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

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

namespace YLErp.Modules.TradeRiskCalcModule.TaskRunner
{
    /// <summary>
    /// 确保数据的可控和可度量
    /// </summary>
    public partial class TradeRiskCalcDataProvider : IOptionCalcDataProvider
    {
        readonly TradeExtendDataProvider _tradeExtendDataProvider;

        readonly IYcLogger _logger;

        DateTime _lastSettlementDate;

        EodPriceProvider _ydPriceProvider;

        ExchangeOptionPriceProvider _exchangeOptionPriceProvider;

        public TradeRiskCalcDataProvider(IPriceProvider priceProvider = null, IYcLogger logger = null)
        {
            _logger = logger ?? LogFactory.GetLogger("实时风险计算");
            _tradeExtendDataProvider = new TradeExtendDataProvider();

            UnderlyingDataProvider = new UnderlyingDataProvider();
            UnderlyingPriceProvider = priceProvider ?? new TradeRiskCalcPriceProvider();
        }

        /// <summary>
        /// 场内期权市场价格提供者
        /// </summary>
        public ExchangeOptionPriceProvider ExchangeOptionPriceProvider
        {
            get
            {
                return _exchangeOptionPriceProvider ?? (_exchangeOptionPriceProvider = new ExchangeOptionPriceProvider());
            }
        }

        /// <summary>
        /// 上个结算日历史交易数据接口
        /// </summary>
        public ITradeHisDataProvider YdTradeHisDataProvider { get; private set; }

        /// <summary>
        /// 上个结算日日终价格数据接口
        /// </summary>
        public IEodPriceProvider YdClosePriceProvider => _ydPriceProvider;

        /// <summary>
        /// 上日持仓数据接口 
        /// </summary>
        public ITradeRiskEodPositionDataProvider YdEodPositionDataProvider { get; private set; } = new EodPositionDataProvider();

        #region ----IOptionCalcDataProvider----

        public IUnderlyingDataProvider UnderlyingDataProvider { get; }

        public ITradeExtendDataProvider TradeExtendDataProvider => _tradeExtendDataProvider;

        public IVolatilityDataProvider VolatilityDataProvider { get; private set; }

        public IPriceProvider UnderlyingPriceProvider { get; private set; }

        #endregion

        #region------初始化数据------

        /// <summary>
        /// 初始化数据
        /// </summary>
        public void InitData(DateTime lastSettleDate, IVolatilityDataProvider volatilityProvider)
        {
            //解决价格不能及时更新的问题
            _exchangeOptionPriceProvider = null;
            if (UnderlyingPriceProvider is TradeRiskCalcPriceProvider priceProvider)
            {
                priceProvider.Clear();
            }

            VolatilityDataProvider = volatilityProvider ?? throw new ArgumentNullException(nameof(volatilityProvider));

            if (_lastSettlementDate != lastSettleDate)
            {
                using (var db = DbContextFactory.GetYLDbContext())
                {
                    //结算价
                    _ydPriceProvider = new EodPriceProvider(lastSettleDate, isDiviendPrice: true).Initialize();
                    _logger?.Debug("更新上一结算日结算价,数据总数:" + _ydPriceProvider.Count);

                    //持仓
                    YdEodPositionDataProvider = new EodPositionDataProvider()
                        .Initialize(lastSettleDate, UnderlyingDataProvider);
                }

                //存留
                _lastSettlementDate = lastSettleDate;

                YdTradeHisDataProvider = new TradeHisDataProvider(_lastSettlementDate);
            }

            AsiaOptionProvider.Default.UpdateCache();
        }

        #endregion

        #region--------Others----------

        /// <summary>
        /// 根据交易ID数组获取对应的入金信息
        /// </summary>
        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();
            }
        }

        #endregion

        #region-----Inner Classes------

        /// <summary>
        /// 日终价格类
        /// </summary>
        class InnerEodPrice
        {
            public string UnderlyingCode { get; set; }

            public double? ClosePrice { get; set; }
        }

        #endregion

        /// <summary>
        /// 克隆此对象并使用方法参数中的价格提供接口
        /// </summary>
        public TradeRiskCalcDataProvider Clone(IPriceProvider underlyingPriceProvider)
        {
            var clone = (TradeRiskCalcDataProvider)MemberwiseClone();
            clone.UnderlyingPriceProvider = underlyingPriceProvider ?? throw new ArgumentNullException(nameof(underlyingPriceProvider));
            return clone;
        }
    }
}