345 lines
15 KiB
C#
345 lines
15 KiB
C#
using BaseOUDAL;
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using MathNet.Numerics;
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using System.Linq.Dynamic.Core;
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using YLErp.Commons;
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using YLErp.Model;
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using YLErp.Modules.DataProviderModule;
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namespace YLErp.Modules.SuperviseReportModule.ChangJiangReport.Service
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{
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public class SuperviseReportPositionService : YLBaseService
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{
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public SuperviseReportPositionService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public SuperviseReportPositionService(YLBaseService baseService) : base(baseService)
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{
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}
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/// <summary>
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/// 从数据库中查询场外业务持仓信息
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/// <para>长江数据采集用</para>
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/// </summary>
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public SearchListResult<SupervisePositionDbModel> SearchSuperviseReportList(SuperviseReportReq req)
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{
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if (string.IsNullOrWhiteSpace(req.sidx)) { req.sidx = nameof(SupervisePositionDbModel.id); }
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var query = from db in DbContext.SuperviseReportPosition
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where db.ValueDate == req.ValueDate
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select db;
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switch (req.DataSource)
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{
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case "不为零":
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query = query.Where(O => !(O.DeltaCash == 0 && O.GammaCash == 0 && O.HoldCash == 0 && O.PositionPnl == 0 && O.StockEqvNotional == 0 && O.TradePrice == 0));
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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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return query.ToSearchList(req);
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}
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/// <summary>
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/// 保存场外业务持仓信息到数据库
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/// <para>长江数据采集用</para>
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/// </summary>
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/// <param name="valueDate">数据日期</param>
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public int SaveReportData(DateTime valueDate, string exposureDataSourceType = null, bool clearExsitings = false)
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{
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var models = DbContext.SuperviseReportPosition.Where(a => a.ValueDate == valueDate);
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if (models.Any())
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{
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if (!clearExsitings)
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{
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return 0;
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}
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SupervisePositionDbModel t;
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DbContext.BulkDelete<SupervisePositionDbModel>($"{nameof(t.ValueDate)}='{valueDate:yyyy-MM-dd}'");
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}
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IQueryable<EodTradeRisk> tRisk;
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var useClosePrice = true;
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switch (exposureDataSourceType)
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{
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default:
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tRisk = DbContext.eod_trade_risk_hedgevol;
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break;
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case "收盘价+持仓波动率":
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tRisk = DbContext.eod_trade_risk;
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break;
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case "结算价+持仓波动率":
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useClosePrice = false;
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tRisk = DbContext.eod_trade_risk_s;
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break;
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case "结算价+对冲波动率":
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useClosePrice = false;
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tRisk = DbContext.eod_trade_risk_hedgevol_s;
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break;
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}
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//长江-依文文2022-04-20 提出需要排除新基差簿记的交易;
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var bookIds = DbContext.assetunit.Where(O => O.Name.Contains("新基差")).Select(O => O.id);
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var query = from position in DbContext.eod_trade_position
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join risk in tRisk
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on new
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{
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position.ValueDate,
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HedgeUniqueCode = position.HedgeUniqueCode + "_" + position.TradeId,
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} equals new
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{
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risk.ValueDate,
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HedgeUniqueCode = risk.HedgeUniqueCode + "_" + risk.TradeId,
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} into tempRisk
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from risk in tempRisk.DefaultIfEmpty()
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join trade in DbContext.eod_trade
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on new
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{
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position.ValueDate,
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position.TradeId
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} equals new
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{
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trade.ValueDate,
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trade.TradeId
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} into tempTrade
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from trade in tempTrade.DefaultIfEmpty()
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where position.ValueDate == valueDate && position.TradeType != "现金流交易" && !bookIds.Contains(position.BookId)
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select new
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{
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risk,
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position.Pv,
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position.Cost,
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position.Amount,
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position.BuySell,
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position.TradeType,
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position.PositionPnL,
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position.PositionType,
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position.UnderlyingCode,
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position.ExchangeOptionCode,
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eodTrade = trade,
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};
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var objs = new List<SupervisePositionDbModel>();
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var positionTypes = new List<string>() { "卖出", "多头平仓", "空头开仓" };
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var tradeTypes = new List<string>() { "远期", "收益互换" };
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var priceProvider = new EodPriceProvider(valueDate, isDiviendPrice: false);
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foreach (var item in query)
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{
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var trade = item.eodTrade?.trade;
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var variety = DataCacheProvider.GetVariety(item.UnderlyingCode);
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var obj = new SupervisePositionDbModel();
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obj.ValueDate = valueDate;
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if (trade == null || ConsTrade.TradeTypesForHedge.Contains(trade.TradeType))
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{
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obj.Trade_Number = "";
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priceProvider.TryGetEodPrice(item.UnderlyingCode, out var eodPrice);
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var price = eodPrice?.GetPrice(SettlementTypeEnum.SettlePrice) ?? 0;
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obj.StockEqvNotional = Math.Abs(price * item.Amount);
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obj.BusinessType = "场外期权成交自主对冲";
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obj.TradeType = item.TradeType;
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obj.ClientName = variety.TradingMarket;
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obj.DeltaCash = item.risk?.DeltaCash ?? 0;
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if (item.TradeType == "场内期权")
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{
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var exchangeOptionInfo = DataCacheProvider.GetExchangeListOptionDataSource().GetData(item.ExchangeOptionCode);//ExchangeOptionCode场内标的
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obj.StockEqvNotional = Math.Abs(exchangeOptionInfo.Strike * item.Amount);
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if (positionTypes.Contains(item.BuySell))
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{
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obj.BuySell = "卖出";
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obj.HoldCash = obj.StockEqvNotional * variety.Margin ?? 0;
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}
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else
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{
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obj.BuySell = "买入";
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obj.HoldCash = 0;
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}
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obj.TradePrice = -item.Cost;
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}
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else
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{
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obj.HoldCash = obj.StockEqvNotional * variety.Margin ?? 0;
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obj.Amount = Math.Abs(item.Amount);
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if (useClosePrice)
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{
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price = eodPrice?.GetPrice(SettlementTypeEnum.ClosePrice) ?? 0; ;
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}
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obj.DeltaCash = item.Amount * price;
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if (item.PositionType == "long")
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{
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obj.BuySell = "买入";
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}
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else
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{
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obj.BuySell = "卖出";
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}
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obj.isFutures = true;
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}
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}
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else
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{
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if (!ConsTrade.LiveTradeStatusList.Contains(trade.TradeStatus))
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{
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continue;
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}
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var type = (trade.Comments?.Trim().FirstOrDefault() ?? '0').ToString();
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//1.套利和通道业务
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//2.场外期权成交自主对冲
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//3.商业类和政策类保险 + 期货
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//4.交易所项目；
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//5.融资业务
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switch (type)
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{
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case "1":
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obj.BusinessType = "套利业务";
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break;
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case "3":
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obj.BusinessType = "商业类和政策类保险 + 期货";
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break;
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case "4":
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obj.BusinessType = "交易所项目";
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break;
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case "5":
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obj.BusinessType = "其他业务";
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break;
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case "2":
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default:
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obj.BusinessType = "场外期权成交自主对冲";
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break;
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}
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obj.Trade_Number = trade.TradeNumber;
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obj.ClientName = trade.ClientName;
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obj.BuySell = trade.BuySell;
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if (tradeTypes.Contains(trade.TradeType))
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{
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obj.TradeType = trade.StructureType ?? trade.TradeType;
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}
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else
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{
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obj.TradeType = trade.ExerciseModeCn + trade.OptionType;
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}
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var strike = (trade.IsMoneynessOptionData ? (trade.Strike * trade.SpotPrice) : trade.Strike) ?? 0;
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if (trade.TradeType == "收益互换")
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{
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strike = trade.SpotPrice ?? 0;
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}
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obj.StockEqvNotional = strike * trade.Notional;
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obj.TradeId = trade.id;
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obj.TradePrice = (trade.TradePrice * (trade.StockEqvNotional / trade.OriginalStockEqvNotional) * (trade.BuySell == "买入" ? -1 : 1)) ?? 0;
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obj.DeltaCash = item.risk?.DeltaCash ?? 0;
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}
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obj.Project = $"{variety.VarietyName}{obj.BusinessType}";
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obj.VarietyCode = variety.VarietyCode;
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obj.UnderlyingCode = item.UnderlyingCode;
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obj.PositionPnl = item.PositionPnL;
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obj.GammaCash = item.risk?.GammaCash ?? 0;
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obj.ExchangeOptionCode = item.ExchangeOptionCode;
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objs.Add(obj);
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}
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var listGroup = objs.GroupBy(O => $"{O.Project}_{O.ClientName}_{O.BuySell}_{O.TradeType}_{O.ExchangeOptionCode ?? O.UnderlyingCode}_{O.TradeId}")
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.ToDictionary(K => K.Key);
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var futureAmountInfos = new Dictionary<string, SupervisePositionDbModel>();
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var dict =
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objs.GroupBy(O => $"{O.Project}_{O.ClientName}_{O.BuySell}_{O.TradeType}_{O.ExchangeOptionCode ?? O.UnderlyingCode}_{O.TradeId}")
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.ToDictionary(K => K.Key,
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V =>
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{
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var obj = V.First();
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var i = 0;
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V.ToList().ForEach(O =>
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{
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i++;
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if (i == 1)
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{ return; }
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obj.StockEqvNotional += O.StockEqvNotional;
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obj.TradePrice += O.TradePrice;
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obj.PositionPnl += O.PositionPnl;
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if (O.isFutures)
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{
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obj.HoldCash += O.HoldCash;
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obj.Amount += O.Amount;
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}
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else if (O.TradeType == "场内期权")
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{
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obj.HoldCash += O.HoldCash;
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}
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obj.DeltaCash += O.DeltaCash;
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obj.GammaCash += O.GammaCash;
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});
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if (obj.isFutures)
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{
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if (!futureAmountInfos.ContainsKey(obj.UnderlyingCode))
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{
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futureAmountInfos[obj.UnderlyingCode] = obj;
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return obj;
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}
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if (futureAmountInfos[obj.UnderlyingCode].Amount > obj.Amount)
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{
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obj.HoldCash = 0;
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}
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else
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{
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futureAmountInfos[obj.UnderlyingCode].HoldCash = 0;
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}
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}
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obj.HoldCash = OtcFormatHelper.FormatValue(obj.HoldCash, 6);
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obj.TradePrice = OtcFormatHelper.FormatValue(obj.TradePrice, 6);
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obj.StockEqvNotional = OtcFormatHelper.FormatValue(obj.StockEqvNotional, 6);
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obj.PositionPnl = OtcFormatHelper.FormatValue(obj.PositionPnl, 6);
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obj.DeltaCash = OtcFormatHelper.FormatValue(obj.DeltaCash, 6);
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obj.GammaCash = OtcFormatHelper.FormatValue(obj.GammaCash, 6);
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return obj;
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});
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var list = dict.Values.OrderBy(O => $"{O.Project}_{O.ClientName}_{O.BuySell}_{O.TradeType}_{O.ExchangeOptionCode ?? O.UnderlyingCode}_{O.TradeId}").ToList();
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if (list.Any())
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{
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DbContext.SuperviseReportPosition.AddRange(list);
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return DbContext.SaveChanges();
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}
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return 0;
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}
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public void BatchSupervisePosition(List<int> Ids, DateTime ValueDate, bool IsAll, string Type)
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{
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var predicate = PredicateBuilder.True<SupervisePositionDbModel>().And(a => a.ValueDate == ValueDate);
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if (!IsAll)//非全选
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{
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predicate = predicate.And(a => Ids.Contains(a.id));
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}
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var clietnCashs = db.SuperviseReportPosition.Where(predicate);
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if (clietnCashs.Any())
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{
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if (Type == "update")//更新确认状态
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{
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foreach (var item in clietnCashs)
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{
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item.Status = true;
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}
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}
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else
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{
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db.SuperviseReportPosition.RemoveRange(clietnCashs);
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}
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}
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else
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{
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throw new ServiceException("没有数据进行批量操作");
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}
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db.SaveChanges();
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}
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}
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}
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}
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