using YLErp.Abstract.DataProviders;
using YLErp.BLL.Calculation;
using YLErp.BLL.Eod;
using YLErp.Helpers;
using YLErp.Modules;
using YLErp.Modules.DataProviderModule;
using YLErp.QdpModule;

namespace YLErp.BLL.MarginCalculation
{
    public class HuaAnMarginCalculation : MarginCalculationBase
    {
        // 定义一个静态变量来保存类的实例
        public static readonly HuaAnMarginCalculation Instance;

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

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

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

            if (req.CalcMarginType == Enums.CalcMarginTypeEnum.InitialMargin)
            {
                resultList = calcInitialMargin(req);
            }
            else
            {
                resultList = calcPositionMargin(req);
            }

            return resultList;
        }

        private List<trade_span> calcPositionMargin(RunMarginCalculationReq req)
        {
            var resultMap = new Dictionary<int, trade_span>();
            req.PriceProvider = new EodPriceProvider(req.settleDate).GetPriceProvider(SettlementTypeEnum.SettlePrice);
            var _helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
            _helper.GetUpDownLimitPrices(out var upPrices, out var downPrices);
            _helper.GetUpDownVolRateDic(out var upVolRateDic, out _);

            var ForwordOrSwapList = req.tradeList.Where(O => !resultMap.Keys.Contains(O.id) && O.TradeType != "收益互换" && O.TradeType != "远期");
            var ForwordOrSwapcalcReq =
               _helper.GetCalculateRisksForTradesReq(
                   req.PriceProvider,
                   null,
                   null,
                   Qdp.Pricing.Base.Implementations.PricingRequest.Pv);
            ForwordOrSwapcalcReq.tradeList = req.tradeList.Where(O => O.TradeType == "远期" || O.TradeType == "收益互换");
            var ForwordOrSwapRusult = CalculatorHelper.CalculateRisksForTrades(ForwordOrSwapcalcReq);
            foreach (var f in ForwordOrSwapRusult.Results.Where(l => l.Trade.TradeType == "远期" || l.Trade.TradeType == "收益互换"))
            {
                double? marginRate2 = 0;
                if (!string.IsNullOrEmpty(f.Trade.BasisUnderlyingCode) && f.Trade.TradeType == "远期")
                {
                    marginRate2 = GetUnderlyingCodeMarginRate(f.Trade.BasisUnderlyingCode);
                }
                double? marginRate1 = GetUnderlyingCodeMarginRate(f.Trade.UnderlyingCode);
                var positionPnl = EodOperationBase.GetPositionPnl(f.ValueResult.Pv, f.Trade.TradePrice ?? 0.0, f.Trade.Notional, f.Trade.OriginalNotional ?? 0, f.Trade.BuySell);
                var marginRate = ((marginRate1 > marginRate2 ? marginRate1 : marginRate2) ?? 0);
                var margin = (f.Trade.TradeType == "远期" ? f.Trade.SpotPrice : req.PriceProvider.GetPrice(f.Trade.UnderlyingCode)) * f.Trade.Notional * marginRate + positionPnl;
                var sp = _helper.CreateTradeSpan(f.Trade).SetAllSpvAndWorst(Math.Max((margin ?? 0), 0));
                sp.SetWorstCastClientPayable();
                resultMap[sp.TradeId] = sp;
            }
            var allList = req.tradeList.Where(O => !resultMap.Keys.Contains(O.id) && O.TradeType != "收益互换" && O.TradeType != "远期");
            var calcReq =
               _helper.GetCalculateRisksForTradesReq(
                   req.PriceProvider,
                   null,
                   null,
                   Qdp.Pricing.Base.Implementations.PricingRequest.Delta);
            calcReq.tradeList = allList;
            var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);

            var sellList = tradeRiskResult.Results.Where(O => O.Trade.ParentTradeId == 0 && O.Trade.IsGroup == 0 && (O.Trade.TradeType.Contains("香草") || O.Trade.TradeType.Contains("亚式")) && O.Trade.BuySell == "卖出");
            foreach (var item in sellList)
            {
                var sp = _helper.CreateTradeSpan(item.Trade).SetAllSpvAndWorst(0);
                sp.SetWorstCastClientPayable();
                resultMap[sp.TradeId] = sp;
            }
            //1、交易员角度买入香草和亚式期权
            //先按标的分类，在标的i下
            //Span算法：先算出品种i下每笔交易的span算法预付金，然后合计
            //Delta算法：先算出每一笔交易的delta算法预付金 = max（期权的总的delta* 收盘价*交易所预付金比例，0），然后合计算出该品种的delta算法预付金
            //品种i的预付金 = max（span算法预付金，Delta算法预付金）
            //香草和亚式的总的预付金
            var VanillaOrAsianList = tradeRiskResult.Results.Where(O => !resultMap.Keys.Contains(O.Trade.id) && (O.Trade.ParentTradeId == 0 || O.Trade.IsGroup == 2) && (O.Trade.TradeType.Contains("香草") || O.Trade.TradeType.Contains("亚式")) && O.Trade.BuySell == "买入");

            foreach (var i in VanillaOrAsianList)
            {
                var deltaMargin = i.ValueResult.Delta * i.Trade.SpotPrice * GetUnderlyingCodeMarginRate(i.Trade.UnderlyingCode);
                var sp = marginCalculation(req, new List<trade> { i.Trade }).First();
                var spanMargin = sp.WorstCastClientPayable;
                deltaMargin = deltaMargin > 0 ? deltaMargin : 0;
                var margin = Math.Max((deltaMargin ?? 0), (spanMargin ?? 0));
                sp.DeltaMargin = deltaMargin;
                sp.WorstCastClientPayable = margin;
                resultMap[sp.TradeId] = sp;
            }


            //买入宽跨式（跨式）期权组合
            var StraddleTradeIds = req.tradeList.Where(O => (O.StructureType ?? O.TradeType).Contains("跨式")).Select(O => O.id);
            var StraddleResultDict = tradeRiskResult.Results.Where(O => StraddleTradeIds.Contains(O.Trade.id)).GroupBy(O => O.Trade.ParentTradeId).ToDictionary(K => K.Key, V => V.ToList());
            foreach (var straddle in StraddleResultDict)
            {
                //获取多个腿的 deltaInitialMargin
                var deltaInitialMargin = straddle.Value.Where(l => l.Trade.BuySell == "买入").ToDictionary(k => k.Trade.id, O => O.ValueResult.Delta * req.PriceProvider.GetPrice(O.Trade.UnderlyingCode) * GetUnderlyingCodeMarginRate(O.ValueResult.UnderlyingCode));
                //获取多个腿的 spanInitialMargin
                var spanInitialMargin = marginCalculation(req, straddle.Value.Where(l => l.Trade.BuySell == "买入").Select(l => l.Trade).ToList()).ToDictionary(k => k.TradeId, v => v.WorstCastClientPayable);
                double margin = 0;
                int selfLegTradeId = 0;
                deltaInitialMargin.ToList().Union(spanInitialMargin.ToList()).ToList().ForEach(x =>
                {
                    if (margin < x.Value)
                    {
                        margin = x.Value ?? 0;
                        selfLegTradeId = x.Key;
                    }
                });
                //另外一条腿的权利金总额
                var straddleCalcReq = _helper.GetCalculateRisksForTradesReq(
                  req.PriceProvider,
                  null,
                  null,
                  Qdp.Pricing.Base.Implementations.PricingRequest.Pv);
                straddleCalcReq.tradeList = new List<trade> { straddle.Value.Where(l => l.Trade.id != selfLegTradeId).Select(l => l.Trade).FirstOrDefault() };
                var straddleRusult = CalculatorHelper.CalculateRisksForTrades(straddleCalcReq);
                var t = straddleRusult.Results.FirstOrDefault().Trade;
                double? otherLegAmount = t.BuySell == "买入" ? Math.Abs(t.TradePrice ?? 0) : 0;
                var partialNotionalRate = t.Notional / t.OriginalNotional;
                for (int i = 0; i < straddle.Value.Count; i++)
                {
                    if (straddle.Value[i].Trade.id == selfLegTradeId)
                    {
                        var sp = _helper.CreateTradeSpan(straddle.Value[i].Trade).SetAllSpvAndWorst(margin);
                        sp.SetWorstCastClientPayable();
                        resultMap[straddle.Value[i].Trade.id] = sp;
                    }
                    else
                    {
                        var sp = _helper.CreateTradeSpan(straddle.Value[i].Trade).SetAllSpvAndWorst((otherLegAmount ?? 0) * (partialNotionalRate ?? 0));
                        sp.SetWorstCastClientPayable();
                        resultMap[straddle.Value[i].Trade.id] = sp;
                    }
                }
            }
            //其它奇异期权 持仓预付金：用span算
            var ExoticOptionsList = req.tradeList.Where(O => !resultMap.Keys.Contains(O.id) && O.TradeType != "收益互换" && (O.ParentTradeId == 0 || O.IsGroup == 2) && !O.TradeType.Contains("香草") && !O.TradeType.Contains("亚式"));

            //牛市价差、熊市价差期权
            var NiuxiongTradeIds = req.tradeList.Where(O => ((O.StructureType ?? O.TradeType).Contains("牛市") || (O.StructureType ?? O.TradeType).Contains("熊市"))).Select(O => O.id);
            var NiuxiongResultDict = tradeRiskResult.Results.Where(O => NiuxiongTradeIds.Contains(O.Trade.id)).GroupBy(O => O.Trade.ParentTradeId).ToDictionary(K => K.Key, V => V.ToList());
            foreach (var buyNiuxiong in NiuxiongResultDict)
            {
                var margin = buyNiuxiong.Value.Max(O => Math.Max(Math.Abs(O.ValueResult.Delta) / O.Trade.Notional, 0.5) * req.PriceProvider.GetPrice(O.Trade.UnderlyingCode) * O.Trade.Notional * GetUnderlyingCodeMarginRate(O.Underlyings.Select(l => l.UnderlyingCode).FirstOrDefault())) * 0.5;
                for (int i = 0; i < buyNiuxiong.Value.Count; i++)
                {
                    if (buyNiuxiong.Value[i].Trade.BuySell == "买入")
                    {
                        var sp = _helper.CreateTradeSpan(buyNiuxiong.Value[i].Trade).SetAllSpvAndWorst(margin ?? 0);
                        sp.SetWorstCastClientPayable();
                        resultMap[buyNiuxiong.Value[i].Trade.id] = sp;
                    }
                    else
                    {
                        var sp = _helper.CreateTradeSpan(buyNiuxiong.Value[i].Trade).SetAllSpvAndWorst(0);
                        sp.SetWorstCastClientPayable();
                        resultMap[buyNiuxiong.Value[i].Trade.id] = sp;
                    }
                }
            }
            //除了宽跨式（跨式）期权、牛熊市价差期权以外的其他组合期权
            var OtherTradeList = req.tradeList.Where(O => (O.ParentTradeId > 0 && O.IsGroup == 0) && !(O.StructureType ?? O.TradeType).Contains("牛市") && !(O.StructureType ?? O.TradeType).Contains("熊市") && !(O.StructureType ?? O.TradeType).Contains("跨式")).ToList();

            var tradeList = ExoticOptionsList.Union(OtherTradeList).ToList();
            if (tradeList.Count > 0)
            {
                var resultspan = marginCalculation(req, tradeList);
                foreach (var i in resultspan)
                {
                    if (resultMap.ContainsKey(i.TradeId))
                    {
                        resultMap[i.TradeId] = i;
                    }
                    else
                    {
                        resultMap.Add(i.TradeId, i);
                    }
                }
            }
            return resultMap.Values.ToList();
        }

        /// <summary>
        /// 获取标的现价
        /// </summary>
        /// <param name="underlyingCode"></param>
        /// <param name="CurUser"></param>
        /// <param name="tradeDate"></param>
        /// <returns></returns>
        public static double GetUnderlyingPrice(RunMarginCalculationReq req, string underlyingCode, DateTime tradeDate, SettlementTypeEnum typeEnum = SettlementTypeEnum.SettlePrice)
        {
            double price = 0;

            var udm = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
            if (udm != null)
            {
                var priceProvider = new EodPriceProvider(tradeDate).GetPriceProvider(typeEnum);
                price = priceProvider.GetPrice(underlyingCode);
            }

            return price;
        }
        public List<trade_span> calcInitialMargin(RunMarginCalculationReq req)
        {
            var resultMap = new Dictionary<int, trade_span>();
            if (req.tradeList == null || !req.tradeList.Any())
            {
                return new List<trade_span>();
            }

            var tradeSpanList = new List<trade_span>();
            var _helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
            _helper.GetUpDownLimitPrices(out var upPrices, out var downPrices);
            _helper.GetUpDownVolRateDic(out var upVolRateDic, out _);

            //收益互换交易单独计算trade_span
            var swap = req.tradeList.Where(O => O.TradeType == "收益互换");
            tradeBLL.SetFieldsByTradeType(swap);
            foreach (var item in swap)
            {
                var margin = 0d;
                var un = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode);
                if (un != null)
                {
                    margin = (double)(item.StockEqvNotional * (item.trade_swap?.GetMarginRate ?? 0));
                }
                var sp = _helper.CreateTradeSpan(item).SetAllSpvAndWorst(margin);
                sp.SetWorstCastClientPayable();
                resultMap[sp.TradeId] = sp;
            }
            //远期计算span
            if (req.tradeList.Any(t => t.TradeType == "远期"))
            {
                var forwardTradeList = req.tradeList.Where(t => t.TradeType == "远期").ToList();
                foreach (var t in forwardTradeList)
                {
                    double? marginRate2 = 0;
                    if (!string.IsNullOrEmpty(t.BasisUnderlyingCode))
                    {
                        marginRate2 = GetUnderlyingCodeMarginRate(t.BasisUnderlyingCode);
                    }
                    double? marginRate1 = GetUnderlyingCodeMarginRate(t.UnderlyingCode);
                    var margin = t.OriginalNotional * (t.SpotPrice ?? 0) * (marginRate1 > marginRate2 ? marginRate1 : marginRate2);
                    var sp = _helper.CreateTradeSpan(t).SetAllSpvAndWorst(margin ?? 0);
                    sp.SetWorstCastClientPayable();
                    resultMap[sp.TradeId] = sp;
                }
            }


            var allList = req.tradeList.Where(O => !resultMap.Keys.Contains(O.id) && O.TradeType != "收益互换" && O.TradeType != "远期");
            var calcReq =
               _helper.GetCalculateRisksForTradesReq(
                   req.PriceProvider,
                   null,
                   null,
                   Qdp.Pricing.Base.Implementations.PricingRequest.Delta);
            calcReq.tradeList = allList;
            var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);

            var sellList = tradeRiskResult.Results.Where(O => (O.Trade.CalcId == null || (O.Trade.CalcId != null && !O.Trade.CalcId.Contains("-"))) && O.Trade.IsGroup == 0 && (O.Trade.TradeType.Contains("香草") || O.Trade.TradeType.Contains("亚式")) && O.Trade.BuySell == "卖出");
            foreach (var item in sellList)
            {
                var sp = _helper.CreateTradeSpan(item.Trade).SetAllSpvAndWorst(0);
                sp.SetWorstCastClientPayable();
                resultMap[sp.TradeId] = sp;
            }

            //1、买入香草和亚式期权 初始预付金：基于delta算法，max（期权的总Delta *期初价格*交易所预付金比例，0）
            var VanillaOrAsianList = tradeRiskResult.Results.Where(O => (O.Trade.CalcId == null || (O.Trade.CalcId != null && !O.Trade.CalcId.Contains("-"))) && !resultMap.Keys.Contains(O.Trade.id) && (O.Trade.TradeType.Contains("香草") || O.Trade.TradeType.Contains("亚式")) && O.Trade.BuySell == "买入");
            foreach (var item in VanillaOrAsianList)
            {
                var deltaMargin = item.ValueResult.Delta * item.Trade.SpotPrice * GetUnderlyingCodeMarginRate(item.Trade.UnderlyingCode);
                var sp = marginCalculation(req, new List<trade> { item.Trade }).First();
                var spanMargin = sp.WorstCastClientPayable;
                deltaMargin = deltaMargin > 0 ? deltaMargin : 0;
                var margin = Math.Max((deltaMargin ?? 0), (spanMargin ?? 0));
                sp.DeltaMargin = deltaMargin;
                sp.WorstCastClientPayable = margin;
                resultMap[sp.TradeId] = sp;
            }


            //买入宽跨式（跨式）期权组合
            var StraddleTradeIds = req.tradeList.Where(O => (O.StructureType ?? O.TradeType).Contains("跨式")).Select(O => O.id);
            var StraddleResultDict = tradeRiskResult.Results.Where(O => StraddleTradeIds.Contains(O.Trade.id)).GroupBy(O => O.Trade.ParentTradeId).ToDictionary(K => K.Key, V => V.ToList());
            foreach (var item in StraddleResultDict)
            {
                //获取多个腿的 deltaInitialMargin
                var deltaInitialMargin = item.Value.Where(l => l.Trade.BuySell == "买入").ToDictionary(k => k.Trade.id, O => O.ValueResult.Delta * O.ValueResult.SpotPrice * GetUnderlyingCodeMarginRate(O.ValueResult.UnderlyingCode));
                //获取多个腿的 spanInitialMargin
                var spanInitialMargin = marginCalculation(req, item.Value.Where(l => l.Trade.BuySell == "买入").Select(l => l.Trade).ToList()).ToDictionary(k => k.TradeId, v => v.WorstCastClientPayable);
                double margin = 0;
                int selfLegTradeId = 0;
                deltaInitialMargin.ToList().Union(spanInitialMargin.ToList()).ToList().ForEach(x =>
                {
                    if (margin < x.Value)
                    {
                        margin = x.Value ?? 0;
                        selfLegTradeId = x.Key;

                    }
                });
                if (item.Value.Where(l => l.Trade.id != selfLegTradeId).Select(l => l.Trade).FirstOrDefault() != null)
                {
                    var straddleCalcReq = _helper.GetCalculateRisksForTradesReq(
                     req.PriceProvider,
                     null,
                     null,
                     Qdp.Pricing.Base.Implementations.PricingRequest.Pv);
                    straddleCalcReq.tradeList = new List<trade> { item.Value.Where(l => l.Trade.id != selfLegTradeId).Select(l => l.Trade).FirstOrDefault() };
                    var straddleRusult = CalculatorHelper.CalculateRisksForTrades(straddleCalcReq);
                    var t = straddleRusult.Results.FirstOrDefault().Trade;
                    double? otherLegAmount = t.BuySell == "买入" ? Math.Abs(t.TradePrice ?? 0) : 0;
                    for (int i = 0; i < item.Value.Count; i++)
                    {
                        if (item.Value[i].Trade.id == selfLegTradeId)
                        {
                            var sp = _helper.CreateTradeSpan(item.Value[i].Trade).SetAllSpvAndWorst(margin);
                            sp.SetWorstCastClientPayable();
                            resultMap[item.Value[i].Trade.id] = sp;
                        }
                        else
                        {
                            var sp = _helper.CreateTradeSpan(item.Value[i].Trade).SetAllSpvAndWorst((otherLegAmount ?? 0));
                            sp.SetWorstCastClientPayable();
                            resultMap[item.Value[i].Trade.id] = sp;
                        }
                    }
                }
                else
                {
                    for (int i = 0; i < item.Value.Count; i++)
                    {
                        if (item.Value[i].Trade.id == selfLegTradeId)
                        {
                            var sp = _helper.CreateTradeSpan(item.Value[i].Trade).SetAllSpvAndWorst(margin);
                            sp.SetWorstCastClientPayable();
                            resultMap[item.Value[i].Trade.id] = sp;
                        }
                    }
                }
            }
            //其它奇异期权 初始预付金：用span算
            var ExoticOptionsList = req.tradeList.Where(O => !(O.CalcId ?? "").Contains("-") && !resultMap.Keys.Contains(O.id) && O.TradeType != "收益互换" && O.TradeType != "远期" && !O.TradeType.Contains("香草") && !O.TradeType.Contains("亚式") && O.BuySell == "买入");

            //牛市价差、熊市价差期权
            var NiuxiongTradeIds = req.tradeList.Where(O => ((O.StructureType ?? O.TradeType).Contains("牛市") || (O.StructureType ?? O.TradeType).Contains("熊市"))).Select(l => l.id);
            var NiuxiongResultDict = tradeRiskResult.Results.Where(O => NiuxiongTradeIds.Contains(O.Trade.id)).GroupBy(O => O.Trade.ParentTradeId).ToDictionary(K => K.Key, V => V.ToList());
            foreach (var buyNiuxiong in NiuxiongResultDict)
            {
                var margin = buyNiuxiong.Value.Max(O => Math.Max((Math.Abs(O.ValueResult.Delta) / O.Trade.OriginalNotional ?? 0), 0.5) * O.Trade.SpotPrice * O.Trade.OriginalNotional * GetUnderlyingCodeMarginRate(O.Trade.UnderlyingCode)) * 0.5;
                for (int i = 0; i < buyNiuxiong.Value.Count; i++)
                {
                    if (buyNiuxiong.Value[i].Trade.BuySell == "买入")
                    {
                        var sp = _helper.CreateTradeSpan(buyNiuxiong.Value[i].Trade).SetAllSpvAndWorst(margin ?? 0);
                        sp.SetWorstCastClientPayable();
                        resultMap[buyNiuxiong.Value[i].Trade.id] = sp;
                    }
                    else
                    {
                        var sp = _helper.CreateTradeSpan(buyNiuxiong.Value[i].Trade).SetAllSpvAndWorst(0);
                        sp.SetWorstCastClientPayable();
                        resultMap[buyNiuxiong.Value[i].Trade.id] = sp;
                    }
                }
            }
            //除了宽跨式（跨式）期权、牛熊市价差期权以外的其他组合期权
            var OtherTradeList = req.tradeList.Where(O => (O.CalcId ?? "").Contains("-") && !(O.StructureType ?? O.TradeType).Contains("牛市") && !(O.StructureType ?? O.TradeType).Contains("熊市") && !(O.StructureType ?? O.TradeType).Contains("跨式"));

            var tradeList = ExoticOptionsList.Union(OtherTradeList).ToList();
            if (tradeList.Count > 0)
            {
                var resultspan = marginCalculation(req, tradeList);
                foreach (var i in resultspan)
                {
                    if (resultMap.ContainsKey(i.TradeId))
                    {
                        resultMap[i.TradeId] = i;
                    }
                    else
                    {
                        resultMap.Add(i.TradeId, i);
                    }
                }
            }

            return resultMap.Values.ToList();
        }

        /// <summary>
        /// 获取预付金比率
        /// </summary>
        /// <param name="UnderlyingCode"></param>
        /// <returns></returns>
        public double? GetUnderlyingCodeMarginRate(string UnderlyingCode)
        {
            double? MarginRate = 0;
            var un = DataCacheProvider.GetUnderlyingDataSource().GetData(UnderlyingCode);
            if (un != null)
            {
                MarginRate = DataCacheProvider.GetUnderlyingDataSource().GetData(UnderlyingCode).MarginRate ?? DataCacheProvider.GetVarietyDataSource().GetData(UnderlyingCode).Margin;
            }

            return MarginRate;
        }
        public List<trade_span> marginCalculation(RunMarginCalculationReq req, List<trade> trades)
        {
            var thisReq = req.Clone();
            var helper = new RunMarginCalculationHelper(thisReq, _underlyingDataProvider);
            var resultMap = new Dictionary<int, trade_span>();
            if (trades != null && trades.Any())
            {
                //处理香草，亚式，跨式 
                thisReq.tradeList = trades;
            }
            helper.SetFieldsByTradeType();
            helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
            helper.GetTradVolRateDic(out var tradeVolRateDic);

            var vols = new[] { null, tradeVolRateDic };
            var prices = new (string key, IPriceProvider priceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices), ("normal", thisReq.PriceProvider) };
            var loops = prices.SelectMany(n => vols.Select(m => new
            {
                pricekey = n.key,
                priceProvider = n.priceProvider,
                addVolRateDic = m
            })).ToArray();
            var uProvider = new UnderlyingDataProvider();

            foreach (var loop in loops)
            {
                var calcReq = helper.GetCalculateRisksForTradesReq(priceProvider: loop.priceProvider, addVolRateDic: loop.addVolRateDic, overrideVols: null, pricingRequest: QdpPricingRequest.BASIC_PRICING);

                var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
                if (tradeRiskResult.Results == null || tradeRiskResult.Results.Count < 1)
                {
                    continue;
                }
                var key = $"{loop.pricekey}_{(loop.addVolRateDic == null ? 0 : 1)}";
                if (key == "normal_1") continue;

                foreach (var item in tradeRiskResult.Results)
                {
                    if ((item.Trade.TradeType == "远期" || item.Trade.TradeType == "收益互换"))
                    {
                        continue;
                    }
                    var pv = item.ValueResult.Pv;
                    if (!helper.GetSpecialMargin(item.Trade, pv, out var value, helper.req.forOtherSide))
                    {
                        var clientRatio = helper.GetClient(item.Trade)?.Ratio ?? 1.0;
                        value = double.IsNaN(pv) ? 0 : pv * clientRatio;
                    }

                    var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);

                    if (!contains)
                    {
                        resultMap[item.Trade.id] = tempTradeSpan = helper.CreateTradeSpan(item.Trade);
                    }

                    switch (key)
                    {
                        case "up_0":
                            tempTradeSpan.Spv1 = value; break;
                        case "up_1":
                            tempTradeSpan.Spv2 = value; break;
                        case "normal_0":
                            if (!(item.Trade.StructureType ?? item.Trade.TradeType).Contains("跨式"))
                            {

                                var um = uProvider.GetUnderlying(item.Trade.UnderlyingCode);
                                var variety = uProvider.GetVariety(item.Trade.UnderlyingCode);
                                var marginRate = ((um?.MarginRate ?? 0) > 0 ? um.MarginRate : variety?.Margin) ?? 0;
                                double deltaCash = 0;
                                if ((item.Trade.BuySell == "买入" && item.Trade.OptionType == "看涨") || (item.Trade.BuySell == "卖出" && item.Trade.OptionType == "看跌"))
                                {
                                    deltaCash = Math.Abs(item.ValueResult.DeltaCash);
                                }
                                else
                                {
                                    deltaCash = -Math.Abs(item.ValueResult.DeltaCash);
                                }
                                value = deltaCash * marginRate;
                                tempTradeSpan.DeltaMargin = value;
                                tempTradeSpan.PositionWinLoss = EodOperationBase.GetPositionPnl(item.ValueResult.Pv, item.Trade.TradePrice ?? 0.0, item.Trade.Notional, item.Trade.OriginalNotional ?? 0, item.Trade.BuySell);
                            }
                            break;
                        case "down_0":
                            tempTradeSpan.Spv3 = value; break;
                        case "down_1":
                            tempTradeSpan.Spv4 = value; break;
                    }

                    if (contains)
                    {
                        tempTradeSpan.SetWorstCastClientPayable();

                        if (tempTradeSpan.WorstCastClientPayable > 0)
                        {
                            tempTradeSpan.WorstCastClientPayable = Math.Max(tempTradeSpan.WorstCastClientPayable.Value, Math.Abs(tempTradeSpan.DeltaMargin ?? 0) + (tempTradeSpan.PositionWinLoss ?? 0));
                        }
                        else
                        {
                            tempTradeSpan.WorstCastClientPayable = 0;
                        }
                    }
                }
            }

            return resultMap.Values.ToList();
        }

        public override List<trade_span> CalcClientMargin(CalcClientMarginReq req)
        {
            var clientSpanNews = new List<ClientSpan>();
            using (var db = new YLContext())
            {
                var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
                var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();

                //获取收盘日那天对应的预付金模板
                var tradeTemplates = db.trade_margin_template.AsNoTracking().Where(t => tradeIds.Contains(t.TradeId) && t.ValueDate <= req.settleDate);
                var groupQuery = from tt in tradeTemplates
                                 group tt by tt.TradeId into tts
                                 select new
                                 {
                                     TradeId = tts.Key,
                                     ValueDate = tts.Max(n => n.ValueDate)
                                 };
                var groupTemplates = from gq in groupQuery
                                     join tt in tradeTemplates
                                     on new { gq.TradeId, gq.ValueDate } equals new { tt.TradeId, tt.ValueDate }
                                     select tt;

                var tradeSpanInfo = (from tradeSpan in req.tradeSpans
                                     join trade in tradeList on tradeSpan.TradeId equals trade.id
                                     join tradetemplate in groupTemplates on tradeSpan.TradeId equals tradetemplate.TradeId into templates
                                     from tradetemplate in templates.DefaultIfEmpty()
                                     where tradeSpan.ValueDate == req.settleDate
                                     select new { trade, tradeSpan, tradetemplate }).ToList();

                if (req.tradeSpans != null && req.tradeSpans.Count > 0)
                {
                    var spans = req.tradeSpansOtherSide != null
                        ? req.tradeSpansOtherSide.Where(n => n != null).ToArray() : Enumerable.Empty<trade_span>();
                    var tradeSpanInfoOtherSide = (from tradeSpan in spans
                                                  join trade in tradeList on tradeSpan.TradeId equals trade.id
                                                  where tradeSpan.ValueDate == req.settleDate
                                                  select new { trade, tradeSpan }).ToList();

                    var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
                    foreach (var clientGroup in clientGroups)
                    {
                        var underlyingGroup = clientGroup.Where(O => O.trade.MarginType == DBModels.Enums.MarginTypeEnum.DEFAULT).GroupBy(t => t.trade.UnderlyingId).Select(t => new ClientSpan
                        {
                            UnderlyingId = t.Key,
                            ClientId = clientGroup.Key,
                            ValueDate = req.settleDate,
                            Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
                            Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
                            Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
                            Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
                            DeltaMargin = t.Sum(g => g.tradeSpan.DeltaMargin) * (-1),
                            PositionWinLoss = t.Sum(g => g.tradeSpan.PositionWinLoss) * (-1),
                            OptId = req.userId,
                            OptName = req.userName,
                            OptDate = DateTime.Now,
                            SpanType = req.SpanType
                        }).ToList();

                        foreach (var item in underlyingGroup)
                        {
                            var tradeSpanIds = clientGroup.Where(O => O.trade.MarginType == DBModels.Enums.MarginTypeEnum.DEFAULT).Select(x => x.tradeSpan.id);
                            var tradeSpansUpdate = db.trade_span.Where(x => tradeSpanIds.Contains(x.id) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
                            var tradeSpansReq = req.tradeSpans.Where(x => tradeSpanIds.Contains(x.id) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();

                            var minSpv = Math.Min(Math.Min(Math.Min(item.Spv1 ?? 0, item.Spv2 ?? 0), item.Spv3 ?? 0), item.Spv4 ?? 0);
                            if (minSpv < 0)
                            {
                                item.WorstCastClientPayable = Math.Max(Math.Abs(minSpv), Math.Abs(item.DeltaMargin ?? 0) - (item.PositionWinLoss ?? 0)) * (-1);
                                item.TwoSideMargin = item.WorstCastClientPayable;

                                if (Math.Abs(minSpv) > Math.Abs(item.DeltaMargin ?? 0) - (item.PositionWinLoss ?? 0))
                                {
                                    //更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
                                    if (item.WorstCastClientPayable == item.Spv1)
                                    {
                                        tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
                                        tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
                                    }
                                    else if (item.WorstCastClientPayable == item.Spv2)
                                    {
                                        tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
                                        tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
                                    }
                                    else if (item.WorstCastClientPayable == item.Spv3)
                                    {
                                        tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
                                        tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
                                    }
                                    else if (item.WorstCastClientPayable == item.Spv4)
                                    {
                                        tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
                                        tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
                                    }
                                }
                                else
                                {
                                    tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.DeltaMargin);
                                    tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.DeltaMargin);
                                }
                            }
                            else
                            {
                                item.WorstCastClientPayable = 0;
                                item.TwoSideMargin = 0;

                                tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = 0);
                                tradeSpansReq.ForEach(x => x.WorstCastClientPayable = 0);
                            }
                        }

                        var clientSpan = new ClientSpan
                        {
                            ClientId = clientGroup.Key,
                            ValueDate = req.settleDate,
                            Spv1 = underlyingGroup.Sum(g => g.Spv1),
                            Spv2 = underlyingGroup.Sum(g => g.Spv2),
                            Spv3 = underlyingGroup.Sum(g => g.Spv3),
                            Spv4 = underlyingGroup.Sum(g => g.Spv4),
                            DeltaMargin = underlyingGroup.Sum(g => g.DeltaMargin),
                            //负数代表客户应缴预付金，正数代表客户应收预付金
                            WorstCastClientPayable = underlyingGroup.Sum(g => g.WorstCastClientPayable),
                            MySideMargin = underlyingGroup.Sum(g => g.WorstCastClientPayable),
                            TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
                            OptId = req.userId,
                            OptName = req.userName,
                            OptDate = DateTime.Now,
                            SpanType = req.SpanType,
                            AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null && req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key, out var dd) ? dd : 0
                        };
                        //单笔预付金算法的交易不参与品种轧差;
                        var singleMarginTrade = clientGroup.Where(O => O.trade.MarginType != DBModels.Enums.MarginTypeEnum.DEFAULT).Select(O => O.tradeSpan);
                        clientSpan.Spv1 += singleMarginTrade.Sum(O => O.Spv1 * (-1));
                        clientSpan.Spv2 += singleMarginTrade.Sum(O => O.Spv2 * (-1));
                        clientSpan.Spv3 += singleMarginTrade.Sum(O => O.Spv3 * (-1));
                        clientSpan.Spv4 += singleMarginTrade.Sum(O => O.Spv4 * (-1));
                        clientSpan.DeltaMargin += singleMarginTrade.Sum(O => O.DeltaMargin * (-1));
                        clientSpan.WorstCastClientPayable += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
                        clientSpan.MySideMargin += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
                        clientSpan.TwoSideMargin += singleMarginTrade.Sum(O => O.TwoSideMargin);
                        clientSpan.MySideMargin = Math.Min(clientSpan.MySideMargin ?? 0, 0);

                        //交易员不支付预付金
                        clientSpan.WorstCastClientPayable = Math.Min(clientSpan.WorstCastClientPayable ?? 0, 0);

                        clientSpanNews.Add(clientSpan);
                    }
                }

                //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)
                         .Select(n => new { n.ValueDate, n.ClientId }).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;
            }
        }

        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.realTradeId).ToList();
                }

                var marginReq = req.GetRunMarginCalculationReq();
                if (req.trade.IsGroup == 1)
                {
                    marginReq.tradeList = db.trade.Where(x => x.ParentTradeId == req.realTradeId).ToList();
                }
                var tradeMargin = RunMarginCalculation(marginReq);
                if (null != tradeMargin)
                {
                    var margin = req.trade.IsGroup == 1 ? tradeMargin.Sum(x => x.WorstCastClientPayable ?? 0) : (tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0);
                    return margin;
                }
                return 0.0;
            }
        }
    }
}