183 lines
9.5 KiB
C#
183 lines
9.5 KiB
C#
//using System;
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//using System.Collections.Generic;
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//using System.Linq;
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//using YLErp.DBModels;
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//using YLErp.DBModels.Consts;
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//using YLErp.Model;
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//using YLErp.Modules.MarginModule;
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//namespace YLErp.BLL.MarginCalculationBak
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//{
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// public class UniversalMarginCalculation : MarginCalculationBase
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// {
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// // 定义一个静态变量来保存类的实例
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// public static readonly UniversalMarginCalculation Instance;
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// static UniversalMarginCalculation()
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// {
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// Instance = new UniversalMarginCalculation();
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// }
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// // 定义私有构造函数，使外界不能创建该类实例
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// private UniversalMarginCalculation()
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// {
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// }
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// public override List<trade_span> RunMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易", bool forOtherSide = false)
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// {
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// List<trade_span> tradeSpans = new List<trade_span>();
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// if (!(priceDict?.Count > 0))
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// {
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// var codes = tradeList.Select(O => O.UnderlyingCode).ToArray();
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// priceDict = base.GetSettlePrice(codes, settleDate);
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// }
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// if (priceDict.Count == 0)
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// {
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// //如果价格没有传入也没从数据库获取到，就直接返回，没必要往下运行了。但不应该报错;
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// return tradeSpans;
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// }
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// if (tradeList != null && tradeList.Count > 0)
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// {
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// var tempStockTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
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// if (tempStockTradeList.Any())
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// {
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// var stockTradeSpanlist = StockMarginCalculation(userId, userName, tempStockTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle);
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// if (stockTradeSpanlist.Count > 0)
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// {
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// tradeSpans.AddRange(stockTradeSpanlist);
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// }
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// }
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// var tempFutureTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
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// if (tempFutureTradeList.Any())
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// {
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// var futureTradeSpanlist = FutureMarginCalculation(userId, userName, tempFutureTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle);
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// if (futureTradeSpanlist.Count > 0)
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// {
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// tradeSpans.AddRange(futureTradeSpanlist);
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// }
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// }
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// }
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// return tradeSpans;
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// }
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// /// <summary>
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// /// 股票类期权计算保证金
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// /// </summary>
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// public List<trade_span> StockMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false)
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// {
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// throw new Exception("未实现");
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// }
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// /// <summary>
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// /// 商品期权计算保证金
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// /// </summary>
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// public List<trade_span> FutureMarginCalculation(int userId, string userName, List<trade> futureTradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false)
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// {
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// List<trade_span> tradeSpans = new List<trade_span>();
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// if (futureTradeList != null && futureTradeList.Count > 0)
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// {
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// using (YLContext db = new YLContext())
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// {
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// var clientIds = futureTradeList.Select(t => t.ClientId).ToList();
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// var clientList = (from client in db.client
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// join clientlevel in db.clientlevel
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// on client.LevelId equals clientlevel.id into tempClientlevel
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// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
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// where clientIds.Contains(client.id)
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// select new
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// {
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// client,
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// clientlevel = clientlevelTT
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// }).ToList();
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// var underlyingCodes = futureTradeList.Select(O => O.UnderlyingCode).ToHashSet();
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// var mpProvider = new MarginParamProvider(new OptUserInfo(0, "系统"), settleDate)
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// .Initialize(underlyingCodes, MarginParamTypeEnum.MarginRate);
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// if (clientList != null)
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// {
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// foreach (var t in futureTradeList)
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// {
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// priceDict.TryGetValue(t.UnderlyingId, out double price);
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// mpProvider.TryGetMarginRate(t.UnderlyingCode, out double marginRate);
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// var contractSize = (_underlyingDataProvider.GetUnderlying(t.UnderlyingCode)?.ContractSize) ?? 0;
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// double diffPrice = 0;
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// switch (t.OptionType)
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// {
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// case "看涨":
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// diffPrice = (t.Strike ?? 0) - price;
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// break;
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// case "看跌":
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// diffPrice = price - (t.Strike ?? 0);
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// break;
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// }
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// double visualValue = Math.Max(diffPrice, 0) * contractSize;
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// double futureMargin = price * marginRate * contractSize;
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// double optionMargin1 = (t.StockEqvNotional ?? 0) + futureMargin - 0.5 * visualValue;
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// double optionMargin2 = (t.StockEqvNotional ?? 0) + futureMargin * 0.5;
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// var client = clientList.FirstOrDefault(c => c.client.id == t.ClientId);
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// if (client != null)
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// {
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// var value = Math.Max(optionMargin1, optionMargin2);
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// if (t.TradeType == "自定义交易")
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// {
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// var eodTradeRiskManual = db.eod_trade_risk_manual.Where(x => x.ValueDate <= settleDate && x.TradeId == t.id).OrderByDescending(x => x.ValueDate).FirstOrDefault();
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// //收盘时如果自定义交易还活着且没有维护当日风险，并且收的时系统日期当日的盘，抛出exception
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// if (isEodSettle && !ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus) && settleDate == valuedateBLL.SystemDate.ValueDate)
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// {
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// if (eodTradeRiskManual == null || eodTradeRiskManual.ValueDate != settleDate)
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// {
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// var error = $"TradeNumber:{t.TradeNumber}在{settleDate:yyyy-MM-dd}需先进行交易风险维护";
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// throw new Exception(error);
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// }
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// }
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// value = eodTradeRiskManual?.Margin ?? 0;
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// }
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// tradeSpans.Add(new trade_span
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// {
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// TradeId = t.id,
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// OptDate = DateTime.Now,
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// OptId = userId,
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// OptName = userName,
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// ClientId = client.client.id,
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// UnderlyingId = t.UnderlyingId,
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// UnderlyingCode = t.UnderlyingCode,
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// ValueDate = settleDate,
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// Spv1 = value,
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// Spv2 = value,
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// Spv3 = value,
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// Spv4 = value,
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// WorstCastClientPayable = value
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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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// return tradeSpans;
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// }
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// public override double GetTradeMargin(trade trade, double price, bool isInitialMargin = false, bool hasOptionInfo = false)
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// {
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// using (YLContext db = new YLContext())
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// {
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// if (trade.TradeType == "结构化交易")
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// {
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// trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
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// }
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// }
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// var tradeMargin = RunMarginCalculation(0, "系统", new List<trade> { trade }, isInitialMargin ? (trade.TradeDate ?? valuedateBLL.ValueDate) : valuedateBLL.ValueDate, new Dictionary<int, double> { { trade.UnderlyingId, price } }, hasOptionInfo: hasOptionInfo);
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// if (null != tradeMargin)
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// {
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// return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
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// }
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// return 0.0;
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// }
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// }
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//}
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