676 lines
20 KiB
C#
676 lines
20 KiB
C#
using YLErp.BLL.MarginCalculation;
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using YLErp.DBModels;
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using YLErp.Enums;
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using YLErp.Modules;
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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.Modules.PricingModule;
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using YLErp.Modules.TradeModule;
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using YLErp.Modules.VolatilityModule;
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namespace YLErp.Forms
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{
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public partial class FormOption : Form
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{
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readonly RichTextBoxWriter _rbWriter;
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FormJsonView _formJsonView;
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public FormOption()
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{
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InitializeComponent();
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_rbWriter = new RichTextBoxWriter(richTextBoxLog);
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}
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private void ShowJson(object obj)
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{
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var json = JsonHelper.Serialize(obj);
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_rbWriter.WriteLine(json);
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if (_formJsonView == null)
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{
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_formJsonView = new FormJsonView();
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}
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_formJsonView.SetJson(json).ShowDialog();
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}
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//查看交易
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private void btnViewTrade_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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_rbWriter.Clear().WriteLine(btnViewTrade.Text);
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ShowJson(data.trade);
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}
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//定价计算
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private void btnPricing_Click(object sender, EventArgs e)
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{
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ExecPricing();
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}
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private void btnPricingV2_Click(object sender, EventArgs e)
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{
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ExecPricing("V2");
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}
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private void ExecPricing(string calcVersion = "V1")
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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var tdFull = data.tradeFull;
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ResetTrade(tdFull);
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_rbWriter.Clear().Write(DateTime.Now.ToString() + " ").WriteLine(btnPricing.Text);
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tdFull.OptionType = "看涨";
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var result = new PriceCalcService(GetOptUserInfo()).CalcOptionPrice(tdFull, calcMargin: false, CalcScenarioEnum.Pricing, calcVersion: calcVersion);
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ShowJson(result);
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_rbWriter.WriteLine(DateTime.Now);
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}
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private void btnViewPosition_Click(object sender, EventArgs e)
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{
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var valueDate = GetPosCalcValueDate();
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var data = GetCalcData(valueDate);
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if (data == null)
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{
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return;
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}
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_rbWriter.Clear().WriteLine(btnViewPosition.Text);
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ShowJson(data.trade);
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}
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//计算持仓PV
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private void btnCalcPv_Click(object sender, EventArgs e)
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{
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var data = GetCalcDataV2();
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if (data == null)
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{
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return;
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}
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_rbWriter.Clear().WriteLine(btnCalcPv.Text);
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var sw = new System.Diagnostics.Stopwatch();
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sw.Start();
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var td = data.trade;
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var req = new OptionValueCalcRequest(td.NoRiskRate ?? BLL.valuedateBLL.SysRiskFreeRate())
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{
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vols = new[] { data.vol },
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spotPrices = new[] { data.underlyingPrice },
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preciseTimeMode = checkRealTime.Checked,
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calcDeltaT1 = true,
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calcScenario = Enums.CalcScenarioEnum.RealtimeRisk
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};
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var result = OptionCalculatorV2.GetOptionValueResult(data.valueDate, td, req, out _);
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sw.Stop();
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_rbWriter.WriteLine($"耗时{sw.ElapsedMilliseconds / 1000}秒,pv:{result.Pv}");
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ShowJson(result);
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}
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//计算持仓保证金
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private void btnCalcMargin_Click(object sender, EventArgs e)
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{
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var data = GetCalcDataV2();
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if (data == null)
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{
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return;
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}
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_rbWriter.Clear().WriteLine(btnCalcMargin.Text);
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var sw = new System.Diagnostics.Stopwatch();
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sw.Start();
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var td = data.trade;
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var priceProvider = new ManualPriceProvider();
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priceProvider.SetPrice(td.UnderlyingCode, data.underlyingPrice);
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var req = new RunMarginCalculationReq(OptUserInfo.UnitTestUser)
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{
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forOtherSide = false,
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hasOptionInfo = true,
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PriceProvider = priceProvider,
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settleDate = data.valueDate,
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tradeList = new List<trade> { td },
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volType = "持仓",
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CalcMarginType = checkRealTime.Checked
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? Enums.CalcMarginTypeEnum.None : Enums.CalcMarginTypeEnum.EodMargin,
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};
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var list = MarginDefault.RunMarginCalculation(req);
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sw.Stop();
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_rbWriter.WriteLine($"耗时{sw.ElapsedMilliseconds / 1000}秒");
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if (list.Count < 1)
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{
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_rbWriter.WriteLine($"没有取到日期'{data.valueDate:yyyy-MM-dd}'的保证金");
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}
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else
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{
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ShowJson(list[0]);
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}
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}
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//是否实时风险
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private void checkRealTime_CheckedChanged(object sender, EventArgs e)
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{
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if (checkRealTime.Checked)
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{
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dateTimePicker1.Enabled = false;
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dateTimePicker1.Value = BLL.valuedateBLL.ValueDate;
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btnViewPosition.Text = "查看实时持仓";
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btnCalcPv.Text = "计算实时PV";
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btnCalcMargin.Text = "计算实时保证金";
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}
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else
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{
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dateTimePicker1.Enabled = true;
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btnViewPosition.Text = "查看日终持仓";
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btnCalcPv.Text = "计算日终PV";
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btnCalcMargin.Text = "计算日终保证金";
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}
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}
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//获取实时行情标的价格
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private void menuGetCurUmPrice_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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var um = DbContextFactory.GetYLDbContext().underlying_manager
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.Where(n => n.UnderlyingCode == data.trade.UnderlyingCode)
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.Select(n => new { n.Price }).FirstOrDefault();
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if (um == null)
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{
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tbUnderlyingPrice.Text = string.Empty;
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_rbWriter.WriteLine("标的数据不存在:" + data.trade.UnderlyingCode);
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}
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else
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{
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tbUnderlyingPrice.Text = um.Price?.ToString("F4");
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}
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}
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//日终收盘价
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private void menuGetEodClosePrice_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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var valueDate = GetPosCalcValueDate();
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var provider = new EodPriceProvider(valueDate);
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if (provider.TryGetEodPrice(data.trade.UnderlyingCode, out var eodPrice))
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{
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tbUnderlyingPrice.Text = eodPrice.ClosePrice.ToString("F4");
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}
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else
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{
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tbUnderlyingPrice.Text = string.Empty;
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_rbWriter.WriteLine($"日期'{valueDate:yyyy-MM-dd}',标的收盘价不存在:{data.trade.UnderlyingCode}");
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}
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}
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//日终结算价
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private void menuGetEodSettlePrice_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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var valueDate = GetPosCalcValueDate();
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var provider = new EodPriceProvider(valueDate);
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if (provider.TryGetEodPrice(data.trade.UnderlyingCode, out var eodPrice))
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{
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tbUnderlyingPrice.Text = eodPrice.SettlePrice.ToString("F4");
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}
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else
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{
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tbUnderlyingPrice.Text = string.Empty;
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_rbWriter.WriteLine($"日期'{valueDate:yyyy-MM-dd}',标的结算价不存在:{data.trade.UnderlyingCode}");
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}
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}
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//日终参考价
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private void menuGetEodRefPrice_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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var valueDate = GetPosCalcValueDate();
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var provider = new EodPriceProvider(valueDate);
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if (provider.TryGetEodPrice(data.trade.UnderlyingCode, out var eodPrice))
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{
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tbUnderlyingPrice.Text = eodPrice.GetPrice(SettlementTypeEnum.ReferencePrice).ToString("F4");
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}
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else
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{
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tbUnderlyingPrice.Text = string.Empty;
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_rbWriter.WriteLine($"日期'{valueDate:yyyy-MM-dd}',标的参考价不存在:{data.trade.UnderlyingCode}");
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}
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}
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//持仓波动率
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private void menuGetPositionVol_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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var td = data.trade;
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var valueDate = GetPosCalcValueDate();
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var provider = new TradeVolitalityProvider(valueDate) { Initialized = true };
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if (provider.TryGetVol(td.id, td.ExerciseDate ?? valueDate, out var vol))
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{
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tbVol.Text = vol.ToString("P4");
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}
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else
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{
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_rbWriter.WriteLine($"未获取到持仓波动率,交易编号:{td.TradeNumber},交易ID:{td.id},日期:{valueDate:yyyy-MM-dd}");
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}
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}
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//对冲波动率
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private void menuGetHedgeVol_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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var td = data.trade;
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var valueDate = GetPosCalcValueDate();
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var provider = new TradeHedgeVolProvider(valueDate) { Initialized = true };
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if (provider.TryGetVol(td.id, out var vol))
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{
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tbVol.Text = vol.ToString("P4");
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}
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else
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{
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_rbWriter.WriteLine($"未获取到对冲波动率,交易编号:{td.TradeNumber},交易ID:{td.id},日期:{valueDate:yyyy-MM-dd}");
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}
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}
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//开仓波动率
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private void menuGetOpenVol_Click(object sender, EventArgs e)
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{
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var data = GetCalcData(null);
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if (data == null)
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{
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return;
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}
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tbVol.Text = data.trade.TradeOpenVolatility?.ToString("P4");
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}
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#region----计算数据处理----
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private DateTime GetPosCalcValueDate()
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{
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return QdpModule.QdpCalendarHelper.GetNonHoliday(dateTimePicker1.Value.Date);
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}
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private CalcDataV2 GetCalcDataV2()
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{
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var valueDate = GetPosCalcValueDate();
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var data = GetCalcData(checkRealTime.Checked ? null : valueDate);
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if (data == null)
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{
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return null;
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}
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if (!double.TryParse(tbUnderlyingPrice.Text, out var underlyingPrice))
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{
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MessageBox.Show("解析标的价格失败：" + tbUnderlyingPrice.Text);
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return null;
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}
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if (!NumberHelper.TryParse(tbVol.Text, out var vol, out var isPercent))
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{
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MessageBox.Show("解析波动率失败：" + tbVol.Text);
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return null;
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}
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return new CalcDataV2(data)
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{
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vol = vol,
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underlyingPrice = underlyingPrice,
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valueDate = valueDate
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};
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}
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private CalcData GetCalcData(DateTime? eodValueDate)
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{
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try
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{
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var tdInput = richTextBoxTrade.Text.Trim();
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trade td = null;
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OtcOptionTradeFull tdFull = null;
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string errMsg = null;
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switch (cmbTradeDataSource.Text)
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{
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case "交易ID":
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errMsg = GetDataByTradeId(tdInput, out td, out tdFull, eodValueDate);
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break;
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case "交易编号":
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errMsg = GetDataByTradeNumber(tdInput, out td, out tdFull, eodValueDate);
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break;
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case "表单数据(定价请求)":
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tdFull = ParseFormData(richTextBoxTrade.Lines);
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break;
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case "JSON数据(trade)":
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td = JsonHelper.Deserialize<trade>(tdInput);
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break;
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case "JSON数据(tradeFull)":
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tdFull = JsonHelper.Deserialize<OtcOptionTradeFull>(tdInput);
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break;
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}
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if (!string.IsNullOrEmpty(errMsg))
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{
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MessageBox.Show(errMsg);
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return null;
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}
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if (td == null && tdFull == null)
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{
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MessageBox.Show("交易数据不存在");
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return null;
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}
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if (td == null)
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{
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td = TradeConverter.ConvertOptionTrade(tdFull);
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}
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if (tdFull == null)
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{
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tdFull = TradeConverter.ConvertToOptionTrade(td);
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}
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return new CalcData(td, tdFull);
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}
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catch (Exception ex)
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{
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MessageBox.Show(ex.ToString());
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return null;
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}
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}
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private static string GetDataByTradeId(string tradeIdStr, out trade td, out OtcOptionTradeFull tdFull, DateTime? eodValueDate)
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{
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td = null;
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tdFull = null;
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if (string.IsNullOrEmpty(tradeIdStr))
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{
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return "请填写交易ID";
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}
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if (!int.TryParse(tradeIdStr, out var tradeId))
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{
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return "交易ID未能正确解析成整数:" + tradeIdStr;
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}
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if (eodValueDate.HasValue)
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{
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td = GetEodTrade(eodValueDate.Value, tradeId, null);
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}
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else
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{
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tdFull = new TradeDetailsQueryService(GetOptUserInfo()).GetOtcTradeFull(tradeId);
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}
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return null;
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}
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private string GetDataByTradeNumber(string tradeNumber, out trade td, out OtcOptionTradeFull tdFull, DateTime? eodValueDate)
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{
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td = null;
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tdFull = null;
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if (string.IsNullOrEmpty(tradeNumber))
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{
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return "请填写交易编号";
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}
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if (eodValueDate.HasValue)
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{
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td = GetEodTrade(eodValueDate.Value, 0, tradeNumber);
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}
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else
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{
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tdFull = new TradeDetailsQueryService(GetOptUserInfo()).GetOtcTradeFull(tradeNumber);
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}
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return null;
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}
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private static trade GetEodTrade(DateTime valueDate, int tradeId, string tradeNumber)
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{
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var predicateBuilder = new EodQueryPredicateBuilder(new EodSettlementRequest(GetOptUserInfo())
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{
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SettleDate = valueDate,
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UseClosePrice = true,
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VolType = "持仓"
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});
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var predicate = string.IsNullOrEmpty(tradeNumber)
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? PredicateBuilder.Create<trade>(t => t.id == tradeId)
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: PredicateBuilder.Create<trade>(t => t.TradeNumber == tradeNumber);
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predicate = predicate.And(predicateBuilder.GetOtcTradePredicate());
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var otcTrades = new EodSettleDataQueryService(GetOptUserInfo())
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.GetOtcTrades(valueDate, predicate, out var tradeCashProvider);
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if (valueDate != BLL.valuedateBLL.ValueDate && otcTrades.Any())
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{
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var hisDataProvider = new TradeHisDataProvider(valueDate).Initialize();
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foreach (var item in otcTrades)
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{
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item.NoRiskRate = hisDataProvider.GetNoRiskRate(item.id) ?? item.NoRiskRate ?? BLL.valuedateBLL.RiskFreeRate;
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item.DividendRate = hisDataProvider.GetDividendRate(item.id);
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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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}
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return otcTrades.FirstOrDefault();
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}
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private static OtcOptionTradeFull ParseFormData(string[] lines)
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{
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var list = new List<KeyValuePair<string, string>>();
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foreach (var line in lines)
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{
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if (string.IsNullOrWhiteSpace(line))
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{
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continue;
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}
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var index = line.IndexOf(':');
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if (index < 0)
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{
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continue;
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}
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list.Add(new KeyValuePair<string, string>(line.Substring(0, index).Trim(), line.Substring(index + 1).Trim()));
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}
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//var fc = new FormDataCollection(list);
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//var data = fc.ReadAs<InnerFormData>();
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//return data?.trades != null ? data.trades.FirstOrDefault() : null;
|
|
return null;
|
|
}
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
private static void ResetTrade(OtcTradeBase otcTrade)
|
|
{
|
|
if (otcTrade is null)
|
|
{
|
|
return;
|
|
}
|
|
|
|
otcTrade.id = 0;
|
|
otcTrade.TradeNumber = string.Empty;
|
|
otcTrade.Notional = otcTrade.OriginalNotional ?? 0;
|
|
otcTrade.StockEqvNotional = otcTrade.OriginalStockEqvNotional ?? 0;
|
|
var um = DataCacheProvider.GetUnderlyingDataSource().GetData(otcTrade.UnderlyingCode);
|
|
otcTrade.TradeAmount = otcTrade.Notional / (um?.CountRatio ?? 1);
|
|
otcTrade.ParentTradeId = 0;
|
|
otcTrade.UnWindDate = null;
|
|
otcTrade.FinalPrice = null;
|
|
otcTrade.UnWindNotional = null;
|
|
otcTrade.HasPartialUnWind = null;
|
|
otcTrade.CheckStatus = null;
|
|
otcTrade.ProcessOrderId = 0;
|
|
otcTrade.ProcessOptDate = null;
|
|
otcTrade.ProcessStatus = null;
|
|
otcTrade.DividendDate = new DateTime(2000, 1, 1);
|
|
otcTrade.StructureType = string.Empty;
|
|
otcTrade.StructureIntroduction = string.Empty;
|
|
|
|
otcTrade.StockEqvNotional = otcTrade.StockEqvNotional.OtcFormatValue(OtcFormatFlag.StockEqvNotional);
|
|
otcTrade.StockEqvNotionalReal = otcTrade.StockEqvNotionalReal.OtcFormatValue(OtcFormatFlag.StockEqvNotional);
|
|
}
|
|
|
|
private static OptUserInfo GetOptUserInfo()
|
|
{
|
|
return OptUserInfo.SystemUser;
|
|
}
|
|
|
|
class CalcData
|
|
{
|
|
public trade trade { get; }
|
|
|
|
public OtcOptionTradeFull tradeFull { get; }
|
|
|
|
public DateTime timestamp { get; private set; }
|
|
|
|
public CalcData(trade trade, OtcOptionTradeFull tradeFull)
|
|
{
|
|
timestamp = DateTime.Now;
|
|
|
|
this.trade = trade ?? throw new ArgumentNullException(nameof(trade));
|
|
|
|
this.tradeFull = tradeFull ?? throw new ArgumentNullException(nameof(tradeFull));
|
|
}
|
|
|
|
public void UpdateTimeStampe()
|
|
{
|
|
timestamp = DateTime.Now;
|
|
}
|
|
|
|
public CalcData Clone()
|
|
{
|
|
return new CalcData(trade.Clone(), tradeFull.Clone());
|
|
}
|
|
}
|
|
|
|
class CalcDataV2
|
|
{
|
|
public DateTime valueDate;
|
|
|
|
public double underlyingPrice;
|
|
|
|
public double vol;
|
|
|
|
readonly CalcData _data;
|
|
|
|
public CalcDataV2(CalcData data)
|
|
{
|
|
_data = data ?? throw new ArgumentNullException(nameof(data));
|
|
}
|
|
|
|
public trade trade => _data.trade;
|
|
|
|
public OtcOptionTradeFull tradeFull => _data.tradeFull;
|
|
|
|
}
|
|
|
|
class InnerFormData
|
|
{
|
|
public IEnumerable<OtcOptionTradeFull> trades { get; set; }
|
|
}
|
|
|
|
#endregion
|
|
|
|
private void FormOption_Load(object sender, EventArgs e)
|
|
{
|
|
cmbTradeDataSource.SelectedIndex = 1;
|
|
|
|
menuStrip1.AllowMerge = false;
|
|
}
|
|
}
|
|
}
|