using BaseOUDAL;
using NPOI.POIFS.Properties;
using NPOI.SS.Formula.Functions;
using OfficeOpenXml.FormulaParsing.ExpressionGraph;
using Org.BouncyCastle.Ocsp;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Linq.Expressions;
using System.Text;
using System.Threading.Tasks;
using YLErp.BLL;
using YLErp.Commons;
using YLErp.DBModels;
using YLErp.DBModels.Helpers;
using YLErp.Model;
using YLErp.Modules.DataProviderModule;
using YLErp.Modules.UnderlyingModule;
using YLErp.Office.ExcelModule;

namespace YLErp.Modules.RiskModule
{
    public class RealtimePositionRisksQueryService : YLBaseService
    {
        public RealtimePositionRisksQueryService(OptUserInfo userInfo) : base(userInfo)
        {
        }

        public SearchListResult<RealTimePositionRisksDTO> SearchList(RealTimePositionRisksReq req)
        {
            if (req?.IsParentTrade == true)
            {
                return SearchRealTimeOptionPostionRisksList(req);
            }
            else
            {
                return SearchRealTimePostionRisksList(req);
            }
        }

        /// <summary>
        /// 是否主交易 是
        /// </summary>
        /// <param name="req"></param>
        /// <returns></returns>
        public SearchListResult<RealTimePositionRisksDTO> SearchRealTimeOptionPostionRisksList(RealTimePositionRisksReq req)
        {
            var voltype = req?.VolType ?? string.Empty;
            var statusList = new List<string> { ConsTrade.已到期, ConsTrade.已执行, ConsTrade.已平仓 };

            var realtimePredicate = BuildPredicateOfRealTime(req);
            var tradePredicate = PredicateBuilder.Create<trade>(t => t.ValidState != "InValid" && (t.TradeType != "结构化交易" || t.IsGroup == 1) && t.IsGroup != 2);

            if (req.UserAssets != null && req.UserClients != null)
            {
                tradePredicate = tradePredicate.And(a => req.UserAssets.Contains(a.AssetId) || req.UserClients.Contains(a.ClientId));
            }

            if (req.TraderIds != null && req.TraderIds.Any(x => x > 0))
            {
                tradePredicate = tradePredicate.And(q => req.TraderIds.Contains(q.TraderId));
            }

            if (req.TradeTypes != null && req.TradeTypes.Any(x => !string.IsNullOrWhiteSpace(x)))
            {
                tradePredicate = tradePredicate.And(d => req.TradeTypes.Contains(d.StructureType) || req.TradeTypes.Contains(d.TradeType) || (req.TradeTypes.Contains("黑箱结构") && d.IsGroup != 0));
            }

            if (!string.IsNullOrWhiteSpace(req.TradeNumber))
            {
                realtimePredicate = realtimePredicate.And(n => n.TradeId > 0);
                tradePredicate = tradePredicate.And(q => q.TradeNumber.Contains(req.TradeNumber));
            }
            if (req.SettlementFlags != null && req.SettlementFlags.Any())
            {
                tradePredicate = tradePredicate.And(d => req.SettlementFlags.Contains(d.SettlementFlag));
            }
            if (!string.IsNullOrEmpty(req.GroupNames) && req.GroupNamesList != null && req.GroupNamesList.Count > 0)
            {
                var gname = req.GroupNamesList[0];
                var groupNamePredicate = PredicateBuilder.Create<trade>(t => !string.IsNullOrEmpty(t.GroupName) && t.GroupName.Contains(gname.ToString()));
                if (req.GroupNamesList.Count > 1)
                {
                    for (int i = 1; i < req.GroupNamesList.Count; i++)
                    {
                        var gname1 = req.GroupNamesList[i];
                        groupNamePredicate = groupNamePredicate.Or(t => !string.IsNullOrEmpty(t.GroupName) && t.GroupName.Contains(gname1.ToString()));
                    }
                }
                tradePredicate = tradePredicate.And(groupNamePredicate);
            }
            if (req.TagIds != null && req.TagIds.Count > 0)
            {
                var tradeTagIdQuery = from tt in DbContext.trade_tag
                                      where req.TagIds.Contains(tt.TagId)
                                      select tt.TradeId;
                tradePredicate = tradePredicate.And(p => tradeTagIdQuery.Contains(p.id));
            }


            var tradeList = new List<string> { "收益互换", "远期", "掉期", "现金流交易" };

            var query = from intradayTrade in DbContext.intraday_trade_position.Where(realtimePredicate)
                        join trade in DbContext.trade.Where(tradePredicate) on intradayTrade.TradeId equals trade.id
                        join tr in DbContext.trade_contract_r.Where(O => O.Type == "交易确认书" && O.IsValid) on trade.id equals tr.TradeId into trs
                        from tr in trs.DefaultIfEmpty()
                        join realtimeRisk in DbContext.realtime_trade_risk on intradayTrade.TradeId equals realtimeRisk.TradeId into realtimeRisk_t
                        from realtimeRisk in realtimeRisk_t.DefaultIfEmpty()
                        join assetUnit in DbContext.assetunit on trade.AssetId equals assetUnit.id into assetUnits
                        from assetUnit in assetUnits.DefaultIfEmpty()
                        join parentTrade in DbContext.trade.Where(tr => tr.ValidState != "InValid") on trade.ParentTradeId equals parentTrade.id into parentTrades
                        from parentTrade in parentTrades.DefaultIfEmpty()
                        join binary in DbContext.trade_binary_option on intradayTrade.TradeId equals binary.TradeId into binary_t
                        from binary in binary_t.DefaultIfEmpty()
                        join asian in DbContext.trade_asian_option on intradayTrade.TradeId equals asian.TradeId into asian_t
                        from asian in asian_t.DefaultIfEmpty()
                        join barrier in DbContext.trade_barrier_option on intradayTrade.TradeId equals barrier.TradeId into barrier_t
                        from barrier in barrier_t.DefaultIfEmpty()
                        join um in DbContext.underlying_manager on intradayTrade.UnderlyingCode equals um.UnderlyingCode into um_t
                        from um in um_t.DefaultIfEmpty()
                        where !statusList.Contains(intradayTrade.TradeStatus)
                        && (!req.VarietyIds.Any() || um != null && req.VarietyIds.Contains(um.UnderlyingTypeId))
                        && (!req.UnderlyingIds.Any() || um != null && req.UnderlyingIds.Contains(um.id))
                        && !tradeList.Contains(intradayTrade.TradeType)
                        && realtimeRisk.VolType == voltype
                        select new RealTimePositionRisksDTO
                        {
                            GroupName = trade.GroupName,
                            id = trade.id,
                            OptionType = trade.OptionType,
                            ClientName = trade.ClientName,
                            TraderName = trade.TraderName,
                            AssetBookName = assetUnit != null ? assetUnit.Name : null,
                            CurrentVolatility = realtimeRisk.Vol,
                            PositionPnl = intradayTrade != null ? intradayTrade.PositionPnL : 0,//浮动盈亏
                            RoundedPositionPnl = intradayTrade != null ? intradayTrade.RoundedPositionPnl : 0,
                            PV = intradayTrade != null ? (double)intradayTrade.Pv : 0,
                            RoundedPV = intradayTrade != null ? (double)intradayTrade.RoundedPv : 0,

                            Vega = realtimeRisk.Vega, //实现盈亏
                            Theta = realtimeRisk.Theta,
                            Rho = realtimeRisk.Rho,
                            Delta = realtimeRisk.Delta,
                            Gamma = realtimeRisk.Gamma,
                            DeltaCash = realtimeRisk.DeltaCash,
                            GammaCash = realtimeRisk.GammaCash,
                            VegaCash = realtimeRisk.VegaCash,

                            ExerciseDate = trade.ExerciseDate,
                            ExerciseMode = trade.ExerciseMode,

                            Notional = intradayTrade != null ? intradayTrade.Amount : 0,
                            StockEqvNotionalMax = trade.StockEqvNotionalMax,
                            OriginalStockEqvNotional = trade.OriginalStockEqvNotional,
                            Strike = trade.Strike,
                            IsMoneynessOption = trade.IsMoneynessOption,

                            ExchangeOptionCode = intradayTrade != null ? intradayTrade.ExchangeOptionCode : "",
                            IsUsePremiumRate = trade.IsUsePremiumRate,
                            PremiumRate = trade.PremiumRate,
                            TradeDate = trade.TradeDate,
                            ParentTradeNumber = parentTrade != null ? parentTrade.TradeNumber : trade.TradeNumber,
                            ContractCode = tr.ContractCode,
                            TradeNumber = trade.TradeNumber,
                            ParentTradeId = trade.ParentTradeId,
                            TradePrice = trade.TradePrice,
                            BuySell = trade.BuySell,
                            TradeSinglePrice = trade.TradeSinglePrice,
                            TradeType = trade.TradeType,
                            StructureType = trade.StructureType != "结构化交易" ? trade.StructureType : null,
                            UnderlyingCode = intradayTrade.UnderlyingCode,
                            IsGroup = trade.IsGroup,
                            Margin = intradayTrade != null ? intradayTrade.Margin : 0,

                            Exposure = realtimeRisk.CreditExposure,
                            RealizedPnl = realtimeRisk != null ? realtimeRisk.RealizedPnl.Value : 0,

                            HedgeUniqueCode = intradayTrade != null ? intradayTrade.HedgeUniqueCode : "",
                            OriginalPrincipalSum = trade.OriginalPrincipalSum,
                            SurvivingNominalPrincipal = trade.SpotPrice * intradayTrade.Amount,
                            UnderlyingPrice = realtimeRisk != null ? realtimeRisk.UnderlyingPrice.Value : 0,
                            CalSpotPrice = realtimeRisk != null ? realtimeRisk.UnderlyingPrice.Value : 0,
                            trade = trade,
                            OptDate = realtimeRisk.OptDate
                        };

            query = query.OrderByDescending(O => O.id).ThenBy(O => O.ParentTradeNumber).ThenBy(O => O.TradeNumber);

            //所有子交易
            var childTradeList = query.Where(n => n.ParentTradeId > 0).ToList();
            //过滤掉所有子交易
            //query = query.Where(n => n.ParentTradeId == 0);

            var searchResult = query.ToSearchList(req);


            var tcActions = new[] {  ClientCashInCashOut.系统操作_平仓费,
                ClientCashInCashOut.系统操作_行权费,ClientCashInCashOut.系统操作_票息,ClientCashInCashOut.系统操作_互换,ClientCashInCashOut.人工操作_其他};


            BLL.tradeBLL.SetFieldsByTradeType(searchResult.rows.Select(o => o.trade));

            foreach (var r in searchResult.rows)
            {
                var um = DataCacheProvider.GetUnderlyingDataSource().GetData(r.UnderlyingCode);
                if (um == null)
                {
                    um = new underlying_manager();
                }
                else
                {
                    r.UnderlyingPrice = um.Price ?? 0;
                    r.UnderlyingId = um.id;
                    r.VarietyId = um.UnderlyingTypeId;
                    r.UnderlyingAssetName = um.UnderlyingName;
                    r.CountRatio = um.CountRatio;
                    if (PS.Config.IsGuoJun)
                    {
                        r.UnderlyingVariety = UnderlyingHelper.GetUnderlyingVarietyCode(r.UnderlyingCode);
                    }
                }


                if (r.IsGroup == 1 || r.TradeType == "结构化交易")
                {
                    var cTrades = childTradeList.Where(n => n.ParentTradeId == r.id).ToList();

                    if (cTrades.Count() == 0)
                    {
                        var childTradeIds = DbContext.trade.Where(n => n.ParentTradeId == r.id).Select(n => n.id).ToList();

                        cTrades = (from childRealTimeRisk in DbContext.realtime_trade_risk
                                   join childIntradayTrade in DbContext.intraday_trade_position on childRealTimeRisk.TradeId equals childIntradayTrade.TradeId
                                   where childTradeIds.Contains(childRealTimeRisk.TradeId.Value)
                                   select new RealTimePositionRisksDTO
                                   {
                                       PV = childRealTimeRisk.Pv,
                                       RoundedPV = childRealTimeRisk.RoundedPv,
                                       PositionPnl = childRealTimeRisk.PositionPnl,
                                       RoundedPositionPnl = childRealTimeRisk.RoundedPositionPnl,
                                       RealizedPnl = childRealTimeRisk.RealizedPnl ?? 0,
                                       Margin = childIntradayTrade.Margin,
                                       Delta = childRealTimeRisk.Delta,
                                       Gamma = childRealTimeRisk.Gamma,
                                       Vega = childRealTimeRisk.Vega,
                                       Theta = childRealTimeRisk.Theta,
                                       Rho = childRealTimeRisk.Rho,
                                   }).ToList();

                    }
                    r.PV = cTrades.Sum(y => y.PV);
                    r.RoundedPV = cTrades.Sum(y => y.RoundedPV);
                    r.PositionPnl = cTrades.Sum(y => y.PositionPnl);
                    r.RoundedPositionPnl = cTrades.Sum(y => y.RoundedPositionPnl);
                    r.RealizedPnl = cTrades.Sum(n => n.RealizedPnl);
                    r.Margin = cTrades.Sum(y => y.Margin);
                    r.Delta = cTrades.Sum(y => y.Delta);
                    r.Gamma = cTrades.Sum(y => y.Gamma);
                    r.Vega = cTrades.Sum(y => y.Vega);
                    r.Theta = cTrades.Sum(y => y.Theta);
                    r.Rho = cTrades.Sum(y => y.Rho);

                    r.RiskFreeRate = r.trade?.NoRiskRate ?? valuedateBLL.RiskFreeRate / 100;
                    r.DividendRate = r.trade?.DividendRate ?? r.RiskFreeRate;
                    r.OriginalNotional = r.trade?.OriginalNotional;
                    r.TradeOriginalAmount = r.OriginalNotional / um.CountRatio;
                    r.TradeStatus = r.trade?.TradeStatus;
                    r.StockEqvNotional = r.trade?.StockEqvNotional;
                    r.InitialSpotPrice = r.trade?.SpotPrice;
                    r.etcTradePrice = r.TradePrice * (r.trade == null ? r.Notional / r.OriginalNotional : r.trade?.StockEqvNotional / r.trade?.OriginalStockEqvNotional);
                    r.SinglePV = TradeHelper.GetTradeSinglePriceByTradePrice(PS.Config.IsPVRounded ? r.RoundedPV : r.PV, r.Notional
                            , PS.Config.ErpElement.IsPVIncludePrincipal ? r.trade.PrincipalSum() : 0, r.trade.BuySell, r.trade.TradeType, false);
                    if (um != null)
                    {
                        r.GammaLots = (r.Gamma ?? 0) / um.ContractSize;
                        r.DeltaLots = (r.Delta ?? 0) / um.ContractSize;
                    }
                }

                else
                {
                    r.RiskFreeRate = r.trade?.NoRiskRate ?? valuedateBLL.RiskFreeRate / 100;
                    r.DividendRate = r.trade?.DividendRate ?? r.RiskFreeRate;
                    r.OriginalNotional = r.trade?.OriginalNotional;
                    r.TradeOriginalAmount = r.OriginalNotional / um.CountRatio;
                    r.TradeStatus = r.trade?.TradeStatus;
                    r.StockEqvNotional = r.trade?.StockEqvNotional;
                    r.InitialSpotPrice = r.trade?.SpotPrice;

                    r.etcTradePrice = r.TradePrice * (r.trade == null ? r.Notional / r.OriginalNotional : r.trade?.StockEqvNotional / r.trade?.OriginalStockEqvNotional);

                    r.SinglePV = TradeHelper.GetTradeSinglePriceByTradePrice(PS.Config.IsPVRounded ? r.RoundedPV : r.PV, r.Notional
                            , PS.Config.ErpElement.IsPVIncludePrincipal ? r.trade.PrincipalSum() : 0, r.trade.BuySell, r.trade.TradeType, false);

                    if (um != null)
                    {
                        r.GammaLots = (r.Gamma ?? 0) / um.ContractSize;
                        r.DeltaLots = (r.Delta ?? 0) / um.ContractSize;
                    }
                }

                if (r.ParentTradeId > 0)
                {
                    var childTrades = DbContext.trade.Where(x => x.ParentTradeId == r.ParentTradeId).OrderBy(x => x.TradeNumber).Select(x => x.id).ToList();
                    r.ChildLeg = (childTrades.IndexOf(r.id) + 1).ToString();
                }

                r.ClientNumber = DataCacheProvider.GetClientDataSource().GetData(r.trade.ClientId)?.Number;

                switch (r.TradeType)
                {
                    case "雪球期权":
                        r.KnockInOutStatus = r.trade?.trade_snowball.KnockInOutStatusCn;
                        break;
                    case "凤凰期权":
                        r.KnockInOutStatus = r.trade?.trade_autocall.KnockInOutStatusCn;
                        break;
                    case "双鲨期权":
                        r.KnockInOutStatus = r.trade?.trade_double_sharkfin_option.KnockInOutStatusCn;
                        break;
                    case "障碍期权":
                        r.KnockInOutStatus = r.trade?.trade_barrier_option.KnockInOutStatusCn;
                        break;
                    case "气囊结构":
                        r.KnockInOutStatus = r.trade?.trade_airbag.KnockInOutStatusCn;
                        break;
                    case "累计期权":
                        r.Strike = r.trade?.Strike;
                        var settleMode = DbContext.autocall_observation.Where(n => n.TradeId == r.id && n.EndDate <= req.ValueDate)
                            .OrderByDescending(n => n.EndDate).Select(n => n.SettlementMode).FirstOrDefault();
                        r.KnockInOutStatus = settleMode == "敲出" ? "敲出" : "观察中";
                        break;
                }
                r.Rho *= 100;
            }

            if (searchResult.rows.Count() > 0)
            {
                searchResult.Msg = searchResult.rows.FirstOrDefault().OptDate?.ToString("yyyy-MM-dd HH:mm:ss");
            }
            return searchResult;
        }

        /// <summary>
        /// 是否主交易 否
        /// </summary>
        /// <param name="req"></param>
        /// <returns></returns>
        public SearchListResult<RealTimePositionRisksDTO> SearchRealTimePostionRisksList(RealTimePositionRisksReq req)
        {
            var voltype = req?.VolType ?? string.Empty;
            var statusList = new List<string> { ConsTrade.已到期, ConsTrade.已执行, ConsTrade.已平仓 };

            var realtimePredicate = BuildPredicateOfRealTime(req);
            var tradePredicate = PredicateBuilder.Create<trade>(t => t.ValidState != "InValid" && t.TradeType != "结构化交易" && t.IsGroup != 1);

            if (req.UserAssets != null && req.UserClients != null)
            {
                tradePredicate = tradePredicate.And(a => req.UserAssets.Contains(a.AssetId) || req.UserClients.Contains(a.ClientId));
            }

            if (req.TraderIds != null && req.TraderIds.Any(x => x > 0))
            {
                tradePredicate = tradePredicate.And(q => req.TraderIds.Contains(q.TraderId));
            }

            if (req.TradeTypes != null && req.TradeTypes.Any(x => !string.IsNullOrWhiteSpace(x)))
            {
                tradePredicate = tradePredicate.And(d => req.TradeTypes.Contains(d.StructureType) || req.TradeTypes.Contains(d.TradeType) || (req.TradeTypes.Contains("黑箱结构") && d.IsGroup != 0));
            }

            if (!string.IsNullOrWhiteSpace(req.TradeNumber))
            {
                realtimePredicate = realtimePredicate.And(n => n.TradeId > 0);
                tradePredicate = tradePredicate.And(q => q.TradeNumber.Contains(req.TradeNumber));
            }
            if (req.SettlementFlags != null && req.SettlementFlags.Any())
            {
                tradePredicate = tradePredicate.And(d => req.SettlementFlags.Contains(d.SettlementFlag));
            }
            if (!string.IsNullOrEmpty(req.GroupNames) && req.GroupNamesList != null && req.GroupNamesList.Count > 0)
            {
                var gname = req.GroupNamesList[0];
                var groupNamePredicate = PredicateBuilder.Create<trade>(t => !string.IsNullOrEmpty(t.GroupName) && t.GroupName.Contains(gname.ToString()));
                if (req.GroupNamesList.Count > 1)
                {
                    for (int i = 1; i < req.GroupNamesList.Count; i++)
                    {
                        var gname1 = req.GroupNamesList[i];
                        groupNamePredicate = groupNamePredicate.Or(t => !string.IsNullOrEmpty(t.GroupName) && t.GroupName.Contains(gname1.ToString()));
                    }
                }
                tradePredicate = tradePredicate.And(groupNamePredicate);
            }
            if (req.TagIds != null && req.TagIds.Count > 0)
            {
                var tradeTagIdQuery = from tt in DbContext.trade_tag
                                      where req.TagIds.Contains(tt.TagId)
                                      select tt.TradeId;
                tradePredicate = tradePredicate.And(p => tradeTagIdQuery.Contains(p.id));
            }


            var tradeList = new List<string> { "收益互换", "远期", "掉期", "现金流交易" };

            var query = from intradayTrade in DbContext.intraday_trade_position.Where(realtimePredicate)
                        join trade in DbContext.trade.Where(tradePredicate) on intradayTrade.TradeId equals trade.id
                        join tr in DbContext.trade_contract_r.Where(O => O.Type == "交易确认书" && O.IsValid) on trade.id equals tr.TradeId into trs
                        from tr in trs.DefaultIfEmpty()
                        join realtimeRisk in DbContext.realtime_trade_risk on intradayTrade.TradeId equals realtimeRisk.TradeId into realtimeRisk_t
                        from realtimeRisk in realtimeRisk_t.DefaultIfEmpty()
                        join assetUnit in DbContext.assetunit on trade.AssetId equals assetUnit.id into assetUnits
                        from assetUnit in assetUnits.DefaultIfEmpty()
                        join parentTrade in DbContext.trade.Where(tr => tr.ValidState != "InValid") on trade.ParentTradeId equals parentTrade.id into parentTrades
                        from parentTrade in parentTrades.DefaultIfEmpty()
                        join binary in DbContext.trade_binary_option on intradayTrade.TradeId equals binary.TradeId into binary_t
                        from binary in binary_t.DefaultIfEmpty()
                        join asian in DbContext.trade_asian_option on intradayTrade.TradeId equals asian.TradeId into asian_t
                        from asian in asian_t.DefaultIfEmpty()
                        join barrier in DbContext.trade_barrier_option on intradayTrade.TradeId equals barrier.TradeId into barrier_t
                        from barrier in barrier_t.DefaultIfEmpty()
                        join um in DbContext.underlying_manager on intradayTrade.UnderlyingCode equals um.UnderlyingCode into um_t
                        from um in um_t.DefaultIfEmpty()
                        where !statusList.Contains(intradayTrade.TradeStatus)
                        && (!req.VarietyIds.Any() || um != null && req.VarietyIds.Contains(um.UnderlyingTypeId))
                        && (!req.UnderlyingIds.Any() || um != null && req.UnderlyingIds.Contains(um.id))
                        && !tradeList.Contains(intradayTrade.TradeType)
                        && realtimeRisk.VolType == voltype
                        select new RealTimePositionRisksDTO
                        {
                            GroupName = trade.GroupName,
                            id = trade.id,
                            OptionType = trade.OptionType,
                            ClientName = trade.ClientName,
                            TraderName = trade.TraderName,
                            AssetBookName = assetUnit != null ? assetUnit.Name : null,
                            CurrentVolatility = realtimeRisk.Vol,
                            PositionPnl = intradayTrade != null ? intradayTrade.PositionPnL : 0,//浮动盈亏
                            RoundedPositionPnl = intradayTrade != null ? intradayTrade.RoundedPositionPnl : 0,
                            PV = intradayTrade != null ? (double)intradayTrade.Pv : 0,
                            RoundedPV = intradayTrade != null ? (double)intradayTrade.RoundedPv : 0,

                            Vega = realtimeRisk.Vega, //实现盈亏
                            Theta = realtimeRisk.Theta,
                            Rho = realtimeRisk.Rho,
                            Delta = realtimeRisk.Delta,
                            Gamma = realtimeRisk.Gamma,
                            DeltaCash = realtimeRisk.DeltaCash,
                            GammaCash = realtimeRisk.GammaCash,
                            VegaCash = realtimeRisk.VegaCash,

                            ExerciseDate = trade.ExerciseDate,
                            ExerciseMode = trade.ExerciseMode,

                            Notional = intradayTrade != null ? intradayTrade.Amount : 0,
                            StockEqvNotionalMax = trade.StockEqvNotionalMax,
                            OriginalStockEqvNotional = trade.OriginalStockEqvNotional,
                            Strike = trade.Strike,
                            IsMoneynessOption = trade.IsMoneynessOption,

                            ExchangeOptionCode = intradayTrade != null ? intradayTrade.ExchangeOptionCode : "",
                            IsUsePremiumRate = trade.IsUsePremiumRate,
                            PremiumRate = trade.PremiumRate,
                            TradeDate = trade.TradeDate,
                            ParentTradeNumber = parentTrade != null ? parentTrade.TradeNumber : trade.TradeNumber,
                            ContractCode = tr.ContractCode,
                            TradeNumber = trade.TradeNumber,
                            ParentTradeId = trade.ParentTradeId,
                            TradePrice = trade.TradePrice,
                            BuySell = trade.BuySell,
                            TradeSinglePrice = trade.TradeSinglePrice,
                            TradeType = trade.TradeType,
                            StructureType = trade.TradeType == "自定义交易" ? trade.StructureType : trade.TradeType,
                            UnderlyingCode = intradayTrade.UnderlyingCode,
                            IsGroup = trade.IsGroup,
                            Margin = intradayTrade != null ? intradayTrade.Margin : 0,

                            Exposure = realtimeRisk.CreditExposure,
                            RealizedPnl = realtimeRisk != null ? realtimeRisk.RealizedPnl.Value : 0,

                            HedgeUniqueCode = intradayTrade != null ? intradayTrade.HedgeUniqueCode : "",
                            OriginalPrincipalSum = trade.OriginalPrincipalSum,
                            SurvivingNominalPrincipal = trade.SpotPrice * intradayTrade.Amount,
                            UnderlyingPrice = realtimeRisk != null ? realtimeRisk.UnderlyingPrice.Value : 0,
                            CalSpotPrice = realtimeRisk != null ? realtimeRisk.UnderlyingPrice.Value : 0,
                            trade = trade,
                            OptDate = realtimeRisk.OptDate
                        };

            query = query.OrderByDescending(O => O.id).ThenBy(O => O.ParentTradeNumber).ThenBy(O => O.TradeNumber);
            var searchResult = query.ToSearchList(req);


            var tcActions = new[] {  ClientCashInCashOut.系统操作_平仓费,
                ClientCashInCashOut.系统操作_行权费,ClientCashInCashOut.系统操作_票息,ClientCashInCashOut.系统操作_互换,ClientCashInCashOut.人工操作_其他};


            BLL.tradeBLL.SetFieldsByTradeType(searchResult.rows.Select(o => o.trade));

            foreach (var r in searchResult.rows)
            {
                var um = DataCacheProvider.GetUnderlyingDataSource().GetData(r.UnderlyingCode);
                if (um == null)
                {
                    um = new underlying_manager();
                }
                else
                {
                    r.UnderlyingPrice = um.Price ?? 0;
                    r.UnderlyingId = um.id;
                    r.VarietyId = um.UnderlyingTypeId;
                    r.UnderlyingAssetName = um.UnderlyingName;
                    r.CountRatio = um.CountRatio;
                    if (PS.Config.IsGuoJun)
                    {
                        r.UnderlyingVariety = UnderlyingHelper.GetUnderlyingVarietyCode(r.UnderlyingCode);
                    }
                }


                r.RiskFreeRate = r.trade?.NoRiskRate ?? valuedateBLL.RiskFreeRate / 100;
                r.DividendRate = r.trade?.DividendRate ?? r.RiskFreeRate;
                r.OriginalNotional = r.trade?.OriginalNotional;
                r.TradeOriginalAmount = r.OriginalNotional / um.CountRatio;
                r.TradeStatus = r.trade?.TradeStatus;
                r.StockEqvNotional = r.trade?.StockEqvNotional;
                r.InitialSpotPrice = r.trade?.SpotPrice;

                switch (r.TradeType)
                {
                    case "雪球期权":
                        r.KnockInOutStatus = r.trade?.trade_snowball.KnockInOutStatusCn;
                        break;
                    case "凤凰期权":
                        r.KnockInOutStatus = r.trade?.trade_autocall.KnockInOutStatusCn;
                        break;
                    case "双鲨期权":
                        r.KnockInOutStatus = r.trade?.trade_double_sharkfin_option.KnockInOutStatusCn;
                        break;
                    case "障碍期权":
                        r.KnockInOutStatus = r.trade?.trade_barrier_option.KnockInOutStatusCn;
                        break;
                    case "气囊结构":
                        r.KnockInOutStatus = r.trade?.trade_airbag.KnockInOutStatusCn;
                        break;
                    case "累计期权":
                        r.Strike = r.trade?.Strike;
                        var settleMode = DbContext.autocall_observation.Where(n => n.TradeId == r.id && n.EndDate <= req.ValueDate)
                            .OrderByDescending(n => n.EndDate).Select(n => n.SettlementMode).FirstOrDefault();
                        r.KnockInOutStatus = settleMode == "敲出" ? "敲出" : "观察中";
                        break;
                }

                r.etcTradePrice = r.TradePrice * (r.trade == null ? r.Notional / r.OriginalNotional : r.trade?.StockEqvNotional / r.trade?.OriginalStockEqvNotional);
                if (r.trade != null)
                {
                    r.SinglePV = TradeHelper.GetTradeSinglePriceByTradePrice(PS.Config.IsPVRounded ? r.RoundedPV : r.PV, r.Notional
                        , PS.Config.ErpElement.IsPVIncludePrincipal ? r.trade.PrincipalSum() : 0, r.trade.BuySell, r.trade.TradeType, false);
                }

                if (r.trade != null)
                {
                    r.ClientNumber = DataCacheProvider.GetClientDataSource().GetData(r.trade.ClientId)?.Number;
                }

                if (r.trade != null && r.trade.IsGroup == 1)
                {
                    var eodtrade = DbContext.eod_trade.Where(x => x.ValueDate == req.ValueDate && x.ParentTradeId == r.id && ConsTrade.LiveTradeStatusList.Contains(x.TradeStatus)).ToList();
                    r.etcTradePrice = eodtrade.Select(x => (x.trade.BuySell == "买入" ? -1 : 1) * x.trade.TradePrice * x.trade.StockEqvNotional / x.trade.OriginalStockEqvNotional).Sum();
                }

                if (r.ParentTradeId > 0)
                {
                    var childTrades = DbContext.trade.Where(x => x.ParentTradeId == r.ParentTradeId).OrderBy(x => x.TradeNumber).Select(x => x.id).ToList();
                    r.ChildLeg = (childTrades.IndexOf(r.id) + 1).ToString();
                }
                if (um != null)
                {
                    r.GammaLots = (r.Gamma ?? 0) / um.ContractSize;
                    r.DeltaLots = (r.Delta ?? 0) / um.ContractSize;
                }
                r.Rho *= 100;
            }

            if (searchResult.rows.Count() > 0)
            {
                searchResult.Msg = searchResult.rows.FirstOrDefault().OptDate?.ToString("yyyy-MM-dd HH:mm:ss");
            }
            return searchResult;
        }

        public Expression<Func<intraday_trade_position, bool>> BuildPredicateOfRealTime(RealTimePositionRisksReq reqModel)
        {
            var predicate = PredicateBuilder.Create<intraday_trade_position>(t => t.ValueDate == valuedateBLL.ValueDate);
            if (reqModel.UserAssets != null || reqModel.UserClients != null)
            {
                predicate = predicate.And(t => reqModel.UserAssets.Contains(t.BookId) || reqModel.UserClients.Contains(t.ClientId));
            }

            if (reqModel.ClientIds != null && reqModel.ClientIds.Any(x => x > 0))
            {
                predicate = predicate.And(q => reqModel.ClientIds.Contains(q.ClientId));
            }

            if (reqModel.BookIds != null && reqModel.BookIds.Any(x => x > 0))
            {
                predicate = predicate.And(q => reqModel.BookIds.Contains(q.BookId));
            }

            if (reqModel.TradeIds != null && reqModel.TradeIds.Any(x => x != 0))
            {
                predicate = predicate.And(q => reqModel.TradeIds.Contains(q.TradeId));
            }

            reqModel.VarietyIds = reqModel.VarietyIds == null ? Enumerable.Empty<int>() : reqModel.VarietyIds.Where(n => n > 0).ToArray();
            reqModel.UnderlyingIds = reqModel.UnderlyingIds == null ? Enumerable.Empty<int>() : reqModel.UnderlyingIds.Where(n => n > 0).ToArray();
            reqModel.SettlementFlags = reqModel.SettlementFlags == null ? Enumerable.Empty<int>() : reqModel.SettlementFlags.ToArray();
            return predicate;
        }

        public byte[] ExportRealtimePositionRisksToExcel(RealTimePositionRisksReq req)
        {
            var results = GettRealtimePositionRisksDataHandle(req);
            var list2 = results.Select(n => new ExpandoDictionary<string, string>(n)).ToArray();
            var templateFile = OtcAppContext.MapPath("~/App_Docs/导出模板/实时持仓风险.xlsx");
            return ExcelGenerator.UseTemplateGenerator(templateFile).AddVariable(new { list = list2 }).GenerateBytes();
        }

        public List<Dictionary<string, string>> GettRealtimePositionRisksDataHandle(RealTimePositionRisksReq req)
        {

            if (req.TradeIds == null || !req.TradeIds.Any())
            {
                req.page = 0;
                req.rows = 10000;
            }
            req.IsOnlyExport = true;
            IEnumerable<RealTimePositionRisksDTO> sList = null;
            sList = SearchList(req).rows;
            if (sList == null || sList.Count() == 0)
            {
                throw new ServiceException("没有可导出的数据");
            }

            var isPvRounded = PS.Config.IsPVRounded;
            var results = new List<Dictionary<string, string>>(sList.Count());

            foreach (var item in sList)
            {
                var dic = new Dictionary<string, string>();
                if (string.IsNullOrWhiteSpace(item.UnderlyingCode))
                {
                    item.DeltaLots = 0;
                    item.GammaLots = 0;
                }
                dic.Add("交易编号", item.TradeNumber);
                dic.Add("分组名", item.GroupName);
                dic.Add("确认书编号", item.ContractCode);
                dic.Add("期权代码", item.ExchangeOptionCode);
                dic.Add("多腿编号", item.ChildLeg);
                dic.Add("浮动盈亏", (isPvRounded ? item.RoundedPositionPnl : item.PositionPnl).OtcFormatMoney());
                dic.Add("实现盈亏", item.RealizedPnl.OtcFormatMoney());
                dic.Add("TraderName", item.TraderName);
                dic.Add("当前波动率", item.CurrentVolatility.OtcFormatFlex(2, 2, percent: true));
                dic.Add("Delta", OtcFormatExtensions.OtcFormat(item.Delta, OtcFormatFlag.greek));
                dic.Add("Delta手数", OtcFormatExtensions.OtcFormat(item.DeltaLots, OtcFormatFlag.notional));
                dic.Add("Gamma", OtcFormatExtensions.OtcFormat(item.Gamma, OtcFormatFlag.greek));
                dic.Add("Gamma手数", OtcFormatExtensions.OtcFormat(item.GammaLots, OtcFormatFlag.notional));
                dic.Add("Theta", OtcFormatExtensions.OtcFormat(item.Theta, OtcFormatFlag.greek));
                dic.Add("Rho", OtcFormatExtensions.OtcFormat(item.Rho, OtcFormatFlag.greek));
                dic.Add("Vega", OtcFormatExtensions.OtcFormat(item.Vega, OtcFormatFlag.greek));
                dic.Add("到期日期", item.ExerciseDate.OtcFormatDate());
                dic.Add("行权方式", TradeHelper.GetExerciseModeCn(item.ExerciseMode));
                dic.Add("结构类型", item.StructureType);
                dic.Add("观察状态", item.KnockInOutStatus);
                dic.Add("交易对手方", item.ClientName);
                dic.Add("交易对手编号", item.ClientNumber);
                dic.Add("簿记账户", item.AssetBookName);
                dic.Add("成交日期", item.TradeDate.OtcFormatDate());
                dic.Add("看涨看跌", item.OptionType);
                dic.Add("买卖方向", item.BuySell);
                dic.Add("标的代码", item.UnderlyingCode);
                dic.Add("标的品种", item.UnderlyingVariety);
                dic.Add("标的名称", item.UnderlyingAssetName);
                dic.Add("期初标的价格", item.InitialSpotPrice.OtcFormatUmPrice());
                dic.Add("保底收益总额", item.OriginalPrincipalSum.OtcFormatUmPrice());

                if (item.TradeType == "自定义交易")
                {
                    dic.Add("执行价格", string.Empty);
                }
                else
                {
                    dic.Add("执行价格", item.Strike.OtcFormatUmPrice(item.IsMoneynessOption == "是"));
                }

                if (item.IsUsePremiumRate == true)
                {
                    dic.Add("权利金成交", item.PremiumRate.OtcFormat(OtcFormatFlag.premiumRateP));
                }
                else
                {
                    dic.Add("权利金成交", (item.TradeSinglePrice ?? 0).OtcFormat(OtcFormatFlag.tradeSinglePrice));
                }

                var tradeOriginalAmount = PS.Config.IsUseDisplayNotional ? Math.Abs((item.TradeOriginalAmount ?? 0) * (item.CountRatio ?? 1)) : Math.Abs(item.TradeOriginalAmount ?? 0);
                var strTradeOriginalAmount = tradeOriginalAmount.OtcFormatNotional();
                dic.Add("有效成交数量", strTradeOriginalAmount);
                if (item.trade != null)
                {
                    strTradeOriginalAmount = Math.Abs(CalculationModule.TradeCalcHelper.GetTradeAmountV(item.trade, tradeOriginalAmount, 1)).OtcFormatNotional();
                }
                dic.Add("成交数量", strTradeOriginalAmount);

                var tradeDirection = item.BuySell == "买入" || item.BuySell == "多头开仓" || item.BuySell == "空头开仓" ? -1 : 1;

                dic.Add("成交金额", (item.TradePrice * tradeDirection).OtcFormatMoney());
                dic.Add("存续成本", (item.IsGroup == 1 ? item.etcTradePrice : item.etcTradePrice * tradeDirection).OtcFormatMoney());

                dic.Add("名义本金", item.StockEqvNotionalToShow.OtcFormat(OtcFormatFlag.StockEqvNotional));

                dic.Add("存续名义本金", item.SurvivingNominalPrincipal.OtcFormat(OtcFormatFlag.StockEqvNotional));

                dic.Add("最新标的价格", item.UnderlyingPrice.OtcFormatUmPrice());

                dic.Add("无风险利率", item.RiskFreeRate.OtcFormatFlex(2, 2, percent: true));
                dic.Add("分红率", item.DividendRate.OtcFormatFlex(2, 2, percent: true));

                if (item.IsUsePremiumRate == true)
                {
                    var dd = TradeHelper.GetPremiumRateByTradeSinglePrice(item.SinglePV, item.InitialSpotPrice);
                    dic.Add("权利金存续", dd.OtcFormat(OtcFormatFlag.premiumRateP));
                }
                else
                {
                    dic.Add("权利金存续", item.SinglePV.HasValue ? Convert.ToDouble(item.SinglePV.Value).OtcFormat(OtcFormatFlag.tradePrice) : "");
                }
                var tradeAmount = PS.Config.IsUseDisplayNotional ? Math.Abs((item.TradeAmount * (item.CountRatio ?? 1)) ?? 0) : Math.Abs(item.TradeAmount ?? 0);
                var strTradeAmount = tradeAmount.OtcFormatNotional();
                dic.Add("有效存续数量", strTradeAmount);

                if (item.trade != null)
                {
                    strTradeAmount = Math.Abs(CalculationModule.TradeCalcHelper.GetTradeAmountV(item.trade, tradeAmount, 1)).OtcFormatNotional();
                }
                dic.Add("存续数量", strTradeAmount);

                var pv = Convert.ToDouble((isPvRounded ? item.RoundedPV : item.PV) ?? 0);
                dic.Add("存续市值", pv.OtcFormatMoney());
                dic.Add("计算标的价格", item.CalSpotPrice.OtcFormatMoney());
                dic.Add("维持预付金", item.Margin.OtcFormatMoney());
                results.Add(dic);
            }
            return results;
        }
    }
}