866 lines
34 KiB
C#
866 lines
34 KiB
C#
using System.Data;
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using System.Linq.Expressions;
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using YLErp.BLL;
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using YLErp.Configuration;
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using YLErp.DBModels.Enums;
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using YLErp.Models;
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using YLErp.Modules.DataProviderModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeRiskCalcModule
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{
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/// <summary>
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///
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/// </summary>
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public class TradingRiskReqService : YLBaseService
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{
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public TradingRiskReqService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 获取实时风险计算结果
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/// </summary>
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/// <param name="req">筛选条件</param>
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public TradingRiskResult GetResult(TradingRiskReqModel req)
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{
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req ??= new TradingRiskReqModel();
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if (string.IsNullOrWhiteSpace(req.VolType))
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{
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req.VolType = "对冲";
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}
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if (PS.Config.Company == CompanyEnum.国元固收 && req.DividendRateType == "采集")
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{
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req.VolType = "交易曲面分红率0";
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}
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var calcResult = TradeRiskCalcTaskRunner.GetCalcResult(req.VolType);
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if (calcResult == null)
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{
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return null;
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}
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if (!req.ForceUpdate && req.CalcStartTime.Year > 2000 && (calcResult.CalcStartTime - req.CalcStartTime).TotalSeconds < 1)
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{
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return new TradingRiskResult
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{
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Message = "#same",
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CalcStartTime = calcResult.CalcStartTime,
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CalcEndTime = calcResult.CalcEndTime
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};
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}
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//风险对冲累积总盈亏是否统计已过期的场内交易
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TradePnlStaticsDataProvider.Default.IncludeExchangeTrades = PS.Config.ErpElement.RiskAccPnl_SumExpiredExchangeTrades;
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var result = GroupingResults(calcResult, req);
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//场内期权使用市场行情价格
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if (!PS.Config.Is光大光子 && req.UseMarketForExOptions)
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{
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SetExOptionMarketValue(result.TradeRiskList);
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}
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if (req.IsMainList)
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{
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foreach (var item in result.TradeRiskList)
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{
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if (item.viewList == null)
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{
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continue;
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}
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if (req.CalcDeltaRisk)
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{
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item.Notionals = new double[2];
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foreach (var n in item.viewList)
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{
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if (!ConsTrade.TradeTypesForHedge.Contains(n.TradeType))
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{
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item.Notionals[0] += n.Notional;
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item.Notionals[1] += n.BuySell == "买入" ? n.Notional : -n.Notional;
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}
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}
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}
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#region 计算gamm定制
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if (PS.Config.Company == CompanyEnum.国贸启润)
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{
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var gammaCustom = 0D;
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foreach (var n in item.viewList)
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{
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var vol = 0D;
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switch (req.VolType)
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{
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case "对冲":
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vol = n.TradeSavedVol ?? 0;
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break;
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case "持仓":
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default:
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vol = n.Vol;
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break;
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}
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gammaCustom += (-0.5) * n.Gamma * Math.Pow((n.SpotPrice ?? 0), 2) * Math.Pow(vol, 2) / 252;
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}
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item.GammaCustom = gammaCustom;
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}
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#endregion
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if (string.IsNullOrEmpty(req.RequestFrom) || !req.RequestFrom.StartsWith("a"))
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{
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item.viewList = null;
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}
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if (PS.Config.Company == Configuration.CompanyEnum.润和)
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{
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item.DeltaCash2 = item.DeltaCash;
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}
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if (PS.Config.Company == CompanyEnum.红塔众鑫)
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{
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item.ThetaNet = Math.Abs(item.ThetaNet);
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}
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}
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}
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else
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{
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//为特定公司处理明细列表数据
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ProcessSubListForCompany(result.TradeRiskList);
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}
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if (req.ValueTime != null)
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{
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new DongZhengDeltaT1Service().ReCalcDeltaT1(result, req.ValueTime.Value);
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}
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return result;
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}
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/// <summary>
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/// 敲出相关值处理
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/// </summary>
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/// <param name="result"></param>
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private static void KnockOutHandler(TradingRiskResult result)
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{
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if (result != null && result.TradeRiskList != null && result.TradeRiskList.Any())
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{
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foreach (var risk in result.TradeRiskList)
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{
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if (risk.viewList != null && risk.viewList.Count > 0)
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{
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risk.viewList.ForEach(p =>
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{
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CalcContainsKnockOutValue(p);
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});
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risk.PvContainsKnockOut = risk.viewList.Sum(p => p.PvContainsKnockOut);
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risk.GammaInLotsContainsKnockOut = risk.viewList.Sum(p => p.GammaInLotsContainsKnockOut);
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risk.DeltaInLotsContainsKnockOut = risk.viewList.Sum(p => p.DeltaInLotsContainsKnockOut);
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}
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else
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{
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CalcContainsKnockOutValue(risk);
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}
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}
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}
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}
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/// <summary>
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/// 敲出交易 判断
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/// </summary>
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/// <param name="risk"></param>
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private static void CalcContainsKnockOutValue(TradingRiskParameter risk)
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{
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if (risk.IsKnockOut)
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{
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risk.PvContainsKnockOut = risk.KnockOutPayoff;
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risk.GammaInLotsContainsKnockOut = 0;
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risk.DeltaInLotsContainsKnockOut = 0;
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}
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else
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{
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risk.PvContainsKnockOut = risk.Pv;
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risk.GammaInLotsContainsKnockOut = risk.GammaInLots;
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risk.DeltaInLotsContainsKnockOut = risk.DeltaInLots;
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}
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}
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/// <summary>
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/// 获取定价计算实时风险计算结果
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/// </summary>
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public TradingRiskResult GetPriceCalcResult(TradingRiskPriceCalcReqModel req)
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{
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if (req?.Prices == null)
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{
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throw new ArgumentNullException(nameof(req));
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}
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if (string.IsNullOrWhiteSpace(req.VolType))
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{
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req.VolType = "对冲";
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}
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var result = TradeRiskCalcTaskRunner.ExecuteFixedPriceCalc(req.VolType, req.Prices.Select(n => n.ToPriceModel()));
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if (result == null)
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{
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return null;
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}
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var filterReq = new TradingRiskReqModel
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{
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VolType = req.VolType,
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BookIds = req.BookIds,
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ClientIds = req.ClientIds,
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AssetTypes = req.AssetTypes,
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IncludeStock = true,
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UnderlyingCodes = req.Prices.Select(n => n.Code),
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OnlyPosition = req.OnlyPosition
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};
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result = GroupingResults(result, filterReq);
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if (req.OnlyPosition)
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{
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foreach (var rl in result.TradeRiskList)
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{
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if (rl.viewList != null)
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{
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rl.viewList = rl.viewList.Where(n => n.HasPosition).ToList();
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}
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}
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}
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return result;
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}
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/// <summary>
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/// 从明细结果数据中汇总到标的级别
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/// </summary>
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public static TradingRiskResult GroupingResults(TradingRiskResult calcResult, TradingRiskReqModel req)
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{
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if (calcResult == null)
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{
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return null;
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}
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KnockOutHandler(calcResult);
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req ??= new TradingRiskReqModel();
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if (string.IsNullOrWhiteSpace(req.VolType))
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{
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req.VolType = "对冲";
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}
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var result = calcResult.Clone();
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result.TradeRiskList = InnerGroupingResults(calcResult, req);
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foreach (var item in result.TradeRiskList)
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{
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//加\t可以避免品种和标的的代码相同时出现的数据呈现问题
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item.VarietyCode = item.VarietyCode?.Trim() + "\t";
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}
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return result;
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}
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#region----静态处理----
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/// <summary>
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/// 设置场内期权行情价值
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/// </summary>
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private static void SetExOptionMarketValue(IEnumerable<TradingRiskParameter> tradeRiskList)
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{
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foreach (var titem in tradeRiskList)
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{
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if (titem.viewList == null || !titem.viewList.Any(n => n.TradeType == "场内期权"))
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{
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continue;
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}
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var tpvGap = titem.Pv;
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titem.HedgePv = titem.Pv = titem.Tv = 0;
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foreach (var vitem in titem.viewList)
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{
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if (ConsTrade.TradeTypesForHedge.Contains(vitem.TradeType))
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{
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if (vitem.TradeType == "场内期权")
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{
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var vpvGap = vitem.Pv;
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vitem.Pv = vitem.ExOptionPrice.HasValue ? vitem.Notional * vitem.ExOptionPrice.Value : 0;
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var payoff = (vitem.SpotPrice ?? 0) - (vitem.Strike ?? 0);
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var outOfMoney = vitem.CallPut == "Call" ? payoff < 0 : payoff > 0;
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if (outOfMoney)
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{
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payoff = 0;
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}
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vitem.Tv = vitem.Pv + (payoff * vitem.Notional);
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vpvGap -= vitem.Pv;
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vitem.PnlWithHedge -= vpvGap;
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vitem.AccruedTotalPnl -= vpvGap;
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vitem.DailyPnl -= vpvGap;
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vitem.TotalPnl -= vpvGap;
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vitem.TotalPnlWithHedge -= vpvGap;
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vitem.ExercisePnl -= vpvGap;
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}
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titem.HedgePv += vitem.HedgePv = vitem.Pv;
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}
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titem.Pv += vitem.Pv;
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titem.Tv += vitem.Tv;
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}
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tpvGap -= titem.Pv;
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titem.PnlWithHedge -= tpvGap;
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titem.AccruedTotalPnl -= tpvGap;
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titem.DailyPnl -= tpvGap;
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titem.TotalPnl -= tpvGap;
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titem.TotalPnlWithHedge -= tpvGap;
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titem.ExercisePnl -= tpvGap;
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}
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}
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/// <summary>
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/// 为特定公司处理明细列表数据
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/// </summary>
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private static void ProcessSubListForCompany(IEnumerable<TradingRiskParameter> tradeRiskList)
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{
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if (PS.Config.Company == Configuration.CompanyEnum.光大光子 || PS.Config.Company == Configuration.CompanyEnum.广期资本)
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{
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//光子：场外期权的成交份额根据交易方向增加正负号
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foreach (var item in tradeRiskList)
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{
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if (item.viewList == null)
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{
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continue;
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}
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foreach (var n in item.viewList)
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{
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if (n.BuySell == "卖出" && !ConsTrade.TradeTypesForHedge.Contains(n.TradeType))
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{
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n.OriginalNotionalV = n.OriginalNotional = -Math.Abs(n.OriginalNotional);
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}
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}
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}
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}
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else if (PS.Config.Company == Configuration.CompanyEnum.天示)
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{
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foreach (var item in tradeRiskList)
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{
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if (item.viewList != null)
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{
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foreach (var n in item.viewList)
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{
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if (EnumTradeTypeUtil.IsOption((EnumTradeType)n.TradeFlag) && n.UnderlyingCode != null)
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{
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var adjLots = item.viewList.Where(m => m.TradeType == "商品期货" && n.UnderlyingCode.Equals(m.UnderlyingCode, StringComparison.OrdinalIgnoreCase)).Sum(m => m.Lots) ?? 0;
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adjLots -= n.DeltaInLots;
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n.CompanyObj = new TradingRiskParameter_TianShi
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{
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PositionAdjustLots = adjLots,
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RiskDegree = n.DeltaInLots != 0 ? Math.Abs(adjLots / n.DeltaInLots) : 0
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};
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}
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}
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}
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}
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}
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}
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#endregion
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#region----数据合并到组----
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//Math.Sqrt(243)
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const double Sqrt243 = 15.588457268119896;
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/// <summary>
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/// 过滤并且聚合结果
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/// </summary>
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private static IEnumerable<TradingRiskParameter> InnerGroupingResults(TradingRiskResult result, TradingRiskReqModel req)
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{
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if (!BuildPredicate(req, out var tradeRiskPredicate, out var pnlStaticsPredicate))
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{
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return Enumerable.Empty<TradingRiskParameter>();
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}
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var tradeRiskList = result.TradeRiskList;
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if (tradeRiskPredicate != null)
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{
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tradeRiskList = tradeRiskList.Where(tradeRiskPredicate.Compile()).ToArray();
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}
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if (!tradeRiskList.Any())
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{
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return Enumerable.Empty<TradingRiskParameter>();
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}
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if (!req.IsMainList)
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{
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pnlStaticsPredicate = null;
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}
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var pnlStaticsPredicateFunc = pnlStaticsPredicate?.Compile();
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var accruedTotalPnlStartDate = valuedateBLL.SystemDate.AccruedTotalPnlStartDate ?? DateTime.MinValue;
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Dictionary<string, double> underlyingStaticsDic = null;
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if (req.IsMainList)
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{
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//获取历史OTC盈亏统计信息(lastSettleDate换成ValueDate.AddDays(-1))
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var accruedTotalPnlDate = valuedateBLL.GetNonHolidayDefore(result.ValueDate.AddDays(-1));
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var pnlStaticsDatas = TradePnlStaticsDataProvider.Default.GetDatas(accruedTotalPnlDate);
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if (pnlStaticsPredicateFunc != null)
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{
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pnlStaticsDatas = pnlStaticsDatas.Where(pnlStaticsPredicateFunc);
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}
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underlyingStaticsDic = pnlStaticsDatas.Where(x => x.UnderlyingCode != null).GroupBy(n => n.UnderlyingCode.ToUpperInvariant())
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.ToDictionary(g => g.Key, g => g.Sum(n => n.TotalPnl), StringComparer.OrdinalIgnoreCase);
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}
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Dictionary<string, double> accruedTotalPnLStartingDic = null;
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if (req.IsMainList && accruedTotalPnlStartDate.Year > 2000)
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{
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IEnumerable<TradePnlStatics> datas;
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if (req.VolType != "对冲")
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{
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datas = AccruedTotalPnlStartingDataSource<eod_trade_position>.Default
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.GetDatas(result.ValueDate, accruedTotalPnlStartDate);
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}
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else
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{
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datas = AccruedTotalPnlStartingDataSource<eod_trade_position_hedgevol>.Default
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.GetDatas(result.ValueDate, accruedTotalPnlStartDate);
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}
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if (pnlStaticsPredicateFunc != null)
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{
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datas = datas.Where(pnlStaticsPredicateFunc);
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}
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accruedTotalPnLStartingDic = datas.Where(x => x.UnderlyingCode != null).GroupBy(e => e.UnderlyingCode).ToDictionary(g => g.Key, g => g.Sum(e => e.TotalPnl));
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}
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//汇总到标的级别
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var tradeRiskGroupDic = new Dictionary<string, TradingRiskParameter>(StringComparer.OrdinalIgnoreCase);
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foreach (var trp in tradeRiskList)
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{
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if (string.IsNullOrEmpty(trp.UnderlyingCode))
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{
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if (trp.TradeType == ConsGlobal.TradeType.CashFlow)
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{
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trp.VarietyCode = trp.UnderlyingCode = "现金流";
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}
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else
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{
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trp.VarietyCode = trp.UnderlyingCode = "未知";
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}
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}
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if (tradeRiskGroupDic.TryGetValue(trp.UnderlyingCode, out var tempTrp))
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{
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tempTrp.AddItem(trp);
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}
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else
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{
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tempTrp = new TradingRiskParameter() { IsOption = false };
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tempTrp.AddItem(trp);
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tradeRiskGroupDic.Add(trp.UnderlyingCode, tempTrp);
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if (req.IsMainList && underlyingStaticsDic != null)
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{
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tempTrp.AccruedTotalPnl += underlyingStaticsDic.TryGetValue(trp.UnderlyingCode, out var pnl) ? pnl : 0;
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if (accruedTotalPnLStartingDic != null && accruedTotalPnLStartingDic.TryGetValue(trp.UnderlyingCode, out var startingPnl))
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{
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tempTrp.AccruedTotalPnl -= startingPnl;
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}
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}
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if (PS.Config.Company == CompanyEnum.广期资本)
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{
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tempTrp.CompanyObj = new TradingRiskParameter_GuangQiZiBen();
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}
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}
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//广期资本定制
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if (tempTrp.CompanyObj is TradingRiskParameter_GuangQiZiBen gqzbSumObj)
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{
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var basePart = (trp.SpotPrice ?? 0) * trp.Vol / Sqrt243;
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var gqzbObj = new TradingRiskParameter_GuangQiZiBen
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{
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DeltaAdjust = trp.Delta * basePart,
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GammaAdjust = 0.5 * trp.Gamma * basePart
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};
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gqzbSumObj.DeltaAdjust += gqzbObj.DeltaAdjust;
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gqzbSumObj.GammaAdjust += gqzbObj.GammaAdjust;
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trp.CompanyObj = gqzbObj;
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}
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}
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var values = tradeRiskGroupDic.Values.ToArray();
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//第二层viewlist
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var subLists = values.SelectMany(n => n.viewList).ToArray();
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//将第三层的viewlist清除掉
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foreach (var item in subLists)
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{
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item.viewList = null;
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}
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//只查看持仓数据
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|
if (req.OnlyPosition)
|
|
{
|
|
if (req.IsMainList)
|
|
{
|
|
values = values.Where(n => n.HasPosition).ToArray();
|
|
}
|
|
else
|
|
{
|
|
foreach (var item in values)
|
|
{
|
|
item.viewList.RemoveAll(n => !n.HasPosition);
|
|
}
|
|
}
|
|
}
|
|
|
|
//对冲delta手数 + deltaT1(手数)
|
|
var calcDeltaT1 = TradeRiskHelper.IsCalcDeltaT1();
|
|
var list = req.IsMainList ? values : values.SelectMany(n => n.viewList);
|
|
foreach (var item in list)
|
|
{
|
|
var un = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode);
|
|
item.HedgeDeltaLots = un == null || un.ContractSize < 1 ? item.HedgeDelta : item.HedgeDelta / un.ContractSize;
|
|
if (calcDeltaT1)
|
|
{
|
|
item.DeltaT1Lots = un == null || un.ContractSize < 1 ? item.DeltaT1 : item.DeltaT1 / un.ContractSize;
|
|
}
|
|
}
|
|
|
|
//排序
|
|
Array.Sort(values, TradingRiskParameterSortComparer.Default);
|
|
|
|
if (req.Stock || !req.IsMainList)
|
|
{
|
|
return values;
|
|
}
|
|
|
|
//20200619:风险对冲页面品种行的累积总盈亏需要统计已过期标的的累积总盈亏
|
|
|
|
var umDataSource = DataCacheProvider.GetUnderlyingDataSource();
|
|
|
|
//如果在req.OnlyPosition逻辑处理过程中已经把子项全部清掉则需要排除掉此类品种
|
|
var varietySet = values.Where(n => n.viewList != null && n.viewList.Any())
|
|
.Select(n => n.VarietyCode).ToHashSet(StringComparer.OrdinalIgnoreCase);
|
|
|
|
var dicMaturated = new Dictionary<string, TradingRiskParameter>(StringComparer.OrdinalIgnoreCase);
|
|
|
|
foreach (var kv in underlyingStaticsDic)
|
|
{
|
|
//跳过持仓交易包含的标的
|
|
if (tradeRiskGroupDic.ContainsKey(kv.Key))
|
|
{
|
|
continue;
|
|
}
|
|
var varietyCode = umDataSource.GetData(kv.Key)?.CommodityCode;
|
|
if (!string.IsNullOrWhiteSpace(varietyCode) && varietySet.Contains(varietyCode))
|
|
{
|
|
varietyCode = varietyCode.ToUpperInvariant();
|
|
if (dicMaturated.TryGetValue(varietyCode, out var parm))
|
|
{
|
|
parm.AccruedTotalPnl += NumberHelper.Normalize(kv.Value);
|
|
}
|
|
else
|
|
{
|
|
dicMaturated[varietyCode] = parm = new TradingRiskParameter
|
|
{
|
|
VarietyCode = varietyCode,
|
|
UnderlyingCode = "$$" + varietyCode,
|
|
AccruedTotalPnl = NumberHelper.Normalize(kv.Value)
|
|
};
|
|
}
|
|
|
|
if (accruedTotalPnLStartingDic != null && accruedTotalPnLStartingDic.TryGetValue(kv.Key, out var startingPnl))
|
|
{
|
|
parm.AccruedTotalPnl -= startingPnl;
|
|
}
|
|
}
|
|
}
|
|
|
|
return values.Concat(dicMaturated.Values).ToArray();
|
|
}
|
|
|
|
//构建查询条件(返回false表明根据查询条件筛选后的结果集必然是空)
|
|
private static bool BuildPredicate(TradingRiskReqModel req,
|
|
out Expression<Func<TradingRiskParameter, bool>> tradeRiskPredicate,
|
|
out Expression<Func<TradePnlStatics, bool>> pnlStaticsPredicate)
|
|
{
|
|
tradeRiskPredicate = null;
|
|
pnlStaticsPredicate = null;
|
|
|
|
//用户没有任何绑定的簿记账户
|
|
if (req.UserBookIds != null && !req.UserBookIds.Any())
|
|
{
|
|
return false;
|
|
}
|
|
|
|
//簿记账户
|
|
if (!BuildAssetBookPredicate(req, out tradeRiskPredicate, out pnlStaticsPredicate))
|
|
{
|
|
return false;
|
|
}
|
|
|
|
if (req.IsMainList)
|
|
{
|
|
//标的筛选条件构建(pnlStaticsPredicate将根据tradeRiskPredicate已筛选出来的数据构建标的筛选条件)
|
|
|
|
if (!BuildUnderlyingPredicateForMainList(req, out var pre))
|
|
{
|
|
return false;
|
|
}
|
|
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, pre, false);
|
|
}
|
|
else
|
|
{
|
|
BuildUnderlyingPredicateForSubList(req, out var pre);
|
|
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, pre, false);
|
|
}
|
|
|
|
//交易对手方
|
|
if (req.ClientIds != null && req.ClientIds.Any())
|
|
{
|
|
var invert = req.IsInvertSelect("客户名称");
|
|
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, t => req.ClientIds.Contains(t.ClientId), invert);
|
|
|
|
if (req.IsMainList)
|
|
{
|
|
pnlStaticsPredicate = CombinePredicate(pnlStaticsPredicate, t => req.ClientIds.Contains(t.ClientId), invert);
|
|
}
|
|
}
|
|
|
|
//结构类型
|
|
if (req.AssetTypes != null && req.AssetTypes.Any())
|
|
{
|
|
var invert = req.IsInvertSelect("结构类型");
|
|
var set = req.AssetTypes.Select(n => (int)EnumTradeTypeUtil.GetTradeFlag(n, null)).ToHashSet();
|
|
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate
|
|
, n => set.Contains(n.TradeFlag) || (set.Contains((int)EnumTradeType.CustomGroup) && n.IsGroup != 0)
|
|
, invert);
|
|
|
|
if (req.IsMainList)
|
|
{
|
|
pnlStaticsPredicate = CombinePredicate(pnlStaticsPredicate, t => req.AssetTypes.Contains(t.AssetType), invert);
|
|
}
|
|
}
|
|
|
|
//权益类风险对冲index3
|
|
if (req.Stock)
|
|
{
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate
|
|
, t => t.InstrumentType == ConsGlobal.InstrumentType.Stock
|
|
|| t.UnderlyingCode.StartsWith("IF") || t.UnderlyingCode.StartsWith("IH")
|
|
|| t.UnderlyingCode.StartsWith("IC") || t.UnderlyingCode.StartsWith("IO"), false);
|
|
}
|
|
else if (!req.IncludeStock) //商品类风险对冲index2包含股票
|
|
{
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, t => t.InstrumentType != ConsGlobal.InstrumentType.Stock, false);
|
|
}
|
|
|
|
return true;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 为主列表页面构建标的筛选条件
|
|
/// </summary>
|
|
private static bool BuildUnderlyingPredicateForMainList(TradingRiskReqModel req
|
|
, out Expression<Func<TradingRiskParameter, bool>> tradeRiskPredicate)
|
|
{
|
|
//定价试算会传入UnderlyingCodes请求参数，否则传入UnderlyingIds参数
|
|
if (req.UnderlyingCodes != null && req.UnderlyingCodes.Any())
|
|
{
|
|
tradeRiskPredicate = PredicateBuilder.Create<TradingRiskParameter>(t => req.UnderlyingCodes.Contains(t.UnderlyingCode, StringComparer.OrdinalIgnoreCase));
|
|
return true;
|
|
}
|
|
|
|
tradeRiskPredicate = null;
|
|
|
|
//标的品种
|
|
if (req.VarietyIds != null && req.VarietyIds.Any())
|
|
{
|
|
var dataSource = DataCacheModule.DataCacheManager.GetVarietyDataSource();
|
|
var varietyCodes = new HashSet<string>(StringComparer.OrdinalIgnoreCase);
|
|
|
|
foreach (var id in req.VarietyIds)
|
|
{
|
|
var variety = dataSource.GetData(id);
|
|
|
|
if (variety != null)
|
|
{
|
|
varietyCodes.Add(variety.VarietyCode);
|
|
}
|
|
}
|
|
|
|
if (varietyCodes.Any())
|
|
{
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, n => varietyCodes.Contains(n.VarietyCode), req.IsInvertSelect("标的品种"));
|
|
}
|
|
else if (!req.IsInvertSelect("标的品种"))
|
|
{
|
|
return false; //筛选条件要包含的品种不存在
|
|
}
|
|
}
|
|
|
|
//品种分类
|
|
if (req.VarietyGroups != null && req.VarietyGroups.Any())
|
|
{
|
|
var varietyCodes = DataCacheModule.DataCacheManager.GetVarietyDataSource()
|
|
.AsQueryable().Where(n => req.VarietyGroups.Contains(n.AssetType))
|
|
.Select(n => n.VarietyCode).ToHashSet(StringComparer.OrdinalIgnoreCase);
|
|
|
|
if (varietyCodes.Any())
|
|
{
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, n => varietyCodes.Contains(n.VarietyCode), req.IsInvertSelect("品种分类"));
|
|
}
|
|
else if (!req.IsInvertSelect("品种分类"))
|
|
{
|
|
return false; //筛选条件要包含的品种分类不存在
|
|
}
|
|
}
|
|
|
|
//标的代码
|
|
if (req.UnderlyingIds != null && req.UnderlyingIds.Any())
|
|
{
|
|
var underlyingCodes = DataCacheModule.DataCacheManager.GetUnderlyingDataSource()
|
|
.AsQueryable().Where(n => req.UnderlyingIds.Contains(n.id))
|
|
.Select(n => n.UnderlyingCode).ToArray();
|
|
|
|
if (underlyingCodes.Any())
|
|
{
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate
|
|
, t => underlyingCodes.Contains(t.UnderlyingCode, StringComparer.OrdinalIgnoreCase)
|
|
, req.IsInvertSelect("标的代码"));
|
|
}
|
|
else if (!req.IsInvertSelect("标的代码"))
|
|
{
|
|
return false;
|
|
}
|
|
}
|
|
|
|
return true;
|
|
}
|
|
|
|
//为明细列表子页面构建标的筛选条件
|
|
private static void BuildUnderlyingPredicateForSubList(TradingRiskReqModel req
|
|
, out Expression<Func<TradingRiskParameter, bool>> tradeRiskPredicate)
|
|
{
|
|
//取股票板块下的数据
|
|
if (req.SubListCode.StartsWith("$,"))
|
|
{
|
|
var UnderlyingCodes = req.SubListCode.Substring(2).Split(',');
|
|
tradeRiskPredicate = PredicateBuilder.Create<TradingRiskParameter>(t => UnderlyingCodes.Contains(t.UnderlyingCode, StringComparer.OrdinalIgnoreCase));
|
|
}
|
|
//取某品种下的数据
|
|
else if (req.SubListCode.StartsWith("$$"))
|
|
{
|
|
var varietyCode = req.SubListCode.TrimStart('$');
|
|
|
|
tradeRiskPredicate = PredicateBuilder.Create<TradingRiskParameter>(t => varietyCode.Equals(t.VarietyCode, StringComparison.OrdinalIgnoreCase));
|
|
|
|
//标的代码过滤
|
|
if (req.UnderlyingIds != null && req.UnderlyingIds.Any())
|
|
{
|
|
var underlyingCodes = DataCacheModule.DataCacheManager.GetUnderlyingDataSource()
|
|
.AsQueryable().Where(n => req.UnderlyingIds.Contains(n.id))
|
|
.Select(n => n.UnderlyingCode).ToArray();
|
|
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate
|
|
, t => underlyingCodes.Contains(t.UnderlyingCode, StringComparer.OrdinalIgnoreCase)
|
|
, req.IsInvertSelect("标的代码"));
|
|
}
|
|
}
|
|
else
|
|
{
|
|
tradeRiskPredicate = PredicateBuilder.Create<TradingRiskParameter>(t => req.SubListCode.Equals(t.UnderlyingCode, StringComparison.OrdinalIgnoreCase));
|
|
}
|
|
}
|
|
|
|
//构建簿记账户筛选条件
|
|
private static bool BuildAssetBookPredicate(TradingRiskReqModel req
|
|
, out Expression<Func<TradingRiskParameter, bool>> tradeRiskPredicate
|
|
, out Expression<Func<TradePnlStatics, bool>> pnlStaticsPredicate)
|
|
{
|
|
tradeRiskPredicate = null;
|
|
pnlStaticsPredicate = null;
|
|
|
|
if (req.UserBookIds != null)
|
|
{
|
|
var bookIds = req.UserBookIds.ToHashSet();
|
|
|
|
if (!bookIds.Any())
|
|
{
|
|
return false;
|
|
}
|
|
|
|
tradeRiskPredicate = PredicateBuilder.Create<TradingRiskParameter>(t => bookIds.Contains(t.BookId));
|
|
|
|
if (req.IsMainList)
|
|
{
|
|
pnlStaticsPredicate = PredicateBuilder.Create<TradePnlStatics>(t => bookIds.Contains(t.BookId));
|
|
}
|
|
}
|
|
|
|
if (req.BookIds != null && req.BookIds.Any())
|
|
{
|
|
var invert = req.IsInvertSelect("簿记账户");
|
|
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, t => req.BookIds.Contains(t.BookId), invert);
|
|
|
|
if (req.IsMainList)
|
|
{
|
|
pnlStaticsPredicate = CombinePredicate(pnlStaticsPredicate, t => req.BookIds.Contains(t.BookId), invert);
|
|
}
|
|
}
|
|
|
|
if (req.AssetIdGroupList != null && req.AssetIdGroupList.Any())
|
|
{
|
|
var groupBookIds = DataCacheProvider.GetAssetUnitDataSource().AsQueryable()
|
|
.Where(x => req.AssetIdGroupList.Contains(x.GroupId)).Select(x => x.id).ToArray();
|
|
|
|
if (!groupBookIds.Any())
|
|
{
|
|
return false;
|
|
}
|
|
|
|
var invert = req.IsInvertSelect("簿记账户组");
|
|
|
|
tradeRiskPredicate = CombinePredicate(tradeRiskPredicate, t => groupBookIds.Contains(t.BookId), invert);
|
|
|
|
if (req.IsMainList)
|
|
{
|
|
pnlStaticsPredicate = CombinePredicate(pnlStaticsPredicate, t => groupBookIds.Contains(t.BookId), invert);
|
|
}
|
|
}
|
|
|
|
return true;
|
|
}
|
|
|
|
[System.Runtime.CompilerServices.MethodImpl(methodImplOptions: System.Runtime.CompilerServices.MethodImplOptions.AggressiveInlining)]
|
|
static Expression<Func<T, bool>> CombinePredicate<T>(Expression<Func<T, bool>> basePre, Expression<Func<T, bool>> andPre, bool invertAndPre) where T : class
|
|
{
|
|
return basePre == null ? (invertAndPre ? andPre.Not() : andPre) : (andPre == null ? basePre : basePre.And(invertAndPre ? andPre.Not() : andPre));
|
|
}
|
|
|
|
#endregion
|
|
}
|
|
}
|