feat: 新增TRS合约日终Kafka推送

- 在日终任务的逐日循环中，于当日收盘、风险监控和日终文件生成完成后，按 valueDate 推送一条 TRS 合约全量快照；区间收盘逐日推送，空日推送空快照。 - 基于 eod_swap、trade、eod_swap_position、swap_position 组装合约字段， Kafka Key 使用 yyyy-MM-dd 格式的 valueDate。 - 新增带 Key 的 Kafka 发送重载；保留原有无 Key 发送及其吞异常行为，避免影响既有调用。 - 推送失败最多尝试 3 次；最终失败记录 Error 日志，并按 eod_swap.id 写入 push_status，空快照失败使用 record_id=0。 - 增加 ContractTopic 配置，默认及各部署环境使用 onederiv.trs.contract.v1。 - 增加定向单测，覆盖空快照、区间逐日推送、重试成功、三次失败和字段映射。
2026-08-25 16:07:21 +08:00
parent 147bcf4bf7
commit 336cc3d88b
12 changed files with 546 additions and 7 deletions
@@ -10,6 +10,12 @@ using YLErp.Modules.SystemModule;
 using YLErp.Modules.TradeDalModule;
 using YLErp.Modules.TradeModule.DealModule;

+using Microsoft.Extensions.DependencyInjection;
+using Microsoft.Extensions.Options;
+using YieldChain.Commons;
+using YLErp.Abstract;
+using YLErp.Model;
+
 namespace YLErp.Modules.EodModule.SettlementModule
 {
    /// <summary>
@@ -445,12 +451,35 @@ where {nameof(t.TaskStartTime)}>'{startDateStr}' and {nameof(t.TaskState)}={(int
                    }
                    ClientBalanceUtility.saveClientRiskMonitor(eodTask.ValueDate);
                    new EodFileService(this.OptUser).GenerateFileAfterEod(eodTask.ValueDate);
+                    PushTrsContractSnapshot(eodTask.ValueDate);
                    //执行下一日
                    eodTask.ValueDate = eodTask.ValueDate.AddDays(1);
                    eodTask.TaskEndTime = DateTime.Now;
                }
            }

+            private void PushTrsContractSnapshot(DateTime valueDate)
+            {
+                try
+                {
+                    var provider = YLServiceLocator.ServiceProvider;
+                    var kafkaProduce = provider?.GetService<IKafkaProduce>();
+                    var kafkaOptions = provider?.GetService<IOptions<KafkaConfig>>();
+                    if (kafkaProduce == null || kafkaOptions?.Value == null)
+                    {
+                        LogFactory.GetLogger("TRS合约日终Kafka推送").Error("Kafka service or configuration is unavailable");
+                        return;
+                    }
+
+                    using var pushDbContext = DbContextFactory.GetYLDbContext();
+                    new TrsContractKafkaPushService(pushDbContext, kafkaProduce, kafkaOptions.Value.ContractTopic).Push(valueDate);
+                }
+                catch (Exception ex)
+                {
+                    LogFactory.GetLogger("TRS合约日终Kafka推送").Error($"TRS contract snapshot task failed, valueDate:{valueDate:yyyy-MM-dd}", ex);
+                }
+            }
+
            /// <summary>
            /// 查找第一个可用的任务
            /// </summary>
@@ -0,0 +1,233 @@
+using YLErp.Abstract;
+using YLErp.BLL;
+using YLErp.DBModels;
+using YLErp.Helpers;
+
+namespace YLErp.Modules.EodModule
+{
+    /// <summary>
+    /// 收盘后按交易日推送 TRS 合约全量快照。
+    /// </summary>
+    public class TrsContractKafkaPushService
+    {
+        private const string DateFormat = "yyyy-MM-dd";
+        private const string DateTimeFormat = "yyyy-MM-dd HH:mm:ss";
+        private const string InterestCategory = "互换利率";
+        private const int TrsContractPushType = 1;
+        private const int MaxAttempts = 3;
+
+        private readonly YLContext _dbContext;
+        private readonly IKafkaProduce _kafkaProduce;
+        private readonly string _topic;
+        private readonly IYcLogger _logger;
+
+        public TrsContractKafkaPushService(YLContext dbContext, IKafkaProduce kafkaProduce, string topic)
+        {
+            _dbContext = dbContext ?? throw new ArgumentNullException(nameof(dbContext));
+            _kafkaProduce = kafkaProduce ?? throw new ArgumentNullException(nameof(kafkaProduce));
+            _topic = string.IsNullOrWhiteSpace(topic) ? throw new ArgumentException("Kafka topic is empty", nameof(topic)) : topic;
+            _logger = LogFactory.GetLogger(nameof(TrsContractKafkaPushService));
+        }
+
+        public void Push(DateTime valueDate)
+        {
+            valueDate = valueDate.Date;
+
+            TrsContractSnapshot snapshot;
+            string payload;
+            try
+            {
+                snapshot = BuildSnapshot(valueDate);
+                payload = JsonHelper.Serialize(snapshot, true, true);
+            }
+            catch (Exception ex)
+            {
+                _logger.Error($"TRS contract snapshot build failed, valueDate:{valueDate:yyyy-MM-dd}", ex);
+                RecordFailures(valueDate, 0, ex);
+                return;
+            }
+
+            var key = valueDate.ToString(DateFormat);
+            Exception lastException = null;
+            for (var attempt = 1; attempt <= MaxAttempts; attempt++)
+            {
+                try
+                {
+                    _kafkaProduce.Produce(_topic, key, payload);
+                    _logger.Info($"TRS contract snapshot sent, valueDate:{key}, topic:{_topic}, count:{snapshot.ContractCount}, attempt:{attempt}");
+                    return;
+                }
+                catch (Exception ex)
+                {
+                    lastException = ex;
+                    _logger.Error($"TRS contract snapshot send failed, valueDate:{key}, topic:{_topic}, attempt:{attempt}", ex);
+                }
+            }
+
+            _logger.Error($"TRS contract snapshot send exhausted retries, valueDate:{key}, topic:{_topic}, attempts:{MaxAttempts}");
+            RecordFailures(valueDate, MaxAttempts, lastException);
+        }
+
+        protected virtual void RecordFailures(DateTime valueDate, int retryCount, Exception exception)
+        {
+            try
+            {
+                var recordIds = _dbContext.eod_swap
+                    .Where(x => x.ValueDate == valueDate)
+                    .Select(x => x.id)
+                    .ToList();
+                if (recordIds.Count == 0)
+                {
+                    recordIds.Add(0);
+                }
+
+                var now = DateTime.Now;
+                var statuses = _dbContext.push_status
+                    .Where(x => x.ValueDate == valueDate
+                        && x.PushType == TrsContractPushType
+                        && recordIds.Contains(x.RecordId))
+                    .ToList();
+                var error = exception?.ToString();
+                if (error?.Length > 2000)
+                {
+                    error = error.Substring(0, 2000);
+                }
+
+                foreach (var recordId in recordIds)
+                {
+                    var status = statuses.FirstOrDefault(x => x.RecordId == recordId);
+                    if (status == null)
+                    {
+                        status = new PushStatus
+                        {
+                            ValueDate = valueDate,
+                            PushType = TrsContractPushType,
+                            RecordId = recordId,
+                            CreateTime = now
+                        };
+                        _dbContext.push_status.Add(status);
+                    }
+
+                    status.State = PushStateEnum.失败;
+                    status.RetryCount = retryCount;
+                    status.LastError = error;
+                    status.PushTime = now;
+                    status.UpdateTime = now;
+                }
+
+                _dbContext.SaveChanges();
+            }
+            catch (Exception ex)
+            {
+                _logger.Error($"TRS contract push failure status save failed, valueDate:{valueDate:yyyy-MM-dd}", ex);
+            }
+        }
+
+        protected virtual TrsContractSnapshot BuildSnapshot(DateTime valueDate)
+        {
+            var eodSwaps = _dbContext.eod_swap
+                .Where(x => x.ValueDate == valueDate)
+                .AsNoTracking()
+                .ToList();
+            var tradeIds = eodSwaps.Select(x => x.SwapTradeId).Distinct().ToList();
+            var trades = _dbContext.trade
+                .Where(x => tradeIds.Contains(x.id))
+                .AsNoTracking()
+                .ToDictionary(x => x.id);
+            var eodPositions = _dbContext.eod_swap_position
+                .Where(x => x.ValueDate == valueDate && tradeIds.Contains(x.SwapTradeId) && !x.Invalid)
+                .AsNoTracking()
+                .ToList();
+            var positionIds = eodPositions.Select(x => x.PositionId).Distinct().ToList();
+            var swapPositions = _dbContext.swap_position
+                .Where(x => positionIds.Contains(x.id) && !x.Invalid && x.category_tag == InterestCategory)
+                .AsNoTracking()
+                .ToDictionary(x => x.id);
+
+            var contracts = eodSwaps.Select(eodSwap => BuildContract(eodSwap, trades, eodPositions, swapPositions)).ToList();
+            return new TrsContractSnapshot
+            {
+                SchemaVersion = "v1",
+                ValueDate = valueDate.ToString(DateFormat),
+                PushTime = DateTime.Now.ToString(DateTimeFormat),
+                ContractCount = contracts.Count,
+                Contracts = contracts
+            };
+        }
+
+        internal static TrsContractSnapshotItem BuildContract(
+            eod_swap eodSwap,
+            IReadOnlyDictionary<int, trade> trades,
+            IReadOnlyCollection<eod_swap_position> eodPositions,
+            IReadOnlyDictionary<long, swap_position> swapPositions)
+        {
+            if (!trades.TryGetValue(eodSwap.SwapTradeId, out var trade))
+            {
+                throw new InvalidOperationException($"TRS trade not found, swapTradeId:{eodSwap.SwapTradeId}");
+            }
+
+            var positions = eodPositions.Where(x => x.SwapTradeId == eodSwap.SwapTradeId).ToList();
+            var floating = positions.Where(x => !string.IsNullOrWhiteSpace(x.UnderlyingCode) && swapPositions.ContainsKey(x.PositionId)).ToList();
+            var interest = positions.Where(x => string.IsNullOrWhiteSpace(x.UnderlyingCode)
+                && ConsTrade.InterestModels.Contains(x.InterestMode)
+                && swapPositions.TryGetValue(x.PositionId, out var swapPosition)
+                && swapPosition.category_tag == InterestCategory).ToList();
+
+            if (floating.Count != 1 || interest.Count != 1)
+            {
+                throw new InvalidOperationException($"TRS legs invalid, swapTradeId:{eodSwap.SwapTradeId}, floating:{floating.Count}, interest:{interest.Count}");
+            }
+
+            var interestLeg = interest[0];
+            var floatingLeg = floating[0];
+            return new TrsContractSnapshotItem
+            {
+                TradeDate = eodSwap.ValueDate.ToString(DateFormat),
+                BookId = eodSwap.BookId,
+                SwapTradeNo = eodSwap.SwapTradeNo,
+                ClientId = eodSwap.ClientId,
+                UnderlyingCode = trade.UnderlyingCode,
+                UnderlyingName = trade.UnderlyingAssetName,
+                UnderlyingInstrumentType = trade.UnderlyingInstrumentType,
+                NotionalValue = eodSwap.NotionalValue,
+                Dv01 = eodSwap.dv01 ?? 0,
+                StartDate = trade.StartDate?.ToString(DateFormat),
+                MaturityDate = trade.ExerciseDate?.ToString(DateFormat),
+                FixedRate = interestLeg.InterestRateDefault,
+                InterestDirection = interestLeg.InterestDirection,
+                FloatingDirection = floatingLeg.PositionType,
+                InitMarginGain = eodSwap.InitMarginGain,
+                InitMarginLoss = eodSwap.InitMarginLoss
+            };
+        }
+    }
+
+    public class TrsContractSnapshot
+    {
+        public string SchemaVersion { get; set; }
+        public string ValueDate { get; set; }
+        public string PushTime { get; set; }
+        public int ContractCount { get; set; }
+        public List<TrsContractSnapshotItem> Contracts { get; set; }
+    }
+
+    public class TrsContractSnapshotItem
+    {
+        public string TradeDate { get; set; }
+        public int BookId { get; set; }
+        public string SwapTradeNo { get; set; }
+        public int ClientId { get; set; }
+        public string UnderlyingCode { get; set; }
+        public string UnderlyingName { get; set; }
+        public string UnderlyingInstrumentType { get; set; }
+        public decimal NotionalValue { get; set; }
+        public decimal Dv01 { get; set; }
+        public string StartDate { get; set; }
+        public string MaturityDate { get; set; }
+        public decimal FixedRate { get; set; }
+        public int InterestDirection { get; set; }
+        public int FloatingDirection { get; set; }
+        public decimal InitMarginGain { get; set; }
+        public decimal InitMarginLoss { get; set; }
+    }
+}