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 +1,191 @@
+using System.Data;
+using YLErp.BLL;
+
+namespace YLErp.Modules.SkewMapVolModule
+{
+    public class VolSkewMapDbInitializer : IVolSkewMapInitializer
+    {
+        /// <summary>
+        /// 从数据库表读取SkewMapData
+        /// </summary>
+        /// <returns></returns>
+        public DataTable GetSkewMapData(bool isBuy)
+        {
+            if (isBuy)
+            {
+                if (_bidTable == null)
+                {
+                    var rawTable = ReadDataFromDb(isBuy);
+                    if (rawTable == null)
+                    {
+                        return null;
+                    }
+                    _bidTable = ExpandSkewMap(rawTable);
+                }
+
+                return _bidTable;
+            }
+            else
+            {
+                if (_askTable == null)
+                {
+                    var rawTable = ReadDataFromDb(isBuy);
+                    if (rawTable == null)
+                    {
+                        return null;
+                    }
+                    _askTable = ExpandSkewMap(rawTable);
+                }
+
+                return _askTable;
+            }
+        }
+
+        public bool SetSkewMapData(string table, bool isBuy)
+        {
+            if (SaveDataToDb(table, isBuy))
+            {
+                var rawTable = ReadDataFromDb(isBuy);
+                if (isBuy)
+                {
+                    _bidTable = ExpandSkewMap(rawTable);
+                }
+                else
+                {
+                    _askTable = ExpandSkewMap(rawTable);
+                }
+                return true;
+            }
+            return false;
+        }
+
+        private static DataTable ExpandSkewMap(DataTable base_map)
+        {
+            int[] base_var = { 1, 5, 10, 15, 20, 25, 30, 35, 40, 45, 50 };
+            var target_var = new int[50];
+            for (int i = 0; i < 50; i++)
+            {
+                target_var[i] = i + 1;
+            }
+
+            var tb = new DataTable();
+            tb.Columns.Add("term", System.Type.GetType("System.Double"));
+            tb.Columns.Add("moneyness", System.Type.GetType("System.Double"));
+            tb.Columns.Add("basevol", System.Type.GetType("System.Double"));
+            foreach (int i in target_var)
+            {
+                tb.Columns.Add(i.ToString(), System.Type.GetType("System.Double"));
+            }
+
+            foreach (DataRow dr in base_map.Rows)
+            {
+                var r = tb.NewRow();
+                r[0] = Convert.ToSingle(dr["term"]);
+                r[1] = Convert.ToSingle(dr["moneyness"]);
+                r[2] = Convert.ToSingle(dr["basevol"]);
+                int loc = 3;
+
+                foreach (int v in target_var)
+                {
+                    var var_col = v.ToString();
+                    if (base_var.Contains(v))
+                    {
+                        r[loc] = Convert.ToSingle(dr[var_col]);
+                    }
+                    else
+                    {
+                        int l_var = base_var.Where(b => b < v).Last();
+                        int h_var = base_var.Where(b => b > v).First();
+                        float l_v = Convert.ToSingle(dr[l_var.ToString()]);
+                        float h_v = Convert.ToSingle(dr[h_var.ToString()]);
+                        float n_value = l_v + (v - l_var) * (h_v - l_v) / (h_var - l_var);
+                        r[loc] = n_value;
+                    }
+                    loc++;
+                }
+                tb.Rows.Add(r);
+            }
+            return tb;
+
+        }
+
+        private static DataTable ReadDataFromDb(bool isBuy)
+        {
+            using (var db = new YLContext())
+            {
+                var skewMapType = ConvertToSkewMapType(isBuy);
+                var skewMap = db.globalSkewMap.FirstOrDefault(x => x.SkewMapType == skewMapType);
+                if (skewMap == null || string.IsNullOrWhiteSpace(skewMap.SkewMapTableData))
+                {
+                    return null;
+                }
+
+                var tb = new DataTable();
+                var rows = skewMap.SkewMapTableData.Split('\n');
+                for (int i = 0; i < rows.Count() - 1; i++)
+                {
+                    var rowValues = rows[i].Split(',');
+                    if (i == 0)
+                    {
+                        //tb.Columns.Add(rowValues[0].Trim());
+                        for (int j = 0; j < rowValues.Count(); j++)
+                        {
+                            tb.Columns.Add(rowValues[j].Trim());
+                        }
+                    }
+                    else
+                    {
+                        var dr = tb.NewRow();
+                        for (int k = 0; k < rowValues.Count(); k++)
+                        {
+                            dr[k] = Convert.ToSingle(rowValues[k]);
+                        }
+                        tb.Rows.Add(dr);
+                    }
+                }
+                return tb;
+            }
+        }
+
+        private static bool SaveDataToDb(string tableStr, bool isBuy)
+        {
+            try
+            {
+                var skewMapType = ConvertToSkewMapType(isBuy);
+                using (var db = new YLContext())
+                {
+                    var existingRecord = db.globalSkewMap.FirstOrDefault(x => x.SkewMapType == skewMapType);
+                    if (existingRecord == null)
+                    {
+                        existingRecord = new Model.GlobalSkewMap
+                        {
+                            SkewMapTableData = tableStr,
+                            SkewMapType = skewMapType,
+                            UpdateTime = DateTime.Now
+                        };
+                        db.globalSkewMap.Add(existingRecord);
+                    }
+                    else
+                    {
+                        existingRecord.SkewMapTableData = tableStr;
+                        existingRecord.UpdateTime = DateTime.Now;
+                    }
+                    db.SaveChanges();
+                }
+                return true;
+            }
+            catch (Exception)
+            {
+                return false;
+            }
+        }
+
+        private static string ConvertToSkewMapType(bool isBuy)
+        {
+            return isBuy ? "Bid" : "Ask";
+        }
+
+        private DataTable _bidTable = null;
+        private DataTable _askTable = null;
+    }
+}