public void Calculate(HedgeGroupDetailVM vm)
{
if (CheckForSettlement(vm))
{
//CalculatePL(vm);
CalculateTotalFixedPL(vm);
}
}
private void GetRate(HedgeGroupDetailVM vm)
{
if (vm.Rate == null || vm.Rate == 0)
{
using (var rateService = SvcClientManager.GetSvcClient<RateServiceClient>(SvcType.RateSvc))
{
_rate = rateService.GetExchangeRateByCode("USD", "CNY") ?? 0;
}
}
else
{
_rate = (decimal)vm.Rate;
}
}
private void CalculateTotalFixedPL(HedgeGroupDetailVM vm)
{
GetRate(vm);
var quotaPL = CalculatePhysicFixedPL(vm);
var lmePL = CalculateLMEFixedPL(vm);
var shfePL = CalculateSHFEFixedPL(vm);
decimal totalPL = quotaPL + lmePL * _rate + shfePL;
vm.TotalPLStr = totalPL.ToString("N2") + " CNY";
if (_cnyCurrency == null)
{
using (var currencyService = SvcClientManager.GetSvcClient<CurrencyServiceClient>(SvcType.CurrencySvc))
{
_cnyCurrency = currencyService.GetCurrencyByCode("CNY");
}
}
using (var hgService = SvcClientManager.GetSvcClient<HedgeGroupServiceClient>(SvcType.HedgeGroupSvc))
{
var hg = hgService.GetById(vm.ObjectId);
hg.PLAmount = totalPL;
hg.PLCurrencyId = _cnyCurrency.Id;
hg.PhyFixedPL = quotaPL;
hg.SHFEFixedPL = shfePL;
hg.LMEFixedPL = lmePL;
hg.Status = (int)HedgeGroupStatus.Settled;
hgService.UpdatehedgeGroupPL(hg, vm.CurrentUser.Id);
}
}
private decimal CalculateLMEFixedPL(HedgeGroupDetailVM vm)
{
////∑(空头数量 * 价格 ) - ∑(多头数量 * 价格 )
decimal lmePL = (decimal)vm.AddedLMEPositions.Sum(
o =>
o.AssignedLotAmount * o.LMEPosition.TradeDirectionValue * o.LMEPosition.AgentPrice *
o.LMEPosition.Commodity.LMEQtyPerHand) * -1 -
vm.AddedLMEPositions.Sum(o => o.AssignedCommission);
vm.LMEPLStr = lmePL.ToString("N2") + " " + vm.LMEPLCurrency;
return lmePL;
}
private decimal CalculatePhysicFixedPL(HedgeGroupDetailVM vm)
{
//现货锁定盈亏 = ∑(销售合同实际数量 * 点价价格 ) - ∑(采购合同实际数量 * 点价价格 )
decimal pl = 0;
foreach (var q in vm.AddedQuotas)
{
decimal averagePrice = GetAveragePrice(q.Quota, vm.UserId);
decimal sum = q.Quota.VerifiedQuantity * averagePrice;
if (q.Quota.Contract.ContractType == (int)ContractType.Purchase)
{
pl -= sum;
}
else
{
pl += sum;
}
}
vm.QuotaFixedPL = pl;
vm.QuotaFixedPLStr = pl.ToString("N2") + " CNY";
return pl;
}
private bool CheckForSettlement(HedgeGroupDetailVM vm)
{
//Check if it is ready to calculate PL
#region 原始代码
//if (vm.AddedQuotas.Any(o => o.Quota.PricingStatus != (int)PricingStatus.Complete))
//{
// throw new Exception(ResHedgeGroup.NotAllPriced);
//}
//if (vm.AddedQuotas.Any(o => !o.Quota.DeliveryStatus))
//{
// throw new Exception(ResHedgeGroup.NotAllDeliveryComplete);
//}
//var quotaGroups = vm.AddedQuotas.GroupBy(o => o.Quota.CommodityId);
//foreach (var quotaGroup in quotaGroups)
//{
// var quotaGroupList = quotaGroup.ToList();
// var comSum = (decimal)quotaGroupList.Sum(o => o.Quota.Contract.ContractTypeValue * o.Quota.Quantity);
// if (comSum != 0)
// {
// throw new Exception(ResHedgeGroup.QuotaNotEven);
// }
//}
//var lmeGroupByComms = vm.AddedLMEPositions.GroupBy(o => o.LMEPosition.CommodityId);
//foreach (var lmeGroupByComm in lmeGroupByComms)
//{
// var lmeListByComm = lmeGroupByComm.ToList();
// var lmeGroupByPrompts = lmeListByComm.GroupBy(o => o.LMEPosition.PromptDate);
// foreach (var lmeGroupByPrompt in lmeGroupByPrompts)
// {
// var lmeListByPrompt = lmeGroupByPrompt.ToList();
// if (Math.Round(lmeListByPrompt.Sum(o => o.AssignedLotAmount * o.LMEPosition.TradeDirectionValue), 2) != 0)
// {
// throw new Exception(ResHedgeGroup.LMENotEven);
// }
// }
//}
//var shfeGroupByComms = vm.AddedSHFEPositions.GroupBy(o => o.SHFEPosition.CommodityId);
//foreach (var shfeGroupByComm in shfeGroupByComms)
//{
// var shfeListByComm = shfeGroupByComm.ToList();
// var shfeGroupBySHFEs = shfeListByComm.GroupBy(o => o.SHFEPosition.SHFEId);
// foreach (var shfeGroupBySHFE in shfeGroupBySHFEs)
// {
// var shfeListBySHFE = shfeGroupBySHFE.ToList();
// var openLongSum =
// shfeListBySHFE.Where(
// o =>
// o.SHFEPosition.PositionDirection == (int)PositionDirection.Long &&
// o.SHFEPosition.OpenClose == (int)PositionOpenClose.Open).Sum(o => o.AssignedLotAmount);
// var closeLongSum =
// shfeListBySHFE.Where(
// o =>
// o.SHFEPosition.PositionDirection == (int)PositionDirection.Long &&
// o.SHFEPosition.OpenClose == (int)PositionOpenClose.Close).Sum(o => o.AssignedLotAmount);
// var openShortSum =
// shfeListBySHFE.Where(
// o =>
// o.SHFEPosition.PositionDirection == (int)PositionDirection.Short &&
// o.SHFEPosition.OpenClose == (int)PositionOpenClose.Open).Sum(o => o.AssignedLotAmount);
// var closeShortSum =
// shfeListBySHFE.Where(
// o =>
// o.SHFEPosition.PositionDirection == (int)PositionDirection.Short &&
// o.SHFEPosition.OpenClose == (int)PositionOpenClose.Close).Sum(o => o.AssignedLotAmount);
// if (Math.Round(openLongSum - closeShortSum, 2) != 0 || Math.Round(openShortSum - closeLongSum) != 0)
// {
// throw new Exception(ResHedgeGroup.SHFENotEven);
// }
// }
//}
#endregion
switch (vm.SelectedArbitrageTypeId)
{
case (int)ArbitrageType.Common:
//普通
CheckCommon(vm.AddedQuotas,vm.AddedSHFEPositions,vm.AddedLMEPositions);
break;
case (int)ArbitrageType.FPArbitrage:
//期现正套
case (int)ArbitrageType.FPRevArbitrage:
//期现反套
CheckFPArbitrage(vm.AddedQuotas, vm.AddedSHFEPositions, vm.AddedLMEPositions);
break;
case (int)ArbitrageType.CarryArbitrage:
//跨期正套
case (int)ArbitrageType.CarryRevArbitrage:
//跨期反套
CheckCarryArbitrage(vm.AddedQuotas, vm.AddedSHFEPositions, vm.AddedLMEPositions);
break;
case (int)ArbitrageType.MarketArbitrage:
//跨市正套
case (int)ArbitrageType.MarketRevArbitrage:
//跨市反套
CheckMarketArbitrage(vm.AddedQuotas, vm.AddedSHFEPositions, vm.AddedLMEPositions);
break;
}
return true;
}