using BaseOUDAL;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Library.Equity.Engines.Analytical;
using YLErp.BLL;
using YLErp.Model;
using YLErp.QdpModule;

namespace YLErp.Modules.VolatilityModule
{
    /// <summary>
    /// 波动率处理服务
    /// </summary>
    public class VolatilityService : YLBaseService
    {
        public VolatilityService(OptUserInfo userInfo) : base(userInfo)
        {

        }

        public double GetTradeVol(trade trade, DateTime date)
        {
            TradeVolatility tradeVol = null;
            using (YLContext ylDb = new YLContext())
            {
                tradeVol = ylDb.TradeVolatility.Where(n => n.TradeId == trade.id && n.ValueDate <= date)
                    .OrderByDescending(O => O.ValueDate).FirstOrDefault();
            }
            return GetTradeVol(trade, tradeVol, date);
        }

        public void GetTradeVol(List<trade> trades, DateTime date)
        {
            Dictionary<int, TradeVolatility> volDic = new Dictionary<int, TradeVolatility>();
            List<int> ids = trades.Where(t => !ConsTrade.TradeTypesForHedge.Contains(t.TradeType) && t.StartDate <= date).Select(O => O.id).ToList();
            using (YLContext ylDb = new YLContext())
            {
                var tempQuery = DbContext.TradeVolatility.Where(O => O.ValueDate <= date && ids.Contains(O.TradeId));
                if (tempQuery.Any())
                {
                    var groupQuery = tempQuery.GroupBy(O => O.TradeId).Select(n => new { TradeId = n.Key, ValueDate = n.Max(m => m.ValueDate) });
                    var query = from a in DbContext.TradeVolatility
                                join b in groupQuery on new { a.TradeId, a.ValueDate } equals new { b.TradeId, b.ValueDate }
                                select a;

                    volDic = query.ToDictionary(K => K.TradeId);
                }
            }
            foreach (var t in trades)
            {
                if (t.StartDate > date || ConsTrade.TradeTypesForHedge.Contains(t.TradeType))
                {
                    continue;
                }
                volDic.TryGetValue(t.id, out var tradeVol);
                t.Vol = GetTradeVol(t, tradeVol, date);
            }
        }

        private double GetTradeVol(trade trade, TradeVolatility tradeVol, DateTime date)
        {
            var daycountMode = PS.Config.ErpElement.SmoothingDaycountMode == Configuration.Enums.SmoothingDaycountMode.CalendarDay
                              ? Qdp.Pricing.Base.Enums.DayCountMode.CalendarDay
                              : Qdp.Pricing.Base.Enums.DayCountMode.TradingDay;

            if (tradeVol == null)
            {
                try
                {
                    return AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(
                            new Qdp.Foundation.Implementations.Date(date),
                            trade.TradeOpenVolatility ?? 0,
                            trade.TradeCloseVolatility ?? 0,
                            new Qdp.Foundation.Implementations.Date(trade.StartDate ?? DateTime.Today),
                            new Qdp.Foundation.Implementations.Date(trade.ExerciseDate ?? DateTime.Today),
                            trade.NumOfSmoothingDays ?? 0,
                            daycountMode,
                            CalendarImpl.Get("chn"));
                }
                catch
                {
                    return double.NaN;
                }
            }
            else
            {
                return AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(
                        new Qdp.Foundation.Implementations.Date(date),
                        tradeVol.TradePositionVolatility ?? 0,
                        tradeVol.TradeCloseVolatility ?? 0,
                        new Qdp.Foundation.Implementations.Date(tradeVol.ValueDate),
                        new Qdp.Foundation.Implementations.Date(trade.ExerciseDate ?? DateTime.Today),
                        tradeVol.NumOfSmoothingDays ?? 0,
                        daycountMode,
                        CalendarImpl.Get("chn"),
                        includeStartDate: tradeVol.IsFromTradeAdd);
            }
        }

        /// <summary>
        /// 从数据库中查询波动率信息(此处的userGroup参数允许为NULL)
        private IQueryable<volatility> _getVolQuery(DateTime date, IEnumerable<string> codes, IEnumerable<string> volTypes = null, string userGroup = null)
        {
            codes = codes.ToHashSet();
            if (volTypes == null)
            {
                volTypes = DbContext.volatility.Select(O => O.VolType).GroupBy(O => O).Select(O => O.Key).ToList();
            }

            var queryGroup = (from vol in DbContext.volatility
                              where vol.QuotationDate <= date
                              && codes.Contains(vol.ContractCode)
                              && (userGroup == null || vol.UserGroup == userGroup)
                              && volTypes.Contains(vol.VolType)
                              group vol by new { vol.QuotationDate, vol.ContractCode, vol.UserGroup, vol.VolType } into grp
                              select grp.Key);
            var queryKey = queryGroup.GroupBy(O => new { O.ContractCode, O.UserGroup, O.VolType }).Select(O => new { O.Key.ContractCode, O.Key.UserGroup, O.Key.VolType, QuotationDate = O.Max(M => M.QuotationDate) });
            return from vol in DbContext.volatility.AsNoTracking()
                   join dict in queryKey
                   on new { vol.QuotationDate, vol.ContractCode, vol.UserGroup, vol.VolType } equals new { dict.QuotationDate, dict.ContractCode, dict.UserGroup, dict.VolType }
                   select vol;
        }

        /// <summary>
        /// 从数据库中查询波动率信息(此处的userGroup参数允许为NULL)
        private IQueryable<volatility> _getVolQuery(DateTime startDate, DateTime endDate, IEnumerable<string> codes, IEnumerable<string> volTypes = null, string userGroup = null)
        {
            codes = codes.ToHashSet();
            if (volTypes == null)
            {
                volTypes = DbContext.volatility.Select(O => O.VolType).GroupBy(O => O).Select(O => O.Key).ToList();
            }

            var query = from vol in DbContext.volatility.AsNoTracking()
                        where vol.QuotationDate >= startDate
                              && vol.QuotationDate <= endDate
                              && codes.Contains(vol.ContractCode)
                              && (userGroup == null || vol.UserGroup == userGroup)
                              && volTypes.Contains(vol.VolType)
                        select vol;
            return _getVolQuery(startDate, codes, volTypes, userGroup).Union(query);
        }

        /// <summary>
        /// 查询volatility
        /// </summary>
        public SearchListResult<volatility> SearchList(VolatilityReq req)
        {
            IEnumerable<string> codes = null;

            if (req.UnderlyingId != null)
            {
                codes = new[] { underlying_managerBLL.GetById(req.UnderlyingId.Value).UnderlyingCode };
            }

            if (!string.IsNullOrEmpty(req.UnderlyingName))
            {
                codes = new[] { underlying_managerBLL.GetQuery().Where(O => O.UnderlyingName == req.UnderlyingName).FirstOrDefault().UnderlyingCode };
            }
            if (!string.IsNullOrEmpty(req.ContractCode))
            {
                codes = new[] { req.ContractCode };
            }
            if (req.QuotationDate == null || req.QuotationDate?.Year <= 2000)
            {
                if ((req.QuotationDateStart == null || req.QuotationDateStart?.Year < 2000) && (req.QuotationDateEnd == null || req.QuotationDateEnd?.Year < 2000))
                {
                    req.QuotationDate = SystemValueDate;
                    req.QuotationDateStart = SystemValueDate;
                    req.QuotationDateEnd = req.QuotationDateStart;
                }
                else if (req.QuotationDateStart == null || req.QuotationDateStart?.Year < 2000)
                {
                    req.QuotationDateStart = req.QuotationDateEnd;
                }
                else if (req.QuotationDateEnd == null || req.QuotationDateEnd?.Year < 2000)
                {
                    req.QuotationDateEnd = SystemValueDate;
                }
                if (req.QuotationDateStart >= req.QuotationDateEnd)
                {
                    req.QuotationDateEnd = req.QuotationDateStart;
                }
            }

            if (codes == null)
            {
                codes = (from temp in underlying_managerBLL.GetQuery()
                         where temp.LaunchState == "1"
                         select temp.UnderlyingCode).ToList();
            }
            IQueryable<volatility> query = null;
            if (req.QuotationDate != null && req.QuotationDate.Value > DateTime.MinValue)
            {
                query = _getVolQuery(req.QuotationDate.Value, codes, userGroup: req.UserGroup);
            }
            else
            {
                query = _getVolQuery(req.QuotationDateStart.Value, req.QuotationDateEnd.Value, codes, userGroup: req.UserGroup);
            }
            if (!string.IsNullOrEmpty(req.VolType))
            {
                query = query.Where(d => d.VolType.Contains(req.VolType));
            }

            if (req.OptId != null)
            {
                query = query.Where(d => d.OptId == req.OptId);
            }

            if (!string.IsNullOrEmpty(req.OptName))
            {
                query = query.Where(d => d.OptName.Contains(req.OptName));
            }

            req.sidx = "QuotationDate";
            req.sord = "asc";

            var tempSearchList = query.ToSearchList(req);
            List<DateTime> dates = QdpCalendarHelper.AllBizDays(req.QuotationDateStart.Value, req.QuotationDateEnd.Value.AddDays(1));
            List<volatility> vols = new List<volatility>();
            var firstVol = tempSearchList.rows.FirstOrDefault();
            if (firstVol != null)
            {
                foreach (var item in dates)
                {
                    var vol = tempSearchList.rows.FirstOrDefault(O => O.QuotationDate == item);
                    if (vol == null && firstVol.QuotationDate < item)
                    {
                        vol = firstVol.Clone(item);
                    }
                    else
                    {
                        firstVol = vol;
                    }
                    vols.Add(vol);
                }
                tempSearchList.records = vols.Count;
                tempSearchList.rows = vols;
            }
            return tempSearchList;
        }
    }
}