zszq-trs/YLErpDAL/Modules/PricingModule/HistoricalBacktestService.cs

using YLErp.Commons;
using YLErp.Enums;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.SystemModule;

namespace YLErp.Modules.PricingModule
{
    public class HistoricalBacktestService : YLBaseService
    {
        public HistoricalBacktestService(OptUserInfo userInfo) : base(userInfo)
        {
        }

        /// <summary>
        /// 结西价格
        /// </summary>
        /// <param name="stream"></param>
        /// <returns></returns>
        public static List<HistoricalBacktestPriceModel> AnalysisPrice(Stream stream)
        {
            List<ExcelHelper.DataColumnModel> dc = new List<ExcelHelper.DataColumnModel>();
            dc.Add(new ExcelHelper.DataColumnModel("代码", nameof(HistoricalBacktestPriceModel.UnderlyingCode)));
            dc.Add(new ExcelHelper.DataColumnModel("日期", nameof(HistoricalBacktestPriceModel.TimeSeries),
                (currentValue, obj) =>
                {
                    DateTime time = default(DateTime);
                    if (!string.IsNullOrWhiteSpace(currentValue?.ToString()) && DateTime.TryParse(currentValue?.ToString(), out time))
                    {
                        return time;
                    }
                    return time;
                }));
            dc.Add(new ExcelHelper.DataColumnModel("最新标的价格", nameof(HistoricalBacktestPriceModel.Price),
                (currentValue, obj) =>
                {
                    double price = double.NaN;
                    if (!string.IsNullOrWhiteSpace(currentValue?.ToString()) && double.TryParse(currentValue?.ToString(), out price))
                    {
                        return price;
                    }
                    return price;
                }));
            var tempList = new ExcelHelper().ExcelToListT<HistoricalBacktestPriceModel>(dc.ToArray(), stream);
            var result = tempList.Aggregate((X, Y) => { X.Value.AddRange(Y.Value); return X; }).Value;
            result.ForEach(O => O.UnderlyingName = DataCacheProvider.GetUnderlyingDataSource().GetData(O.UnderlyingCode)?.UnderlyingName);
            return result;
        }

        private double CalculateTTMDays(DateTime from, DateTime to, int varietyid = 0, SettlementTypeEnum settlementType = SettlementTypeEnum.ClosePrice)
        {
            if (PS.Config.Is润和)
            {
                from = DateTime.Today;
            }
            var ttmDays = 0d;
            if (PS.Config.Is厦门象屿 && settlementType == SettlementTypeEnum.ReferencePrice)
            {
                ttmDays = TradeCalcHelper.CalculateTTMDaysForXiangYu(from, to, varietyid, PS.Config.ErpElement.PrecisionOfMinuteInQuote);
            }
            else
            {
                ttmDays = TradeCalcHelper.CalculateTTMDays(from, to, varietyid, PS.Config.ErpElement.PrecisionOfMinuteInQuote);
            }
            return ttmDays;
        }

        public List<HistoricalBacktestRes> Execute(int templateId, List<HistoricalBacktestPriceModel> priceInfos)
        {
            List<HistoricalBacktestRes> result = new List<HistoricalBacktestRes>();
            var obj = new SysUserConfigService(UserInfo).GetConfigInfos(templateId);
            if (!string.IsNullOrWhiteSpace(obj?.ConfigData))
            {
                List<OtcOptionTradeFull> trades = null;
                try
                {
                    var codes = priceInfos.Select(O => O.UnderlyingCode).ToArray();
                    var data = JsonHelper.DeserializeIgnoreNull<List<VueTemplateModel>>(obj.ConfigData);
                    if (data == null//模板信息为空
                        || data.Any(O => O.datas == null)//模板内容为空
                        || data.Any(O => O.datas.Any(B => B.trade == null))//模板中有为空的交易
                        || !data.Any(O => O.datas.Any(B => codes.Contains(B.trade.UnderlyingCode))))//模板中不包含已上传价格标的的交易;
                    {
                        throw new ServiceException("模板匹配错误");
                    }
                    trades =
                        data.Aggregate(
                            (X, Y) =>
                            {
                                X.datas.AddRange(Y.datas);
                                return X;
                            }).datas.Select(O => O.trade).ToList();
                    var service = new PriceCalcService(UserInfo);
                    foreach (var item in priceInfos)
                    {
                        var r = new HistoricalBacktestRes(item);
                        var calcTrades = trades.Where(O => O.UnderlyingCode == item.UnderlyingCode && O.ExerciseDate >= item.TimeSeries).ToList();
                        if (calcTrades.Count >= 0)
                        {
                            var um = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode);
                            calcTrades.ForEach(O =>
                            {
                                O.UnderlyingPrice = item.Price;
                                O.ValueDate = item.TimeSeries.Date;
                                O.TTMDays = CalculateTTMDays(O.ValueDate.Value, O.ExerciseDate.Value, um.UnderlyingTypeId);
                            });
                            var priceResults = service.CalcOptionPrice(calcTrades, false, CalcScenarioEnum.ScenarioCalc);
                            r.delta = priceResults.Sum(O => O.calcResult.Delta);
                            r.deltaInLots = r.delta / um.ContractSize;
                            r.deltaCash = r.delta * item.Price;
                            r.gamma = priceResults.Sum(O => O.calcResult.Gamma);
                            r.theta = priceResults.Sum(O => O.calcResult.Theta);
                            r.rho = priceResults.Sum(O => O.calcResult.Rho * 100);
                            r.vega = priceResults.Sum(O => O.calcResult.Vega);
                        }

                        result.Add(r);
                    }
                }
                catch (ServiceException)
                {
                    throw;
                }
                catch (Exception ex)
                {
                    LogFactory.GetLogger("HistoricalBacktestService").Error(ex);
                    throw new ServiceException("计算错误,请查看日志");
                }
            }
            return result;
        }
    }
}