375 lines
17 KiB
C#
375 lines
17 KiB
C#
using YLErp.Abstract.DataProviders;
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Model.Enum;
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using YLErp.Modules;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.TradeModule;
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namespace YLErp.BLL.MarginCalculation
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{
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/// <summary>
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/// 预付金计算
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/// </summary>
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public partial class MarginCalculationBase
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{
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protected static readonly IYcLogger logger = LogFactory.GetLogger("预付金计算");
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protected readonly UnderlyingDataProvider _underlyingDataProvider;
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protected MarginCalculationBase()
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{
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_underlyingDataProvider = new UnderlyingDataProvider();
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}
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public virtual List<trade_span> CalcClientMargin(CalcClientMarginReq req)
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{
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var clientSpanNews = new List<ClientSpan>();
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using (var db = new YLContext())
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{
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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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{
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var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
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var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();
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var tradeSpanInfo = (from tradeSpan in req.tradeSpans
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join trade in tradeList on tradeSpan.TradeId equals trade.id
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where tradeSpan.ValueDate == req.settleDate
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select new { trade, tradeSpan }).ToList();
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var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var client = DataCacheProvider.GetClientDataSource().GetData(clientGroup.Key);
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var underlyingGroup = clientGroup.GroupBy(t => t.trade.UnderlyingId).Select(t => new ClientSpan
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{
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UnderlyingId = t.Key,
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
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Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
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Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
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Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
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SwapWorstCastClientPayable = t.Where(g => g.trade.TradeType == "收益互换").Sum(g => g.tradeSpan.WorstCastClientPayable) * (-1),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType
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}).ToList();
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foreach (var item in underlyingGroup)
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{
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item.WorstCastClientPayable = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
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item.TwoSideMargin = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
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#region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
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var tradeIdList = clientGroup.Select(x => x.tradeSpan.TradeId);
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var tradeSpansUpdate = db.trade_span.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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if (item.WorstCastClientPayable == item.Spv1)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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}
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else if (item.WorstCastClientPayable == item.Spv2)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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}
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else if (item.WorstCastClientPayable == item.Spv3)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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}
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else if (item.WorstCastClientPayable == item.Spv4)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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}
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#endregion
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}
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var clientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = underlyingGroup.Sum(g => g.Spv1),
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Spv2 = underlyingGroup.Sum(g => g.Spv2),
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Spv3 = underlyingGroup.Sum(g => g.Spv3),
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Spv4 = underlyingGroup.Sum(g => g.Spv4),
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//负数代表客户应缴预付金，正数代表客户应收预付金
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WorstCastClientPayable = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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SwapWorstCastClientPayable = underlyingGroup.Sum(g => g.SwapWorstCastClientPayable),
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MySideMargin = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType,
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AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
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&& req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key, out var dd) ? dd : 0
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};
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保)
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{
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clientSpan.WorstCastClientPayable = Math.Min(clientSpan.WorstCastClientPayable.Value, 0);
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.对手方单向追保)
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{
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clientSpan.WorstCastClientPayable = Math.Max(clientSpan.WorstCastClientPayable.Value, 0);
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}
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clientSpanNews.Add(clientSpan);
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}
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}
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//span类型为实时删除所有实时计算的交易的预付金信息
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if (req.SpanType == ClientSpan.SpanType_RealTime)
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{
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if (req.RefreshClientIds != null)
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{
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db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
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}
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else
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{
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db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}={req.SpanType}");
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}
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}
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else
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{
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if (req.ClientIds != null)
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{
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var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
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db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
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}
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else
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{
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var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
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db.BulkDelete<ClientSpan>(sql);
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}
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var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag)
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.Select(n => new { n.ValueDate, n.ClientId }).ToList();
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//筛选出可以修改的clientSpan
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clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
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}
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if (clientSpanNews.Count > 0)
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{
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//MySqlBulkExtensions.BulkInsert(db, clientSpanNews);
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db.client_span.AddRange(clientSpanNews);
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}
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db.SaveChanges();
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return req.tradeSpans;
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}
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}
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public virtual List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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if (req.tradeList == null || !req.tradeList.Any())
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{
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return new List<trade_span>();
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}
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var tradeSpanList = new List<trade_span>();
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//收益互换交易单独计算trade_span
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if (req.tradeList.Any(t => t.TradeType == "收益互换"))
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{
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var tradeList = req.tradeList.Where(t => t.TradeType == "收益互换").ToList();
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tradeSpanList.AddRange(SwapTradeMarginCalculation(req.Clone(tradeList)));
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}
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//剔除收益互换交易
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req.tradeList = req.tradeList.Where(t => t.TradeType != "收益互换").ToList();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var resultMap = new Dictionary<int, trade_span>();
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//为了算客户角度的一个预付金数值
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helper.ReverseTradeSide();
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helper.SetFieldsByTradeType();
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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helper.GetTradVolRateDic(out var tradeVolRateDic);
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var vols = new[] { null, tradeVolRateDic };
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var prices = new (string, IPriceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices) };
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var loops = prices.SelectMany(n => vols.Select(m => new
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{
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pricekey = n.Item1,
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priceProvider = n.Item2,
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addVolRateDic = m
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})).ToArray();
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foreach (var loop in loops)
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{
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var calcReq = helper.GetCalculateRisksForTradesReq(priceProvider: loop.priceProvider, addVolRateDic: loop.addVolRateDic, overrideVols: null);
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
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if (tradeRiskResult.Results == null || tradeRiskResult.Results.Count < 1)
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{
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continue;
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}
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var key = $"{loop.pricekey}_{(loop.addVolRateDic == null ? 0 : 1)}";
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foreach (var item in tradeRiskResult.Results)
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{
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var pv = item.ValueResult.Pv;
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if (!helper.GetSpecialMargin(item.Trade, pv, out var value))
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{
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var clientRatio = helper.GetClient(item.Trade)?.Ratio ?? 1.0;
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value = double.IsNaN(pv) ? 0 : pv * clientRatio;
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}
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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if (!contains)
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{
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resultMap[item.Trade.id] = tempTradeSpan = helper.CreateTradeSpan(item.Trade);
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}
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switch (key)
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{
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case "up_0":
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tempTradeSpan.Spv1 = value; break;
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case "up_1":
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tempTradeSpan.Spv2 = value; break;
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case "down_0":
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tempTradeSpan.Spv3 = value; break;
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case "down_1":
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tempTradeSpan.Spv4 = value; break;
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}
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if (contains)
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{
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tempTradeSpan.SetWorstCastClientPayable();
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}
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}
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}
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tradeSpanList.AddRange(resultMap.Values.ToList());
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return tradeSpanList;
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}
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public virtual double GetTradeMargin(GetTradeMarginReq req)
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{
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using (var db = new YLContext())
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{
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var marginReq = req.GetRunMarginCalculationReq();
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if (req.trade.IsGroup == 1)
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{
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marginReq.tradeList = db.trade.Where(x => x.ParentTradeId == req.realTradeId).ToList();
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if (marginReq.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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foreach (var item in marginReq.tradeList)
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{
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item.id = 0;
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}
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}
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}
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var tradeMargin = RunMarginCalculation(marginReq);
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if (null != tradeMargin)
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{
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var margin = req.trade.IsGroup == 1 ? tradeMargin.Sum(x => x.WorstCastClientPayable ?? 0) : (tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0);
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return margin;
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}
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return 0.0;
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}
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}
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//为了算客户角度的一个预付金数值
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//RunMarginCalculation时forOtherSide为true时调用
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protected List<trade_span> RunMarginCalculationOtherSide(RunMarginCalculationReq req)
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{
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void RevertBuySell()
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{
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foreach (var x in req.tradeList)
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{
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x.BuySell = x.BuySell == "买入" ? "卖出" : "买入";
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if (x.SubTrades != null && x.SubTrades.Any())
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{
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foreach (var xs in x.SubTrades)
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{
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xs.BuySell = xs.BuySell == "买入" ? "卖出" : "买入";
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}
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}
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}
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}
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RevertBuySell();
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req.forOtherSide = false;
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var results = RunMarginCalculation(req);
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RevertBuySell();
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return results;
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}
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/// <summary>
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/// 是否客户有双向预付金
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/// </summary>
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protected bool HasTwoSideMargin(int clientId)
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{
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if (PS.Config.ErpElement.TwoSideMargin)
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{
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var client = DataCacheProvider.GetClientDataSource().GetData(clientId);
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return client?.MarginOptionType == (int)MarginOptionEnum.双向追保;
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}
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return false;
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}
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/// <summary>
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/// 获取客户信息
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/// </summary>
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protected InnerClient GetClientInfo(int clientId)
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{
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if (clientId < 1)
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{
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return null;
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}
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using (var db = DbContextFactory.GetClientDbContext(null))
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{
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var query = from c in db.client
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join cl in db.clientlevel on c.LevelId equals cl.id into t_cl
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from cl in t_cl.DefaultIfEmpty()
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where clientId == c.id
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select new InnerClient
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{
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ClientId = c.id,
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Ratio = cl == null ? null : cl.Ratio,
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Ratio1 = cl == null ? null : cl.Ratio1,
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AddRatio = cl == null ? null : cl.AddRatio,
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MarginOptionType = c.MarginOptionType,
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ProperClientClass = c.ProperClientClass,
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QuestionnaireScore = c.QuestionnaireScore,
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RuleT0orT1 = c.RuleT0orT1
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};
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return query.FirstOrDefault();
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}
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}
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//收益互换预付金计算
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private static List<trade_span> SwapTradeMarginCalculation(RunMarginCalculationReq req)
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{
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var result = new List<trade_span>();
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return result;
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}
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}
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}
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