zszq-trs/YLErpDAL/Modules/VolatilityModule/ApiModule/UnderlyingVolServiceV2.cs

using Newtonsoft.Json;
using YLErp.DBModels.Consts;
using YLErp.Models;
using YLErp.QdpModule.Constants;

namespace YLErp.Modules.VolatilityModule.ApiModule
{
    /// <summary>
    /// 曲面波动率提供(用于API服务)
    /// </summary>
    public partial class UnderlyingVolServiceV2 : YLBaseService
    {
        public UnderlyingVolServiceV2(OptUserInfo userInfo) : base(userInfo)
        {

        }

        /// <summary>
        /// API获取波动率
        /// </summary>
        public IEnumerable<UnderlyingVolQueryApiResultV2> GetVolSurfaces(UnderlyingVolQueryApiRequestV2 request)
        {
            if (request is null)
            {
                throw new ArgumentNullException(nameof(request));
            }

            if (request.VolTypes == null || !request.VolTypes.Any())
            {
                throw new ArgumentException("VolTypes不能为空", nameof(request.VolTypes));
            }

            if (request.UnderlyingCodes == null || !request.UnderlyingCodes.Any())
            {
                throw new ArgumentException("UnderlyingCodes不能为空", nameof(request.UnderlyingCodes));
            }

            if (!ConsUserGroup.HasGroup)
            {
                request.UserGroup = string.Empty;
            }
            else if (string.IsNullOrWhiteSpace(request.UserGroup))
            {
                throw new ArgumentException("UserGroup不能为空", nameof(request.UserGroup));
            }

            request.ValueDate = request.ValueDate.Date;

            if (request.ValueDate.Year < 1949)
            {
                throw new ArgumentException("ValueDate填写不正确:" + request.ValueDate, nameof(request.ValueDate));
            }

            //数据量小的表尽量靠前
            var groupQuery = from v in DbContext.volatility
                             where v.QuotationDate <= request.ValueDate
                                && request.VolTypes.Contains(v.VolType)
                                && request.UnderlyingCodes.Contains(v.ContractCode)
                                && v.UserGroup == request.UserGroup
                             group v by new { v.UserGroup, v.ContractCode, v.VolType } into vg
                             select new
                             {
                                 vg.Key.UserGroup,
                                 vg.Key.ContractCode,
                                 vg.Key.VolType,
                                 QuotationDate = vg.Max(n => n.QuotationDate)
                             };

            var volQuery = from vg in groupQuery
                           join v in DbContext.volatility
                           on vg equals new { v.UserGroup, v.ContractCode, v.VolType, v.QuotationDate }
                           orderby v.ContractCode
                           select new UnderlyingVolQueryApiResultV2
                           {
                               VolType = v.VolType,
                               InnerQuotationDate = v.QuotationDate,
                               UnderlyingCode = v.ContractCode,
                               VolTableJson = v.Data
                           };

            var vols = volQuery.ToArray();

            foreach (var item in vols)
            {
                if (!string.IsNullOrWhiteSpace(item.VolTableJson))
                {
                    item.VolTable = JsonConvert.DeserializeObject<List<SingleVol>>(item.VolTableJson);
                }
            }

            return vols;
        }

        /// <summary>
        /// API保存波动率
        /// </summary>
        public volatility SaveVolSurface(UnderlyingVolSaveApiRequestV2 request)
        {
            if (request is null)
            {
                throw new ArgumentNullException(nameof(request));
            }

            if (string.IsNullOrEmpty(request.ContractCode))
            {
                throw new ServiceException("标的代码 必须填写");
            }

            var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(request.ContractCode);

            if (underlying == null)
            {
                throw new ServiceException("标的信息未存在:" + request.ContractCode);
            }

            if (string.IsNullOrEmpty(request.VolType))
            {
                throw new ServiceException("波动率类型 必须填写");
            }

            request.ValueDate = request.ValueDate.Date;

            if (request.ValueDate.Year < 1949)
            {
                throw new ServiceException("ValueDate填写不正确:" + request.ValueDate);
            }

            if (request.VolTable?.Any() != true)
            {
                throw new ServiceException("缺少VolTable");
            }

            if (string.IsNullOrEmpty(request.InterpolationMethod))
            {
                request.InterpolationMethod = ConsVolInfos.defInterpolationMethod;
            }

            if (!ConsUserGroup.HasGroup)
            {
                request.UserGroup = string.Empty;
            }
            else if (string.IsNullOrWhiteSpace(request.UserGroup))
            {
                throw new ArgumentException("UserGroup不能为空", nameof(request.UserGroup));
            }

            volatility retVol = null;

            var underlyingList = new List<InnerUnderlying> {
                new InnerUnderlying{  UnderlyingId = underlying.id,UnderlyingCode = underlying.UnderlyingCode}
            };

            //波动率上传 以连续合约 覆盖所有标的的 麻烦尽快实现
            if (request.OverridByMainCode)
            {
                int underlyingTypeId = 0;

                if (System.Text.RegularExpressions.Regex.IsMatch(request.ContractCode, "^[a-zA-Z]+00$"))
                {
                    var un = DataCacheProvider.GetUnderlyingDataSource().GetData(request.ContractCode);

                    if (un?.IsFutures() == true && un.UnderlyingTypeId > 0)
                    {
                        underlyingTypeId = un.UnderlyingTypeId;
                    }
                }

                if (underlyingTypeId > 0)
                {
                    var query = from un in DbContext.underlying_manager
                                where un.UnderlyingTypeId == underlyingTypeId
                                && (un.MaturityDate >= request.QuotationDate)
                                && un.UnderlyingCode != request.ContractCode
                                select new InnerUnderlying
                                {
                                    UnderlyingId = un.id,
                                    UnderlyingCode = un.UnderlyingCode
                                };

                    underlyingList.AddRange(query.ToArray());
                }
            }

            foreach (var un in underlyingList)
            {
                var dbVol = DbContext.volatility.FirstOrDefault(n => n.QuotationDate == request.ValueDate
                    && n.ContractCode == un.UnderlyingCode && n.VolType == request.VolType && n.UserGroup == request.UserGroup);

                if (dbVol == null)
                {
                    dbVol = new volatility
                    {
                        UnderlyingId = un.UnderlyingId,
                        ContractCode = un.UnderlyingCode,

                        VolType = request.VolType,
                        UserGroup = request.UserGroup,
                        QuotationDate = request.ValueDate,

                        VolSurfaceMode = ConsVolInfos.defVolMode
                    };

                    DbContext.volatility.Add(dbVol);
                }

                dbVol.SetOpt(OptUser);
                dbVol.SetData(request.VolTable);
                dbVol.InterpolationMethod = request.InterpolationMethod;

                if (retVol == null)
                {
                    retVol = dbVol;
                }
            }

            DbContext.SaveChanges();

            return retVol;
        }

        class InnerUnderlying
        {
            public int UnderlyingId { get; set; }
            public string UnderlyingCode { get; set; }
        }
    }
}