749 lines
69 KiB
C#
749 lines
69 KiB
C#
using BaseOUDAL;
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using YLErp.BLL;
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using YLErp.BLL.EodSettlement;
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using YLErp.Model;
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using YLErp.Modules.EodModule;
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using YLErp.Modules.SuperviseReportModule.CFMMC.Model;
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using YLErp.QdpModule;
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using static YLErp.ConsGlobal;
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namespace YLErp.Modules.SuperviseReportModule.CFMMC.Service
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{
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/// <summary>
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/// 监管报告授信数据服务
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/// </summary>
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public class SuperviseReportMonthlyService : ClientBaseService
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{
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private valuedate config;
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public SuperviseReportMonthlyService(OptUserInfo userInfo) : base(userInfo)
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{
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config = yldb.valuedate.FirstOrDefault(x => x.State == valuedate.当前使用);
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}
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public SuperviseReportMonthlyCreditModel SearchSuperviseCreditReportList(SuperviseReportReq req)
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{
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if (string.IsNullOrWhiteSpace(req.sidx)) { req.sidx = "ClientId"; }
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var systemValueDate = valuedateBLL.ValueDate;
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if (req.ValueDate > systemValueDate || (req.ValueDate.Year == systemValueDate.Year && req.ValueDate.Month == systemValueDate.Month))
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{
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req.ValueDate = valuedateBLL.ValueDate;
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}
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else
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{
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req.ValueDate = req.ValueDate.AddDays(1 - req.ValueDate.Day).AddMonths(1).AddDays(-1);
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req.ValueDate = QdpModule.QdpCalendarHelper.GetNonHolidayDefore(req.ValueDate);
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}
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//var query = from credit in yldb.credit
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// where credit.ProcessStatus == "已审批" && credit.Type == CreditTable.ClientType
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// && credit.ClientId > 0 && credit.Credit != null
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// && (credit.CreditStartDate == null || credit.CreditStartDate <= req.ValueDate) && credit.CreditDeadLine >= req.ValueDate
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// select new SuperviseReportMonthlyCreditRowModel
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// {
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// ClientId = credit.ClientId.Value,
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// Credit = credit.Credit.Value
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// };
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var eodTradeClientIdList = (from eTrade in yldb.eod_trade
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where eTrade.ValueDate == req.ValueDate && eTrade.TradeStatus == "确认成交"
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select eTrade.ClientId).Distinct().ToList();
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var MonthStartDateTime = DateTime.Parse(req.ValueDate.ToString("yyyy-MM-01"));
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var tradeCashClientIdList = (from cash in yldb.trade_cash
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join trade in yldb.trade on cash.TradeId equals trade.id
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where cash.ValueDate >= MonthStartDateTime && cash.ValueDate <= req.ValueDate
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&& cash.Action == "系统操作-期权费" && cash.ValidState != "InValid" && cash.IsDeleted == false
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select trade.ClientId).Distinct().ToList();
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var clientIdList = eodTradeClientIdList.Concat(tradeCashClientIdList).Distinct().ToList();
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var query = from cbDaily in yldb.ClientBalanceDaily
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where cbDaily.BalanceDate == req.ValueDate
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&& (cbDaily.ToDayRemainFund > 0 || cbDaily.Credit > 0 || clientIdList.Contains(cbDaily.ClientId))
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select new SuperviseReportMonthlyCreditRowModel
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{
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ClientId = cbDaily.ClientId,
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Credit = cbDaily.Credit ?? 0
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};
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SuperviseReportMonthlyCreditModel result = new SuperviseReportMonthlyCreditModel(query.ToSearchList(req));
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var clientIds = result.rows.Select(O => O.ClientId);
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var balanceDict = yldb.ClientBalanceDaily.Where(n => clientIds.Contains(n.ClientId) && n.BalanceDate == req.ValueDate).ToDictionary(K => K.ClientId, V => V);
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foreach (var item in result.rows)
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{
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if (balanceDict.TryGetValue(item.ClientId, out var balance))
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{
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item.ClientPositionCredit = item.IsTradeCredit ? (balance.ToDayRemainFund ?? 0) : (balance.MarginBalance + balance.PayableMargin) ?? 0;
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item.ClientPositionCredit = Math.Abs(item.ClientPositionCredit > 0 ? 0 : item.ClientPositionCredit);
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item.ClientPositionCredit = item.Credit < item.ClientPositionCredit ? item.Credit : item.ClientPositionCredit;
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}
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var client = DataCacheProvider.GetClientDataSource().GetData(item.ClientId);
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if (client != null)
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{
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item.Number = client.Number;
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item.ClientName = client.Name;
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item.ClientLicenseCode = client.LicenseCode;
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item.CustomerNature = client.CustomerNature2;
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item.IsTradeCredit = client.IsTradeCredit == 1;
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item.CreditRange = item.Credit == 0 ? "" : (client.IsTradeCredit == 1 ? CreditRange.CoverTradePrice_InitMargin_Margin : CreditRange.CoverInitMargin_Margin);
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item.IsSmallAndMicroEnterprisesStr = client.IsSmallAndMicroEnterprisesStr;
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item.IsListedStr = client.IsListedStr;
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}
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item.Remark = "";
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var clientbalance = ClientBalanceUtility.GetClientBanlances(new List<int> { item.ClientId }, DateTime.MinValue, req.ValueDate).FirstOrDefault();
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item.AmountFund = clientbalance.AmountFund;
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item.PayableMargin = clientbalance.PayableMargin;
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}
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var userInfo = UserBLL.GetById(UserId);
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result.SuperviseMainCode = config.SuperviseMainCode;
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result.CompanyName = config.SuperviseMainName;
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result.ReportDate = config.ValueDate.ToString("yyyy年M月d日");
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result.DataDate = req.ValueDate.ToString("yyyy年M月份");
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result.ReportUser = userInfo.Name;
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result.Tel = userInfo.Tel;
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return result;
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}
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public SuperviseReportMonthlyTradeModel SearchSuperviseTradeReportList(DateTime date, bool isCommodity)
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{
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var userInfo = UserBLL.GetById(UserId);
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var monthlyStart = date.AddDays(-date.Day).AddDays(1);
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var monthlyEnd = date.AddDays(1 - date.Day).AddMonths(1).AddDays(-1);
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monthlyStart = QdpCalendarHelper.GetNonHoliday(monthlyStart);
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monthlyEnd = EodDataHelper.GetLastSettleDate(monthlyEnd);
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var preMonthlyEnd = QdpCalendarHelper.GetNonHolidayDefore(monthlyStart.AddDays(-1));
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var yearPnlStart = QdpCalendarHelper.GetNonHoliday(new DateTime(date.Year, 1, 1));
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SuperviseReportMonthlyTradeModel result = new SuperviseReportMonthlyTradeModel();
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result.SuperviseMainCode = config.SuperviseMainCode;
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result.CompanyName = config.SuperviseMainName;
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result.ReportDate = config.ValueDate.ToString("yyyy年M月d日");
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result.DataDate = date.ToString("yyyy年M月份");
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result.ReportUser = userInfo.Name;
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result.Tel = userInfo.Tel;
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List<string> otherClientType = new List<string>() {
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"私募基金",
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"券商",
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"风险管理公司",
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"银行",
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"一般投资公司",
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"保险公司"
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};
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var insidedClientIds = DataCacheProvider.GetClientDataSource().AsQueryable().Where(O => O.IsInsided == 1).Select(O => O.id).ToList();
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//Dictionary<string, int[]> clientIdDict = DbContext.client.Where(O => O.ProcessStatus == "已开户" && !insidedClientIds.Contains(O.id)).Select(O => new { ClientType = otherClientType.Contains(O.CustomerNature2) ? "其他机构" : "产业客户", O.id }).GroupBy(O => O.ClientType).ToDictionary(K => K.Key, V => V.Select(O => O.id).ToArray());
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//if (!clientIdDict.ContainsKey("产业客户"))
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//{ clientIdDict["产业客户"] = new int[0]; }
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//if (!clientIdDict.ContainsKey("其他机构"))
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//{ clientIdDict["其他机构"] = new int[0]; }
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result.MonthlyTransactionSizeInfo = getMonthlyTransactionSizeInfo(monthlyStart, monthlyEnd, preMonthlyEnd, yearPnlStart, isCommodity);
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//result.TransactionScaleClientInfo = getTransactionScaleClientInfo(clientIdDict["产业客户"], clientIdDict["其他机构"], monthlyEnd, preMonthlyEnd);
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//result.TransactionScaleClientTradeInfo = getTransactionScaleClientTradeInfo(clientIdDict["产业客户"], clientIdDict["其他机构"], monthlyStart, monthlyEnd, yearPnlStart);
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//result.TransactionScaleStockClientInfo = getTransactionScaleStockClientInfo(clientIdDict["产业客户"], clientIdDict["其他机构"], monthlyEnd, preMonthlyEnd);
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//result.TransactionScaleMarginInfo = getTransactionScaleMarginInfo(monthlyEnd, preMonthlyEnd);
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result.TransactionScalePnlInfo = getTransactionScalePnlInfo(monthlyStart, monthlyEnd, preMonthlyEnd, yearPnlStart, isCommodity);
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return result;
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}
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/// <summary>
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/// MR008 - 场外商品衍生品月度交易规模统计表
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/// </summary>
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/// <param name="industrialClientArr"></param>
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/// <param name="otherClientArr"></param>
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/// <param name="date"></param>
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/// <returns></returns>
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private MonthlyTransactionSizeInfoGroup getMonthlyTransactionSizeInfo(DateTime monthlyStart, DateTime monthlyEnd, DateTime preMonthlyEnd, DateTime yearPnlStart, bool isCommodity)
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{
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MonthlyTransactionSizeInfoGroup result = new MonthlyTransactionSizeInfoGroup();
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var commoditys = new List<string> { InstrumentType.CommodityFutures, InstrumentType.CommoditySpot, InstrumentType.GoldFutures, InstrumentType.GoldSpot, InstrumentType.OtherFutures, InstrumentType.OtherSpot, InstrumentType.AbroadFutures, InstrumentType.AbroadSpot };
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var stocks = new List<string> { InstrumentType.Stock, InstrumentType.HKStock, InstrumentType.AbroadStock };
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var indexs = new List<string> { InstrumentType.StockIndex, InstrumentType.HKStockIndex, InstrumentType.AbroadStockIndex };
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var funds = new List<string> { InstrumentType.Fund };
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var unionInstrumentTypes = new List<string>();
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unionInstrumentTypes.AddRange(stocks);
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unionInstrumentTypes.AddRange(indexs);
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unionInstrumentTypes.AddRange(funds);
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unionInstrumentTypes.AddRange(commoditys);
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if (isCommodity)
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{
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Func<trade, bool> buildPredicateOfSwapCommodity = new Func<trade, bool>(O => commoditys.Contains(O.UnderlyingInstrumentType) && O.TradeType == "收益互换" && O.IsGroup != 1);
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//结构化交易按照子交易算，黑箱交易按照主交易算
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Func<trade, bool> buildPredicateOfOptionCommodity = new Func<trade, bool>(O => commoditys.Contains(O.UnderlyingInstrumentType) && O.TradeType != "远期" && O.TradeType != "收益互换" && (O.TradeType != "结构化交易" || O.IsGroup == 1) && O.IsGroup != 2);
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Func<trade, bool> buildPredicateOfForwardCommodity = new Func<trade, bool>(O => commoditys.Contains(O.UnderlyingInstrumentType) && O.TradeType == "远期");
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using (var db = new YLContext())
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{
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var lastMonthlyTradeList = db.eod_trade.Where(O => O.ValueDate == preMonthlyEnd && O.TradeStatus == "确认成交" && O.ClientId > 0).Select(O => new xodTradeBase() { TradeJson = O.TradeJson }).ToList().Select(O => O.trade).ToList();
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SetUnderlyingInfo(lastMonthlyTradeList);
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//名义本金-上月末存量
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result.Notional.Swap.PreMonthlyCount.Commodity = lastMonthlyTradeList.Where(buildPredicateOfSwapCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
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result.Notional.Option.PreMonthlyCount.Commodity = lastMonthlyTradeList.Where(buildPredicateOfOptionCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
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result.Notional.Forward.PreMonthlyCount.Commodity = lastMonthlyTradeList.Where(buildPredicateOfForwardCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
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//交易确认书-上月末存量
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result.ConfirmBook.Swap.PreMonthlyCount.Commodity = lastMonthlyTradeList.Where(buildPredicateOfSwapCommodity).Count();
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result.ConfirmBook.Option.PreMonthlyCount.Commodity = lastMonthlyTradeList.Where(buildPredicateOfOptionCommodity).Count();
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result.ConfirmBook.Forward.PreMonthlyCount.Commodity = lastMonthlyTradeList.Where(buildPredicateOfForwardCommodity).Count();
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var monthlyOpenTradeList = db.trade.Where(x => x.TradeDate >= monthlyStart && x.TradeDate <= monthlyEnd && x.ValidState != "InValid").ToList();
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SetUnderlyingInfo(monthlyOpenTradeList);
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var clientIds = monthlyOpenTradeList.Select(x => x.ClientId).ToArray();
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var clientIdsSmallAndMicro = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIds.Contains(x.id) && x.IsSmallAndMicroEnterprises == 1).Select(x => x.id).ToArray();
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var clientIdsListed = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIds.Contains(x.id) && x.IsListed == 1).Select(x => x.id).ToArray();
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var monthlyOpenTradeListSmallAndMicro = monthlyOpenTradeList.Where(x => clientIdsSmallAndMicro.Contains(x.ClientId)).ToList();
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var monthlyOpenTradeListListed = monthlyOpenTradeList.Where(x => clientIdsListed.Contains(x.ClientId)).ToList();
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//名义本金-本月新增开仓
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result.Notional.Swap.MonthlyOpen.Commodity = monthlyOpenTradeList.Where(buildPredicateOfSwapCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Option.MonthlyOpen.Commodity = monthlyOpenTradeList.Where(buildPredicateOfOptionCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Forward.MonthlyOpen.Commodity = monthlyOpenTradeList.Where(buildPredicateOfForwardCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Swap.MonthlyOpenSmallAndMicro.Commodity = monthlyOpenTradeListSmallAndMicro.Where(buildPredicateOfSwapCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Option.MonthlyOpenSmallAndMicro.Commodity = monthlyOpenTradeListSmallAndMicro.Where(buildPredicateOfOptionCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Forward.MonthlyOpenSmallAndMicro.Commodity = monthlyOpenTradeListSmallAndMicro.Where(buildPredicateOfForwardCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Swap.MonthlyOpenListed.Commodity = monthlyOpenTradeListListed.Where(buildPredicateOfSwapCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Option.MonthlyOpenListed.Commodity = monthlyOpenTradeListListed.Where(buildPredicateOfOptionCommodity).Sum(O => O.StockEqvNotionalReal);
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result.Notional.Forward.MonthlyOpenListed.Commodity = monthlyOpenTradeListListed.Where(buildPredicateOfForwardCommodity).Sum(O => O.StockEqvNotionalReal);
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//交易确认书-本月新增开仓
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result.ConfirmBook.Swap.MonthlyOpen.Commodity = monthlyOpenTradeList.Where(buildPredicateOfSwapCommodity).Count();
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result.ConfirmBook.Option.MonthlyOpen.Commodity = monthlyOpenTradeList.Where(buildPredicateOfOptionCommodity).Count();
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result.ConfirmBook.Forward.MonthlyOpen.Commodity = monthlyOpenTradeList.Where(buildPredicateOfForwardCommodity).Count();
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result.ConfirmBook.Swap.MonthlyOpenSmallAndMicro.Commodity = monthlyOpenTradeListSmallAndMicro.Where(buildPredicateOfSwapCommodity).Count();
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result.ConfirmBook.Option.MonthlyOpenSmallAndMicro.Commodity = monthlyOpenTradeListSmallAndMicro.Where(buildPredicateOfOptionCommodity).Count();
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result.ConfirmBook.Forward.MonthlyOpenSmallAndMicro.Commodity = monthlyOpenTradeListSmallAndMicro.Where(buildPredicateOfForwardCommodity).Count();
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result.ConfirmBook.Swap.MonthlyOpenListed.Commodity = monthlyOpenTradeListListed.Where(buildPredicateOfSwapCommodity).Count();
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result.ConfirmBook.Option.MonthlyOpenListed.Commodity = monthlyOpenTradeListListed.Where(buildPredicateOfOptionCommodity).Count();
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result.ConfirmBook.Forward.MonthlyOpenListed.Commodity = monthlyOpenTradeListListed.Where(buildPredicateOfForwardCommodity).Count();
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var tradeKey = db.eod_trade.Where(O => O.ValueDate >= monthlyStart && O.ValueDate <= monthlyEnd && O.TradeStatus == "已平仓" && O.ClientId > 0).Select(O => new { O.TradeId, O.ValueDate });
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var monthlyCloseTradeCashList =
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(from tc in db.trade_cash
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join t in db.trade
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on tc.TradeId equals t.id
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where (tc.HappenedDate >= monthlyStart && tc.HappenedDate <= monthlyEnd || tc.ValueDate >= monthlyStart && tc.ValueDate <= monthlyEnd)
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&& tc.ValidState != "InValid" && !tc.IsDeleted && tc.Action == ClientCashInCashOut.系统操作_平仓费 && tc.UnwindType != "部分行权"
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select
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new { trade = t, tc.UnwindPercentRate, tc.IsLastAction }).ToList();
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SetUnderlyingInfo(monthlyCloseTradeCashList.Select(O => O.trade).ToList());
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//名义本金-本月平仓
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result.Notional.Swap.MonthlyUnwind.Commodity = monthlyCloseTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "收益互换" && O.trade.IsGroup != 1).Sum(O => O.trade.OriginalStockEqvNotional * O.UnwindPercentRate ?? 0);
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result.Notional.Option.MonthlyUnwind.Commodity = monthlyCloseTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType != "远期" && O.trade.TradeType != "收益互换" && (O.trade.TradeType != "结构化交易" || O.trade.IsGroup == 1) && O.trade.IsGroup != 2).Sum(O => O.trade.OriginalStockEqvNotional * O.UnwindPercentRate ?? 0);
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result.Notional.Forward.MonthlyUnwind.Commodity = monthlyCloseTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "远期").Sum(O => O.trade.OriginalStockEqvNotional * O.UnwindPercentRate ?? 0);
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//交易确认书-本月平仓
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result.ConfirmBook.Swap.MonthlyUnwind.Commodity = monthlyCloseTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "收益互换" && O.trade.IsGroup != 1 && O.IsLastAction).Count();
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result.ConfirmBook.Option.MonthlyUnwind.Commodity = monthlyCloseTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType != "远期" && O.trade.TradeType != "收益互换" && (O.trade.TradeType != "结构化交易" || O.trade.IsGroup == 1) && O.trade.IsGroup != 2 && O.IsLastAction).Count();
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result.ConfirmBook.Forward.MonthlyUnwind.Commodity = monthlyCloseTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "远期" && O.IsLastAction).Count();
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var monthlyExecuteTradeCashList =
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(from tc in db.trade_cash
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join t in db.trade
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on tc.TradeId equals t.id
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where (tc.HappenedDate >= monthlyStart && tc.HappenedDate <= monthlyEnd || tc.ValueDate >= monthlyStart && tc.ValueDate <= monthlyEnd)
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&& tc.ValidState != "InValid" && !tc.IsDeleted && (tc.Action == ClientCashInCashOut.系统操作_平仓费 && tc.UnwindType == "部分行权" || tc.Action == ClientCashInCashOut.系统操作_行权费 || tc.Action == ClientCashInCashOut.系统操作_票息 || tc.Action == ClientCashInCashOut.系统操作_互换)
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select
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new { trade = t, tc.UnwindPercentRate, tc.IsLastAction }).ToList();
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SetUnderlyingInfo(monthlyExecuteTradeCashList.Select(O => O.trade).ToList());
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//名义本金-本月执行/终止交易
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result.Notional.Swap.MonthlyExecute.Commodity = monthlyExecuteTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "收益互换" && O.trade.IsGroup != 1).Sum(O => O.trade.OriginalStockEqvNotional * O.UnwindPercentRate ?? 0);
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result.Notional.Option.MonthlyExecute.Commodity = monthlyExecuteTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType != "远期" && O.trade.TradeType != "收益互换" && (O.trade.TradeType != "结构化交易" || O.trade.IsGroup == 1) && O.trade.IsGroup != 2).Sum(O => O.trade.OriginalStockEqvNotional * O.UnwindPercentRate ?? 0);
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result.Notional.Forward.MonthlyExecute.Commodity = monthlyExecuteTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "远期").Sum(O => O.trade.OriginalStockEqvNotional * O.UnwindPercentRate ?? 0);
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//交易确认书-本月执行/终止交易
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result.ConfirmBook.Swap.MonthlyExecute.Commodity = monthlyExecuteTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "收益互换" && O.trade.IsGroup != 1 && O.IsLastAction).Count();
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result.ConfirmBook.Option.MonthlyExecute.Commodity = monthlyExecuteTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType != "远期" && O.trade.TradeType != "收益互换" && (O.trade.TradeType != "结构化交易" || O.trade.IsGroup == 1) && O.trade.IsGroup != 2 && O.IsLastAction).Count();
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result.ConfirmBook.Forward.MonthlyExecute.Commodity = monthlyExecuteTradeCashList.Where(O => commoditys.Contains(O.trade.UnderlyingInstrumentType) && O.trade.TradeType == "远期" && O.IsLastAction).Count();
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var monthlyTradeList =
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db.eod_trade
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.Where(O => O.ValueDate == monthlyEnd && O.TradeStatus == "确认成交" && O.ClientId > 0)
|
|
.Select(O => new xodTradeBase() { TradeJson = O.TradeJson }).ToList().Select(O => O.trade).ToList();
|
|
|
|
SetUnderlyingInfo(monthlyTradeList);
|
|
var clientIdsMonthlyCount = monthlyTradeList.Select(x => x.ClientId).ToArray();
|
|
var clientIdsMonthlyCountSmallAndMicro = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIdsMonthlyCount.Contains(x.id) && x.IsSmallAndMicroEnterprises == 1).Select(x => x.id).ToArray();
|
|
var clientIdsMonthlyCountListed = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIds.Contains(x.id) && x.IsListed == 1).Select(x => x.id).ToArray();
|
|
var monthlyTradeListSmallAndMicro = monthlyTradeList.Where(x => clientIdsMonthlyCountSmallAndMicro.Contains(x.ClientId)).ToList();
|
|
var monthlyTradeListListed = monthlyTradeList.Where(x => clientIdsMonthlyCountListed.Contains(x.ClientId)).ToList();
|
|
//名义本金-本月末存量
|
|
result.Notional.Swap.MonthlyCount.Commodity = monthlyTradeList.Where(buildPredicateOfSwapCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
result.Notional.Option.MonthlyCount.Commodity = monthlyTradeList.Where(buildPredicateOfOptionCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
result.Notional.Forward.MonthlyCount.Commodity = monthlyTradeList.Where(buildPredicateOfForwardCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
|
|
result.Notional.Swap.MonthlyCountSmallAndMicro.Commodity = monthlyTradeListSmallAndMicro.Where(buildPredicateOfSwapCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
result.Notional.Option.MonthlyCountSmallAndMicro.Commodity = monthlyTradeListSmallAndMicro.Where(buildPredicateOfOptionCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
result.Notional.Forward.MonthlyCountSmallAndMicro.Commodity = monthlyTradeListSmallAndMicro.Where(buildPredicateOfForwardCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
|
|
result.Notional.Swap.MonthlyCountListed.Commodity = monthlyTradeListListed.Where(buildPredicateOfSwapCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
result.Notional.Option.MonthlyCountListed.Commodity = monthlyTradeListListed.Where(buildPredicateOfOptionCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
result.Notional.Forward.MonthlyCountListed.Commodity = monthlyTradeListListed.Where(buildPredicateOfForwardCommodity).Sum(O => (O.StockEqvNotional / O.OriginalStockEqvNotionalV2 * O.StockEqvNotionalReal) ?? 0);
|
|
//交易确认书-本月末存量
|
|
result.ConfirmBook.Swap.MonthlyCount.Commodity = monthlyTradeList.Where(buildPredicateOfSwapCommodity).Count();
|
|
result.ConfirmBook.Option.MonthlyCount.Commodity = monthlyTradeList.Where(buildPredicateOfOptionCommodity).Count();
|
|
result.ConfirmBook.Forward.MonthlyCount.Commodity = monthlyTradeList.Where(buildPredicateOfForwardCommodity).Count();
|
|
|
|
result.ConfirmBook.Swap.MonthlyCountSmallAndMicro.Commodity = monthlyTradeListSmallAndMicro.Where(buildPredicateOfSwapCommodity).Count();
|
|
result.ConfirmBook.Option.MonthlyCountSmallAndMicro.Commodity = monthlyTradeListSmallAndMicro.Where(buildPredicateOfOptionCommodity).Count();
|
|
result.ConfirmBook.Forward.MonthlyCountSmallAndMicro.Commodity = monthlyTradeListSmallAndMicro.Where(buildPredicateOfForwardCommodity).Count();
|
|
|
|
result.ConfirmBook.Swap.MonthlyCountListed.Commodity = monthlyTradeListListed.Where(buildPredicateOfSwapCommodity).Count();
|
|
result.ConfirmBook.Option.MonthlyCountListed.Commodity = monthlyTradeListListed.Where(buildPredicateOfOptionCommodity).Count();
|
|
result.ConfirmBook.Forward.MonthlyCountListed.Commodity = monthlyTradeListListed.Where(buildPredicateOfForwardCommodity).Count();
|
|
|
|
var yearTradeList =
|
|
(from t in db.eod_trade
|
|
join tc in db.trade_cash
|
|
on new { t.ValueDate, t.TradeId } equals new { tc.ValueDate, tc.TradeId }
|
|
where tc.ValueDate >= yearPnlStart && tc.ValueDate <= monthlyEnd && tc.Action == "系统操作-期权费" &&
|
|
tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
|
|
select new xodTradeBase() { TradeJson = t.TradeJson }).ToList().Select(O => O.trade).ToList();
|
|
|
|
SetUnderlyingInfo(yearTradeList);
|
|
|
|
//名义本金-本年累计新增
|
|
result.Notional.Swap.YearCount.Commodity = yearTradeList.Where(buildPredicateOfSwapCommodity).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.YearCount.Commodity = yearTradeList.Where(buildPredicateOfOptionCommodity).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.YearCount.Commodity = yearTradeList.Where(buildPredicateOfForwardCommodity).Sum(O => O.StockEqvNotionalReal);
|
|
//交易确认书-本年累计新增
|
|
result.ConfirmBook.Swap.YearCount.Commodity = yearTradeList.Where(buildPredicateOfSwapCommodity).Count();
|
|
result.ConfirmBook.Option.YearCount.Commodity = yearTradeList.Where(buildPredicateOfOptionCommodity).Count();
|
|
result.ConfirmBook.Forward.YearCount.Commodity = yearTradeList.Where(buildPredicateOfForwardCommodity).Count();
|
|
}
|
|
}
|
|
else
|
|
{
|
|
Func<trade, bool> buildPredicateOfSwapStock = new Func<trade, bool>(O => stocks.Contains(O.UnderlyingInstrumentType) && O.TradeType == "收益互换" && O.IsGroup != 1);
|
|
Func<trade, bool> buildPredicateOfSwapIndex = new Func<trade, bool>(O => indexs.Contains(O.UnderlyingInstrumentType) && O.TradeType == "收益互换" && O.IsGroup != 1);
|
|
Func<trade, bool> buildPredicateOfSwapFund = new Func<trade, bool>(O => funds.Contains(O.UnderlyingInstrumentType) && O.TradeType == "收益互换" && O.IsGroup != 1);
|
|
Func<trade, bool> buildPredicateOfSwapOther = new Func<trade, bool>(O => !unionInstrumentTypes.Contains(O.UnderlyingInstrumentType) && O.TradeType == "收益互换" && O.IsGroup != 1);
|
|
|
|
Func<trade, bool> buildPredicateOfOptionStock = new Func<trade, bool>(O => stocks.Contains(O.UnderlyingInstrumentType) && O.TradeType != "远期" && O.TradeType != "收益互换" && O.TradeType != "结构化交易");
|
|
Func<trade, bool> buildPredicateOfOptionIndex = new Func<trade, bool>(O => indexs.Contains(O.UnderlyingInstrumentType) && O.TradeType != "远期" && O.TradeType != "收益互换" && O.TradeType != "结构化交易");
|
|
Func<trade, bool> buildPredicateOfOptionFund = new Func<trade, bool>(O => funds.Contains(O.UnderlyingInstrumentType) && O.TradeType != "远期" && O.TradeType != "收益互换" && O.TradeType != "结构化交易");
|
|
Func<trade, bool> buildPredicateOfOptionOther = new Func<trade, bool>(O => !unionInstrumentTypes.Contains(O.UnderlyingInstrumentType) && O.TradeType != "远期" && O.TradeType != "收益互换" && O.TradeType != "结构化交易");
|
|
|
|
Func<trade, bool> buildPredicateOfForwardStock = new Func<trade, bool>(O => stocks.Contains(O.UnderlyingInstrumentType) && O.TradeType == "远期");
|
|
Func<trade, bool> buildPredicateOfForwardIndex = new Func<trade, bool>(O => indexs.Contains(O.UnderlyingInstrumentType) && O.TradeType == "远期");
|
|
Func<trade, bool> buildPredicateOfForwardFund = new Func<trade, bool>(O => funds.Contains(O.UnderlyingInstrumentType) && O.TradeType == "远期");
|
|
Func<trade, bool> buildPredicateOfForwardOther = new Func<trade, bool>(O => !unionInstrumentTypes.Contains(O.UnderlyingInstrumentType) && O.TradeType == "远期");
|
|
|
|
using (var db = new YLContext())
|
|
{
|
|
var lastMonthlyTradeList = db.eod_trade.Where(O => O.ValueDate == preMonthlyEnd && O.TradeStatus == "确认成交" && O.ClientId > 0).Select(O => new xodTradeBase() { TradeJson = O.TradeJson }).ToList().Select(O => O.trade).ToList();
|
|
SetUnderlyingInfo(lastMonthlyTradeList);
|
|
|
|
//名义本金-上月末存量
|
|
result.Notional.Swap.PreMonthlyCount.Stock = lastMonthlyTradeList.Where(buildPredicateOfSwapStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.PreMonthlyCount.Index = lastMonthlyTradeList.Where(buildPredicateOfSwapIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.PreMonthlyCount.Fund = lastMonthlyTradeList.Where(buildPredicateOfSwapFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.PreMonthlyCount.Other = lastMonthlyTradeList.Where(buildPredicateOfSwapOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Option.PreMonthlyCount.Stock = lastMonthlyTradeList.Where(buildPredicateOfSwapStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.PreMonthlyCount.Index = lastMonthlyTradeList.Where(buildPredicateOfSwapIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.PreMonthlyCount.Fund = lastMonthlyTradeList.Where(buildPredicateOfOptionFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.PreMonthlyCount.Other = lastMonthlyTradeList.Where(buildPredicateOfOptionOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Forward.PreMonthlyCount.Stock = lastMonthlyTradeList.Where(buildPredicateOfForwardStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.PreMonthlyCount.Index = lastMonthlyTradeList.Where(buildPredicateOfForwardIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.PreMonthlyCount.Fund = lastMonthlyTradeList.Where(buildPredicateOfForwardFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.PreMonthlyCount.Other = lastMonthlyTradeList.Where(buildPredicateOfForwardOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
//交易确认书-上月末存量
|
|
result.ConfirmBook.Swap.PreMonthlyCount.Stock = lastMonthlyTradeList.Where(buildPredicateOfSwapStock).Count();
|
|
result.ConfirmBook.Swap.PreMonthlyCount.Index = lastMonthlyTradeList.Where(buildPredicateOfSwapIndex).Count();
|
|
result.ConfirmBook.Swap.PreMonthlyCount.Fund = lastMonthlyTradeList.Where(buildPredicateOfSwapFund).Count();
|
|
result.ConfirmBook.Swap.PreMonthlyCount.Other = lastMonthlyTradeList.Where(buildPredicateOfSwapOther).Count();
|
|
|
|
result.ConfirmBook.Option.PreMonthlyCount.Stock = lastMonthlyTradeList.Where(buildPredicateOfOptionStock).Count();
|
|
result.ConfirmBook.Option.PreMonthlyCount.Index = lastMonthlyTradeList.Where(buildPredicateOfOptionIndex).Count();
|
|
result.ConfirmBook.Option.PreMonthlyCount.Fund = lastMonthlyTradeList.Where(buildPredicateOfOptionFund).Count();
|
|
result.ConfirmBook.Option.PreMonthlyCount.Other = lastMonthlyTradeList.Where(buildPredicateOfOptionOther).Count();
|
|
|
|
result.ConfirmBook.Forward.PreMonthlyCount.Stock = lastMonthlyTradeList.Where(buildPredicateOfForwardStock).Count();
|
|
result.ConfirmBook.Forward.PreMonthlyCount.Index = lastMonthlyTradeList.Where(buildPredicateOfForwardIndex).Count();
|
|
result.ConfirmBook.Forward.PreMonthlyCount.Fund = lastMonthlyTradeList.Where(buildPredicateOfForwardFund).Count();
|
|
result.ConfirmBook.Forward.PreMonthlyCount.Other = lastMonthlyTradeList.Where(buildPredicateOfForwardOther).Count();
|
|
|
|
var monthlyOpenTradeList =
|
|
(from t in db.eod_trade
|
|
join tc in db.trade_cash
|
|
on new { t.ValueDate, t.TradeId } equals new { tc.ValueDate, tc.TradeId }
|
|
where tc.ValueDate >= monthlyStart && tc.ValueDate <= monthlyEnd && tc.Action == "系统操作-期权费" && tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
|
|
select new xodTradeBase() { TradeJson = t.TradeJson }).ToList().Select(O => O.trade).ToList();
|
|
SetUnderlyingInfo(monthlyOpenTradeList);
|
|
var clientIds = monthlyOpenTradeList.Select(x => x.ClientId).ToArray();
|
|
var clientIdsSmallAndMicro = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIds.Contains(x.id) && x.IsSmallAndMicroEnterprises == 1).Select(x => x.id).ToArray();
|
|
var clientIdsListed = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIds.Contains(x.id) && x.IsListed == 1).Select(x => x.id).ToArray();
|
|
var monthlyOpenTradeListSmallAndMicro = monthlyOpenTradeList.Where(x => clientIdsSmallAndMicro.Contains(x.ClientId)).ToList();
|
|
var monthlyOpenTradeListListed = monthlyOpenTradeList.Where(x => clientIdsListed.Contains(x.ClientId)).ToList();
|
|
//名义本金-本月新增开仓
|
|
result.Notional.Swap.MonthlyOpen = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeList, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.Notional.Swap.MonthlyOpenSmallAndMicro = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeListSmallAndMicro, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.Notional.Swap.MonthlyOpenListed = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeListListed, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
|
|
result.Notional.Option.MonthlyOpen = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeList, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.Notional.Option.MonthlyOpenSmallAndMicro = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeListSmallAndMicro, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.Notional.Option.MonthlyOpenListed = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeListListed, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
|
|
result.Notional.Forward.MonthlyOpen = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeList, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.Notional.Forward.MonthlyOpenSmallAndMicro = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeListSmallAndMicro, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.Notional.Forward.MonthlyOpenListed = getMonthlyOpenOriginalStockEqvNotionalV2(monthlyOpenTradeListListed, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
|
|
//交易确认书-本月新增开仓
|
|
result.ConfirmBook.Swap.MonthlyOpen = getMonthlyOpenCount(monthlyOpenTradeList, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.ConfirmBook.Swap.MonthlyOpenSmallAndMicro = getMonthlyOpenCount(monthlyOpenTradeListSmallAndMicro, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.ConfirmBook.Swap.MonthlyOpenListed = getMonthlyOpenCount(monthlyOpenTradeListListed, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
|
|
result.ConfirmBook.Option.MonthlyOpen = getMonthlyOpenCount(monthlyOpenTradeList, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.ConfirmBook.Option.MonthlyOpenSmallAndMicro = getMonthlyOpenCount(monthlyOpenTradeListSmallAndMicro, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.ConfirmBook.Option.MonthlyOpenListed = getMonthlyOpenCount(monthlyOpenTradeListListed, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
|
|
result.ConfirmBook.Forward.MonthlyOpen = getMonthlyOpenCount(monthlyOpenTradeList, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.ConfirmBook.Forward.MonthlyOpenSmallAndMicro = getMonthlyOpenCount(monthlyOpenTradeListSmallAndMicro, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.ConfirmBook.Forward.MonthlyOpenListed = getMonthlyOpenCount(monthlyOpenTradeListListed, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
|
|
var tradeKey = db.eod_trade.Where(O => O.ValueDate >= monthlyStart && O.ValueDate <= monthlyEnd && O.TradeStatus == "已平仓" && O.ClientId > 0).Select(O => new { O.TradeId, O.ValueDate });
|
|
|
|
List<string> action = new List<string>() {
|
|
"系统操作-平仓费",
|
|
"系统操作-行权费",
|
|
};
|
|
var monthlyCloseTradeList =
|
|
(from t in db.eod_trade
|
|
join k in tradeKey
|
|
on new { t.ValueDate, t.TradeId } equals new { k.ValueDate, k.TradeId }
|
|
join tc in db.trade_cash
|
|
on t.TradeId equals tc.TradeId
|
|
where
|
|
action.Contains(tc.Action) &&
|
|
tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
|
|
select
|
|
new { eod = new xodTradeBase() { TradeJson = t.TradeJson }, tc.Amount }).ToList().Select(O => { O.eod.trade.TradePrice = O.Amount; return O.eod.trade; }).ToList();
|
|
SetUnderlyingInfo(monthlyCloseTradeList);
|
|
var monthlyCloseList = monthlyCloseTradeList.GroupBy(O => O.id).Select(O => O.First());
|
|
//名义本金-本月平仓
|
|
result.Notional.Swap.MonthlyUnwind.Stock = monthlyCloseList.Where(buildPredicateOfSwapStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.MonthlyUnwind.Index = monthlyCloseList.Where(buildPredicateOfSwapIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.MonthlyUnwind.Fund = monthlyCloseList.Where(buildPredicateOfSwapFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.MonthlyUnwind.Other = monthlyCloseList.Where(buildPredicateOfSwapOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Option.MonthlyUnwind.Stock = monthlyCloseList.Where(buildPredicateOfOptionStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.MonthlyUnwind.Index = monthlyCloseList.Where(buildPredicateOfOptionIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.MonthlyUnwind.Fund = monthlyCloseList.Where(buildPredicateOfOptionFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.MonthlyUnwind.Other = monthlyCloseList.Where(buildPredicateOfOptionOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Forward.MonthlyUnwind.Stock = monthlyCloseList.Where(buildPredicateOfForwardStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.MonthlyUnwind.Index = monthlyCloseList.Where(buildPredicateOfForwardIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.MonthlyUnwind.Fund = monthlyCloseList.Where(buildPredicateOfForwardFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.MonthlyUnwind.Other = monthlyCloseList.Where(buildPredicateOfForwardOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
//交易确认书-本月平仓
|
|
result.ConfirmBook.Swap.MonthlyUnwind.Stock = monthlyCloseList.Where(buildPredicateOfSwapStock).Count();
|
|
result.ConfirmBook.Swap.MonthlyUnwind.Index = monthlyCloseList.Where(buildPredicateOfSwapIndex).Count();
|
|
result.ConfirmBook.Swap.MonthlyUnwind.Fund = monthlyCloseList.Where(buildPredicateOfSwapFund).Count();
|
|
result.ConfirmBook.Swap.MonthlyUnwind.Other = monthlyCloseList.Where(buildPredicateOfSwapOther).Count();
|
|
|
|
result.ConfirmBook.Option.MonthlyUnwind.Stock = monthlyCloseList.Where(buildPredicateOfOptionStock).Count();
|
|
result.ConfirmBook.Option.MonthlyUnwind.Index = monthlyCloseList.Where(buildPredicateOfOptionIndex).Count();
|
|
result.ConfirmBook.Option.MonthlyUnwind.Fund = monthlyCloseList.Where(buildPredicateOfOptionFund).Count();
|
|
result.ConfirmBook.Option.MonthlyUnwind.Other = monthlyCloseList.Where(buildPredicateOfOptionOther).Count();
|
|
|
|
result.ConfirmBook.Forward.MonthlyUnwind.Stock = monthlyCloseList.Where(buildPredicateOfForwardStock).Count();
|
|
result.ConfirmBook.Forward.MonthlyUnwind.Index = monthlyCloseList.Where(buildPredicateOfForwardIndex).Count();
|
|
result.ConfirmBook.Forward.MonthlyUnwind.Fund = monthlyCloseList.Where(buildPredicateOfForwardFund).Count();
|
|
result.ConfirmBook.Forward.MonthlyUnwind.Other = monthlyCloseList.Where(buildPredicateOfForwardOther).Count();
|
|
|
|
var monthlyExecuteTradeList =
|
|
db.eod_trade
|
|
.Where(O => O.ValueDate >= monthlyStart && O.ValueDate <= monthlyEnd && (O.TradeStatus == "已执行" || O.TradeStatus == "已到期") && O.ClientId > 0)
|
|
.Select(O => new xodTradeBase() { TradeJson = O.TradeJson }).ToList().Select(O => O.trade).ToList();
|
|
SetUnderlyingInfo(monthlyExecuteTradeList);
|
|
//名义本金-本月执行/终止交易
|
|
result.Notional.Swap.MonthlyExecute.Stock = monthlyExecuteTradeList.Where(buildPredicateOfSwapStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.MonthlyExecute.Index = monthlyExecuteTradeList.Where(buildPredicateOfSwapIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.MonthlyExecute.Fund = monthlyExecuteTradeList.Where(buildPredicateOfSwapFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.MonthlyExecute.Other = monthlyExecuteTradeList.Where(buildPredicateOfSwapOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Option.MonthlyExecute.Stock = monthlyExecuteTradeList.Where(buildPredicateOfOptionStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.MonthlyExecute.Index = monthlyExecuteTradeList.Where(buildPredicateOfOptionIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.MonthlyExecute.Fund = monthlyExecuteTradeList.Where(buildPredicateOfOptionFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.MonthlyExecute.Other = monthlyExecuteTradeList.Where(buildPredicateOfOptionOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Forward.MonthlyExecute.Stock = monthlyExecuteTradeList.Where(buildPredicateOfForwardStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.MonthlyExecute.Index = monthlyExecuteTradeList.Where(buildPredicateOfForwardIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.MonthlyExecute.Fund = monthlyExecuteTradeList.Where(buildPredicateOfForwardFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.MonthlyExecute.Other = monthlyExecuteTradeList.Where(buildPredicateOfForwardOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
//交易确认书-本月执行/终止交易
|
|
result.ConfirmBook.Swap.MonthlyExecute.Stock = monthlyExecuteTradeList.Where(buildPredicateOfSwapStock).Count();
|
|
result.ConfirmBook.Swap.MonthlyExecute.Index = monthlyExecuteTradeList.Where(buildPredicateOfSwapIndex).Count();
|
|
result.ConfirmBook.Swap.MonthlyExecute.Fund = monthlyExecuteTradeList.Where(buildPredicateOfSwapFund).Count();
|
|
result.ConfirmBook.Swap.MonthlyExecute.Other = monthlyExecuteTradeList.Where(buildPredicateOfSwapOther).Count();
|
|
|
|
result.ConfirmBook.Option.MonthlyExecute.Stock = monthlyExecuteTradeList.Where(buildPredicateOfOptionStock).Count();
|
|
result.ConfirmBook.Option.MonthlyExecute.Index = monthlyExecuteTradeList.Where(buildPredicateOfOptionIndex).Count();
|
|
result.ConfirmBook.Option.MonthlyExecute.Fund = monthlyExecuteTradeList.Where(buildPredicateOfOptionFund).Count();
|
|
result.ConfirmBook.Option.MonthlyExecute.Other = monthlyExecuteTradeList.Where(buildPredicateOfOptionOther).Count();
|
|
|
|
result.ConfirmBook.Forward.MonthlyExecute.Stock = monthlyExecuteTradeList.Where(buildPredicateOfForwardStock).Count();
|
|
result.ConfirmBook.Forward.MonthlyExecute.Index = monthlyExecuteTradeList.Where(buildPredicateOfForwardIndex).Count();
|
|
result.ConfirmBook.Forward.MonthlyExecute.Fund = monthlyExecuteTradeList.Where(buildPredicateOfForwardFund).Count();
|
|
result.ConfirmBook.Forward.MonthlyExecute.Other = monthlyExecuteTradeList.Where(buildPredicateOfForwardOther).Count();
|
|
|
|
var monthlyTradeList =
|
|
db.eod_trade
|
|
.Where(O => O.ValueDate == monthlyEnd && O.TradeStatus == "确认成交" && O.ClientId > 0)
|
|
.Select(O => new xodTradeBase() { TradeJson = O.TradeJson }).ToList().Select(O => O.trade).ToList();
|
|
SetUnderlyingInfo(monthlyTradeList);
|
|
var clientIdsMonthlyCount = monthlyTradeList.Select(x => x.ClientId).ToArray();
|
|
var clientIdsMonthlyCountSmallAndMicro = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIdsMonthlyCount.Contains(x.id) && x.IsSmallAndMicroEnterprises == 1).Select(x => x.id).ToArray();
|
|
var clientIdsMonthlyCountListed = DataCacheProvider.GetClientDataSource().AsQueryable().Where(x => clientIds.Contains(x.id) && x.IsListed == 1).Select(x => x.id).ToArray();
|
|
var monthlyTradeListSmallAndMicro = monthlyTradeList.Where(x => clientIdsMonthlyCountSmallAndMicro.Contains(x.ClientId)).ToList();
|
|
var monthlyTradeListListed = monthlyTradeList.Where(x => clientIdsMonthlyCountListed.Contains(x.ClientId)).ToList();
|
|
//名义本金-本月末存量
|
|
result.Notional.Swap.MonthlyCount = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeList, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.Notional.Swap.MonthlyCountSmallAndMicro = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeListSmallAndMicro, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.Notional.Swap.MonthlyCountListed = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeListListed, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
|
|
result.Notional.Option.MonthlyCount = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeList, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.Notional.Option.MonthlyCountSmallAndMicro = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeListSmallAndMicro, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.Notional.Option.MonthlyCountListed = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeListListed, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
|
|
result.Notional.Forward.MonthlyCount = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeList, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.Notional.Forward.MonthlyCountSmallAndMicro = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeListSmallAndMicro, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.Notional.Forward.MonthlyCountListed = getMonthlyCountOriginalStockEqvNotionalV2(monthlyTradeListListed, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
|
|
//交易确认书-本月末存量
|
|
result.ConfirmBook.Swap.MonthlyCount = getMonthlyCount(monthlyTradeList, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.ConfirmBook.Swap.MonthlyCountSmallAndMicro = getMonthlyCount(monthlyTradeListSmallAndMicro, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
result.ConfirmBook.Swap.MonthlyCountListed = getMonthlyCount(monthlyTradeListListed, buildPredicateOfSwapStock, buildPredicateOfSwapIndex, buildPredicateOfSwapFund, buildPredicateOfSwapOther);
|
|
|
|
result.ConfirmBook.Option.MonthlyCount = getMonthlyCount(monthlyTradeList, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.ConfirmBook.Option.MonthlyCountSmallAndMicro = getMonthlyCount(monthlyTradeListSmallAndMicro, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
result.ConfirmBook.Option.MonthlyCountListed = getMonthlyCount(monthlyTradeListListed, buildPredicateOfOptionStock, buildPredicateOfOptionIndex, buildPredicateOfOptionFund, buildPredicateOfOptionOther);
|
|
|
|
result.ConfirmBook.Forward.MonthlyCount = getMonthlyCount(monthlyTradeList, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.ConfirmBook.Forward.MonthlyCountSmallAndMicro = getMonthlyCount(monthlyTradeListSmallAndMicro, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
result.ConfirmBook.Forward.MonthlyCountListed = getMonthlyCount(monthlyTradeListListed, buildPredicateOfForwardStock, buildPredicateOfForwardIndex, buildPredicateOfForwardFund, buildPredicateOfForwardOther);
|
|
|
|
var yearTradeList =
|
|
(from t in db.eod_trade
|
|
join tc in db.trade_cash
|
|
on new { t.ValueDate, t.TradeId } equals new { tc.ValueDate, tc.TradeId }
|
|
where tc.ValueDate >= yearPnlStart && tc.ValueDate <= monthlyEnd && tc.Action == "系统操作-期权费" &&
|
|
tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
|
|
select new xodTradeBase() { TradeJson = t.TradeJson }).ToList().Select(O => O.trade).ToList();
|
|
SetUnderlyingInfo(yearTradeList);
|
|
//名义本金-本年累计新增
|
|
result.Notional.Swap.YearCount.Stock = yearTradeList.Where(buildPredicateOfSwapStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.YearCount.Index = yearTradeList.Where(buildPredicateOfSwapIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.YearCount.Fund = yearTradeList.Where(buildPredicateOfSwapFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Swap.YearCount.Other = yearTradeList.Where(buildPredicateOfSwapOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Option.YearCount.Stock = yearTradeList.Where(buildPredicateOfOptionStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.YearCount.Index = yearTradeList.Where(buildPredicateOfOptionIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.YearCount.Fund = yearTradeList.Where(buildPredicateOfOptionFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Option.YearCount.Other = yearTradeList.Where(buildPredicateOfOptionOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
result.Notional.Forward.YearCount.Stock = yearTradeList.Where(buildPredicateOfForwardStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.YearCount.Index = yearTradeList.Where(buildPredicateOfForwardIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.YearCount.Fund = yearTradeList.Where(buildPredicateOfForwardFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Notional.Forward.YearCount.Other = yearTradeList.Where(buildPredicateOfForwardOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
//交易确认书-本年累计新增
|
|
result.ConfirmBook.Swap.YearCount.Stock = yearTradeList.Where(buildPredicateOfSwapStock).Count();
|
|
result.ConfirmBook.Swap.YearCount.Index = yearTradeList.Where(buildPredicateOfSwapIndex).Count();
|
|
result.ConfirmBook.Swap.YearCount.Fund = yearTradeList.Where(buildPredicateOfSwapFund).Count();
|
|
result.ConfirmBook.Swap.YearCount.Other = yearTradeList.Where(buildPredicateOfSwapOther).Count();
|
|
|
|
result.ConfirmBook.Option.YearCount.Stock = yearTradeList.Where(buildPredicateOfOptionStock).Count();
|
|
result.ConfirmBook.Option.YearCount.Index = yearTradeList.Where(buildPredicateOfOptionIndex).Count();
|
|
result.ConfirmBook.Option.YearCount.Fund = yearTradeList.Where(buildPredicateOfOptionFund).Count();
|
|
result.ConfirmBook.Option.YearCount.Other = yearTradeList.Where(buildPredicateOfOptionOther).Count();
|
|
|
|
result.ConfirmBook.Forward.YearCount.Stock = yearTradeList.Where(buildPredicateOfForwardStock).Count();
|
|
result.ConfirmBook.Forward.YearCount.Index = yearTradeList.Where(buildPredicateOfForwardIndex).Count();
|
|
result.ConfirmBook.Forward.YearCount.Fund = yearTradeList.Where(buildPredicateOfForwardFund).Count();
|
|
result.ConfirmBook.Forward.YearCount.Other = yearTradeList.Where(buildPredicateOfForwardOther).Count();
|
|
}
|
|
}
|
|
|
|
return result;
|
|
}
|
|
|
|
private static void SetUnderlyingInfo(List<trade> tradeList)
|
|
{
|
|
foreach (var item in tradeList)
|
|
{
|
|
item.UnderlyingInstrumentType = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode)?.UnderlyingInstrumentType;
|
|
}
|
|
}
|
|
|
|
private TransactionScaleItem getMonthlyOpenOriginalStockEqvNotionalV2(List<trade> monthlyOpenTradeList, Func<trade, bool> buildPredicateOfStock, Func<trade, bool> buildPredicateOfIndex, Func<trade, bool> buildPredicateOfFund, Func<trade, bool> buildPredicateOfOther)
|
|
{
|
|
var result = new TransactionScaleItem();
|
|
result.Stock = monthlyOpenTradeList.Where(buildPredicateOfStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Index = monthlyOpenTradeList.Where(buildPredicateOfIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Fund = monthlyOpenTradeList.Where(buildPredicateOfFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Other = monthlyOpenTradeList.Where(buildPredicateOfOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
return result;
|
|
}
|
|
|
|
private TransactionScaleItem getMonthlyOpenCount(List<trade> monthlyOpenTradeList, Func<trade, bool> buildPredicateOfStock, Func<trade, bool> buildPredicateOfIndex, Func<trade, bool> buildPredicateOfFund, Func<trade, bool> buildPredicateOfOther)
|
|
{
|
|
var result = new TransactionScaleItem();
|
|
result.Stock = monthlyOpenTradeList.Where(buildPredicateOfStock).Count();
|
|
result.Index = monthlyOpenTradeList.Where(buildPredicateOfIndex).Count();
|
|
result.Fund = monthlyOpenTradeList.Where(buildPredicateOfFund).Count();
|
|
result.Other = monthlyOpenTradeList.Where(buildPredicateOfOther).Count();
|
|
|
|
return result;
|
|
}
|
|
|
|
private TransactionScaleItem getMonthlyCountOriginalStockEqvNotionalV2(List<trade> monthlyTradeList, Func<trade, bool> buildPredicateOfStock, Func<trade, bool> buildPredicateOfIndex, Func<trade, bool> buildPredicateOfFund, Func<trade, bool> buildPredicateOfOther)
|
|
{
|
|
var result = new TransactionScaleItem();
|
|
result.Stock = monthlyTradeList.Where(buildPredicateOfStock).Sum(O => O.StockEqvNotionalReal);
|
|
result.Index = monthlyTradeList.Where(buildPredicateOfIndex).Sum(O => O.StockEqvNotionalReal);
|
|
result.Fund = monthlyTradeList.Where(buildPredicateOfFund).Sum(O => O.StockEqvNotionalReal);
|
|
result.Other = monthlyTradeList.Where(buildPredicateOfOther).Sum(O => O.StockEqvNotionalReal);
|
|
|
|
return result;
|
|
}
|
|
|
|
private TransactionScaleItem getMonthlyCount(List<trade> monthlyTradeList, Func<trade, bool> buildPredicateOfStock, Func<trade, bool> buildPredicateOfIndex, Func<trade, bool> buildPredicateOfFund, Func<trade, bool> buildPredicateOfOther)
|
|
{
|
|
var result = new TransactionScaleItem();
|
|
result.Stock = monthlyTradeList.Where(buildPredicateOfStock).Count();
|
|
result.Index = monthlyTradeList.Where(buildPredicateOfIndex).Count();
|
|
result.Fund = monthlyTradeList.Where(buildPredicateOfFund).Count();
|
|
result.Other = monthlyTradeList.Where(buildPredicateOfOther).Count();
|
|
|
|
return result;
|
|
}
|
|
|
|
/// <summary>
|
|
/// MR009 - 场外商品衍生品交易月度盈亏情况统计表
|
|
/// </summary>
|
|
/// <param name="monthlyStart"></param>
|
|
/// <param name="monthlyEnd"></param>
|
|
/// <param name="preMonthlyEnd"></param>
|
|
/// <param name="yearPnlStart"></param>
|
|
/// <returns></returns>
|
|
private TransactionScalePnlInfoGroup getTransactionScalePnlInfo(DateTime monthlyStart, DateTime monthlyEnd, DateTime preMonthlyEnd, DateTime yearPnlStart, bool isCommodity)
|
|
{
|
|
var commoditys = new List<string> { InstrumentType.CommodityFutures, InstrumentType.CommoditySpot, InstrumentType.GoldFutures, InstrumentType.GoldSpot, InstrumentType.OtherFutures, InstrumentType.OtherSpot, InstrumentType.AbroadFutures, InstrumentType.AbroadSpot };
|
|
|
|
TransactionScalePnlInfoGroup result = new TransactionScalePnlInfoGroup();
|
|
|
|
var trades = isCommodity ? yldb.trade.Where(x => commoditys.Contains(x.UnderlyingInstrumentType)) : yldb.trade.Where(x => !commoditys.Contains(x.UnderlyingInstrumentType));
|
|
|
|
var hedgeRealizedQuery =
|
|
from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate <= monthlyEnd && ep.TradeId == 0 && t.ValidState != "InValid"
|
|
select new { ep.ValueDate, ep.TradeId, RealizedPnL = ep.ClosedPnL };
|
|
|
|
var optionRealizedQuery =
|
|
from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate <= monthlyEnd && ep.TradeId > 0 && t.ValidState != "InValid"
|
|
select new { ep.ValueDate, ep.TradeId, RealizedPnL = ep.ClosedPnL };
|
|
|
|
var allRealizedQuery =
|
|
from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate <= monthlyEnd && t.ValidState != "InValid"
|
|
select new { ep.ValueDate, ep.TradeId, RealizedPnL = ep.ClosedPnL };
|
|
|
|
result.Monthly.Hedge.RealizedPnl = hedgeRealizedQuery.Where(O => O.ValueDate >= monthlyStart).Sum(O => (double?)O.RealizedPnL) ?? 0;
|
|
result.Monthly.Option.RealizedPnl = optionRealizedQuery.Where(O => O.ValueDate >= monthlyStart).Sum(O => (double?)O.RealizedPnL) ?? 0;// + hedgeEndQuery.Sum(O => O) - hedgePreEndQuery.Sum(O => O));
|
|
result.Monthly.All.RealizedPnl = allRealizedQuery.Where(O => O.ValueDate >= monthlyStart).Sum(O => (double?)O.RealizedPnL) ?? 0;
|
|
|
|
result.Year.Hedge.RealizedPnl = hedgeRealizedQuery.Where(O => O.ValueDate >= yearPnlStart).Sum(O => (double?)O.RealizedPnL) ?? 0;
|
|
result.Year.Option.RealizedPnl = optionRealizedQuery.Where(O => O.ValueDate >= yearPnlStart).Sum(O => (double?)O.RealizedPnL) ?? 0;// + hedgeEndQuery.Sum(O => O) - hedgeYearPnlQuery.Sum(O => O));
|
|
result.Year.All.RealizedPnl = allRealizedQuery.Where(O => O.ValueDate >= monthlyStart).Sum(O => (double?)O.RealizedPnL) ?? 0;
|
|
|
|
var hedgeEndQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == monthlyEnd && ep.TradeId == 0 && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
var hedgePreQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == preMonthlyEnd && ep.TradeId == 0 && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
var hedgeYearStartQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == yearPnlStart && ep.TradeId == 0 && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
result.Monthly.Hedge.Pnl = hedgeEndQuery - hedgePreQuery;
|
|
result.Year.Hedge.Pnl = hedgeEndQuery - hedgeYearStartQuery;
|
|
|
|
var optionEndQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == monthlyEnd && ep.TradeId > 0 && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
var optionPreQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == preMonthlyEnd && ep.TradeId > 0 && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
var optionYearStartQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == yearPnlStart && ep.TradeId > 0 && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
result.Monthly.Option.Pnl = optionEndQuery - optionPreQuery;
|
|
result.Year.Option.Pnl = optionEndQuery - optionYearStartQuery;
|
|
|
|
var allEndQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == monthlyEnd && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
var allPreQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == preMonthlyEnd && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
var allYearStartQuery = (from ep in yldb.eod_trade_position
|
|
join t in trades
|
|
on ep.TradeId equals t.id
|
|
where ep.ValueDate == yearPnlStart && t.ValidState != "InValid"
|
|
select ep.PositionPnL
|
|
).Sum(O => (double?)O) ?? 0;
|
|
|
|
result.Monthly.All.Pnl = allEndQuery - allPreQuery;
|
|
result.Year.All.Pnl = allEndQuery - allYearStartQuery;
|
|
|
|
return result;
|
|
}
|
|
}
|
|
}
|