using YLErp.BLL.Calculation;
using YLErp.BLL.Eod;
using YLErp.DBModels.Helpers;
using YLErp.Enums;
using YLErp.Helpers;
using YLErp.QdpModule;

namespace YLErp.BLL.MarginCalculation
{
    /// <summary>
    /// 渤海荣盛
    /// </summary>
    public class BHRSMarginCalculation : MarginCalculationBase
    {
        // 定义一个静态变量来保存类的实例
        public static readonly BHRSMarginCalculation Instance;

        static BHRSMarginCalculation()
        {
            Instance = new BHRSMarginCalculation();
        }

        // 定义私有构造函数，使外界不能创建该类实例
        private BHRSMarginCalculation()
        {
        }

        public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
        {
            var tradeSpans = new List<trade_span>();

            if (req?.tradeList == null || !req.tradeList.Any())
            {
                return tradeSpans;
            }

            var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);

            var tempStockTradeList = req.tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
            if (tempStockTradeList.Any())
            {
                var stockTradeSpanlist = StockMarginCalculation(req.Clone(tempStockTradeList), helper);
                if (stockTradeSpanlist.Count > 0)
                {
                    tradeSpans.AddRange(stockTradeSpanlist);
                }
            }

            var tempFutureTradeList = req.tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
            if (tempFutureTradeList.Any())
            {

                var tradeList = tempFutureTradeList.Where(a => a.TradeType != "远期").ToList();
                if (tradeList.Any())
                {
                    req = req.Clone(tradeList);
                    var futureTradeSpanlist = FutureMarginCalculation(req, helper);
                    if (futureTradeSpanlist.Count > 0)
                    {
                        tradeSpans.AddRange(futureTradeSpanlist);
                    }
                }

                var forwardTradeList = tempFutureTradeList.Where(a => a.TradeType == "远期").ToList();
                if (forwardTradeList.Any())
                {
                    req = req.Clone(forwardTradeList);
                    var futureTradeSpanlist = ForwardMarginCalculation(req, helper);
                    if (futureTradeSpanlist.Count > 0)
                    {
                        tradeSpans.AddRange(futureTradeSpanlist);
                    }
                }
            }
            return tradeSpans;
        }

        /// <summary>
        /// 股票类期权计算预付金
        /// </summary>
        private List<trade_span> StockMarginCalculation(RunMarginCalculationReq req, RunMarginCalculationHelper helper)
        {
            var tradeSpans = new List<trade_span>();

            if (req?.tradeList == null || !req.tradeList.Any())
            {
                return tradeSpans;
            }

            var marginRation = valuedateBLL.SystemDate.MarginRatio ?? 0.15;

            foreach (var t in req.tradeList)
            {
                var client = helper.GetClient(t.ClientId);

                if (client == null)
                {
                    continue;
                }

                double twoSideMargin;

                if (helper.GetSpecialMargin(t, 0, out var value))
                {
                    twoSideMargin = value;
                }
                else
                {
                    var clientRatio = client?.Ratio ?? 1.0;
                    //如果是股票去名义本金，如果是期货取：份额 * 即期价格
                    var baseValue = (t.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(t.Notional * t.SpotPrice, t.ParticipationRate, t.AnnualizeFactor) : t.StockEqvNotional) * marginRation;
                    value = baseValue * (t.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.MarginOptionType == 1 ? -1 : 0)) * clientRatio;
                    twoSideMargin = baseValue * (t.BuySell == "买入" ? 1 : -1) * clientRatio;
                }

                tradeSpans.Add(new trade_span
                {
                    TradeId = t.id,
                    OptDate = DateTime.Now,
                    OptId = req.userId,
                    OptName = req.userName,
                    ClientId = client.ClientId,
                    UnderlyingId = t.UnderlyingId,
                    UnderlyingCode = t.UnderlyingCode,
                    ValueDate = req.settleDate,
                    Spv1 = value,
                    Spv2 = value,
                    Spv3 = value,
                    Spv4 = value,
                    WorstCastClientPayable = value,
                    TwoSideMargin = twoSideMargin
                });
            }

            return tradeSpans;
        }
        /// <summary>
        /// 商品期权计算预付金
        /// </summary>
        private List<trade_span> FutureMarginCalculation(RunMarginCalculationReq req, RunMarginCalculationHelper helper)
        {
            var futureTradeList = req.tradeList;
            var tradeSpans = new List<trade_span>();
            using (var db = new YLContext())
            {
                if (!req.hasOptionInfo)
                {
                    tradeBLL.SetFieldsByTradeType(futureTradeList);
                }
                var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
                    valueDate: req.settleDate,
                    tradeList: futureTradeList,
                    calcScenario: req.GetCalcScenario(),
                    priceProvider: req.PriceProvider,
                    pricingRequest: QdpPricingRequest.BASIC_GREEKS, addVolRateDic: null,
                    volType: req.volType,
                    settlementType: req.settlementType,
                    isUseTradeVol: PS.Config.IsTradeVol,
                    preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);

                logger.Info($"商品期货预付金计算,交易入:[{futureTradeList.Count}条],返回[{tradeRiskResult.Results.Count}],错误:{tradeRiskResult.ErrorMessage}");

                //计算预付金包含错误信息时弹出错误信息
                if (!string.IsNullOrWhiteSpace(tradeRiskResult.ErrorMessage))
                {
                    throw new Exception(tradeRiskResult.ErrorMessage);
                }

                if (tradeRiskResult.Results.Count < 1)
                {
                    return tradeSpans;
                }

                var vegaCoefficient = valuedateBLL.SystemDate.FutureMarginVegaCoefficient ?? 3;
                var omegaCoefficient = valuedateBLL.SystemDate.FutureMarginOmegaCoefficient ?? 2.5;
                var alphaRate = valuedateBLL.SystemDate.FutureMarginAlphaRate ?? 1;

                foreach (var item in tradeRiskResult.Results)
                {
                    var tempVariety = _underlyingDataProvider.GetVariety(item.Trade.UnderlyingCode);
                    double closePrice = 0.0;
                    switch (req.CalcMarginType)
                    {
                        case CalcMarginTypeEnum.None:
                        case CalcMarginTypeEnum.EodMargin:
                            closePrice = req.PriceProvider.GetPrice(item.Trade.UnderlyingCode);
                            break;
                        case CalcMarginTypeEnum.InitialMargin:
                            closePrice = item.Trade.SpotPrice ?? 0;
                            break;
                        default:
                            break;
                    }

                    var client = helper.GetClient(item.Trade.ClientId);
                    if (item.ValueResult == null)
                    {
                        throw new Exception("PV结算结果为null");
                    }

                    var deltaMerge = item.ValueResult.Delta;
                    var vegaMerge = item.ValueResult.Vega;
                    var gammaMerge = item.ValueResult.Gamma;
                    var pvMerge = item.ValueResult.Pv;

                    var PositionPnl = req.CalcMarginType == CalcMarginTypeEnum.InitialMargin ? 0 :
                        pvMerge - (EodOperationBase.GetPositionCost(item.Trade.TradePrice ?? 0, item.Trade.Notional, item.Trade.OriginalNotional ?? 0, item.Trade.BuySell));

                    PositionPnl = PositionPnl > 0 ? PositionPnl : 0;

                    bool isTwoSide = HasTwoSideMargin(item.Trade.ClientId);
                    //逐笔预付金算法
                    var margin = MarginAlgorithm(deltaMerge, pvMerge, closePrice, isTwoSide, tempVariety.Margin ?? 0, item.Trade, PositionPnl);

                    if (item.Trade.TradeType == "自定义交易")
                    {
                        if (helper.GetSpecialMargin(item.Trade, 0, out var value))
                        {
                            margin = value;
                        }
                    }

                    tradeSpans.Add(new trade_span
                    {
                        TradeId = item.Trade.id,//默认记录为第一条交易记录中
                        OptDate = DateTime.Now,
                        OptId = req.userId,
                        OptName = req.userName,
                        ClientId = item.Trade.ClientId,
                        ValueDate = req.settleDate,
                        UnderlyingId = item.Trade.UnderlyingId,
                        UnderlyingCode = item.Trade.UnderlyingCode,
                        DeltaMargin = margin,
                        WorstCastClientPayable = margin,
                        Comment = $"delta:{deltaMerge},closePrice:{closePrice},pv:{pvMerge}" +
                        $",gamma{gammaMerge},交易员方向:{item.Trade.BuySell},持仓盈亏：{PositionPnl},预付金率：{tempVariety.Margin},单双向：{client.MarginOptionType}"
                    });

                }
                return tradeSpans;
            }
        }

        private List<trade_span> ForwardMarginCalculation(RunMarginCalculationReq req, RunMarginCalculationHelper helper)
        {
            var futureTradeList = req.tradeList;
            var tradeSpans = new List<trade_span>();
            using (var db = new YLContext())
            {
                if (!req.hasOptionInfo)
                {
                    tradeBLL.SetFieldsByTradeType(futureTradeList);
                }
                var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
                    valueDate: req.settleDate,
                    tradeList: futureTradeList,
                    calcScenario: req.GetCalcScenario(),
                    priceProvider: req.PriceProvider,
                    pricingRequest: QdpPricingRequest.BASIC_GREEKS, addVolRateDic: null,
                    volType: req.volType, isUseTradeVol: PS.Config.IsTradeVol,
                    preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);

                logger.Info($"远期预付金计算,交易入:[{futureTradeList.Count}条],返回[{tradeRiskResult.Results.Count}],错误:{tradeRiskResult.ErrorMessage}");

                //计算预付金包含错误信息时弹出错误信息
                if (!string.IsNullOrWhiteSpace(tradeRiskResult.ErrorMessage))
                {
                    throw new Exception(tradeRiskResult.ErrorMessage);
                }

                if (tradeRiskResult.Results.Count < 1)
                {
                    return tradeSpans;
                }
                var vegaCoefficient = valuedateBLL.SystemDate.FutureMarginVegaCoefficient ?? 3;
                var omegaCoefficient = valuedateBLL.SystemDate.FutureMarginOmegaCoefficient ?? 2.5;
                var alphaRate = valuedateBLL.SystemDate.FutureMarginAlphaRate ?? 1;
                //如果持仓中的所有远期delta方向相同，那么无视delta方向，每笔远期交易都按照delta绝对值计算margin；
                bool IsDeltaMerge = tradeRiskResult.Results.All(a => a.ValueResult.Delta >= 0) || tradeRiskResult.Results.All(a => a.ValueResult.Delta <= 0);

                var tradeIds = futureTradeList.Where(O => O.id > 0).Select(O => O.id);
                var tradeCashDict =
                    db.trade_cash.Where(O => tradeIds.Contains(O.TradeId) && O.ValidState != "InValid" && !O.IsDeleted && O.Action != ClientCashInCashOut.系统操作_期权费)
                    .AsEnumerable()
                    .GroupBy(O => O.TradeId)
                    .ToDictionary(K => K.Key, V => V.ToList());

                var marginCostDict = db.eod_forward_margin.Where(x => x.ValueDate == req.settleDate && tradeIds.Contains(x.TradeId))
                    .AsEnumerable()
                    .GroupBy(O => O.TradeId)
                     .ToDictionary(K => K.Key, V => V.FirstOrDefault()?.MarginCost ?? 0);

                foreach (var item in tradeRiskResult.Results)
                {
                    var tempVariety = _underlyingDataProvider.GetVariety(item.Trade.UnderlyingCode);
                    double closePrice = 0.0;
                    switch (req.CalcMarginType)
                    {
                        case CalcMarginTypeEnum.None:
                        case CalcMarginTypeEnum.EodMargin:
                            closePrice = req.PriceProvider.GetPrice(item.Trade.UnderlyingCode);
                            break;
                        case CalcMarginTypeEnum.InitialMargin:
                            closePrice = item.Trade.SpotPrice ?? 0;
                            break;
                        default:
                            break;
                    }

                    if (item.ValueResult == null)
                    {
                        throw new Exception("PV结算结果为null");
                    }

                    var deltaMerge = item.ValueResult.Delta;
                    var vegaMerge = item.ValueResult.Vega;
                    var gammaMerge = item.ValueResult.Gamma;
                    var pvMerge = item.ValueResult.Pv;
                    var marginCost = marginCostDict.TryGetValue(item.Trade.id, out var margincost) ? margincost : 0;
                    var unwindTradeCashList = tradeCashDict.TryGetValue(item.Trade.id, out var cashList) ? cashList : new List<trade_cash>();
                    //平仓比例
                    double unwindRatio = unwindTradeCashList.Any() ? unwindTradeCashList.Sum(a => a.UnwindNotional.Value) / item.Trade.OriginalNotional.Value : 0;
                    //持仓比例
                    double positionRatio = 1 - unwindRatio;
                    //持仓盈亏 = 持仓市值+开仓总费用 * 持仓比例
                    var pnl = pvMerge + item.Trade.TradePrice.Value * positionRatio + marginCost;
                    logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}持仓盈亏 = 持仓市值 + 开仓总费用 * 持仓比例");
                    logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}PnL = {pvMerge} + {item.Trade.TradePrice.Value} * {positionRatio} + {marginCost}");
                    pnl = req.CalcMarginType == CalcMarginTypeEnum.InitialMargin ? 0 : Math.Max(0, pnl);

                    deltaMerge = IsDeltaMerge ? Math.Abs(deltaMerge) : deltaMerge;
                    //预付金计算公式: delta * 标的收盘价  * 交易所预付金率 + 客户亏损部分
                    double value = deltaMerge * closePrice * (tempVariety.Margin ?? 0) + pnl;
                    logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}预付金计算公式: delta * 标的收盘价  * 交易所预付金率 + 客户亏损部分");
                    logger.Info($"远期预付金计算,交易:{item.Trade.TradeNumber}预付金 = {deltaMerge} * {closePrice} * {(tempVariety.Margin ?? 0)} + {pnl}");

                    tradeSpans.Add(new trade_span
                    {
                        TradeId = item.Trade.id,//默认记录为第一条交易记录中
                        OptDate = DateTime.Now,
                        OptId = req.userId,
                        OptName = req.userName,
                        ClientId = item.Trade.ClientId,
                        ValueDate = req.settleDate,
                        UnderlyingId = item.Trade.UnderlyingId,
                        UnderlyingCode = item.Trade.UnderlyingCode,
                        DeltaMargin = value,
                        WorstCastClientPayable = value,
                        Comment = $"远期交易，delta:{deltaMerge},closePrice:{closePrice},pv:{pvMerge}" +
                        $",gamma{gammaMerge},交易员方向:{item.Trade.BuySell},预付金率：{tempVariety.Margin}"
                    });
                }

            }
            return tradeSpans;
        }

        public override double GetTradeMargin(GetTradeMarginReq req)
        {
            using (var db = new YLContext())
            {
                if (req.trade.TradeType == "结构化交易")
                {
                    req.trade.SubTrades = db.trade.Where(x => x.ParentTradeId == req.trade.id).ToList();
                }
            }

            var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
            if (null != tradeMargin)
            {
                return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
            }
            return 0.0;
        }

        public override List<trade_span> CalcClientMargin(CalcClientMarginReq req)
        {
            var clientSpanNews = new List<ClientSpan>();
            using (var db = new YLContext())
            {
                if (req.tradeSpans != null && req.tradeSpans.Count > 0)
                {
                    var clientGroups = req.tradeSpans.AsEnumerable().GroupBy(t => t.ClientId);

                    foreach (var clientGroup in clientGroups)
                    {

                        List<ClientSpan> clientSpans = new List<ClientSpan>();

                        var tradeSpanGroup = clientGroup.ToList();
                        var tradeIds = tradeSpanGroup.Select(a => a.TradeId).ToList();

                        var notForwardTrades = db.trade.Where(a => tradeIds.Contains(a.id) && a.TradeType != "远期").ToList();

                        #region 非远期
                        if (notForwardTrades.Any())
                        {
                            var notForwardTradeIds = notForwardTrades.Select(a => a.id);
                            //双向追保，客户只有买入交易 则预付金为0
                            if (notForwardTrades.All(a => a.BuySell == "卖出") && HasTwoSideMargin(clientGroup.Key ?? 0))
                            {

                                var tradeSpansUpdate = db.trade_span.Where(x => notForwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
                                var tradeSpansReq = req.tradeSpans.Where(x => notForwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = 0);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = 0);

                                var clientSpan = new ClientSpan
                                {
                                    ClientId = clientGroup.Key ?? 0,
                                    ValueDate = req.settleDate,
                                    DeltaMargin = 0,
                                    WorstCastClientPayable = 0
                                };
                                clientSpans.Add(clientSpan);
                            }
                            else
                            {
                                var umTradeSpanGroup = tradeSpanGroup.Where(x => notForwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).AsEnumerable().GroupBy(a => a.UnderlyingId);
                                var umClientSpans = new List<ClientSpan>();

                                foreach (var umTrade in umTradeSpanGroup)
                                {
                                    var umClientSpan = new ClientSpan
                                    {
                                        UnderlyingId = umTrade.Key,
                                        ClientId = clientGroup.Key ?? 0,
                                        ValueDate = req.settleDate,
                                        DeltaMargin = umTrade.Sum(u => u.DeltaMargin) * (-1)
                                    };

                                    umClientSpans.Add(umClientSpan);
                                }
                                var notForwardClientSpan = new ClientSpan
                                {
                                    ClientId = clientGroup.Key ?? 0,
                                    ValueDate = req.settleDate,
                                    //负数代表客户应缴预付金，正数代表客户应收预付金
                                    DeltaMargin = umClientSpans.Sum(g => g.DeltaMargin),
                                    WorstCastClientPayable = umClientSpans.Sum(g => g.DeltaMargin)
                                };
                                clientSpans.Add(notForwardClientSpan);
                            }
                        }
                        #endregion
                        #region 远期
                        var forwardTrades = db.trade.Where(a => tradeIds.Contains(a.id) && a.TradeType == "远期").ToList();
                        if (forwardTrades.Any())
                        {
                            var forwardTradeIds = forwardTrades.Select(a => a.id);
                            var forwardTradeSpans = tradeSpanGroup.Where(x => forwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate);

                            var margin = Math.Abs((forwardTradeSpans.Sum(g => g.DeltaMargin) ?? 0)) * -1;
                            var forwardClientSpan = new ClientSpan
                            {
                                ClientId = clientGroup.Key ?? 0,
                                ValueDate = req.settleDate,
                                //负数代表客户应缴预付金，正数代表客户应收预付金
                                DeltaMargin = margin,
                                WorstCastClientPayable = margin
                            };
                            clientSpans.Add(forwardClientSpan);

                            var tradeSpansUpdate = db.trade_span.Where(x => forwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
                            var tradeSpansReq = req.tradeSpans.Where(x => forwardTradeIds.Contains(x.TradeId) && x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate).ToList();
                            if (margin > 0)
                            {
                                tradeSpansUpdate.ForEach(a => a.WorstCastClientPayable = 0);
                                tradeSpansReq.ForEach(a => a.WorstCastClientPayable = 0);
                            }
                        }
                        #endregion

                        var item = new ClientSpan
                        {
                            ClientId = clientGroup.Key ?? 0,
                            ValueDate = req.settleDate,
                            //负数代表客户应缴预付金，正数代表客户应收预付金
                            DeltaMargin = clientSpans.Sum(g => g.DeltaMargin),
                            WorstCastClientPayable = clientSpans.Sum(g => g.DeltaMargin),
                            OptId = req.userId,
                            OptName = req.userName,
                            OptDate = DateTime.Now,
                            SpanType = req.SpanType,
                            AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
                                && req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key ?? 0, out var dd) ? dd : 0
                        };
                        clientSpanNews.Add(item);

                    }
                }
                //span类型为实时删除所有实时计算的交易的预付金信息
                if (req.SpanType == ClientSpan.SpanType_RealTime)
                {
                    if (req.RefreshClientIds != null)
                    {
                        db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
                    }
                    else
                    {
                        db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}=@SpanType", new { req.SpanType });
                    }
                }
                else
                {
                    if (req.ClientIds != null)
                    {
                        var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
                        db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
                    }
                    else
                    {
                        var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
                        db.BulkDelete<ClientSpan>(sql);
                    }

                    var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag).ToList();
                    //筛选出可以修改的clientSpan
                    clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
                }


                if (clientSpanNews.Count > 0)
                { MySqlBulkExtensions.BulkInsert(db, clientSpanNews); }
                db.SaveChanges();
                return req.tradeSpans;
            }
        }

        /// <summary>
        /// 预付金算法
        /// </summary> 
        /// <returns></returns>
        public double? MarginAlgorithm(double deltaMerge, double pvMerge, double closePrice, bool isTwoSide, double Margin, trade tradeModel, double PositionPnl)
        {
            //交易员买入 delta为正，卖出为负
            deltaMerge = tradeModel.BuySell == "买入" ? Math.Abs(deltaMerge) : -Math.Abs(deltaMerge);
            var value = 0.0;
            // 预付金 = delta（交易员方向delta） * 标的收盘价 * 交易所预付金率 + 持亏（交易员方向）
            value = deltaMerge * closePrice * Margin + PositionPnl;

            if (tradeModel.BuySell == "卖出" && !isTwoSide)//单向 客户买入
            {
                value = 0;
            }

            return value;
        }
    }
}