zszq-trs/YLErpDAL/Modules/ExchangeOptionTradeModule/ExchangeOptionSettlementService.cs

using System.Text;
using YLErp.Model;
using YLErp.Modules.CalculationModule;

namespace YLErp.Modules.ExchangeOptionTradeModule
{
    /// <summary>
    /// 场内期权交易结算服务
    /// </summary>
    public class ExchangeOptionSettlementService : YLBaseService
    {
        /// <summary>
        /// 开仓类型
        /// </summary>
        private readonly string[] openTypes = new[] { "空头开仓", "多头开仓" };

        /// <summary>
        /// 平仓类型
        /// </summary>
        private readonly string[] closeTypes = new[] { "空头平仓", "多头平仓" };

        public ExchangeOptionSettlementService(OptUserInfo optUser) : base(optUser)
        {

        }

        /// <summary>
        /// 执行结算
        /// </summary>
        public void Execute(DateTime valueDate)
        {
            RebackOption(valueDate);

            SaveOpenTrade(valueDate);

            SaveCloseTrade(valueDate);

            CloseMaturityTrade(valueDate);
        }

        /// <summary>
        /// 回滚操作
        /// </summary>
        private void RebackOption(DateTime valueDate)
        {
            Exchange_Option_Trade tt;

            var tableName = DbContext.GetTableName<Exchange_Option_Trade>();

            var valueDateStr = valueDate.ToString("yyyy-MM-dd");
            var sb = new StringBuilder(500);
                 sb.AppendFormat("delete from {0} where {1}>='{2}';", tableName, nameof(tt.TradeDate), valueDateStr)
                .AppendLine()
                .Append("update ").Append(tableName).Append(" set ")
                .Append(nameof(tt.TradeStatus)).Append("='确认成交',")
                .Append(nameof(tt.ExerciseDate)).Append("='0001-01-01',")
                .Append(nameof(tt.ExercisePrice)).Append("=0,")
                .Append(nameof(tt.ExerciseServiceFee)).Append("=0 ")
                .Append(" where ")
                .Append(nameof(tt.ExerciseDate)).Append(">='").Append(valueDateStr).Append("';");

            DbContext.Database.ExecuteSqlRaw(sb.ToString());
        }

        /// <summary>
        /// 关掉过期合约
        /// </summary>
        private void CloseMaturityTrade(DateTime date)
        {
            var startDate = date.AddYears(-2);
            var exchangeOptionTrade = DbContext.exchange_list_option;
           
            var query = from t in DbContext.Exchange_Option_Trade
                        join e in DbContext.exchange_list_option on t.Code equals e.ContractCode
                        where t.TradeDate > startDate && t.TradeStatus == "确认成交" && e.MaturityDate <= date
                        select t;
           
            var trades = query.ToList();

            foreach (var item in trades)
            {
                item.TradeStatus = "已平仓";
                item.ExerciseDate = date;
                item.ExercisePrice = 0;
                item.ExerciseServiceFee = 0;
            }

            DbContext.SaveChanges();
        }

        /// <summary>
        /// 保存开仓交易
        /// </summary>
        private void SaveOpenTrade(DateTime date)
        {
            var trades = DbContext.ExchangeTrade
                 .Where(t => t.TradeDate == date && t.TradeType == "场内期权" && t.IsValid && openTypes.Contains(t.TradeSide)).ToList();
     
     
            var result = new ExchangeTradeCommissionCalc().GetTradeCommission(trades);

            var items = trades.Where(t => t.TradeType == "场内期权" && t.IsValid && openTypes.Contains(t.TradeSide))
                 .Select(t => new Exchange_Option_Trade()
                 {
                     Code = t.OptionCode,
                     //AssetBookName = t.AssetBookName,
                     AssetId = t.AssetBookId,
                     CreateDate = DateTime.Now,
                     ExerciseDate = DateTime.MinValue,
                     ExerciseMode = t.ExerciseMode,
                     ExercisePrice = 0,
                     TradeAmount = t.TradeAmount,
                     //TradeUnitValue = GetTradeUnitValue(t.TradeUnit) ?? 0,
                     //TradeUnit = Regex.Match(t.TradeUnit, @"(?<=\d)\D+").Value,
                     ServiceFee = result.GetTradeCommission(t.id),
                     OptionType = t.OptionType,
                     Strike = t.OptionStrike ?? 0,
                     TradeDate = t.TradeDate,
                     TradePrice = t.TradeSinglePrice * t.Notional,
                     TraderId = t.TraderId,
                     TraderName = t.TraderName,
                     TradeStatus = "确认成交",
                     TradeType = t.TradeSide == "空头开仓" ? "空头" : "多头",
                     UnderlyingCode = t.UnderlyingCode
                 }).ToList();

            if (items.Count > 0)
            {
                foreach (var item in items)
                {
                    var un = UnderlyingDataProvider.GetUnderlying(item.UnderlyingCode);
                    if (un != null)
                    {
                        item.TradeUnitValue = un.ContractSize;
                        item.TradeUnit = un.TradeUnitString;
                    }
                    else
                    {
                        item.TradeUnit = "吨"; //为了收盘通过暂时增加这行代码
                    }
                    item.AssetBookName = DataCacheProvider.GetAssetUnitDataSource().GetData(item.AssetId)?.Name;
                }
                DbContext.Exchange_Option_Trade.AddRange(items);
                DbContext.SaveChanges();
            }
        }

        /// <summary>
        /// 保存平仓交易
        /// </summary>
        private void SaveCloseTrade(DateTime date)
        {
            var trades = DbContext.ExchangeTrade.Where(t =>
                 t.TradeDate == date &&
                 t.TradeType == "场内期权" &&
                 t.IsValid && closeTypes.Contains(t.TradeSide)).ToList();
      
            var result = new ExchangeTradeCommissionCalc().GetTradeCommission(trades);

            foreach (var close in trades)
            {
                var tradeType = "";
                switch (close.TradeSide)
                {
                    case "多头平仓":
                        tradeType = "多头";
                        break;
                    case "空头平仓":
                        tradeType = "空头";
                        break;
                }
                var tradeAmount = close.TradeAmount;
                var singlePrice = close.TradeSinglePrice;
                var singleServiceFee = result.GetTradeCommission(close.id) / tradeAmount;
                var openInfos =
                    (from exchange in DbContext.Exchange_Option_Trade
                     where
                     exchange.TradeStatus == "确认成交" &&
                     exchange.Code == close.OptionCode &&
                     exchange.TradeType == tradeType
                     orderby exchange.TradeDate
                     select exchange)
                     .ToList();
                foreach (var open in openInfos)
                {
                    if (tradeAmount == 0)
                    {
                        break;
                    }

                    if (open.TradeAmount > tradeAmount)
                    {
                        var newTrade = open.Clone();
                        newTrade.id = 0;
                        newTrade.TradeAmount = open.TradeAmount - tradeAmount;
                        newTrade.TradePrice = open.TradePrice / open.TradeAmount * newTrade.TradeAmount;
                        newTrade.ServiceFee = open.ServiceFee / open.TradeAmount * newTrade.TradeAmount;
                        DbContext.Exchange_Option_Trade.Add(newTrade);
                        open.TradePrice = open.TradePrice / open.TradeAmount * tradeAmount;
                        open.TradeAmount = tradeAmount;
                        tradeAmount = 0;
                    }
                    else
                    {
                        tradeAmount = tradeAmount - open.TradeAmount;
                    }
                    open.ExerciseDate = close.TradeDate;
                    open.ExercisePrice = singlePrice * open.TradeAmount;
                    open.ExerciseServiceFee = singleServiceFee * open.TradeAmount;
                    open.TradeStatus = "已平仓";
                    DbContext.SaveChanges();
                }
            }
        }
    }
}