hjhan
a17cdc2b74
- EodPriceQueryService 新增 TryGetSettlementEodPrice：债券走中债估值、期货/股票走原路径 - 单笔 tradeExpireInner + 批量 MultipleTradeExpireConfirm 改用统一方法，修 GLMS-20260715-0002 债券期权到期报'结算价未找到' - 移除批量路径未初始化的 EodPriceProvider（对债券无效且有误导性的 footgun） - Layer2：标注 EodPriceProvider.Initialize 与 GetBondPrice 债券 ClosePrice/SettlePrice 净全价定义相反，待统一（不改逻辑） - 新增白盒单测覆盖债券标的到期取价（3用例 DB驱动，均通过）
771 lines
38 KiB
C#
771 lines
38 KiB
C#
using Microsoft.EntityFrameworkCore;
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using System.Text;
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using YLErp.BLL;
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using YLErp.BLL.Calculation.V2;
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using YLErp.BLL.Eod;
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using YLErp.BLL.EodSettlement;
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using YLErp.Commons;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Enums;
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using YLErp.DBModels.Helpers;
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using YLErp.Modules.ClientModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.DealModule
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{
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/// <summary>
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/// 将单个交易标记为到期（并增加一条收益为零的trade_cash记录，直接到期的交易记录期末价格为0）
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/// </summary>
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public class TradeExpireConfirmService : TradeServiceBase
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{
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public TradeExpireConfirmService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public TradeExpireConfirmService(YLBaseService baseService) : base(baseService)
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{
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}
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public TradeExpireConfirmResult TradeExpireConfirm(int tradeId, double spotPrice = 0)
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{
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var td = DbContext.trade.Find(tradeId);
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var error = checkCanTradeExpire(td);
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//如果有配对交易，配对交易也要到期
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if (!string.IsNullOrEmpty(td.PairTrade))
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{
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var pairid = Convert.ToInt32(td.PairTrade);
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var pairtd = DbContext.trade.Find(pairid);
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if (pairtd.TradeStatus == ConsTrade.已到期)
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{
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//执行单笔已到期
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}
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else
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{
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var error2 = checkCanTradeExpire(pairtd);
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if (string.IsNullOrEmpty(error) && string.IsNullOrEmpty(error2))
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{
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//2个交易都可以到到期才到期
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tradeExpireInner(td, spotPrice);
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tradeExpireInner(pairtd, spotPrice);
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//生成文档
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if (PS.Config.IsAutoGenerateContracts)
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{
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new TradeContractGenerateService(this).GenerateContractsAsync(new List<int> { td.id, pairid });
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}
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AddTradeOperationHistoryAndSetParentTradeInfo(false, td, "过期交易到期");
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AddTradeOperationHistoryAndSetParentTradeInfo(false, pairtd, "过期交易到期");
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DbContext.SaveChanges();
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return new TradeExpireConfirmResult(td)
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{
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Success = true,
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Message = $"确认到期成功，且配对交易{pairtd.TradeNumber}也到期成功"
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};
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}
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return new TradeExpireConfirmResult(td)
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{
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Success = false,
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Message = error + error2
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};
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}
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}
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//无匹配交易
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if (string.IsNullOrEmpty(error))
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{
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tradeExpireInner(td, spotPrice);
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//生成文档
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if (PS.Config.IsAutoGenerateContracts)
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{
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new TradeContractGenerateService(this).GenerateContractsAsync(new List<int> { td.id });
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}
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SaveTradeOperationHistory(td, "过期交易到期");
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return new TradeExpireConfirmResult(td) { Success = true, Message = "确认到期成功" };
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}
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return new TradeExpireConfirmResult(td) { Success = false, Message = error };
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}
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/// <summary>
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/// 检查交易是否可以到期,返回错误信息，空为成功
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/// </summary>
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private string checkCanTradeExpire(trade td)
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{
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if (PS.Config.TradeElement.ExecuteAfterGeneratedConfirmDoc && !td.HasGeneratedConfirmBook() && td.TradeType != "自定义交易")
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{
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return "请先去生成交易确认书";
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}
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var valueDate = valuedateBLL.ValueDate;
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if (td.TradeStatus == ConsTrade.确认成交 && ((td.ExerciseMode == "European" && td.ExerciseDate <= valueDate) || (td.ExerciseMode == "American" && valueDate >= td.StartDate) || string.IsNullOrEmpty(td.ExerciseMode)))
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{
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return string.Empty;
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}
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return $"确认到期失败,交易必须为[确认成交]状态并且[欧式期权]必须到期日{td.ExerciseDate}之后，美式期权必须在开始日{td.StartDate}之后";
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}
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/// <summary>
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/// 执行到期
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/// </summary>
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private void tradeExpireInner(trade td, double spotPrice = 0)
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{
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//到期日期如果是节假日，取节假日后的第一个工作日
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var exerciseDate = QdpCalendarHelper.GetNonHoliday(td.ExerciseDate ?? valuedateBLL.ValueDate);
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var valueDate = valuedateBLL.ValueDate;
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td.TradeStatus = ConsTrade.已到期;
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td.UnWindDate = exerciseDate;
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td.OptDate = DateTime.Now;
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// 直接到期的交易设置
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var tc = DbContext.trade_cash.FirstOrDefault(t => t.TradeId == td.id && t.Action == ClientCashInCashOut.系统操作_行权费 && !t.IsDeleted);
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if (tc == null)
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{
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tc = new trade_cash();
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DbContext.trade_cash.Add(tc);
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}
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#region 设置期末价格和执行价格
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// 债券标的需走中债估值表取价，原 TryGetEodPrice 只查期货/股票两表会漏掉债券，导致"结算价未找到"。
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// 统一改用债券感知的 TryGetSettlementEodPrice（见 EodPriceQueryService）。
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var finalPrice = EodPriceQueryService.TryGetSettlementEodPrice(exerciseDate, td.UnderlyingCode, out var eodPrice)
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? eodPrice.GetPrice(td.SettlementType) : 0;
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if (finalPrice <= 0)
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{
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throw new Exception("标的收盘价不合法，请检查后再进行到期操作");
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}
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SettlementCalcCommons.SetPossibleExec(tc, td, finalPrice, true);
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if (td.TradeType != "亚式期权")
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{
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tc.FinalPrice = finalPrice;
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tc.Strike = td.Strike;
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}
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else
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{
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tc.SpotPrice = spotPrice;
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}
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//修改只收买方行权费
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tc.ExtraAmount = Math.Abs(td.StockEqvNotional * (valuedateBLL.SystemDate.ExerciseCostRatioReal ?? 0)) * ("卖出".Equals(td.BuySell) ? 1 : 0);
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tc.Amount += tc.ExtraAmount ?? 0;
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#endregion
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tc.ValidState = "Valid";
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tc.OptId = UserId;
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tc.OptName = UserName;
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tc.OptDate = DateTime.Now;
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tc.Action = ClientCashInCashOut.系统操作_行权费;
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tc.IsLastAction = true;
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tc.ValueDate = exerciseDate;
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tc.Notional = td.Notional;
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var CountRatio = UnderlyingDataProvider.GetCountRatio(td.UnderlyingCode);
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tc.TradeAmount = tc.Notional / CountRatio;
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tc.Status = TradeCashStatusEnum.已执行;
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tc.TradeType = td.BuySell;
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tc.TradeId = td.id;
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tc.ParentTradeId = td.ParentTradeId;
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tc.ExerciseWay = TradeCashExerciseWayEnum.到期行权;
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tc.UnwindVol = 0;//到期交易不需要存平仓波动率
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DbContext.SaveChanges();
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if (tc.IsPossibleExec)
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{
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new TradeCashService(this).SaveTradeCashDetail(tc);
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//增加出入金记录
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var cl = DataCacheProvider.GetClientDataSource().GetData(td.ClientId);
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var ee = new ClientCashInCashOut
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{
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Direction = "应收",
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Number = UniqueTimeId.GetStr(),
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ClientId = cl.id,
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ClientNumber = cl.Number,
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ClientName = cl.Name,
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//客户和交易员反方向
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Money = tc.Amount * -1,
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HappenDate = tc.ValueDate,
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State = ClientCashInCashOut.已确认,
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//ee.OpenBankId = bc.id + "";
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//ee.OpenBankCard = bc.Card;
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TradeId = tc.TradeId,
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TradeCashId = tc.id,
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OptId = tc.OptId,
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OptName = tc.OptName,
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OptDate = tc.OptDate,
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CreatorId = tc.OptId,
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CreatorName = tc.OptName,
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CreateDate = tc.OptDate,
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Action = ClientCashInCashOut.系统操作_行权费,
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TradeNumber = td.TradeNumber,
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IsGroup = td.IsGroup
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};
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DbContext.ClientCashInCashOut.Add(ee);
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td.TradeStatus = ConsTrade.已执行;
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}
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//结构化子交易到期行权时，检查另外一个兄弟子交易是否已了结，如果已了结，则主交易状态也跟着当前子交易状态变化
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if (td.ParentTradeId > 0)
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{
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var otherTrade = DbContext.trade.Where(x => x.ParentTradeId == td.ParentTradeId && x.id != td.id);
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if (otherTrade.All(n => ConsTrade.TradeCompleteStatus.Contains(n.TradeStatus)))
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{
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var parentTrade = DbContext.trade.Find(td.ParentTradeId);
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parentTrade.TradeStatus = td.TradeStatus;
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parentTrade.UnWindDate = td.UnWindDate;
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}
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}
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//删除E/Bod数据
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RemoveEodTradeAndFutureInfo(false, td.id, tc.ValueDate);
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DbContext.SaveChanges();
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}
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/// <summary>
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/// 将多个交易标记为到期
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/// </summary>
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public void MultipleTradeExpireConfirm(IEnumerable<int> tradeIds, out string successMsg)
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{
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var valueDate = valuedateBLL.ValueDate;
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successMsg = "执行到期成功:";
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//批量行权到期 获取所有交易到期日小于当前系统日期非通道交易
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var buySellList = new List<string> { "卖出", "买入" };
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//所有应行权到期的通道自营交易(如果前一天是假日，要显示包含假日的交易)
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var preday = QdpCalendarHelper.GetNonHolidayDefore(valueDate.AddDays(-1));
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var dateEnd = valueDate.AddDays(1);
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IQueryable<trade> tradeQuery = DbContext.trade;
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if (tradeIds != null && tradeIds.Any(n => n > 0))
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{
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var selectParentTradeIds = DbContext.trade.Where(t => tradeIds.Contains(t.id) && t.ParentTradeId != 0).Select(x => x.ParentTradeId).ToHashSet().ToArray();
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tradeQuery = DbContext.trade.Where(t => tradeIds.Contains(t.id) || tradeIds.Contains(t.ParentTradeId) || selectParentTradeIds.Contains(t.ParentTradeId));
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}
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tradeQuery = tradeQuery.Where(t => t.ClientId > 0
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&& t.ExerciseDate > preday && t.ExerciseDate < dateEnd && t.TradeStatus == ConsTrade.确认成交
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&& t.ValidState != "InValid" && t.ClientId > 0 && t.TradeNumber != null
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&& !ConsTrade.NonOptionTradeTypes.Contains(t.TradeType) && t.TradeType != "自定义交易");
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var needKnockInTradeIds = tradeQuery.Where(t => t.TradeType == "雪球期权" || t.TradeType == "凤凰期权").Select(x => x.id).ToList();
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var unKnockInTradeIds = DbContext.trade_autocall.Where(x => needKnockInTradeIds.Contains(x.TradeId) && x.KnockInOutStatus != ConsTrade.KnockState.KnockedIn).Select(x => x.TradeId).Union(DbContext.trade_snowball.Where(x => needKnockInTradeIds.Contains(x.TradeId) && x.KnockInOutStatus != "KnockedIn").Select(x => x.TradeId)).ToList();
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tradeQuery = tradeQuery.Where(x => !unKnockInTradeIds.Contains(x.id));
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var tradeUnwindTrades = tradeQuery.ToList();
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if (!tradeUnwindTrades.Any())
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{
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throw new ServiceException($"不存在可批量执行到期的交易，或者勾选的交易不可被批量执行到期");
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}
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var tradeCashList = new List<trade_cash>();
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var clientCashList = new List<ClientCashInCashOut>();
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trade_cash tradeCash = null;
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//日终价格
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//批量结算的全是现金流交易就不用结算价
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if (!EodPriceQueryService.CheckDbExists(valueDate) && tradeQuery.Any(t => t.TradeType != "现金流交易"))
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{
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throw new ServiceException($"当日交易的结算价或收盘价未找到！");
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}
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var sbMsg = new StringBuilder().AppendLine(successMsg);
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var parentTradeIds = new List<int>();
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foreach (var t in tradeUnwindTrades)
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{
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if (t.ParentTradeId > 0 && t.IsGroup == 0)
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{
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parentTradeIds.Add(t.ParentTradeId);
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}
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if (PS.Config.TradeElement.ExecuteAfterGeneratedConfirmDoc && !t.HasGeneratedConfirmBook() && t.TradeType != "远期" && t.TradeType != "现金流交易")
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{
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throw new ServiceException($"交易{t.TradeNumber}的交易确认书没有生成。");
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}
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double settlePrice = 0;
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var CountRatio = 1;
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if (t.TradeType != "现金流交易")
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{
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//结算价（债券感知统一取价：债券走中债估值，期货/股票走原路径，见 EodPriceQueryService.TryGetSettlementEodPrice）
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if (EodPriceQueryService.TryGetSettlementEodPrice(valueDate, t.UnderlyingCode, out var eodPrice))
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{
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settlePrice = eodPrice.GetPrice(t.SettlementType);
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}
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else
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{
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throw new ServiceException($"交易{t.TradeNumber},标的[{t.UnderlyingCode}]{valueDate}结算价或收盘价或参考价不存在!");
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}
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CountRatio = UnderlyingDataProvider.GetCountRatio(t.UnderlyingCode);
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}
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var client = ClientDataQueryService.GetClient(t.ClientId);
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if (client == null)
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{
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throw new ServiceException($"交易{t.TradeNumber}的客户{t.ClientName}在系统中不存在！请检查数据后再操作。");
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}
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if (t.TradeType == "收益互换")
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{
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//t.trade_swap = DbContext.trade_swap.FirstOrDefault(x => x.TradeId == t.id);
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//if(t.trade_swap == null)
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//{
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// throw new ServiceException($"交易{t.TradeNumber}对应的trade_swap数据不存在!");
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//}
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//var unwindPercentRate = t.OriginalNotional > 0 ? t.Notional / t.OriginalNotional : 0;
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//var initialAmount = t.SpotPrice > 0 ? (settlePrice / (t.FinalPrice ?? t.SpotPrice) - 1) * (t.OriginalStockEqvNotional * (t.FinalPrice ?? t.SpotPrice) / t.SpotPrice) * unwindPercentRate * (t.BuySell == "买入" ? 1 : -1) * (t.OptionType == "看涨" ? 1 : -1) : 0;
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//int days = (valueDate - (t.UnWindDate ?? t.StartDate.Value)).Days;
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//var extraAmount = t.OriginalStockEqvNotional * unwindPercentRate * t.trade_swap.GetSwapRate * ((double)days / t.trade_swap.AnnualDays) * (t.BuySell == "买入" ? -1 : 1);
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//var amount = (initialAmount ?? 0) + (extraAmount ?? 0);
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//tradeCash = new trade_cash
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//{
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// ValueDate = valueDate,
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// TradeId = t.id,
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// ExceciseType = "到期行权",
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// CallPut = t.CallPut,
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// Notional = t.Notional,
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// UnwindNotional = t.Notional,
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// TradeAmount = t.Notional / CountRatio,
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// UnwindPercentRate = unwindPercentRate,
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// NotionalPercentRate = unwindPercentRate,
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// FinalPrice = settlePrice.Value,
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// Amount = amount,
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// ExtraAmount = extraAmount,
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// Action = ClientCashInCashOut.系统操作_互换,
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// Status = TradeCashStatusEnum.已执行,
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// OptId = UserId,
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// OptName = UserName,
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// OptDate = DateTime.Now,
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// ExerciseWay = TradeCashExerciseWayEnum.到期行权
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//};
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//tradeCashList.Add(tradeCash);
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//clientCashList.Add(new ClientCashInCashOut
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//{
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// Direction = "应收",
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// Number = UniqueTimeId.GetStr(),
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// ClientId = client.id,
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// ClientNumber = client.Number,
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// ClientName = client.Name,
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// ClientIdentityNumber = client.IdentificationNumber,
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// //客户和交易员反方向
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// Money = amount * -1,
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// HappenDate = valueDate == DateTime.Now.Date ? DateTime.Now : valueDate,
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// State = ClientCashInCashOut.已确认,
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// TradeId = tradeCash.TradeId,
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// OptId = tradeCash.OptId,
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// OptName = tradeCash.OptName,
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// OptDate = tradeCash.OptDate,
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// Action = ClientCashInCashOut.系统操作_互换,
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// TradeNumber = t.TradeNumber
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//});
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//t.TradeStatus = ConsTrade.已到期;
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//t.UnWindDate = valueDate;
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//t.FinalPrice = settlePrice;
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}
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else
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{
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var parentTradeCash = DbContext.trade_cash.OrderByDescending(x => x.id).FirstOrDefault(x => x.TradeId == t.ParentTradeId && x.Action != "系统操作-期权费" && x.Status == null && x.ValidState != "InValid");
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var parentTrade = DbContext.trade.Find(t.ParentTradeId);
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if (t.IsGroup == 2)
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{
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//主交易和子交易都是当天到期
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if (parentTrade.ExerciseDate > preday && parentTrade.ExerciseDate < dateEnd)
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{
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if (parentTradeCash == null)
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{
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parentTradeCash = new trade_cash()
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{
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Action = ClientCashInCashOut.系统操作_行权费,
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ExerciseWay = "到期行权",
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IsLastAction = true,
|
||
TradeType = parentTrade.BuySell,
|
||
Notional = parentTrade.Notional,
|
||
TradeAmount = parentTrade.TradeAmount,
|
||
UnwindNotional = parentTrade.Notional,
|
||
UnwindTradeAmount = parentTrade.TradeAmount,
|
||
UnwindPercentRate = parentTrade.OriginalNotional > 0 ? parentTrade.Notional / parentTrade.OriginalNotional : 0,
|
||
TradeId = t.ParentTradeId,
|
||
HappenedDate = valueDate,
|
||
ValueDate = valueDate,
|
||
OptId = UserId,
|
||
OptName = UserName,
|
||
OptDate = DateTime.Now
|
||
};
|
||
parentTrade.TradeStatus = "已到期";
|
||
parentTrade.UnWindDate = valueDate;
|
||
parentTrade.FinalPrice = settlePrice;
|
||
parentTrade.UnWindNotional = parentTrade.Notional;
|
||
parentTrade.Notional = 0;
|
||
parentTrade.TradeAmount = 0;
|
||
parentTrade.StockEqvNotional = 0;
|
||
|
||
DbContext.trade_cash.Add(parentTradeCash);
|
||
DbContext.SaveChanges();
|
||
|
||
#region---存入ClientCashInCashOut---
|
||
|
||
var cl = ClientDataQueryService.GetClient(parentTrade.ClientId, true);
|
||
var ee = new ClientCashInCashOut
|
||
{
|
||
Direction = "应收",
|
||
Number = UniqueTimeId.GetStr(),
|
||
ClientId = cl.id,
|
||
ClientNumber = cl.Number,
|
||
ClientName = cl.Name,
|
||
HappenDate = parentTradeCash.ValueDate,
|
||
State = ClientCashInCashOut.已确认,
|
||
OptId = parentTradeCash.OptId,
|
||
OptName = parentTradeCash.OptName,
|
||
OptDate = parentTradeCash.OptDate,
|
||
CreatorId = parentTradeCash.OptId,
|
||
CreatorName = parentTradeCash.OptName,
|
||
CreateDate = parentTradeCash.OptDate,
|
||
TradeId = parentTradeCash.TradeId,
|
||
TradeCashId = parentTradeCash.id,
|
||
Action = parentTradeCash.Action,
|
||
TradeNumber = parentTrade.TradeNumber,
|
||
IsGroup = parentTrade.IsGroup
|
||
};
|
||
DbContext.ClientCashInCashOut.Add(ee);
|
||
|
||
#endregion
|
||
}
|
||
}
|
||
else
|
||
{
|
||
if (parentTradeCash == null)
|
||
{
|
||
//主交易非当日到期
|
||
parentTrade.UnWindDate = valueDate;
|
||
parentTrade.FinalPrice = settlePrice;
|
||
var childrenExerciseDateCount = DbContext.trade.Where(x => x.ParentTradeId == parentTrade.id && x.ValidState != "InValid").Select(x => x.ExerciseDate).Distinct().Count();
|
||
parentTrade.UnWindNotional = 1.0 / childrenExerciseDateCount * parentTrade.OriginalNotional;
|
||
parentTradeCash = new trade_cash()
|
||
{
|
||
Action = ClientCashInCashOut.系统操作_平仓费,
|
||
ExerciseWay = "提前终止行权",
|
||
IsLastAction = false,
|
||
TradeType = parentTrade.BuySell,
|
||
Notional = parentTrade.Notional,
|
||
TradeAmount = parentTrade.TradeAmount,
|
||
UnwindNotional = parentTrade.UnWindNotional,
|
||
UnwindTradeAmount = parentTrade.UnWindNotional / (parentTrade.CountRatio ?? 1),
|
||
UnwindPercentRate = parentTrade.OriginalNotional > 0 ? parentTrade.UnWindNotional / parentTrade.OriginalNotional : 0,
|
||
TradeId = t.ParentTradeId,
|
||
HappenedDate = valueDate,
|
||
ValueDate = valueDate,
|
||
OptId = UserId,
|
||
OptName = UserName,
|
||
OptDate = DateTime.Now
|
||
};
|
||
|
||
parentTrade.Notional -= (parentTradeCash.UnwindNotional ?? 0);
|
||
parentTrade.TradeAmount -= (parentTradeCash.UnwindTradeAmount ?? 0);
|
||
parentTrade.StockEqvNotional -= ((parentTrade.OriginalStockEqvNotional ?? 0) * (parentTradeCash.UnwindPercentRate ?? 0));
|
||
|
||
DbContext.trade_cash.Add(parentTradeCash);
|
||
DbContext.SaveChanges();
|
||
|
||
#region---存入ClientCashInCashOut---
|
||
|
||
var cl = ClientDataQueryService.GetClient(parentTrade.ClientId, true);
|
||
var ee = new ClientCashInCashOut
|
||
{
|
||
Direction = "应收",
|
||
Number = UniqueTimeId.GetStr(),
|
||
ClientId = cl.id,
|
||
ClientNumber = cl.Number,
|
||
ClientName = cl.Name,
|
||
HappenDate = parentTradeCash.ValueDate,
|
||
State = ClientCashInCashOut.已确认,
|
||
OptId = parentTradeCash.OptId,
|
||
OptName = parentTradeCash.OptName,
|
||
OptDate = parentTradeCash.OptDate,
|
||
CreatorId = parentTradeCash.OptId,
|
||
CreatorName = parentTradeCash.OptName,
|
||
CreateDate = parentTradeCash.OptDate,
|
||
TradeId = parentTradeCash.TradeId,
|
||
TradeCashId = parentTradeCash.id,
|
||
Action = parentTradeCash.Action,
|
||
TradeNumber = parentTrade.TradeNumber,
|
||
IsGroup = parentTrade.IsGroup
|
||
};
|
||
DbContext.ClientCashInCashOut.Add(ee);
|
||
|
||
#endregion
|
||
}
|
||
}
|
||
|
||
var tradeCashGroupAction = new trade_cash_group_action()
|
||
{
|
||
TradeId = t.id,
|
||
ParentTradeId = t.ParentTradeId,
|
||
ParentTradeCashId = parentTradeCash.id,
|
||
Status = "已完成",
|
||
OptId = UserId,
|
||
OptName = UserName,
|
||
OptDate = DateTime.Now,
|
||
IsFinishedUnwindPercent = true
|
||
};
|
||
DbContext.trade_cash_group_action.Add(tradeCashGroupAction);
|
||
}
|
||
|
||
tradeCash = new trade_cash
|
||
{
|
||
ValueDate = valueDate,
|
||
TradeId = t.id,
|
||
ParentTradeId = t.ParentTradeId,
|
||
ExceciseType = "现金",
|
||
CallPut = t.CallPut,
|
||
Strike = t.IsMoneynessOptionData ? (t.Strike * t.SpotPrice) : t.Strike,
|
||
Notional = t.Notional,
|
||
UnwindNotional = t.Notional,
|
||
UnwindPercentRate = t.OriginalNotional > 0 ? t.Notional / t.OriginalNotional : 0,
|
||
FinalPrice = settlePrice,
|
||
Action = ClientCashInCashOut.系统操作_行权费,
|
||
IsLastAction = true,
|
||
Status = TradeCashStatusEnum.已执行,
|
||
OptId = UserId,
|
||
OptName = UserName,
|
||
OptDate = DateTime.Now,
|
||
ExerciseWay = TradeCashExerciseWayEnum.到期行权,
|
||
TradeType = t.BuySell
|
||
};
|
||
|
||
tradeCash.SpotPrice = DataCacheProvider.GetUnderlyingDataSource().GetPrice(t.UnderlyingCode);
|
||
|
||
tradeCash.TradeAmount = tradeCash.Notional / CountRatio;
|
||
|
||
//计算行权收益
|
||
SettlementCalcCommons.SetPossibleExec(tradeCash, t, tradeCash.FinalPrice ?? 0.0, true);
|
||
|
||
if (t.TradeType == "现金流交易")
|
||
{
|
||
var udm = new underlying_manager
|
||
{
|
||
QuotationDate = valueDate
|
||
};
|
||
var OptionValue = ValueCalculator.GetOptionValueResultV2(
|
||
userId: OptUser.UserId.ToString(),
|
||
underlying: udm,
|
||
trade: t,
|
||
vols: new double[] { t.StockEqvNotional },
|
||
spotPrices: new double[] { udm.Price ?? 0.0 },
|
||
fixing: null,
|
||
timeToMaturityDays: 0,
|
||
preciseTimeMode: true,
|
||
request: QdpPricingRequest.BASIC_PRICING);
|
||
var amount = OptionValue.Pv;
|
||
tradeCash.IsPossibleExec = true;
|
||
tradeCash.Amount = OtcFormatHelper.FormatValue(amount, 2);
|
||
tradeCash.InitialAmount = OtcFormatHelper.FormatValue(amount, 2);
|
||
}
|
||
//额外的行权费
|
||
//根据买卖方向 针对买方才会收行权费
|
||
var ExtraAmount = Math.Abs(t.StockEqvNotional * (valuedateBLL.SystemDate.ExerciseCostRatioReal ?? 0)) * ("卖出".Equals(t.BuySell) ? 1 : 0);
|
||
//行权净收益
|
||
var Amount = tradeCash.Amount + ExtraAmount;
|
||
//判断客户行权如果收益小于0 则行权收益为0 则不可行权
|
||
var flag = true;
|
||
if (EodOperationBase.GetSign(t.BuySell) * Amount <= 0 && (t.TradeType != "雪球期权" && t.TradeType != "凤凰期权"))
|
||
{
|
||
Amount = 0;
|
||
flag = false;
|
||
}
|
||
//查看是否可以行权 行权收益为正数时可行权
|
||
if (tradeCash.IsPossibleExec && flag)
|
||
{
|
||
sbMsg.Append("交易编号[").Append(t.TradeNumber).Append("],行权收益:").Append(Amount).AppendLine(",行权。");
|
||
tradeCash.Amount = Amount;
|
||
tradeCash.ExtraAmount = ExtraAmount;
|
||
tradeCash.UnwindType = "全部行权";
|
||
t.TradeStatus = ConsTrade.已执行;
|
||
clientCashList.Add(new ClientCashInCashOut
|
||
{
|
||
Direction = "应收",
|
||
Number = UniqueTimeId.GetStr(),
|
||
ClientId = client.id,
|
||
ClientNumber = client.Number,
|
||
ClientName = client.Name,
|
||
//客户和交易员反方向
|
||
Money = Amount * -1,
|
||
HappenDate = valueDate == DateTime.Now.Date ? DateTime.Now : valueDate,
|
||
State = ClientCashInCashOut.已确认,
|
||
//ee.OpenBankId = bc.id + "";
|
||
//ee.OpenBankCard = bc.Card;
|
||
TradeId = tradeCash.TradeId,
|
||
OptId = tradeCash.OptId,
|
||
OptName = tradeCash.OptName,
|
||
OptDate = tradeCash.OptDate,
|
||
CreatorId = tradeCash.OptId,
|
||
CreatorName = tradeCash.OptName,
|
||
CreateDate = tradeCash.OptDate,
|
||
Action = ClientCashInCashOut.系统操作_行权费,
|
||
TradeNumber = t.TradeNumber,
|
||
IsGroup = t.IsGroup
|
||
});
|
||
}
|
||
else
|
||
{
|
||
sbMsg.Append("交易编号[").Append(t.TradeNumber).AppendLine("],到期。");
|
||
tradeCash.Amount = 0.0;
|
||
tradeCash.ExtraAmount = 0.0;
|
||
tradeCash.UnwindType = "到期";
|
||
tradeCash.ValueDate = t.ExerciseDate.Value;
|
||
t.TradeStatus = "已到期";
|
||
}
|
||
if (t.TradeType != "现金流交易")
|
||
{
|
||
tradeCash.UnwindPrice = TradeHelper.GetTradeSinglePriceByTradePrice(tradeCash.Amount, t.Notional, t.PrincipalSum(), t.BuySell, t.TradeType, false);
|
||
tradeCash.UnwindPricePercentRate = TradeHelper.GetPremiumRateByTradePrice(tradeCash.Amount, t.StockEqvNotional, t.ParticipationRate, t.PrincipalSum(), t.AnnualizeFactor, t.BuySell, t.TradeType, false);
|
||
t.FinalPrice = tradeCash.FinalPrice;
|
||
}
|
||
t.UnWindDate = valueDate;
|
||
//行权/到期都不需要平仓波动率
|
||
tradeCash.UnwindVol = 0;
|
||
tradeCashList.Add(tradeCash);
|
||
|
||
if (t.IsGroup == 2)
|
||
{
|
||
tradeCash.ParentTradeCashId = parentTradeCash.id;
|
||
parentTradeCash.FinalPrice = settlePrice;
|
||
parentTradeCash.Amount += tradeCash.Amount;
|
||
parentTradeCash.UnwindPrice = TradeHelper.GetTradeSinglePriceByTradePrice(parentTradeCash.Amount, parentTradeCash.UnwindNotional, parentTrade.PrincipalSum(), parentTrade.BuySell, parentTrade.TradeType, false);
|
||
parentTradeCash.UnwindPricePercentRate = TradeHelper.GetPremiumRateByTradePrice(parentTradeCash.Amount, parentTrade.OriginalStockEqvNotional * parentTradeCash.UnwindPercentRate, parentTrade.ParticipationRate, parentTrade.PrincipalSum(), parentTrade.AnnualizeFactor, parentTrade.BuySell, parentTrade.TradeType, false);
|
||
|
||
//当天到期的子交易均已经到期处理了
|
||
if (!DbContext.trade.Any(x => x.ParentTradeId == parentTrade.id && x.ValidState != "InValid" && x.ExerciseDate > preday && x.ExerciseDate < dateEnd && x.id != t.id && !ConsTrade.TradeCompleteStatus.Contains(x.TradeStatus)))
|
||
{
|
||
parentTradeCash.Status = TradeCashStatusEnum.已执行;
|
||
AddTradeOperationHistoryAndSetParentTradeInfo(false, parentTrade, "批量执行到期");
|
||
}
|
||
}
|
||
DbContext.SaveChanges();
|
||
}
|
||
|
||
AddTradeOperationHistoryAndSetParentTradeInfo(false, t, "批量执行到期");
|
||
};
|
||
|
||
if (tradeCashList.Count > 0)
|
||
{
|
||
DbContext.trade_cash.AddRange(tradeCashList);
|
||
DbContext.SaveChanges();
|
||
}
|
||
|
||
if (clientCashList.Count > 0)
|
||
{
|
||
clientCashList.ForEach(x => x.TradeCashId = tradeCashList.First(y => y.TradeId == x.TradeId).id);
|
||
DbContext.ClientCashInCashOut.AddRange(clientCashList);
|
||
}
|
||
|
||
DbContext.SaveChanges();
|
||
|
||
var tradeCashDetails = new List<trade_cash_detail>();
|
||
tradeCashList.ForEach(x =>
|
||
{
|
||
var tradeCashDetail = new trade_cash_detail()
|
||
{
|
||
TradeId = x.TradeId,
|
||
TradeCashId = x.id,
|
||
Amount = x.Amount,
|
||
ExtraAmount = x.ExtraAmount,
|
||
SinglePrice = x.UnwindPrice,
|
||
SinglePricePercentRate = x.UnwindPricePercentRate,
|
||
Action = x.Action,
|
||
ValueDate = x.ValueDate,
|
||
OptDate = DateTime.Now,
|
||
OptId = x.OptId,
|
||
OptName = x.OptName
|
||
};
|
||
tradeCashDetails.Add(tradeCashDetail);
|
||
});
|
||
DbContext.trade_cash_detail.AddRange(tradeCashDetails);
|
||
DbContext.SaveChanges();
|
||
|
||
//结构化子交易到期时，检查子交易是否都已了结，如果已了结，则主交易状态也跟着当前子交易状态变化
|
||
if (parentTradeIds.Count > 0)
|
||
{
|
||
foreach (var id in parentTradeIds)
|
||
{
|
||
var tradeStatus = ConsTrade.确认成交;
|
||
var UnwindDate = DateTime.MinValue;
|
||
var tradeChildren = DbContext.trade.Where(x => x.ParentTradeId == id);
|
||
foreach (var child in tradeChildren)
|
||
{
|
||
if (ConsTrade.TradeCompleteStatus.Contains(child.TradeStatus))
|
||
{
|
||
if (child.UnWindDate > UnwindDate)
|
||
{
|
||
UnwindDate = child.UnWindDate ?? DateTime.MinValue;
|
||
tradeStatus = child.TradeStatus;
|
||
}
|
||
}
|
||
else
|
||
{
|
||
tradeStatus = ConsTrade.确认成交;
|
||
}
|
||
}
|
||
|
||
if (tradeStatus != ConsTrade.确认成交)
|
||
{
|
||
var tradeParent = DbContext.trade.Find(id);
|
||
if (tradeParent != null)
|
||
{
|
||
tradeParent.TradeStatus = tradeStatus;
|
||
}
|
||
DbContext.SaveChanges();
|
||
}
|
||
}
|
||
}
|
||
|
||
//生成文档
|
||
if (PS.Config.IsAutoGenerateContracts)
|
||
{
|
||
new TradeContractGenerateService(this).GenerateContractsAsync(tradeCashList.Select(tc => tc.TradeId).ToList());
|
||
}
|
||
|
||
successMsg = sbMsg.ToString();
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 到期确认操作结果
|
||
/// </summary>
|
||
public class TradeExpireConfirmResult
|
||
{
|
||
public trade Trade;
|
||
|
||
public bool Success;
|
||
|
||
public string Message;
|
||
|
||
public TradeExpireConfirmResult(trade trade)
|
||
{
|
||
Trade = trade;
|
||
}
|
||
}
|
||
}
|