335 lines
12 KiB
C#
335 lines
12 KiB
C#
using YLErp.Modules.CalculationModule;
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using YLErp.Modules.CalculationModule.Abstract;
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using YLErp.Modules.DataProviderModule;
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namespace YLErp.Modules.TradeRiskCalcModule
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{
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/// <summary>
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/// 实时场内持仓计算服务(用于API)
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/// </summary>
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public class ExchangePositionCalcService
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{
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readonly DateTime _valueDate;
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readonly IExchangeTradeCommissionCalc _commissionCalc;
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public ExchangePositionCalcService(DateTime valueDate, IExchangeTradeCommissionCalc commissionCalc)
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{
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_valueDate = valueDate.Date;
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_commissionCalc = commissionCalc ?? throw new ArgumentNullException(nameof(commissionCalc));
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}
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/// <summary>
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/// 计算对冲交易Pnl信息
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/// </summary>
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/// <param name="newHedgeTrades">当日对冲交易数据</param>
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/// <param name="eodPositions">上日持仓数据</param>
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public IEnumerable<ExchangePositionItem> Calculate(IEnumerable<ExchangeTrade> newHedgeTrades
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, IEnumerable<EodTradePosition> eodPositions, ExchangeOptionPriceProvider exchangeOptionPriceProvider)
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{
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if (newHedgeTrades == null && eodPositions == null)
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{
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return Enumerable.Empty<ExchangePositionItem>();
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}
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var resultDic = new Dictionary<string, ExchangePositionItem>();
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var exchangeOptionSource = DataCacheProvider.GetExchangeListOptionDataSource();
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//-----------------------------------------
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// 处理昨日持仓
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//-----------------------------------------
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if (eodPositions != null)
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{
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foreach (var eod in eodPositions)
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{
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if (eod.TradeType == "场内期权")
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{
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var exchangeOption = exchangeOptionSource.GetData(eod.ExchangeOptionCode);
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//剔除已到期场内期权持仓
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if (exchangeOption == null || exchangeOption.MaturityDate < _valueDate)
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{
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continue;
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}
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}
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var uniqueCode = GetUniqueCode(eod.BookId, eod.TradeType, eod.UnderlyingCode, eod.ExchangeOptionCode);
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if (!resultDic.TryGetValue(uniqueCode, out var result))
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{
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resultDic[uniqueCode] = result = new ExchangePositionItem()
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{
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//合成唯一标记
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BookId = eod.BookId,
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TradeType = eod.TradeType,
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UnderlyingCode = eod.UnderlyingCode,
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ExchangeOptionCode = eod.ExchangeOptionCode,
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BookName = null,
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ExchangeId = null,
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LastPriceTime = null
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};
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}
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//合并汇总
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result.Commission += eod.Commission;
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result.PositionProfit += eod.TotalPnL;
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if (Math.Abs(eod.Amount) > 0)
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{
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if ("short" == eod.PositionType)
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{
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result.Volume_Short += eod.Amount;
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//因为TotalPnL已经包括了Cost所以用PV
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result.PositionCost_Short += eod.Pv;
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}
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else
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{
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result.Volume_Long += eod.Amount;
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result.PositionCost_Long += eod.Pv;
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}
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}
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}
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}
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//-----------------------------------------
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// 处理当日交易
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//-----------------------------------------
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if (newHedgeTrades != null && newHedgeTrades.Any())
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{
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//对冲交易手续费计算
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var tradeCommissionDict = _commissionCalc.GetTradeCommission(newHedgeTrades);
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foreach (var newTrade in newHedgeTrades)
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{
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//手续费
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var commission = tradeCommissionDict.GetTradeCommission(newTrade.id);
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//对冲唯一编码（簿记账户ID_结构类型_持仓类型_合约代码）
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var uniqueCode = GetUniqueCode(newTrade.AssetBookId, newTrade.TradeType, newTrade.UnderlyingCode, newTrade.OptionCode);
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//当日交易数量/成本(根据交易方向取正负号)
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var volume = newTrade.Notional * TradeCalcHelper.GetSign(newTrade.TradeSide);
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var cost = newTrade.TradeSinglePrice * volume + commission;
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//获取是否存在对应uniqueCode的对冲信息
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if (!resultDic.TryGetValue(uniqueCode, out var result))
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{
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resultDic[uniqueCode] = result = new ExchangePositionItem()
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{
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BookId = newTrade.AssetBookId,
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TradeType = newTrade.TradeType,
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UnderlyingCode = newTrade.UnderlyingCode,
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ExchangeOptionCode = newTrade.OptionCode,
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BookName = null,
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ExchangeId = null,
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LastPriceTime = null
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};
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}
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//合并汇总
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result.Commission += commission;
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if (newTrade.TradeSide != null && newTrade.TradeSide.Contains("空头"))
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{
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result.Volume_Short += volume;
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result.PositionCost_Short += cost;
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}
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else
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{
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result.Volume_Long += volume;
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result.PositionCost_Long += cost;
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}
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}
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}
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//-----------------------------------------
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// 计算持仓盈亏
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//-----------------------------------------
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var underlyingSource = DataCacheProvider.GetUnderlyingDataSource();
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var assetBookSource = DataCacheProvider.GetAssetUnitDataSource();
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if (exchangeOptionPriceProvider == null)
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{
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exchangeOptionPriceProvider = new ExchangeOptionPriceProvider();
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}
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foreach (var result in resultDic.Values)
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{
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var um = underlyingSource.GetData(result.UnderlyingCode);
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result.ExchangeId = um.MarketCode;
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var hasPrice = false;
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if (result.TradeType == "场内期权")
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{
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if (exchangeOptionPriceProvider.TryGetPriceModel(result.ExchangeOptionCode, out var model))
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{
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hasPrice = true;
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result.LastPrice = model.Price;
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result.LastPriceTime = model.PriceTime?.ToString("yyyy-MM-dd'T'HH:mm:ss.fff");
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}
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}
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else if (um != null)
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{
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hasPrice = true;
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result.LastPrice = um.Price ?? 0;
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result.LastPriceTime = um.LastUpdateTime?.ToString("yyyy-MM-dd'T'HH:mm:ss.fff");
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}
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if (hasPrice)
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{
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var longProfit = result.LastPrice * result.Volume_Long - result.PositionCost_Long;
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var shortProfit = result.LastPrice * result.Volume_Short - result.PositionCost_Short;
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result.PositionProfit += longProfit + shortProfit;
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}
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result.BookName = assetBookSource.GetData(result.BookId)?.Name;
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}
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return resultDic.Values;
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}
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/// <summary>
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/// 根据对冲账号 簿记账户I 结构类型 买卖方向 标的代码 场内期权代码 编制对冲唯一编码
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/// </summary>
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private static string GetUniqueCode(int BookId, string TradeType, string UnderlyingCode, string ExchangeOptionCode = null)
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{
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return $"{BookId}_{TradeType}_{("场内期权".Equals(TradeType) ? ExchangeOptionCode : UnderlyingCode)}";
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}
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}
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/// <summary>
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/// 场内持仓计算单项结果
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/// </summary>
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public class ExchangePositionItem
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{
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/// <summary>
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/// [unique]簿记ID
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/// </summary>
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public int BookId { get; set; }
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/// <summary>
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/// 簿记账户
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/// </summary>
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public string BookName { get; set; }
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/// <summary>
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/// [unique]交易类型
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/// </summary>
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public string TradeType { get; set; }
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/// <summary>
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/// [unique]标的代码
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/// </summary>
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public string UnderlyingCode { get; set; }
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/// <summary>
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/// [unique]场内期权代码
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/// </summary>
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public string ExchangeOptionCode { get; set; }
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/// <summary>
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/// 持仓数量
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/// </summary>
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public double Volume => Volume_Long + Volume_Short;
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/// <summary>
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/// 手续费
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/// </summary>
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public double Commission { get; set; }
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/// <summary>
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/// 持仓成本
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/// </summary>
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public double PositionCost => PositionCost_Long + PositionCost_Short;
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/// <summary>
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/// 最新价
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/// </summary>
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public double LastPrice { get; set; }
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/// <summary>
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/// 最新价更新时间(格式:yyyy-MM-ddTHH:mm:ss.fff)
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/// </summary>
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public string LastPriceTime { get; set; }
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/// <summary>
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/// 持仓盈亏
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/// </summary>
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public double PositionProfit { get; set; }
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/// <summary>
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/// 交易所ID
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/// </summary>
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public string ExchangeId { get; set; }
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/// <summary>
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/// 多头持仓成本(使用了正号处理)
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/// </summary>
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public double Volume_Long { get; set; }
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/// <summary>
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/// 空头持仓成本(使用了负号处理)
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/// </summary>
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public double Volume_Short { get; set; }
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/// <summary>
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/// 多头持仓成本(使用了正号处理)
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/// </summary>
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public double PositionCost_Long { get; set; }
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/// <summary>
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/// 空头持仓成本(使用了负号处理)
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/// </summary>
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public double PositionCost_Short { get; set; }
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public override string ToString()
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{
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return $"{BookName}--{UnderlyingCode}--{Volume}--{LastPrice}--{PositionProfit}--{PositionCost}";
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}
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}
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/// <summary>
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/// 场内持仓计算结果
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/// </summary>
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public class ExchangePositionCalcResult
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{
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/// <summary>
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/// 当前结算日
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/// </summary>
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public DateTime ValueDate { get; set; }
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/// <summary>
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/// 上个结算日
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/// </summary>
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public DateTime LastDate { get; set; }
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/// <summary>
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/// 结果数据集合
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/// </summary>
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public IEnumerable<ExchangePositionItem> Items { get; set; }
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/// <summary>
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/// 开始运行时间
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/// </summary>
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public DateTime StartTime { get; }
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/// <summary>
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/// 结束运行时间
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/// </summary>
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public DateTime EndTime { get; } = DateTime.Now;
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public ExchangePositionCalcResult(DateTime startTime)
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{
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StartTime = startTime;
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}
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}
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}
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