/// <summary>
/// 计算期现正套的保本基差的方法是：
/// （已点价批次以及期货头寸的总盈亏+未点价采购批次的升贴水×数量-未点价销售批次的升贴水×数量）/现货批次的敞口数量
/// </summary>
/// <param name="hg"></param>
/// <param name="ctx"></param>
public void Handle(HedgeGroup hg, SenLan2Entities ctx)
{
hg.StopLossSpread = null;
//LME PnL
var lmeLines =
ctx.HedgeLineLMEPositions.Include("LMEPosition").Include("LMEPosition.Commodity")
.Where(o => o.HedgeGroupId == hg.Id && !o.IsDeleted)
.ToList();
decimal lmePnL = LMEPositionHelper.CalcPositionPnL(lmeLines)*(hg.Rate ?? 1) -
lmeLines.Sum(o => o.AssignedCommission) * (hg.Rate ?? 1);
//SHFE PnL
var shfeLines =
ctx.HedgeLineSHFEPositions.Include("SHFEPosition").Include("SHFEPosition.Commodity")
.Where(o => o.HedgeGroupId == hg.Id && !o.IsDeleted)
.ToList();
decimal shfePnL = SHFEPositionHelper.CalcPositionPnL(shfeLines) - shfeLines.Sum(o => o.AssignedCommission);
decimal totalPnL = (lmePnL + shfePnL); //用于算基差，所以要加负号
//Quota PnL
var quotaLines =
ctx.HedgeLineQuotas.Include("Quota")
.Include("Quota.Contract")
.Include("Quota.Pricings")
.Include("Quota.Currency")
.Where(o => o.HedgeGroupId == hg.Id && !o.IsDeleted).ToList()
.Select(o => o.Quota).ToList();
var exposure = (decimal)quotaLines.Sum(o => o.Quantity * o.Contract.ContractTypeValue);
if (exposure != 0)
{
foreach (var q in quotaLines)
{
decimal rate = 1;
if (q.Currency.Code != "CNY")
rate = hg.Rate ?? 1;
if (q.PricingStatus == (int)PricingStatus.Complete)
{
totalPnL += (q.FinalPrice * q.Quantity * q.Contract.ContractTypeValue ?? 0) * rate;
}
else
{
var pricings = q.Pricings.Where(o => !o.IsDeleted).ToList();
var unpricedQty = (decimal)(q.Quantity - pricings.Sum(o => o.PricingQuantity));
totalPnL += (decimal)pricings.Sum(o => o.PricingQuantity * o.FinalPrice) * q.Contract.ContractTypeValue * rate;
totalPnL += (unpricedQty * q.Premium * q.Contract.ContractTypeValue * rate) ?? 0;
}
}
hg.StopLossSpread = totalPnL / exposure;
}
}
public static IBreakEvenSpreadBaseHandlor GetHandlor(HedgeGroup hg)
{
switch (hg.ArbitrageType)
{
case (int)ArbitrageType.FPArbitrage:
return new FPHandlor();
case (int)ArbitrageType.FPRevArbitrage:
return new FPRevHandlor();
case (int)ArbitrageType.CarryArbitrage:
return new CarryHandlor();
case (int)ArbitrageType.CarryRevArbitrage:
return new CarryRevHandlor();
default:
return null;
}
}
public void Handle(HedgeGroup hg, SenLan2Entities ctx)
{
hg.StopLossSpread = null;
var lmeLines =
ctx.HedgeLineLMEPositions.Include("LMEPosition").Include("LMEPosition.Commodity")
.Where(o => o.HedgeGroupId == hg.Id && !o.IsDeleted)
.ToList();
var shfeLines =
ctx.HedgeLineSHFEPositions.Include("SHFEPosition").Include("SHFEPosition.Commodity")
.Where(o => o.HedgeGroupId == hg.Id && !o.IsDeleted)
.ToList();
if (lmeLines.Count > 0)
{
var groups = lmeLines.GroupBy(o => o.LMEPosition.PromptDate);
decimal exposure = 0;
foreach (var @group in groups)
{
var list = @group.ToList();
var tmp =
Math.Round(
(decimal)
list.Sum(
o =>
o.AssignedLotAmount*o.LMEPosition.TradeDirectionValue*
o.LMEPosition.Commodity.LMEQtyPerHand), RoundRules.QUANTITY, MidpointRounding.AwayFromZero);
if (tmp != 0)
{
exposure = Math.Abs(tmp);
break;
}
}
if (exposure != 0)
{
var pnl =
-lmeLines.Sum(o => o.AssignedLotAmount * o.LMEPosition.AgentPrice * o.LMEPosition.TradeDirectionValue * o.LMEPosition.Commodity.LMEQtyPerHand) - lmeLines.Sum(o => o.AssignedCommission);
hg.StopLossSpread = pnl / exposure;
}
}
else if (shfeLines.Count > 0)
{
var groups = shfeLines.GroupBy(o => o.SHFEPosition.PromptDate);
decimal exposure = 0;
foreach (var @group in groups)
{
var list = @group.ToList();
var tmp =
Math.Round(
(decimal)list.Sum(
o =>
o.AssignedLotAmount * o.SHFEPosition.OpenCloseValue * o.SHFEPosition.Commodity.SHFEQtyPerHand), RoundRules.QUANTITY, MidpointRounding.AwayFromZero);
if (tmp != 0)
{
exposure = Math.Abs(tmp);
break;
}
}
if (exposure != 0)
{
var pnl =
-shfeLines.Sum(
o =>
o.AssignedLotAmount * o.SHFEPosition.Price * o.SHFEPosition.TradeDirectionValue * o.SHFEPosition.Commodity.SHFEQtyPerHand) - shfeLines.Sum(o => o.AssignedCommission);
hg.StopLossSpread = pnl / exposure;
}
}
}
private void FixupHedgeGroup(HedgeGroup previousValue)
{
if (IsDeserializing)
{
return;
}
if (previousValue != null && previousValue.HedgeLineLMEPositions.Contains(this))
{
previousValue.HedgeLineLMEPositions.Remove(this);
}
if (HedgeGroup != null)
{
if (!HedgeGroup.HedgeLineLMEPositions.Contains(this))
{
HedgeGroup.HedgeLineLMEPositions.Add(this);
}
HedgeGroupId = HedgeGroup.Id;
}
if (ChangeTracker.ChangeTrackingEnabled)
{
if (ChangeTracker.OriginalValues.ContainsKey("HedgeGroup")
&& (ChangeTracker.OriginalValues["HedgeGroup"] == HedgeGroup))
{
ChangeTracker.OriginalValues.Remove("HedgeGroup");
}
else
{
ChangeTracker.RecordOriginalValue("HedgeGroup", previousValue);
}
if (HedgeGroup != null && !HedgeGroup.ChangeTracker.ChangeTrackingEnabled)
{
HedgeGroup.StartTracking();
}
}
}
/// <summary>
/// Override the update function in basevm
/// </summary>
protected override void Update()
{
CheckSaveLogic();
var hg = new HedgeGroup { Id = ObjectId, Name = HedgeGroupName, HedgeDate = HedgeGroupDate, Rate = Rate, Status = (int)HedgeGroupStatus.NotSettled, PLAmount = null, PLCurrencyId = null, ArbitrageType = SelectedArbitrageTypeId };
List<int> newLmeIds = NewLMEPositions.Select(o => o.LMEPositionId).ToList();
var updatedLmes = AddedLMEPositions.Where(o => !newLmeIds.Contains(o.LMEPositionId)).ToList();
List<int> newShfeIds = NewSHFEPositions.Select(o => o.SHFEPositionId).ToList();
var updatedShfes = AddedSHFEPositions.Where(o => !newShfeIds.Contains(o.SHFEPositionId)).ToList();
using (var hgService = SvcClientManager.GetSvcClient<HedgeGroupServiceClient>(SvcType.HedgeGroupSvc))
{
hgService.UpdateHedgeGroup(hg, NewQuotas, DeletedQuotas, updatedLmes, NewLMEPositions,
DeletedLMEPositions, updatedShfes, NewSHFEPositions, DeletedSHFEPositions,
CurrentUser.Id);
}
}
/// <summary>
/// Override the create function in basevm
/// </summary>
protected override void Create()
{
CheckSaveLogic();
var hg = new HedgeGroup { Name = HedgeGroupName, HedgeDate = HedgeGroupDate, Rate = Rate, Status = (int)HedgeGroupStatus.NotSettled, ArbitrageType = SelectedArbitrageTypeId };
using (var hgService = SvcClientManager.GetSvcClient<HedgeGroupServiceClient>(SvcType.HedgeGroupSvc))
{
hgService.CreateHedgeGroup(hg, AddedQuotas, AddedLMEPositions, AddedSHFEPositions, CurrentUser.Id);
}
}