396 lines
19 KiB
C#
396 lines
19 KiB
C#
using Microsoft.EntityFrameworkCore.Metadata;
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using Newtonsoft.Json;
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using Org.BouncyCastle.Ocsp;
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using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Library.Base.Utilities;
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using System;
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using System.Collections;
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using System.Collections.Concurrent;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using YLErp.BLL;
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using YLErp.BLL.Eod;
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using YLErp.DBModels;
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using YLErp.Helpers;
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using YLErp.Model;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.EodModule.QueryModule;
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using static YLErp.ConsGlobal;
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namespace YLErp.Modules.EodModule.SettlementModule
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{
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public class EodClientBalanceCalcBS : YLBaseService
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{
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public EodClientBalanceCalcBS(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public static ConcurrentStack<EodClientBalanceReCalcModel> thQueue = new ConcurrentStack<EodClientBalanceReCalcModel>();
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public void ClientBalanceByDay(DateTime settleDate, List<Client> clients)
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{
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var preBalanceDate = BLL.valuedateBLL.GetNonHolidayDefore(settleDate.AddDays(-1));
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var clientDb = DbContextFactory.GetClientDbContext(OptUser);
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if (clients == null)
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{
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clients = clientDb.client.Where(t => t.ProcessStatus != "未提交").ToList();
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}
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//循环客户信息计算客户资金信息
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IQueryable<EodTradePosition> eodpnlList = DbContext.eod_trade_position.Where(t => t.ValueDate == settleDate && t.TradeId > 0);//排除场内期权
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var newClientBalanceDaily = new List<ClientBalanceDailyBS>(200);
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var newValuedate = settleDate.AddDays(1);
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var lastBalanceDateAddOne = preBalanceDate.AddDays(1);
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//如果前一天是假日，要显示包含假日的交易
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var preday = settleDate.AddDays(-1);
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//获取上一个交易日的下一天（例如收盘日是周一，上一个交易日就是周五，他的下一天就是周六，获取的是周六）
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var nonHolidayAddOne = valuedateBLL.GetNonHolidayDefore(preday).AddDays(1);
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var entryexitPredicate = PredicateBuilder.Create<ClientCashInCashOut>(t => t.ClientId != null && t.ValidState != "InValid"
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&& t.HappenDate >= lastBalanceDateAddOne && t.HappenDate < newValuedate
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&& (t.State == ClientCashInCashOut.已结算 || t.State == ClientCashInCashOut.已确认));
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var tcActions = new string[] {
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ClientCashInCashOut.系统操作_平仓费,
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ClientCashInCashOut.系统操作_行权费,
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ClientCashInCashOut.系统操作_互换,
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ClientCashInCashOut.系统操作_票息,
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ClientCashInCashOut.人工操作_其他
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};
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var tradeCashs = DbContext.trade_cash.Where(tc => (tc.ValueDate >= nonHolidayAddOne && tc.ValueDate <= settleDate && tc.HappenedDate == null
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|| tc.HappenedDate >= nonHolidayAddOne && tc.HappenedDate <= settleDate)
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&& tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
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&& tcActions.Contains(tc.Action));
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var entryexits = (from cash in DbContext.ClientCashInCashOut.Where(entryexitPredicate)
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join trade in DbContext.trade on cash.TradeId equals trade.id into trade
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from td in trade.DefaultIfEmpty()
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select cash);
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var preDailyList = DbContext.ClientBalanceDailyBS.Where(t => t.BalanceDate == preBalanceDate);
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var etQuery = DbContext.eod_trade.Where(x=>x.ValueDate== settleDate).AsEnumerable();
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var tradeQuerys = etQuery.Select(s=>s.trade);
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foreach (var client in clients)
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{
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var entryexitList = entryexits.Where(x => x.ClientId == client.id).ToList();
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var preDailys = preDailyList.Where(x => x.ClientId == client.id).ToList();
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var _eodpnlList = eodpnlList.Where(x => x.ClientId == client.id).ToList();
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var _tradeQuerys = tradeQuerys.Where(x => x.ClientId == client.id).ToList();
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var tradeIds = _tradeQuerys.Select(s=>s.id).ToList();
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var _tradeCashs = tradeCashs.Where(x=> tradeIds.Contains(x.TradeId)).ToList();
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var dailys = ProcessClientBalance(client, _tradeQuerys, _eodpnlList, preDailys, entryexitList, _tradeCashs, settleDate);
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newClientBalanceDaily.AddRange(dailys);
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}
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#region DB删除历史数据 增加当日数据
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//删除 当日导入的old日数据
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ClientBalanceDaily ct1;
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DbContext.BulkDelete<ClientBalanceDailyBS>($"{nameof(ct1.BalanceDate)}='{settleDate.ToSqlDate()}'");
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DbContext.ClientBalanceDailyBS.AddRange(newClientBalanceDaily);
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DbContext.SaveChanges();
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#endregion
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}
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//计算客户资金
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private List<ClientBalanceDailyBS> ProcessClientBalance(Client client, List<trade> trades, List<EodTradePosition> eodpnlList, List<ClientBalanceDailyBS> preDailys, List<ClientCashInCashOut> entryexitList, List<trade_cash> tradeCashs, DateTime settleDate)
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{
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#region 变量初始化
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ClientBalanceDailyBS clientbalancedailyB = null;
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ClientBalanceDailyBS clientbalancedailyS = null;
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ClientBalanceDailyBS preClientBalanceDailyB = preDailys.FirstOrDefault(x => x.IsBuy);
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ClientBalanceDailyBS preClientBalanceDailyS = preDailys.FirstOrDefault(x => !x.IsBuy);
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#endregion
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#region 客户昨日现金 clientbalancedailyBS对象初始化
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//获取用户买权最后结算日可用资金
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if (preClientBalanceDailyB != null)
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{
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clientbalancedailyB = preClientBalanceDailyB.Clone();
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clientbalancedailyB.id = 0;
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clientbalancedailyB.LastDayRemainFund = preClientBalanceDailyB.ToDayRemainFund;//期初=上日期末
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clientbalancedailyB.OutFund = 0;
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clientbalancedailyB.Coupon = 0;
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clientbalancedailyB.InFund = 0;
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clientbalancedailyB.OptionPremium = 0;
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clientbalancedailyB.OutFund = 0;
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clientbalancedailyB.PosiPremium = 0;
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clientbalancedailyB.PositionPnl=0;
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clientbalancedailyB.OptionPremium = 0;
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clientbalancedailyB.Pv = 0;
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clientbalancedailyB.RoundedPositionPnl = 0;
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clientbalancedailyB.RoundedPv = 0;
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clientbalancedailyB.WinLoss = 0;
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clientbalancedailyB.BalanceDate = settleDate;
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clientbalancedailyB.OptId = UserId;
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clientbalancedailyB.OptDate = DateTime.Now;
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}
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else
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{
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clientbalancedailyB = new ClientBalanceDailyBS()
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{
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ClientId = client.id,
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ClientName = client.Name,
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ClientNumber = client.Number,
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BalanceDate = settleDate,
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OptId = UserId,
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OptDate = DateTime.Now,
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IsBuy = true
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};
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}
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//获取用户卖权最后结算日可用资金
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if (preClientBalanceDailyS != null)
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{
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clientbalancedailyS = preClientBalanceDailyS.Clone();
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clientbalancedailyS.id = 0;
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clientbalancedailyS.LastDayRemainFund = preClientBalanceDailyS.ToDayRemainFund;//期初=上日期末
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clientbalancedailyS.OutFund = 0;
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clientbalancedailyS.Coupon = 0;
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clientbalancedailyS.InFund = 0;
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clientbalancedailyS.OptionPremium = 0;
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clientbalancedailyS.OutFund = 0;
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clientbalancedailyS.PosiPremium = 0;
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clientbalancedailyS.PositionPnl = 0;
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clientbalancedailyS.OptionPremium = 0;
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clientbalancedailyS.Pv = 0;
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clientbalancedailyS.RoundedPositionPnl = 0;
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clientbalancedailyS.RoundedPv = 0;
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clientbalancedailyS.WinLoss = 0;
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clientbalancedailyS.BalanceDate = settleDate;
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clientbalancedailyS.OptId = UserId;
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clientbalancedailyS.OptDate = DateTime.Now;
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}
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else
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{
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clientbalancedailyS = new ClientBalanceDailyBS()
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{
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ClientId = client.id,
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ClientName = client.Name,
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ClientNumber = client.Number,
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BalanceDate = settleDate,
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OptId = UserId,
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OptDate = DateTime.Now,
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};
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}
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#endregion
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#region 出金 入金 实现盈亏资金计算
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//获取客户所有出入金列表
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if (entryexitList != null)
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{
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foreach (var clientEntryexit in entryexitList)
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{
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var tradeCash = tradeCashs.FirstOrDefault(x => x.id == clientEntryexit.TradeCashId);
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var money = Math.Round(clientEntryexit.Money ?? 0, 2);
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var cashAmount = Math.Round(tradeCash?.Amount ?? 0, 2);
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if (money == 0 && clientEntryexit.IsGroup == 1)
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{
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money = -cashAmount;
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}
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if (null == clientEntryexit.Direction)
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{
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throw new Exception("客户：" + client.Name + "有一条出入记录存在出入金方向存在问题！");
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}
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//之前单币种环境改为多币种环境后历史数据为""和配置的币种匹配不上
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if (string.IsNullOrWhiteSpace(clientEntryexit.CurrencyCode))
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{
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clientEntryexit.CurrencyCode = "CNY";
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}
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if (clientEntryexit.Direction.Equals("入金"))
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{
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clientbalancedailyB.InFund += money;
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clientbalancedailyB.InFundSum += money;
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clientbalancedailyB.ToDayRemainFund += money;
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}
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else if (clientEntryexit.Direction.Equals("出金"))
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{
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clientbalancedailyB.OutFund += money;
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clientbalancedailyB.OutFundSum += money;
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clientbalancedailyB.ToDayRemainFund -= money;
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}
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else if (clientEntryexit.Direction.Equals("其他收入") || clientEntryexit.Direction.Equals("其他支出"))
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{
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clientbalancedailyB.ToDayRemainFund += money;
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}
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else
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{
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var td = trades.FirstOrDefault(x => x.id == clientEntryexit.TradeId);
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if (td == null)
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{
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continue;
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}
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bool isBuy = td.BuySell == "卖出";//客户角度
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if (ClientCashInCashOut.系统操作_期权费.Equals(clientEntryexit.Action))
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{
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if (isBuy)
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{
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clientbalancedailyB.OptionPremium += money;
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clientbalancedailyB.OptionPremiumSum += money;
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}
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else
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{
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clientbalancedailyS.OptionPremium += money;
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clientbalancedailyS.OptionPremiumSum += money;
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}
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}
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else if (ClientCashInCashOut.系统操作_票息.Equals(clientEntryexit.Action))
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{
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if (isBuy)
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{
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clientbalancedailyB.Coupon += money;
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clientbalancedailyB.CouponSum += money;
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}
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else
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{
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clientbalancedailyS.Coupon += money;
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clientbalancedailyS.CouponSum += money;
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}
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}
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if (isBuy)
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{
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clientbalancedailyB.ToDayRemainFund += money;
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}
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else
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{
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clientbalancedailyS.ToDayRemainFund += money;
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}
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}
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if (ClientCashInCashOut.已确认.Equals(clientEntryexit.State))
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{
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clientEntryexit.SettleDate = settleDate;
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clientEntryexit.State = ClientCashInCashOut.已结算;
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}
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}
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}
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if (tradeCashs.Any())
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{
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foreach (var tc in tradeCashs)
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{
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var td = trades.FirstOrDefault(x => x.id == tc.TradeId);
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if (td == null)
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{
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continue;
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}
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var cost = 0d;
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if (td.TradeType != "远期")
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{
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cost = TradeCalcHelper.GetSign(td.BuySell) * (td.TradePrice * tc.UnwindPercentRate??0);
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}
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else
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{
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cost = -(td.TradePrice * tc.UnwindPercentRate??0);//远期开仓总费用占比
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}
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var winloss= cost - tc.Amount;
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bool isBuy = td.BuySell == "卖出";//客户角度
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if (isBuy)
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{
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clientbalancedailyB.WinLoss += winloss;
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clientbalancedailyB.WinLossSum += winloss;
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}
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else
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{
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clientbalancedailyS.WinLoss += winloss;
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clientbalancedailyS.WinLossSum += winloss;
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}
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}
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}
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#endregion
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#region 持仓市值 持仓Pnl
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//持仓交易
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var positionTrades = trades.Where(t => t.TradeStatus.Equals(ConsTrade.确认成交)).ToList();
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//var tradeIds = clientTrades.Where(t => t.ClientId == client.id).Select(t => t.id).ToList();
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//获取所有持仓交易ids
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var positionTradeIds = positionTrades == null || positionTrades.Count == 0 ? new List<int>() : positionTrades.Select(t => t.id).ToList();
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//获取客户持仓交易的pv以及持仓盈亏
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var eodpnlQuery = eodpnlList.Where(t => positionTradeIds.Contains(t.TradeId)).ToArray();
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if (eodpnlQuery.Any())
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{
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foreach (var x in eodpnlQuery)
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{
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if (x.BuySell == "买入")
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{
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clientbalancedailyS.Pv -= x.Pv;
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clientbalancedailyS.PvSum -= x.Pv;
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clientbalancedailyS.RoundedPv -= x.RoundedPv;
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clientbalancedailyS.RoundedPvSum -= x.RoundedPv;
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clientbalancedailyS.PositionPnl -= x.PositionPnL;
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clientbalancedailyS.RoundedPositionPnl -= x.RoundedPositionPnL;
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clientbalancedailyS.RoundedPositionPnlSum -= x.RoundedPositionPnL;
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}
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else
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{
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clientbalancedailyB.Pv -= x.Pv;
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clientbalancedailyB.PvSum -= x.Pv;
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clientbalancedailyB.RoundedPv -= x.RoundedPv;
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clientbalancedailyB.RoundedPvSum -= x.RoundedPv;
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clientbalancedailyB.PositionPnl -= x.PositionPnL;
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clientbalancedailyB.RoundedPositionPnl -= x.RoundedPositionPnL;
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clientbalancedailyB.RoundedPositionPnlSum -= x.RoundedPositionPnL;
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}
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}
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}
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#endregion
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#region 精度处理
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clientbalancedailyB.AmountRound(2);
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clientbalancedailyS.AmountRound(2);
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#endregion
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List<ClientBalanceDailyBS> clientBalanceDailyBs = new List<ClientBalanceDailyBS>();
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clientBalanceDailyBs.Add(clientbalancedailyB);
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clientBalanceDailyBs.Add(clientbalancedailyS);
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return clientBalanceDailyBs;
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}
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/// <summary>
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/// 客户重头开始计算
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/// </summary>
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public void ClientBalanceReCalc(DateTime? startDate,DateTime? endDate)
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{
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thQueue = new ConcurrentStack<EodClientBalanceReCalcModel>();
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var logger = LogFactory.GetLogger<EodClientBalanceCalcBS>();
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var firstDate = DbContext.eodStatus.Where(t => t.Status == "已收盘" && (t.VolTypeFlag & VolTypeFlagEnum.PositionVol) == VolTypeFlagEnum.PositionVol)
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.Min(t => (DateTime?)t.ValueDate);
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if (!firstDate.HasValue)
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{
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throw new Exception("未找到持仓收盘记录");
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}
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var settleDate = startDate.HasValue? startDate .Value: firstDate.Value;
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var valueDate = valuedateBLL.ValueDate;
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var lastBalanceDate = EodOperationBase.GetLastSettlementDate(valueDate);
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if (endDate.HasValue && endDate< lastBalanceDate)
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{
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lastBalanceDate = endDate.Value;
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}
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var clientDb = DbContextFactory.GetClientDbContext(OptUser);
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var clients = clientDb.client.Where(t => t.ProcessStatus != "未提交").ToList();
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logger.Info($"客户资金买卖权计算开始，开始日期：{settleDate:yyyy-MM-dd}，结束日期：{lastBalanceDate:yyyy-MM-dd}");
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while (settleDate <= lastBalanceDate)
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{
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logger.Info($"客户资金买卖权计算开始，计算日期：{settleDate:yyyy-MM-dd}");
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thQueue.Push(new EodClientBalanceReCalcModel() { SettleDate = settleDate.ToString("yyyy-MM-dd"), Msg = "正在计算" });
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try
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{
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ClientBalanceByDay(settleDate, clients);
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logger.Info($"客户资金买卖权计算结束，计算日期：{settleDate:yyyy-MM-dd}");
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thQueue.Push(new EodClientBalanceReCalcModel() { SettleDate = settleDate.ToString("yyyy-MM-dd"), Msg = "计算结束" });
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settleDate = BLL.valuedateBLL.GetNonHoliday(settleDate.AddDays(1));
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}
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catch (Exception ex)
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{
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thQueue.Push(new EodClientBalanceReCalcModel() { SettleDate = settleDate.ToString("yyyy-MM-dd"), Msg = $"计算结束异常:{ex.Message}" });
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logger.Error($"客户资金买卖权计算异常，计算日期：{settleDate:yyyy-MM-dd}", ex);
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break;
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}
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}
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thQueue.Push(new EodClientBalanceReCalcModel() { SettleDate = "", Msg = "全部计算结束" });
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logger.Info($"客户资金买卖权计算结束");
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}
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}
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}
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