230 lines
10 KiB
C#
230 lines
10 KiB
C#
using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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using YLErp.DBModels.Consts;
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using YLErp.Model;
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using YLErp.Modules.DataProviderModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.ExoticOptionModule
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{
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/// <summary>
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/// 双鲨期权敲出操作
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/// 迁移自:trade_double_sharkfin_optionBLL
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/// </summary>
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public class DoubleSharkOptionKnockoutService : TradeCashServiceEx
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{
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public DoubleSharkOptionKnockoutService(YLBaseService baseService) : base(baseService)
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{
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}
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public DoubleSharkOptionKnockoutService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 检出敲入敲出
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/// </summary>
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public void CheckKnockoutStatus(DateTime valueDate, IEodPriceProviderV2 priceProvider, DateTime? startDate = null
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, Action<OtcTrade, trade_double_sharkfin_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_double_sharkfin_option on td.id equals tb.TradeId
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where td.TradeDate > startDate.Value && td.TradeDate <= valueDate
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&& string.IsNullOrEmpty(tb.KnockInOutStatus)
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&& td.TradeType == "双鲨期权"
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&& ConsTrade.确认成交 == td.TradeStatus
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&& td.ValidState != ConsGlobal.InValid
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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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tradeDbShark = 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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//检查是否敲出
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var tradeIds = trades.Select(x => x.trade.id).ToList();
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var manuallyTradeObservationPrices = DbContext.manually_trade_observation_price
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.Where(x => tradeIds.Contains(x.TradeId) && x.ValueDate == valueDate).ToDictionary(n => n.TradeId);
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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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var observationDates = QdpHelper.GetObservationDatesFromString(tr.tradeDbShark.ObservationDates);
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//每日观察或者当前结算日是观察日的时候，才检查是否会敲敲出
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if (observationDates == null || observationDates.Contains(valueDate) || !tr.tradeDbShark.IsDiscrete)
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{
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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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double? upPrice, lowPrice;
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if (manuallyTradeObservationPrices.TryGetValue(tr.trade.id, out var manuallyTradeObservationPrice))
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{
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upPrice = manuallyTradeObservationPrice.Price;
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lowPrice = manuallyTradeObservationPrice.Price;
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}
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else 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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else if (tr.tradeDbShark.IsDiscrete)
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{
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upPrice = eodprice.ClosePrice;
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lowPrice = eodprice.ClosePrice;
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}
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else
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{
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upPrice = eodprice.HighPrice;
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lowPrice = eodprice.LowPrice;
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}
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var oldKnockInOutStatus = tr.tradeDbShark.KnockInOutStatus;
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CheckDoubleSharkFinKnockOutStatus(tr.trade, tr.tradeDbShark, valueDate, upPrice, lowPrice);
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if (oldKnockInOutStatus != tr.tradeDbShark.KnockInOutStatus)
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{
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var KnockInOutStatus = tr.tradeDbShark.KnockInOutStatus == ConsTrade.KnockState.KnockedIn ? "敲入" : "敲出";
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AddTradeOperationHistoryAndSetParentTradeInfo(false, tr.trade, KnockInOutStatus, KnockInOutStatus);
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}
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if (tradeStatus != tr.trade.TradeStatus|| oldKnockInOutStatus != tr.tradeDbShark.KnockInOutStatus)
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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.tradeDbShark).State == EntityState.Modified)
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{
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afterKnowInOut(tr.trade, tr.tradeDbShark);
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}
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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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public void CheckDoubleSharkFinKnockOutStatus(OtcTradeBase td, trade_double_sharkfin_option tradeDbShark, DateTime valuedate, double? upPrice, double? lowPrice)
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{
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var barrierHigh = td.IsMoneynessOptionData ? tradeDbShark.BarrierHigh * td.SpotPrice : tradeDbShark.BarrierHigh;
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var barrierLow = td.IsMoneynessOptionData ? tradeDbShark.BarrierLow * td.SpotPrice : tradeDbShark.BarrierLow;
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if (upPrice >= barrierHigh || lowPrice <= barrierLow)
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{
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var useRebate = lowPrice <= barrierLow;
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var price = upPrice >= barrierHigh ? upPrice : lowPrice;
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tradeDbShark.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeDbShark.KnockInOutDate = valuedate;
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td.TradeStatus = ConsTrade.已平仓;
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td.UnWindDate = valuedate;
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SaveDoubleSharkFinRebateCash(td, tradeDbShark, price, valuedate, useRebate);
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}
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}
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/// <summary>
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/// 双鲨期权敲出，应获得rebate，保存相应的资金信息
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/// </summary>
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public trade_cash SaveDoubleSharkFinRebateCash(OtcTradeBase td, trade_double_sharkfin_option tradeDbShark, double? closePrice, DateTime valueDate, bool useRebate, bool saveChanges = true)
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{
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double rebate, rebateRate;
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var spotPrice = td.SpotPrice ?? 0;
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if (td.IsUsePremiumRate == true)
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{
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rebateRate = (useRebate ? tradeDbShark.RebateRate : tradeDbShark.RebateHighRate) ?? 0;
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rebate = rebateRate * spotPrice;
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}
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else
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{
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rebate = (useRebate ? tradeDbShark.Rebate : tradeDbShark.RebateHigh) ?? 0;
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rebateRate = spotPrice > 0 ? rebate / spotPrice : 0;
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}
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var req = new TradeCashReq
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{
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UnwindNotional = td.Notional,
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UnwindPercentRate = td.OriginalNotional > 0 ? td.Notional / td.OriginalNotional.Value : 0,
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FinalPrice = closePrice,
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UnwindPrice = rebate,
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UnwindPricePercentRate = rebateRate,
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Notional = td.Notional,
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TradeAmount = td.TradeAmount,
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ValueDate = valueDate,
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HappenedDate = valueDate,
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BarrierPrice = useRebate ? tradeDbShark.BarrierLow : tradeDbShark.BarrierHigh
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};
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req.UnwindFee = req.UnwindNotional * (req.UnwindPrice ?? 0) + ((req.UnwindNotional / td.OriginalNotional * td.OriginalPrincipalSum) ?? 0);
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if(valuedateBLL.SystemDate.UnwindAmountAngle == 1)
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{
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req.UnwindFee = req.UnwindFee * (td.BuySell == "卖出" ? -1 : 1);
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}
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if (valuedateBLL.SystemDate.UnwindSinglePriceAngle == 1)
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{
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req.UnwindPrice = req.UnwindPrice * (td.BuySell == "卖出" ? -1 : 1);
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}
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var tc = CloseTrade_TradeCashSave(td, req, isFromRecheckOrKO: true, isLastAction: true, saveChanges: false);
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tc.ValidState = ConsGlobal.Valid;
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tc.ExerciseWay = TradeCashExerciseWayEnum.提前终止行权;
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if (tradeDbShark.RebateType == "AtEnd")
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{
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tc.ValueDate = td.ExerciseDate.Value;
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tc.HappenedDate = valueDate;
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}
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//加入平仓份额和平仓日期
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td.UnWindDate = tc.ValueDate;
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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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tc.ParentTradeCashId = groupAction.ParentTradeCashId;
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tc.ParentTradeId = groupAction.ParentTradeId;
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}
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else
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{
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tc.ParentTradeId = td.ParentTradeId;
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tc.ParentTradeCashId = SaveGroupUnwindCash(td, tc.ValueDate, tc.Amount, closePrice ?? 0, out var continueTradeCashHandle).id;
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}
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}
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if (saveChanges)
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{
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SaveTradeCashDetail(tc);
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//增加出入金记录
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new ClientCashinCashoutBLL(this).CloseTrade_ClientCashInCashOutSave(td, tc, tc.ValueDate);
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}
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return tc;
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}
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}
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}
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