361 lines
15 KiB
C#
361 lines
15 KiB
C#
using System.Data;
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using System.Linq.Expressions;
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using System.Text.Json.Serialization;
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using YLErp.Enums;
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using YLErp.Office.ExcelModule;
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namespace YLErp.Modules.TradeModule.SwapModule
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{
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public class SwapMultiCloseService : YLBaseService
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{
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public SwapMultiCloseService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 获取分页数据(互换 -- 目前只有国君定制化的)
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/// </summary>
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public IPagedList<TradeSwapFlowMultiCloseResultModel> GetPagedDatas(TradeMultiCloseQueryModel queryModel)
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{
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if (queryModel is null)
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{
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throw new ArgumentNullException(nameof(queryModel));
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}
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BuildPredicate(queryModel, out var tdPredicate, out var tcPredicate);
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var basicQuery = DbContext.trade.Where(tdPredicate);
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var query = from t in basicQuery.Where(tdPredicate)
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join tc in DbContext.trade_cash.Where(tcPredicate) on t.id equals tc.TradeId
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join optc in DbContext.trade_cash.Where(x => x.ValidState != "InValid" && !x.IsDeleted && x.Action == "系统操作-期权费") on t.id equals optc.TradeId
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join sw in DbContext.trade_swap on t.id equals sw.TradeId
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join tcsw in DbContext.trade_cash_swap on tc.id equals tcsw.TradeCashId
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select new TradeSwapFlowMultiCloseResultModel
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{
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id = t.id,
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TradeNumber = t.TradeNumber,
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TraderName = t.TraderName,
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AssetBookName = t.AssetBookName,
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ClientName = t.ClientName,
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TradeDate = t.TradeDate,
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StartDate = t.StartDate,
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ExerciseDate = t.ExerciseDate,
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SettlementDate = t.SettlementDate,
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CloseDate = tc.ValueDate,
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OriginalNotional = t.OriginalNotional ?? 0,
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Notional = tc.Notional - (tc.UnwindNotional ?? 0),
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UnWindNotional = tc.UnwindNotional ?? 0,
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UnderlyingCode = t.UnderlyingCode,
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SpotPrice = t.SpotPrice,
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TradeCommission = sw.GetTradePrice ?? (-sw.PayTradePrice) ?? 0,
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//导入的期末价格使用的是UnwindPrice
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UnwindPrice = tc.UnwindPrice ?? tc.FinalPrice ?? 0,
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TradeCashId = tc.id,
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CloseType = tc.Action,
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Amount = tc.Amount,
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RealizedPnl = tc.Amount + optc.Amount * (tc.UnwindPercentRate ?? 0),
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QuoteRealizedPnl = (tc.QuoteAmount ?? tc.Amount) + (optc.QuoteAmount ?? optc.Amount) * (tc.UnwindPercentRate ?? 0),
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OpenCurrencyRate = optc.CurrencyRate ?? 1,
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CloseCurrencyRate = tc.CurrencyRate ?? 1,
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trade_swap = sw
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};
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if (queryModel.UnWindTimes != null && queryModel.UnWindTimes >= 0)
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{
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var qgp = (from f in query
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group f by f.id into fgp
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where fgp.Count() == queryModel.UnWindTimes
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select fgp.Key).ToList();
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query = query.Where(q => qgp.Contains(q.id));
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}
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if (!string.IsNullOrWhiteSpace(queryModel.UnWindType) && queryModel.UnWindType != "全部")
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{
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if (queryModel.UnWindType == "终止")
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{
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query = query.Where(x => x.CloseType == ClientCashInCashOut.系统操作_平仓费);
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}
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else if (queryModel.UnWindType == "到期")
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{
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query = query.Where(x => x.CloseType == ClientCashInCashOut.系统操作_互换 && x.CloseDate == x.ExerciseDate);
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}
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else if (queryModel.UnWindType == "互换")
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{
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query = query.Where(x => x.CloseType == ClientCashInCashOut.系统操作_互换 && x.CloseDate < x.ExerciseDate);
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}
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}
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if (string.IsNullOrEmpty(queryModel.SortExpression))
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{
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query = query.OrderByDescending(x => x.CloseDate).ThenBy(x => x.TradeCashId);
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}
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var pagedList = query.ToPagedList(queryModel);
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TradeSwapFlowMultiCloseResultModel preData = null;
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foreach (var data in pagedList)
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{
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var underlying = DataCacheModule.DataCacheManager.GetUnderlyingDataSource().GetData(data.UnderlyingCode);
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underlying.Variety = DataCacheModule.DataCacheManager.GetVarietyDataSource().GetData(underlying.CommodityCode);
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data.QuoteCurrency = underlying.Variety.QuoteCurrency ?? ConsGlobal.Currency.CNY;
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data.CountRatio = underlying?.CountRatio ?? 1;
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data.UnderlyingName = underlying?.UnderlyingName;
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if (preData?.id == data.id)
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{
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data.CloseSeq = preData.CloseSeq + 1;
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}
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preData = data;
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if (data.trade_swap.IsGetFloatingProfit)
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{
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data.trade_swap.GetOpenPrice = data.trade_swap.GetSpotPrice + (data.trade_swap.GetLongShort == "多头" ? 1 : -1) * ((data.trade_swap.PaySingleFee ?? 0) / underlying.ContractSize + (data.trade_swap.GetSpotPrice * data.trade_swap.PayUnAnnualRate ?? 0));
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}
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else
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{
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data.trade_swap.PayOpenPrice = data.trade_swap.PaySpotPrice + (data.trade_swap.PayLongShort == "多头" ? 1 : -1) * ((data.trade_swap.GetSingleFee ?? 0) / underlying.ContractSize + (data.trade_swap.PaySpotPrice * data.trade_swap.GetUnAnnualRate ?? 0));
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}
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data.OpenPrice = data.trade_swap.GetOpenPrice ?? data.trade_swap.PayOpenPrice ?? 0;
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data.OriginalStockEqvNotional = data.OpenPrice * data.OriginalNotional * data.OpenCurrencyRate;
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data.StockEqvNotional = data.OpenPrice * data.Notional * data.OpenCurrencyRate;
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data.CloseStockEqvNotional = data.OpenPrice * (data.UnWindNotional ?? 0) * data.OpenCurrencyRate;
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var details = DbContext.trade_cash_detail.Where(x => x.TradeCashId == data.TradeCashId);
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data.FixedIncome = details.Where(x => x.TradeCashType == TradeCashTypeEnum.利息.ToString()).Sum(x => x.Amount);
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data.UnwindFee = details.Where(x => x.TradeCashType == TradeCashTypeEnum.了结手续费.ToString()).Sum(x => x.QuoteAmount);
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data.FloatIncome = data.Amount - data.FixedIncome;
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if (data.trade_swap.IsGetFloatingProfit)
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{
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data.ClosePrice = data.UnwindPrice + ((data.trade_swap.GetLongShort == "多头" ? -1 : 1) * (-data.UnwindFee ?? 0) / data.UnWindNotional).Normalize();
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}
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else
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{
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data.ClosePrice = data.UnwindPrice + ((data.trade_swap.PayLongShort == "多头" ? -1 : 1) * (data.UnwindFee ?? 0) / data.UnWindNotional).Normalize();
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}
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if (data.CloseType == "系统操作-互换")
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{
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if (data.CloseDate == data.ExerciseDate)
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{
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data.CloseType = "到期";
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}
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else
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{
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data.CloseType = "互换";
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}
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}
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else if (data.CloseType == "系统操作-平仓费")
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{
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data.CloseType = "终止";
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}
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}
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return pagedList;
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}
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private void BuildPredicate(TradeMultiCloseQueryModel queryModel, out Expression<Func<trade, bool>> tdPredicate, out Expression<Func<trade_cash, bool>> tcPredicate)
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{
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tdPredicate = PredicateBuilder.Create<trade>(t => t.ValidState != ConsGlobal.InValid && t.TradeType == "收益互换");
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if (queryModel.UserAssets != null && queryModel.UserClients != null)
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{
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tdPredicate = tdPredicate.And(n => queryModel.UserAssets.Contains(n.AssetId) || queryModel.UserClients.Contains(n.ClientId));
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}
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if (!string.IsNullOrWhiteSpace(queryModel.TradeNumber))
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{
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var TradeNumber = queryModel.TradeNumber.Trim();
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tdPredicate = tdPredicate.And(n => n.TradeNumber.Contains(TradeNumber));
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}
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if (!string.IsNullOrEmpty(queryModel.TraderNames))
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{
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tdPredicate = tdPredicate.And(d => queryModel.TraderNamesList.Contains(d.TraderId));
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}
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if (queryModel.AssetIdList.Any())
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{
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tdPredicate = tdPredicate.And(d => queryModel.AssetIdList.Contains(d.AssetId));
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}
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if (queryModel.ClientIdList.Any())
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{
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tdPredicate = tdPredicate.And(n => queryModel.ClientIdList.Contains(n.ClientId));
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}
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if (queryModel.TradeDateStart != null)
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{
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tdPredicate = tdPredicate.And(n => n.TradeDate >= queryModel.TradeDateStart.Value);
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}
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if (queryModel.TradeDateEnd != null)
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{
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tdPredicate = tdPredicate.And(n => n.TradeDate <= queryModel.TradeDateEnd.Value);
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}
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if (queryModel.ExerciseDateStart != null)
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{
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tdPredicate = tdPredicate.And(n => n.ExerciseDate >= queryModel.ExerciseDateStart.Value);
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}
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if (queryModel.ExerciseDateEnd != null)
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{
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tdPredicate = tdPredicate.And(n => n.ExerciseDate <= queryModel.ExerciseDateEnd.Value);
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}
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if (queryModel.AssetUnitIds != null && queryModel.AssetUnitIds.Any(a => a > 0))
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{
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tdPredicate = tdPredicate.And(n => queryModel.AssetUnitIds.Contains(n.AssetId));
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}
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var underlyids = queryModel.UnderlyingIdList.ToList();
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if (!string.IsNullOrWhiteSpace(queryModel.UnderlyingName))
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{
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var _underlyids = DbContext.underlying_manager.Where(x => x.UnderlyingName.Contains(queryModel.UnderlyingName)).Select(x => x.id).ToHashSet();
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if (underlyids.Count() > 0)
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{
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underlyids = underlyids.Intersect(_underlyids).Distinct().ToList();
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}
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else
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{
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underlyids = _underlyids.ToList();
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}
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}
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if (queryModel.UnderlyingIdList.Any(n => n > 0) || !string.IsNullOrWhiteSpace(queryModel.UnderlyingName))
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{
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tdPredicate = tdPredicate.And(n => underlyids.Contains(n.UnderlyingId));
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}
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if (!string.IsNullOrWhiteSpace(queryModel.TradeStatus))
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{
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var statuses = queryModel.TradeStatus.Split(',').ToList();
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tdPredicate = tdPredicate.And(n => statuses.Contains(n.TradeStatus));
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}
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tcPredicate = PredicateBuilder.Create<trade_cash>(tc => tc.ValidState != "InValid" && !tc.IsDeleted && (tc.Action == "系统操作-行权费" || tc.Action == "系统操作-平仓费" || tc.Action == "系统操作-互换"));
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if (queryModel.UnwindDateStart != null)
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{
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tcPredicate = tcPredicate.And(n => n.ValueDate >= queryModel.UnwindDateStart.Value);
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}
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if (queryModel.UnwindDateEnd != null)
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{
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tcPredicate = tcPredicate.And(n => n.ValueDate <= queryModel.UnwindDateEnd.Value);
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}
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if (queryModel.TradeCashIdList.Any())
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{
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tcPredicate = tcPredicate.And(x => queryModel.TradeCashIdList.Contains(x.id));
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}
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}
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/// <summary>
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/// 导出所有字段
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/// </summary>
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public byte[] ExportAllFieldsToExcel(TradeMultiCloseQueryModel queryModel)
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{
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var list = GetPagedDatas(queryModel);
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var results = new List<Dictionary<string, string>>(list.Count());
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var templateFile = OtcAppContext.MapPath("~/App_Docs/导出模板/国君互换了结导出模板.xlsx");
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return ExcelGenerator.UseTemplateGenerator(templateFile).AddVariable(new { list = list }).GenerateBytes();
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}
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}
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public class TradeSwapFlowMultiCloseResultModel : OtcTradeBase
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{
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/// <summary>
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/// 了结日期
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/// </summary>
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public DateTime? CloseDate { get; set; }
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/// <summary>
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/// 了结序号
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/// </summary>
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public int CloseSeq { get; set; } = 1;
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/// <summary>
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/// 了结方式
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/// </summary>
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public string CloseType { get; set; }
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/// <summary>
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/// 互换类型 -- 固定为“普通”
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/// </summary>
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public string SwapType { get; set; } = "普通";
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/// <summary>
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/// 了结名义本金
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/// </summary>
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public double CloseStockEqvNotional { get; set; }
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/// <summary>
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/// 开仓标的价格（费后）
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/// </summary>
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public double OpenPrice { get; set; }
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/// <summary>
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/// 了结标的价格（费后）
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/// </summary>
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public double ClosePrice { get; set; }
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/// <summary>
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/// 平仓费用
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/// </summary>
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public double? UnwindFee { get; set; }
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/// <summary>
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/// 了结标的价格
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/// </summary>
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public double UnwindPrice { get; set; }
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/// <summary>
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/// 浮动收益
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/// </summary>
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public double? FloatIncome { get; set; }
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/// <summary>
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/// 固定收益
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/// </summary>
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public double? FixedIncome { get; set; }
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/// <summary>
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/// 平仓总额
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/// </summary>
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public double? Amount { get; set; }
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/// <summary>
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/// 实现盈亏
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/// </summary>
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public double RealizedPnl { get; set; }
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/// <summary>
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/// 实现盈亏（结算）
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/// </summary>
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public double QuoteRealizedPnl { get; set; }
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[JsonIgnore]
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public int TradeCashId { get; set; }
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/// <summary>
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/// 成交手续费(了结部分所占的开仓总费用)
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/// </summary>
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public double TradeCommission { get; set; }
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/// <summary>
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/// 标的名称
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/// </summary>
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public string UnderlyingName { get; set; }
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/// <summary>
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/// 开仓汇率
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/// </summary>
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public double OpenCurrencyRate { get; set; }
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/// <summary>
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/// 结算汇率
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/// </summary>
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public double CloseCurrencyRate { get; set; }
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public trade_swap trade_swap { get; set; }
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}
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}
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