zszq-trs/YLErpDAL/Modules/TradeRiskCalcModule/TaskRunner/EodPositionDataProvider.cs

using YLErp.Abstract.DataProviders;
using YLErp.Modules.EodModule;
using YLErp.Modules.TradeRiskCalcModule.Abstract;

namespace YLErp.Modules.TradeRiskCalcModule.TaskRunner
{
    internal class EodPositionDataProvider : ITradeRiskEodPositionDataProvider
    {
        readonly Dictionary<int, EodTradePositionAndRisk> _pVolOtcTradeDic; //持仓波动率场外交易数据
        readonly Dictionary<int, EodTradePositionAndRisk> _hVolOtcTradeDic; //对冲波动率场外交易数据

        readonly List<EodTradePosition> _pVolExchTradeList;                 //持仓波动率场内交易数据
        readonly List<EodTradePosition> _hVolExchTradeList;                 //对冲波动率场内交易数据

        public EodPositionDataProvider()
        {
            _pVolOtcTradeDic = new Dictionary<int, EodTradePositionAndRisk>();
            _hVolOtcTradeDic = new Dictionary<int, EodTradePositionAndRisk>();
            _pVolExchTradeList = new List<EodTradePosition>();
            _hVolExchTradeList = new List<EodTradePosition>();
        }

        #region----数据初始化----

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

            //初始化持仓波动率日终持仓数据
            InitializePositionVolData(positionDate, underlyingDataProvider);

            //初始化对冲波动率日终持仓数据
            InitializeHedgeVolData(positionDate, underlyingDataProvider);

            return this;
        }

        /// <summary>
        /// 初始化对冲波动率日终持仓数据
        /// </summary>
        private void InitializePositionVolData(DateTime positionDate, IUnderlyingDataProvider underlyingDataProvider)
        {
            _pVolOtcTradeDic.Clear();
            _pVolExchTradeList.Clear();
            _pVolExchTradeList.Capacity = 500;

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

            LogFactory.GetLogger("实时风险").Debug($"获取'{positionDate:yyyy-MM-dd}'持仓波动率结算数据,数据总数:{eodPositions.Count()}");

            foreach (var item in eodPositions)
            {
                if (item.Position.TradeId > 0)
                {
                    _pVolOtcTradeDic[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)
                    {
                        _pVolExchTradeList.Add(item.Position);
                    }
                }
                else
                {
                    _pVolExchTradeList.Add(item.Position);
                }
            }

            _pVolExchTradeList.TrimExcess();
        }

        /// <summary>
        /// 初始化对冲波动率日终持仓数据
        /// </summary>
        private void InitializeHedgeVolData(DateTime positionDate, IUnderlyingDataProvider underlyingDataProvider)
        {
            _hVolOtcTradeDic.Clear();
            _hVolExchTradeList.Clear();
            _hVolExchTradeList.Capacity = 500;

            var service = new EodSettlementService(OptUserInfo.SystemUser);
            var eodPositions2 = service.GetEodTradePosition<eod_trade_position_hedgevol, eod_trade_risk_hedgevol>(positionDate);

            LogFactory.GetLogger("实时风险").Debug($"获取'{positionDate:yyyy-MM-dd}'对冲波动率结算数据,数据总数:{eodPositions2.Count()}");

            foreach (var item in eodPositions2)
            {
                if (item.Position.TradeId > 0)
                {
                    _hVolOtcTradeDic[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)
                    {
                        _hVolExchTradeList.Add(item.Position);
                    }
                }
                else
                {
                    _hVolExchTradeList.Add(item.Position);
                }
            }

            _hVolExchTradeList.TrimExcess();
        }

        #endregion

        /// <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)
        {
            return (volType == ConsGlobal.VolType.HedgingVol ? _hVolOtcTradeDic : _pVolOtcTradeDic)
                .TryGetValue(tradeId, out var item) ? item : null;
        }

        public IEnumerable<EodTradePosition> GetExchangeTradePositionList(string volType)
        {
            return volType == ConsGlobal.VolType.HedgingVol && _hVolExchTradeList.Count > 0
                ? _hVolExchTradeList : _pVolExchTradeList;
        }
    }
}