using YLErp.Modules.CalculationModule;
using YLErp.Modules.TradeRiskCalcModule.TaskRunner;

namespace YLErp.Modules.TradeRiskCalcModule
{
    public class DongZhengDeltaT1Service
    {
        public void ReCalcDeltaT1(TradingRiskResult curResult, DateTime valueTime)
        {
            var tradeSource = TradeRiskCalcTaskRunner.TradeDataSource.GetOtcTrades();

            foreach (var item in curResult.TradeRiskList)
            {
                if (item.viewList == null)
                {
                    continue;
                }

                item.DeltaT1 = 0;
                item.DeltaT1Lots = 0;
                foreach (var item2 in item.viewList)
                {
                    trade td = new trade();
                    if (item2.TradeType == "场内期权")
                    {
                        var tempUm = DataCacheProvider.GetUnderlyingDataSource().GetData(item2.UnderlyingCode);
                        var exchangeOption = DataCacheProvider.GetExchangeListOptionDataSource().GetData(item2.ExchangeOptionCode);
                        td = new trade
                        {
                            TradeType = item2.TradeType,
                            UnderlyingCode = item2.UnderlyingCode,
                            UnderlyingId = item2.UnderlyingId ?? 0,
                            TradeDate = valueTime.Date,
                            BuySell = item2.BuySell,
                            StartDate = valueTime.Date,
                            ExerciseDate = item2.ExerciseDate,
                            MaturityDate = tempUm.MaturityDate,
                            TradePrice = Math.Abs(item2.Cost),
                            TradeStatus = "确认成交",
                            ExerciseMode = exchangeOption.ExerciseMode,
                            OptionType = exchangeOption.OptionType,
                            Strike = item2.Strike,
                            Notional = item2.Notional,
                            UnderlyingInstrumentType = tempUm.UnderlyingInstrumentType,
                            ExchangeOptionCode = item2.ExchangeOptionCode,
                            AssetId = item2.BookId,
                            id = 0,
                            UnderlyingAssetClass = tempUm.UnderlyingType,
                            NoRiskRate = BLL.valuedateBLL.SysRiskFreeRate(),
                            DividendRate = tempUm.DividendRate ?? BLL.valuedateBLL.SysRiskFreeRate(),
                        };
                    }
                    else
                    {
                        td = tradeSource.FirstOrDefault(n => n.id == item2.TradeId);
                    }

                    if (td != null)
                    {
                        var un = DataCacheProvider.GetUnderlyingDataSource().GetData(item2.UnderlyingCode);
                        if (new List<string>() { "远期", "商品期货", "股票", "自定义交易", "收益互换" }.Contains(td.TradeType))
                        {
                            item2.DeltaT1 = item2.Delta;
                        }
                        else
                        {
                            var req = new OptionValueCalcRequest(item2.NoRiskRate ?? BLL.valuedateBLL.SysRiskFreeRate())
                            {
                                calcScenario = Enums.CalcScenarioEnum.RealtimeRisk,
                                pricingRequest = Qdp.Pricing.Base.Implementations.PricingRequest.Delta,
                                spotPrices = new[] { item2.SpotPrice ?? 0 },
                                vols = new[] { item2.Vol },
                                timeToMaturityDays = TradeCalcHelper.CalculateTTMDays(valueTime.Date, td.ExerciseDate.Value, un?.UnderlyingTypeId ?? 0, false, serverDateTime: valueTime)
                            };
                            if (td.TradeType == "亚式期权")
                            {
                                req.fixings = AsiaOptionProvider.Default.GetFixingString(valueTime.Date, td, td.trade_asian_option);
                            }

                            try
                            {
                                if (valueTime > td.ExerciseDate)
                                {
                                    item2.DeltaT1 = 0;
                                }
                                else
                                {
                                    var result = OptionCalculatorV2.GetOptionValueResult(valueTime.Date, td, req, out _);
                                    item2.DeltaT1 = result.Delta;
                                }
                            }
                            catch { }
                        }

                        item2.DeltaT1Lots = un == null || un.ContractSize < 1 ? item2.DeltaT1 : item2.DeltaT1 / un.ContractSize;
                    }

                    item.DeltaT1 += (item2.DeltaT1 ?? 0);
                    item.DeltaT1Lots += (item2.DeltaT1Lots ?? 0);
                }
            }
        }
    }
}