using Qdp.Foundation.Implementations;
using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
using YLErp.Abstract.DataProviders;
using YLErp.BLL;
using YLErp.Commons;
using YLErp.DBModels.Consts;
using YLErp.DBModels.Helpers;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.DataProviderModule;
using YLErp.Modules.SalesModule;
using YLErp.Modules.TradeModule.DealModule;
using YLErp.Modules.TradeModule.ExoticOptionModule;

namespace YLErp.Modules.TradeModule
{
    public class TradeSnowballBLL : ExoticOptionModule.TradeCashServiceEx
    {
        public TradeSnowballBLL(YLBaseService baseService) : base(baseService)
        {
        }

        public TradeSnowballBLL(OptUserInfo userInfo) : base(userInfo)
        {
        }

        public void CheckStatus(DateTime valueDate, IEodPriceProviderV2 priceProvider, DateTime? startDate = null
            , Action<OtcTrade, trade_snowball> afterKnowInOut = null, IEnumerable<int> clienIds = null)
        {
            priceProvider ??= new EodPriceProvider(valueDate);

            if (startDate == null)
            {
                startDate = valueDate.AddYears(-5);
            }

            var query = from trade in DbContext.trade
                        join snowball in DbContext.trade_snowball on trade.id equals snowball.TradeId
                        join underlying in DbContext.underlying_manager on trade.UnderlyingId equals underlying.id
                        where trade.TradeDate > startDate.Value && trade.TradeDate <= valueDate
                            && trade.ExerciseDate >= valueDate
                            && ConsTrade.确认成交 == trade.TradeStatus && (trade.TradeType == "雪球期权")
                            && trade.ValidState != ConsGlobal.InValid
                            && (snowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut || (snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut && snowball.KnockInOutDate >= valueDate))
                            && trade.DividendDate < valueDate
                        select new
                        {
                            underlying = underlying,
                            trade = trade,
                            trade_snowball = snowball
                        };
            #region 增加客户筛选 tw
            if (clienIds != null)
            {
                query = query.Where(l => clienIds.Contains(l.trade.ClientId));
            }
            #endregion
            //未敲出的，以及已敲出但敲出日期大于等于当前收盘日的（为了历史收盘）
            var trades = query.ToList();

            var tradeIds = trades.Select(x => x.trade.id).ToList();
            var manuallyTradeObservationPrices = DbContext.manually_trade_observation_price
                .Where(x => tradeIds.Contains(x.TradeId) && x.ValueDate == valueDate).ToDictionary(n => n.TradeId);
            trades.ForEach(tr =>
            {
                if (tr.trade.ExerciseDate < valueDate)
                {
                    return;//已到期交易不再观察;
                }
                var tradeStatus = tr.trade.TradeStatus;

                double closePrice;
                double? SettlementAmount = null;

                if (manuallyTradeObservationPrices.TryGetValue(tr.trade.id, out var manuallyTradeObservationPrice))
                {
                    closePrice = manuallyTradeObservationPrice.Price ?? 0;
                    SettlementAmount = manuallyTradeObservationPrice.SettlementAmount;
                }
                else if (!priceProvider.TryGetEodPrice(tr.trade.UnderlyingCode, out var eodPrice))
                {
                    throw new Exception($"[{tr.trade.TradeType}:{tr.trade.TradeNumber},标的:{tr.trade.UnderlyingCode}]未找到结算价");
                }
                else
                {
                    closePrice = eodPrice.ClosePrice;
                }

                var oldKnockInOutStatus = tr.trade_snowball.KnockInOutStatus;
                CheckSnowballKnockInOutStatus(tr.trade, tr.trade_snowball, valueDate, closePrice, SettlementAmount);

                if (oldKnockInOutStatus != tr.trade_snowball.KnockInOutStatus)
                {
                    var KnockInOutStatus = tr.trade_snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn ? "敲入" : "敲出";
                    LogFactory.GetLogger("收盘检查雪球").Info($"{tr.trade.TradeNumber}--{KnockInOutStatus}--调试");
                    AddTradeOperationHistoryAndSetParentTradeInfo(false, tr.trade, KnockInOutStatus, KnockInOutStatus);
                }

                if (tradeStatus != tr.trade.TradeStatus || oldKnockInOutStatus != tr.trade_snowball.KnockInOutStatus)
                {
                    //删除E/Bod_Trade记录
                    RemoveEodTradeAndFutureInfo(false, tr.trade.id, valueDate);
                }

                if (afterKnowInOut != null && DbContext.Entry(tr.trade_snowball).State == EntityState.Modified)
                {
                    afterKnowInOut(tr.trade, tr.trade_snowball);
                }
            });

            DbContext.SaveChanges();
        }

        //获取雪球期权敲出时要准备的信息
        public (DateTime koSettleDate, double koBarrier) GetKoSettleInfo(DateTime valueDate, OtcTradeBase otcTrade, trade_snowball tradeSnowball, SimpleSnowball snowball)
        {
            double koBarrier;
            var koSettleDate = valueDate;
            var datesStr = tradeSnowball.KOObservationSettleDates;
            var KOObsSettleDates = string.IsNullOrWhiteSpace(datesStr) ? null : datesStr.Split(new char[] { ',', ';', '，', '；' }, StringSplitOptions.RemoveEmptyEntries).Select(x => DateTime.Parse(x)).ToArray();
            if (snowball.CustomizedKOBarriers != null && snowball.CustomizedKOBarriers.Length > 0)
            {
                var index = snowball.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(valueDate);
                koBarrier = snowball.CustomizedKOBarriers[index];
                if (KOObsSettleDates != null && KOObsSettleDates.Length > index)
                {
                    koSettleDate = KOObsSettleDates[index];
                }
            }
            else
            {
                koBarrier = tradeSnowball.KOBarrier;
                if (KOObsSettleDates != null && KOObsSettleDates.Any())
                {
                    koSettleDate = KOObsSettleDates[0];
                }
            }

            if (tradeSnowball.KORebateType == RebateTypeEnum.AtEnd)
            {
                koSettleDate = otcTrade.ExerciseDate.Value;
            }
            else if (koSettleDate < valueDate)
            {
                koSettleDate = valueDate;
            }

            if (otcTrade.IsMoneynessOptionData)
            {
                koBarrier *= otcTrade.SpotPrice ?? 1.0;
            }

            return (koSettleDate, koBarrier);
        }

        public SnowballObservationResult GetDefaultAmountForSpecialSnowball(OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice)
        {
            var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == otcTrade.id && x.Action == "系统操作-平仓费" && x.ValueDate > valueDate && (x.ConfirmDate > valueDate || x.ConfirmDate == DateTime.MinValue) && x.UnwindNotional < x.Notional).ToList();
            var tradeNotional = (ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus) && otcTrade.UnWindDate <= valueDate ? 0 : otcTrade.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value;

            return tradeSnowball.PrepaymentUsed
                ? new SpecialSnowballObservationHelper(otcTrade, tradeSnowball).GetObservationResultForTraderSide(valueDate, closePrice, tradeNotional)
                : throw new ServiceFaultException("不支持非预付金形式的雪球");
        }

        public double GetDefaultAmount(OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice)
        {
            var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == otcTrade.id && x.Action == "系统操作-平仓费" && x.ValueDate > valueDate && (x.ConfirmDate > valueDate || x.ConfirmDate == DateTime.MinValue) && x.UnwindNotional < x.Notional).ToList();
            var tradeNotional = (ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus) && otcTrade.UnWindDate <= valueDate ? 0 : otcTrade.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value;

            if (tradeSnowball.PrepaymentUsed)
            {
                var result = new SpecialSnowballObservationHelper(otcTrade, tradeSnowball).GetObservationResultForTraderSide(valueDate, closePrice, tradeNotional);

                return result.PaymentAmount;
            }

            var defaultAmount = 0d;

            var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate())
            {
                ParamOverride = p => p.notional = tradeNotional
            };

            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(otcTrade, tradeSnowball, request);
            var snowball = (SimpleSnowball)optionTrade.Instrument;
            var isCall = ConsGlobal.CallPut.IsCall(otcTrade.CallPut);

            //只在敲出观察日检查敲出和票息情况
            //如果交易已经是敲出状态了，不用再做票息和敲出检查
            if (snowball.KOObsDates.Select(x => x.DateTime).Contains(valueDate)
                && tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
            {
                #region 敲出检查

                (var koSettleDate, var koBarrier) = GetKoSettleInfo(valueDate, otcTrade, tradeSnowball, snowball);

                // 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)
                if (isCall ? closePrice >= koBarrier : closePrice <= koBarrier)
                {
                    tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;

                    if (snowball.UseOptionPayoffAtKO)
                    {
                        var koOptionCashflows = snowball.GetKOPayoff(new Date(valueDate), closePrice);
                        //koOptionCashflows[0]..PaymentAmount包含了买卖方向的处理了
                        defaultAmount = TradeHelper.GetAmountByPaymentAmount(koOptionCashflows[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
                    }
                    else
                    {
                        var CouponPayment = snowball.CouponPayment(valueDate, includeStartDate: tradeSnowball.CouponIncludeStartDate == true && tradeSnowball.CouponDayCount != "Monthly");
                        defaultAmount = TradeHelper.GetAmountByPaymentAmount(CouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);

                        if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
                        {
                            var tradePrice = (otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate))) ?? 0;

                            if (tradePrice != 0)
                            {
                                defaultAmount += (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
                            }
                        }
                    }

                    return defaultAmount; //已经敲出了,不需要再继续走下去了
                }

                #endregion
            }

            #region 敲入检查
            //在当前结算日之前未敲出且未敲入:
            // !((KO || KI) && KOKIDate < valueDate)
            if (!((tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut
                || tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn) && tradeSnowball.KnockInOutDate < valueDate)
                && snowball.KIObsDates.Select(x => x.DateTime).Contains(valueDate) && tradeSnowball.KIPayoffType != KIPayoffTypeEnum.None)
            {
                var kiBarrier = otcTrade.IsMoneynessOptionData ? tradeSnowball.KIBarrier * otcTrade.SpotPrice : tradeSnowball.KIBarrier;

                // 发生敲入事件(看涨 - 向下敲入,看跌 - 向上敲入)
                if (isCall ? closePrice <= kiBarrier : closePrice >= kiBarrier)
                {
                    // 更新观察状态
                    tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
                }
            }
            #endregion

            #region 到期检查
            if (valueDate == snowball.ExerciseDates.Last().DateTime)
            {
                if (snowball.UseOptionPayoffAtMaturity &&
                (tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn || tradeSnowball.KIBarrier <= 0))
                {
                    //已敲入，到期时计算期权收益
                    var optionPayoffPayment = snowball.GetPayoff(new double[] { closePrice });
                    //optionPayoffPayment[0].PaymentAmount包含了买卖方向的处理了
                    defaultAmount = TradeHelper.GetAmountByPaymentAmount(optionPayoffPayment[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
                }
                else if (tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
                {
                    var startDate = tradeSnowball.CouponIncludeStartDate == true ? snowball.StartDate.AddDays(-1) : snowball.StartDate;
                    var maturityCouponRate = snowball.Coupon * snowball.InitialSpotPrice;
                    var maturityCouponPayment =
                        snowball.FixedCoupon ?
                        maturityCouponRate * snowball.Notional :
                        maturityCouponRate * snowball.Notional * snowball.CouponDayCount.CalcDayCountFraction(startDate, snowball.ExerciseDates.Last());
                    maturityCouponPayment = TradeHelper.GetAmountByPaymentAmount(maturityCouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);

                    defaultAmount = maturityCouponPayment;

                    if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
                    {
                        var tradePrice = (otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate))) ?? 0;
                        if (tradePrice != 0)
                        {
                            defaultAmount += (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
                        }
                    }
                }
            }
            #endregion

            return defaultAmount;
        }

        public void CheckSnowballKnockInOutStatus(OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice, double? settlementAmount)
        {
            if (otcTrade is null)
            {
                throw new ArgumentNullException(nameof(otcTrade));
            }

            if (tradeSnowball is null)
            {
                throw new ArgumentNullException(nameof(tradeSnowball));
            }

            try
            {
                var tradeStatusOld = otcTrade.TradeStatus;
                InnerCheckSnowballKnockInOutStatus(otcTrade, tradeSnowball, valueDate, closePrice, settlementAmount);
                //生成确认书
                if (PS.Config.IsAutoGenerateContracts && tradeStatusOld == ConsTrade.确认成交 && ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus))
                {
                    //修改销售提成的状态
                    new SalesCommissionDataService(this).SetCommissionVaild(otcTrade.id);
                    new TradeContractGenerateService(this).GenerateContractsAsync(new List<int> { otcTrade.id });
                }
            }
            catch (Exception ex)
            {
                throw new ServiceException($"[检查敲入敲出]交易编号:{otcTrade.TradeNumber},{ex.Message}", ex);
            }
        }

        private void InnerCheckSnowballKnockInOutStatus(
            OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice, double? SettlementAmount)
        {
            var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == otcTrade.id && x.Action == "系统操作-平仓费" && x.ValueDate > valueDate && (x.ConfirmDate > valueDate || x.ConfirmDate == DateTime.MinValue) && x.UnwindNotional < x.Notional).ToList();
            var tradeNotional = (ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus) && otcTrade.UnWindDate <= valueDate ? 0 : otcTrade.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value;

            if (tradeSnowball.PrepaymentUsed)
            {
                ProcessSpecialSnowball(otcTrade, tradeSnowball, valueDate, closePrice, tradeNotional, SettlementAmount);

                return;
            }

            var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate())
            {
                ParamOverride = p => p.notional = tradeNotional
            };

            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(otcTrade, tradeSnowball, request);
            var snowball = (SimpleSnowball)optionTrade.Instrument;
            var isCall = ConsGlobal.CallPut.IsCall(otcTrade.CallPut);

            //只在敲出观察日检查敲出和票息情况
            //如果交易已经是敲出状态了，不用再做票息和敲出检查
            if (snowball.KOObsDates.Select(x => x.DateTime).Contains(valueDate)
                && tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
            {
                #region 敲出检查

                (var koSettleDate, var koBarrier) = GetKoSettleInfo(valueDate, otcTrade, tradeSnowball, snowball);

                // 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)
                if (isCall ? closePrice >= koBarrier : closePrice <= koBarrier)
                {
                    // 更新观察状态
                    tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
                    tradeSnowball.KnockInOutDate = valueDate;

                    // 更新交易状态
                    otcTrade.TradeStatus = ConsTrade.已平仓;
                    otcTrade.UnWindDate = valueDate;

                    if (snowball.UseOptionPayoffAtKO)
                    {
                        double paymentAmount = 0;
                        var koOptionCashflows = snowball.GetKOPayoff(new Date(valueDate), closePrice);
                        if (SettlementAmount != null)
                        {
                            paymentAmount = SettlementAmount.Value;
                        }
                        else
                        {
                            paymentAmount = TradeHelper.GetAmountByPaymentAmount(koOptionCashflows[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
                        }

                        var parentTradeId = 0;
                        var parentTradeCashId = 0;
                        if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
                        {
                            var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
                            if (groupAction != null)
                            {
                                groupAction.Status = "已完成";
                                parentTradeCashId = groupAction.ParentTradeCashId;
                                parentTradeId = groupAction.ParentTradeId;
                            }
                            else
                            {
                                parentTradeId = otcTrade.ParentTradeId;
                                parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
                            }
                        }

                        SaveOptionPayoffCash(otcTrade, paymentAmount, koSettleDate, closePrice, ClientCashInCashOut.系统操作_平仓费, TradeCashExerciseWayEnum.提前终止行权, valueDate, true, parentTradeId, parentTradeCashId);
                        //koOptionCashflows[0].PaymentAmount包含了买卖方向的处理了
                    }
                    else
                    {
                        if (SettlementAmount != null)
                        {
                            double tradePrice = 0;
                            var _settlementAmount = SettlementAmount.Value;

                            var parentTradeId = 0;
                            var parentTradeCashId = 0;
                            if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
                            {
                                var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
                                if (groupAction != null)
                                {
                                    groupAction.Status = "已完成";
                                    parentTradeCashId = groupAction.ParentTradeCashId;
                                    parentTradeId = groupAction.ParentTradeId;
                                }
                                else
                                {
                                    parentTradeId = otcTrade.ParentTradeId;
                                    parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, _settlementAmount, closePrice, out var continueTradeCashHandle).id;
                                }
                            }

                            //观察日价格页面的结算金额包含了年化期权费，该处逻辑需要先按照扣除年化期权费来算，后面逻辑会补上年化期权费，否则会重复运算
                            if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
                            {
                                tradePrice = otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate)) ?? 0;
                                if (tradePrice != 0)
                                {
                                    _settlementAmount -= (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
                                }
                            }
                            var tradeCash = SaveCouponAmountCash(otcTrade, _settlementAmount, koSettleDate, closePrice, valueDate, parentTradeId, parentTradeCashId);
                            if (tradePrice != 0 && otcTrade.PremiumPayDate <= valueDate)
                            {
                                SaveTradePrice(otcTrade, tradeCash, tradePrice, koSettleDate);
                            }
                        }
                        else
                        {
                            var CouponPayment = snowball.CouponPayment(valueDate, includeStartDate: tradeSnowball.CouponIncludeStartDate == true && tradeSnowball.CouponDayCount != "Monthly");
                            var couponPayment = TradeHelper.GetAmountByPaymentAmount(CouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);

                            var parentTradeId = 0;
                            var parentTradeCashId = 0;
                            var hasUnfinishedGroupAction = false;
                            var continueTradeCashHandle = false;
                            var groupTradeCash = new trade_cash();
                            if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
                            {
                                var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
                                if (groupAction != null)
                                {
                                    hasUnfinishedGroupAction = true;
                                    groupAction.Status = "已完成";
                                    parentTradeCashId = groupAction.ParentTradeCashId;
                                    parentTradeId = groupAction.ParentTradeId;
                                }
                                else
                                {
                                    parentTradeId = otcTrade.ParentTradeId;
                                    groupTradeCash = SaveGroupUnwindCash(otcTrade, valueDate, couponPayment, closePrice, out continueTradeCashHandle);
                                    parentTradeCashId = groupTradeCash.id;
                                }
                            }

                            var tradeCash = SaveCouponAmountCash(otcTrade, couponPayment, koSettleDate, closePrice, valueDate, parentTradeId, parentTradeCashId);

                            if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
                            {
                                var tradePrice = (otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate))) ?? 0;
                                if (tradePrice != 0 && otcTrade.PremiumPayDate <= valueDate)
                                {
                                    SaveTradePrice(otcTrade, tradeCash, tradePrice, koSettleDate);
                                    if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0 && !hasUnfinishedGroupAction && continueTradeCashHandle)
                                    {
                                        groupTradeCash.Amount += (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
                                        DbContext.SaveChanges();
                                    }
                                }
                            }
                        }
                    }

                    LogFactory.GetLogger("收盘检查雪球").Info($"{otcTrade.TradeNumber}--敲出");

                    return; //已经敲出了,不需要再继续走下去了
                }
                #endregion
            }

            #region 敲入检查
            //在当前结算日之前未敲出且未敲入:
            // !((KO || KI) && KOKIDate < valueDate)
            if (!((tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut
                || tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn)
                && tradeSnowball.KnockInOutDate < valueDate)
                && snowball.KIObsDates.Select(x => x.DateTime).Contains(valueDate) && tradeSnowball.KIPayoffType != KIPayoffTypeEnum.None)
            {
                var kiBarrier =
                    otcTrade.IsMoneynessOptionData ?
                    tradeSnowball.KIBarrier * otcTrade.SpotPrice :
                    tradeSnowball.KIBarrier;

                // 发生敲入事件(看涨时向下敲入,看跌时向上敲入)
                if (isCall ? closePrice <= kiBarrier : closePrice >= kiBarrier)
                {
                    // 更新观察状态
                    tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
                    tradeSnowball.KnockInOutDate = valueDate;
                }
            }
            #endregion

            #region 到期检查
            if (valueDate == snowball.ExerciseDates.Last().DateTime)
            {
                if (snowball.UseOptionPayoffAtMaturity &&
                (tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn || tradeSnowball.KIBarrier <= 0))
                {
                    otcTrade.TradeStatus = ConsTrade.已执行;
                    otcTrade.UnWindDate = valueDate;
                    double paymentAmount = 0;
                    //已敲入，到期时计算期权收益
                    var optionPayoffPayment = snowball.GetPayoff(new double[] { closePrice });
                    if (SettlementAmount != null)
                    {
                        paymentAmount = SettlementAmount.Value;
                    }
                    else
                    {
                        paymentAmount = TradeHelper.GetAmountByPaymentAmount(optionPayoffPayment[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
                    }

                    var parentTradeId = 0;
                    var parentTradeCashId = 0;
                    if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
                    {
                        var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
                        if (groupAction != null)
                        {
                            groupAction.Status = "已完成";
                            parentTradeCashId = groupAction.ParentTradeCashId;
                            parentTradeId = groupAction.ParentTradeId;
                        }
                        else
                        {
                            parentTradeId = otcTrade.ParentTradeId;
                            parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
                        }
                    }

                    //optionPayoffPayment[0].PaymentAmount包含了买卖方向的处理了
                    SaveOptionPayoffCash(otcTrade, paymentAmount, valueDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
                }
                else if (tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
                {
                    var startDate = tradeSnowball.CouponIncludeStartDate == true ? snowball.StartDate.AddDays(-1) : snowball.StartDate;
                    otcTrade.TradeStatus = ConsTrade.已到期;
                    otcTrade.UnWindDate = valueDate;
                    var maturityCouponRate = snowball.Coupon * snowball.InitialSpotPrice;
                    var maturityCouponPayment =
                        snowball.FixedCoupon ?
                        maturityCouponRate * snowball.Notional :
                        maturityCouponRate * snowball.Notional * snowball.CouponDayCount.CalcDayCountFraction(startDate, snowball.ExerciseDates.Last());
                    maturityCouponPayment = TradeHelper.GetAmountByPaymentAmount(maturityCouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);

                    double tradePrice = 0;
                    if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
                    {
                        tradePrice = otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate)) ?? 0;
                    }

                    var parentTradeId = 0;
                    var parentTradeCashId = 0;
                    var groupTradeCash = new trade_cash();
                    if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
                    {
                        var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
                        if (groupAction != null)
                        {
                            groupAction.Status = "已完成";
                            parentTradeCashId = groupAction.ParentTradeCashId;
                            parentTradeId = groupAction.ParentTradeId;
                        }
                        else
                        {
                            var paymentAmount = SettlementAmount != null ? SettlementAmount.Value : (maturityCouponPayment + ((otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice));
                            parentTradeId = otcTrade.ParentTradeId;
                            parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
                        }
                    }

                    var tradeCash = new trade_cash();
                    if (SettlementAmount != null)
                    {
                        //观察日价格页面的结算金额包含了年化期权费，该处逻辑需要先按照扣除年化期权费来算，后面逻辑会补上年化期权费，否则会重复运算
                        var _settlementAmount = SettlementAmount.Value;
                        if (tradePrice != 0)
                        {
                            _settlementAmount -= (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
                        }
                        tradeCash = SaveOptionPayoffCash(otcTrade, _settlementAmount, valueDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
                    }
                    else
                    {
                        tradeCash = SaveOptionPayoffCash(otcTrade, maturityCouponPayment, valueDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
                    }

                    if (tradePrice != 0 && otcTrade.PremiumPayDate <= valueDate)
                    {
                        SaveTradePrice(otcTrade, tradeCash, tradePrice, valueDate);
                    }
                }
            }
            #endregion
        }

        private trade_cash SaveOptionPayoffCash(OtcTradeBase trade, double paymentAmount, DateTime valueDate, double underlyingPrice, string cashAction, string exerciseWay, DateTime happenDate, bool isKnockOut, int parentTradeId, int parentTradeCashId)
        {
            return SaveCash(trade, cashAction, exerciseWay, paymentAmount, valueDate, underlyingPrice, happenDate, isKnockOut, isLastAction: true, parentTradeId: parentTradeId, parentTradeCashId: parentTradeCashId);
        }

        private trade_cash SaveCouponAmountCash(OtcTradeBase trade, double couponAmount, DateTime valueDate, double underlyingPrice, DateTime happenDate, int parentTradeId, int parentTradeCashId)
        {
            return SaveCash(trade, ClientCashInCashOut.系统操作_票息, null, couponAmount, valueDate, underlyingPrice, happenDate, true, isLastAction: true, parentTradeId: parentTradeId, parentTradeCashId: parentTradeCashId);
        }

        public void SaveTradePrice(OtcTradeBase trade, trade_cash tradeCash, double tradePrice, DateTime valueDate)
        {
            const string cashAction = ClientCashInCashOut.系统操作_期权费;

            // 保存trade_cash
            var tcd = new trade_cash_detail();
            DbContext.trade_cash_detail.Add(tcd);

            tcd.TradeId = tradeCash.TradeId;
            tcd.TradeCashId = tradeCash.id;
            tcd.Amount = (trade.BuySell == "买入" ? -1 : 1) * tradePrice;
            tcd.Action = cashAction;
            tcd.ValueDate = tradeCash.ValueDate;
            tcd.OptDate = DateTime.Now;
            tcd.OptId = tradeCash.OptId;
            tcd.OptName = tradeCash.OptName;

            var tradeCashUpDate = DbContext.trade_cash.Find(tradeCash.id);
            tradeCashUpDate.Amount += tcd.Amount ?? 0;

            // 保存ClientCashInCashOut
            var client = DbContextFactory.GetClientDbContext(UserInfo).client.Where(n => n.id == trade.ClientId)
              .Select(n => new { n.id, n.Number, n.Name }).FirstOrDefault();

            if (client == null)
            {
                throw new Exception($"{trade.TradeType}'{trade.TradeNumber}'找不到客户信息,客户id:{trade.ClientId}");
            }

            var cashInOutRecord = DbContext.ClientCashInCashOut.FirstOrDefault(c => c.TradeId == trade.id && c.Action == cashAction && c.HappenDate == valueDate);
            if (cashInOutRecord == null)
            {
                cashInOutRecord = new ClientCashInCashOut();
                cashInOutRecord.CreateDate = tradeCash.OptDate;
                cashInOutRecord.CreatorId = tradeCash.OptId;
                cashInOutRecord.CreatorName = tradeCash.OptName;
                DbContext.ClientCashInCashOut.Add(cashInOutRecord);
            }
            cashInOutRecord.Direction = "应收";
            cashInOutRecord.Number = UniqueTimeId.GetStr();
            cashInOutRecord.ClientId = client.id;
            cashInOutRecord.ClientNumber = client.Number;
            cashInOutRecord.ClientName = client.Name;
            cashInOutRecord.Money = -tcd.Amount;
            cashInOutRecord.HappenDate = valueDate;
            cashInOutRecord.ValidState = "Valid";
            cashInOutRecord.State = ClientCashInCashOut.已确认;
            cashInOutRecord.OptDate = DateTime.Now;
            cashInOutRecord.OptId = tradeCash.OptId;
            cashInOutRecord.OptName = tradeCash.OptName;
            cashInOutRecord.TradeId = trade.id;
            cashInOutRecord.TradeCashId = tradeCash.id;
            cashInOutRecord.Action = cashAction;
            cashInOutRecord.TradeNumber = trade.TradeNumber;
            cashInOutRecord.IsGroup = trade.IsGroup;

            DbContext.SaveChanges();
        }

        /// <summary>
        /// 处理专业版雪球
        /// </summary>
        private void ProcessSpecialSnowball(OtcTradeBase otcTrade, trade_snowball snowball
           , DateTime valueDate, double closePrice, double tradeNotional, double? settlementAmount)
        {
            var obResult = new SpecialSnowballObservationHelper(otcTrade, snowball)
                .GetObservationResultForTraderSide(valueDate, closePrice, tradeNotional);

            if (obResult.ResultType == SnowballObservationResultType.NonObservationDay
                || obResult.ResultType == SnowballObservationResultType.Monitoring)
            {
                return;
            }

            //期权敲入
            if (obResult.ResultType == SnowballObservationResultType.KnockedIn)
            {
                // 更新期权敲入状态
                if (snowball.KnockInOutDate == null)
                {
                    snowball.KnockInOutDate = snowball.IsInitialKnockedIn ? otcTrade.StartDate.Value : valueDate;
                }
                snowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
                return;
            }

            var paymentAmount = settlementAmount != null
                    ? settlementAmount.Value
                    : TradeHelper.GetAmountByPaymentAmount(obResult.PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);

            if (obResult.ResultType == SnowballObservationResultType.KoPayoff)
            {
                // 更新期权敲出状态
                snowball.KnockInOutDate = valueDate;
                snowball.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;

                // 更新交易了结状态
                otcTrade.UnWindDate = valueDate;
                otcTrade.TradeStatus = ConsTrade.已平仓;

                //写入资金记录

                (var parentTradeId, var parentTradeCashId) = SaveGroupCash(otcTrade, obResult.PaymentDate, paymentAmount, closePrice);

                SaveCouponAmountCash(otcTrade, paymentAmount, obResult.PaymentDate, closePrice, valueDate, parentTradeId, parentTradeCashId);

                LogFactory.GetLogger("收盘检查雪球").Info($"{otcTrade.TradeNumber}--敲出");
            }
            else if (obResult.ResultType == SnowballObservationResultType.KiPayoffAtEndDate)
            {
                // 更新期权敲入状态
                if (snowball.KnockInOutDate == null)
                {
                    snowball.KnockInOutDate = snowball.IsInitialKnockedIn ? otcTrade.StartDate.Value : valueDate;
                }
                snowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;

                // 更新交易了结状态
                otcTrade.UnWindDate = valueDate;
                otcTrade.TradeStatus = ConsTrade.已执行;

                (var parentTradeId, var parentTradeCashId) = SaveGroupCash(otcTrade, obResult.PaymentDate, paymentAmount, closePrice);

                SaveOptionPayoffCash(otcTrade, paymentAmount, obResult.PaymentDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
            }
            else if (obResult.ResultType == SnowballObservationResultType.NkiPayoffAtEndDate)
            {
                otcTrade.UnWindDate = valueDate;
                otcTrade.TradeStatus = ConsTrade.已到期;

                (var parentTradeId, var parentTradeCashId) = SaveGroupCash(otcTrade, obResult.PaymentDate, paymentAmount, closePrice);

                SaveOptionPayoffCash(otcTrade, paymentAmount, obResult.PaymentDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
            }
            else
            {
                throw new ServiceException("系统错误,未处理的观察结果类型:" + obResult.ResultType) { IsFaultError = true };
            }
        }

        //保存组合交易资金
        private (int parentTradeId, int parentTradeCashId) SaveGroupCash(OtcTradeBase otcTrade
            , DateTime paymentDate, double paymentAmount, double closePrice)
        {
            var parentTradeId = 0;
            var parentTradeCashId = 0;

            if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
            {
                var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");

                if (groupAction != null)
                {
                    groupAction.Status = "已完成";
                    parentTradeCashId = groupAction.ParentTradeCashId;
                    parentTradeId = groupAction.ParentTradeId;
                }
                else
                {
                    parentTradeId = otcTrade.ParentTradeId;
                    parentTradeCashId = SaveGroupUnwindCash(otcTrade, paymentDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
                }
            }

            return (parentTradeId, parentTradeCashId);
        }
    }
}