136 lines
5.5 KiB
C#
136 lines
5.5 KiB
C#
using YLErp.BLL.Eod;
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using YLErp.DBModels.Enums;
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using YLErp.DBModels.Helpers;
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using YLErp.Modules.DataProviderModule;
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namespace YLErp.Modules.ExchangeTradeModule
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{
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/// <summary>
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/// 交易持仓服务
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/// </summary>
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public class ExchangeTradePositionService : YLBaseService
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{
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public ExchangeTradePositionService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 同步对冲交易持仓
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/// </summary>
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public void ResetExchangeTradePosition()
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{
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var valueDate = SystemValueDate;
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var lastDate = EodOperationBase.GetLastSettlementDate(valueDate, false);
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List<string> tradetypes = new List<string> { "股票", "商品期货", "商品现货", "场内期权", "利率债", "信用债", "其它债券" };
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var eodQuery = from et in DbContext.eod_trade_position.AsNoTracking()
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where et.ValueDate == lastDate && tradetypes.Contains(et.TradeType)
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select new TradePositionEx
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{
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UnderlyingId = et.UnderlyingId,
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TradeType = et.TradeType,
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BookId = et.BookId,
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InstrumentCode = et.ExchangeOptionCode,
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UnderlyingCode = et.UnderlyingCode,
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Position = et.Amount,
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PositionCost = et.Cost,
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BuySell = et.PositionType
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};
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var positionList = eodQuery.ToList();
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//如果当天未收盘
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if (valueDate != lastDate)
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{
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var tdQuery = from trad in DbContext.ExchangeTrade.AsNoTracking()
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where trad.TradeDate > lastDate && trad.TradeDate <= valueDate && trad.IsValid
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select new TdTradePositionEx
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{
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TradeType = trad.TradeType,
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BookId = trad.AssetBookId,
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InstrumentCode = trad.OptionCode,
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Position = trad.Notional,
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BuySell = trad.TradeSide,
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UnderlyingCode = trad.UnderlyingCode,
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TradeSinglePrice = trad.TradeSinglePrice
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};
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var tdDatas = tdQuery.ToArray();
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positionList.AddRange(tdDatas);
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}
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var dic = new Dictionary<string, TradePosition>(positionList.Count);
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foreach (var n in positionList)
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{
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var tradeType1 = TradeHelper.GetTradeType1(n.TradeType);
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var positionType = TradeHelper.GetPositionType(n.BuySell);
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var key = $"{n.BookId}^{(int)tradeType1}^{(int)positionType}^{n.UnderlyingCode}^{n.InstrumentCode}";
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var position = n.IsEod ? n.Position : TradeHelper.GetPositionNotional(n.BuySell, n.Position);
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var positionCost = n.IsEod ? n.PositionCost : position * n.TradeSinglePrice;
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if (dic.TryGetValue(key, out var pos))
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{
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System.Diagnostics.Debug.Assert(!n.IsEod);
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pos.Position += position;
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pos.PositionCost += positionCost;
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}
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else
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{
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dic[key] = pos = new TradePosition
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{
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TradeType = n.TradeType,
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BookId = n.BookId,
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InstrumentCode = n.InstrumentCode,
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TradeType1 = tradeType1,
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UnderlyingId = n.UnderlyingId,
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UnderlyingCode = n.UnderlyingCode,
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CreateTime = DateTime.Now,
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UpdateTime = DateTime.Now,
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Position = position,
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PositionCost = positionCost,
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PositionType = positionType
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};
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DateTime maturityDate;
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if (pos.TradeType1 == TradeTypeFlag.Stocks)
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{
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maturityDate = DateTime.Today.AddYears(10);
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}
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else if (pos.TradeType1 == TradeTypeFlag.Options)
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{
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ExchangeOptionDataProvider.TryGetMaturityDate(pos.InstrumentCode, out var date);
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maturityDate = date;
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}
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else if (!UnderlyingDataProvider.TryGetMaturityDate(pos.UnderlyingCode, out maturityDate))
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{
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maturityDate = DateTime.Today.AddMonths(1);
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}
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pos.MaturityDate = maturityDate;
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}
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}
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//删除原来的对冲交易
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var sql = "truncate trade_position;";
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DbContext.Database.ExecuteSqlRaw(sql);
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DbContext.TradePosition.AddRange(dic.Values);
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DbContext.SaveChanges();
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}
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class TradePositionEx : TradePositionDto
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{
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public virtual bool IsEod => true;
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public string BuySell { get; set; }
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public double TradeSinglePrice { get; set; }
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}
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class TdTradePositionEx : TradePositionEx
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{
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public override bool IsEod => false;
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}
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}
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}
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