1167 lines
67 KiB
C#
1167 lines
67 KiB
C#
using BaseOUDAL;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Enums;
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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.SuperviseReportModule.CFMMC2022.Model;
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using static iTextSharp.text.pdf.AcroFields;
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namespace YLErp.Modules.SuperviseReportModule.CFMMC2022.Service
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{
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/// <summary>
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/// 日监管报告服务
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/// </summary>
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public class SuperviseReportTodayService : SuperviseReportBaseService
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{
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public SuperviseReportTodayService(SuperviseReportReq req, OptUserInfo userInfo) : base(req, userInfo)
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{
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}
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#region 新成交报送报表
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private SearchListResult<NewSuperviseReportTodayModel> NewReportQuery(SuperviseReportReq req)
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{
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var commodityList = new List<string> { ConsGlobal.InstrumentType.CommodityFutures, ConsGlobal.InstrumentType.CommoditySpot };
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var umQuery = DbContext.underlying_manager.AsQueryable();
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if (!string.IsNullOrWhiteSpace(req.sidx))
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{
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req.sidx = req.sidx.Replace("StartDateString", "StartDate");
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}
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else
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{
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req.sidx = "StartDate";
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req.sord = "desc";
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}
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req.sidx += ",OptDate";
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switch (req.DataSource)
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{
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case "权益":
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umQuery = umQuery.Where(O => !commodityList.Contains(O.UnderlyingInstrumentType));
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break;
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case "商品":
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umQuery = umQuery.Where(O => commodityList.Contains(O.UnderlyingInstrumentType));
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break;
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case "全量":
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default:
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break;
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}
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var action = new List<string>() {
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"系统操作-期权费",
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"系统操作-平仓费",
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"系统操作-行权费",
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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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var query = from tradeCash in (from tCash in DbContext.trade_cash where ((tCash.HappenedDate != null && tCash.HappenedDate == req.ValueDate) || (tCash.HappenedDate == null && tCash.ValueDate == req.ValueDate)) && (action.Contains(tCash.Action) || tCash.IsLastAction) && tCash.ValidState != ConsGlobal.InValid && !tCash.IsDeleted select tCash)
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join eodTrade in (from et in DbContext.eod_trade where et.ValueDate == req.ValueDate select et) on tradeCash.TradeId equals eodTrade.TradeId
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join trade in (from t in DbContext.trade where t.ValidState != "InValid" && (ConsTrade.TradeTypesForOtcOptions.Contains(t.TradeType) || t.TradeType == "远期" || t.TradeType == "收益互换" || t.IsGroup == 1) && t.IsGroup != 2 && t.TradeType != "场内期权" && t.TradeType != "现金流交易" select t) on tradeCash.TradeId equals trade.id
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join um in umQuery on trade.UnderlyingCode equals um.UnderlyingCode
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join er in (from tempEr in DbContext.eod_trade_risk where tempEr.ValueDate == req.ValueDate select tempEr) on tradeCash.TradeId equals er.TradeId into tempEr
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from er in tempEr.DefaultIfEmpty()
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join parentTrade in (from tr in DbContext.trade where tr.ValidState != "InValid" && tr.TradeType == "结构化交易" select tr) on trade.ParentTradeId equals parentTrade.id into parentTrades
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from tempParentTrade in parentTrades.DefaultIfEmpty()
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join eodPnl in (from ep in DbContext.eod_trade_position where ep.ValueDate == req.ValueDate select ep) on trade.id equals eodPnl.TradeId into eodP
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from tempEodPnl in eodP.DefaultIfEmpty()
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join tradeSpan in (from ts in DbContext.trade_span where ts.ValueDate == req.ValueDate select ts) on trade.id equals tradeSpan.TradeId into tradeS
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from tempTradeSpan in tradeS.DefaultIfEmpty()
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join credit in (from c in DbContext.credit where c.ProcessStatus == "已审批" && (!c.CreditDeadLine.HasValue || c.CreditDeadLine >= req.ValueDate) && (!c.CreditStartDate.HasValue || c.CreditStartDate <= req.ValueDate) select c) on trade.ClientId equals credit.ClientId into credits
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from tempCredit in credits.DefaultIfEmpty()
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join cPrice in DbContext.eod_commodity_future_price.Where(O => O.ValueDate == req.ValueDate) on trade.UnderlyingCode equals cPrice.UnderlyingCode into tempCPrice
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from cPrice in tempCPrice.DefaultIfEmpty()
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join sPrice in DbContext.eod_stock_price.Where(O => O.ValueDate == req.ValueDate) on trade.UnderlyingCode equals sPrice.UnderlyingCode into tempSPrice
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from sPrice in tempSPrice.DefaultIfEmpty()
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where !insidedClientIds.Contains(trade.ClientId)
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select new NewSuperviseReportTodayModel
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{
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GroupPercentTradeId = trade.IsGroup == 1 ? trade.id : 0,
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ParentTradeId = trade.ParentTradeId,
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TradeJson = eodTrade.TradeJson,
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OriginalTradeNumber = eodTrade == null ? trade.TradeNumber : eodTrade.TradeNumber,
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TradeCashId = tradeCash.id,
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ClientId = trade.ClientId,
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TradeDate = tradeCash.ValueDate,
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TradeType = (tradeCash.Action == "系统操作-行权费" || (trade.TradeType == "American" && tradeCash.IsLastAction)) ? "ED" : (tradeCash.Action == "系统操作-期权费" ? "NT" : (tradeCash.UnwindType != null && tradeCash.UnwindType.StartsWith("部分") && !tradeCash.IsLastAction ? "PU" : "FU")),
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TradeStatus = eodTrade.TradeStatus,
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ForeignCurrencyRate = null,
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SettlementMethod = "C",
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UnWindDate = tradeCash.ExerciseWay != "到期行权" && tradeCash.Action != "系统操作-期权费" ? (DateTime?)tradeCash.ValueDate : null,
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LastUnWindDate = tradeCash.Action == "系统操作-期权费" ? null : trade.UnWindDate,
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TradeId = trade.id,
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ContractCode = tempParentTrade != null ? tempParentTrade.TradeNumber : trade.TradeNumber,
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TradeNumber = tempParentTrade != null ? tempParentTrade.TradeNumber : trade.TradeNumber,
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PositionCode = tempParentTrade != null ? tempParentTrade.TradeNumber : trade.TradeNumber,
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OptionType = trade.OptionType,
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_delta = er != null ? er.Delta : 0,
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ProductType = tempParentTrade == null ? trade.TradeType : tempParentTrade.TradeType,
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StructureType = tempParentTrade == null ? trade.StructureType : tempParentTrade.StructureType,
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ClosedUnderlyingPrice = tradeCash.FinalPrice == null ? null : tradeCash.FinalPrice.Value.ToString(),//平仓或终止时的标的价格
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OptionProductStructure = eodTrade.TradeType,
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RoyaltyIncomeExpenditure = tradeCash.Amount,
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FinalPrice = tradeCash.FinalPrice,
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ExtendInfo = trade.ExtendInfo,
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UnwindPercentRate = tradeCash.UnwindPercentRate,
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TradeCashAmount = tradeCash.Amount,
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ValueDate = req.ValueDate,
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StartDate = trade.TradeDate,
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OptDate = tradeCash.OptDate,
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_price = cPrice != null ? cPrice.ClosePrice : sPrice.ClosePrice
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};
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query = query.OrderByDescending(O => O.TradeStatus).ThenBy(n => n.ContractCode).ThenBy(n => n.OriginalTradeNumber);
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var retListResult = query.ToSearchList(_req, true);
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var groupTradeList = retListResult.rows.Where(O => O.GroupPercentTradeId > 0);
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var tradeIds = groupTradeList.Select(O => O.GroupPercentTradeId).Distinct();
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var exInfoDict = (from t in DbContext.trade
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join tc in DbContext.trade_cash on t.id equals tc.TradeId
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join ts in DbContext.trade_span on new { TradeId = t.id, req.ValueDate } equals new { ts.TradeId, ts.ValueDate } into tempTs
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from ts in tempTs.DefaultIfEmpty()
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join ep in DbContext.eod_trade_position on new { TradeId = t.id, req.ValueDate } equals new { ep.TradeId, ep.ValueDate } into tempEp
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from ep in tempEp.DefaultIfEmpty()
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join er in DbContext.eod_trade_risk on new { TradeId = t.id, req.ValueDate } equals new { er.TradeId, er.ValueDate } into tempEr
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from er in tempEr.DefaultIfEmpty()
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join binaryOption in DbContext.trade_binary_option on t.id equals binaryOption.TradeId into tempBo
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from binaryOption in tempBo.DefaultIfEmpty()
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where
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tradeIds.Contains(t.ParentTradeId) && t.ValidState != "InValid" &&
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(ConsTrade.TradeTypesForOtcOptions.Contains(t.TradeType) || t.TradeType == "远期" || t.TradeType == "收益互换") &&
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t.TradeType != "场内期权" && t.TradeType != "现金流交易" &&
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((tc.HappenedDate != null && tc.HappenedDate == req.ValueDate) ||
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(tc.HappenedDate == null && tc.ValueDate == req.ValueDate)) &&
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(tc.Action == "系统操作-期权费") &&
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tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
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select new
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{
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t.ParentTradeId,
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er.Delta
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}).AsEnumerable()
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.GroupBy(O => O.ParentTradeId).ToDictionary(K => K.Key, V => V.ToList());
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foreach (var item in retListResult.rows)
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{
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if (exInfoDict.TryGetValue(item.GroupPercentTradeId, out var info))
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{
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item._delta = info.Sum(O => O.Delta);
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}
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}
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return retListResult;
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}
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public SearchListResult<NewSuperviseReportTodayModel> NewSearchReportList()
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{
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var retListResult = NewReportQuery(_req);
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using (var basedb = new ErpBaseContext())
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{
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var tcIdArr = retListResult.rows.Select(O => O.TradeCashId);
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var clientIdArr = retListResult.rows.Select(O => O.ClientId).ToHashSet();
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var assetTypeList = (from i in basedb.DictionaryItems join d in basedb.Dictionaries on i.DictId equals d.Id where d.Name == "资产类型" select i).ToList();
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var varietySuffixList = (from i in basedb.DictionaryItems join d in basedb.Dictionaries on i.DictId equals d.Id where d.Name == "标的资产后缀" select i).ToList();
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var varietyCodeList = (from i in basedb.DictionaryItems join d in basedb.Dictionaries on i.DictId equals d.Id where d.Name == "标的资产分类" select i).ToList();
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var clientMetaQuery = DbContextFactory.GetClientDbContext(UserInfo).ClientMeta.Where(O => clientIdArr.Contains(O.ClientId));
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var clientReportInfo = clientMetaQuery.Where(O => O.MetaKey == "ReportName").ToDictionary(K => K.ClientId, V => V.MetaValue);
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var tIdArr = retListResult.rows.Select(O => O.TradeId);
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var tpIdArr = retListResult.rows.Select(O => O.ParentTradeId);
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var tradeContractRInfo = DbContext.trade_contract_r.Where(O => (tIdArr.Contains(O.TradeId) || tpIdArr.Contains(O.TradeId)) && O.IsValid).ToList();
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var tcRinfos = tradeContractRInfo.Where(O => O.Type == ContractTypeEnum.Trade).Select(O => new { TradeId = O.TradeId, O.ContractCode }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().ContractCode);
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var tradeNumberInfo = tradeContractRInfo.Select(O => new { TradeCashId = (O.TradeCashId ?? 0), O.ContractCode }).GroupBy(O => O.TradeCashId).ToDictionary(K => K.Key, V => V.First().ContractCode);
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var tradeMetaList = DbContext.TradeMeta.Where(O => tIdArr.Contains(O.TradeId)).ToList();
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var iccInfo = tradeMetaList.Where(O => O.MetaKey == "中央对手方清算").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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var ccpInfo = tradeMetaList.Where(O => O.MetaKey == "中央清算平台").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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var tpInfo = tradeMetaList.Where(O => O.MetaKey == "交易平台").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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//敲入观察频率
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var kiObservatonRate = tradeMetaList.Where(O => O.MetaKey == "敲入观察周期").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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//敲出观察频率
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var koObservationRate = tradeMetaList.Where(O => O.MetaKey == "敲出观察周期").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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//远期 周期
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var getObservatonRate = tradeMetaList.Where(O => O.MetaKey == "收取周期").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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var payObservatonRate = tradeMetaList.Where(O => O.MetaKey == "支付周期").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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//外币汇率
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var exChangeRate = tradeMetaList.Where(O => O.MetaKey == "ExchangeRate").Select(O => new { TradeId = O.TradeId, O.MetaValue }).GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.First().MetaValue);
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var ptIdArr = retListResult.rows.Where(O => O.ParentTradeId != null).Select(O => O.ParentTradeId).ToHashSet();
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var ptInfos = DbContext.trade.Where(O => ptIdArr.Contains(O.id)).Select(O => new { O.id, O.TradeType, O.StructureType, O.TradeNumber }).ToDictionary(K => K.id, V => V);
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var tcRInfos = new Dictionary<int, string>();
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var tmInfos = new Dictionary<int, string>();
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var dealNoInfos = new Dictionary<string, string>();
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var tCashInfosList = new List<trade_cash>();
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switch (PS.Config.Company)
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{
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case Configuration.CompanyEnum.长江:
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tcRInfos = DbContext.trade_contract_r.Where(O => (tIdArr.Contains(O.TradeId) || ptIdArr.Contains(O.TradeId)) && O.Type == ContractTypeEnum.Trade && O.IsValid).Select(O => new { O.TradeId, O.ContractCode }).AsEnumerable().GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.FirstOrDefault().ContractCode);
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tmInfos = DbContext.TradeMeta.Where(O => (tIdArr.Contains(O.TradeId) || ptIdArr.Contains(O.TradeId)) && O.MetaKey == ConsTradeMetaKey.ContractCode).ToDictionary(K => K.TradeId, V => V.MetaValue);
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break;
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case Configuration.CompanyEnum.浙期:
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tmInfos = DbContext.TradeMeta.Where(O => (tIdArr.Contains(O.TradeId) || ptIdArr.Contains(O.TradeId)) && O.MetaKey == ConsTradeMetaKey.ContractCode).ToDictionary(K => K.TradeId, V => V.MetaValue);
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break;
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case Configuration.CompanyEnum.中粮:
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tCashInfosList = DbContext.trade_cash.Where(O => tIdArr.Contains(O.TradeId) && (O.Action == "系统操作-平仓费" || O.Action == "系统操作-行权费" || O.Action == "系统操作-票息") && O.ValidState != ConsGlobal.InValid && !O.IsDeleted).ToList();
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break;
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case Configuration.CompanyEnum.招证:
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dealNoInfos = DbContext.TradeMeta.Where(O => (tIdArr.Contains(O.TradeId) || ptIdArr.Contains(O.TradeId)) && O.MetaKey.StartsWith("期货报送成交编号")).ToDictionary(K => K.TradeId + K.MetaKey, V => V.MetaValue);
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break;
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case Configuration.CompanyEnum.物产中大:
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tmInfos = DbContext.TradeMeta.Where(O => (tIdArr.Contains(O.TradeId) || ptIdArr.Contains(O.TradeId)) && O.MetaKey == ConsTradeMetaKey.ContractCode).ToDictionary(K => K.TradeId, V => V.MetaValue);
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dealNoInfos = DbContext.TradeMeta.Where(O => (tIdArr.Contains(O.TradeId) || ptIdArr.Contains(O.TradeId)) && O.MetaKey.StartsWith("期货报送成交编号")).ToDictionary(K => K.TradeId + K.MetaKey, V => V.MetaValue);
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break;
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}
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try
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{
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BLL.tradeBLL.SetFieldsByTradeType(retListResult.rows.Select(o => o.trade));
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foreach (var item in retListResult.rows)
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{
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//累计期权并且 SettlementMode 是实物交割时赋值P
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if (item.TradeType == "累计期权" && item.trade.trade_accumulator_option.SettlementMode == "实物交割")
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{
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if (PS.Config.Company != Configuration.CompanyEnum.浙期)
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item.SettlementMethod = "P";
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}
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//交易确认书
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tcRinfos.TryGetValue(item.ParentTradeId > 0 ? item.ParentTradeId.Value : item.TradeId, out var tcValue);
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if (string.IsNullOrEmpty(tcValue))
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{
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tcRinfos.TryGetValue(item.TradeId, out var tcValue2);
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tcValue = tcValue2;
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}
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//成交编号
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tradeNumberInfo.TryGetValue(item.TradeCashId, out var tnValue);
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item.ContractCode = tnValue ?? tcValue ?? null;
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ptInfos.TryGetValue(item.ParentTradeId ?? 0, out var parentTrade);
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switch (PS.Config.Company)
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{
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case Configuration.CompanyEnum.长江:
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tcRInfos.TryGetValue(item.ParentTradeId ?? 0, out var pTcR);
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tcRInfos.TryGetValue(item.TradeId, out var tcR);
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tmInfos.TryGetValue(item.TradeId, out var tmValue);
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tmInfos.TryGetValue(item.ParentTradeId ?? 0, out var ptmValue);
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item.PositionCode = pTcR ?? tcR ?? ptmValue ?? tmValue ?? "";
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break;
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case Configuration.CompanyEnum.浙期:
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tmInfos.TryGetValue(item.TradeId, out tmValue);
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tmInfos.TryGetValue(item.ParentTradeId ?? 0, out ptmValue);
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item.PositionCode = ptmValue ?? tmValue ?? parentTrade?.TradeNumber ?? item.OriginalTradeNumber;
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item.OriginalTradeNumber = tmValue ?? item.OriginalTradeNumber;
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break;
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case Configuration.CompanyEnum.东吴:
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if (item.TradeType == "NT")
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{
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item.TradeNumber = item.PositionCode + "-O";
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}
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else
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{
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item.TradeNumber = item.PositionCode + "-C-"+item.ValueDate.ToString("yyyMMdd");
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}
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break;
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case Configuration.CompanyEnum.招证:
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if (item.TradeType == "NT")
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{
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item.TradeNumber = item.PositionCode;
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}
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else
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{
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var metaKeySuffix = "期货报送成交编号" + item.TradeCashId;
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dealNoInfos.TryGetValue(item.TradeId + metaKeySuffix, out tmValue);
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dealNoInfos.TryGetValue((item.ParentTradeId ?? 0) + metaKeySuffix, out ptmValue);
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item.TradeNumber = ptmValue ?? tmValue;
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}
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break;
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case Configuration.CompanyEnum.上期资本:
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trade_contract_r tCR = null;
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trade_contract_r tCR2 = null;
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//交易确认书编号
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tCR = tradeContractRInfo.FirstOrDefault(n => n.TradeId == item.TradeId && n.Type == "交易确认书");
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if (item.TradeType != "NT")
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{
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//结算确认书编号
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tCR2 = tradeContractRInfo.FirstOrDefault(n => n.TradeCashId == item.TradeCashId && (n.Type == "结算确认书" || n.Type == "提前终止确认书"));
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}
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if (tCR != null)
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{
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item.ContractCode = tCR.ContractCode;
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item.TradeNumber = tCR.ContractCode;
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item.PositionCode = tCR.ContractCode;
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if (tCR2 != null)
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{
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item.ContractCode = tCR2.ContractCode;
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item.TradeNumber = tCR2.ContractCode;
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}
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}
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else
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{
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item.ContractCode = null;
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item.TradeNumber = null;
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item.PositionCode = null;
|
|
}
|
|
break;
|
|
case Configuration.CompanyEnum.中粮:
|
|
//开仓交易的成交编号=持仓编号
|
|
if (item.TradeType == "NT")
|
|
{
|
|
item.TradeNumber = item.PositionCode;
|
|
}
|
|
//了结交易的成交编号=持仓编号+了结状态
|
|
else
|
|
{
|
|
var tcList = tCashInfosList.Where(n => n.TradeId == item.TradeId).OrderBy(n => n.id).ToList();
|
|
var curTC = tCashInfosList.FirstOrDefault(n => n.id == item.TradeCashId);
|
|
if (curTC != null)
|
|
{
|
|
|
|
if (curTC.Action.Contains("票息") && curTC.IsLastAction)
|
|
{
|
|
item.TradeNumber = item.PositionCode + "-E";
|
|
}
|
|
else if (curTC.Notional == curTC.UnwindNotional)
|
|
{
|
|
if (curTC.ExerciseWay == TradeCashExerciseWayEnum.到期行权)
|
|
{
|
|
item.TradeNumber = item.PositionCode + "-E";
|
|
}
|
|
else
|
|
{
|
|
item.TradeNumber = item.PositionCode + "-C";
|
|
}
|
|
}
|
|
else
|
|
{
|
|
int tcIndex = 1;
|
|
foreach (var tc in tcList)
|
|
{
|
|
if (tc.id == curTC.id)
|
|
{
|
|
break;
|
|
}
|
|
tcIndex++;
|
|
}
|
|
item.TradeNumber = item.PositionCode + "-P" + tcIndex;
|
|
}
|
|
}
|
|
}
|
|
break;
|
|
case Configuration.CompanyEnum.兴证:
|
|
item.PositionCode = item.trade.TradeNumber;
|
|
break;
|
|
case Configuration.CompanyEnum.物产中大:
|
|
tmInfos.TryGetValue(item.TradeId, out tmValue);
|
|
tmInfos.TryGetValue(item.ParentTradeId ?? 0, out ptmValue);
|
|
item.PositionCode = ptmValue ?? tmValue;
|
|
if (item.TradeType == "NT")
|
|
{
|
|
var metaKeySuffix = "期货报送成交编号";
|
|
dealNoInfos.TryGetValue(item.TradeId + metaKeySuffix, out tmValue);
|
|
dealNoInfos.TryGetValue((item.ParentTradeId ?? 0) + metaKeySuffix, out ptmValue);
|
|
item.TradeNumber = ptmValue ?? tmValue;
|
|
}
|
|
else
|
|
{
|
|
var metaKeySu = "期货报送成交编号" + item.TradeCashId;
|
|
dealNoInfos.TryGetValue(item.TradeId + metaKeySu, out tmValue);
|
|
dealNoInfos.TryGetValue((item.ParentTradeId ?? 0) + metaKeySu, out ptmValue);
|
|
item.TradeNumber = ptmValue ?? tmValue;
|
|
}
|
|
var trade_Contract_R_Number =DbContext.trade_contract_r_number.Where(l => l.TradeId == item.TradeId && l.TradeConfirmNumberType == "C").FirstOrDefault();
|
|
item.ContractCode = (trade_Contract_R_Number?.TradeConfirmNumber??"");
|
|
break;
|
|
case Configuration.CompanyEnum.弘业:
|
|
trade_contract_r tC = null;
|
|
if (item.TradeType != "NT")
|
|
{
|
|
//结算确认书编号
|
|
tC = tradeContractRInfo.FirstOrDefault(n => n.TradeCashId == item.TradeCashId && (n.Type == "结算确认书" || n.Type == "提前终止确认书"));
|
|
if (tC!=null)
|
|
{
|
|
item.ContractCode = tC.ContractCode;
|
|
item.TradeNumber = tC.ContractCode;
|
|
}
|
|
else
|
|
{
|
|
item.ContractCode = null;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (!string.IsNullOrEmpty(tcValue))
|
|
{
|
|
item.ContractCode = tcValue;
|
|
item.TradeNumber = tcValue;
|
|
}
|
|
else
|
|
{
|
|
item.ContractCode = null;
|
|
}
|
|
}
|
|
break;
|
|
default:
|
|
var defautPositionCode = parentTrade?.TradeNumber ?? item.OriginalTradeNumber;
|
|
if (defautPositionCode != null)
|
|
{
|
|
item.PositionCode = defautPositionCode;
|
|
}
|
|
break;
|
|
}
|
|
|
|
var um1 = UnderlyingDataProvider.GetUnderlying(item.trade.UnderlyingCode);
|
|
var variety = DataCacheProvider.GetVarietyDataSource().GetData(um1.UnderlyingTypeId);
|
|
exChangeRate.TryGetValue(item.TradeId, out var ecRate);
|
|
|
|
if (!string.IsNullOrEmpty(variety.QuoteCurrency) && variety.QuoteCurrency != "CNY")
|
|
{
|
|
if (!string.IsNullOrEmpty(ecRate))
|
|
item.ForeignCurrencyRate = double.Parse(ecRate);
|
|
|
|
item.QuoteCurrency = variety.QuoteCurrency;
|
|
|
|
if (item.QuoteCurrency != null && (item.QuoteCurrency.ToLower() == "usc" || item.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
if (item.ForeignCurrencyRate != null)
|
|
item.ForeignCurrencyRate = item.ForeignCurrencyRate;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
item.QuoteCurrency = "CNY";
|
|
}
|
|
|
|
FormatModel(item, assetTypeList, varietySuffixList, varietyCodeList, out var syntheticPrice);
|
|
|
|
if (item.TradeType != "NT")
|
|
{
|
|
//item.GuaranteedIncome = (item.trade.OriginalPrincipalSum ?? 0) * item.UnwindPercentRate;
|
|
item.DeltaCash = "";
|
|
}
|
|
|
|
var protocalTyp = "协议签署版本";
|
|
var protocalTypeList = (from i in basedb.DictionaryItems join d in basedb.Dictionaries on i.DictId equals d.Id where d.Name == protocalTyp select i).ToDictionary(K => K.Name, V => V.ShortName);
|
|
|
|
|
|
var client = DataCacheProvider.GetClientDataSource().GetData(item.ClientId);
|
|
if (client != null)
|
|
{
|
|
while (client.IsDocShowParentName == 1 && client.ParentId > 0)
|
|
{
|
|
client = DataCacheProvider.GetClientDataSource().GetData(client.ParentId) ?? throw new ServiceException($"{client.Name} 的所属机构不存在,请维护后生成!");
|
|
}
|
|
item.ClientName = clientReportInfo.TryGetValue(client.id, out var reportName) && !string.IsNullOrWhiteSpace(reportName) ? reportName : client.Name;
|
|
item.ClientLicenseCode = client.LicenseCode;
|
|
item.ProtocalType = (!string.IsNullOrWhiteSpace(client.ProtocolSignVersion) && protocalTypeList.TryGetValue(client.ProtocolSignVersion, out var value) ? value : "9");
|
|
item.ProtocolSignDate = item.VarietyType == "EQ" ? client.RightProtocolSignDate : client.ProtocolSignDate;
|
|
|
|
|
|
//获取交易对手方LEI
|
|
item.ClientLEI = client.LEICode;
|
|
}
|
|
|
|
//中央对手方清算
|
|
iccInfo.TryGetValue(item.TradeId, out var icc);
|
|
item.IsCentralClearingPlatform = icc ?? "N";
|
|
|
|
//是否中央对方清算“字段不是”Y“时,中央清算平台才赋值
|
|
if (item.IsCentralClearingPlatform == "Y")
|
|
{
|
|
ccpInfo.TryGetValue(item.TradeId, out var ccp);
|
|
item.CentralClearingPlatform = ccp ?? null;
|
|
}
|
|
|
|
if (item.TradeType == "NT")
|
|
{
|
|
item.LastUnWindDate = item.trade.SettlementDate ?? item.trade.ExerciseDate;
|
|
|
|
|
|
var actualExerciseDate = DbContext.TradeMeta.Where(a => a.TradeId == item.TradeId && a.MetaKey == "ActualExerciseDate").FirstOrDefault()?.MetaValue;
|
|
if (!string.IsNullOrEmpty(actualExerciseDate) && DateTime.TryParse(actualExerciseDate, out DateTime newActualExerciseDate))
|
|
{
|
|
item.EndDate = newActualExerciseDate;
|
|
}
|
|
|
|
|
|
|
|
}
|
|
else if (item.trade.TradeType == "累计期权")
|
|
{ item.LastUnWindDate = item.TradeDate; }
|
|
|
|
|
|
//交易平台
|
|
tpInfo.TryGetValue(item.TradeId, out var tp);
|
|
item.TradePlatform = tp ?? null;
|
|
|
|
if (item.ToolType == "FW" || item.ToolType == "SW")
|
|
{
|
|
item.OptionProductStructure = null;
|
|
}
|
|
var IsUSC = false;
|
|
//非黑箱交易时处理
|
|
if (string.IsNullOrEmpty(item.trade.ExtendInfo) || item.trade.TradeType == "自定义交易")
|
|
{
|
|
if (item.trade.TradeType != "远期" && item.trade.TradeType != "掉期")
|
|
{
|
|
//雪球、凤凰
|
|
if (item.OptionProductStructure == "SA" || item.OptionProductStructure == "GSA" || item.OptionProductStructure == "PA")
|
|
{
|
|
if (item.ObserveType == "DISCRETE")
|
|
{
|
|
//雪球、凤凰 观察频率
|
|
koObservationRate.TryGetValue(item.TradeId, out var observationRate);
|
|
formatObservationRate(item, observationRate);
|
|
}
|
|
|
|
#region 雪球凤凰 敲入观察判断是否到期观察
|
|
var isTerminal = false;
|
|
var observeStartDates = "";
|
|
if (item.OptionProductStructure == "PA")
|
|
{
|
|
observeStartDates = item.trade.trade_autocall?.ObservationDates;
|
|
}
|
|
else
|
|
{
|
|
observeStartDates = item.trade.trade_snowball?.ObservationDates;
|
|
}
|
|
if (!string.IsNullOrEmpty(observeStartDates))
|
|
{
|
|
var odArrs = observeStartDates.Split(';');
|
|
if (odArrs.Length > 0)
|
|
{
|
|
DateTime.TryParse(odArrs[0], out DateTime koOD);
|
|
if (koOD == item.EndDate.Value)
|
|
{
|
|
isTerminal = true;
|
|
}
|
|
}
|
|
}
|
|
#endregion
|
|
|
|
if (!isTerminal)
|
|
{
|
|
//雪球、凤凰敲入观察频率
|
|
kiObservatonRate.TryGetValue(item.TradeId, out var kiOR);
|
|
formatKiObservationRate(item, kiOR);
|
|
}
|
|
}
|
|
//累计期权
|
|
else if (item.OptionProductStructure == "AC")
|
|
{
|
|
if (item.ObserveType == "DISCRETE")
|
|
{
|
|
koObservationRate.TryGetValue(item.TradeId, out var observationRate);
|
|
formatObservationRate(item, observationRate);
|
|
}
|
|
|
|
}
|
|
else
|
|
{
|
|
|
|
//其他产品观察频率观察频率
|
|
if (item.ObserveType == "DISCRETE")
|
|
{
|
|
kiObservatonRate.TryGetValue(item.TradeId, out var observationRate);
|
|
formatObservationRate(item, observationRate);
|
|
}
|
|
|
|
}
|
|
}
|
|
|
|
//互换产品、掉期产品
|
|
if (item.ToolType == "SW")
|
|
{
|
|
getObservatonRate.TryGetValue(item.TradeId, out var getOR);
|
|
payObservatonRate.TryGetValue(item.TradeId, out var payOR);
|
|
formatSWObservationRate(item, getOR, payOR);
|
|
item.OptionProductStructure = null;
|
|
|
|
//当是互换、掉期时，计价单位是外币时，期初货币单位、执行价格货币单位需显示外币
|
|
if (item.QuoteCurrency != "CNY")
|
|
{
|
|
if (item.UnderlyingInitialPriceSymbol == "3")
|
|
{
|
|
if (item.QuoteCurrency != null && (item.QuoteCurrency.ToLower() == "usc" || item.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
IsUSC = true;
|
|
}
|
|
}
|
|
if (item.UnderlyingInitialPriceSymbol == "1")
|
|
{
|
|
if (item.QuoteCurrency != null && (item.QuoteCurrency.ToLower() == "usc" || item.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
IsUSC = true;
|
|
item.QuoteCurrency = "USD";
|
|
}
|
|
item.UnderlyingInitialPriceCurrency = item.UnderlyingInitialPriceCurrency.Replace("CNY", item.QuoteCurrency);
|
|
|
|
}
|
|
}
|
|
// 如遇货币单位为美分，如USD(cent)或USc，且价格符号为1或3时，以下涉及报送的字段需除以100
|
|
if (IsUSC)
|
|
{
|
|
item.UnderlyingInitialPrice = (Convert.ToDecimal(item.UnderlyingInitialPrice) / 100).ToString();
|
|
item.ClosedUnderlyingPrice = string.IsNullOrWhiteSpace(item.ClosedUnderlyingPrice) ? item.ClosedUnderlyingPrice : (Convert.ToDecimal(item.ClosedUnderlyingPrice) / 100).ToString();
|
|
}
|
|
|
|
item.StrikeSymbol = null;
|
|
item.StrikeCurrency = null;
|
|
item.Strike = null;
|
|
|
|
item.GuaranteedIncome = null;
|
|
item.GuaranteedIncomeCurrency = null;
|
|
item.GuaranteedIncomeSymbol = null;
|
|
|
|
}
|
|
else if (item.QuoteCurrency != "CNY")
|
|
{
|
|
if (item.QuoteCurrency != null && (item.QuoteCurrency.ToLower() == "usc" || item.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
IsUSC = true;
|
|
item.QuoteCurrency = "USD";
|
|
}
|
|
|
|
item.UnderlyingInitialPriceCurrency = string.IsNullOrEmpty(item.UnderlyingInitialPriceCurrency) ? null : item.UnderlyingInitialPriceCurrency.Replace("CNY", item.QuoteCurrency);
|
|
item.StrikeCurrency = string.IsNullOrEmpty(item.StrikeCurrency) ? null : item.StrikeCurrency.Replace("CNY", item.QuoteCurrency);
|
|
item.GuaranteedIncomeCurrency = string.IsNullOrEmpty(item.GuaranteedIncomeCurrency) ? null : item.GuaranteedIncomeCurrency.Replace("CNY", item.QuoteCurrency);
|
|
item.ExerciseBenefitsCurrency = string.IsNullOrEmpty(item.ExerciseBenefitsCurrency) ? null : item.ExerciseBenefitsCurrency.Replace("CNY", item.QuoteCurrency);
|
|
item.CompensationIncomeCurrency = string.IsNullOrEmpty(item.CompensationIncomeCurrency) ? null : item.CompensationIncomeCurrency.Replace("CNY", item.QuoteCurrency);
|
|
item.ForwardPriceCurrency = string.IsNullOrEmpty(item.ForwardPriceCurrency) ? null : item.ForwardPriceCurrency.Replace("CNY", item.QuoteCurrency);
|
|
}
|
|
|
|
if (item.TradeType == "ED")
|
|
{
|
|
item.UnWindDate = null;
|
|
}
|
|
|
|
if (item.UnderlyingInitialPriceSymbol == "3")
|
|
{
|
|
item.UnderlyingInitialPriceCurrency = null;
|
|
if (item.StrikeSymbol == "1")
|
|
{
|
|
item.StrikeSymbol = "3";
|
|
item.StrikeCurrency = null;
|
|
}
|
|
if (item.ForwardPriceSymbol == "1")
|
|
{
|
|
item.ForwardPriceSymbol = "3";
|
|
item.ForwardPriceCurrency = null;
|
|
}
|
|
}
|
|
// 如遇货币单位为美分，如USD(cent)或USc，且价格符号为1或3时，以下涉及报送的字段需除以100 标的期初价格、平仓或终止时的标的价格、执行价格1、执行价格2、执行价格3、障碍价1、障碍价2、远期价格
|
|
if (IsUSC && (item.UnderlyingInitialPriceSymbol == "1" || item.UnderlyingInitialPriceSymbol == "3"))
|
|
{
|
|
item.UnderlyingInitialPrice = (Convert.ToDecimal(item.UnderlyingInitialPrice) / 100).ToString();
|
|
item.ClosedUnderlyingPrice = string.IsNullOrWhiteSpace(item.ClosedUnderlyingPrice) ? item.ClosedUnderlyingPrice : (Convert.ToDecimal(item.ClosedUnderlyingPrice) / 100).ToString();
|
|
}
|
|
if (IsUSC && (item.StrikeSymbol == "1" || item.StrikeSymbol == "3"))
|
|
{
|
|
item.Strike /= 100;
|
|
item.Strike2 /= 100;
|
|
item.Strike3 /= 100;
|
|
item.BarriersPrice /= 100;
|
|
item.BarriersPrice2 /= 100;
|
|
}
|
|
if (IsUSC && (item.ForwardPriceSymbol == "1" || item.ForwardPriceSymbol == "3"))
|
|
{
|
|
item.ForwardPrice /= 100;
|
|
}
|
|
|
|
//雪球初始敲入时，”敲入障碍价“、”敲入观察期“字段为空
|
|
if (item.OptionProductStructure == "SA" || item.OptionProductStructure == "GSA")
|
|
{
|
|
|
|
if (item.trade.trade_snowball != null && item.trade.trade_snowball.IsInitialKnockedIn)
|
|
{
|
|
item.KnockInBarrierPrice = null;
|
|
item.KnockInObservationPeriod = null;
|
|
}
|
|
}
|
|
}
|
|
else
|
|
{
|
|
//当是黑箱时，计价单位是外币时，期初货币单位、执行价格货币单位需显示外币
|
|
if (item.QuoteCurrency != "CNY")
|
|
{
|
|
if (item.UnderlyingInitialPriceSymbol == "3")
|
|
{
|
|
if (item.QuoteCurrency != null && (item.QuoteCurrency.ToLower() == "usc" || item.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
IsUSC = true;
|
|
}
|
|
}
|
|
if (item.UnderlyingInitialPriceSymbol == "1")
|
|
{
|
|
if (item.QuoteCurrency != null && (item.QuoteCurrency.ToLower() == "usc" || item.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
IsUSC = true;
|
|
item.QuoteCurrency = "USD";
|
|
}
|
|
item.UnderlyingInitialPriceCurrency = item.UnderlyingInitialPriceCurrency.Replace("CNY", item.QuoteCurrency);
|
|
}
|
|
}
|
|
|
|
// 如遇货币单位为美分，如USD(cent)或USc，且价格符号为1或3时，以下涉及报送的字段需除以100 标的期初价格、平仓或终止时的标的价格、执行价格1、执行价格2、执行价格3、障碍价1、障碍价2、远期价格
|
|
if (IsUSC)
|
|
{
|
|
item.UnderlyingInitialPrice = (Convert.ToDecimal(item.UnderlyingInitialPrice) / 100).ToString();
|
|
item.ClosedUnderlyingPrice = string.IsNullOrWhiteSpace(item.ClosedUnderlyingPrice) ? item.ClosedUnderlyingPrice : (Convert.ToDecimal(item.ClosedUnderlyingPrice) / 100).ToString();
|
|
}
|
|
}
|
|
|
|
|
|
//成交数量
|
|
var tradeNum = item.trade.OriginalNotional;
|
|
if (item.GuaranteedIncomeSymbol == "1")
|
|
{
|
|
if (item.GuaranteedIncome != null)
|
|
{
|
|
item.GuaranteedIncome /= tradeNum;
|
|
}
|
|
}
|
|
//行权收益
|
|
if (item.ExerciseBenefitsSymbol == "1")
|
|
{
|
|
if (item.ExerciseBenefits != null)
|
|
{
|
|
item.ExerciseBenefits /= tradeNum;
|
|
}
|
|
|
|
if (item.ExerciseBenefits2 != null)
|
|
{
|
|
item.ExerciseBenefits2 /= tradeNum;
|
|
}
|
|
|
|
if (item.ExerciseBenefits3 != null)
|
|
{
|
|
item.ExerciseBenefits3 /= tradeNum;
|
|
}
|
|
}
|
|
//补偿收益
|
|
if (item.CompensationIncomeSymbol == "1")
|
|
{
|
|
if (item.CompensationIncome != null)
|
|
{
|
|
item.CompensationIncome /= tradeNum;
|
|
}
|
|
|
|
if (item.CompensationIncome2 != null)
|
|
{
|
|
item.CompensationIncome2 /= tradeNum;
|
|
}
|
|
}
|
|
//固定收益
|
|
if (item.FixedIncomeSymbol == "1")
|
|
{
|
|
if (item.FixedIncome != null)
|
|
{
|
|
item.FixedIncome /= tradeNum;
|
|
}
|
|
}
|
|
|
|
if (PS.Config.Is招证)
|
|
{
|
|
if (item.GuaranteedIncome == 0)
|
|
{
|
|
item.GuaranteedIncome = null;
|
|
item.GuaranteedIncomeCurrency = null;
|
|
item.GuaranteedIncomeSymbol = null;
|
|
}
|
|
}
|
|
|
|
}
|
|
}
|
|
catch (ServiceException ex)
|
|
{
|
|
LogFactory.GetLogger("NewSuperviseReportTodayService").Error(ex, "已知错误");
|
|
throw;
|
|
}
|
|
catch (Exception ex)
|
|
{
|
|
LogFactory.GetLogger("NewSuperviseReportTodayService").Error(ex, "未知错误");
|
|
throw;
|
|
}
|
|
}
|
|
return retListResult;
|
|
}
|
|
#endregion
|
|
|
|
/// <summary>
|
|
/// 凤凰雪球 敲入
|
|
/// </summary>
|
|
/// <param name="item"></param>
|
|
/// <param name="koOR"></param>
|
|
private void formatKiObservationRate(NewSuperviseReportTodayModel item, string kiOR = "")
|
|
{
|
|
string[] kiORArray;
|
|
string unitStr;
|
|
string unit;
|
|
string num;
|
|
//敲入观察频率
|
|
if (!string.IsNullOrEmpty(kiOR))
|
|
{
|
|
kiORArray = kiOR.Split('|');
|
|
if (kiORArray.Length == 2)
|
|
{
|
|
num = kiORArray[1].Replace("DAIL", "").Replace("WEEK", "").Replace("MNTH", "").Replace("YEAR", "");
|
|
unitStr = kiORArray[1].Replace(num, "");
|
|
|
|
item.KnockInObservationPeriod = unitStr;
|
|
}
|
|
else
|
|
{
|
|
num = kiOR.Substring(0, kiOR.Length - 1);
|
|
unit = kiOR.Substring(kiOR.Length - 1);
|
|
unitStr = getUnitStr(unit);
|
|
|
|
item.KnockInObservationPeriod = unitStr;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
num = "1";
|
|
unit = "D";
|
|
unitStr = getUnitStr(unit);
|
|
if (item.OptionProductStructure == "GSA")
|
|
{
|
|
unitStr = "";
|
|
}
|
|
item.KnockInObservationPeriod = unitStr;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// 观察频率
|
|
/// </summary>
|
|
/// <param name="item"></param>
|
|
/// <param name="observationRate"></param>
|
|
private void formatObservationRate(NewSuperviseReportTodayModel item, string observationRate = "")
|
|
{
|
|
string[] orArray;
|
|
string unitStr;
|
|
string unit;
|
|
string num;
|
|
if (!string.IsNullOrEmpty(observationRate))
|
|
{
|
|
orArray = observationRate.Split('|');
|
|
if (orArray.Length == 2)
|
|
{
|
|
|
|
if (orArray[1] == "OTHER")
|
|
{
|
|
item.ObservationPeriod = orArray[1];
|
|
}
|
|
else
|
|
{
|
|
num = orArray[1].Replace("DAIL", "").Replace("WEEK", "").Replace("MNTH", "").Replace("YEAR", "");
|
|
unitStr = orArray[1].Replace(num, "");
|
|
|
|
item.ObservationPeriod = unitStr;
|
|
item.ObservePeriodMultiplier = double.TryParse(num, out var temp) ? temp : double.NaN;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
num = observationRate.Substring(0, observationRate.Length - 1);
|
|
unit = observationRate.Substring(observationRate.Length - 1);
|
|
unitStr = getUnitStr(unit);
|
|
|
|
item.ObservationPeriod = unitStr;
|
|
item.ObservePeriodMultiplier = double.TryParse(num, out var temp) ? temp : double.NaN;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if ((item.OptionProductStructure != "SA" && item.OptionProductStructure != "GSA" && item.OptionProductStructure != "PA"))
|
|
{
|
|
if (item.ObserveType == "DISCRETE")
|
|
{
|
|
num = "1";
|
|
unit = "D";
|
|
unitStr = getUnitStr(unit);
|
|
|
|
item.ObservationPeriod = unitStr;
|
|
item.ObservePeriodMultiplier = double.Parse(num);
|
|
}
|
|
else if (item.trade.TradeType == "自定义交易")
|
|
{
|
|
item.ObservationPeriod = "OTHER";
|
|
}
|
|
}
|
|
else if (item.OptionProductStructure == "SA" || item.OptionProductStructure == "GSA" || item.OptionProductStructure == "PA")
|
|
{
|
|
num = "1";
|
|
unit = "M";
|
|
unitStr = getUnitStr(unit);
|
|
|
|
item.ObservationPeriod = unitStr;
|
|
item.ObservePeriodMultiplier = double.Parse(num);
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// 互换产品收取观察频率
|
|
/// </summary>
|
|
/// <param name="item"></param>
|
|
/// <param name="kiOR"></param>
|
|
/// <param name="koOR"></param>
|
|
private void formatSWObservationRate(NewSuperviseReportTodayModel item, string getOR = "", string payOR = "")
|
|
{
|
|
string num = "", unit = "", unitStr = "";
|
|
string[] getORArray;
|
|
string[] payORArray;
|
|
if (!string.IsNullOrEmpty(getOR) && getOR != "TERM")
|
|
{
|
|
getORArray = getOR.Split('|');
|
|
if (getORArray.Length == 2)
|
|
{
|
|
if (getORArray[1] == "OTHER" || getORArray[1] == "TERM")
|
|
{
|
|
unitStr = getORArray[1];
|
|
}
|
|
else
|
|
{
|
|
num = getORArray[1].Replace("DAIL", "").Replace("WEEK", "").Replace("MNTH", "").Replace("YEAR", "");
|
|
unitStr = getORArray[1].Replace(num, "");
|
|
}
|
|
}
|
|
else
|
|
{
|
|
num = getOR.Substring(0, getOR.Length - 1);
|
|
unit = getOR.Substring(getOR.Length - 1);
|
|
unitStr = getUnitStr(unit);
|
|
}
|
|
item.PaymentCycle = unitStr;
|
|
item.PaymentCycleMultiplier = double.TryParse(num, out var temp) ? temp : double.NaN;
|
|
}
|
|
else if (!string.IsNullOrEmpty(payOR) && payOR != "TERM")
|
|
{
|
|
|
|
payORArray = payOR.Split('|');
|
|
if (payORArray.Length == 2)
|
|
{
|
|
if (payORArray[1] == "OTHER" || payORArray[1] == "TERM")
|
|
{
|
|
unitStr = payORArray[1];
|
|
}
|
|
else
|
|
{
|
|
num = payORArray[1].Replace("DAIL", "").Replace("WEEK", "").Replace("MNTH", "").Replace("YEAR", "");
|
|
unitStr = payORArray[1].Replace(num, "");
|
|
}
|
|
}
|
|
else
|
|
{
|
|
num = payOR.Substring(0, payOR.Length - 1);
|
|
unit = payOR.Substring(payOR.Length - 1);
|
|
unitStr = getUnitStr(unit);
|
|
}
|
|
item.PaymentCycle = unitStr;
|
|
item.PaymentCycleMultiplier = double.TryParse(num, out var temp) ? temp : double.NaN;
|
|
}
|
|
else
|
|
{
|
|
//互换产品未选支付周期，默认TERM
|
|
item.PaymentCycle = "TERM";
|
|
}
|
|
}
|
|
|
|
private string getUnitStr(string inputVal)
|
|
{
|
|
switch (inputVal)
|
|
{
|
|
case "D": return "DAIL";
|
|
case "W": return "WEEK";
|
|
case "M": return "MNTH";
|
|
case "Y": return "YEAR";
|
|
default: return "Other";
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
/// <param name="model"></param>
|
|
/// <param name="assetTypes">资产类型</param>
|
|
/// <param name="varietySuffixs">标的资产品种后缀和标的资产对应合约后缀</param>
|
|
/// <param name="syntheticPrice">组合标的价格</param>
|
|
/// <exception cref="ServiceException">EodTrade不存在时抛出</exception>
|
|
protected override void FormatModel(SuperviseReportBaseModel model, List<DictionaryItem> assetTypes, List<DictionaryItem> varietySuffixs, List<DictionaryItem> varietyCodeList, out SyntheticPriceModel syntheticPrice)
|
|
{
|
|
NewSuperviseReportTodayModel obj = (NewSuperviseReportTodayModel)model;
|
|
obj.StartDate = obj.trade.TradeDate;
|
|
obj.EndDate = obj.trade.ExerciseDate;
|
|
obj.ExerciseDate = obj.trade.ExerciseDate;
|
|
|
|
base.FormatModel(obj, assetTypes, varietySuffixs, varietyCodeList, out syntheticPrice);
|
|
double eqv = 0, endEqv = 0;
|
|
var annualizeFactor = obj.trade.IsAnnualized ? obj.trade.AnnualizeFactor : 1;
|
|
|
|
//组合标的
|
|
if (syntheticPrice != null && syntheticPrice.SuList.Count() > 0)
|
|
{
|
|
var underlyingPrices = syntheticPrice.SuList.ToArray();
|
|
var arrSEN = new string[underlyingPrices.Length];
|
|
var arrAmount = new string[underlyingPrices.Length];
|
|
var arrEndAmount = new string[underlyingPrices.Length];
|
|
var arrEndSEN = new string[underlyingPrices.Length];
|
|
var arrUnderlyingInitialPrice = new string[underlyingPrices.Length];
|
|
var arrUnderlyingInitialPriceCurrency = new string[underlyingPrices.Length];
|
|
//组合标的 平仓或终止时的标的价格
|
|
var arrClosedUnderlyingPrice = new string[underlyingPrices.Length];
|
|
double sumArrClosedUnderlyingPrice = 0;
|
|
var notional = obj.trade.OriginalNotional;
|
|
if (PS.Config.Is广期资本 && "自定义交易".Equals(obj.trade.TradeType) && obj.trade.Propertys != null && obj.trade.Propertys.Any(d => "总数量".Equals(d.name)))
|
|
{
|
|
double totalCount = 0;
|
|
if (double.TryParse(obj.trade.Propertys.First(d => "总数量".Equals(d.name)).value, out totalCount))
|
|
{
|
|
notional = totalCount * obj.trade.CountRatio ?? 1;
|
|
}
|
|
}
|
|
for (var i = 0; i < underlyingPrices.Length; i++)
|
|
{
|
|
var originalStockEqvNotional = (underlyingPrices[i].Price * notional / annualizeFactor / obj.trade.ParticipationRate * underlyingPrices[i].Coefficient) ?? 0;
|
|
eqv = formatEndStockEqvNotionalReal(originalStockEqvNotional, 1);
|
|
endEqv = formatEndStockEqvNotionalReal(eqv, ((obj.TradeType == "NT" || obj.TradeType == "MD") ? 1 : (obj.UnwindPercentRate ?? 0)));
|
|
|
|
|
|
arrSEN[i] = (obj.ForeignCurrencyRate != null ? eqv * obj.ForeignCurrencyRate : eqv).ToString();
|
|
arrEndSEN[i] = (obj.ForeignCurrencyRate != null ? endEqv * obj.ForeignCurrencyRate : endEqv).ToString();
|
|
|
|
var um1 = UnderlyingDataProvider.GetUnderlying(underlyingPrices[i].UnderlyingCode);
|
|
var variety = DataCacheProvider.GetVarietyDataSource().GetData(um1.UnderlyingTypeId);
|
|
if (variety.QuoteCurrency != null && (variety.QuoteCurrency.ToLower() == "usc" || variety.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
arrSEN[i] = (obj.ForeignCurrencyRate != null ? eqv * obj.ForeignCurrencyRate / 100 : eqv).ToString();
|
|
arrEndSEN[i] = (obj.ForeignCurrencyRate != null ? endEqv * obj.ForeignCurrencyRate / 100 : endEqv).ToString();
|
|
}
|
|
|
|
arrAmount[i] = formatTradeAmount(eqv / underlyingPrices[i].Price);
|
|
arrEndAmount[i] = formatTradeAmount(endEqv / underlyingPrices[i].Price);
|
|
arrUnderlyingInitialPrice[i] = underlyingPrices[i].Price.ToString();
|
|
arrUnderlyingInitialPriceCurrency[i] = string.IsNullOrEmpty(variety.QuoteCurrency) ? "CNY" : variety.QuoteCurrency;
|
|
|
|
//多标的，平仓或终止时的标的价格需和标的物数量一致
|
|
if (obj.TradeType == "PU" || obj.TradeType == "FU" || obj.TradeType == "ED")
|
|
{
|
|
if (i + 1 == underlyingPrices.Length)
|
|
{
|
|
//最后一个标的物需减去前n个的价格后除以当前标的物的系数
|
|
arrClosedUnderlyingPrice[i] = (((obj.FinalPrice ?? 0) - sumArrClosedUnderlyingPrice) / underlyingPrices[i].Coefficient).ToString();
|
|
}
|
|
else
|
|
{
|
|
//前n-1个标的物取当日收盘价
|
|
sumArrClosedUnderlyingPrice += _priceProvider.GetPrice(underlyingPrices[i].UnderlyingCode) * underlyingPrices[i].Coefficient;
|
|
arrClosedUnderlyingPrice[i] = _priceProvider.GetPrice(underlyingPrices[i].UnderlyingCode).ToString();
|
|
}
|
|
}
|
|
}
|
|
|
|
|
|
//初始名义金额
|
|
obj.InitialNominalAmount = string.Join(base._separator, arrSEN);
|
|
|
|
//初始名义数量
|
|
obj.InitialNominalNumber = string.Join(base._separator, arrAmount);
|
|
|
|
//交易名义金额
|
|
obj.NominalTransactionAmount = string.Join(base._separator, arrEndSEN);
|
|
//交易名义数量
|
|
obj.NominalTransactionNumber = string.Join(base._separator, arrEndAmount);
|
|
|
|
//组合标的价格
|
|
obj.UnderlyingInitialPrice = string.Join(base._separator, arrUnderlyingInitialPrice);
|
|
obj.UnderlyingInitialPriceCurrency = string.Join(base._separator, arrUnderlyingInitialPriceCurrency);
|
|
|
|
//平仓或终止时的标的价格
|
|
if (obj.TradeType == "PU" || obj.TradeType == "FU" || obj.TradeType == "ED")
|
|
{
|
|
obj.ClosedUnderlyingPrice = string.Join(base._separator, arrClosedUnderlyingPrice);
|
|
}
|
|
else
|
|
{
|
|
obj.ClosedUnderlyingPrice = null;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
var notional = obj.trade.OriginalNotional;
|
|
if (PS.Config.Is广期资本 && "自定义交易".Equals(obj.trade.TradeType) && obj.trade.Propertys != null && obj.trade.Propertys.Any(d => "总数量".Equals(d.name)))
|
|
{
|
|
double totalCount = 0;
|
|
if (double.TryParse(obj.trade.Propertys.First(d => "总数量".Equals(d.name)).value, out totalCount))
|
|
{
|
|
notional = totalCount * obj.trade.CountRatio ?? 1;
|
|
obj.trade.OriginalStockEqvNotional = (obj.trade.SpotPrice * notional / annualizeFactor / obj.trade.ParticipationRate);
|
|
}
|
|
}
|
|
var originalStockEqvNotional = (obj.trade.OriginalStockEqvNotional == 0 ? (obj.trade.SpotPrice * notional / annualizeFactor / obj.trade.ParticipationRate) : obj.trade.OriginalStockEqvNotional) ?? 0;
|
|
eqv = formatEndStockEqvNotionalReal(originalStockEqvNotional, 1);
|
|
endEqv = formatEndStockEqvNotionalReal(eqv, ((obj.TradeType == "NT" || obj.TradeType == "MD") ? 1 : (obj.UnwindPercentRate ?? 0)));
|
|
|
|
//初始名义金额
|
|
obj.InitialNominalAmount = (obj.ForeignCurrencyRate != null ? eqv * obj.ForeignCurrencyRate : eqv).ToString();
|
|
|
|
//交易名义金额
|
|
obj.NominalTransactionAmount = (obj.ForeignCurrencyRate != null ? endEqv * obj.ForeignCurrencyRate : endEqv).ToString();
|
|
|
|
if (obj.QuoteCurrency != null && (obj.QuoteCurrency.ToLower() == "usc" || obj.QuoteCurrency.ToLower() == "usd(cent)"))
|
|
{
|
|
obj.InitialNominalAmount = (obj.ForeignCurrencyRate != null ? eqv * obj.ForeignCurrencyRate / 100 : eqv).ToString();
|
|
obj.NominalTransactionAmount = (obj.ForeignCurrencyRate != null ? endEqv * obj.ForeignCurrencyRate / 100 : endEqv).ToString();
|
|
}
|
|
|
|
//初始名义数量
|
|
obj.InitialNominalNumber = formatTradeAmount(eqv / obj.trade.SpotPrice).ToString();
|
|
|
|
|
|
|
|
//交易名义数量
|
|
obj.NominalTransactionNumber = formatTradeAmount(endEqv / obj.trade.SpotPrice).ToString();
|
|
|
|
//平仓或终止时的标的价格
|
|
if (obj.TradeType == "NT")
|
|
{
|
|
obj.ClosedUnderlyingPrice = null;
|
|
}
|
|
}
|
|
|
|
|
|
|
|
if (obj.OptionProductStructure == "DI" || obj.OptionProductStructure == "RA")
|
|
{
|
|
if (obj.TradeType != "NT")
|
|
{
|
|
if (string.IsNullOrEmpty(obj.trade.ExtendInfo))
|
|
{
|
|
obj.ExerciseBenefits = obj.TradeCashAmount;
|
|
obj.ExerciseBenefitsSymbol = "1";
|
|
obj.ExerciseBenefitsCurrency = "CNY";
|
|
if (obj.Strike2 > 0)
|
|
{
|
|
obj.ExerciseBenefits2 = obj.TradeCashAmount;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
}
|
|
}
|
|
}
|