453 lines
20 KiB
C#
453 lines
20 KiB
C#
using BaseOUDAL;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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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.DataProviderModule;
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using YLErp.Modules.EodModule.SettlementModule;
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using YLErp.Office;
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using YLErp.QdpModule;
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namespace YLErp.Modules.EodModule.QueryModule
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{
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/// <summary>
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/// 东证日终存续交易导出服务
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/// </summary>
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public class DongZhengEodTradePositionExportService : YLBaseService
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{
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public DongZhengEodTradePositionExportService(OptUserInfo optUser) : base(optUser)
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{
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}
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public void ExportDongZhengZipFile(DateTime valueDate)
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{
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if (QdpCalendarHelper.GetNonHoliday(valueDate) != valueDate)
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{
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throw new ServiceException($"所选日期'{valueDate:yyyy-MM-dd}'不是交易日!");
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}
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if (!DbContext.eodStatus.Any(n => n.ValueDate == valueDate && n.Status == "已收盘"))
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{
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throw new ServiceException($"所选日期'{valueDate:yyyy-MM-dd}'未收盘!");
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}
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List<eod_position_dz> eods = GetEodPosition(valueDate);
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List<client_dz> clients = GetClients(valueDate);
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var dateStr = valueDate.ToString("yyyyMMdd");
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var fileName = $"RH_Otc_Option_List.{dateStr}";
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var zipFileName = $"{fileName}.zip";
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var targetPath = Path.Combine("F:");
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if (!Directory.Exists(targetPath))
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{
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targetPath = Path.Combine("D:\\list\\wait", dateStr);
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if (!Directory.Exists(targetPath))
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{
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Directory.CreateDirectory(targetPath);
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}
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}
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else
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{
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targetPath = Path.Combine("F:\\list\\wait", dateStr);
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if (!Directory.Exists(targetPath))
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{
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Directory.CreateDirectory(targetPath);
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}
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}
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var marketZipFile = Path.Combine(targetPath, zipFileName);
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if (File.Exists(marketZipFile))
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{
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File.Delete(marketZipFile);
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}
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var excelFileName = $"{fileName}.xlsx";
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var targetFileName = Path.Combine(targetPath, excelFileName);
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var path = Path.Combine(targetPath, targetFileName);
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if (File.Exists(path))
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{
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File.Delete(path);
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}
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var modelDict = new Dictionary<string, object>();
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if (eods != null)
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{
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modelDict.Add("存续交易", eods);
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}
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if (clients != null)
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{
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modelDict.Add("客户信息", clients);
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}
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var sourcePath = OtcAppContext.MapPath("~/App_Docs/导出模板");
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var sourceFileName = Path.Combine(sourcePath, "东证RH_Otc_Option_List.xlsx");
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var pdffile = ExcelTemplate.GeneratePDFFromExeclTemplate(sourcePath, sourceFileName, modelDict, targetPath, targetFileName, shouldDeleteSheet: true, needToPdf: false);
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ZipHelper.zipOnlyFile(pdffile, marketZipFile, "Dzrh@2022");
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File.Delete(targetFileName);
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}
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private List<eod_position_dz> GetEodPosition(DateTime valueDate)
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{
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using (var basedb = new ErpBaseContext())
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{
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EodPriceProvider eodPrice = new EodPriceProvider(valueDate, isDiviendPrice: false);
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eodPrice.Initialize();
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double riskFreeRate = (valuedateBLL.SystemDate.RiskFreeRate / 100).Normalize();
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IEodVolProvider eodVolProvider = EodVolProviderFactory.GetEodVolProvider(valueDate, "持仓");
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List<trade> otcTrades = OtcTrades(valueDate);
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var eodTradeQuery = DbContext.eod_trade.Where(et => et.ValueDate == valueDate && et.TradeId > 0 && et.TradeType != "结构化交易" && et.ClientId > 0 && ConsTrade.NeedMarginTradeStatusList.Contains(et.TradeStatus));
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var query = from trade in eodTradeQuery
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join tradeOrigin in DbContext.trade on trade.TradeId equals tradeOrigin.id
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join po in DbContext.eod_trade_position.Where(x => x.ValueDate == valueDate) on trade.TradeId equals po.TradeId into position
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from po in position.DefaultIfEmpty()
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where (tradeOrigin.TradeType != "结构化交易" && tradeOrigin.IsGroup != 1 || tradeOrigin.IsGroup == 1 && tradeOrigin.TradeType == "结构化交易")
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&& (tradeOrigin.IsGroup != 2 || tradeOrigin.IsGroup == 2 && tradeOrigin.TradeType == "收益互换")
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&& tradeOrigin.ValidState != ConsGlobal.InValid
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select new eod_position_dz
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{
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TradeId = tradeOrigin.id,
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TradeType = tradeOrigin.IsGroup == 1 ? tradeOrigin.StructureType : tradeOrigin.TradeType,
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ClientId = tradeOrigin.ClientId,
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TradeNumber = tradeOrigin.TradeNumber,
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TradeDate = tradeOrigin.TradeDate,
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ExerciseDate = tradeOrigin.ExerciseDate,
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PrincipalRate = tradeOrigin.PrincipalRate ?? 0,
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BasisUnderlyingCode = tradeOrigin.BasisUnderlyingCode,
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BasisGap = tradeOrigin.BasisGap ?? 0,
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Lots = tradeOrigin.Lots ?? 0,
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ParticipationRate = tradeOrigin.ParticipationRate ?? 0,
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NoRiskRate = tradeOrigin.NoRiskRate ?? 0,
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UnderlyingCode = trade.UnderlyingCode,
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UnderlyingPrice = null,
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ValueDate = valueDate,
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TradeJson = trade.TradeJson,
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PvDouble = 0,
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PnlDouble = 0,
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InstrumentType = tradeOrigin.UnderlyingInstrumentType,
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IsGroup = tradeOrigin.IsGroup,
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SettlementType = tradeOrigin.SettlementType,
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Margin = po == null ? 0 : po.Margin,
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Pv = po == null ? 0 : PS.Config.IsPVRounded ? po.RoundedPv : po.Pv,
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};
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var queryList = query.ToList();
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var underlyingDataSource = DataCacheProvider.GetUnderlyingDataSource();
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var varietyDataSource = DataCacheProvider.GetVarietyDataSource();
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var clients = DataCacheProvider.GetClientDataSource();
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var varietyTypeList = (from i in basedb.DictionaryItems join d in basedb.Dictionaries on i.DictId equals d.Id where d.Name == "品种类型" select i).ToList();
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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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GetUpDownLimitPrices(otcTrades, eodPrice, out IPriceProvider upLimitPrices, out IPriceProvider downLimitPrices);
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foreach (var x in queryList)
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{
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var um = underlyingDataSource.GetData(x.UnderlyingCode);
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if (um != null)
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{
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if (um.IsSynthetic())
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{
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var sy = underlyingDataSource.GetSyntheticUnderlying(x.UnderlyingCode);
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if (sy != null)
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{
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x.SyntheticUnderlyingTipsInfo = sy.UnderlyingTipsInfo;
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}
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}
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var va = varietyDataSource.GetData(um.UnderlyingTypeId);
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if (va != null)
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{
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x.underingName = um.MarketCode != null ? va.VarietyCode + "." + um.MarketCode : va.VarietyCode;
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x.varietyType = formatDictItem(varietyTypeList, va.AssetType);
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x.assType = formatDictItem(assetTypeList, va.AssetType, "O");
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}
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}
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if (x.TradeType == "收益互换")
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{
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x.toolType = "SW";
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}
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else if (x.TradeType == "远期" || x.TradeType == "掉期")
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{
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x.toolType = "FW";
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}
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else
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{
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x.toolType = "OP";
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}
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if (eodPrice.TryGetPrice(x.UnderlyingCode, x.SettlementType, out var price))
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{
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x.UnderlyingPrice = price;
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}
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var client = clients.GetData(x.ClientId ?? 0);
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if (client != null)
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{
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x.ClientName = client.Name;
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x.clientNumber = client.Number;
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x.ClientType = client.CustomerNature2 != null && !client.CustomerNature2.Contains("产业客户") ? "其他客户" : "产业客户";
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//增加内部客户属性 进行赋值
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x.IsInsided = client.IsInsided;
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}
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x.dic = x.trade.MetaDic;
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if (x.TradeType == "现金流交易")
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{
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x.trade.OriginalNotional = null;
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}
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x.buyType = x.BuySell == "买入" ? "买" : "卖";
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x.isEnd = "否";
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x.tradeType2 = x.OptionType == "看涨" ? "C" : x.OptionType == "看跌" ? "P" : "0";
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var td = otcTrades.FirstOrDefault(t => t.id == x.TradeId);
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if (td.TradeType != "自定义交易")
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{
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var upValue = CalcLiveOtcTradeValueR(valueDate, td, upLimitPrices, eodVolProvider, riskFreeRate);
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var downValue = CalcLiveOtcTradeValueR(valueDate, td, downLimitPrices, eodVolProvider, riskFreeRate);
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x.MaximumLoss = Math.Min(PS.Config.IsPVRounded ? upValue.RoundedPv : upValue.Pv, PS.Config.IsPVRounded ? downValue.RoundedPv : downValue.Pv) + x.TradePrice;
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}
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}
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//去除内部客户交易
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queryList = queryList.Where(l => l.IsInsided != 1).ToList();
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return queryList;
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}
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}
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private List<client_dz> GetClients(DateTime valueDate, IEnumerable<int> clienIds = null)
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{
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using (var baseDb = new ClientDBContext())
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{
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var clientQuery = from client in baseDb.client.Where(n => n.ProcessStatus == "已开户" && n.IsInsided != 1)
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select new client_dz
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{
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id = client.id,
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ProtocolSignDate = client.ProtocolSignDate,
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LicenseCode = client.LicenseCode,
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Number = client.Number,
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Name = client.Name,
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ClientType = client.CustomerNature2
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};
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var creditList = DbContext.credit.Where(t => t.ProcessStatus == "已审批" && (!t.CreditDeadLine.HasValue || t.CreditDeadLine >= valueDate) && (!t.CreditStartDate.HasValue || t.CreditStartDate <= valueDate));
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if (clienIds != null)
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{
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clientQuery = clientQuery.Where(t => clienIds.Contains(t.id));
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}
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var list = clientQuery.ToList();
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foreach (var item in list)
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{
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item.ClientType = item.ClientType != null && !item.ClientType.Contains("产业客户") ? "其他客户" : "产业客户";
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var credit = creditList?.FirstOrDefault(x => x.ClientId == item.id);
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item.isCredit = credit != null ? "是" : "否";
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item.CreditNumber = credit != null ? credit.Credit : null;
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}
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return list;
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}
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}
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private static string formatDictItem(List<DictionaryItem> dictItemMap, string name, string defaultValue = "")
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{
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if (name == null || dictItemMap == null) { return defaultValue; }
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var obj = dictItemMap.FirstOrDefault(O => O.Name == name);
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return obj == null ? defaultValue : obj.ShortName;
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}
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private TradeValueResult CalcLiveOtcTradeValueR(DateTime valueDate, trade td, IPriceProvider eodPrice, IEodVolProvider volProvider, double riskFreeRate)
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{
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var underlyings = new underlying_manager[] { new underlying_manager { UnderlyingCode = td.UnderlyingCode } };
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var spotPrice = eodPrice.GetPrice(td.UnderlyingCode);
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switch (td.TradeType)
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{
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case ConsGlobal.TradeType.Forward:
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{
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if (PS.Config.ErpElement.ForwardTradePriceModel == Configuration.Enums.ForwardTradePriceModel.STANDARD && !string.IsNullOrWhiteSpace(td.BasisUnderlyingCode))
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{
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var BasiseodPrice = eodPrice.GetPrice(td.BasisUnderlyingCode);
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spotPrice -= BasiseodPrice;
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}
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return ForwardradeCalcService.CalcValue(td, spotPrice);
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}
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case ConsGlobal.TradeType.PayoffSwap:
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return PayoffSwapCalcService.CalcValue(td, valueDate, eodPrice, true);
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default:
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{
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var req = new OptionValueCalcRequest(riskFreeRate)
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{
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correlations = null,//不计算彩虹等多标的期权暂时不需要
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engineName = null,
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preciseTimeMode = false, //日终一定是false
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isEodCalc = true,
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pricingRequest = QdpPricingRequest.BASIC_GREEKS,
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spotPrices = new[] { spotPrice },
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calcScenario = Enums.CalcScenarioEnum.EodSettlement,
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};
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if (td.TradeType != ConsGlobal.TradeType.CashFlow)
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{
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var vol = volProvider.GetVol(td, spotPrice) ?? ConsGlobal.DefaultVol;
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req.vols = new[] { vol };
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}
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return OptionCalculatorV2.GetOptionValueResult(valueDate, td, req, out underlyings);
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}
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}
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}
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/// <summary>
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/// 获取涨跌20%停价格字典
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/// </summary>
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private void GetUpDownLimitPrices(List<trade> trade, EodPriceProvider eodPrice, out IPriceProvider upLimitPrices, out IPriceProvider downLimitPrices)
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{
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HashSet<string> _underlyingCodeSet;
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_underlyingCodeSet = new HashSet<string>(StringComparer.OrdinalIgnoreCase);
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void setUnderlyingCode(trade td)
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{
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if (td?.UnderlyingCode == null)
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{
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return;
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}
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_underlyingCodeSet.Add(td.UnderlyingCode);
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switch (td.TradeType)
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{
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case "彩虹期权":
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if (td.trade_rainbow_option != null)
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{
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_underlyingCodeSet.Add(td.trade_rainbow_option.UnderlyingAssetCode2);
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}
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break;
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case "价差期权":
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if (td.trade_spread_option != null)
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{
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var codes = td.trade_spread_option.UnderlyingAssetCodes();
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foreach (var code in codes)
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{
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_underlyingCodeSet.Add(code);
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}
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}
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break;
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case "结构化交易":
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if (td.SubTrades != null)
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{
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foreach (var std in td.SubTrades)
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{
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setUnderlyingCode(std);
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}
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}
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break;
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}
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}
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foreach (var td in trade)
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{
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setUnderlyingCode(td);
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}
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var upLimitPrices2 = new ManualPriceProvider();
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var downLimitPrices2 = new ManualPriceProvider();
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//根据涨跌幅限制以及当日结算价计算涨停价以及跌停价
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foreach (var code in _underlyingCodeSet)
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{
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if (eodPrice.TryGetPrice(code, SettlementTypeEnum.ClosePrice, out var price))
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{
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var limit = price * 0.2;
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var upprice = price + limit;
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var downprice = price - limit;
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upLimitPrices2.SetPrice(code, upprice);
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downLimitPrices2.SetPrice(code, downprice);
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}
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}
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upLimitPrices = upLimitPrices2;
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downLimitPrices = downLimitPrices2;
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}
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TradeCashDataProvider _tradeCashProvider;
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private List<trade> OtcTrades(DateTime valueDate)
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{
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//如果前一天是假日，要显示包含假日的交易
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var preday = BLL.valuedateBLL.GetNonHolidayDefore(valueDate.AddDays(-1));
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var predicate = PredicateBuilder.Create<trade>(t => t.TradeDate <= valueDate && t.ValidState != ConsGlobal.InValid && t.ClientId > 0
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&& t.TradeType != "结构化交易" && t.ExerciseDate > preday && (!ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus) || t.UnWindDate > preday));
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var list = new EodSettleDataQueryService(UserInfo)
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.GetOtcTrades(valueDate, predicate, out _tradeCashProvider);
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var hisDataProvider = new TradeHisDataProvider(valueDate).Initialize();
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foreach (var item in list)
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{
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var noRiskRate = hisDataProvider.GetNoRiskRate(item.id);
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var dividendRate = hisDataProvider.GetDividendRate(item.id);
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//如果修改过无风险利率或分红率,且和eodTrade中不匹配,则移除该交易来自EodTrade的标记;
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if (((noRiskRate ?? 0) > 0 && noRiskRate.GetValueOrDefault() != item.NoRiskRate.GetValueOrDefault()) ||
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((dividendRate ?? 0) > 0 && dividendRate.GetValueOrDefault() != item.DividendRate.GetValueOrDefault()))
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{
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item.MetaDic.Remove("from_eod_trade");
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}
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item.NoRiskRate = noRiskRate ?? item.NoRiskRate ?? BLL.valuedateBLL.RiskFreeRate;
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item.DividendRate = dividendRate ?? item.DividendRate;
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if (item.DividendRate == null)
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{
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item.DividendRate = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode)?.DividendRate ?? item.NoRiskRate;
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}
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}
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return list;
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}
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}
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public class eod_position_dz : eod_position
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{
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public string clientNumber { set; get; }
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public string ClientType { get; set; }
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public string buyType { get; set; }
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public string isEnd { get; set; }
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public string tradeType2 { get; set; }
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public string varietyType { get; set; }
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public string assType { get; set; }
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public string toolType { get; set; }
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public string underingName { get; set; }
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/// <summary>
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/// 最大亏损
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/// </summary>
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public double? MaximumLoss { set; get; }
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/// <summary>
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/// 内部客户
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/// </summary>
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public int? IsInsided { get; set; }
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}
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public class client_dz
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{
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public int id { get; set; }
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public DateTime? ProtocolSignDate { get; set; }
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public string LicenseCode { get; set; }
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public string Number { set; get; }
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public string Name { set; get; }
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public string ClientType { get; set; }
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public string isCredit { set; get; }
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public double? CreditNumber { set; get; }
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}
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}
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