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从山证v2.3.0拷贝

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吴方海
2024-05-09 14:06:26 +08:00
parent 566ff33259
commit f9d8a256a6
4471 changed files with 1203456 additions and 9 deletions
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YLErpDAL/Modules/DataProviderModule/Volatility/ExOptionSavedVolProvider.cs
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using System.Collections.Concurrent;
using YLErp.Abstract;
using YLErp.Modules.ExchangeOptionTradeModule;
namespace YLErp.Modules.DataProviderModule
{
/// <summary>
/// 场内期权保存波动率提供
/// </summary>
public class ExOptionSavedVolProvider : IDataUpdater, IJsonSerializable
{
readonly DateTime _valueDate;
//使用场内期权代码做为主键
readonly ConcurrentDictionary<string, double?> _dic;
//业务操作上来说，旧的波动率不会再变更
readonly ConcurrentDictionary<string, double?> _dicOld;
/// <summary>
/// 构造函数
/// </summary>
/// <param name="valueDate">当前结算日期</param>
public ExOptionSavedVolProvider(DateTime valueDate)
{
_valueDate = valueDate;
_dic = new ConcurrentDictionary<string, double?>();
_dicOld = new ConcurrentDictionary<string, double?>();
}
public string TableName => nameof(ExchangeOptionVol);
/// <summary>
/// 获取交易波动率
/// </summary>
public double? GetSavedVol(string optionCode, DateTime valueDate)
{
var dic = valueDate < _valueDate ? _dicOld : _dic;
if (!dic.TryGetValue(optionCode, out var vol))
{
vol = new ExchangeOptionVolQueryService(OptUserInfo.SystemUser).GetSavedVol(optionCode, valueDate);
dic.AddOrUpdate(optionCode, vol, (n, m) => vol);
}
return vol;
}
/// <summary>
/// 更新数据--keyid为optionCode
/// </summary>
public void UpdateData(IEnumerable<string> updateKeyIds)
{
foreach (var optionCode in updateKeyIds)
{
if (optionCode != null)
{
_dic.TryRemove(optionCode, out _);
}
}
}
public string ToJson()
{
return new { _valueDate, _dic, _dicOld }.ToJson();
}
}
}
YLErpDAL/Modules/DataProviderModule/Volatility/OtcEodOverrideVolProvider.cs
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using System.Collections.Concurrent;
using YLErp.Abstract;
namespace YLErp.Modules.DataProviderModule
{
/// <summary>
/// 场外期权结算波动率提供
/// </summary>
public class OtcEodOverrideVolProvider : IDataUpdater, IJsonSerializable
{
readonly DateTime _valueDate;
//数据ID做为KEY
readonly ConcurrentDictionary<int, double?> _dic;
/// <summary>
/// 构造函数
/// </summary>
public OtcEodOverrideVolProvider(DateTime valueDate)
{
_valueDate = valueDate;
_dic = new ConcurrentDictionary<int, double?>();
}
public string TableName => nameof(eod_trade_vol_override);
/// <summary>
/// 获取交易波动率
/// </summary>
public double? GetVol(int tradeId, DateTime valueDate)
{
System.Diagnostics.Debug.Assert(_valueDate == valueDate);
if (!_dic.TryGetValue(tradeId, out double? vol))
{
vol = DbContextFactory.GetYLDbContext().eod_trade_vol_override
.Where(n => n.valuedate == valueDate && n.tradeid == tradeId)
.Select(n => (double?)n.vol).FirstOrDefault();
_dic.AddOrUpdate(tradeId, vol, (n, m) => vol);
}
if (vol == null)
{
return null;
}
return Convert.ToDouble(vol.Value);
}
/// <summary>
/// 更新数据
/// </summary>
public void UpdateData(IEnumerable<string> updateKeyIds)
{
var tradeIds = DataConvert.ConvertToInt32Array(updateKeyIds);
foreach (var tradeId in tradeIds)
{
_dic.TryRemove(tradeId, out _);
}
}
public string ToJson()
{
return new { _valueDate, _dic }.ToJson();
}
}
}
YLErpDAL/Modules/DataProviderModule/Volatility/OtcHedgingVolProvider.cs
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using System.Collections.Concurrent;
using YLErp.Abstract;
namespace YLErp.Modules.DataProviderModule
{
/// <summary>
/// 场外期权对冲波动率提供
/// </summary>
public class OtcHedgingVolProvider : IDataUpdater, IJsonSerializable
{
readonly DateTime _valueDate;
//使用tradeid做为主键
readonly ConcurrentDictionary<int, double?> _dic;
//业务操作上来说，旧的波动率不会再变更
readonly ConcurrentDictionary<int, double?> _dicOld;
/// <summary>
/// 构造函数
/// </summary>
/// <param name="valueDate">当前结算日期</param>
public OtcHedgingVolProvider(DateTime valueDate)
{
_valueDate = valueDate;
_dic = new ConcurrentDictionary<int, double?>();
_dicOld = new ConcurrentDictionary<int, double?>();
}
public string TableName => nameof(trade_hedge_vol);
/// <summary>
/// 获取交易波动率
/// </summary>
public double? GetVol(int tradeId, DateTime valueDate)
{
var dic = valueDate < _valueDate ? _dicOld : _dic;
if (!dic.TryGetValue(tradeId, out double? vol))
{
vol = DbContextFactory.GetYLDbContext().trade_hedge_vol
.Where(n => n.TradeId == tradeId && n.ValueDate <= valueDate)
.OrderByDescending(n => n.ValueDate)
.Select(n => (double?)n.TradeSavedVol).FirstOrDefault();
dic.AddOrUpdate(tradeId, vol, (n, m) => vol);
}
return vol;
}
/// <summary>
/// 更新数据
/// </summary>
public void UpdateData(IEnumerable<string> updateKeyIds)
{
var tradeIds = DataConvert.ConvertToInt32Array(updateKeyIds);
foreach (var tradeId in tradeIds)
{
_dic.TryRemove(tradeId, out _);
}
}
public string ToJson()
{
return new { _valueDate, _dic, _dicOld }.ToJson();
}
}
}
YLErpDAL/Modules/DataProviderModule/Volatility/OtcPositionVolProvider.cs
+84
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using System.Collections.Concurrent;
using YLErp.Abstract;
using YLErp.Models;
namespace YLErp.Modules.DataProviderModule
{
/// <summary>
/// 场外期权开仓平仓波动率提供
/// </summary>
public class OtcPositionVolProvider : IDataUpdater, IJsonSerializable
{
readonly DateTime _valueDate;
//使用tradeid做为主键，为当日取波动率提供服务
readonly ConcurrentDictionary<int, IOtcTradeVolatility> _dic;
//业务操作上来说，旧的波动率不会再变更,为上一交易日取波动率提供服务
readonly ConcurrentDictionary<int, IOtcTradeVolatility> _dicOld;
/// <summary>
/// 构造函数
/// </summary>
/// <param name="valueDate">当前结算日期</param>
public OtcPositionVolProvider(DateTime valueDate)
{
_valueDate = valueDate;
_dic = new ConcurrentDictionary<int, IOtcTradeVolatility>();
_dicOld = new ConcurrentDictionary<int, IOtcTradeVolatility>();
}
public string TableName => nameof(TradeVolatility);
/// <summary>
/// 获取交易波动率
/// </summary>
public IOtcTradeVolatility GetVol(int tradeId, DateTime valueDate)
{
var dic = valueDate < _valueDate ? _dicOld : _dic;
if (!dic.TryGetValue(tradeId, out var vol))
{
var tradVol = DbContextFactory.GetYLDbContext().TradeVolatility
.Where(n => n.TradeId == tradeId && n.ValueDate <= valueDate)
.OrderByDescending(n => n.ValueDate)
.Select(n => new
{
n.NumOfSmoothingDays,
n.TradePositionVolatility,
n.TradeCloseVolatility,
n.IsFromTradeAdd,
n.ValueDate
}).FirstOrDefault();
if (tradVol != null)
{
vol = new OtcTradeVolatility
{
ValueDate = tradVol.ValueDate,
OpenVol = tradVol.TradePositionVolatility ?? 0,
CloseVol = tradVol.TradeCloseVolatility ?? 0,
SmoothingDays = tradVol.NumOfSmoothingDays ?? 0,
IsFirst = tradVol.IsFromTradeAdd == true
};
}
dic.AddOrUpdate(tradeId, vol, (n, m) => vol);
}
return vol;
}
public string ToJson()
{
return new { _valueDate, _dic, _dicOld }.ToJson();
}
/// <summary>
/// 更新数据
/// </summary>
public void UpdateData(IEnumerable<string> updateKeyIds)
{
var tradeIds = DataConvert.ConvertToInt32Array(updateKeyIds);
foreach (var tradeId in tradeIds)
{
_dic.TryRemove(tradeId, out IOtcTradeVolatility vol);
}
}
}
}
YLErpDAL/Modules/DataProviderModule/Volatility/UnderlyingVolProvider.cs
+158
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using YLErp.Abstract;
using YLErp.DBModels.Consts;
using YLErp.Models;
namespace YLErp.Modules.DataProviderModule
{
/// <summary>
/// 标的波动率数据提供
/// </summary>
class UnderlyingVolProvider : IDataUpdater, IJsonSerializable
{
const string KeySeparator = "[|]";
/// <summary>
///
/// </summary>
public DateTime ValueDate { get; }
//波动率类型+合约代码做为KEY
readonly Dictionary<string, InnerVolatility> _dic;
static readonly InnerVolatility _removed;
public UnderlyingVolProvider(DateTime valueDate)
{
ValueDate = valueDate;
_dic = new Dictionary<string, InnerVolatility>(StringComparer.OrdinalIgnoreCase);
}
static UnderlyingVolProvider()
{
_removed = new InnerVolatility();
}
public string TableName => nameof(volatility);
/// <summary>
/// 根据请求参数获取波动率
/// </summary>
public IVolatility GetVolatility(string voltype, string contractCode, string userGroup)
{
if (!ConsUserGroup.HasGroup)
{
userGroup = string.Empty;
}
else if (string.IsNullOrEmpty(userGroup))
{
return null;
}
if (string.IsNullOrWhiteSpace(voltype) || string.IsNullOrWhiteSpace(contractCode))
{
return null;
}
var keyStr = string.Join(KeySeparator, new[] { contractCode, voltype, userGroup });
lock (_dic)
{
if (_dic.TryGetValue(keyStr, out var dicItem) && dicItem != _removed)
{
return dicItem;
}
}
volatility volData = null;
using (var db = DbContextFactory.GetYLDbContext())
{
volData = db.volatility.AsNoTracking()
.Where(n => n.UserGroup == userGroup && n.ContractCode == contractCode && n.VolType == voltype && n.QuotationDate <= ValueDate)
.OrderByDescending(n => n.QuotationDate).FirstOrDefault();
if (volData == null)
{
lock (_dic)
{
_dic[keyStr] = null;
}
return null;
}
}
var innerVol = new InnerVolatility
{
VolSurfaceMode = volData.VolSurfaceMode,
InterpolationMethod = volData.InterpolationMethod,
VolTable = volData.VolTable ?? new List<SingleVol>(0)
};
lock (_dic)
{
_dic[keyStr] = innerVol;
}
return innerVol;
}
public string ToJson()
{
lock (_dic)
{
return new { ValueDate, _dic }.ToJson();
}
}
/// <summary>
/// 更新数据--使用直接删除的方式
/// </summary>
public void UpdateData(IEnumerable<string> updateKeyIds)
{
lock (_dic)
{
var removeArr = _dic.Where(n => n.Value == _removed);
foreach (var kv in removeArr)
{
_dic.Remove(kv.Key);
}
var set = new HashSet<string>(10, StringComparer.OrdinalIgnoreCase);
foreach (var keyId in updateKeyIds)
{
if (!string.IsNullOrWhiteSpace(keyId))
{
var strArr = keyId.Split(','); //id,ContractCode,VolType
if (strArr.Length > 2)
{
set.Add(string.Concat(strArr[1], KeySeparator, strArr[2]));
}
}
}
foreach (var k in _dic.Keys)
{
var index = k.LastIndexOf(KeySeparator);
if (index > 0 && set.Contains(k.Substring(0, index)))
{
_dic[k] = _removed;
}
}
}
}
class InnerVolatility : IVolatility
{
public string VolSurfaceMode { get; set; }
public string InterpolationMethod { get; set; }
public List<SingleVol> VolTable { get; set; }
}
}
}