice { get; set; }
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/// <summary>
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/// 系统数量
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/// </summary>
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public double SystemNotional { get; set; }
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public double SystemTradePrice { get; set; }
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public int? BookId { get; set; }
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public string BookName { get; set; }
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public underlying_manager Underlying { get; set; }
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public AssetUnit AssetUnit { get; set; }
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}
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}
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