从山证v2.3.0拷贝

2024-05-09 14:06:26 +08:00
parent 566ff33259
commit f9d8a256a6
4471 changed files with 1203456 additions and 9 deletions
@@ -0,0 +1,84 @@
+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);
+            }
+        }
+    }
+}