zszq-trs/Tools/YLTestTool/Modules/TradeRiskCalcModule/TradeRiskCalcTestContext.cs

using System.Linq.Expressions;
using YLErp.Abstract;
using YLErp.Abstract.DataProviders;
using YLErp.Commons;
using YLErp.DBModels;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.CalculationModule.Abstract;
using YLErp.Modules.DataProviderModule;
using YLErp.Modules.EodModule;
using YLErp.Modules.TradeRiskCalcModule.Abstract;

namespace YLErp.Modules.TradeRiskCalcModule
{
    class TradeRiskCalcTestContextBase
    {
        public DateTime ValueDate { get; }

        public bool IsEodSettle { get; }

        public bool UseClosePrice { get; }

        public TraceWrap Trace { get; }

        protected TradeRiskCalcTestContextBase(TradeRiskCalcTestRequest request)
        {
            if (request is null)
            {
                throw new ArgumentNullException(nameof(request));
            }

            ValueDate = request.ValueDate;
            IsEodSettle = request.IsEodSettle;
            UseClosePrice = request.UseClosePrice;
            Trace = new TraceWrap("实时风险调试");
        }
    }

    class TradeRiskCalcTestContext : TradeRiskCalcTestContextBase, ITradeRiskCalcContext
    {
        readonly TradeRiskCalcTestRequest2 _request2;

        public TradeRiskCalcTestContext(TradeRiskCalcTestRequest request, TradeRiskCalcTestRequest2 request2) : base(request)
        {
            _request2 = request2 ?? throw new ArgumentNullException(nameof(request));

            VolType = request.VolType;

            Trace.WriteLine("当前交易日:" + ValueDate);

            PreValueDate = QdpModule.QdpCalendarHelper.GetNonHolidayDefore(request.ValueDate.AddDays(-1));

            PreSettleDate = BLL.Eod.EodOperationBase.GetLastSettlementDate(ValueDate, true);

            Trace.WriteLine("上一交易日:" + PreSettleDate);

            OptionCalcDataProvider = new OptionCalcDataProvider(this);

            YdEodPriceProvider = new EodPriceProvider(PreSettleDate);

            YdTradeHisDataProvider = new TradeHisDataProvider(PreSettleDate);

            YdEodPositionDataProvider = new YdEodPositionDataProvider().Initialize(_request2, PreSettleDate, OptionCalcDataProvider.UnderlyingDataProvider);
        }

        public string VolType { get; }

        public DateTime PreValueDate { get; }

        public DateTime PreSettleDate { get; }

        public IOptionCalcDataProvider OptionCalcDataProvider { get; }

        public IEodPriceProvider YdEodPriceProvider { get; }

        public ITradeHisDataProvider YdTradeHisDataProvider { get; }

        public bool HasError { get; private set; }

        public void AddError(string error)
        {
            HasError = true;

            Trace.WriteLine("[ERROR]发生错误:" + error);
        }

        IPriceProvider _ExchangeOptionPriceProvider;

        public IHedgePnlCalcContext CreateHedgePnlCalcContext(IOtcTradeValueCalcContext optionValueCaclContext)
        {
            if (_ExchangeOptionPriceProvider == null)
            {
                if (IsEodSettle)
                {
                    _ExchangeOptionPriceProvider = new EodExchangeOptionPriceProvider(ValueDate, UseClosePrice);
                }
                else
                {
                    _ExchangeOptionPriceProvider = new ExchangeOptionPriceProvider();
                }
            }
            return new HedgePnlCalcContext(optionValueCaclContext, new ExchangeTradeCommissionCalc(), _ExchangeOptionPriceProvider);
        }

        OptionCalcDataProvider _OptionCalcDataProvider;

        public IOtcTradeValueCalcContext CreateOptionValueCalcContext(double sysRiskFreeRate)
        {
            if (_OptionCalcDataProvider == null)
            {
                _OptionCalcDataProvider = new OptionCalcDataProvider(this);
            }

            return new OptionValueCalcContext(VolType, IsEodSettle, ValueDate, sysRiskFreeRate, _OptionCalcDataProvider)
            {
                Trace = Trace,
                CalcScenario = Enums.CalcScenarioEnum.RealtimeRisk
            };
        }

        public IEnumerable<string> GetErrors()
        {
            throw new NotImplementedException();
        }

        public IEnumerable<trade_cash> GetTrade_Cashes(IEnumerable<int> tradeIds)
        {
            using (var db = DbContextFactory.GetYLDbContext())
            {
                //在使用时会判断ValidState(猜测是为新增待确认的交易)
                return db.trade_cash.Where(t => tradeIds.Contains(t.TradeId) && !t.IsDeleted).ToList();
            }
        }

        public ITradeRiskEodPositionDataProvider YdEodPositionDataProvider { get; }
    }

    class YdEodPositionDataProvider : ITradeRiskEodPositionDataProvider
    {
        readonly Dictionary<int, EodTradePositionAndRisk> _positionVolOtcTradeDic;
        readonly Dictionary<int, EodTradePositionAndRisk> _hedgeVolOtcTradeDic;

        readonly List<EodTradePosition> _exchangeTradeList;

        public YdEodPositionDataProvider()
        {
            _positionVolOtcTradeDic = new Dictionary<int, EodTradePositionAndRisk>();
            _hedgeVolOtcTradeDic = new Dictionary<int, EodTradePositionAndRisk>();
            _exchangeTradeList = new List<EodTradePosition>();
        }

        private Expression<Func<T, bool>> CreatePredicate<T>(TradeRiskCalcTestRequest2 _request2) where T : EodTradePosition
        {
            var predicate = PredicateBuilder.True<T>();

            if (_request2.TradeId > 0)
            {
                predicate = predicate.And(n => n.TradeId == _request2.TradeId);
            }
            else
            {
                if (_request2.ClientId > 0)
                {
                    predicate = predicate.And(n => n.ClientId == _request2.ClientId);
                }

                if (_request2.UnderlyingCodes != null && _request2.UnderlyingCodes.Any())
                {
                    predicate = predicate.And(n => _request2.UnderlyingCodes.Contains(n.UnderlyingCode, StringComparer.OrdinalIgnoreCase));
                }

                if (!string.IsNullOrEmpty(_request2.TradeType))
                {
                    predicate = predicate.And(n => _request2.TradeType.Equals(n.TradeType, StringComparison.OrdinalIgnoreCase));
                }

                if (_request2.AssetBookId > 0)
                {
                    predicate = predicate.And(n => n.BookId == _request2.AssetBookId);
                }
            }

            return predicate;
        }

        public YdEodPositionDataProvider Initialize(TradeRiskCalcTestRequest2 request, DateTime positionDate, IUnderlyingDataProvider underlyingDataProvider)
        {
            if (underlyingDataProvider is null)
            {
                throw new ArgumentNullException(nameof(underlyingDataProvider));
            }

            var where = CreatePredicate<eod_trade_position>(request);

            _exchangeTradeList.Capacity = 500;

            var service = new EodSettlementService(OptUserInfo.SystemUser);
            var eodPositions = service.GetEodTradePosition<eod_trade_position, eod_trade_risk>(positionDate, where);

            foreach (var item in eodPositions)
            {
                if (item.Position.TradeId > 0)
                {
                    _positionVolOtcTradeDic[item.Position.TradeId] = item;
                }
                else if (item.Position.TradeType == "商品期货")
                {
                    var un = underlyingDataProvider.GetUnderlying(item.Position.UnderlyingCode);
                    if (un == null || un.MaturityDate.HasValue && DateTime.Compare(un.MaturityDate.Value, positionDate) > 0)
                    {
                        _exchangeTradeList.Add(item.Position);
                    }
                }
                else
                {
                    _exchangeTradeList.Add(item.Position);
                }
            }

            _exchangeTradeList.TrimExcess();

            var where2 = CreatePredicate<eod_trade_position_hedgevol>(request).And(x => x.TradeId > 0);

            //对冲波动率计算出来的日终持仓
            var eodPositions2 = service.GetEodTradePosition<eod_trade_position_hedgevol, eod_trade_risk_hedgevol>(positionDate, where2);

            foreach (var item in eodPositions2)
            {
                if (item.Position.TradeId > 0)
                {
                    _hedgeVolOtcTradeDic[item.Position.TradeId] = item;
                }
            }

            return this;
        }

        /// <summary>
        /// 根据交易ID和波动率类型获取场外交易
        /// </summary>
        /// <param name="tradeId"></param>
        /// <param name="volType">对冲|持仓</param>
        /// <returns></returns>
        public EodTradePositionAndRisk GetOtcTradePositionData(int tradeId, string volType)
        {
            if (volType == "对冲")
            {
                return _hedgeVolOtcTradeDic.TryGetValue(tradeId, out var item) ? item : null;
            }
            else
            {
                return _positionVolOtcTradeDic.TryGetValue(tradeId, out var item) ? item : null;
            }
        }

        public IEnumerable<EodTradePosition> GetExchangeTradePositionList(string volType) => _exchangeTradeList;
    }
}