using YLErp.BLL;
using YLErp.BLL.Calculation;
using YLErp.BLL.Calculation.V2;
using YLErp.BLL.Calculation.V2.Parameter;
using YLErp.Commons;
using YLErp.Model;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.ClientModule;
using YLErp.Modules.VolatilityModule;
using YLErp.QdpModule;

namespace YLErp.Modules.TQuoteModule
{
    /// <summary>
    /// 
    /// </summary>
    public class TQuoteService : YLBaseService
    {
        public TQuoteService(OptUserInfo optUser) : base(optUser)
        {
        }

        public TQuoteResult TQuoteWithCustomizedVol(TQuoteWithCustomizedVolRequest request)
        {
            if (request == null || request.Records == null)
            {
                return new TQuoteResult();
            }

            var valueDate = CalculatorHelper.RealtimeQuoteValueDate();
            var valueDateStr = valueDate.ToString("yyyy-MM-dd");

            underlying_manager underlying = null;
            Variety variety = null;
            using (var db = new YLContext())
            {
                underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(request.UnderlyingCode);
                variety = db.variety.FirstOrDefault(x => x.VarietyCode != null && x.id == underlying.UnderlyingTypeId);
            }

            if (underlying == null)
            {
                return new TQuoteResult();
            }

            var qdpMarketId = Guid.NewGuid().ToString();
            var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(qdpMarketId);

            //使用全局的DiscountCurve以提高计算效率
            var discountCurveName = Guid.NewGuid().ToString();
            var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, valuedateBLL.RiskFreeRate / 100.0);
            marketProxy.AddYieldCurve(discountCurveName, valueDateStr, discountCurve);

            var tQuoteResult = new TQuoteResult
            {
                quotaList = new List<TQuoteRecord>()
            };

            //根据用户设置的bid/ask天数调整规则来分别调整到期日
            //TODO: bidMaturityShift和askMaturityShift应该从某数据库表读取
            var bidMaturityShift = 0;
            var askMaturityShift = 0;
            var otherInfo = "";
            var client_param = ClientPricingParamService.GetPricingParam(valueDate.Date, Convert.ToDateTime(request.MaturityDate).Date);
            if (client_param != null)
            {
                askMaturityShift = client_param.ask_tuning_day ?? 0;
                bidMaturityShift = client_param.bid_tuning_day ?? 0;
                otherInfo = client_param.ToJson();//$"ask到期日偏离{askMaturityShift}天,bid到期日偏离{bidMaturityShift}天";
            }

            var dayCount = CalculatorHelper.GetTradeDayCount();
            var bidMaturityDate = QdpCalendarHelper.ShiftDate(request.MaturityDate, dayCount, bidMaturityShift);
            var askMaturityDate = QdpCalendarHelper.ShiftDate(request.MaturityDate, dayCount, askMaturityShift);
            var hasNightMarket = (variety?.HasNightMarket) ?? false;

            var trade = new trade()
            {
                TradeType = "香草期权",
                TradeDate = valueDate,
                MaturityDate = DateTime.Parse(bidMaturityDate),
                ExerciseDate = DateTime.Parse(bidMaturityDate),
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                Notional = 1,
                UnderlyingCode = request.UnderlyingCode,
                UnderlyingInstrumentType = underlying.UnderlyingInstrumentType
            };

            var parameter = new VanillaOptionParameter()
            {
                ValueDate = valueDate,
                DiscountCurveName = discountCurveName,
                SpotPrices = new Dictionary<string, double> { { underlying.UnderlyingCode, request.SpotPrice } },
                HasNightMarket = hasNightMarket,
                PreciseTimeMode = true
            };

            foreach (var record in request.Records)
            {
                trade.OptionType = "看涨";
                trade.Strike = record.Strike;
                parameter.Volatility = record.CallBidVol;
                var callBidResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

                trade.OptionType = "看跌";
                trade.Strike = record.Strike;
                parameter.Volatility = record.PutBidVol;
                var putBidResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

                trade.OptionType = "看涨";
                trade.Strike = record.Strike;
                parameter.Volatility = record.CallAskVol;
                var callAskResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

                trade.OptionType = "看跌";
                trade.Strike = record.Strike;
                parameter.Volatility = record.PutAskVol;
                var putAskResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

                tQuoteResult.quotaList.Add(new TQuoteRecord()
                {
                    Strike = record.Strike,
                    CallBidPrice = callBidResult.Pv,
                    CallBidPricePercent = underlying.Price.HasValue ? callBidResult.Pv / underlying.Price.Value : 0.0,
                    CallBidVol = callBidResult.Vol,

                    PutBidPrice = putBidResult.Pv,
                    PutBidPricePercent = underlying.Price.HasValue ? putBidResult.Pv / underlying.Price.Value : 0.0,
                    PutBidVol = putBidResult.Vol,

                    CallAskPrice = callAskResult.Pv,
                    CallAskPricePercent = underlying.Price.HasValue ? callAskResult.Pv / underlying.Price.Value : 0.0,
                    CallAskVol = callAskResult.Vol,

                    PutAskPrice = putAskResult.Pv,
                    PutAskPricePercent = underlying.Price.HasValue ? putAskResult.Pv / underlying.Price.Value : 0.0,
                    PutAskVol = putAskResult.Vol,
                });
            }

            QdpMarketManager.Instance.RemovePrebuiltMarketProxy(qdpMarketId);
            return tQuoteResult;
        }

        public TQuoteResult Execute(TQuoteRequest quoteRequest, string userGroup = "")
        {
            try
            {
                var valueDate = CalculatorHelper.RealtimeQuoteValueDate();

                if (quoteRequest.maturityDate < valueDate)
                {
                    return new TQuoteResult() { Info = "到期日小于估值日", StatusCode = -1 };
                }

                var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(quoteRequest.underlyingCode);

                if (underlying == null)
                {
                    return null;
                }

                var valueDateStr = valueDate.ToString("yyyy-MM-dd");
                var actualStrikeInteranl = quoteRequest.strikeInterval ?? 100;
                var actualStrikeAccount = quoteRequest.strikeCount ?? 11;

                Variety variety = null;

                if (underlying != null)
                {
                    variety = DataCacheProvider.GetVarietyDataSource().GetData(underlying.UnderlyingTypeId);

                    if (!quoteRequest.strikeInterval.HasValue)
                    {
                        using (var db = DbContextFactory.GetYLDbContext())
                        {
                            var contract = db.underlying_main_contract.FirstOrDefault(x => x.UnderlyingType == underlying.UnderlyingType);
                            if (contract != null && contract.StrikeInterval.HasValue)
                            {
                                actualStrikeInteranl = contract.StrikeInterval.Value;
                            }
                        }
                    }
                }

                if (quoteRequest.spotPrice.HasValue)
                {
                    underlying.Price = quoteRequest.spotPrice;
                }

                if (underlying?.Price == null || underlying.Price < 0.0001)
                {
                    return new TQuoteResult() { Info = "价格无效", StatusCode = -1 };
                }

                underlying.QuotationDate = valueDate;

                var hasNightMarket = (variety?.HasNightMarket) ?? false;
                var strikes = GetStrikes(underlying.Price ?? 0, actualStrikeInteranl, actualStrikeAccount);

                //根据用户设置的bid/ask天数调整规则来分别调整到期日
                //TODO: bidMaturityShift和askMaturityShift应该从某数据库表读取

                var bidMaturityShift = 0;
                var askMaturityShift = 0;
                var otherInfo = "";
                var client_param = ClientPricingParamService.GetPricingParam(valueDate.Date, quoteRequest.maturityDate);
                if (client_param != null)
                {
                    askMaturityShift = client_param.ask_tuning_day ?? 0;
                    bidMaturityShift = client_param.bid_tuning_day ?? 0;
                    otherInfo = client_param.ToJson(); // $"ask到期日偏离{askMaturityShift}天,bid到期日偏离{bidMaturityShift}天";
                }
                var dayCount = CalculatorHelper.GetTradeDayCount();
                //查询

                var bidMaturityDate = QdpCalendarHelper.ShiftDate(quoteRequest.maturityDate, dayCount, bidMaturityShift).DateTime;
                var askMaturityDate = QdpCalendarHelper.ShiftDate(quoteRequest.maturityDate, dayCount, askMaturityShift).DateTime;

                var qdpMarketId = Guid.NewGuid().ToString();
                var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(qdpMarketId);

                //使用全局的DiscountCurve以提高计算效率
                var discountCurveName = Guid.NewGuid().ToString();
                var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, valuedateBLL.RiskFreeRate / 100.0);
                marketProxy.AddYieldCurve(discountCurveName, valueDateStr, discountCurve);

                trade newTrade(int tradeId, double strike, DateTime exerciseDate, string buySell, string optionType)
                {
                    return new trade
                    {
                        id = tradeId,
                        TradeType = "香草期权",
                        TradeDate = valueDate,
                        ExerciseMode = "European",
                        Notional = 1,
                        BuySell = buySell,
                        OptionType = optionType,
                        Strike = strike,
                        SpotPrice = underlying.Price,
                        UnderlyingCode = quoteRequest.underlyingCode,
                        UnderlyingInstrumentType = underlying.UnderlyingInstrumentType,
                        MaturityDate = exerciseDate,
                        ExerciseDate = exerciseDate,
                    };
                }

                if (PS.Config.ErpElement.SkewMapVolConstruction)
                {
                    var vol = VolatilityHelper.GetVol(DateTime.Today, "交易", underlying.UnderlyingCode, userGroup);
                    var parameter = new VanillaOptionParameter()
                    {
                        ValueDate = valueDate,
                        SpotPrices = new Dictionary<string, double> { { underlying.UnderlyingCode, underlying.Price ?? 0.0 } },
                        DiscountCurveName = discountCurveName,
                        PreciseTimeMode = true,
                        HasNightMarket = hasNightMarket
                    };

                    var tQuoteResult = new TQuoteResult() { OtherInfo = otherInfo };
                    tQuoteResult.quotaList = new List<TQuoteRecord>();

                    foreach (var strike in strikes)
                    {
                        var buyCallTrade = newTrade(0, strike, bidMaturityDate, "买入", "看涨");

                        parameter.Volatility = SkewMapVolHelper.GetInterpolatedVol(
                            volSurface: vol,
                            valueDate: valueDate,
                            underlyingCode: underlying.UnderlyingCode,
                            exerciseDate: bidMaturityDate,
                            strikePrice: strike,
                            isBuy: true,
                            isCall: true,
                            spotPrice: underlying.Price ?? 0);

                        var result = ValueCalculator.CalculateTradeValue(qdpMarketId, buyCallTrade, underlying, parameter);
                        var resultRecord = new TQuoteRecord()
                        {
                            Strike = strike,
                            CallBidPrice = Math.Abs(result.Pv),
                            CallBidPricePercent = underlying.Price.HasValue ? Math.Abs(result.Pv) / underlying.Price.Value : 0.0,
                            CallBidVol = result.Vol,
                        };

                        var buyPutTrade = newTrade(0, strike, bidMaturityDate, "买入", "看跌");

                        parameter.Volatility = SkewMapVolHelper.GetInterpolatedVol(
                            volSurface: vol,
                            valueDate: valueDate,
                            underlyingCode: underlying.UnderlyingCode,
                            exerciseDate: bidMaturityDate,
                            strikePrice: strike,
                            isBuy: true,
                            isCall: false,
                            spotPrice: underlying.Price ?? 0);

                        result = ValueCalculator.CalculateTradeValue(qdpMarketId, buyPutTrade, underlying, parameter);
                        resultRecord.PutBidPrice = Math.Abs(result.Pv);
                        resultRecord.PutBidPricePercent = underlying.Price.HasValue ? Math.Abs(result.Pv) / underlying.Price.Value : 0.0;
                        resultRecord.PutBidVol = result.Vol;

                        var sellCallTrade = newTrade(0, strike, askMaturityDate, "卖出", "看涨");

                        parameter.Volatility = SkewMapVolHelper.GetInterpolatedVol(
                            volSurface: vol,
                            valueDate: valueDate,
                            underlyingCode: underlying.UnderlyingCode,
                            exerciseDate: askMaturityDate,
                            strikePrice: strike,
                            isBuy: false,
                            isCall: true,
                            spotPrice: underlying.Price ?? 0);

                        result = ValueCalculator.CalculateTradeValue(qdpMarketId, sellCallTrade, underlying, parameter);
                        resultRecord.CallAskPrice = Math.Abs(result.Pv);
                        resultRecord.CallAskPricePercent = underlying.Price.HasValue ? Math.Abs(result.Pv) / underlying.Price.Value : 0.0;
                        resultRecord.CallAskVol = result.Vol;

                        var sellPutTrade = newTrade(0, strike, askMaturityDate, "卖出", "看跌");

                        parameter.Volatility = SkewMapVolHelper.GetInterpolatedVol(
                            volSurface: vol,
                            valueDate: valueDate,
                            underlyingCode: underlying.UnderlyingCode,
                            exerciseDate: askMaturityDate,
                            strikePrice: strike,
                            isBuy: false,
                            isCall: false,
                            spotPrice: underlying.Price ?? 0);

                        result = ValueCalculator.CalculateTradeValue(qdpMarketId, sellPutTrade, underlying, parameter);
                        resultRecord.PutAskPrice = Math.Abs(result.Pv);
                        resultRecord.PutAskPricePercent = underlying.Price.HasValue ? Math.Abs(result.Pv) / underlying.Price.Value : 0.0;
                        resultRecord.PutAskVol = result.Vol;

                        tQuoteResult.quotaList.Add(resultRecord);
                    }

                    tQuoteResult.LatestPrice = underlying.Price.Value;
                    if (underlying.PrevClosePrice.HasValue && underlying.PrevClosePrice.Value > 0.0)
                    {
                        tQuoteResult.Change = OtcFormatHelper.FormatValue(underlying.Price.Value - underlying.PrevClosePrice.Value, 2);
                        tQuoteResult.ChangePercent = OtcFormatHelper.FormatValue(tQuoteResult.Change / underlying.PrevClosePrice.Value, 4);
                    }
                    else
                    {
                        tQuoteResult.Change = 0.0;
                        tQuoteResult.ChangePercent = 0.0;
                    }

                    QdpMarketManager.Instance.RemovePrebuiltMarketProxy(qdpMarketId);
                    return tQuoteResult;
                }
                else
                {
                    var buyCallTrades = new List<trade>();
                    var buyPutTrades = new List<trade>();
                    var sellCallTrades = new List<trade>();
                    var sellPutTrades = new List<trade>();
                    var tradeId = 0;
                    foreach (var strike in strikes)
                    {
                        buyCallTrades.Add(newTrade(tradeId, strike, bidMaturityDate, "买入", "看涨"));
                        buyPutTrades.Add(newTrade(tradeId, strike, bidMaturityDate, "买入", "看跌"));
                        sellCallTrades.Add(newTrade(tradeId, strike, askMaturityDate, "卖出", "看涨"));
                        sellPutTrades.Add(newTrade(tradeId, strike, askMaturityDate, "卖出", "看跌"));

                        ++tradeId;
                    }
                    var bidVol = VolatilityHelper.GetVol(DateTime.Today, "报价Bid", underlying.UnderlyingCode, userGroup);
                    var askVol = VolatilityHelper.GetVol(DateTime.Today, "报价Ask", underlying.UnderlyingCode, userGroup);
                    var parameter = new VanillaOptionParameter()
                    {
                        ValueDate = valueDate,
                        DiscountCurveName = discountCurveName,
                        SpotPrices = new Dictionary<string, double>() { { underlying.UnderlyingCode, underlying.Price ?? 0 } },
                        PreciseTimeMode = true,
                        HasNightMarket = hasNightMarket
                    };

                    if (PS.Config.Is润和)
                    {
                        parameter.OverrideTTM = TradeCalcHelper.CalculateTTMDays(valueDate, bidMaturityDate, 0, false);
                    }

                    var callBidResults = ValueCalculator.CalculateOptionsWithSharedVolSurface(
                        qdpMarketId,
                        buyCallTrades,
                        underlying,
                        parameter,
                        bidVol,
                        bidMaturityDate);

                    var putBidResults = ValueCalculator.CalculateOptionsWithSharedVolSurface(
                        qdpMarketId,
                        buyPutTrades,
                        underlying,
                        parameter,
                        bidVol,
                        bidMaturityDate);

                    if (PS.Config.Is润和)
                    {
                        parameter.OverrideTTM = TradeCalcHelper.CalculateTTMDays(valueDate, askMaturityDate, 0, false);
                    }

                    var callAskResults = ValueCalculator.CalculateOptionsWithSharedVolSurface(
                        qdpMarketId,
                        sellCallTrades,
                        underlying,
                        parameter,
                        askVol,
                        askMaturityDate);

                    var putAskResults = ValueCalculator.CalculateOptionsWithSharedVolSurface(
                        qdpMarketId,
                        sellPutTrades,
                        underlying,
                        parameter,
                        askVol,
                        askMaturityDate);

                    var tQuoteResult = new TQuoteResult() { OtherInfo = otherInfo };
                    tQuoteResult.quotaList = new List<TQuoteRecord>();

                    for (var i = 0; i < strikes.Length; ++i)
                    {
                        tQuoteResult.quotaList.Add(new TQuoteRecord()
                        {
                            Strike = strikes[i],
                            CallAskPrice = Math.Abs(callAskResults[i].Pv),
                            CallAskPricePercent = underlying.Price.HasValue ? Math.Abs(callAskResults[i].Pv) / underlying.Price.Value : 0.0,
                            CallAskVol = callAskResults[i].Vol,

                            CallBidPrice = Math.Abs(callBidResults[i].Pv),
                            CallBidPricePercent = underlying.Price.HasValue ? Math.Abs(callBidResults[i].Pv) / underlying.Price.Value : 0.0,
                            CallBidVol = callBidResults[i].Vol,

                            PutAskPrice = Math.Abs(putAskResults[i].Pv),
                            PutAskPricePercent = underlying.Price.HasValue ? Math.Abs(putAskResults[i].Pv) / underlying.Price.Value : 0.0,
                            PutAskVol = putAskResults[i].Vol,

                            PutBidPrice = Math.Abs(putBidResults[i].Pv),
                            PutBidPricePercent = underlying.Price.HasValue ? Math.Abs(putBidResults[i].Pv) / underlying.Price.Value : 0.0,
                            PutBidVol = putBidResults[i].Vol
                        });
                    }

                    tQuoteResult.LatestPrice = underlying.Price.Value;
                    if (underlying.PrevClosePrice.HasValue && underlying.PrevClosePrice.Value > 0.0)
                    {
                        tQuoteResult.Change = OtcFormatHelper.FormatValue(underlying.Price.Value - underlying.PrevClosePrice.Value, 2);
                        tQuoteResult.ChangePercent = OtcFormatHelper.FormatValue(tQuoteResult.Change / underlying.PrevClosePrice.Value, 4);
                    }
                    else
                    {
                        tQuoteResult.Change = 0.0;
                        tQuoteResult.ChangePercent = 0.0;
                    }

                    QdpMarketManager.Instance.RemovePrebuiltMarketProxy(qdpMarketId);
                    return tQuoteResult;
                }
            }
            catch (Exception ex)
            {
                LogFactory.GetLogger().Error("TQuote", ex);
                return new TQuoteResult() { Info = ex.Message, StatusCode = -1 };
            }
        }

        private double[] GetStrikes(double spotPrice, int strikeInterval, int strikeCount = 11, bool isAsc = true)
        {
            // 强制将行权价个数调整为奇数
            if (strikeCount % 2 == 0)
            {
                strikeCount += 1;
            }

            var minInterval = strikeInterval >= 10 ? 10 : strikeInterval;

            if (strikeCount <= 0)
            {
                throw new Exception($"非法的行权价个数{strikeCount}");
            }

            var strikes = new double[strikeCount];
            var midIndex = (strikeCount - 1) / 2;
            strikes[midIndex] = spotPrice;

            var baseStrike = (int)strikes[midIndex];
            var priceDigit = (int)strikes[midIndex] % minInterval;

            //OTC-4700:
            //当报价间隔大于现价的个位数时，才按10位取整。否则，会出现strike序列错误
            //例如AU1812现价269.60，报价间隔3。如果不做以下判断，baseStrike会是260
            //这样会出现257,269.30,263,266这样错误的序列
            if (strikeInterval > priceDigit)
            {
                baseStrike -= priceDigit;
            }

            if (isAsc)
            {
                for (var i = midIndex + 1; i < strikeCount; ++i)
                {
                    strikes[i] = baseStrike + strikeInterval;
                    baseStrike += strikeInterval;
                }
                if (strikeInterval > priceDigit)
                {
                    baseStrike = (int)strikes[midIndex] - priceDigit;
                }
                for (var i = midIndex - 1; i >= 0; --i)
                {
                    strikes[i] = baseStrike - strikeInterval;
                    baseStrike -= strikeInterval;
                }
            }
            else
            {
                for (var i = midIndex - 1; i >= 0; --i)
                {
                    strikes[i] = baseStrike + strikeInterval;
                    baseStrike += strikeInterval;
                }
                if (strikeInterval > priceDigit)
                {
                    baseStrike = (int)strikes[midIndex] - priceDigit;
                }
                for (var i = midIndex + 1; i < strikeCount; ++i)
                {
                    strikes[i] = baseStrike - strikeInterval;
                    baseStrike -= strikeInterval;
                }
            }

            return strikes;
        }
    }
}