zszq-trs/YLErpDAL/Modules/DataProviderModule/EodPriceProvider.cs

using YLErp.Abstract.DataProviders;
using YLErp.Helpers;
using YLErp.Models;
using YLErp.Modules.TradeModule.DealModule;
using YLErp.QdpModule;

namespace YLErp.Modules.DataProviderModule
{
    /// <summary>
    /// 收盘结算价数据服务(不包括场内期权结算价)
    /// </summary>
    public class EodPriceProvider : IEodPriceProvider, IEodPriceProviderV2, IBasketPriceProvider
    {
        readonly Dictionary<string, EodPrice> _priceDic;

        /// <summary>
        /// 构造函数
        /// </summary>
        /// <param name="valueDate">结算价取值日</param>
        /// <param name="isDiviendPrice">是否需要前复权价</param>
        public EodPriceProvider(DateTime valueDate, bool isDiviendPrice = false)
        {
            ValueDate = valueDate.Date;
            IsDiviendPrice = isDiviendPrice;

            _priceDic = new Dictionary<string, EodPrice>(StringComparer.OrdinalIgnoreCase);
        }
        public void SetPreValueDate(DateTime date)
        {
            PreValueDate = date;
        }
        /// <summary>
        /// 结算价取值日
        /// </summary>
        public DateTime ValueDate { get; }

        /// <summary>
        /// 上一个结算日
        /// </summary>
        public DateTime? PreValueDate { get; set; }
        /// <summary>
        /// 是否价格除权
        /// </summary>
        public bool IsDiviendPrice { get; }

        /// <summary>
        /// 当前缓存中的价格数量
        /// </summary>
        public int Count => _priceDic.Count;

        #region----初始化----

        /// <summary>
        /// 初始化数据字典
        /// (提前初始化可在大批量标的取结算价时提高一定性能)
        /// </summary>
        public EodPriceProvider Initialize(IEnumerable<string> underlyingCodes = null)
        {
            using var db = DbContextFactory.GetYLDbContext();
            var predicate1 = PredicateBuilder.Create<eod_commodity_future_price>(eodprice => eodprice.ValueDate == ValueDate);
            var predicate2 = PredicateBuilder.Create<eod_stock_price>(eodprice => eodprice.ValueDate == ValueDate);
            var predicate3 = PredicateBuilder.Create<ChinaBondValuation>(eodprice => eodprice.valuation_date == ValueDate);
            if (underlyingCodes != null && underlyingCodes.Any(n => !string.IsNullOrEmpty(n)))
            {
                var set = underlyingCodes.Where(n => n != null && !_priceDic.ContainsKey(n)).ToHashSet();
                if (set.Count < 1)
                {
                    return this;
                }
                predicate1 = predicate1.And(n => set.Contains(n.UnderlyingCode));
                predicate2 = predicate2.And(n => set.Contains(n.UnderlyingCode));
            }

            var eodFutureQuery = from eodprice in db.eod_commodity_future_price.Where(predicate1)
                                 join um in db.underlying_manager on eodprice.UnderlyingCode equals um.UnderlyingCode
                                 select new EodPrice
                                 {
                                     IsStock = false,
                                     ValueDate = ValueDate,
                                     UnderlyingId = um.id,
                                     UnderlyingCode = um.UnderlyingCode,
                                     ClosePrice = eodprice.ClosePrice,
                                     SettlePrice = eodprice.SettlePrice,
                                     HighPrice = eodprice.HighPrice,
                                     LowPrice = eodprice.LowPrice,
                                     UnderlyingStatus = "正常运行",
                                     UnderlyingInstrumentType = "CommodityFutures",
                                     ReferencePrice = eodprice.ReferencePrice,
                                     DeciSettlePrice = 0,
                                     DeciClosePrice = 0,
                                     DeciReferencePrice = 0,
                                 };

            var eodStockQuery = from eodprice in db.eod_stock_price.Where(predicate2)
                                join um in db.underlying_manager on eodprice.UnderlyingCode equals um.UnderlyingCode
                                select new EodPrice
                                {
                                    IsStock = true,
                                    ValueDate = ValueDate,
                                    UnderlyingId = um.id,
                                    UnderlyingCode = um.UnderlyingCode,
                                    ClosePrice = eodprice.ClosePrice,
                                    SettlePrice = eodprice.ClosePrice,
                                    HighPrice = eodprice.HighPrice,
                                    LowPrice = eodprice.LowPrice,
                                    UnderlyingStatus = eodprice.UnderlyingStatus,
                                    UnderlyingInstrumentType = "Stock",
                                    ReferencePrice = eodprice.ReferencePrice,
                                    DeciSettlePrice = 0,
                                    DeciClosePrice = 0,
                                    DeciReferencePrice = 0,
                                };
            var eodBondQuery = from eodprice in db.china_bond_valuation.Where(predicate3)
                               join um in db.underlying_manager on eodprice.bond_id equals um.UnderlyingCode
                               select new EodPrice
                               {
                                   IsStock = false,
                                   ValueDate = ValueDate,
                                   UnderlyingId = um.id,
                                   UnderlyingCode = um.UnderlyingCode,
                                   ClosePrice = 0,
                                   SettlePrice = 0,
                                   HighPrice = 0,
                                   LowPrice = 0,
                                   UnderlyingStatus = "正常运行",
                                   UnderlyingInstrumentType = "Bonds",
                                   ReferencePrice = 0,
                                   DeciSettlePrice = eodprice.dirty_price_close,
                                   DeciClosePrice = eodprice.net_price,
                                   DeciReferencePrice = eodprice.yield,
                               };
            //数据加载到字典中
            var list = eodFutureQuery.Concat(eodStockQuery).Concat(eodBondQuery).ToArray();

            lock (_priceDic)
            {
                foreach (var item in list)
                {
                    if (item.UnderlyingCode != null)
                    {
                        if (item.UnderlyingInstrumentType == "Bonds")
                        {
                            item.SettlePrice = Convert.ToDouble(BondPriceConverter.ToStorage(item.DeciSettlePrice));
                            item.ClosePrice = Convert.ToDouble(BondPriceConverter.ToStorage(item.DeciClosePrice));
                            item.ReferencePrice = Convert.ToDouble(BondPriceConverter.ToStorage(item.DeciReferencePrice));
                        }
                        _priceDic[item.UnderlyingCode] = item;
                    }
                }

                if (underlyingCodes != null)
                {
                    foreach (var code in underlyingCodes)
                    {
                        if (!string.IsNullOrWhiteSpace(code) && !_priceDic.ContainsKey(code))
                        {
                            _priceDic[code] = null;
                        }
                    }
                }
            }

            if (IsDiviendPrice)
            {
                DividendPrice(ValueDate, _priceDic.Values);
            }

            return this;
        }

        #endregion

        #region----IPriceProvider+IEodPriceProvider-----

        public double GetPrice(string instrumentCode, SettlementTypeEnum settlementType)
        {
            return TryGetEodPrice(instrumentCode, out var ep) ? ep.GetPrice(settlementType) : 0;
        }

        public bool TryGetPrice(string instrumentCode, SettlementTypeEnum settlementType, out double price)
        {
            if (TryGetEodPrice(instrumentCode, out var ep))
            {
                price = ep.GetPrice(settlementType);
                return true;
            }
            price = 0;
            return false;
        }

        /// <summary>
        /// 获取标的收盘价或结算价(如果标的在取值日之前已到期，则取标的到期日的收盘价或结算价)
        /// </summary>
        public bool TryGetEodPrice(string underlyingCode, out EodPrice eodPrice)
        {
            eodPrice = null;

            if (string.IsNullOrWhiteSpace(underlyingCode))
            {
                return false;
            }

            lock (_priceDic)
            {
                if (_priceDic.TryGetValue(underlyingCode, out eodPrice))
                {
                    return eodPrice != null;
                }
            }

            if (EodPriceQueryService.TryGetEodPrice(ValueDate, underlyingCode, out eodPrice))
            {
                if (eodPrice.IsStock && IsDiviendPrice)
                {
                    //根据标的ID或标的代码从数据源中查出来以后进行除权并缓存
                    DividendPrice(ValueDate, new[] { eodPrice });
                }
            }
            else
            {
                eodPrice = null; //使用标的代码查找结算价未找到数据时也缓存起来
            }

            lock (_priceDic)
            {
                _priceDic[underlyingCode] = eodPrice;
            }

            return eodPrice != null;
        }

        private static void DividendPrice(DateTime valueDate, IEnumerable<EodPrice> eodPrices)
        {
            int[] unids = null;
            var stockQuery = eodPrices.Where(n => n.IsStock);
            var stockCount = stockQuery.Count();
            if (stockCount < 1)
            {
                return;
            }

            if (stockCount < 10)
            {
                unids = stockQuery.Select(n => n.UnderlyingId).ToArray();
            }

            var dividendService = new DividendService(OptUserInfo.SystemUser);
            var dividends = dividendService.GetExDividends(valueDate, unids).ToArray();

            foreach (var ep in stockQuery)
            {
                var dividend = dividends.FirstOrDefault(n => n.UnderlyingId == ep.UnderlyingId);
                if (dividend != null)
                {
                    ep.ClosePrice = ep.SettlePrice = dividendService.GetPrice(ep.ClosePrice, dividend);
                }
            }
        }

        /// <summary>
        /// 
        /// </summary>
        public IEodPriceProviderWrap GetPriceProvider(SettlementTypeEnum settlementType = SettlementTypeEnum.ClosePrice)
        {
            return new EodPriceProviderWrap(this, settlementType);
        }

        #endregion

        /// <summary>
        /// 获取当前已缓存的日终价格数据列表(返回数据中一定不存在重复的标的代码)
        /// </summary>
        public IEnumerable<EodPrice> GetEodPriceList()
        {
            lock (_priceDic)
            {
                return _priceDic.Values.ToArray();
            }
        }

        #region----IBasketPriceProvider----

        /// <summary>
        /// 获取篮子的子标的价格
        /// </summary>
        public bool TryGetSubPrice(string underlyingCode, out double price, out double settlePrice)
        {
            if (TryGetEodPrice(underlyingCode, out var eodPrice))
            {
                price = eodPrice.ClosePrice;
                settlePrice = eodPrice.SettlePrice;
                return true;
            }
            price = settlePrice = 0;
            return false;
        }

        #endregion

        /// <summary>
        /// 检查给定的标的是否在当前缓存中有值
        /// </summary>
        public bool HasValue(string underlyingCode)
        {
            if (string.IsNullOrEmpty(underlyingCode))
            {
                return false;
            }

            lock (_priceDic)
            {
                return _priceDic.TryGetValue(underlyingCode, out var value) && value != null;
            }
        }

        /// <summary>
        /// 手动设置日终价格
        /// </summary>
        public void SetPrice(EodPrice eodPrice)
        {
            if (!string.IsNullOrWhiteSpace(eodPrice?.UnderlyingCode))
            {
                lock (_priceDic)
                {
                    _priceDic[eodPrice.UnderlyingCode] = eodPrice;
                }
            }
        }
    }

    /// <summary>
    /// IEodPriceProvider接口对象包装成IPriceProvider接口
    /// </summary>
    public class EodPriceProviderWrap : IPriceProvider, IEodPriceProviderWrap
    {
        public IEodPriceProvider EodPriceProvider { get; }

        public SettlementTypeEnum SettlementType { get; private set; }

        /// <summary>
        /// 
        /// </summary>
        /// <param name="eodPriceProvider"></param>
        /// <param name="settlementType"></param>
        public EodPriceProviderWrap(IEodPriceProvider eodPriceProvider, SettlementTypeEnum settlementType)
        {
            SettlementType = settlementType;
            EodPriceProvider = eodPriceProvider ?? throw new ArgumentNullException(nameof(eodPriceProvider));
        }

        public double GetPrice(string instrumentCode)
        {
            return EodPriceProvider.GetPrice(instrumentCode, SettlementType);
        }

        public bool TryGetPrice(string instrumentCode, out double price)
        {
            return EodPriceProvider.TryGetPrice(instrumentCode, SettlementType, out price);
        }

        public override string ToString()
        {
            return SettlementType.ToString();
        }
    }

    /// <summary>
    /// 将IPriceProvider接口对象包装成IEodPriceProvider接口
    /// </summary>
    public class EodPriceProviderAs : IEodPriceProvider
    {
        public IPriceProvider PriceProvider { get; }

        /// <summary>
        /// 
        /// </summary>
        /// <param name="priceProvider"></param>
        public EodPriceProviderAs(IPriceProvider priceProvider)
        {
            PriceProvider = priceProvider ?? throw new ArgumentNullException(nameof(priceProvider));
        }

        public double GetPrice(string instrumentCode, SettlementTypeEnum settlementType)
        {
            return PriceProvider.GetPrice(instrumentCode);
        }

        public bool TryGetPrice(string instrumentCode, SettlementTypeEnum settlementType, out double price)
        {
            return PriceProvider.TryGetPrice(instrumentCode, out price);
        }
    }

    /// <summary>
    /// 
    /// </summary>
    public static class EodPriceProviderFactory
    {
        /// <summary>
        /// 使用缓存(10分钟更新一次)
        /// </summary>
        public static EodPriceProvider Get(DateTime valueDate)
        {
            var key = "EodPriceProviderFactory" + valueDate.ToString("yyyyMMdd");
            var priceProvider = Providers.MemoryCacheProvider.Default.Get<EodPriceProvider>(key);
            if (priceProvider != null)
            {
                return priceProvider;
            }
            priceProvider = new EodPriceProvider(valueDate);
            Providers.MemoryCacheProvider.Default.Set(key, priceProvider, DateTimeOffset.Now.AddMinutes(10));
            return priceProvider;
        }
    }
}