zszq-trs/YLErpDAL/Modules/TradeModule/ExoticOptionModule/TradeAirbagService.cs

using YLErp.Abstract.DataProviders;
using YLErp.Modules.DataProviderModule;

namespace YLErp.Modules.TradeModule
{
    /// <summary>
    /// 气囊结构服务
    /// </summary>
    public class TradeAirbagService : TradeServiceBase
    {
        public TradeAirbagService(OptUserInfo userInfo) : base(userInfo)
        {
        }

        public TradeAirbagService(YLBaseService baseService) : base(baseService)
        {
        }

        public void SetKnockIn(DateTime valueDate, IEodPriceProviderV2 priceProvider, DateTime? startDate = null
            , Action<OtcTrade, trade_airbag> afterKnowInOut = null, System.Collections.Generic.IEnumerable<int> clienIds = null)
        {
            if (priceProvider is null)
            {
                priceProvider = new EodPriceProvider(valueDate);
            }

            if (startDate == null)
            {
                startDate = valueDate.AddYears(-5);
            }

            var query = from trade in DbContext.trade
                        join airbag in DbContext.trade_airbag on trade.id equals airbag.TradeId
                        where trade.TradeDate > startDate.Value && trade.TradeDate <= valueDate
                          && string.IsNullOrEmpty(airbag.KnockInOutStatus)
                          && trade.TradeType == "气囊结构"
                          && ConsTrade.确认成交 == trade.TradeStatus
                          && trade.ValidState != ConsGlobal.InValid
                          && trade.DividendDate < valueDate
                        select new
                        {
                            trade,
                            tradeAirbag = airbag
                        };
            #region 增加客户筛选 tw
            if (clienIds != null)
            {
                query = query.Where(l => clienIds.Contains(l.trade.ClientId));
            }
            #endregion
            var trades = query.ToList();

            if (trades == null || !trades.Any())
            {
                return;
            }

            var tradeIds = trades.Select(x => x.trade.id).ToArray();

            var manuallyTradeObservationPrices = DbContext.manually_trade_observation_price
                .Where(x => tradeIds.Contains(x.TradeId) && x.ValueDate == valueDate).ToDictionary(n => n.TradeId);

            foreach (var tr in trades)
            {
                if (tr.trade.ExerciseDate < valueDate)
                {
                    continue;//已到期交易不再观察;
                }
                var tradeStatus = tr.trade.TradeStatus;

                double? closePrice;

                if (manuallyTradeObservationPrices.TryGetValue(tr.trade.id, out var manuallyTradeObservationPrice))
                {
                    closePrice = manuallyTradeObservationPrice.Price;
                }
                else if (!priceProvider.TryGetEodPrice(tr.trade.UnderlyingCode, out var eodprice))
                {
                    throw new Exception($"[{tr.trade.TradeType}:{tr.trade.TradeNumber}]标的:{tr.trade.UnderlyingCode} 未找到结算价");
                }
                else
                {
                    closePrice = eodprice.ClosePrice;
                }

                var oldKnockInOutStatus = tr.tradeAirbag.KnockInOutStatus;
                CheckAirbagKnockInStatus(tr.trade, tr.tradeAirbag, valueDate, closePrice);

                if (oldKnockInOutStatus != tr.tradeAirbag.KnockInOutStatus)
                {
                    var KnockInOutStatus = tr.tradeAirbag.KnockInOutStatus == ConsTrade.KnockState.KnockedIn ? "敲入" : "敲出";
                    AddTradeOperationHistoryAndSetParentTradeInfo(false, tr.trade, KnockInOutStatus, KnockInOutStatus);
                }

                if (tradeStatus != tr.trade.TradeStatus|| oldKnockInOutStatus != tr.tradeAirbag.KnockInOutStatus)
                {
                    //删除E/Bod_Trade记录
                    RemoveEodTradeAndFutureInfo(false, tr.trade.id, valueDate);
                }

                if (afterKnowInOut != null && DbContext.Entry(tr.tradeAirbag).State == EntityState.Modified)
                {
                    afterKnowInOut(tr.trade, tr.tradeAirbag);
                }
            }

            //更新
            DbContext.SaveChanges();
        }

        public void CheckAirbagKnockInStatus(OtcTradeBase td, trade_airbag tradeAirbag, DateTime valueDate, double? closePrice)
        {
            //气囊结构暂时都是每日连续观察，不用考虑观察周期问题
            //气囊结构暂时都是向下敲入
            if (closePrice <= (td.IsMoneynessOptionData ? tradeAirbag.Barrier * td.SpotPrice : tradeAirbag.Barrier))
            {
                tradeAirbag.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
                tradeAirbag.KnockInOutDate = valueDate;
                tradeAirbag.KnockInOutNotional = td.Notional;
            }
        }

        /// <summary>
        /// 设置敲入敲出状态
        /// </summary>
        public trade_airbag SaveKnockInOutStatus(int tradeId, DateTime? KnockInOutDate, string KnockInOutStatus)
        {
            var airbag = DbContext.trade_airbag.FirstOrDefault(x => x.TradeId == tradeId);

            if (airbag != null)
            {
                airbag.KnockInOutDate = KnockInOutDate;
                airbag.KnockInOutStatus = KnockInOutStatus;
                airbag.OptId = UserId;
                airbag.OptName = UserName;
                airbag.OptDate = DateTime.Now;
                DbContext.SaveChanges();

                var td = DbContext.trade.Find(tradeId);

                SaveTradeOperationHistory(td, airbag.KnockInOutStatusCn);
            }

            return airbag;
        }
    }
}