85 lines
3.0 KiB
C#
85 lines
3.0 KiB
C#
using System.Collections.Concurrent;
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using YLErp.Abstract;
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using YLErp.Models;
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namespace YLErp.Modules.DataProviderModule
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{
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/// <summary>
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/// 场外期权开仓平仓波动率提供
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/// </summary>
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public class OtcPositionVolProvider : IDataUpdater, IJsonSerializable
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{
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readonly DateTime _valueDate;
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//使用tradeid做为主键，为当日取波动率提供服务
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readonly ConcurrentDictionary<int, IOtcTradeVolatility> _dic;
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//业务操作上来说，旧的波动率不会再变更,为上一交易日取波动率提供服务
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readonly ConcurrentDictionary<int, IOtcTradeVolatility> _dicOld;
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/// <summary>
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/// 构造函数
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/// </summary>
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/// <param name="valueDate">当前结算日期</param>
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public OtcPositionVolProvider(DateTime valueDate)
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{
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_valueDate = valueDate;
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_dic = new ConcurrentDictionary<int, IOtcTradeVolatility>();
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_dicOld = new ConcurrentDictionary<int, IOtcTradeVolatility>();
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}
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public string TableName => nameof(TradeVolatility);
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/// <summary>
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/// 获取交易波动率
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/// </summary>
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public IOtcTradeVolatility GetVol(int tradeId, DateTime valueDate)
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{
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var dic = valueDate < _valueDate ? _dicOld : _dic;
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if (!dic.TryGetValue(tradeId, out var vol))
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{
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var tradVol = DbContextFactory.GetYLDbContext().TradeVolatility
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.Where(n => n.TradeId == tradeId && n.ValueDate <= valueDate)
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.OrderByDescending(n => n.ValueDate)
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.Select(n => new
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{
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n.NumOfSmoothingDays,
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n.TradePositionVolatility,
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n.TradeCloseVolatility,
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n.IsFromTradeAdd,
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n.ValueDate
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}).FirstOrDefault();
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if (tradVol != null)
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{
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vol = new OtcTradeVolatility
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{
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ValueDate = tradVol.ValueDate,
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OpenVol = tradVol.TradePositionVolatility ?? 0,
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CloseVol = tradVol.TradeCloseVolatility ?? 0,
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SmoothingDays = tradVol.NumOfSmoothingDays ?? 0,
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IsFirst = tradVol.IsFromTradeAdd == true
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};
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}
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dic.AddOrUpdate(tradeId, vol, (n, m) => vol);
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}
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return vol;
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}
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public string ToJson()
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{
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return new { _valueDate, _dic, _dicOld }.ToJson();
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}
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/// <summary>
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/// 更新数据
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/// </summary>
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public void UpdateData(IEnumerable<string> updateKeyIds)
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{
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var tradeIds = DataConvert.ConvertToInt32Array(updateKeyIds);
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foreach (var tradeId in tradeIds)
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{
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_dic.TryRemove(tradeId, out IOtcTradeVolatility vol);
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}
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}
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}
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}
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