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 +1,158 @@
+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; }
+        }
+    }
+}