472 lines
18 KiB
C#
472 lines
18 KiB
C#
using System.Collections.Concurrent;
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using YieldChain.Commons;
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using YieldChain.Helpers;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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using YLErp.Models;
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using YLErp.Modules.UnderlyingModule;
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namespace YLErp.Modules.DataCacheModule
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{
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public static partial class DataCacheManager
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{
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/// <summary>
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/// 标的数据源
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/// </summary>
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class UnderlyingDataSource : GenericeCachedDataSource<underlying_manager>, IUnderlyingDataSource, IBasketPriceProvider
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{
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readonly ThrottleAction _updatePricethrottle;
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readonly Dictionary<string, underlying_manager> _dicEx;
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readonly ConcurrentDictionary<string, SyntheticUnderlying> _dicSynthetic;
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private UnderlyingDataSource()
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{
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_updatePricethrottle = new ThrottleAction(ThrottleUpdatePricesAction, 3, 180);
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_dicEx = new Dictionary<string, underlying_manager>(StringComparer.OrdinalIgnoreCase);
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_dicSynthetic = new ConcurrentDictionary<string, SyntheticUnderlying>(StringComparer.OrdinalIgnoreCase);
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AfterUpdate = AfterUpdateHandle;
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AfterRemove = AfterRemoveHandle;
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//使用近2年的标的数据作为缓存
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int.TryParse(PS.Config.ErpElement.UnderlyingCacheCfg, out int years);
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if (years < 0) years = -years;
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var date = DateTime.Today.AddYears(years < 2 ? -2 : -years);
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Filter = PredicateBuilder.Create<underlying_manager>(
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n => (n.UnderlyingInstrumentType != ConsGlobal.InstrumentType.CommodityFutures
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&& n.UnderlyingInstrumentType != ConsGlobal.InstrumentType.StockIF) || n.MaturityDate >= date);
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}
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public override string TableName => nameof(underlying_manager);
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/// <summary>
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/// 扩展数据更新
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/// </summary>
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private void AfterUpdateHandle(underlying_manager data)
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{
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if (string.IsNullOrWhiteSpace(data?.UnderlyingCode))
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{
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return;
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}
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_dicEx[data.UnderlyingCode] = data;
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_dicSynthetic.TryRemove(data.UnderlyingCode, out _);
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var variety = DataCacheProvider.GetVarietyDataSource().GetData(data.UnderlyingTypeId);
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if (data.IsStock())
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{
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data.CountRatio = 1;
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data.ContractSize = data.ContractSize > 0 ? data.ContractSize : 100;
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data.QuoteUnit = data.TradeUnit = "股";
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data.PinYinFirst = PingYinHelper.GetFirstPinYin(data.UnderlyingName)?.ToUpperInvariant();
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data.CommodityCode = variety?.VarietyCode;
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}
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else if (data.IsBasket())
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{
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data.CountRatio = 1;
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data.ContractSize = data.ContractSize > 0 ? data.ContractSize : 100;
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data.QuoteUnit = data.TradeUnit = "股";
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}
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else if (data.IsSynthetic())
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{
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data.CountRatio = 1;
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data.ContractSize = data.ContractSize > 0 ? data.ContractSize : 1;
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}
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else
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{
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if (variety != null)
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{
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if (data.ContractSize < 1)
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{
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data.ContractSize = DBModels.Helpers.VarietyHelper.GetTradeUnitValue(variety.VarietyCode, variety.TradeUnit) ?? 1;
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}
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if (string.IsNullOrEmpty(data.QuoteUnit))
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{
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data.QuoteUnit = DBModels.Helpers.VarietyHelper.GetQuoteUnitSingleOriginal(variety.QuoteUnit);
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}
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if (string.IsNullOrEmpty(data.TradeUnit))
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{
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data.TradeUnit = DBModels.Helpers.VarietyHelper.GetTradeUnitSingle(variety.TradeUnit);
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}
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data.CountRatio = DBModels.Helpers.VarietyHelper.GetCountRatio(variety.QuoteUnit);
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data.CommodityCode = variety?.VarietyCode;
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}
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if (data.ContractSize < 1)
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{
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data.ContractSize = 1;
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}
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if (data.PriceTick < 1e-4)
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{
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data.PriceTick = DBModels.Helpers.VarietyHelper.ParseMinPriceChange(variety) ?? 0;
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}
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}
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if (data.PriceTick < 1e-4)
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{
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data.PriceTick = 0.01;
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}
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}
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/// <summary>
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/// 扩展数据移除操作
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/// </summary>
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private void AfterRemoveHandle(underlying_manager data)
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{
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if (string.IsNullOrWhiteSpace(data?.UnderlyingCode))
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{
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return;
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}
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_dicEx.Remove(data.UnderlyingCode);
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_dicSynthetic.TryRemove(data.UnderlyingCode, out _);
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}
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/// <summary>
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/// 根据标的代码获取标的数据
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/// </summary>
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public underlying_manager GetData(string underlyingCode)
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{
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if (string.IsNullOrWhiteSpace(underlyingCode))
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{
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return null;
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}
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lock (this)
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{
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if (_dicEx.TryGetValue(underlyingCode, out var underlying))
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{
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var clone = underlying.Clone();
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clone.Price = InnerGetPrice(clone);
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return clone;
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}
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var un = db.underlying_manager.AsNoTracking().FirstOrDefault(n => n.UnderlyingCode == underlyingCode);
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if (un != null)
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{
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_dic[un.id] = un;
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AfterUpdateHandle(un);
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if (un.IsBasket() && InnerTryGetPrice(un, out var price))
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{
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un.Price = price;
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}
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}
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return un?.Clone();
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}
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}
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}
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/// <summary>
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/// 根据标的ID获取标的数据
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/// </summary>
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public override underlying_manager GetData(int keyId)
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{
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var un = base.GetData(keyId);
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if (un != null)
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{
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un.Price = InnerGetPrice(un);
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}
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return un;
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}
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#region----IPriceProvider----
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/// <summary>
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/// 根据标的代码获取标的价格(包含组合标的)
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/// </summary>
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public double GetPrice(int underlyingId)
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{
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return InnerGetPrice(GetData(underlyingId));
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}
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/// <summary>
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/// 根据标的代码获取标的价格(标的代码不区分大小写)(包含组合标的)
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/// </summary>
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public double GetPrice(string underlyingCode)
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{
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return InnerGetPrice(GetData(underlyingCode));
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}
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/// <summary>
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/// 根据标的代码获取标的价格(包含组合标的)
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/// </summary>
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public bool TryGetPrice(int underlyingId, out double price)
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{
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return InnerTryGetPrice(GetData(underlyingId), out price);
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}
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/// <summary>
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/// 根据标的代码获取标的价格，标的代码不区分大小写(包含组合标的)
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/// </summary>
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public bool TryGetPrice(string underlyingCode, out double price)
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{
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return InnerTryGetPrice(GetData(underlyingCode), out price);
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}
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public bool InitData(List<string> underlyingCodes)
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{
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lock (this)
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{
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var notInCaches = underlyingCodes.Where(p => !_dicEx.Keys.Contains(p)).ToList();
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if (notInCaches != null && notInCaches.Count > 0)
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{
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List<underlying_manager> unList = null;
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using (var db = DbContextFactory.GetYLDbContext())
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{
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unList = db.underlying_manager.AsNoTracking().Where(n => notInCaches.Contains(n.UnderlyingCode)).ToList();
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}
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if (unList != null && unList.Count > 0)
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{
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unList.ForEach(un =>
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{
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_dic[un.id] = un;
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AfterUpdateHandle(un);
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if (un.IsBasket() && InnerTryGetPrice(un, out var price))
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{
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un.Price = price;
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}
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});
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}
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}
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}
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return true;
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}
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private double InnerGetPrice(underlying_manager underlying)
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{
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return InnerTryGetPrice(underlying, out var price) ? price : 0;
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}
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private bool InnerTryGetPrice(underlying_manager un, out double price)
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{
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price = 0;
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if (un == null)
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{
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return false;
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}
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if (un.IsBasket())
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{
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price = BasketUnderlyingHelper.GetBasketPrice(un, this, true).Price;
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}
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else
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{
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price = un.Price ?? 0;
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}
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return true;
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}
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/// <summary>
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/// 更新标的价格
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/// </summary>
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public bool UpdatePrices(bool delay)
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{
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if (_updatePricethrottle.Execute())
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{
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if (delay)
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{
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_updatePricethrottle.DelayExecute(60);
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}
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return true;
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}
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return false;
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}
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private void ThrottleUpdatePricesAction()
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var query1 = from u in db.underlying_manager
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where u.UnderlyingState != "Matured"
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&& u.UnderlyingType != "组合标的"
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select new PriceModel
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{
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InstrumentCode = u.UnderlyingCode,
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Price = u.Price ?? 0,
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PreClose = u.PrevClosePrice,
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PriceTime = u.LastUpdateTime
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};
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var query2 = from su in db.synthetic_underlying
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join u in db.underlying_manager on su.Name equals u.UnderlyingCode
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join u1 in db.underlying_manager on su.UnderlyingCode1 equals u1.UnderlyingCode into u1t
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from u1 in u1t.DefaultIfEmpty()
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join u2 in db.underlying_manager on su.UnderlyingCode2 equals u2.UnderlyingCode into u2t
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from u2 in u2t.DefaultIfEmpty()
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join u3 in db.underlying_manager on su.UnderlyingCode3 equals u3.UnderlyingCode into u3t
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from u3 in u3t.DefaultIfEmpty()
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join u4 in db.underlying_manager on su.UnderlyingCode4 equals u4.UnderlyingCode into u4t
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from u4 in u4t.DefaultIfEmpty()
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where u.UnderlyingState == "Live" && u.LaunchState == "1"
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select new PriceModel
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{
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InstrumentCode = u.UnderlyingCode,
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Price = (u1.Price ?? 0) * (su.Coefficient1 ?? 0)
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+ (u2.Price ?? 0) * (su.Coefficient2 ?? 0)
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+ (u3.Price ?? 0) * (su.Coefficient3 ?? 0)
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+ (u4.Price ?? 0) * (su.Coefficient4 ?? 0)
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+ (su.Constant ?? 0),
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PreClose = (u1.PrevClosePrice ?? 0) * (su.Coefficient1 ?? 0)
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+ (u2.PrevClosePrice ?? 0) * (su.Coefficient2 ?? 0)
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+ (u3.PrevClosePrice ?? 0) * (su.Coefficient3 ?? 0)
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+ (u4.PrevClosePrice ?? 0) * (su.Coefficient4 ?? 0)
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+ (su.Constant ?? 0),
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PriceTime = u1.LastUpdateTime ?? u2.LastUpdateTime ?? u3.LastUpdateTime ?? u4.LastUpdateTime
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};
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var datas = query1.Concat(query2).ToArray();
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foreach (var item in datas)
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{
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if (_dicEx.TryGetValue(item.InstrumentCode, out var underlying))
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{
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underlying.Price = item.Price;
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underlying.PrevClosePrice = item.PreClose;
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underlying.LastUpdateTime = item.PriceTime;
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}
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}
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}
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}
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/// <summary>
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/// 获取篮子的子标的价格
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/// </summary>
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public bool TryGetSubPrice(string underlyingCode, out double price, out double settlePrice)
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{
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//篮子标的的子标的只能是普通标的
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var data = GetData(underlyingCode);
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if (data != null)
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{
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price = settlePrice = data.Price ?? 0;
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return true;
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}
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price = settlePrice = 0;
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return false;
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}
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#endregion
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/// <summary>
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/// 获取组合标的信息
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/// </summary>
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public SyntheticUnderlying GetSyntheticUnderlying(string underlyingCode)
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{
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if (string.IsNullOrEmpty(underlyingCode))
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{
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return null;
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}
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if (_dicSynthetic.TryGetValue(underlyingCode, out var sy))
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{
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return sy;
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}
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var un = GetData(underlyingCode);
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if (un?.CommodityCode != "组合标的")
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{
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return null;
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}
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using (var db = DbContextFactory.GetYLDbContext())
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{
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sy = db.synthetic_underlying.AsNoTracking().FirstOrDefault(n => n.Name == underlyingCode);
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if (sy != null)
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{
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_dicSynthetic[sy.Name] = sy;
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}
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return sy?.Clone();
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}
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}
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/// <summary>
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/// 获取数量转份额的乘积因子(最小为1)
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/// </summary>
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public int GetCountRatio(string underlyingCode)
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{
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return GetData(underlyingCode)?.CountRatio ?? 1;
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}
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public override void ResetDataSource()
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{
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base.ResetDataSource();
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_dicEx.Clear();
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_dicSynthetic.Clear();
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UpdateData(null);
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}
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//排序规则:优先使用未过期的期货，然后股票/现货，然后没有过期日的期货，然后过期的期货
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protected override underlying_manager[] PreProcessDatas(underlying_manager[] datas)
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{
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var valueDate = valuedateBLL.ValueDate;
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return datas.OrderBy(n =>
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{
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var prefix = "1";
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if (n.IsFutures())
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{
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if (n.MaturityDate.HasValue)
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{
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prefix = (n.MaturityDate.Value > valueDate ? 0 : valueDate.Year - n.MaturityDate.Value.Year + 2).ToString();
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}
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else
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{
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prefix = "2";
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}
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}
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return prefix + (n.IsCombined() ? "1" : "0") + n.UnderlyingCode;
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}).ToArray();
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}
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/// <summary>
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/// 更新标的资产启用状态
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/// </summary>
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public void UpdateLauchState()
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var datas = db.underlying_manager.Where(Filter).Select(n => new { n.id, n.LaunchState }).ToArray();
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lock (_dic)
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{
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foreach (var item in datas)
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{
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if (_dic.TryGetValue(item.id, out var um))
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{
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um.LaunchState = item.LaunchState;
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}
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}
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}
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}
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}
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//---------------------------------------------
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public static readonly UnderlyingDataSource Default;
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static UnderlyingDataSource()
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{
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Default = new UnderlyingDataSource();
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}
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}
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}
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}
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