291 lines
12 KiB
C#
291 lines
12 KiB
C#
using System.Text;
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using YLErp.BLL;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.MarginModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.DealModule
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{
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public class TradeDelaySettlementService : TradeServiceBase
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{
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public TradeDelaySettlementService(YLBaseService baseService) : base(baseService)
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{
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}
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public TradeDelaySettlementService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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private const string key = "ExerciseTradeUnderly";
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public ExerciseTradeUnderly GetCacheExerciseTradeUnderly()
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{
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var _reture = DataCacheProvider.GetCache("ExerciseTradeUnderly");
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ExerciseTradeUnderly exerciseTradeUnderly = (ExerciseTradeUnderly)_reture;
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if (_reture == null)
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{
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exerciseTradeUnderly = CheckExerciseTradeUnderly();
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}
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return exerciseTradeUnderly;
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}
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/// <summary>
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/// 检察当日到期交易的标的状态
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/// </summary>
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/// <param name="valueDate"></param>
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public ExerciseTradeUnderly CheckExerciseTradeUnderly()
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{
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ExerciseTradeUnderly exerciseTradeUnderly = new ExerciseTradeUnderly();
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List<DelaySettlement> delays = GetDelaySettlements();
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exerciseTradeUnderly.underlystr = "";
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exerciseTradeUnderly.datetime = DateTime.Now.ToString("yyyy/MM/dd/ HH:mm:ss");
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if (delays.Any())
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{
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StringBuilder underlyStr = new StringBuilder();
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foreach (var item in delays)
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{
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underlyStr.Append(item.UnderlyCode).Append("(").Append(item.UnderlyState).Append(")").Append(",");
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}
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exerciseTradeUnderly.underlystr = underlyStr.ToString().Substring(0, underlyStr.Length - 1);
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}
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DataCacheProvider.SetCache(key, exerciseTradeUnderly, DateTime.Today.AddDays(1));
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return exerciseTradeUnderly;
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}
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/// <summary>
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/// 获取异常标的列表
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/// </summary>
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/// <returns></returns>
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public List<DelaySettlement> GetDelaySettlements(DateTime? date = null)
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{
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var valueDate = date ?? valuedateBLL.ValueDate;
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var lastDate = QdpCalendarHelper.GetNonHolidayDefore(valueDate.AddDays(-1));
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List<DelaySettlement> delays = new List<DelaySettlement>();
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//结构化交易主交易除外（没有主交易概念），组合交易主交易子交易都得考虑延期处理
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var query = DbContext.trade.Where(x => (x.TradeType != "结构化交易" || x.IsGroup == 1) && x.ValidState != ConsGlobal.InValid && (x.ExerciseDate >= valueDate || x.SettlementFlag == 1) && ConsTrade.PositionTradeStatusList.Contains(x.TradeStatus));
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var arrUnderlyingCode = query.Select(n => n.UnderlyingCode).Distinct().ToArray();
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MarginParamProvider marginParam = new MarginParamProvider(OptUser, valueDate);
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marginParam.Initialize(arrUnderlyingCode.ToHashSet(), MarginParamTypeEnum.UpDownLimit);
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if (arrUnderlyingCode.Any())
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{
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var eodPriceProvider = new EodPriceProvider(valueDate);
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var eodPriceProvidlast = new EodPriceProvider(lastDate);
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foreach (var item in arrUnderlyingCode)
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{
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if (eodPriceProvider.TryGetEodPrice(item, out var eodPrice))
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{
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DelaySettlement delay = new DelaySettlement();
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if (eodPrice.UnderlyingStatus == "停牌")
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{
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delay.UnderlyState = "停牌";
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}
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else if (eodPriceProvidlast.TryGetPrice(item, SettlementTypeEnum.SettlePrice, out double price))
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{
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if (marginParam.TryGetUpdownLimit(item, out var limit, out var isFixed))
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{
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if (!isFixed)
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{
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limit *= price;
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}
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}
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else
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{
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limit = price * 0.05;
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}
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//注意:price价格可能为负值
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limit = Math.Abs(limit);
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//涨跌停暂时不使用精确等于处理
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if (price + limit <= eodPrice.ClosePrice)
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{
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delay.UnderlyState = "涨停";
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}
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else if (price - limit >= eodPrice.ClosePrice)
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{
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delay.UnderlyState = "跌停";
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}
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}
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else if (eodPrice.HighPrice == eodPrice.LowPrice && eodPrice.HighPrice != null)
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{
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delay.UnderlyState = "涨跌停";
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}
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if (!string.IsNullOrWhiteSpace(delay.UnderlyState))
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{
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delay.UnderlyCode = item;
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delays.Add(delay);
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}
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}
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}
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}
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return delays;
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}
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/// <summary>
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/// 获取需要延期交易的交易编号
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/// </summary>
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/// <returns></returns>
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public string GetDelayTradeNumber(List<int> updownUnderly)
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{
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var date = valuedateBLL.ValueDate;
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var lastDate = QdpCalendarHelper.GetNonHolidayDefore(date.AddDays(-1));
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var predicate = PredicateBuilder.Create<trade>(t => t.ExerciseDate >= lastDate
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&& t.ExerciseDate <= date
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&& t.TradeStatus == ConsTrade.确认成交
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&& t.ClientId > 0
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&& updownUnderly.Contains(t.UnderlyingId) && t.SettlementFlag == 0 //检查费停牌状态下所有 持仓交易的是否已执行到期
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&& t.ValidState != ConsGlobal.InValid);
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var tradeNumber = DbContext.trade.Where(predicate).Select(x => x.TradeNumber).ToHashSet();
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return "<br />需要延期结算的交易:<br />" + string.Join(",<br/>", tradeNumber);
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}
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/// <summary>
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/// 获取需要延期交易的异常标的id
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/// </summary>
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/// <returns></returns>
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public IEnumerable<int> GetDelayUnderlyIds(DateTime? date = null)
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{
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var valueDate = date ?? valuedateBLL.ValueDate;
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var lastDate = QdpCalendarHelper.GetNonHolidayDefore(valueDate.AddDays(-1));
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//结构化交易主交易除外（没有主交易概念），组合交易主交易子交易都得考虑延期处理
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var query = DbContext.trade.Where(x => (x.TradeType != "结构化交易" || x.IsGroup == 1) && x.ValidState != ConsGlobal.InValid && x.ExerciseDate == valueDate && ConsTrade.PositionTradeStatusList.Contains(x.TradeStatus) && x.TradeType == "收益互换" && x.SettlementFlag != 1);
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var arrUnderlyingCode = query.Select(n => n.UnderlyingCode).Distinct().ToArray();
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MarginParamProvider marginParam = new MarginParamProvider(OptUser, valueDate);
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marginParam.Initialize(arrUnderlyingCode.ToHashSet(), MarginParamTypeEnum.UpDownLimit);
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List<int> ret = new List<int>();
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if (arrUnderlyingCode.Any())
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{
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var eodPriceProvider = new EodPriceProvider(valueDate);
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var eodPriceProvidlast = new EodPriceProvider(lastDate);
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foreach (var item in arrUnderlyingCode)
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{
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if (eodPriceProvider.TryGetEodPrice(item, out var eodPrice))
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{
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if (eodPrice.UnderlyingStatus == "停牌")
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{
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ret.Add(eodPrice.UnderlyingId);
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}
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else if (eodPriceProvidlast.TryGetPrice(item, SettlementTypeEnum.SettlePrice, out double price))
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{
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if (marginParam.TryGetUpdownLimit(item, out var limit, out var isFixed))
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{
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if (!isFixed)
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{
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limit *= price;
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}
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}
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else
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{
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limit = price * 0.05;
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}
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//注意:price价格可能为负值
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limit = Math.Abs(limit);
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//涨跌停暂时不使用精确等于处理
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if (price + limit <= eodPrice.ClosePrice || price - limit >= eodPrice.ClosePrice)
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{
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ret.Add(eodPrice.UnderlyingId);
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}
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}
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else if (eodPrice.HighPrice == eodPrice.LowPrice && eodPrice.HighPrice != null)
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{
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ret.Add(eodPrice.UnderlyingId);
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}
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}
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}
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}
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return ret;
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}
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public void ExecuteDelaySettlements(string tradeids, int settlementvalue, out string msg)
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{
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msg = "";
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List<int> ids = new List<int>();
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var _ids = tradeids.Split(',').ToList();
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foreach (var item in _ids)
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{
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ids.Add(Convert.ToInt32(item));
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}
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var Alltrades = DbContext.trade.Where(x => ids.Contains(x.id));
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if (Alltrades.Any(x => x.TradeStatus != ConsTrade.确认成交))
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{
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throw new ServiceException("交易：" + string.Join(".", Alltrades.Where(x => x.TradeStatus != ConsTrade.确认成交).Select(x => x.TradeNumber).ToList()) + "，当前交易状态不符合延期结算要求，无法进行延期结算");
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}
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var notChange = Alltrades.Where(x => x.SettlementFlag == settlementvalue).Count();
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if (Alltrades.Any(x => x.SettlementFlag != settlementvalue))
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{
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var optType = settlementvalue == 1 ? "手动延期结算" : "延期结算放弃";
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var trades = Alltrades.Where(x => x.SettlementFlag != settlementvalue).ToList();
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using (var trans = BeginTransaction())
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{
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foreach (var item in trades)
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{
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UpdateDelayStatus(item, optType, settlementvalue);
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}
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DbContext.SaveChanges();
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trans.Commit();
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}
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}
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else
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{
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throw new ServiceException("不存在需要修改延期结算状态的交易");
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}
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if (notChange > 0)
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{
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msg = "成功修改" + (Alltrades.Count() - notChange) + "条,不需要修改延期结算状态" + notChange + "条";
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}
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else
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{
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msg = "修改延期结算状态成功";
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}
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}
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/// <summary>
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/// 修改交易延期状态
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/// </summary>
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/// <param name="trade"></param>
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public void UpdateDelayStatus(trade td, string optType, int SettlementFlag = 1)
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{
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td.SettlementFlag = SettlementFlag;
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td.SettlementFlagDate = DateTime.Now;
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td.SettlementFlagOptId = UserId;
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td.OptId = UserId;
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td.OptName = UserName;
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td.OptDate = DateTime.Now;
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AddTradeOperationHistoryAndSetParentTradeInfo(true, td, optType);
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}
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}
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public class ExerciseTradeUnderly
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{
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public string datetime { get; set; }
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public string underlystr { get; set; }
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}
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public class DelaySettlement
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{
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public string UnderlyCode { get; set; }
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public string UnderlyState { get; set; }
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}
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}
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