zszq-trs/YLErpDAL/Modules/TradeRiskCalcModule/TradeRiskCalcTaskRunner.cs

using System.Text;
using YLErp.Models;
using YLErp.Modules.TradeRiskCalcModule.TaskRunner;

namespace YLErp.Modules.TradeRiskCalcModule
{
    /// <summary>
    /// 交易风险计算运行器
    /// </summary>
    public static class TradeRiskCalcTaskRunner
    {
        static readonly IYcLogger _logger;
        static DataInitializer _initializer;

        static readonly OtcTradeRiskRunner _hedgingVolRunner;
        static readonly OtcTradeRiskRunner _positionVolRunner;
        static readonly OtcTradeRiskRunner _tradeVolSurfaceRunner;
        static readonly OtcTradeRiskRunner _ZreoDividendRateRunner;
        static readonly ExchangePositionRunner _exchangePositionRunner;

        static readonly InnerRunnerBase[] _allRunner;

        static bool _executing;
        static bool _reseting;

        static TradeRiskCalcTaskRunner()
        {
            _initializer = new DataInitializer(_logger);

            _logger = LogFactory.GetLogger(nameof(TradeRiskCalcTaskRunner));

            _allRunner = new InnerRunnerBase[] {
                _hedgingVolRunner = new OtcTradeRiskRunner("对冲"),
                _positionVolRunner = new OtcTradeRiskRunner("持仓"),
                _tradeVolSurfaceRunner = new OtcTradeRiskRunner("交易曲面"),
                _ZreoDividendRateRunner=new OtcTradeRiskRunner("交易曲面分红率0"),//国元特有
                _exchangePositionRunner = new ExchangePositionRunner()
            };
        }

        /// <summary>
        /// 实时风险计算日期
        /// </summary>
        public static DateTime ValueDate => _initializer.ValueDate;

        public static TradeDataSource TradeDataSource => _initializer.TradeDataSource;

        /// <summary>
        /// 场内实时持仓计算结果
        /// </summary>
        public static ExchangePositionCalcResult ExchangePositionResult => _exchangePositionRunner.GetResult();

        /// <summary>
        /// 重置风险计算
        /// </summary>
        public static void Reset()
        {
            _reseting = true;
        }

        /// <summary>
        /// 运行实时风险计算
        /// </summary>
        public static void Execute(string[] volTypes)
        {
            if (_executing)
            {
                return;
            }

            lock (_allRunner)
            {
                if (_executing)
                {
                    return;
                }

                _executing = true;
            }

            try
            {
                InnerExecuteRiskCalc(volTypes);
            }
            catch (Exception ex)
            {
                _logger.Error(ex, "实时风险执行出错");
            }
            finally
            {
                _executing = false;
            }
        }

        private static void InnerExecuteRiskCalc(string[] volTypes)
        {
            if (AppContext.TryGetSwitch("DisableTradeRiskCalcTaskRunner", out var disable) && disable)
            {
                AppManager.SetSysInfo("实时风险-定时执行", "停止执行");
                return;
            }

            AppManager.SetSysInfo("实时风险-定时执行", "执行");

            AppContext.TryGetSwitch("场内实时持仓API", out var blHedgePosition);

            var initializer = _initializer;

            if (volTypes == null || !volTypes.Any(n => n != null))
            {
                if (blHedgePosition)
                {
                    initializer.Init(out _);
                    _exchangePositionRunner.StartTask(initializer.GetRunTaskData());
                }
                return;
            }
            var voltypeFlag = VolTypeFlagEnum.None;
            var riskRunners = new List<OtcTradeRiskRunner>(6);

            foreach (var type in volTypes)
            {
                OtcTradeRiskRunner runner = null;

                switch (type)
                {
                    case "对冲":
                        runner = _hedgingVolRunner;
                        voltypeFlag |= VolTypeFlagEnum.HedgeVol;
                        break;
                    case "持仓":
                        runner = _positionVolRunner;
                        voltypeFlag |= VolTypeFlagEnum.PositionVol;
                        break;
                    case "交易曲面":
                        runner = _tradeVolSurfaceRunner;
                        break;
                }

                if (runner != null && !riskRunners.Contains(_tradeVolSurfaceRunner))
                {
                    riskRunners.Add(runner);
                }
            }
            if (PS.Config.Company == Configuration.CompanyEnum.国元固收)
            {
                riskRunners.Add(_ZreoDividendRateRunner);
            }
            lock (_allRunner)
            {
                var flag = 0;

                foreach (var runner in riskRunners)
                {
                    flag |= runner.IsRunning ? runner.IsTimeOut(600) ? 2 : 1 : 0;
                }

                if (flag > 0)
                {
                    if (flag == 1)
                    {
                        if (blHedgePosition)
                        {
                            _exchangePositionRunner.StartTask(initializer.GetRunTaskData());
                        }

                        return;
                    }

                    //因为有计算严重超时故而重置

                    foreach (var runner in riskRunners)
                    {
                        runner.CancelTask(0);
                    }

                    _reseting = true;
                }

                if (_reseting)
                {
                    _reseting = false;
                    _initializer = initializer = new DataInitializer(_logger);
                }
            }

            initializer.Init(out var blReset);

            if (blReset)
            {
                LogFactory.GetLogger("实时风险").Info($"重置,计算日:{initializer.ValueDate},前一交易日:{initializer.PreSettleDate}");
                AccruedTotalPnlStartingDataSource<eod_trade_position>.Default.Reset();
                AccruedTotalPnlStartingDataSource<eod_trade_position_hedgevol>.Default.Reset();
            }

            if (blHedgePosition)
            {
                _exchangePositionRunner.StartTask(initializer.GetRunTaskData());
            }

            foreach (var runner in riskRunners)
            {
                runner.StartTask(initializer.GetRunTaskData());
            }
        }

        /// <summary>
        /// 执行价格试算
        /// </summary>
        public static TradingRiskResult ExecuteFixedPriceCalc(string volType, IEnumerable<PriceModel> underlyingPrices)
        {
            if (underlyingPrices == null)
            {
                throw new ArgumentNullException(nameof(underlyingPrices));
            }

            var startTime = DateTime.Now;
            var initializer = _initializer;

            underlyingPrices = underlyingPrices.Where(n => !string.IsNullOrEmpty(n?.InstrumentCode)).ToArray();

            if (!underlyingPrices.Any())
            {
                return new TradingRiskResult
                {
                    ValueDate = initializer.ValueDate,
                    PreDate = startTime,
                    TradeRiskList = Enumerable.Empty<TradingRiskParameter>(),
                    CalcStartTime = startTime,
                    CalcEndTime = DateTime.Now
                };
            }

            var provider = initializer.DataProvider.Clone(new UnderlyingFixedPriceProvider(underlyingPrices));
            var context = new TradeRiskCalcContext(volType, false, initializer.ValueDate, initializer.PreSettleDate, provider)
            {
                TrialCalclMode = true
            };
            var list = new TradeRiskCalcService(context, skipTradeTypes: null).SetUnderlyingFilter(underlyingPrices.Select(n => n.InstrumentCode).ToArray())
                .Calculate(initializer.TradeDataSource, null);

            return new TradingRiskResult
            {
                ValueDate = initializer.ValueDate,
                PreDate = context.PreSettleDate,
                TradeRiskList = list,
                CalcStartTime = startTime,
                CalcEndTime = DateTime.Now
            };
        }

        /// <summary>
        /// 获取实时风险运行结果(计算后保存数据的克隆版)
        /// </summary>
        public static TradingRiskResult GetCalcResult(string volType)
        {
            if (volType != null)
            {
                foreach (var runner in _allRunner)
                {
                    if (runner is OtcTradeRiskRunner ts && ts.VolType == volType)
                    {
                        return ts.GetResult();//.Result;
                    }
                }
            }

            return null;
        }
    }
}