using BaseOUDAL;
using Microsoft.Extensions.Caching.Memory;
using Qdp.Pricing.Base.Utilities;
using YLErp.Abstract;
using YLErp.BLL;
using YLErp.BLL.Eod;
using YLErp.Configuration;
using YLErp.DBModels.Enums;
using YLErp.Models;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.CalculationModule.Abstract;
using YLErp.Modules.TradeRiskCalcModule.Abstract;
using YLErp.Modules.SwapModule;
using YLErp.Modules.TradeRiskCalcModule.TaskRunner;
using YLErp.Modules.VolatilityModule;
using YLErp.QdpModule;

namespace YLErp.Modules.TradeRiskCalcModule
{
    /// <summary>
    /// 交易风险计算业务服务
    /// </summary>
    public class TradeRiskCalcService
    {
        static readonly IYcLogger _logger;
        static readonly MemoryCache _cache;
        static TradeRiskCalcService()
        {
            _cache = new MemoryCache(new MemoryCacheOptions());
            _logger = LogFactory.GetLogger(nameof(TradeRiskCalcService));
        }

        readonly ITradeRiskCalcContext _context;
        readonly IOptionCalcDataProvider _dataProvider;
        HashSet<string> _underlyingCodeFilterSet;
        readonly string _skipTradeTypes;

        public TradeRiskCalcService(ITradeRiskCalcContext context, string skipTradeTypes)
        {
            _context = context ?? throw new ArgumentNullException(nameof(context));
            _dataProvider = CalcCheckHelper.CheckOptionCalcDataProvider(context.OptionCalcDataProvider);
            _skipTradeTypes = skipTradeTypes;
        }

        public TradeRiskCalcService SetUnderlyingFilter(params string[] underlyingCodes)
        {
            if (underlyingCodes != null && underlyingCodes.Any(n => !string.IsNullOrEmpty(n)))
            {
                var linq = underlyingCodes.Where(n => !string.IsNullOrEmpty(n));
                _underlyingCodeFilterSet = new HashSet<string>(linq, StringComparer.OrdinalIgnoreCase);
            }
            return this;
        }

        /// <summary>
        /// 计算
        /// </summary>
        public IEnumerable<TradingRiskParameter> Calculate(ITradeDataSource tradeDataSource, IDataSource<ManualRisk> manualRiskProvider)
        {
            if (tradeDataSource == null)
            {
                throw new ArgumentNullException(nameof(tradeDataSource));
            }

            IOtcTradeValueCalcContext optionContext = null;

            try
            {
                _logger?.Debug($"[{_context.VolType}]开始计算当前风险>>>>>>>>>");

                //构建计算上下文
                var sysRiskFreeRate = valuedateBLL.RiskFreeRate * 0.01;
                optionContext = _context.CreateOptionValueCalcContext(sysRiskFreeRate);

                //场外交易处理
                var tradeRiskList = CalcOtcRisks(tradeDataSource, optionContext, manualRiskProvider);
                var swapTradeRiskList = CalcSwapRisks(tradeDataSource, optionContext);
                tradeRiskList.AddRange(swapTradeRiskList);
                var hedgeOptionContext = PS.Config.Is润和 ? new InnerOptionValueCalcContext(DateTime.Today, optionContext) : optionContext;
                //对冲交易处理
                var hedgingRisk = CalcHedgeTradeRisks(tradeDataSource, hedgeOptionContext);

                tradeRiskList.AddRange(hedgingRisk);

                //计算每笔期权的盈亏
                TradeRiskHelper.CalculateOptionTradePnlWithHedge(tradeRiskList);

                _logger?.Debug($"[{_context.VolType}]当前风险计算完毕<<<<<<<<<<<");

                return tradeRiskList;
            }
            finally
            {
                optionContext?.Dispose();
            }
        }

        #region----场外交易处理----

        //场外交易风险和盈亏计算(除收益互换)
        private List<TradingRiskParameter> CalcOtcRisks(ITradeDataSource tradeDataSource
            , IOtcTradeValueCalcContext optionContext, IDataSource<ManualRisk> manualRiskProvider)
        {
            var volType = _context.VolType;

            //准备计算数据
            var tradeRiskList = new List<TradingRiskParameter>();
            var otcTrades = tradeDataSource.GetOtcTrades() ?? Enumerable.Empty<trade>();
            otcTrades = otcTrades.Where(x => x.TradeType != "收益互换");
            if (_underlyingCodeFilterSet != null)
            {
                otcTrades = otcTrades.Where(n => _underlyingCodeFilterSet.Contains(n.UnderlyingCode)).ToArray();
            }

            _logger?.Debug($"[{volType}]参与计算的场外交易数量:" + otcTrades.Count());

            var set = new HashSet<int>(otcTrades.Select(t => t.id));
            var tradeCashLookup = _context.GetTrade_Cashes(set).ToLookup(n => n.TradeId);
            var ydContexts = GetYdOptionCalculateContexts(_context, optionContext);

            DateTime valueDate, preValueDate;

            //执行风险计算
            foreach (var trad in otcTrades)
            {
                SetTradeLots(trad);

                valueDate = _context.ValueDate;
                preValueDate = _context.PreValueDate;

                void getTradeCashList(out IEnumerable<trade_cash> tradeCashList, out IEnumerable<trade_cash> tdTradeCashUnwindList)
                {
                    tradeCashList = tradeCashLookup.FirstOrDefault(a => a.Key == trad.id)?.AsEnumerable() ?? Enumerable.Empty<trade_cash>();

                    tdTradeCashUnwindList = tradeCashList.Where(tc => tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted
                        && ClientCashInCashOut.PROFIT_ACTION.Contains(tc.Action) && tc.ValueDate <= valueDate && tc.ValueDate > preValueDate);
                }

                if (!string.IsNullOrEmpty(_skipTradeTypes) && _skipTradeTypes.Contains(trad.TradeType))
                {
                    var resultRisk = UseManualRisk(trad, volType, manualRiskProvider, (calcRisk, lastPv) =>
                    {
                        getTradeCashList(out var tradeCashList, out var tdTradeCashUnwindList);

                        UpdateOTCPnl(trad, calcRisk, lastPv, tradeCashList: tradeCashList, tdTradeCashUnwindList: tdTradeCashUnwindList);
                    });

                    if (resultRisk != null)
                    {
                        tradeRiskList.Add(resultRisk);
                    }
                }
                else
                {
                    TradingRiskParameter firstRisk = null;
                    IOtcTradeValueCalcContext ydContext = null;

                    try
                    {
                        var tdOtionContext = optionContext;
                        ydContext = ydContexts[(int)trad.SettlementType];

                        if (PS.Config.Is润和)
                        {
                            tdOtionContext = new InnerOptionValueCalcContext(DateTime.Today, optionContext);
                            ydContext = new InnerOptionValueCalcContext(DateTime.Today.AddDays(-1), optionContext);
                        }

                        ydContext.UserGroup = tdOtionContext.UserGroup = UserBLL.GetUserGroup(trad.TraderId);
                        if (volType == "交易曲面分红率0")
                        {
                            trad.DividendRate = 0;
                        }
                        var result = TradeRiskCalcUtil.CalcTradeRisk(trad, tdOtionContext, out var underlyings);

                        if (result == null)
                        {
                            continue;
                        }

                        result.TradeId = trad.id;

                        if (underlyings == null)
                        {
                            continue;
                        }

                        var index = 0;
                        foreach (var underlying in underlyings)
                        {
                            var trp = TransformOneUnderlying(underlying, trad, new List<TradeValueResult> { result }, index++);
                            tradeRiskList.Add(trp);
                            if (index == 1)
                            {
                                firstRisk = trp;
                            }
                        }
                    }
                    catch (Exception ex)
                    {
                        var key = "today_otcTrade_calc_" + trad.id;
                        if (_cache.Get(key) == null)
                        {
                            _cache.Set(key, this, DateTimeOffset.Now.AddMinutes(10));
                            _logger?.Error(ex, $"[{volType}-{trad.id}-{trad.TradeNumber}]当前风险计算出错");
                        }
                    }

                    if (firstRisk != null)
                    {
                        double? lastPv = null;

                        getTradeCashList(out var tradeCashList, out var tdTradeCashUnwindList);

                        if (firstRisk.TradeType == "远期")
                        {
                            firstRisk.TotalPnl = 0;
                        }

                        if (trad.TradeDate < valueDate)
                        {
                            var yp = _context.YdEodPositionDataProvider.GetOtcTradePositionData(trad.id, _context.VolType);

                            if (yp != null)
                            {
                                lastPv = yp.Position.Pv;

                                if (firstRisk.TradeType == "远期")
                                {
                                    firstRisk.TotalPnl = yp.Position.TotalPnL;
                                }
                            }
                            else
                            {
                                lastPv = CalcYdOtcValue(trad, ydContext, tdTradeCashUnwindList, volType, out var spotPrice, out var vol);

                                if (firstRisk.Debug != null)
                                {
                                    firstRisk.Debug.Add(spotPrice);
                                    firstRisk.Debug.Add(vol);
                                }
                            }
                        }

                        UpdateOTCPnl(trad, firstRisk, lastPv, tradeCashList: tradeCashList, tdTradeCashUnwindList: tdTradeCashUnwindList);
                    }
                }
            }

            AppManager.SetSysInfo(string.Concat("实时风险-", volType, "-计算结果"), tradeRiskList.Count + "条");

            _logger?.Debug($"[{volType}]场外交易风险计算完毕");

            return tradeRiskList;
        }

        //场外收益互换交易风险和盈亏计算
        private List<TradingRiskParameter> CalcSwapRisks(ITradeDataSource tradeDataSource, IOtcTradeValueCalcContext optionContext)
        {
            var volType = _context.VolType;

            //厦门象屿
            DateTime? nextDateXmxy = null;
            if (PS.Config.Company == Configuration.CompanyEnum.厦门象屿)
            {
                var date = SpecialModule.XiaMenXiangYuHelper.GetRefernceValueDate(_context.ValueDate);
                if (date > _context.ValueDate)
                {
                    nextDateXmxy = date;
                }
            }

            //准备计算数据
            var tradeRiskList = new List<TradingRiskParameter>();
            var otcTrades = tradeDataSource.GetOtcTrades() ?? Enumerable.Empty<trade>();
            otcTrades = otcTrades.Where(x => x.TradeType == "收益互换");
            var tradeIds = otcTrades.Select(t => t.id).ToList();
            var swapTradeService = new SwapTradeService(OptUserInfo.SystemUser);
            var swapEodPositionService = new SwapEodPositionService(OptUserInfo.SystemUser);
            var tradePositions = swapTradeService.GetSwapPositions(tradeIds, _underlyingCodeFilterSet);
            var tradePositionSwapIds = tradePositions.Select(s => s.SwapTradeId).Distinct().ToList();
            otcTrades = otcTrades.Where(x => tradePositionSwapIds.Contains(x.id));
            _logger?.Debug($"[{volType}]参与计算的场外互换交易数量:" + otcTrades.Count());
            var ydContexts = GetYdOptionCalculateContexts(_context, optionContext);
            DateTime valueDate = _context.ValueDate;
            DateTime preValueDate = _context.PreValueDate;
            var swapEodPositions = swapEodPositionService.GetEodPositions(tradePositionSwapIds, valueDate, preValueDate);
            var eodSwaps = swapEodPositionService.GetEodSwaps(tradePositionSwapIds, valueDate, preValueDate);
            //风险计算
            foreach (var trad in otcTrades)
            {
                var lastSwapEodPositions = swapEodPositions.Where(x => x.SwapTradeId == trad.id).OrderByDescending(o => o.ValueDate).ToList();//可能没有
                var lastPositionIds = lastSwapEodPositions.Select(x => x.PositionId).Distinct();
                var eodSwap = eodSwaps.Where(x => x.SwapTradeId == trad.id).OrderByDescending(o => o.ValueDate).FirstOrDefault();
                var positions = tradePositions.Where(x=>x.SwapTradeId==trad.id).ToList();
                if (lastPositionIds.Any())
                {
                    foreach (var item in lastPositionIds)
                    {
                        var todayPosition = lastSwapEodPositions.FirstOrDefault(x => x.PositionId == item && x.ValueDate == valueDate);
                        var lastPosition = lastSwapEodPositions.FirstOrDefault(x => x.PositionId == item && x.ValueDate == preValueDate);
                        var currentPosition = todayPosition == null ? lastPosition : todayPosition;
                        var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(currentPosition.UnderlyingCode);
                        var position = tradePositions.FirstOrDefault(f => f.id == item);
                        var result = new TradeValueResult();
                        var spotPrice = swapEodPositionService.UnderlyingCodePrice(currentPosition.UnderlyingCode, valueDate,out decimal vobp);
                        int shortRatio = currentPosition.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
                        int directionRatio = currentPosition.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
                        result.Pv =Convert.ToDouble( currentPosition.UnderlyingMarketValue);
                        result.Delta = directionRatio * shortRatio * Convert.ToDouble(currentPosition.PosiQuantity) * Convert.ToDouble(currentPosition.CountRatio);
                        result.DeltaCash = result.Delta * Convert.ToDouble(spotPrice);
                        result.Gamma = 0;
                        result.GammaCash = 0;
                        result.Vega = 0;
                        result.VegaCash = 0;
                        result.TradingDayTheta = 0;
                        result.CalendarDayTheta = 0;
                        result.Rho = 0;
                        var resultRisk = SwapTransformOneUnderlying(underlying, trad, new List<TradeValueResult> { result }, currentPosition, position);
                        if (resultRisk != null)
                        {
                            tradeRiskList.Add(resultRisk);
                        }
                    }
                }
            }

            AppManager.SetSysInfo(string.Concat("实时风险-", volType, "-计算结果"), tradeRiskList.Count + "条");

            _logger?.Debug($"[{volType}]互换交易风险计算完毕");
            return tradeRiskList;
        }
        //使用自定义交易风险，注意：应该屏蔽远期
        private TradingRiskParameter UseManualRisk(trade trad, string volType, IDataSource<ManualRisk> manualRiskProvider,
            Action<TradingRiskParameter, double?> UpdateOTCPnl)
        {
            var usePrePve = false;
            var result = new TradeValueResult();

            if (!ConsTrade.TradeCompleteStatus.Contains(trad.TradeStatus))
            {
                var risk = manualRiskProvider?.GetData(trad.id);

                if (risk == null)
                {
                    var yp = _context.YdEodPositionDataProvider.GetOtcTradePositionData(trad.id, _context.VolType);
                    if (yp != null)
                    {
                        var rate = trad.Notional / yp.Position.Amount;
                        result.Pv = yp.Position.Pv * rate;
                        var ypRisk = yp.Risk;
                        if (ypRisk != null)
                        {
                            result.Delta = ypRisk.Delta * rate;
                            result.DeltaCash = ypRisk.DeltaCash * rate;
                            result.Gamma = ypRisk.Gamma * rate;
                            result.GammaCash = ypRisk.GammaCash * rate;
                            result.Vega = ypRisk.Vega * rate;
                            result.VegaCash = ypRisk.VegaCash * rate;
                            result.TradingDayTheta = ypRisk.Theta * rate;
                            result.CalendarDayTheta = ypRisk.Theta * rate;
                            result.Rho = ypRisk.Rho * rate;
                        }
                    }
                }
                else
                {
                    result.Pv = risk.Pv ?? 0;
                    result.Delta = risk.Delta ?? 0;
                    result.Gamma = risk.Gamma ?? 0;
                    result.Vega = risk.Vega ?? 0;
                    result.TradingDayTheta = risk.Theta ?? 0;
                    result.CalendarDayTheta = risk.Theta ?? 0;
                    result.Rho = risk.Rho ?? 0;

                    if (_dataProvider.UnderlyingPriceProvider.TryGetPrice(trad.UnderlyingCode, out var price))
                    {
                        result.DeltaCash = result.Delta * price;
                        result.GammaCash = result.Gamma * Math.Pow(price, 2) / 100;
                        result.VegaCash = result.Vega * price;
                    }

                    usePrePve = true;
                }
            }

            var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(trad.UnderlyingCode);
            var resultRisk = TransformOneUnderlying(underlying, trad, new List<TradeValueResult> { result }, 0);

            if (usePrePve)
            {
                double? lastPv = null;
                var yp = _context.YdEodPositionDataProvider.GetOtcTradePositionData(trad.id, _context.VolType);
                if (yp != null)
                {
                    lastPv = yp.Position.Pv;
                }
                UpdateOTCPnl(resultRisk, lastPv);
            }

            return resultRisk;
        }

        //计算场外交易上个交易日市值
        private double? CalcYdOtcValue(trade trad, IOtcTradeValueCalcContext ydContext, IEnumerable<trade_cash> tdTradeCashUnwindList, string volType
            , out double? spotPrice, out double? vol)
        {
            vol = null;
            spotPrice = null;

            try
            {
                if (ConsTrade.TradeCompleteStatus.Contains(trad.TradeStatus))
                {
                    trad.Notional = 0;
                }

                //计算昨日pv时需要还原昨日的持仓数量
                trad.Notional += tdTradeCashUnwindList.Sum(tc => tc.UnwindNotional ?? 0);

                var result = TradeRiskCalcUtil.CalcTradeRisk(trad, ydContext, out var underlyings);

                if (result != null)
                {
                    vol = result.Vol;
                    spotPrice = result.SpotPrice;
                }

                return result?.Pv;
            }
            catch (Exception ex)
            {
                var key = "yeday_otcTrade_calc_" + trad.id;
                if (_cache.Get(key) == null)
                {
                    _cache.Set(key, this, DateTimeOffset.Now.AddMinutes(10));
                    _logger?.Error(ex, $"[{volType}-{trad.id}-{trad.TradeNumber}]昨日场外期权交易PV计算出错");
                }
                return null;
            }
        }

        //获取三种结算方式的昨日交易估值上下文(因为昨日交易有日终价格)
        private static YdOptionCalculateContext[] GetYdOptionCalculateContexts(ITradeRiskCalcContext riskContext, IOtcTradeValueCalcContext optionContext)
        {
            var ydContexts = new YdOptionCalculateContext[3];

            ydContexts[(int)SettlementTypeEnum.ClosePrice] =
                new YdOptionCalculateContext(riskContext.PreValueDate, optionContext, riskContext.YdEodPriceProvider, riskContext.YdTradeHisDataProvider, SettlementTypeEnum.ClosePrice)
                {
                    CalcScenario = Enums.CalcScenarioEnum.RealtimeRisk
                };

            ydContexts[(int)SettlementTypeEnum.SettlePrice] =
                new YdOptionCalculateContext(riskContext.PreValueDate, optionContext, riskContext.YdEodPriceProvider, riskContext.YdTradeHisDataProvider, SettlementTypeEnum.SettlePrice)
                {
                    CalcScenario = Enums.CalcScenarioEnum.RealtimeRisk
                };

            ydContexts[(int)SettlementTypeEnum.ReferencePrice] =
                new YdOptionCalculateContext(riskContext.PreValueDate, optionContext, riskContext.YdEodPriceProvider, riskContext.YdTradeHisDataProvider, SettlementTypeEnum.ReferencePrice)
                {
                    CalcScenario = Enums.CalcScenarioEnum.RealtimeRisk
                };

            return ydContexts;
        }

        /// <summary>
        /// 设置交易记录手数值
        /// </summary>
        private void SetTradeLots(trade trad)
        {
            //成交手数
            trad.Lots = TradeLotsCalc.GetLots(trad.UnderlyingCode, trad.OriginalNotional ?? 0);
            trad.LotsNewInfo = TradeLotsCalc.GetLots(trad.UnderlyingCode, trad.Notional);
        }

        #endregion

        #region----对冲交易处理----

        /// <summary>
        /// 更新对冲交易盈亏数据
        /// </summary>
        private IEnumerable<TradingRiskParameter> CalcHedgeTradeRisks(ITradeDataSource tradeDataSource, IOtcTradeValueCalcContext optionCalcContext)
        {
            _logger?.Debug($"[{_context.VolType}]对冲交易PNL处理开始");

            //获取所有未结算过的对冲交易
            var HedgeTradeList = tradeDataSource.GetExchangeTrades() ?? Enumerable.Empty<ExchangeTrade>();

            if (_underlyingCodeFilterSet != null)
            {
                HedgeTradeList = HedgeTradeList.Where(n => _underlyingCodeFilterSet.Contains(n.UnderlyingCode)).ToArray();
            }

            //股票 商品期货临时tradeId
            var tempTradeId = -1;
            var togetherUnOptionList = new List<TradingRiskParameter>();

            var hedgePnlContext = _context.CreateHedgePnlCalcContext(optionCalcContext);

            //昨日持仓信息
            var predicat = PredicateBuilder.True<EodTradePosition>();
            if (_underlyingCodeFilterSet != null)
            {
                predicat = predicat.And(t => _underlyingCodeFilterSet.Contains(t.UnderlyingCode));
            }
            var lastEodPositions = _context.YdEodPositionDataProvider
                .GetExchangeTradePositionList(_context.VolType).Where(predicat.Compile()).ToArray();

            //计算昨日持仓+新增加交易合计的PV
            var hedgePnlList = new HedgePnlCalc(hedgePnlContext).Calculate(HedgeTradeList, lastEodPositions);

            //根据是否展示累积盈亏过滤前一交易日已清仓的持仓为0的持仓信息
            if (!PS.Config.ShowAccruedTotalPnL)
            {
                hedgePnlList = hedgePnlList.Where(t => t.HasNewTrade || Math.Abs(t.Notional) != 0).ToList();
            }

            var calcDeltaT1 = TradeRiskHelper.IsCalcDeltaT1();

            foreach (var pnl in hedgePnlList)
            {
                var um = _dataProvider.UnderlyingDataProvider.GetUnderlying(pnl.UnderlyingCode);
                if (um == null)
                {
                    continue;
                }
                um.Price = pnl.SettlePrice;
                var variety = _dataProvider.UnderlyingDataProvider.GetVariety(um.UnderlyingTypeId);
                if (variety == null)
                {
                    optionCalcContext.ErrorHandler?.AddError($"{um.UnderlyingCode}没有找到品种信息");
                    variety = new Variety();
                }

                var TradeUnitValue = variety?.TradeUnitValue;
                var tempRisk = new TradingRiskParameter
                {
                    VarietyCode = variety.VarietyCode?.ToUpperInvariant(),
                    IsOption = false,
                    TradeId = tempTradeId--,
                    UnderlyingId = um.id,
                    UnderlyingCode = pnl.UnderlyingCode,
                    UnderlyingName = um?.UnderlyingName ?? string.Empty,
                    SpotPriceChangePercent = um.GetPriceChangePercent(),
                    TradeType = pnl.TradeType,
                    BookId = pnl.BookId,
                    BuySell = pnl.BuySell,
                    Notional = pnl.Notional,
                    Pv = pnl.Pv,
                    Tv = pnl.TimeValue,
                    TradePrice = pnl.Cost,
                    OriginalPrincipalSum = 0,
                    DailyPnl = pnl.DailyPnL,
                    TotalPnl = pnl.TotalPnl,
                    ExercisePnl = pnl.TotalPnl,
                    SpotPrice = um.Price,
                    TradeStatus = ConsTrade.确认成交,
                    InstrumentType = um.UnderlyingInstrumentType,
                    IsSynthetic = um.IsSynthetic(),
                    ExchangeOptionCode = pnl.ExchangeOptionCode,
                    PositionType = pnl.PositionType,
                    CallPut = pnl.CallPut,
                    Strike = pnl.Strike,
                    //风险参数
                    Delta = pnl.Delta,
                    SA_Delta = pnl.SA_Delta,
                    DeltaCash = pnl.DeltaCash,
                    Gamma = pnl.Gamma,
                    Vega = pnl.Vega,
                    GammaCash = pnl.GammaCash,
                    DeltaInLots = pnl.DeltaInLots,
                    GammaInLots = pnl.GammaInLots,
                    Theta = pnl.Theta,
                    Rho = pnl.Rho,
                    DdeltaDt = pnl.DdeltaDt,
                    DdeltaDvol = pnl.DdeltaDvol,
                    DvegaDt = pnl.DvegaDt,
                    DvegaDvol = pnl.DvegaDvol,
                    Lots = pnl.Lots,
                    LotsNewInfo = pnl.Lots,
                    Cost = pnl.Cost,
                    AccruedTotalPnl = pnl.TotalPnl,
                    ExerciseDate = pnl.ExerciseDate,
                    Vol = pnl.Vol,
                    TradeSavedVol = pnl.Vol,
                    ExOptionPrice = pnl.ExOptionPrice
                };

                if (calcDeltaT1)
                {
                    tempRisk.DeltaT1 = pnl.TradeType == "场内期权" ? pnl.DeltaT1 : pnl.Delta;
                }

                if (PS.Config.Is渤海)
                {
                    tempRisk.ExercisePnl = 0.0;
                }

                tempRisk.OriginalNotionalV = tempRisk.OriginalNotional = tempRisk.Notional;
                tempRisk.TradeFlag = (int)EnumTradeTypeUtil.GetTradeFlag(tempRisk.TradeType);

                if (Math.Abs(tempRisk.Notional) > 1e-7)
                {
                    tempRisk.Premium = tempRisk.TradePrice / tempRisk.Notional;
                    tempRisk.StockEqvNotional = Math.Abs(tempRisk.Pv);
                    tempRisk.BuySell = tempRisk.Notional > 0 ? "买入" : "卖出";
                }
                else
                {
                    tempRisk.BuySell = string.Empty;
                }

                if (PS.Config.Company == CompanyEnum.红塔众鑫)
                {
                    var day =  QdpCalendarHelper.GetNonHolidayDaysBetween(valuedateBLL.ValueDate
                        ,pnl.ExerciseDate.GetValueOrDefault()); //剩余天数 
                    tempRisk.ThetaNet = Math.Round(pnl.Theta,2) * day;
                    
                }
                togetherUnOptionList.Add(tempRisk);
            }

            if (togetherUnOptionList.Any())
            {
                //更新行权盈亏
                foreach (var t in togetherUnOptionList)
                {
                    if (t.TradeType == "场内期权")
                    {
                        var pnl = (t.CallPut == "Call" ? 1 : -1) * ((t.SpotPrice ?? 0.0) - (t.Strike ?? 0.0)) * Math.Abs(t.Notional);
                        pnl = pnl < 0 ? 0 : pnl * EodOperationBase.GetSign(t.BuySell);
                        t.ExercisePnl = pnl - t.Cost;
                    }
                    else
                    {
                        t.ExercisePnl = t.Pv - t.Cost;
                    }
                }
            }

            _logger?.Debug($"[{_context.VolType}]对冲交易PNL计算完毕");

            return togetherUnOptionList;
        }

        #endregion

        #region-----tradingRiskParameter-----

        //衍生品交易计算结果转换(未考虑多标的期权--待明确业务后重写)
        private TradingRiskParameter TransformOneUnderlying(underlying_manager um, trade tradeObj, List<TradeValueResult> optionValueResult, int index)
        {
            var contractSize = 0d;
            var variety = um == null ? null : _dataProvider.UnderlyingDataProvider.GetVariety(um.UnderlyingCode, out contractSize) ?? new Variety();
            var sign = EodOperationBase.GetSign(tradeObj.BuySell);

            var trp = new TradingRiskParameter
            {
                IsOption = true,
                UnderlyingCode = um?.UnderlyingCode,
                UnderlyingId = um?.id,
                UnderlyingName = um?.UnderlyingName,
                InstrumentType = um?.UnderlyingInstrumentType,
                SpotPrice = um?.Price,
                SpotPriceChangePercent = um?.GetPriceChangePercent(),

                IsGroup = tradeObj.IsGroup,
                TradeId = tradeObj.id,
                TradeNumber = tradeObj.TradeNumber,
                TradeType = tradeObj.TradeType,
                StructureType = tradeObj.StructureType,
                TradeStatus = tradeObj.TradeStatus,
                TradeDate = tradeObj.TradeDate,
                TradePrice = (tradeObj.TradePrice ?? 0) * sign,
                OriginalPrincipalSum = (tradeObj.OriginalPrincipalSum ?? 0) * sign,
                ClientId = tradeObj.ClientId,
                ClientName = tradeObj.ClientName,
                CallPut = tradeObj.CallPut,
                BuySell = tradeObj.BuySell,
                BookId = tradeObj.AssetId,
                ExerciseMode = tradeObj.ExerciseMode,
                ExerciseDate = tradeObj.ExerciseDate,
                InitSpotPrice = tradeObj.SpotPrice,
                Notional = tradeObj.Notional,
                OriginalNotional = tradeObj.OriginalNotional ?? tradeObj.Notional,
                StockEqvNotional = tradeObj.StockEqvNotional,
                IsMoneynessOption = tradeObj.IsMoneynessOption,
                IsPremiumRate = tradeObj.IsUsePremiumRate ?? false,
                DividendRate = tradeObj.DividendRate,
                NoRiskRate = tradeObj.NoRiskRate,
                OpenVol = tradeObj.TradeOpenVolatility ?? 0,
                Premium = tradeObj.IsUsePremiumRate == true ? (tradeObj.PremiumRate ?? 0) : (tradeObj.TradeSinglePrice ?? 0),
                Lots = tradeObj.Lots,
                LotsNewInfo = tradeObj.LotsNewInfo,
                TradeSavedVol = tradeObj.TradeSavedVol,

                Pv = optionValueResult.Sum(t => t.Pv),
                NPv = optionValueResult.Sum(t => t.NPv),
                Tv = optionValueResult.Sum(t => t.TimeValue),
                Delta = optionValueResult.Sum(t => t.GetDelta(index)),
                DeltaT1 = optionValueResult.FirstOrDefault()?.DeltaT1,
                SA_Delta = optionValueResult.Sum(t => t.SA_Delta),
                Gamma = optionValueResult.Sum(t => t.GetGamma(index)),
                Vega = optionValueResult.Sum(t => t.GetVega(index)),
                DeltaCash = optionValueResult.Sum(t => t.GetDeltaCash(index)),
                GammaCash = optionValueResult.Sum(t => t.GetGammaCash(index)),

                TradeFlag = (int)EnumTradeTypeUtil.GetTradeFlag(tradeObj.TradeType, tradeObj.Comments),

                AccruedTotalPnl = 0,
                CompanyObj = null,
                Cost = 0,
                DailyPnl = 0,
                GammaInLots = 0,
                Strike = tradeObj.Strike,
                Debug = new List<object> { optionValueResult[0].SpotPrice, optionValueResult[0].Vol }
            };

            if (tradeObj.TradeType == "远期")
            {
                trp.TradePrice = tradeObj.TradePrice ?? 0;
            }

            var list = DbContextFactory.GetYLDbContext().dividendrate_record.Where(x => x.TradeType.Contains(tradeObj.TradeType) && valuedateBLL.ValueDate >= x.ValueDate && (x.OptionType == tradeObj.OptionType || x.OptionType == "全部")).ToList();
            var record = list.Where(x => x.UnderlyingCode.Split(',').Any(code => code == tradeObj.UnderlyingCode)).OrderByDescending(x => x.OptDate).OrderByDescending(x => x.ValueDate);
            if (record.Any())
            {
                trp.DividendRate = record.FirstOrDefault()?.DividendRate;
            }

            if (!trp.DividendRate.HasValue)
            {
                trp.DividendRate = trp.NoRiskRate;
            }

            //成交份额(countRatio传入1算出来的是成交份额)
            trp.OriginalNotionalV = TradeCalcHelper.GetTradeAmountV(tradeObj, tradeObj.OriginalNotional ?? tradeObj.Notional, 1);

            //组合标的设置DeltaInLots为0
            if (um != null)
            {
                if (um.IsSynthetic())
                {
                    trp.IsSynthetic = true;
                    trp.VarietyCode = "组合标的";
                    trp.DeltaInLots = optionValueResult.Sum(t => t.GetDelta(index));
                    if (um.ContractSize > 0)
                    {
                        trp.DeltaInLots /= um.ContractSize;
                    }
                }
                else
                {
                    trp.VarietyCode = variety?.VarietyCode?.ToUpperInvariant();
                    trp.DeltaInLots = optionValueResult.Sum(t => t.GetDelta(index)) / contractSize;
                }
            }
            else if (string.IsNullOrEmpty(trp.UnderlyingCode))
            {
                if (trp.TradeType == ConsGlobal.TradeType.CashFlow)
                {
                    trp.VarietyCode = trp.UnderlyingCode = "现金流";
                }
                else
                {
                    trp.VarietyCode = trp.UnderlyingCode = "未知";
                }
            }

            trp.GammaInLots = optionValueResult.Sum(t => t.GetGamma(index)) / contractSize;
            trp.Theta = optionValueResult.Sum(t => t.Theta);
            if (PS.Config.Company == CompanyEnum.红塔众鑫)
            {
                trp.ThetaNet = optionValueResult.Sum(t =>
                {
                    var day =  QdpCalendarHelper.GetNonHolidayDaysBetween(
                        valuedateBLL.ValueDate,tradeObj.ExerciseDate.GetValueOrDefault()); //剩余天数 
                    return Math.Round(t.Theta, 2) * day;
                });
            }
            trp.Rho = optionValueResult.Sum(t => t.Rho) * 100;
            trp.DdeltaDt = optionValueResult.Sum(t => t.DDeltaDt);
            trp.DdeltaDvol = optionValueResult.Sum(t => t.DDeltaDVol);
            trp.DvegaDt = optionValueResult.Sum(t => t.DVegaDt);
            trp.DvegaDvol = optionValueResult.Sum(t => t.DVegaDVol);

            if (tradeObj.TradeType == "场内期权")
            {
                trp.PositionType = sign > 0 ? "long" : "short";
                trp.ExchangeOptionCode = tradeObj.ExchangeOptionCode;
            }
            else if (tradeObj.TradeType == "结构化交易")
            {
                trp.TradeType = tradeObj.StructureType ?? string.Empty;
                trp.StructureType = "结构化交易";
            }

            //目前optionValueResult中只有一个标的的Vol值
            //对于彩虹期权、价差期权等多标的的期权交易，并不能获取各标的的Vol,因此暂时使用第一个Vol
            //TODO: 当optionValueResult支持多个Vol之后，需要做相应修改

            trp.Vol = optionValueResult[0].Vol;
            trp.PricingT = optionValueResult[0].PricingT;

            //场外期权行权盈亏
            if (trp.TradeFlag > (int)EnumTradeType.ExchangeOption)
            {
                trp.ExercisePnl = GetExercisePnl(tradeObj, um?.Price ?? 0.0, out var actualStrike);
                trp.Strike = actualStrike;
            }

            if (PS.Config.Is润和)
            {
                var unVol = VolatilityHelper.GetVol(DateTime.Today, "交易", tradeObj.UnderlyingCode, DataCacheProvider.GetAssetUnitDataSource().GetData(tradeObj.AssetId)?.UserGroup);
                trp.TradeSavedVol = VolatilityHelper.GetInterpolatedVol(
                   volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
                   volSurface: unVol,
                   valueDate: DateTime.Today,
                   underlyingCode: tradeObj.UnderlyingCode,
                   exerciseDate: tradeObj.ExerciseDate.Value,
                   strike: tradeObj.Strike ?? 0,
                   isBuy: tradeObj.BuySell == "买入",
                   isCall: tradeObj.CallPut == "Call",
                   spotPrice: tradeObj.SpotPrice ?? 0,
                   isMoneynessOption: tradeObj.IsMoneynessOption == "是");
            }

            trp.QuoteUnit = variety?.QuoteUnit;



            if (optionValueResult != null && optionValueResult.Count() > 0 && optionValueResult[0] != null && optionValueResult[0].IsKnockOut)
            {
                trp.IsKnockOut = true;
                trp.KnockOutPayoff = optionValueResult.Sum(t => t.KnockOutPayoff);
            }
            return trp;
        }

        //衍生品互换交易计算结果转换(未考虑多标的期权--待明确业务后重写)
        private TradingRiskParameter SwapTransformOneUnderlying(underlying_manager um, trade tradeObj, List<TradeValueResult> optionValueResult, eod_swap_position eodPosition, swap_position position)
        {
            var contractSize = 0d;
            var variety = um == null ? null : _dataProvider.UnderlyingDataProvider.GetVariety(um.UnderlyingCode, out contractSize) ?? new Variety();
            int shortRatio = position.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
            int directionRatio = position.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
            var trp = new TradingRiskParameter
            {
                IsOption = true,
                UnderlyingCode = um?.UnderlyingCode,
                UnderlyingId = um?.id,
                UnderlyingName = um?.UnderlyingName,
                InstrumentType = um?.UnderlyingInstrumentType,
                SpotPrice = um?.Price,
                SpotPriceChangePercent = um?.GetPriceChangePercent(),

                IsGroup = tradeObj.IsGroup,
                TradeId = tradeObj.id,
                TradeNumber = tradeObj.TradeNumber,
                TradeType = tradeObj.TradeType,
                StructureType = tradeObj.StructureType,
                TradeStatus = tradeObj.TradeStatus,
                TradeDate = tradeObj.TradeDate,
                OriginalPrincipalSum = 0,
                ClientId = tradeObj.ClientId,
                ClientName = tradeObj.ClientName,
                CallPut = shortRatio == 1 ? "Call" : "Put",
                BuySell = directionRatio == 1 ? "卖出" : "买入",
                BookId = tradeObj.AssetId,
                ExerciseMode = tradeObj.ExerciseMode,
                ExerciseDate = tradeObj.ExerciseDate,
                InitSpotPrice = Convert.ToDouble(position.PosiNetPrice),
                OriginalNotional = Convert.ToDouble(position.PosiQuantity * position.CountRatio),
                IsMoneynessOption = tradeObj.IsMoneynessOption,
                IsPremiumRate = false,
                DividendRate = 0,
                NoRiskRate = 0,
                OpenVol = 0,
                Premium = Convert.ToDouble(position.PosiNetPrice),
                Lots = Convert.ToDouble(position.PosiQuantity * position.CountRatio / position.ContractSize),
                TradeSavedVol = tradeObj.TradeSavedVol,

                Pv = optionValueResult.Sum(t => t.Pv),
                Tv = optionValueResult.Sum(t => t.TimeValue),
                Delta = optionValueResult.Sum(t => t.GetDelta(0)),
                DeltaT1 = optionValueResult.FirstOrDefault()?.DeltaT1,
                SA_Delta = optionValueResult.Sum(t => t.SA_Delta),
                Gamma = optionValueResult.Sum(t => t.GetGamma(0)),
                Vega = optionValueResult.Sum(t => t.GetVega(0)),
                DeltaCash = optionValueResult.Sum(t => t.GetDeltaCash(0)),
                GammaCash = optionValueResult.Sum(t => t.GetGammaCash(0)),

                TradeFlag = (int)EnumTradeType.SwapOption,

                CompanyObj = null,
                Cost = 0,
                DailyPnl = 0,
                GammaInLots = 0,
                Strike = tradeObj.Strike,
                Debug = new List<object> { optionValueResult[0].SpotPrice, optionValueResult[0].Vol }
            };
            if (eodPosition!=null)
            {
                trp.AccruedTotalPnl = Convert.ToDouble(eodPosition.RealizedMtmPnL);
                trp.LotsNewInfo = Convert.ToDouble(eodPosition.PosiQuantity * eodPosition.CountRatio / eodPosition.ContractSize);
                trp.TradePrice = Convert.ToDouble(eodPosition.PosiNetPrice * shortRatio);
                trp.Notional = Convert.ToDouble(eodPosition.PosiQuantity * eodPosition.CountRatio);
                trp.StockEqvNotional = Convert.ToDouble(eodPosition.PosiNotionalValue);
            }
            else
            {
                trp.LotsNewInfo = trp.Lots;
                trp.TradePrice = Convert.ToDouble(position.PosiNetPrice * shortRatio);
                trp.Notional = Convert.ToDouble(position.PosiQuantity * position.CountRatio);
                trp.StockEqvNotional = Convert.ToDouble(position.PosiNotionalValue);
            }
            //成交份额(countRatio传入1算出来的是成交份额)
            trp.OriginalNotionalV = trp.OriginalNotional;
            trp.GammaInLots = optionValueResult.Sum(t => t.GetGamma(0)) / contractSize;
            trp.Theta = optionValueResult.Sum(t => t.Theta);
            trp.Rho = optionValueResult.Sum(t => t.Rho) * 100;
            trp.DdeltaDt = optionValueResult.Sum(t => t.DDeltaDt);
            trp.DdeltaDvol = optionValueResult.Sum(t => t.DDeltaDVol);
            trp.DvegaDt = optionValueResult.Sum(t => t.DVegaDt);
            trp.DvegaDvol = optionValueResult.Sum(t => t.DVegaDVol);
            trp.Vol = optionValueResult[0].Vol;
            trp.PricingT = optionValueResult[0].PricingT;
            if (PS.Config.Is润和)
            {
                var unVol = VolatilityHelper.GetVol(DateTime.Today, "交易", um.UnderlyingCode, DataCacheProvider.GetAssetUnitDataSource().GetData(tradeObj.AssetId)?.UserGroup);
                trp.TradeSavedVol = VolatilityHelper.GetInterpolatedVol(
                   volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
                   volSurface: unVol,
                   valueDate: DateTime.Today,
                   underlyingCode: um.UnderlyingCode,
                   exerciseDate: tradeObj.ExerciseDate.Value,
                   strike: Convert.ToDouble(eodPosition.PosiNetPrice),
                   isBuy: trp.BuySell == "买入",
                   isCall: trp.CallPut == "Call",
                   spotPrice: tradeObj.SpotPrice ?? 0,
                   isMoneynessOption: tradeObj.IsMoneynessOption == "是");
            }

            trp.QuoteUnit = variety?.QuoteUnit;

            return trp;
        }

        //更新实时盈亏
        private static void UpdateOTCPnl(trade td, TradingRiskParameter para, double? lastPv
            , IEnumerable<trade_cash> tradeCashList, IEnumerable<trade_cash> tdTradeCashUnwindList)
        {
            var hasLastPv = lastPv.HasValue;
            var hasNotional = Math.Abs(para.Notional) > 1e-6;
            var completed = ConsTrade.TradeCompleteStatus.Contains(para.TradeStatus);
            var pendingForAudit = !completed && para.TradeStatus == ConsTrade.平仓待复核 || para.TradeStatus == ConsTrade.行权待复核;

            //当日实现收益
            double RealizedProfit = 0;

            if (hasLastPv)
            {
                RealizedProfit = tdTradeCashUnwindList.Sum(tc => tc.Amount);
            }
            else
            {
                var lastTc = tradeCashList.Where(tc => tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted && tc.Action == ClientCashInCashOut.系统操作_期权费);
                if (lastTc.Any())
                {
                    lastPv = -lastTc.Sum(tc => tc.Amount - (tc.ExtraAmount ?? 0));
                }
                else if (para.TradeType == "远期")
                {
                    lastPv = -para.TradePrice; //远期交易金额没有买卖方向区分,转换为pv直接取符号即可
                }
                else
                {
                    var sign = TradeCalcHelper.GetBuySellSign(para.BuySell);
                    lastPv = para.TradePrice - para.OriginalPrincipalSum * sign;
                }
                if (td.TradeType == "雪球期权" && td.trade_snowball.PrepaymentUsed)
                {
                    lastPv += (td.trade_snowball.PrepaymentRatio ?? 0) * (td.OriginalStockEqvNotional ?? 0) * (td.BuySell == "卖出" ? -1 : 1);
                }
                RealizedProfit = tradeCashList.Where(tc => tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted && ClientCashInCashOut.PROFIT_ACTION.Contains(tc.Action)).Sum(tc => tc.Amount);
            }

            //已平仓 已到期 已行权
            if (completed)
            {
                para.DailyPnl = RealizedProfit - lastPv.Value;
                para.TotalPnl = tradeCashList.Where(tc => tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted).Sum(tc => tc.Amount);
                para.AccruedTotalPnl = para.TotalPnl;
                para.ExercisePnl = 0;
                para.Notional = 0;
                para.TradePrice = 0;
                para.OriginalPrincipalSum = 0;
                para.Pv = 0;
                para.Delta = 0;
                para.DeltaT1 = 0;
                para.DeltaT1Lots = 0;
                para.SA_Delta = 0;
                para.DeltaCash = 0;
                para.Gamma = 0;
                para.Vega = 0;
                para.GammaCash = 0;
                para.DeltaInLots = 0;
                para.GammaInLots = 0;
                para.Theta = 0;
                para.Rho = 0;
                para.DdeltaDt = 0;
                para.DdeltaDvol = 0;
                para.DvegaDt = 0;
                para.DvegaDvol = 0;
                para.StockEqvNotional = 0;
                para.KnockOutPayoff = 0;
            }
            else if (pendingForAudit)
            {
                //平仓待复核 行权待复核  
                var tradeCashTemp = tradeCashList.Where(tc => tc.ValidState == ConsGlobal.InValid && !tc.IsDeleted && tc.Action != ClientCashInCashOut.系统操作_期权费).OrderByDescending(a => a.id).FirstOrDefault();
                //剩余持仓
                var holdNotional = para.Notional - (tradeCashTemp == null ? 0 : ConsTrade.平仓待复核.Equals(para.TradeStatus) ? (tradeCashTemp.UnwindNotional ?? 0) : para.Notional);
                //剩余持仓百分比
                var holdRatio = hasNotional ? holdNotional / para.Notional : 0;

                var newPv = para.Pv * holdRatio + (tradeCashTemp?.Amount ?? 0);

                para.Notional = holdNotional;
                para.DailyPnl = newPv + RealizedProfit - lastPv.Value;
                para.AccruedTotalPnl = para.TotalPnl = tradeCashList.Where(tc => tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted).Sum(t => t.Amount) + newPv;

                if (Math.Abs(1 - holdRatio) > 1e-5)
                {
                    para.ExercisePnl *= holdRatio;
                    para.Pv *= holdRatio;
                    para.Tv *= holdRatio;
                    para.TradePrice *= holdRatio;
                    para.OriginalPrincipalSum *= holdRatio;
                    para.Delta *= holdRatio;
                    para.SA_Delta *= holdRatio;
                    para.DeltaCash *= holdRatio;
                    para.Gamma *= holdRatio;
                    para.Vega *= holdRatio;
                    para.GammaCash *= holdRatio;
                    para.DeltaInLots *= holdRatio;
                    para.GammaInLots *= holdRatio;
                    para.Theta *= holdRatio;
                    para.Rho *= holdRatio;
                    para.DdeltaDt *= holdRatio;
                    para.DdeltaDvol *= holdRatio;
                    para.DvegaDt *= holdRatio;
                    para.DvegaDvol *= holdRatio;
                    if (para.IsKnockOut)
                    {
                        para.KnockOutPayoff *= holdRatio;
                    }
                }
            }
            else if (para.TradeType == "远期")
            {
                para.DailyPnl = para.Pv + RealizedProfit - lastPv.Value;
                if (hasLastPv)
                {
                    para.TotalPnl += para.DailyPnl;
                }
                else
                {
                    para.TotalPnl = para.DailyPnl;
                }
                para.AccruedTotalPnl = para.TotalPnl;
            }
            else if (ConsTrade.TradeStatusBeforConfirmed.Contains(para.TradeStatus))
            {
                para.DailyPnl = para.Pv - para.TradePrice;
                if (td.TradeType == "雪球期权" && td.trade_snowball.PrepaymentUsed)
                {
                    para.DailyPnl -= (td.trade_snowball.PrepaymentRatio ?? 0) * td.StockEqvNotional * (td.BuySell == "卖出" ? -1 : 1);
                }
                para.TotalPnl = para.DailyPnl;
                para.AccruedTotalPnl = para.DailyPnl;
            }
            else
            {
                para.DailyPnl = para.Pv + RealizedProfit - lastPv.Value;
                para.TotalPnl = para.Pv + tradeCashList.Where(tc => tc.ValidState != ConsGlobal.InValid && !tc.IsDeleted).Sum(t => t.Amount);
                if (td.TradeType == "雪球期权" && td.trade_snowball.PrepaymentUsed)
                {
                    //只关注持仓的部分
                    para.TotalPnl -= (td.trade_snowball.PrepaymentRatio ?? 0) * para.Notional * (td.SpotPrice ?? 0) * (td.BuySell == "卖出" ? -1 : 1);
                }
                para.AccruedTotalPnl = para.TotalPnl;
            }

            //用于计算错误时查看
            para.LastPv = lastPv;
        }

        //获取行权盈亏
        private double GetExercisePnl(OtcTradeBase tradeObj, double spotPrice, out double? actualStrike)
        {
            actualStrike = null;

            if (tradeObj == null)
            {
                return 0;
            }

            if ("亚式期权".Equals(tradeObj.TradeType))
            {
                double? avgPrice = null;

                var trade_asian_option = _dataProvider.TradeExtendDataProvider.GetTrade_Asian_Option(tradeObj.id);

                if (trade_asian_option != null)
                {
                    var fixings = AsiaOptionProvider.Default.GetFixingString(_context.ValueDate, tradeObj, trade_asian_option);
                    avgPrice = GetAsianAveragePrice(fixings, trade_asian_option.PayoffType);
                    if (avgPrice != null && "Floating".Equals(trade_asian_option.StrikeType))
                    {
                        actualStrike = avgPrice;
                    }
                }

                if (actualStrike == null)
                {
                    actualStrike = tradeObj.IsMoneynessOptionData ? (tradeObj.SpotPrice * tradeObj.Strike) : tradeObj.Strike;
                }

                if (trade_asian_option == null)
                {
                    return 0.0;
                }

                if ("Fixed".Equals(trade_asian_option?.StrikeType))
                {
                    return (Math.Max((tradeObj.CallPut == "Call" ? 1 : -1) * ((avgPrice ?? spotPrice) - (actualStrike ?? 0.0)) * tradeObj.Notional, 0.0) - (tradeObj.TradePrice ?? 0.0)) * EodOperationBase.GetSign(tradeObj.BuySell);
                }

                if (avgPrice == null)
                {
                    return 0.0;
                }

                return (Math.Max((tradeObj.CallPut == "Call" ? 1 : -1) * (spotPrice - avgPrice.Value) * tradeObj.Notional, 0.0) - (tradeObj.TradePrice ?? 0.0)) * EodOperationBase.GetSign(tradeObj.BuySell);
            }
            else if ("结构化交易".Equals(tradeObj.TradeType))
            {
                throw new ServiceException($"不支持'结构化交易'主交易的计算,tradeId:{tradeObj.id},tradeNumber:{tradeObj.TradeNumber}");
            }
            else
            {
                actualStrike = tradeObj.IsMoneynessOptionData ? (tradeObj.SpotPrice * tradeObj.Strike) : tradeObj.Strike;
                return (Math.Max((tradeObj.CallPut == "Call" ? 1 : -1) * (spotPrice - (actualStrike ?? 0.0)) * tradeObj.Notional, 0.0) - (tradeObj.TradePrice ?? 0.0)) * EodOperationBase.GetSign(tradeObj.BuySell);
            }
        }

        //获取亚式期权均价起算日之后的均价,未到均价起算日则返回Null
        private static double? GetAsianAveragePrice(string fixings, string PayoffType)
        {
            if (string.IsNullOrWhiteSpace(fixings))
            {
                return null;
            }

            var arr = fixings.Split(QdpConsts.Semilicon);

            var fixingValues = arr.Select(x => DataConvert.ConvertCommaValueToDouble(x, 1) ?? 0).ToArray();

            if ("GeometricAverage".Equals(PayoffType))
            {
                var n = fixingValues.Length;
                return Math.Pow(fixingValues.Aggregate(func: (result, item) => result * item), 1.0 / n);
            }

            if ("ArithmeticAverage".Equals(PayoffType) || "DiscreteArithmeticAverage".Equals(PayoffType))
            {
                return fixingValues.Average();
            }

            return null;
        }

        #endregion
    }
}