zszq-trs/YLErpDAL/Modules/RiskHedgingModule/TradeAutoRuleService.cs

using YLErp.Model;
using YLErp.Models;

namespace YLErp.Modules.RiskHedgingModule
{
    /// <summary>
    /// 自动对冲规则服务
    /// </summary>
    public class TradeAutoRuleService : YLBaseService
    {
        public TradeAutoRuleService(OptUserInfo userInfo) : base(userInfo)
        {
        }

        /// <summary>
        /// 为风险对冲页面应用自动对冲规则
        /// </summary>
        public void ApplyAutoRuleForShowing(int userId, IEnumerable<TradingRiskParameter> groupRisks)
        {
            var autoRuleDic = DbContext.trade_autorule.Where(n => n.OptId == userId && n.Enable)
                .Select(n => new trade_autoruleDto
                {
                    UnderlyingCode = n.UnderlyingCode,
                    DeltaPercent = n.DeltaPercent / 100,
                    PnlAdjust = n.PnlAdjust,
                    PnlAdjustType = n.PnlAdjustType
                }).ToDictionary(n => n.UnderlyingCode, StringComparer.OrdinalIgnoreCase);

            if (!autoRuleDic.Any())
            {
                return;
            }

            foreach (var g in groupRisks ?? Enumerable.Empty<TradingRiskParameter>())
            {
                if (g.viewList == null || !autoRuleDic.TryGetValue(g.UnderlyingCode, out var rule))
                {
                    continue;
                }

                double notionalSum = 0, deltaSum = 0, deltaLotsSum = 0;

                foreach (var item in g.viewList)
                {
                    //对冲交易应用规则
                    if (ConsTrade.TradeTypesForHedge.Contains(item.TradeType))
                    {
                        if (double.IsNaN(item.ExercisePnl) || double.IsInfinity(item.ExercisePnl))
                        {
                            item.ExercisePnl = 0;
                        }
                        if (double.IsNaN(item.TotalPnl) || double.IsInfinity(item.TotalPnl))
                        {
                            item.TotalPnl = 0;
                        }
                        if (rule.PnlAdjustType == "固定")
                        {
                            item.TotalPnl += rule.PnlAdjust;
                            item.ExercisePnl += rule.PnlAdjust;
                        }
                        else if (rule.PnlAdjustType == "比例")
                        {
                            item.TotalPnl *= 1 + rule.PnlAdjust / 100;
                            item.ExercisePnl *= 1 + rule.PnlAdjust / 100;
                        }
                        if (rule.DeltaPercent > 0)
                        {
                            item.Delta /= rule.DeltaPercent;
                            item.DeltaInLots /= rule.DeltaPercent;
                        }
                    }
                    else if (!double.IsNaN(item.Notional) && !double.IsInfinity(item.Notional))
                    {
                        notionalSum += item.Notional;
                    }

                    if (!double.IsNaN(item.Delta) && !double.IsInfinity(item.Delta))
                    {
                        deltaSum += item.Delta;
                        deltaLotsSum += item.DeltaInLots;
                    }
                }

                //设置组数据
                g.Delta = deltaSum;
                g.DeltaInLots = deltaLotsSum;
                g.DeltaPercent = deltaSum / notionalSum;
                if (double.IsNaN(g.ExercisePnl) || double.IsInfinity(g.ExercisePnl))
                {
                    g.ExercisePnl = 0;
                }
                if (double.IsNaN(g.TotalPnl) || double.IsInfinity(g.TotalPnl))
                {
                    g.TotalPnl = 0;
                }
                if (rule.PnlAdjustType == "固定")
                {
                    g.TotalPnl += rule.PnlAdjust;
                    g.ExercisePnl += rule.PnlAdjust;
                }
                else if (rule.PnlAdjustType == "比例")
                {
                    g.TotalPnl *= 1 + rule.PnlAdjust / 100;
                    g.ExercisePnl *= 1 + rule.PnlAdjust / 100;
                }
            }
        }

        /// <summary>
        /// 为风险对冲交易应用自动对冲规则
        /// </summary>
        public void ApplyAutoRuleForHedging(int userId, IEnumerable<TradingRiskParameter> groupRisks)
        {
            var autoRuleDic = DbContext.trade_autorule.Where(n => n.OptId == userId && n.Enable)
                            .Select(n => new trade_autoruleDto
                            {
                                UnderlyingCode = n.UnderlyingCode,
                                DeltaPercent = n.DeltaPercent / 100
                            }).ToDictionary(n => n.UnderlyingCode, StringComparer.OrdinalIgnoreCase);

            foreach (var g in groupRisks)
            {
                g.DeltaPercent = 1;

                if (g.viewList == null || !autoRuleDic.TryGetValue(g.UnderlyingCode, out var rule)
                    || rule.DeltaPercent < 0.00001)
                {
                    continue;
                }

                double otcDeltaInLotsSum = 0, hedgingDeltaInLotsSum = 0, ruleDeltaSum = 0;

                foreach (var item in g.viewList)
                {
                    if (ConsTrade.TradeTypesForHedge.Contains(item.TradeType))
                    {
                        if (double.IsNaN(item.Delta) || double.IsInfinity(item.Delta))
                        {
                            item.Delta = 0;
                        }
                        if (double.IsNaN(item.DeltaInLots) || double.IsInfinity(item.DeltaInLots))
                        {
                            item.DeltaInLots = 0;
                        }
                        hedgingDeltaInLotsSum += item.DeltaInLots;
                        item.Delta /= rule.DeltaPercent;
                        item.DeltaInLots /= rule.DeltaPercent;
                    }
                    else
                    {
                        otcDeltaInLotsSum += item.DeltaInLots;
                    }

                    if (!double.IsNaN(item.Delta) && !double.IsInfinity(item.Delta))
                    {
                        ruleDeltaSum += item.Delta;
                    }
                }
                //设置组数据
                g.Delta = ruleDeltaSum;
                g.DeltaPercent = rule.DeltaPercent;
                g.DeltaInLots = hedgingDeltaInLotsSum + otcDeltaInLotsSum * rule.DeltaPercent;
            }
        }
    }
}