1034 lines
66 KiB
C#
1034 lines
66 KiB
C#
using YLErp.BLL;
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using YLErp.Commons;
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using YLErp.DBModels.Helpers;
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using YLErp.QdpModule;
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using static iTextSharp.text.pdf.AcroFields;
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namespace YLErp.Modules.TradeModule
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{
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/// <summary>
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/// 交易扩展通用服务
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/// </summary>
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public class TradeExtendService : YLBaseService
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{
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public TradeExtendService(OptUserInfo optUser, YLContext dbContext) : base(optUser, dbContext)
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{
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}
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public TradeExtendService(YLBaseService baseService) : base(baseService)
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{
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}
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public TradeExtendService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 设置奇异要素
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/// </summary>
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public void SetTradeExtendWithCnKey(IEnumerable<OtcTradeBase> otcTrades, bool setMetaData = false, DateTime? dateTime = null)
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{
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if (otcTrades is null || !otcTrades.Any())
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{
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return;
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}
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Dictionary<int, T> getTradeEx<T>(IEnumerable<int> tids) where T : TradeExtendBase
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{
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return DbContext.Set<T>().AsNoTracking().Where(n => tids.Contains(n.TradeId)).ToDictionary(n => n.TradeId);
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}
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var extGroups = otcTrades.GroupBy(n => n.IsGroup == 1 && n.StructureType == "气囊结构" ? "气囊结构" : n.TradeType).ToArray();
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foreach (var g in extGroups)
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{
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var tids = g.Select(n => n.id).ToHashSet();
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switch (g.Key)
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{
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case "亚式期权":
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{
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var dic = getTradeEx<trade_asian_option>(tids);
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foreach (var td in g)
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{
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var extDic = td.MetaDic;
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if (dic.TryGetValue(td.id, out var ext))
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{
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extDic["亚式_均价起算日"] = ext.AveragingPeriodStartDate.OtcFormatDate();
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extDic["亚式_均价计算"] = TradeHelper.GetAsianPayoffTypeCn(ext.PayoffType);
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if (ext.PayoffTypeCn.Contains("增强"))
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{
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extDic["亚式_结算类型"] = ext.SettleMode == "AtEnd" ? "递延" : "立即";
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}
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else
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{
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extDic["亚式_结算类型"] = "";
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}
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extDic["亚式_行权价类型"] = TradeHelper.GetAsianStrikeTypeCn(ext.StrikeType);
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extDic["亚式_杠杆率"] = ext.StrikeGearingFactor.OtcFormatPercent();
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if (td.TradeType == "亚式期权" && ext.PayoffType == "EnhancedArithmeticAverage" && ext.StrikeType != "Floating")
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{
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if (td.IsMoneynessOptionData)
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{
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extDic["增强价格"] = ext.EnhancedPrice.OtcFormatPercent();
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}
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else
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{
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extDic["增强价格"] = ext.EnhancedPrice.OtcFormatUmPrice();
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}
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}
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else
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{
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extDic["增强价格"] = "";
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}
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}
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}
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}
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break;
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case "障碍期权":
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{
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var dic = getTradeEx<trade_barrier_option>(tids);
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foreach (var td in g)
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{
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var extDic = td.MetaDic;
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var isMoneyness = td.IsMoneynessOption == "是";
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if (dic.TryGetValue(td.id, out var ext))
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{
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extDic["障碍_障碍类型"] = ext.BarrierType;
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extDic["障碍_障碍价格"] = ext.BarrierPrice.OtcFormatUmPrice(isMoneyness);
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extDic["障碍_高障碍价格"] = ext.UpperBarrierPrice.OtcFormatUmPrice(isMoneyness);
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extDic["障碍_补偿支付"] = TradeHelper.GetRebateTypeCn(ext.RebateType);
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extDic["障碍_补偿金额"] = OtcFormatHelper.FormatPremium(td.IsUsePremiumRate, ext.RebateRate, ext.Rebate);
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extDic["障碍_高障碍补偿金额"] = OtcFormatHelper.FormatPremium(td.IsUsePremiumRate, ext.RebateHighRate, ext.RebateHigh);
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extDic["障碍_障碍偏移"] = NumberHelper.Format(ext.BarrierShift, "F2");
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extDic["障碍_观察方式"] = ext.Discrete;
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extDic["障碍_敲入敲出状态"] = ext.KnockInOutStatusCn;
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extDic["障碍_敲入敲出日期"] = ext.KnockInOutDate.OtcFormatDate();
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extDic["障碍_补偿按敲出日年化"] = ext.RebateAnnualizedAtKO ? "是" : "否";
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extDic["障碍_补偿计息规则"] = ext.RebateDayCount;
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}
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}
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}
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break;
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case "双鲨期权":
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{
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var dic = getTradeEx<trade_double_sharkfin_option>(tids);
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foreach (var td in g)
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{
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var extDic = td.MetaDic;
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var isMoneyness = td.IsMoneynessOption == "是";
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if (dic.TryGetValue(td.id, out var ext))
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{
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extDic["双鲨_低障碍价格"] = ext.BarrierLow.OtcFormatUmPrice(isMoneyness);
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extDic["双鲨_高障碍价格"] = ext.BarrierHigh.OtcFormatUmPrice(isMoneyness);
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extDic["双鲨_低行权价"] = td.Strike.OtcFormatUmPrice(isMoneyness);
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extDic["双鲨_高行权价"] = ext.StrikeHigh.OtcFormatUmPrice(isMoneyness);
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extDic["双鲨_补偿支付"] = TradeHelper.GetRebateTypeCn(ext.RebateType);
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extDic["双鲨_补偿金额"] = OtcFormatHelper.FormatPremium(td.IsUsePremiumRate, ext.RebateRate, ext.Rebate);
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extDic["双鲨_高障碍补偿金额"] = OtcFormatHelper.FormatPremium(td.IsUsePremiumRate, ext.RebateHighRate, ext.RebateHigh);
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extDic["双鲨_观察方式"] = ext.Discrete;
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extDic["双鲨_高参与率"] = ext.CallParticipationRate.OtcFormatPercent();
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extDic["双鲨_低参与率"] = ext.PutParticipationRate.OtcFormatPercent();
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extDic["双鲨_敲入敲出日期"] = ext.KnockInOutDate.OtcFormatDate();
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extDic["双鲨_敲入敲出状态"] = ext.KnockInOutStatusCn;
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}
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}
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}
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break;
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case "二元期权":
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{
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var dic = getTradeEx<trade_binary_option>(tids);
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foreach (var td in g)
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{
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var extDic = td.MetaDic;
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var isMoneyness = td.IsMoneynessOption == "是";
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if (dic.TryGetValue(td.id, out var ext))
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{
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extDic["二元_二元类型"] = ext.PayoffType;
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extDic["二元_高障碍价格"] = ext.UpperBarrier.OtcFormatUmPrice(isMoneyness);
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extDic["二元_补偿金额"] = OtcFormatHelper.FormatPremium(td.IsUsePremiumRate, ext.CashOrNothingAmountRate, ext.CashOrNothingAmount);
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extDic["二元_高障碍补偿金额"] = OtcFormatHelper.FormatPremium(td.IsUsePremiumRate, ext.CashOrNothingAmountHighRate, ext.CashOrNothingAmountHigh);
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extDic["二元_观察方式"] = ext.MonitorType;
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extDic["二元_补偿支付"] = TradeHelper.GetRebateTypeCn(ext.RebateType);
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extDic["二元_一级收益率"] = (td.IsUsePremiumRate == true ? (td.PremiumRate > 0 ? (ext.CashOrNothingAmountRate ?? 0) / td.PremiumRate.Value : 0) : (td.TradeSinglePrice > 0 ? (ext.CashOrNothingAmount ?? 0) / td.TradeSinglePrice.Value : 0)).OtcFormat(OtcFormatFlag.percent);
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extDic["二元_保底收益率"] = (td.PrincipalRate ?? 0).OtcFormat(OtcFormatFlag.percent);
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extDic["二元_补偿按敲出日年化"] = ext.RebateAnnualizedAtKO ? "是" : "否";
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extDic["二元_补偿计息规则"] = ext.RebateDayCount;
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}
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}
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}
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break;
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case "区间累积期权":
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{
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var dic = getTradeEx<trade_rangeaccrual>(tids);
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foreach (var td in g)
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{
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var extDic = td.MetaDic;
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var isMoneyness = td.IsMoneynessOption == "是";
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if (dic.TryGetValue(td.id, out var ext))
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{
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extDic["区间累积_区间下限"] = ext.LowerRange.OtcFormatUmPrice(isMoneyness);
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extDic["区间累积_区间上限"] = ext.UpperRange.OtcFormatUmPrice(isMoneyness);
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extDic["区间累积_观察日期"] = string.IsNullOrEmpty(ext.ObservationDates) ? "起始日（含）至到期日（含）间每一交易日" : ext.ObservationDates;
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extDic["区间累积_区间收益"] = ext.BonusRate.OtcFormatPercent(4);
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}
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}
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}
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break;
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case "气囊结构":
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{
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var dic = getTradeEx<trade_airbag>(tids);
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foreach (var td in g)
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{
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var extDic = td.MetaDic;
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var isMoneyness = td.IsMoneynessOption == "是";
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if (dic.TryGetValue(td.id, out var ext))
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{
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extDic["气囊_障碍价格"] = ext.Barrier.OtcFormatUmPrice(isMoneyness);
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extDic["气囊_是否离散观察"] = ext.IsDiscreteMonitored ? "是" : "否";
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extDic["气囊_未敲入参与率"] = ext.NotKIParticipationRate.OtcFormatPercent();
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extDic["气囊_敲入参与率"] = ext.KIParticipationRate.OtcFormatPercent();
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extDic["气囊_收益封顶"] = ext.HasPayoffLimit ? "是" : "否";
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extDic["气囊_收益封顶价格"] = ext.HasPayoffLimit ? ext.HighStrike.OtcFormatUmPrice(isMoneyness) : "";
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extDic["气囊_敲入敲出状态"] = ext.KnockInOutStatusCn;
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extDic["气囊_敲入敲出日期"] = ext.KnockInOutDate.OtcFormatDate();
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}
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}
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}
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break;
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case "收益增强结构":
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{
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var dic = getTradeEx<trade_underlying_enhance>(tids);
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foreach (var td in g)
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{
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if (dic.TryGetValue(td.id, out var ext))
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{
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td.MetaDic["收益增强_年化增强收益"] = ext.AnnualizedEnhanceRate.OtcFormatPercent(4);
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}
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}
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}
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break;
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case "凤凰期权":
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{
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var dic = getTradeEx<trade_autocall>(tids);
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foreach (var td in g)
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{
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var extDic = td.MetaDic;
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var isMoneyness = td.IsMoneynessOption == "是";
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if (dic.TryGetValue(td.id, out var ext))
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{
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extDic["凤凰_票息年化"] = ext.IsFixedCoupon ? "否" : "是";
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extDic["凤凰_票息率"] = GetCoupon(ext.IsFixedCoupon, ext.CouponDayCount, ext.Coupon).OtcFormat(OtcFormatFlag.premiumRateP);
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extDic["凤凰_票息日历规则"] = ext.CouponDayCount;
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extDic["凤凰_票息包含首日"] = ext.CouponIncludeStartDate == true ? "是" : "否";
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extDic["凤凰_使用支付日计息"] = ext.CouponUsePaymentDate == true ? "是" : "否";
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extDic["凤凰_票息障碍价格"] = ext.CouponBarrier.OtcFormatUmPrice(isMoneyness);
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extDic["凤凰_票息结算方式"] = ext.CouponPayTypeDesc();
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extDic["凤凰_敲出障碍价格"] = ext.KOBarrier.OtcFormatUmPrice(isMoneyness);
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extDic["凤凰_敲入障碍价格"] = ext.KIBarrier.OtcFormatUmPrice(isMoneyness);
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extDic["凤凰_敲入到期是否支付票息"] = ext.IncludeCouponAfterKI ? "是" : "否";
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extDic["凤凰_敲入到期支付类别"] = ext.KIPayoffTypeDesc();
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extDic["凤凰_敲入行权价1"] = ext.SpreadStrike1.OtcFormatUmPrice(isMoneyness);
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extDic["凤凰_敲入行权价2"] = ext.SpreadStrike.OtcFormatUmPrice(isMoneyness);
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var KOObservationDates = ext.KOObservationDates ?? string.Empty;
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var CouponObservation = string.Empty;
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if (!string.IsNullOrWhiteSpace(KOObservationDates) && KOObservationDates.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries).Any())
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{
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var koInfo = TradeObservationHelper.GetAutocallKOObservationAndCoupon(ext.KOObservationDates, ext.CouponBarrier);
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var koObInfo = koInfo.Item2;
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var customizedResults = koObInfo.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries);
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if (customizedResults != null && customizedResults.Any())
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{
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var koObservationDates = customizedResults[0].Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
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var customizedKOBarriers = customizedResults[1].Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
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//|| customizedCoupons != null && customizedCoupons.Distinct().Count() >= 2
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if (customizedKOBarriers != null && customizedKOBarriers.Distinct().Count() >= 2)
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{
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KOObservationDates = string.Empty;
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var index = 0;
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foreach (var date in koObservationDates)
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{
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KOObservationDates += date.ToString() + "," + Convert.ToDouble(customizedKOBarriers[index]).OtcFormatUmPrice(isMoneyness) + ";";
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index++;
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}
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}
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else if (koObservationDates != null)
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{
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KOObservationDates = string.Join(";", koObservationDates.Select(O => O.ToString()));
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}
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}
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else
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{
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KOObservationDates = "";
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}
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var coInfo = koInfo.Item1;
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if (coInfo != null)
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{
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var coResults = coInfo.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries);
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var coObservationDates = coResults[0].Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
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var coBarriers = coResults[1].Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
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var coCoupons = coResults[2].Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
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if (coCoupons != null && coCoupons.Distinct().Count() >= 2)
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{
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var index = 0;
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foreach (var date in coObservationDates)
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{
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CouponObservation += date.ToString() + "," + Convert.ToDouble(coBarriers[index]).OtcFormatUmPrice(isMoneyness) + "," + Convert.ToDouble(coCoupons[index]).OtcFormatUmPrice(isMoneyness) + ";";
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index++;
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}
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}
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else if (coObservationDates != null)
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{
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CouponObservation = string.Join(";", coObservationDates.Select(O => O.ToString()));
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}
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}
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}
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extDic["敲出观察频率"] = string.IsNullOrEmpty(ext.KOObservationDates) ? "起始日（含）至到期日（含）间每一交易日" : KOObservationDates;
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extDic["票息观察频率"] = string.IsNullOrEmpty(ext.KOObservationDates) ? "起始日（含）至到期日（含）间每一交易日" : CouponObservation;
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extDic["敲入观察频率"] = string.IsNullOrEmpty(ext.ObservationDates) ? "起始日（含）至到期日（含）间每一交易日" : ext.ObservationDates;
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extDic["期权年化"] = ext.IsAnnualized2 ? "是" : "否";
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extDic["凤凰_敲入敲出状态"] = ext.KnockInOutStatusCn;
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}
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}
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}
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break;
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case "收益互换":
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//{
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// var dic = getTradeEx<trade_swap>(tids);
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// foreach (var td in g)
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// {
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// var extDic = td.MetaDic;
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// var isMoneyness = td.IsMoneynessOption == "是";
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// if (dic.TryGetValue(td.id, out var ext))
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// {
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// var PaySwapTimeAndRate = ext.PaySwapTimeAndRate == null ? "" : ext.PaySwapTimeAndRate.Split(';')[1];
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// var GetSwapTimeAndRate = ext.GetSwapTimeAndRate == null ? "" : ext.GetSwapTimeAndRate.Split(';')[1];
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// var GetSwapTime = ext.GetSwapTimeAndRate == null ? "" : ext.GetSwapTimeAndRate.Substring(0, ext.GetSwapTimeAndRate.IndexOf(";"));
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// var PaySwapTime = ext.PaySwapTimeAndRate == null ? "" : ext.PaySwapTimeAndRate.Substring(0, ext.PaySwapTimeAndRate.IndexOf(";"));
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// var GetUnderlyingAssetName = DataCacheProvider.GetUnderlyingDataSource().GetData(ext.GetUnderlyingCode)?.UnderlyingName;
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// var PayUnderlyingAssetName = DataCacheProvider.GetUnderlyingDataSource().GetData(ext.PayUnderlyingCode)?.UnderlyingName;
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// var PaySingleFeeToString = "";
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// var GetSingleFeeToString = "";
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// #region 单位交易费用导出逻辑
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// if (ext.IsGetFloatingProfit == false && ext.GetUnAnnualRate < 1 && ext.GetUnAnnualRate > 0)
|
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// {
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// GetSingleFeeToString = ext.GetUnAnnualRate.OtcFormatPercent(4);
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// }
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// else
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// {
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// GetSingleFeeToString = ext.GetSingleFee.OtcFormatUmPrice();
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// }
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// if (ext.IsPayFloatingProfit == false && ext.PayUnAnnualRate < 1 && ext.PayUnAnnualRate > 0)
|
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// {
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// PaySingleFeeToString = ext.PayUnAnnualRate.OtcFormatPercent(4);
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// }
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// else
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// {
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// PaySingleFeeToString = ext.PaySingleFee.OtcFormatUmPrice();
|
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|
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// }
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// #endregion
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// extDic["互换_支付方互换利率"] = PaySwapTimeAndRate;
|
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// extDic["互换_支付方标的代码"] = ext.PayUnderlyingCode;
|
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// extDic["互换_支付方标的名称"] = PayUnderlyingAssetName;
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// extDic["互换_支付方期初标的价格"] = ext.PaySpotPrice.OtcFormatUmPrice();
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// extDic["互换_支付方交易数量"] = ext.PayTradeAmount.OtcFormatNotional();
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// extDic["互换_支付方到期标的价格"] = ext.PayFinalPrice.OtcFormatUmPrice();
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// extDic["互换_支付方固定收益"] = ext.PayFixedProfit.OtcFormat(OtcFormatFlag.tradePrice);
|
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// extDic["互换_支付方单位交易费用"] = PaySingleFeeToString;
|
||
// extDic["互换_支付方初始预付金"] = ext.PayMarginRate.OtcFormatPercent();
|
||
// extDic["互换_支付方交易费用"] = ext.PayTradePrice.OtcFormat(OtcFormatFlag.tradePrice);
|
||
// extDic["互换_支付方多空方向"] = ext.PayLongShort;
|
||
|
||
// extDic["互换_收取方单位交易费用"] = GetSingleFeeToString;
|
||
// extDic["互换_收取方互换利率"] = GetSwapTimeAndRate;
|
||
// extDic["互换_收取方固定收益"] = ext.GetFixedProfit.OtcFormat(OtcFormatFlag.tradePrice);
|
||
// extDic["互换_收取方初始预付金"] = ext.GetMarginRate.OtcFormatPercent();
|
||
// extDic["互换_收取方交易费用"] = ext.GetTradePrice.OtcFormat(OtcFormatFlag.tradePrice);
|
||
// extDic["互换_收取方标的代码"] = ext.GetUnderlyingCode;
|
||
// extDic["互换_收取方标的名称"] = GetUnderlyingAssetName;
|
||
// extDic["互换_收取方多空方向"] = ext.GetLongShort;
|
||
// extDic["互换_收取方期初标的价格"] = ext.GetSpotPrice.OtcFormatUmPrice();
|
||
// extDic["互换_收取方交易数量"] = ext.GetTradeAmount.OtcFormatNotional();
|
||
// extDic["互换_收取方到期标的价格"] = ext.GetFinalPrice.OtcFormatUmPrice();
|
||
// extDic["互换_互换日期"] = GetSwapTime ?? PaySwapTime;
|
||
// extDic["年化天数"] = ext.AnnualDays.ToString();
|
||
// }
|
||
// }
|
||
//}
|
||
break;
|
||
case "掉期":
|
||
case "远期":
|
||
{
|
||
var dic = getTradeEx<trade_forward>(tids);
|
||
|
||
foreach (var td in g)
|
||
{
|
||
var extDic = td.MetaDic;
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
extDic["手数"] = td.Lots.OtcFormatMoney();
|
||
extDic["挂钩标的"] = td.BasisUnderlyingCode;
|
||
extDic["基差"] = td.BasisGap.OtcFormatNotional();
|
||
extDic["远期价值"] = ext.ForwardValue.OtcFormatMoney();
|
||
extDic["开仓费用"] = (ext.OpenCommission * -1).OtcFormatMoney();
|
||
extDic["开仓总费用"] = (td.TradePrice * -1).OtcFormatMoney();
|
||
extDic["年化预付金成本"] = ext.AnnualMarginRate.OtcFormatPercent();
|
||
extDic["年化仓储成本"] = ext.AnnualStoragePrice.OtcFormatMoney();
|
||
extDic["均价计算日期"] = ext.ObservationDates;
|
||
}
|
||
}
|
||
}
|
||
break;
|
||
case "雪球期权":
|
||
{
|
||
var dic = getTradeEx<trade_snowball>(tids);
|
||
foreach (var td in g)
|
||
{
|
||
var extDic = td.MetaDic;
|
||
var isMoneyness = td.IsMoneynessOption == "是";
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
var KOObservationDates = ext.KOObservationDates ?? string.Empty;
|
||
if (!string.IsNullOrWhiteSpace(KOObservationDates))
|
||
{
|
||
var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(ext.KOObservationDates);
|
||
var koObservationDates = customizedResults.Item1;
|
||
var customizedKOBarriers = customizedResults.Item2;
|
||
var customizedCoupons = customizedResults.Item3;
|
||
if (customizedKOBarriers != null && customizedKOBarriers.Distinct().Count() >= 2 || customizedCoupons != null && customizedCoupons.Distinct().Count() >= 2)
|
||
{
|
||
KOObservationDates = string.Empty;
|
||
var index = 0;
|
||
foreach (var date in koObservationDates)
|
||
{
|
||
KOObservationDates += date.ToString() + "," + customizedKOBarriers[index].OtcFormatUmPrice(isMoneyness) + "," + customizedCoupons[index].OtcFormat(OtcFormatFlag.premiumRateP) + ";";
|
||
index++;
|
||
}
|
||
}
|
||
else
|
||
{
|
||
KOObservationDates = string.Join(";", koObservationDates.Select(O => O.ToString()));
|
||
}
|
||
}
|
||
|
||
extDic["雪球_红利票息"] = ext.Coupon./*OtcFormatPercent()*/OtcFormatFlex(2, percent: true);
|
||
extDic["敲出观察频率"] = string.IsNullOrEmpty(ext.KOObservationDates) ? "起始日（含）至到期日（含）间每一交易日" : KOObservationDates;
|
||
extDic["敲入观察频率"] = ext.IsInitialKnockedIn ? "" : (string.IsNullOrEmpty(ext.ObservationDates) ? "起始日（含）至到期日（含）间每一交易日" : ext.ObservationDates);
|
||
extDic["期权年化"] = ext.IsAnnualized2 ? "是" : "否";
|
||
extDic["雪球_敲出障碍价格"] = ext.KOBarrier.OtcFormatUmPrice(isMoneyness);
|
||
extDic["雪球_敲入敲出状态"] = ext.KnockInOutStatusCn;
|
||
switch (ext.KOPayoffType)
|
||
{
|
||
case KOPayoffTypeEnum.Rebate:
|
||
extDic["雪球_敲出赔付类别"] = "票息补偿";
|
||
extDic["雪球_票息年化"] = ext.IsFixedCoupon ? "否" : "是";
|
||
extDic["雪球_票息率"] = ext.KORebate.OtcFormat(OtcFormatFlag.premiumRateP);
|
||
extDic["雪球_票息日历规则"] = ext.CouponDayCount;
|
||
extDic["雪球_票息包含首日"] = ext.CouponIncludeStartDate == true ? "是" : "否";
|
||
extDic["雪球_使用支付日计息"] = ext.CouponUsePaymentDate == true ? "是" : "否";
|
||
extDic["雪球_年化期权费率"] = ext.AnnualizedPremiumRate.OtcFormat(OtcFormatFlag.premiumRateP);
|
||
if (!string.IsNullOrWhiteSpace(ext.KOObservationSettleDates))
|
||
{
|
||
extDic["雪球_票息支付日期"] = ext.KOObservationSettleDates;
|
||
}
|
||
else
|
||
{
|
||
extDic["雪球_票息支付日期"] = extDic["敲出观察频率"];
|
||
}
|
||
|
||
break;
|
||
case KOPayoffTypeEnum.ToOption:
|
||
extDic["雪球_敲出赔付类别"] = KOPayoffTypeEnumHelper.GetDesc(KOPayoffTypeEnum.ToOption, td.CallPut);
|
||
extDic["雪球_敲出行权价1"] = ext.SpreadStrikeAtKO1.OtcFormatUmPrice(isMoneyness);
|
||
break;
|
||
case KOPayoffTypeEnum.ToSpreadOption:
|
||
extDic["雪球_敲出赔付类别"] = KOPayoffTypeEnumHelper.GetDesc(KOPayoffTypeEnum.ToSpreadOption, td.CallPut);
|
||
extDic["雪球_敲出行权价2"] = ext.SpreadStrikeAtKO.OtcFormatUmPrice(isMoneyness);
|
||
extDic["雪球_敲出行权价1"] = ext.SpreadStrikeAtKO1.OtcFormatUmPrice(isMoneyness);
|
||
break;
|
||
default:
|
||
extDic["雪球_敲出赔付类别"] = ext.KOPayoffType.ToString();
|
||
break;
|
||
}
|
||
extDic["雪球_敲出支付方式"] = RebateTypeEnumHelper.GetDesc(ext.KORebateType);
|
||
extDic["雪球_初始敲入"] = ext.IsInitialKnockedIn ? "是" : "否";
|
||
extDic["雪球_敲入障碍价格"] = ext.IsInitialKnockedIn ? "" : ext.KIBarrier.OtcFormatUmPrice(isMoneyness);
|
||
switch (ext.KIPayoffType)
|
||
{
|
||
case KIPayoffTypeEnum.None:
|
||
extDic["雪球_敲入到期支付类别"] = "无";
|
||
break;
|
||
case KIPayoffTypeEnum.ToPutOption:
|
||
extDic["雪球_敲入到期支付类别"] = "敲入转看跌";
|
||
extDic["雪球_敲入行权价"] = extDic["雪球_敲入行权价1"] = ext.SpreadStrikeAtMaturity1.OtcFormatUmPrice(isMoneyness);
|
||
break;
|
||
case KIPayoffTypeEnum.ToPutSpreadOption:
|
||
extDic["雪球_敲入到期支付类别"] = "敲入转熊市价差";
|
||
extDic["雪球_封顶/封底"] = extDic["雪球_敲入行权价2"] = ext.SpreadStrikeAtMaturity.OtcFormatUmPrice(isMoneyness);
|
||
extDic["雪球_敲入行权价"] = extDic["雪球_敲入行权价1"] = ext.SpreadStrikeAtMaturity1.OtcFormatUmPrice(isMoneyness);
|
||
break;
|
||
case KIPayoffTypeEnum.ToCallOption:
|
||
extDic["雪球_敲入到期支付类别"] = "敲入转看涨";
|
||
extDic["雪球_敲入行权价"] = extDic["雪球_敲入行权价1"] = ext.SpreadStrikeAtMaturity1.OtcFormatUmPrice(isMoneyness);
|
||
break;
|
||
case KIPayoffTypeEnum.ToCallSpreadOption:
|
||
extDic["雪球_敲入到期支付类别"] = "敲入转牛市价差";
|
||
extDic["雪球_封顶/封底"] = extDic["雪球_敲入行权价2"] = ext.SpreadStrikeAtMaturity.OtcFormatUmPrice(isMoneyness);
|
||
extDic["雪球_敲入行权价"] = extDic["雪球_敲入行权价1"] = ext.SpreadStrikeAtMaturity1.OtcFormatUmPrice(isMoneyness);
|
||
break;
|
||
default:
|
||
extDic["雪球_敲入到期支付类别"] = ext.KIPayoffType.ToString();
|
||
break;
|
||
}
|
||
|
||
if (PS.Config.IsGuoJun)
|
||
{
|
||
var instrumentTypeArr = ConsGlobal.InstrumentType.EquityTypes();
|
||
if (!instrumentTypeArr.Contains(DataCacheProvider.GetUnderlyingDataSource().GetData(td.UnderlyingCode).UnderlyingInstrumentType))
|
||
{
|
||
if (td.OptionType == "看涨")
|
||
{
|
||
extDic["雪球_敲入行权价1"] = (ext.KIPayoffType == KIPayoffTypeEnum.ToPutSpreadOption || ext.KIPayoffType == KIPayoffTypeEnum.ToCallSpreadOption ? ext.SpreadStrikeAtMaturity.OtcFormatUmPrice(isMoneyness) : "");
|
||
extDic["雪球_敲入行权价2"] = (ext.KIPayoffType != KIPayoffTypeEnum.None ? ext.SpreadStrikeAtMaturity1.OtcFormatUmPrice(isMoneyness) : "");
|
||
}
|
||
else
|
||
{
|
||
extDic["雪球_敲入行权价1"] = (ext.KIPayoffType != KIPayoffTypeEnum.None ? ext.SpreadStrikeAtMaturity1.OtcFormatUmPrice(isMoneyness) : "");
|
||
extDic["雪球_敲入行权价2"] = (ext.KIPayoffType == KIPayoffTypeEnum.ToPutSpreadOption || ext.KIPayoffType == KIPayoffTypeEnum.ToCallSpreadOption ? ext.SpreadStrikeAtMaturity.OtcFormatUmPrice(isMoneyness) : "");
|
||
}
|
||
}
|
||
else
|
||
{
|
||
extDic["雪球_敲入行权价1"] = (ext.KIPayoffType == KIPayoffTypeEnum.ToPutSpreadOption || ext.KIPayoffType == KIPayoffTypeEnum.ToCallSpreadOption ? ext.SpreadStrikeAtMaturity.OtcFormatUmPrice(isMoneyness) : "");
|
||
extDic["雪球_敲入行权价2"] = (ext.KIPayoffType != KIPayoffTypeEnum.None ? ext.SpreadStrikeAtMaturity1.OtcFormatUmPrice(isMoneyness) : "");
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|
||
break;
|
||
case "现金流交易":
|
||
{
|
||
var dic = getTradeEx<trade_cashflow>(tids);
|
||
|
||
foreach (var td in g)
|
||
{
|
||
var extDic = td.MetaDic;
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
extDic["利率"] = ext.ProfitRate.OtcFormatPercent();
|
||
extDic["利率类型"] = ext.RateType.ToString();
|
||
extDic["计息日历规则"] = ext.ProfitDayCount;
|
||
extDic["预付返还比例"] = ext.PrepayRatio.OtcFormatPercent();
|
||
}
|
||
}
|
||
}
|
||
break;
|
||
case "累计期权":
|
||
{
|
||
var dic = getTradeEx<trade_accumulator_option>(tids);
|
||
foreach (var td in g)
|
||
{
|
||
var extDic = td.MetaDic;
|
||
var isMoneyness = td.IsMoneynessOption == "是";
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
extDic["累计期权_结构类型"] = ext.AccumulatorStructureType.ToString();
|
||
if (ext.AccumulatorStructureType == AccumulatorStructureTypeEnum.Segmented)
|
||
{
|
||
//获取 trade ，valuedate
|
||
extDic["累计三段式_行权价2"] = ext.Strike2.OtcFormatUmPrice(isMoneyness);
|
||
extDic["累计三段式_行权价3"] = ext.Strike3.OtcFormatUmPrice(isMoneyness);
|
||
extDic["累计三段式_乘数1"] = ext.Multiplier.OtcFormatUmPrice();
|
||
extDic["累计三段式_乘数2"] = ext.Multiplier2.OtcFormatUmPrice();
|
||
extDic["累计三段式_乘数3"] = ext.Multiplier3.OtcFormatUmPrice();
|
||
|
||
if (dateTime != null)
|
||
{
|
||
var td_db = DbContext.trade.FirstOrDefault(l => l.id == td.id);
|
||
bool Isexist = new OptionTradeActionRestoreService(this).RestoreTradeDataToSpecialDay(td_db, Convert.ToDateTime(dateTime));
|
||
if (Isexist)
|
||
extDic["累计三段式_敲出障碍价格"] = td_db.trade_accumulator_option.KOBarrier.OtcFormatUmPrice(isMoneyness);
|
||
else
|
||
extDic["累计三段式_敲出障碍价格"] = ext.KOBarrier.OtcFormatUmPrice(isMoneyness);
|
||
}
|
||
else
|
||
{
|
||
extDic["累计三段式_敲出障碍价格"] = ext.KOBarrier.OtcFormatUmPrice(isMoneyness);
|
||
}
|
||
extDic["累计三段式_上端收益类型"] = ext.PayoffType;
|
||
extDic["累计三段式_累计类型"] = ext.AccumuType;
|
||
if (ext.PayoffType == "固定")
|
||
{
|
||
extDic["累计三段式_票息1"] = ext.Coupon.OtcFormat(ext.CouponPercent ? OtcFormatFlag.premiumRateP : OtcFormatFlag.umprice);
|
||
extDic["累计三段式_票息2"] = ext.Coupon2.OtcFormat(ext.CouponPercent ? OtcFormatFlag.premiumRateP : OtcFormatFlag.umprice);
|
||
extDic["累计三段式_票息日历规则"] = ext.CouponDayCount;
|
||
extDic["累计三段式_票息年化"] = ext.IsFixedCoupon ? "否" : "是";
|
||
}
|
||
|
||
extDic["累计三段式_敲出是否终止"] = ext.EarlyTerminate ? "是" : "否";
|
||
if (string.IsNullOrEmpty(ext.KOObservationDates))
|
||
{
|
||
extDic["累计三段式_观察日期"] = "起始日至到期日（含）间每一交易日";
|
||
}
|
||
else
|
||
{
|
||
extDic["累计三段式_观察日期"] = ext.KOObservationDates;
|
||
}
|
||
extDic["累计三段式_结算方式1"] = ext.SettlementMode == "现金结算" ? "现金结算(当日)" : ext.SettlementMode;
|
||
//判断结算方式是否为实物交割
|
||
if (ext.SettlementMode != "实物交割"&& ext.SettlementMode!= "现金实物合并结算")
|
||
{
|
||
extDic["累计三段式_远期期初价类型1"] = null;
|
||
extDic["累计三段式_远期到期日类型1"] = null;
|
||
}
|
||
else
|
||
{
|
||
extDic["累计三段式_远期期初价类型1"] = ext.ForwardPriceType;
|
||
extDic["累计三段式_远期到期日类型1"] = ext.ForwardDateType;
|
||
}
|
||
extDic["累计三段式_结算方式2"] = ext.SettlementMode2 == "现金结算" ? "现金结算(当日)" : ext.SettlementMode2;
|
||
//判断结算方式是否为实物交割
|
||
if (ext.SettlementMode2 != "实物交割"&& ext.SettlementMode2 != "现金实物合并结算")
|
||
{
|
||
extDic["累计三段式_远期期初价类型2"] = null;
|
||
extDic["累计三段式_远期到期日类型2"] = null;
|
||
}
|
||
else
|
||
{
|
||
extDic["累计三段式_远期期初价类型2"] = ext.ForwardPriceType2;
|
||
extDic["累计三段式_远期到期日类型2"] = ext.ForwardDateType2;
|
||
}
|
||
extDic["累计三段式_结算方式3"] = ext.SettlementMode3 == "现金结算" ? "现金结算(当日)" : ext.SettlementMode3;
|
||
//判断结算方式是否为实物交割
|
||
if (ext.SettlementMode3 != "实物交割" && ext.SettlementMode3 != "现金实物合并结算")
|
||
{
|
||
extDic["累计三段式_远期期初价类型3"] = null;
|
||
extDic["累计三段式_远期到期日类型3"] = null;
|
||
}
|
||
else
|
||
{
|
||
extDic["累计三段式_远期期初价类型3"] = ext.ForwardPriceType3;
|
||
extDic["累计三段式_远期到期日类型3"] = ext.ForwardDateType3;
|
||
}
|
||
extDic["累计三段式_沽购数量"] = ext.OriginalAccumuTradeAmount.OtcFormatUmPrice();
|
||
|
||
var KOObservationDates = ext.KOObservationDates ?? string.Empty;
|
||
if (!string.IsNullOrWhiteSpace(KOObservationDates))
|
||
{
|
||
var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(ext.KOObservationDates);
|
||
var koObservationDates = customizedResults.Item1;
|
||
KOObservationDates = string.Join(";", koObservationDates.Select(O => O.ToString()));
|
||
}
|
||
extDic["敲出观察频率"] = string.IsNullOrEmpty(ext.KOObservationDates) ? "起始日至到期日（含）间每一交易日" : KOObservationDates;
|
||
|
||
}
|
||
else
|
||
{
|
||
//获取 trade ，valuedate
|
||
if (dateTime != null)
|
||
{
|
||
var td_db = DbContext.trade.FirstOrDefault(l => l.id == td.id);
|
||
bool Isexist = new OptionTradeActionRestoreService(this).RestoreTradeDataToSpecialDay(td_db, Convert.ToDateTime(dateTime));
|
||
if (Isexist)
|
||
extDic["累计_敲出障碍价格"] = td_db.trade_accumulator_option.KOBarrier.OtcFormatUmPrice(isMoneyness);
|
||
else
|
||
extDic["累计_敲出障碍价格"] = ext.KOBarrier.OtcFormatUmPrice(isMoneyness);
|
||
}
|
||
else
|
||
{
|
||
extDic["累计_敲出障碍价格"] = ext.KOBarrier.OtcFormatUmPrice(isMoneyness);
|
||
}
|
||
extDic["累计_上端收益类型"] = ext.PayoffType;
|
||
extDic["累计_累计类型"] = ext.AccumuType;
|
||
if (ext.PayoffType == "固定")
|
||
{
|
||
extDic["累计_票息"] = ext.Coupon.OtcFormat(ext.CouponPercent ? OtcFormatFlag.premiumRateP : OtcFormatFlag.umprice);
|
||
extDic["累计_票息日历规则"] = ext.CouponDayCount;
|
||
extDic["累计_票息年化"] = ext.IsFixedCoupon ? "否" : "是";
|
||
}
|
||
extDic["累计_看涨乘数"] = ext.CallMultiplier.OtcFormatUmPrice();
|
||
extDic["累计_看跌乘数"] = ext.PutMultiplier.OtcFormatUmPrice();
|
||
extDic["累计_杠杆倍数"] = ConsGlobal.CallPut.IsCall(td.CallPut) ? extDic["累计_看跌乘数"] : extDic["累计_看涨乘数"];
|
||
extDic["累计_敲出是否终止"] = ext.EarlyTerminate ? "是" : "否";
|
||
extDic["累计_结算方式"] = ext.GetSettlementModeDesc();
|
||
if (string.IsNullOrEmpty(ext.KOObservationDates))
|
||
{
|
||
extDic["累计_观察日期"] = "起始日至到期日（含）间每一交易日";
|
||
}
|
||
else
|
||
{
|
||
extDic["累计_观察日期"] = ext.KOObservationDates;
|
||
}
|
||
|
||
|
||
//判断结算方式是否为实物交割
|
||
if (ext.GetSettlementModeDesc() != "实物交割"&& ext.GetSettlementModeDesc() != "现金实物合并结算")
|
||
{
|
||
extDic["累计_远期期初价类型"] = null;
|
||
extDic["累计_远期到期日类型"] = null;
|
||
}
|
||
else
|
||
{
|
||
extDic["累计_远期期初价类型"] = ext.ForwardPriceType;
|
||
extDic["累计_远期到期日类型"] = ext.ForwardDateType;
|
||
}
|
||
extDic["累计_沽购数量"] = ext.OriginalAccumuTradeAmount.OtcFormatUmPrice();
|
||
|
||
var KOObservationDates = ext.KOObservationDates ?? string.Empty;
|
||
if (!string.IsNullOrWhiteSpace(KOObservationDates))
|
||
{
|
||
var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(ext.KOObservationDates);
|
||
var koObservationDates = customizedResults.Item1;
|
||
KOObservationDates = string.Join(";", koObservationDates.Select(O => O.ToString()));
|
||
}
|
||
extDic["敲出观察频率"] = string.IsNullOrEmpty(ext.KOObservationDates) ? "起始日至到期日（含）间每一交易日" : KOObservationDates;
|
||
}
|
||
}
|
||
}
|
||
}
|
||
break;
|
||
case "自定义交易":
|
||
{
|
||
var otherTrades = otcTrades.Where(x => x.ExtendInfo != null).ToList();
|
||
otherTrades.ForEach(x =>
|
||
{
|
||
if (x.Propertys != null)
|
||
{
|
||
foreach (var item in x.Propertys)
|
||
{
|
||
var extDic = x.MetaDic;
|
||
extDic["自定义_" + item.name] = item.value;
|
||
|
||
}
|
||
}
|
||
});
|
||
}
|
||
break;
|
||
case "Risky期权":
|
||
{
|
||
var dic = getTradeEx<trade_risky_option>(tids);
|
||
foreach (var td in g)
|
||
{
|
||
var extDic = td.MetaDic;
|
||
var isMoneyness = td.IsMoneynessOption == "是";
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
extDic["Risky_执行价格1"] = ext.Strike1.OtcFormatUmPrice(isMoneyness);
|
||
extDic["Risky_执行价格2"] = ext.Strike2.OtcFormatUmPrice(isMoneyness);
|
||
extDic["Risky_执行价格3"] = ext.Strike3.OtcFormatUmPrice(isMoneyness);
|
||
extDic["Risky_参与率1"] = ext.ParticipationRate1.OtcFormat(OtcFormatFlag.premiumRateP);
|
||
extDic["Risky_参与率2"] = ext.ParticipationRate2.OtcFormat(OtcFormatFlag.premiumRateP);
|
||
extDic["Risky_参与率3"] = ext.ParticipationRate3.OtcFormat(OtcFormatFlag.premiumRateP);
|
||
}
|
||
};
|
||
}
|
||
break;
|
||
}
|
||
}
|
||
|
||
if (setMetaData)
|
||
{
|
||
SetTradeMeta(otcTrades);
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 转化票息率
|
||
/// </summary>
|
||
/// <param name="isFixedCoupon">是否年化 false 是 true 否</param>
|
||
/// <param name="couponDayCount">票息日历规则</param>
|
||
/// <param name="coupon">票息率</param>
|
||
/// <returns></returns>
|
||
private double GetCoupon(bool isFixedCoupon, string couponDayCount, double coupon)
|
||
{
|
||
//if (PS.Config.Company == Configuration.CompanyEnum.国泰君安)
|
||
//{
|
||
// if (isFixedCoupon)
|
||
// {
|
||
// switch (couponDayCount)
|
||
// {
|
||
// case "Monthly":
|
||
// return coupon * 12;
|
||
// default:
|
||
// return coupon;
|
||
// }
|
||
// }
|
||
//}
|
||
return coupon;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 设置奇异要素
|
||
/// </summary>
|
||
public void SetTradeExtend(IEnumerable<OtcOptionTradeFull> otcTrades, bool setMetaData = false)
|
||
{
|
||
if (otcTrades is null || !otcTrades.Any())
|
||
{
|
||
return;
|
||
}
|
||
|
||
void setTradeEx<T>(IEnumerable<OtcOptionTradeFull> tds) where T : TradeExtendBase
|
||
{
|
||
var tids = tds.Select(n => n.id).ToHashSet();
|
||
var dic = DbContext.Set<T>().Where(n => tids.Contains(n.TradeId)).ToDictionary(n => n.TradeId);
|
||
foreach (var td in tds)
|
||
{
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
YLAutoMapper.Map(ext, td);
|
||
}
|
||
}
|
||
}
|
||
|
||
var extGroups = otcTrades.GroupBy(n => n.IsGroup == 1 && n.StructureType == "气囊结构" ? "气囊结构" : n.TradeType).ToArray();
|
||
|
||
foreach (var g in extGroups)
|
||
{
|
||
switch (g.Key)
|
||
{
|
||
case "亚式期权":
|
||
setTradeEx<trade_asian_option>(g); break;
|
||
case "障碍期权":
|
||
setTradeEx<trade_barrier_option>(g); break;
|
||
case "双鲨期权":
|
||
setTradeEx<trade_double_sharkfin_option>(g); break;
|
||
case "二元期权":
|
||
setTradeEx<trade_binary_option>(g); break;
|
||
case "区间累积期权":
|
||
setTradeEx<trade_rangeaccrual>(g); break;
|
||
case "气囊结构":
|
||
setTradeEx<trade_airbag>(g); break;
|
||
case "收益增强结构":
|
||
setTradeEx<trade_underlying_enhance>(g); break;
|
||
case "凤凰期权":
|
||
setTradeEx<trade_autocall>(g); break;
|
||
case "雪球期权":
|
||
setTradeEx<trade_snowball>(g); break;
|
||
case "累计期权":
|
||
setTradeEx<trade_accumulator_option>(g); break;
|
||
case "现金流交易":
|
||
setTradeEx<trade_cashflow>(g); break;
|
||
case "自定义交易":
|
||
setTradeEx<trade_custom>(g); break;
|
||
case "Risky期权":
|
||
setTradeEx<trade_risky_option>(g); break;
|
||
}
|
||
}
|
||
|
||
if (setMetaData)
|
||
{
|
||
SetTradeMeta(otcTrades);
|
||
}
|
||
}
|
||
|
||
public void SetTradeExtend(OtcOptionTradeFull otcTrade, trade input)
|
||
{
|
||
if (otcTrade == null || input == null)
|
||
{
|
||
return;
|
||
}
|
||
|
||
switch (otcTrade.TradeType)
|
||
{
|
||
case "亚式期权":
|
||
setTradeEx(input.trade_asian_option); break;
|
||
case "障碍期权":
|
||
setTradeEx(input.trade_barrier_option); break;
|
||
case "双鲨期权":
|
||
setTradeEx(input.trade_double_sharkfin_option); break;
|
||
case "二元期权":
|
||
setTradeEx(input.trade_binary_option); break;
|
||
case "区间累积期权":
|
||
setTradeEx(input.trade_rangeaccrual); break;
|
||
case "气囊结构":
|
||
setTradeEx(input.trade_airbag); break;
|
||
case "收益增强结构":
|
||
setTradeEx(input.trade_underlying_enhance); break;
|
||
case "凤凰期权":
|
||
setTradeEx(input.trade_autocall); break;
|
||
case "雪球期权":
|
||
setTradeEx(input.trade_snowball); break;
|
||
case "累计期权":
|
||
setTradeEx(input.trade_accumulator_option);
|
||
otcTrade.StrikeGearingFactor = ConsGlobal.CallPut.IsCall(input.OptionType) ? otcTrade.PutMultiplier : otcTrade.CallMultiplier;
|
||
break;
|
||
case "现金流交易":
|
||
setTradeEx(input.trade_cashflow); break;
|
||
case "自定义交易":
|
||
setTradeEx(input.trade_custom); break;
|
||
}
|
||
|
||
void setTradeEx<T>(T extend) where T : TradeExtendBase
|
||
{
|
||
YLAutoMapper.Map(extend, otcTrade);
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 设置奇异要素
|
||
/// </summary>
|
||
public void SetTradeExtend(IEnumerable<trade> tradeList, bool setMetaData = false, bool tracking = false)
|
||
{
|
||
if (tradeList is null || !tradeList.Any())
|
||
{
|
||
return;
|
||
}
|
||
|
||
void InnerSetExt<T>(IEnumerable<trade> tds, Func<trade, T> getter, Action<trade, T> setter) where T : TradeExtendBase
|
||
{
|
||
var tids = tds.Where(n =>
|
||
{
|
||
var obj = getter(n);
|
||
return obj == null || obj.TradeId != n.id;
|
||
}).Select(n => n.id).ToHashSet();
|
||
|
||
var dic = (tracking ? DbContext.Set<T>() : DbContext.Set<T>().AsNoTracking()).Where(n => tids.Contains(n.TradeId)).ToDictionary(n => n.TradeId);
|
||
|
||
foreach (var td in tds)
|
||
{
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
setter(td, ext);
|
||
}
|
||
}
|
||
}
|
||
void InnerSetExt2<T>(IEnumerable<trade> tds, Func<trade, List<T>> getter, Action<trade, List<T>> setter) where T : TradeExtendBase
|
||
{
|
||
var tids = tds.Where(n =>
|
||
{
|
||
var obj = getter(n);
|
||
return obj == null || obj.Count == 0 || obj.FirstOrDefault()?.TradeId != n.id;
|
||
}).Select(n => n.id).ToHashSet();
|
||
|
||
var dic = (tracking ? DbContext.Set<T>() : DbContext.Set<T>().AsNoTracking()).Where(n => tids.Contains(n.TradeId))
|
||
.AsEnumerable().GroupBy(O => O.TradeId).ToDictionary(K => K.Key, V => V.ToList());
|
||
|
||
foreach (var td in tds)
|
||
{
|
||
if (dic.TryGetValue(td.id, out var ext))
|
||
{
|
||
setter(td, ext);
|
||
}
|
||
}
|
||
}
|
||
|
||
var extGroups = tradeList.Where(n => n.id > 0).GroupBy(n => n.IsGroup == 1 && n.StructureType == "气囊结构" ? "气囊结构" : n.TradeType).ToArray();
|
||
|
||
foreach (var g in extGroups)
|
||
{
|
||
var tids = g.Select(n => n.id).ToHashSet();
|
||
|
||
switch (g.Key)
|
||
{
|
||
case "亚式期权":
|
||
InnerSetExt(g, t => t.trade_asian_option, (t, ext) => t.trade_asian_option = ext);
|
||
break;
|
||
case "障碍期权":
|
||
InnerSetExt(g, t => t.trade_barrier_option, (t, ext) => t.trade_barrier_option = ext);
|
||
break;
|
||
case "Risky期权":
|
||
InnerSetExt(g, t => t.trade_risky_option, (t, ext) => t.trade_risky_option = ext);
|
||
break;
|
||
case "双鲨期权":
|
||
InnerSetExt(g, t => t.trade_double_sharkfin_option, (t, ext) => t.trade_double_sharkfin_option = ext);
|
||
break;
|
||
case "二元期权":
|
||
InnerSetExt(g, t => t.trade_binary_option, (t, ext) => t.trade_binary_option = ext);
|
||
break;
|
||
case "区间累积期权":
|
||
InnerSetExt(g, t => t.trade_rangeaccrual, (t, ext) => t.trade_rangeaccrual = ext);
|
||
break;
|
||
case "气囊结构":
|
||
InnerSetExt(g, t => t.trade_airbag, (t, ext) => t.trade_airbag = ext);
|
||
break;
|
||
case "收益增强结构":
|
||
InnerSetExt(g, t => t.trade_underlying_enhance, (t, ext) => t.trade_underlying_enhance = ext);
|
||
break;
|
||
case "凤凰期权":
|
||
InnerSetExt(g, t => t.trade_autocall, (t, ext) => t.trade_autocall = ext);
|
||
break;
|
||
case "雪球期权":
|
||
InnerSetExt(g, t => t.trade_snowball, (t, ext) => t.trade_snowball = ext);
|
||
break;
|
||
case "彩虹期权":
|
||
InnerSetExt(g, t => t.trade_rainbow_option, (t, ext) => t.trade_rainbow_option = ext);
|
||
break;
|
||
case "价差期权":
|
||
InnerSetExt(g, t => t.trade_spread_option, (t, ext) => t.trade_spread_option = ext);
|
||
break;
|
||
case "收益互换":
|
||
//InnerSetExt(g, t => t.trade_swap, (t, ext) => t.trade_swap = ext);
|
||
//InnerSetExt2(g, t => t.get_trade_swap_details, (t, ext) => t.get_trade_swap_details = ext.Where(O => O.IsForGet && O.ValidState != "InValid").ToList());
|
||
//InnerSetExt2(g, t => t.pay_trade_swap_details, (t, ext) => t.pay_trade_swap_details = ext.Where(O => !O.IsForGet && O.ValidState != "InValid").ToList());
|
||
break;
|
||
case "合成价差期权":
|
||
//香草期权和合成价差期权都没有奇异要素扩展字段
|
||
break;
|
||
case "远期":
|
||
InnerSetExt(g, t => t.trade_forward, (t, ext) => t.trade_forward = ext);
|
||
break;
|
||
case "现金流交易":
|
||
InnerSetExt(g, t => t.trade_cashflow, (t, ext) => t.trade_cashflow = ext);
|
||
break;
|
||
case "自定义交易":
|
||
InnerSetExt(g, t => t.trade_custom, (t, ext) => t.trade_custom = ext);
|
||
break;
|
||
case "累计期权":
|
||
InnerSetExt(g, t => t.trade_accumulator_option, (t, ext) => t.trade_accumulator_option = ext);
|
||
break;
|
||
}
|
||
}
|
||
|
||
if (setMetaData)
|
||
{
|
||
SetTradeMeta(tradeList);
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 设置元数据
|
||
/// </summary>
|
||
public void SetTradeMeta(IEnumerable<OtcTradeBase> otcTrades)
|
||
{
|
||
if (otcTrades is null || !otcTrades.Any())
|
||
{
|
||
return;
|
||
}
|
||
|
||
var set = new HashSet<int>();//应该没有重复的数据但也防止下意外情况的发生
|
||
var tradDic = otcTrades.Where(n => set.Add(n.id)).ToDictionary(n => n.id);
|
||
|
||
//为前端下载所有数据优化
|
||
for (var i = 0; i < set.Count; i += 1000)
|
||
{
|
||
var ids = set.Skip(i).Take(1000).ToArray();
|
||
|
||
var metaDatas = DbContext.TradeMeta.Where(n => ids.Contains(n.TradeId))
|
||
.Select(n => new { n.TradeId, n.MetaKey, n.MetaValue }).ToArray();
|
||
|
||
foreach (var meta in metaDatas)
|
||
{
|
||
if (tradDic.TryGetValue(meta.TradeId, out var td))
|
||
{
|
||
td.MetaDic[meta.MetaKey] = meta.MetaValue;
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|