feat: 风控引擎前后端统一操作符
This commit is contained in:
尹峰
+5
-9
@@ -1,6 +1,4 @@
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SET FOREIGN_KEY_CHECKS=0;
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CREATE TABLE `glms_risk_rule` (
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CREATE TABLE `yltrs_ylcms`.`glms_risk_rule` (
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`id` int NOT NULL AUTO_INCREMENT COMMENT '主键Id',
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`RuleName` varchar(200) CHARACTER SET utf8 COLLATE utf8_general_ci NOT NULL COMMENT '规则名称',
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`RuleText` varchar(500) CHARACTER SET utf8 COLLATE utf8_general_ci NULL DEFAULT NULL COMMENT '规则文本',
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@@ -19,7 +17,7 @@ CREATE TABLE `glms_risk_rule` (
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INDEX `idx_status`(`Status` ASC) USING BTREE
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) ENGINE = InnoDB CHARACTER SET = utf8 COLLATE = utf8_general_ci COMMENT = '风控规则定义表' ROW_FORMAT = Dynamic;
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CREATE TABLE `glms_risk_rule_application` (
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CREATE TABLE `yltrs_ylcms`.`glms_risk_rule_application` (
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`id` int NOT NULL AUTO_INCREMENT COMMENT '主键Id',
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`RuleIds` varchar(500) CHARACTER SET utf8 COLLATE utf8_general_ci NOT NULL COMMENT '关联规则Id列表(逗号分隔)',
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`Description` varchar(500) CHARACTER SET utf8 COLLATE utf8_general_ci NULL DEFAULT NULL COMMENT '描述',
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@@ -42,7 +40,7 @@ CREATE TABLE `glms_risk_rule_application` (
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INDEX `idx_status`(`Status` ASC) USING BTREE
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) ENGINE = InnoDB CHARACTER SET = utf8 COLLATE = utf8_general_ci COMMENT = '风控规则应用配置表' ROW_FORMAT = Dynamic;
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CREATE TABLE `glms_risk_rule_audit_log` (
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CREATE TABLE `yltrs_ylcms`.`glms_risk_rule_audit_log` (
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`id` int NOT NULL AUTO_INCREMENT COMMENT '主键Id',
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`OperationType` varchar(50) CHARACTER SET utf8 COLLATE utf8_general_ci NOT NULL COMMENT '操作类型(RULE_CREATE/RULE_UPDATE等)',
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`TargetType` varchar(50) CHARACTER SET utf8 COLLATE utf8_general_ci NOT NULL COMMENT '目标类型(RULE/APPLICATION/VARIABLE)',
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@@ -61,7 +59,7 @@ CREATE TABLE `glms_risk_rule_audit_log` (
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INDEX `idx_target_id`(`TargetId` ASC) USING BTREE
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) ENGINE = InnoDB CHARACTER SET = utf8 COLLATE = utf8_general_ci COMMENT = '风控规则操作审计日志表' ROW_FORMAT = Dynamic;
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CREATE TABLE `glms_risk_variable` (
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CREATE TABLE `yltrs_ylcms`.`glms_risk_variable` (
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`id` int NOT NULL AUTO_INCREMENT COMMENT '主键Id',
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`VariableName` varchar(200) CHARACTER SET utf8 COLLATE utf8_general_ci NOT NULL COMMENT '变量名称',
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`Category` tinyint NOT NULL COMMENT '分类: 1=BookingElement, 2=MarketData, 3=SystemCalc, 4=BooleanCheck',
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@@ -79,6 +77,4 @@ CREATE TABLE `glms_risk_variable` (
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`UpdateOptName` varchar(255) CHARACTER SET utf8 COLLATE utf8_general_ci NULL DEFAULT NULL COMMENT '最后修改人名称',
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`UpdateDate` datetime NULL DEFAULT NULL COMMENT '最后修改时间',
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PRIMARY KEY (`id`) USING BTREE
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) ENGINE = InnoDB CHARACTER SET = utf8 COLLATE = utf8_general_ci COMMENT = '风控变量池定义表' ROW_FORMAT = Dynamic;
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SET FOREIGN_KEY_CHECKS=1;
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) ENGINE = InnoDB CHARACTER SET = utf8 COLLATE = utf8_general_ci COMMENT = '风控变量池定义表' ROW_FORMAT = Dynamic;
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@@ -0,0 +1,55 @@
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-- 异常交易监控页面 - 操作权限（按钮）数据
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-- 依赖：风险控制目录（name='风险控制'，type=0）必须已存在
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-- 对应 FunctionRight.xml 风险控制下风控相关操作权限（共16个按钮）
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-- type: 0=目录 1=菜单 2=按钮
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-- 注意：以下 sys_menu 和 sys_role_menu 两个 INSERT 依赖用户变量 @menu_id，必须在同一个 Session 中执行
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-- ============================================================
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-- ----------------------------
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-- 3.1. sys_menu 页面+按钮（type=1，2）
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-- ----------------------------
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SELECT IFNULL(MAX(id), 0) INTO @menu_id FROM `yltrs_admin`.`sys_menu`;
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SELECT id INTO @risk_control_id FROM `yltrs_admin`.`sys_menu` WHERE `name` = '风险控制' AND `type` = 0 LIMIT 1;
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INSERT INTO `yltrs_admin`.`sys_menu` (`id`, `pid`, `pids`, `name`, `code`, `type`, `icon`, `router`, `component`, `permission`, `application`, `open_type`, `visible`, `link`, `redirect`, `weight`, `sort`, `remark`, `status`, `create_time`, `create_user`, `update_time`, `update_user`) VALUES
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(@menu_id + 1, @risk_control_id, NULL, '异常交易监控', NULL, 1, NULL, NULL, NULL, '异常交易监控', NULL, NULL, NULL, NULL, NULL, NULL, 0, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 2, @menu_id + 1, NULL, '风控规则查看', NULL, 2, NULL, NULL, NULL, '风控规则查看', NULL, NULL, NULL, NULL, NULL, NULL, 1, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 3, @menu_id + 1, NULL, '风控规则新增', NULL, 2, NULL, NULL, NULL, '风控规则新增', NULL, NULL, NULL, NULL, NULL, NULL, 2, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 4, @menu_id + 1, NULL, '风控规则编辑', NULL, 2, NULL, NULL, NULL, '风控规则编辑', NULL, NULL, NULL, NULL, NULL, NULL, 3, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 5, @menu_id + 1, NULL, '风控规则删除', NULL, 2, NULL, NULL, NULL, '风控规则删除', NULL, NULL, NULL, NULL, NULL, NULL, 4, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 6, @menu_id + 1, NULL, '风控规则启停', NULL, 2, NULL, NULL, NULL, '风控规则启停', NULL, NULL, NULL, NULL, NULL, NULL, 5, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 7, @menu_id + 1, NULL, '风控应用查看', NULL, 2, NULL, NULL, NULL, '风控应用查看', NULL, NULL, NULL, NULL, NULL, NULL, 6, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 8, @menu_id + 1, NULL, '风控应用新增', NULL, 2, NULL, NULL, NULL, '风控应用新增', NULL, NULL, NULL, NULL, NULL, NULL, 7, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 9, @menu_id + 1, NULL, '风控应用编辑', NULL, 2, NULL, NULL, NULL, '风控应用编辑', NULL, NULL, NULL, NULL, NULL, NULL, 8, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 10, @menu_id + 1, NULL, '风控应用删除', NULL, 2, NULL, NULL, NULL, '风控应用删除', NULL, NULL, NULL, NULL, NULL, NULL, 9, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 11, @menu_id + 1, NULL, '风控应用启停', NULL, 2, NULL, NULL, NULL, '风控应用启停', NULL, NULL, NULL, NULL, NULL, NULL, 10, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 12, @menu_id + 1, NULL, '风控变量查看', NULL, 2, NULL, NULL, NULL, '风控变量查看', NULL, NULL, NULL, NULL, NULL, NULL, 11, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 13, @menu_id + 1, NULL, '风控变量新增', NULL, 2, NULL, NULL, NULL, '风控变量新增', NULL, NULL, NULL, NULL, NULL, NULL, 12, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 14, @menu_id + 1, NULL, '风控变量编辑', NULL, 2, NULL, NULL, NULL, '风控变量编辑', NULL, NULL, NULL, NULL, NULL, NULL, 13, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 15, @menu_id + 1, NULL, '风控变量删除', NULL, 2, NULL, NULL, NULL, '风控变量删除', NULL, NULL, NULL, NULL, NULL, NULL, 14, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 16, @menu_id + 1, NULL, '风控日志查看', NULL, 2, NULL, NULL, NULL, '风控日志查看', NULL, NULL, NULL, NULL, NULL, NULL, 15, '', 0, NULL, NULL, NULL, NULL),
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(@menu_id + 17, @menu_id + 1, NULL, '风控日志导出', NULL, 2, NULL, NULL, NULL, '风控日志导出', NULL, NULL, NULL, NULL, NULL, NULL, 16, '', 0, NULL, NULL, NULL, NULL);
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-- ----------------------------
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-- 3.2. sys_role_menu 角色1的按钮权限（menu_id 引用上方 sys_menu 自增 id）
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-- ----------------------------
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SELECT IFNULL(MAX(id), 0) INTO @role_menu_id FROM `yltrs_admin`.`sys_role_menu`;
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INSERT INTO `yltrs_admin`.`sys_role_menu` (`id`, `role_id`, `menu_id`) VALUES
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(@role_menu_id + 1, 1, @menu_id + 1),
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(@role_menu_id + 2, 1, @menu_id + 2),
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(@role_menu_id + 3, 1, @menu_id + 3),
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(@role_menu_id + 4, 1, @menu_id + 4),
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(@role_menu_id + 5, 1, @menu_id + 5),
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(@role_menu_id + 6, 1, @menu_id + 6),
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(@role_menu_id + 7, 1, @menu_id + 7),
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(@role_menu_id + 8, 1, @menu_id + 8),
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(@role_menu_id + 9, 1, @menu_id + 9),
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(@role_menu_id + 10, 1, @menu_id + 10),
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(@role_menu_id + 11, 1, @menu_id + 11),
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(@role_menu_id + 12, 1, @menu_id + 12),
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(@role_menu_id + 13, 1, @menu_id + 13),
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(@role_menu_id + 14, 1, @menu_id + 14),
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(@role_menu_id + 15, 1, @menu_id + 15),
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(@role_menu_id + 16, 1, @menu_id + 16),
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(@role_menu_id + 17, 1, @menu_id + 17);
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@@ -0,0 +1,31 @@
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-- ConditionJson 操作符一次性迁移（基于当前生产 seed 数据）
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-- 原因：ConditionJson 改用稳定 token，避免 >、< 在接口传输中发生 HTML 转义。
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-- 仅修改规则 3、14、15、16 的 ConditionJson；RuleExpr、RuleText 和自由文本规则不变。
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USE `yltrs_ylcms`;
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-- 执行前确认当前值，并保存查询结果作为人工备份。
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SELECT id, RuleName, ConditionJson, RuleExpr
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FROM glms_risk_rule
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WHERE id IN (3, 14, 15, 16)
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ORDER BY id;
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START TRANSACTION;
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UPDATE glms_risk_rule
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SET ConditionJson = REPLACE(ConditionJson, '"Operator":">"', '"Operator":"gt"')
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WHERE id IN (3, 14, 15, 16)
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AND ConditionJson LIKE '%"Operator":">"%';
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UPDATE glms_risk_rule
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SET ConditionJson = REPLACE(ConditionJson, '"Operator":"<"', '"Operator":"lt"')
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WHERE id IN (3, 14, 15, 16)
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AND ConditionJson LIKE '%"Operator":"<"%';
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COMMIT;
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-- 执行后确认：ConditionJson 使用 token，RuleExpr 保持原简洁公式。
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SELECT id, RuleName, ConditionJson, RuleExpr
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FROM glms_risk_rule
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WHERE id IN (3, 14, 15, 16)
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ORDER BY id;
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@@ -0,0 +1,23 @@
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-- ConditionJson 操作符迁移回滚（仅用于应用版本整体回退）
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-- 只恢复规则 3、14、15、16 的 ConditionJson 操作符，不修改 RuleExpr。
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USE `yltrs_ylcms`;
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START TRANSACTION;
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UPDATE glms_risk_rule
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SET ConditionJson = REPLACE(ConditionJson, '"Operator":"gt"', '"Operator":">"')
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WHERE id IN (3, 14, 15, 16)
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AND ConditionJson LIKE '%"Operator":"gt"%';
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UPDATE glms_risk_rule
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SET ConditionJson = REPLACE(ConditionJson, '"Operator":"lt"', '"Operator":"<"')
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WHERE id IN (3, 14, 15, 16)
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AND ConditionJson LIKE '%"Operator":"lt"%';
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COMMIT;
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SELECT id, RuleName, ConditionJson, RuleExpr
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FROM glms_risk_rule
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WHERE id IN (3, 14, 15, 16)
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ORDER BY id;
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@@ -1,135 +0,0 @@
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-- ============================================================
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-- 规则应用初始数据（对应设计文档 §4.9.1 通用规则预置参考）
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-- 依赖：seed_rules.sql（规则数据需先插入）
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--
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-- 每条规则对应一条应用配置（1:1），定义"何时、对谁、怎么处理"
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-- ControlStrategy: 1=Block(禁止), 2=Approval(审批), 3=Warning(提示)
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-- TriggerPoints: BOOK_CONFIRM=簿记交易确认
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-- ScopeIsGlobal: 1=全局适用, 0=按维度配置（Scope字段为NULL表示"全部"）
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-- ============================================================
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-- 规则1：挂钩标的集中度超阈值（审批，全局）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '挂钩标的集中度超阈值';
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-- 规则2：挂钩标的到期日小于合约到期日（禁止，全局）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 1, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '挂钩标的到期日小于合约到期日';
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-- 规则3：名义本金超阈值（审批，账户/合约类型）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '名义本金超阈值';
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-- 规则4：保证金支付比例超阈值（审批，账户/标的类型）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '保证金支付比例超阈值';
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-- 规则5：保证金利率偏离（审批，账户）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '保证金利率偏离';
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-- 规则6：保证金收取比例低于最低标准（审批，账户/标的类型）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '保证金收取比例低于最低标准';
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-- 规则7：起息日早于当前日期（审批，全局）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '起息日早于当前日期';
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-- 规则8：支付日为银行间交易日（审批，全局）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '支付日为银行间交易日';
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-- 规则9：到期日为银行间交易日（审批，全局）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '到期日为银行间交易日';
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-- 规则10：平仓日为银行间交易日（审批，全局）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '平仓日为银行间交易日';
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-- 规则11：合约期限超阈值（审批，账户）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '合约期限超阈值';
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-- 规则12：债券类净价偏离（审批，全局）
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INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
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SELECT
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CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
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FROM `glms_risk_rule` r WHERE r.RuleName = '债券类净价偏离';
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-- 规则13：债券类收益率偏离（审批，全局）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '债券类收益率偏离';
|
||||
|
||||
-- 规则14：非债券类价格偏离（审批，全局）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '非债券类价格偏离';
|
||||
|
||||
-- 规则15：单一交易对手累计标的数量超阈值（审批，对手方）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '单一交易对手累计标的数量超阈值';
|
||||
|
||||
-- 规则16：多头支付固定端利率偏离（审批，账户）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '多头支付固定端利率偏离';
|
||||
|
||||
-- 规则17：空头利率减点借贷加权偏离（审批，账户）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '空头利率减点借贷加权偏离';
|
||||
|
||||
-- 规则18：账户授权收支方向不匹配（禁止，账户）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 1, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '账户授权收支方向不匹配';
|
||||
|
||||
-- 规则19：执行价偏离超阈值（审批，账户）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 2, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '执行价偏离超阈值';
|
||||
|
||||
-- 规则20：希腊字母限额超阈值（提示，账户/标的，预留接口）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 3, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 0, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '希腊字母限额超阈值';
|
||||
|
||||
-- 规则21：接近/触发敲入敲出价（提示，全局，预留接口）
|
||||
INSERT INTO `glms_risk_rule_application` (`RuleIds`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`)
|
||||
SELECT
|
||||
CAST(r.id AS CHAR), 1, 3, 'BOOK_CONFIRM', NULL, NULL, NULL, NULL, 1, 1, 0, 'SYSTEM', NOW()
|
||||
FROM `glms_risk_rule` r WHERE r.RuleName = '接近/触发敲入敲出价';
|
||||
@@ -1,50 +0,0 @@
|
||||
-- ============================================================
|
||||
-- 异常交易监控页面 - 操作权限（按钮）数据
|
||||
-- 依赖：异常交易监控菜单 id=1077 (type=1) 需先插入
|
||||
-- 对应 FunctionRight.xml 风险控制下风控相关操作权限（共16个按钮）
|
||||
-- type: 0=目录 1=菜单 2=按钮
|
||||
-- ============================================================
|
||||
|
||||
-- ----------------------------
|
||||
-- 1. sys_menu 页面+按钮（type=1，2）
|
||||
-- ----------------------------
|
||||
INSERT INTO `yltrs_admin`.`sys_menu` (`id`, `pid`, `pids`, `name`, `code`, `type`, `icon`, `router`, `component`, `permission`, `application`, `open_type`, `visible`, `link`, `redirect`, `weight`, `sort`, `remark`, `status`, `create_time`, `create_user`, `update_time`, `update_user`) VALUES
|
||||
(1077, 99, NULL, '异常交易监控', NULL, 1, NULL, NULL, NULL, '异常交易监控', NULL, NULL, NULL, NULL, NULL, NULL, 0, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1078, 1077, NULL, '风控规则查看', NULL, 2, NULL, NULL, NULL, '风控规则查看', NULL, NULL, NULL, NULL, NULL, NULL, 1, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1079, 1077, NULL, '风控规则新增', NULL, 2, NULL, NULL, NULL, '风控规则新增', NULL, NULL, NULL, NULL, NULL, NULL, 2, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1080, 1077, NULL, '风控规则编辑', NULL, 2, NULL, NULL, NULL, '风控规则编辑', NULL, NULL, NULL, NULL, NULL, NULL, 3, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1081, 1077, NULL, '风控规则删除', NULL, 2, NULL, NULL, NULL, '风控规则删除', NULL, NULL, NULL, NULL, NULL, NULL, 4, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1082, 1077, NULL, '风控规则启停', NULL, 2, NULL, NULL, NULL, '风控规则启停', NULL, NULL, NULL, NULL, NULL, NULL, 5, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1083, 1077, NULL, '风控应用查看', NULL, 2, NULL, NULL, NULL, '风控应用查看', NULL, NULL, NULL, NULL, NULL, NULL, 6, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1084, 1077, NULL, '风控应用新增', NULL, 2, NULL, NULL, NULL, '风控应用新增', NULL, NULL, NULL, NULL, NULL, NULL, 7, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1085, 1077, NULL, '风控应用编辑', NULL, 2, NULL, NULL, NULL, '风控应用编辑', NULL, NULL, NULL, NULL, NULL, NULL, 8, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1086, 1077, NULL, '风控应用删除', NULL, 2, NULL, NULL, NULL, '风控应用删除', NULL, NULL, NULL, NULL, NULL, NULL, 9, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1087, 1077, NULL, '风控应用启停', NULL, 2, NULL, NULL, NULL, '风控应用启停', NULL, NULL, NULL, NULL, NULL, NULL, 10, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1088, 1077, NULL, '风控变量查看', NULL, 2, NULL, NULL, NULL, '风控变量查看', NULL, NULL, NULL, NULL, NULL, NULL, 11, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1089, 1077, NULL, '风控变量新增', NULL, 2, NULL, NULL, NULL, '风控变量新增', NULL, NULL, NULL, NULL, NULL, NULL, 12, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1090, 1077, NULL, '风控变量编辑', NULL, 2, NULL, NULL, NULL, '风控变量编辑', NULL, NULL, NULL, NULL, NULL, NULL, 13, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1091, 1077, NULL, '风控变量删除', NULL, 2, NULL, NULL, NULL, '风控变量删除', NULL, NULL, NULL, NULL, NULL, NULL, 14, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1092, 1077, NULL, '风控日志查看', NULL, 2, NULL, NULL, NULL, '风控日志查看', NULL, NULL, NULL, NULL, NULL, NULL, 15, '', 0, NULL, NULL, NULL, NULL),
|
||||
(1093, 1077, NULL, '风控日志导出', NULL, 2, NULL, NULL, NULL, '风控日志导出', NULL, NULL, NULL, NULL, NULL, NULL, 16, '', 0, NULL, NULL, NULL, NULL);
|
||||
|
||||
-- ----------------------------
|
||||
-- 2. sys_role_menu 角色1的按钮权限
|
||||
-- ----------------------------
|
||||
INSERT INTO `yltrs_admin`.`sys_role_menu` (`id`, `role_id`, `menu_id`) VALUES
|
||||
(1097, 1, 1077),
|
||||
(1098, 1, 1078),
|
||||
(1099, 1, 1079),
|
||||
(1100, 1, 1080),
|
||||
(1101, 1, 1081),
|
||||
(1102, 1, 1082),
|
||||
(1103, 1, 1083),
|
||||
(1104, 1, 1084),
|
||||
(1105, 1, 1085),
|
||||
(1106, 1, 1086),
|
||||
(1107, 1, 1087),
|
||||
(1108, 1, 1088),
|
||||
(1109, 1, 1089),
|
||||
(1110, 1, 1090),
|
||||
(1111, 1, 1091),
|
||||
(1112, 1, 1092),
|
||||
(1113, 1, 1093);
|
||||
@@ -0,0 +1,121 @@
|
||||
-- ============================================================
|
||||
-- 规则应用初始数据（对应当前 glms_risk_rule_application 数据库内容）
|
||||
-- 依赖：seed_risk_engine_rules.sql（规则数据需先插入）
|
||||
--
|
||||
-- 本次仅同步依赖脚本文件名，不修改应用业务数据和 RuleIds。
|
||||
-- 每条记录对应一条应用配置，定义"何时、对谁、怎么处理"
|
||||
-- ControlStrategy: 1=Block(禁止), 2=Approval(审批), 3=Warning(提示)
|
||||
-- TriggerPoints: BOOK_CONFIRM=簿记交易确认
|
||||
-- ScopeIsGlobal: 1=全局适用, 0=按维度配置（Scope字段为空字符串表示"全部"）
|
||||
-- ============================================================
|
||||
|
||||
-- 插入当前数据库中的 6 条规则应用，保留原始 ID 和 RuleIds
|
||||
INSERT INTO `yltrs_ylcms`.`glms_risk_rule_application` (`id`, `RuleIds`, `Description`, `Status`, `ControlStrategy`, `TriggerPoints`, `ScopeAssetBookIds`, `ScopeClientIds`, `ScopeUnderlyingTypes`, `ScopeTradeTypes`, `ScopeIsGlobal`, `Version`, `OptId`, `OptName`, `OptDate`, `UpdateOptId`, `UpdateOptName`, `UpdateDate`) VALUES
|
||||
(23,
|
||||
'3',
|
||||
'',
|
||||
2,
|
||||
2,
|
||||
'BOOK_CONFIRM',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
1,
|
||||
8,
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-13 13:24:03',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:49:39'),
|
||||
(24,
|
||||
'12',
|
||||
'',
|
||||
2,
|
||||
2,
|
||||
'BOOK_CONFIRM',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
1,
|
||||
10,
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-14 15:46:51',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:49:42'),
|
||||
(25,
|
||||
'13',
|
||||
NULL,
|
||||
2,
|
||||
2,
|
||||
'BOOK_CONFIRM',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
1,
|
||||
1,
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-15 14:06:10',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:00'),
|
||||
(26,
|
||||
'14',
|
||||
'',
|
||||
2,
|
||||
2,
|
||||
'BOOK_CONFIRM',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
1,
|
||||
2,
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-15 15:19:30',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:05'),
|
||||
(27,
|
||||
'16',
|
||||
NULL,
|
||||
2,
|
||||
2,
|
||||
'BOOK_CONFIRM',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
1,
|
||||
4,
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-15 17:44:02',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:54:11'),
|
||||
(28,
|
||||
'15',
|
||||
'',
|
||||
2,
|
||||
2,
|
||||
'BOOK_CONFIRM',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
'',
|
||||
1,
|
||||
2,
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-15 17:49:56',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:03');
|
||||
@@ -0,0 +1,121 @@
|
||||
-- ============================================================
|
||||
-- 规则初始数据（对应当前 glms_risk_rule 数据库内容）
|
||||
-- 依赖：seed_risk_engine_variables.sql（变量池数据需先插入）
|
||||
--
|
||||
-- 变量 ID 映射（seed_risk_engine_variables.sql 自增）：
|
||||
-- 1=合约名义本金 2=合约起息日 3=合约到期日 4=合约平仓日
|
||||
-- 5=合约支付日 6=期初净价 7=期初全价 8=期初收益率
|
||||
-- 9=期初价格 10=期末全价 11=期末价格 12=保证金利率
|
||||
-- 13=保证金比例 14=客户授信额度
|
||||
-- 15=上一收盘日中债估值净价 16=上一收盘日中债估值全价 17=上一收盘日中债估值收益率
|
||||
-- 18=上一日收盘价 19=借贷加权费率 20=FR007 21=当前日期
|
||||
-- 22=挂钩标的到期日 23=标的发行余额
|
||||
-- 24=挂钩标的集中度 25=授信占用率 26=合约期限 27=Delta
|
||||
-- 28=Gamma 29=Vega 30=Theta 31=利息端利率
|
||||
-- 32=对手方累计标的数量 33=同一标的累计名义本金 34=同一客户累计名义本金
|
||||
-- 35=总持仓名义本金
|
||||
-- 36=到期日是否银行间交易日 37=平仓日是否银行间交易日 38=支付日是否银行间交易日
|
||||
-- 39=利息端/浮动端方向是否同向 40=关键业务要素是否一致
|
||||
-- 41=多空方向为多头 42=多空方向为空头
|
||||
-- 43=保证金收支方向为支付 44=保证金收支方向为收取
|
||||
-- 45=期初净价偏离度 46=期初收益率偏离度 47=期初价格偏离度
|
||||
-- 48=利息端利率与FR007偏离度 49=利息端利率与借贷加权费率偏离度
|
||||
-- 50=执行价偏离度 51=执行价 52=客户品种最低保证金率 53=参考价格
|
||||
--
|
||||
-- ConditionJson 仅保存执行所需字段：普通比较使用 VariableId/Operator/ThresholdType/Value/ThresholdVariableId；
|
||||
-- 区间比较使用 Lower/UpperThresholdType、Lower/UpperValue、Lower/UpperThresholdVariableId、IncludeLower/IncludeUpper。
|
||||
-- 修改原因：Operator 使用 gt/lt 等稳定 token，避免 >、< 在接口传输中发生 HTML 转义。
|
||||
-- RuleExpr 保持现有简洁 C# 公式；编译前类型转换由 RiskEngineCompiler 负责。
|
||||
-- 展示字段（VariableName/VariableType/Unit/ThresholdVariableName）从变量接口关联获取
|
||||
-- ============================================================
|
||||
|
||||
|
||||
-- ============================================================
|
||||
-- 插入当前数据库中的 6 条规则，保留原始 ID 以匹配规则应用表 RuleIds
|
||||
-- ============================================================
|
||||
|
||||
INSERT INTO `yltrs_ylcms`.`glms_risk_rule` (`id`, `RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Description`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`, `UpdateOptId`, `UpdateOptName`, `UpdateDate`) VALUES
|
||||
(3,
|
||||
'名义本金超阈值',
|
||||
'合约名义本金 > 1亿',
|
||||
'[{"VariableId":1,"Operator":"gt","ThresholdType":"Fixed","Value":100000000}]',
|
||||
'DbContext.trade.First(t => t.id == TradeId).StockEqvNotional > 100000000',
|
||||
'',
|
||||
2,
|
||||
14,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:33'),
|
||||
(12,
|
||||
'债券类净价偏离',
|
||||
'期初净价与上一收盘日中债估值净价绝对价差大于5元时触发审批',
|
||||
'',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).PosiNetNoFeePrice.Value * 100m - DbContext.china_bond_valuation.Where(v => v.bond_id == DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).UnderlyingCode && v.valuation_date < DbContext.trade.First(t => t.id == TradeId).TradeDate.Value.Date).OrderBy(v => v.credibility).ThenByDescending(v => v.valuation_date).First().net_price.Value) > 5m',
|
||||
NULL,
|
||||
2,
|
||||
9,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:29'),
|
||||
(13,
|
||||
'债券类收益率偏离',
|
||||
'',
|
||||
'',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).InitYtm.Value * 100m - DbContext.china_bond_valuation.Where(v => v.bond_id == DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).UnderlyingCode && v.valuation_date < DbContext.trade.First(t => t.id == TradeId).TradeDate.Value.Date).OrderBy(v => v.credibility).ThenByDescending(v => v.valuation_date).First().yield.Value) > 0.4m',
|
||||
'',
|
||||
2,
|
||||
10,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:21'),
|
||||
(14,
|
||||
'非债券类价格偏离',
|
||||
'TRS非债券价格偏离绝对值 > 5元',
|
||||
'[{"VariableId":47,"Operator":"gt","ThresholdType":"Fixed","Value":5}]',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).PosiGrossPrice * 100 - Convert.ToDecimal(DbContext.eod_commodity_future_price.Where(e => e.UnderlyingCode == DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).UnderlyingCode && e.ValueDate < DbContext.trade.First(t => t.id == TradeId).TradeDate.Value.Date).OrderByDescending(e => e.ValueDate).First().ClosePrice)) > 5',
|
||||
'',
|
||||
2,
|
||||
8,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:37'),
|
||||
(15,
|
||||
'单一交易对手累计标的数量超阈值',
|
||||
'对手方累计标的数量 > 10个',
|
||||
'[{"VariableId":32,"Operator":"gt","ThresholdType":"Fixed","Value":10}]',
|
||||
'DbContext.swap_position.Where(p => !string.IsNullOrEmpty(p.UnderlyingCode) && !p.IsInitial && p.PosiQuantity > 0 && !p.Invalid && p.PosiDirection > 0 && DbContext.trade.Any(t => t.id == p.SwapTradeId && t.ValidState != "InValid" && t.ClientId == DbContext.trade.First(x => x.id == TradeId).ClientId)).Select(p => p.UnderlyingCode).Distinct().Count() > 10',
|
||||
'',
|
||||
2,
|
||||
8,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:50:18'),
|
||||
(16,
|
||||
'多头支付固定端利率偏离',
|
||||
'利息端利率与FR007偏离度 > 3%',
|
||||
'[{"VariableId":48,"Operator":"gt","ThresholdType":"Fixed","Value":3}]',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.InterestDirection == 1).InterestRateDefault)*100m > 3',
|
||||
'',
|
||||
2,
|
||||
5,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 14:54:18');
|
||||
@@ -0,0 +1,112 @@
|
||||
-- ============================================================
|
||||
-- 变量池初始数据（对应当前 glms_risk_variable 数据库内容）
|
||||
-- ============================================================
|
||||
|
||||
-- 4.4.1 簿记要素类（Category=1）
|
||||
-- 4.4.2 行情类（Category=2，统一取上一交易日收盘价）
|
||||
-- 4.4.3 系统计算值类（Category=3）
|
||||
-- 新增变量（ID 45~53）：
|
||||
-- 45=期初净价偏离度 46=期初收益率偏离度 47=期初价格偏离度
|
||||
-- 48=利息端利率与FR007偏离度 49=利息端利率与借贷加权费率偏离度
|
||||
-- 50=执行价偏离度 51=执行价 52=客户品种最低保证金率 53=参考价格
|
||||
-- 4.4.4 布尔判断类（Category=4）
|
||||
-- 说明：结构化 RuleExpr 的固定数值不追加 m；本文件 VariableExpr 为人工维护的 C# 表达式，原有 m 后缀保持不变。
|
||||
|
||||
-- 插入当前数据库中的 6 条变量，保留原始 ID 以匹配规则 ConditionJson 中的 VariableId
|
||||
INSERT INTO `yltrs_ylcms`.`glms_risk_variable` (`id`, `VariableName`, `Category`, `DataType`, `Unit`, `ValueDomain`, `Description`, `VariableExpr`, `Version`, `SortOrder`, `OptId`, `OptName`, `OptDate`, `UpdateOptId`, `UpdateOptName`, `UpdateDate`) VALUES
|
||||
(1,
|
||||
'合约名义本金',
|
||||
1,
|
||||
1,
|
||||
'元',
|
||||
'≥ 0',
|
||||
'',
|
||||
'DbContext.trade.First(t => t.id == TradeId).StockEqvNotional',
|
||||
18,
|
||||
0,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-23 20:13:16',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 10:02:27'),
|
||||
(32,
|
||||
'对手方累计标的数量',
|
||||
3,
|
||||
1,
|
||||
'个',
|
||||
'≥ 0',
|
||||
'当前交易对手方所有存续交易涉及的标的数量（去重）合计（含本笔）',
|
||||
'DbContext.swap_position.Where(p => !string.IsNullOrEmpty(p.UnderlyingCode) && !p.IsInitial && p.PosiQuantity > 0 && !p.Invalid && p.PosiDirection > 0 && DbContext.trade.Any(t => t.id == p.SwapTradeId && t.ValidState != "InValid" && t.ClientId == DbContext.trade.First(x => x.id == TradeId).ClientId)).Select(p => p.UnderlyingCode).Distinct().Count()',
|
||||
3,
|
||||
0,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-23 20:13:16',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 11:20:06'),
|
||||
(45,
|
||||
'TRS债券净价偏离绝对值',
|
||||
3,
|
||||
1,
|
||||
'%',
|
||||
'≥ 0',
|
||||
'abs(期初标的交割净价% - 上一收盘日中债估值净价)',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).PosiNetNoFeePrice.Value * 100 - DbContext.china_bond_valuation.Where(v => v.bond_id == DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).UnderlyingCode && v.valuation_date < DbContext.trade.First(t => t.id == TradeId).TradeDate.Value.Date).OrderByDescending(v => v.valuation_date).First().net_price.Value)',
|
||||
6,
|
||||
0,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 13:28:12'),
|
||||
(46,
|
||||
'TRS债券收益率偏离绝对值',
|
||||
3,
|
||||
1,
|
||||
'%',
|
||||
'≥ 0',
|
||||
'abs(期初标的成交收益率% - 上一收盘日中债估值收益率)',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).InitYtm.Value * 100 - DbContext.china_bond_valuation.Where(v => v.bond_id == DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).UnderlyingCode && v.valuation_date < DbContext.trade.First(t => t.id == TradeId).TradeDate.Value.Date).OrderBy(v => v.credibility).ThenByDescending(v => v.valuation_date).First().yield.Value)',
|
||||
3,
|
||||
0,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 13:28:30'),
|
||||
(47,
|
||||
'TRS非债券价格偏离绝对值',
|
||||
3,
|
||||
1,
|
||||
'元',
|
||||
'≥ 0',
|
||||
'abs(期初标的交割全价% - 上一日标的收盘价)',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).PosiGrossPrice * 100 - Convert.ToDecimal(DbContext.eod_commodity_future_price.Where(e => e.UnderlyingCode == DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).UnderlyingCode && e.ValueDate < DbContext.trade.First(t => t.id == TradeId).TradeDate.Value.Date).OrderByDescending(e => e.ValueDate).First().ClosePrice))',
|
||||
4,
|
||||
0,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-17 13:29:43'),
|
||||
(48,
|
||||
'利息端利率与FR007偏离度',
|
||||
3,
|
||||
1,
|
||||
'%',
|
||||
'≥ 0',
|
||||
'ABS(利息端利率-FR007)/FR007*100',
|
||||
'Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.InterestDirection == 1).InterestRateDefault)*100m',
|
||||
2,
|
||||
0,
|
||||
0,
|
||||
'SYSTEM',
|
||||
'2026-06-24 15:51:47',
|
||||
1,
|
||||
'初始用户',
|
||||
'2026-07-16 19:23:05');
|
||||
@@ -1,292 +0,0 @@
|
||||
-- ============================================================
|
||||
-- 规则初始数据（对应设计文档 §4.9.1 通用规则预置参考）
|
||||
-- 依赖：seed_variables.sql（变量池数据需先插入，ID 1~44）
|
||||
--
|
||||
-- 变量 ID 映射（seed_variables.sql 自增）：
|
||||
-- 1=合约名义本金 2=合约起息日 3=合约到期日 4=合约平仓日
|
||||
-- 5=合约支付日 6=期初净价 7=期初全价 8=期初收益率
|
||||
-- 9=期初价格 10=期末全价 11=期末价格 12=保证金利率
|
||||
-- 13=保证金比例 14=客户授信额度
|
||||
-- 15=上一收盘日中债估值净价 16=上一收盘日中债估值全价 17=上一收盘日中债估值收益率
|
||||
-- 18=上一日收盘价 19=借贷加权费率 20=FR007 21=当前日期
|
||||
-- 22=挂钩标的到期日 23=标的发行余额
|
||||
-- 24=挂钩标的集中度 25=授信占用率 26=合约期限 27=Delta
|
||||
-- 28=Gamma 29=Vega 30=Theta 31=利息端利率
|
||||
-- 32=对手方累计标的数量 33=同一标的累计名义本金 34=同一客户累计名义本金
|
||||
-- 35=总持仓名义本金
|
||||
-- 36=到期日是否银行间交易日 37=平仓日是否银行间交易日 38=支付日是否银行间交易日
|
||||
-- 39=利息端/浮动端方向是否同向 40=关键业务要素是否一致
|
||||
-- 41=多空方向为多头 42=多空方向为空头
|
||||
-- 43=保证金收支方向为支付 44=保证金收支方向为收取
|
||||
-- 45=期初净价偏离度 46=期初收益率偏离度 47=期初价格偏离度
|
||||
-- 48=利息端利率与FR007偏离度 49=利息端利率与借贷加权费率偏离度
|
||||
-- 50=执行价偏离度 51=执行价 52=客户品种最低保证金率 53=参考价格
|
||||
--
|
||||
-- ConditionJson 精简设计：只存 VariableId/Operator/ThresholdType/Value/ThresholdVariableId
|
||||
-- 展示字段（VariableName/VariableType/Unit/ThresholdVariableName）从变量接口关联获取
|
||||
-- ============================================================
|
||||
|
||||
|
||||
-- ============================================================
|
||||
-- 插入 21 条通用规则
|
||||
-- ============================================================
|
||||
|
||||
-- 规则1：挂钩标的集中度超阈值（审批，全局）
|
||||
-- 条件：挂钩标的集中度(ID=24) > 30%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('挂钩标的集中度超阈值',
|
||||
'挂钩标的集中度超过阈值（默认30%）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 24,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 30
|
||||
)),
|
||||
'calc.UnderlyingConcentration > 30',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则2：挂钩标的到期日小于合约到期日（禁止，全局）
|
||||
-- 条件：挂钩标的到期日(ID=22) < 合约到期日(ID=3)
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('挂钩标的到期日小于合约到期日',
|
||||
'挂钩标的到期日早于合约到期日时禁止交易',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 22,
|
||||
'Operator', '早于', 'ThresholdType', 'Variable',
|
||||
'ThresholdVariableId', 3
|
||||
)),
|
||||
'market.UnderlyingMaturityDate < trade.ExerciseDate',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则3：名义本金超阈值（审批，账户/合约类型）
|
||||
-- 条件：合约名义本金(ID=1) > 100000000（1亿元）
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('名义本金超阈值',
|
||||
'合约名义本金超过阈值（默认1亿元）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 1,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 100000000
|
||||
)),
|
||||
'trade.StockEqvNotional > 100000000',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则4：保证金支付比例超阈值（审批，账户/标的类型）
|
||||
-- 条件：保证金比例(ID=13) > 50%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('保证金支付比例超阈值',
|
||||
'保证金比例超过阈值（默认50%）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 13,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 50
|
||||
)),
|
||||
'trade.MarginRate > 50',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则5：保证金利率偏离（审批，账户）
|
||||
-- 条件：保证金利率(ID=12) 不介于 [2%, 5%]
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('保证金利率偏离',
|
||||
'保证金利率不在配置区间内（默认2%~5%）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 12,
|
||||
'Operator', '不介于', 'ThresholdType', 'Fixed', 'Value', JSON_ARRAY(2, 5),
|
||||
'IncludeLowerBound', true, 'IncludeUpperBound', true
|
||||
)),
|
||||
'!(client_marginrate.InitMarginRebateRate >= 2 && client_marginrate.InitMarginRebateRate <= 5)',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则6：保证金收取比例低于最低标准（审批，账户/标的类型）
|
||||
-- 条件：保证金比例(ID=13) < 客户品种最低保证金率(ID=52)
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('保证金收取比例低于最低标准',
|
||||
'保证金比例低于客户品种最低保证金率时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 13,
|
||||
'Operator', '<', 'ThresholdType', 'Variable',
|
||||
'ThresholdVariableId', 52
|
||||
)),
|
||||
'trade.MarginRate < config.MinMarginRate',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则7：起息日早于当前日期（审批，全局）
|
||||
-- 条件：合约起息日(ID=2) < 当前日期(ID=21)
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('起息日早于当前日期',
|
||||
'合约起息日早于当前日期时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 2,
|
||||
'Operator', '早于', 'ThresholdType', 'Variable',
|
||||
'ThresholdVariableId', 21
|
||||
)),
|
||||
'trade.StartDate < sys.CurrentDate',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则8：支付日为银行间交易日（审批，全局）
|
||||
-- 条件：支付日是否银行间交易日(ID=38) = 是
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('支付日为银行间交易日',
|
||||
'支付日为银行间交易日时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 38,
|
||||
'Operator', '是', 'ThresholdType', 'Fixed', 'Value', true
|
||||
)),
|
||||
'calc.IsSettlementDateTradingDay == true',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则9：到期日为银行间交易日（审批，全局）
|
||||
-- 条件：到期日是否银行间交易日(ID=36) = 是
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('到期日为银行间交易日',
|
||||
'到期日为银行间交易日时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 36,
|
||||
'Operator', '是', 'ThresholdType', 'Fixed', 'Value', true
|
||||
)),
|
||||
'calc.IsExerciseDateTradingDay == true',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则10：平仓日为银行间交易日（审批，全局）
|
||||
-- 条件：平仓日是否银行间交易日(ID=37) = 是
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('平仓日为银行间交易日',
|
||||
'平仓日为银行间交易日时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 37,
|
||||
'Operator', '是', 'ThresholdType', 'Fixed', 'Value', true
|
||||
)),
|
||||
'calc.IsUnwindDateTradingDay == true',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则11：合约期限超阈值（审批，账户）
|
||||
-- 条件：合约期限(ID=26) > 365天
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('合约期限超阈值',
|
||||
'合约期限超过阈值（默认365天）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 26,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 365
|
||||
)),
|
||||
'calc.MaturityDays > 365',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则12：债券类净价偏离（审批，全局）
|
||||
-- 条件：期初净价偏离度(ID=45) > 5%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('债券类净价偏离',
|
||||
'期初净价与上一收盘日中债估值净价偏离度超阈值（默认5%）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 45,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 5
|
||||
)),
|
||||
'Math.Abs(swap_position.PosiNetNoFeePrice - market.CBValuationNetPrice) / market.CBValuationNetPrice * 100 > 5',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则13：债券类收益率偏离（审批，全局）
|
||||
-- 条件：期初收益率偏离度(ID=46) > 5%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('债券类收益率偏离',
|
||||
'期初收益率与上一收盘日中债估值收益率偏离度超阈值（默认5%）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 46,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 5
|
||||
)),
|
||||
'Math.Abs(trade.InitYtm - market.CBValuationYtm) / market.CBValuationYtm * 100 > 5',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则14：非债券类价格偏离（审批，全局）
|
||||
-- 条件：期初价格偏离度(ID=47) > 5%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('非债券类价格偏离',
|
||||
'期初价格与上一日收盘价偏离度超阈值（默认5%）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 47,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 5
|
||||
)),
|
||||
'Math.Abs(trade.SpotPrice - market.LastClosePrice) / market.LastClosePrice * 100 > 5',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则15：单一交易对手累计标的数量超阈值（审批，对手方）
|
||||
-- 条件：对手方累计标的数量(ID=32) > 10个
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('单一交易对手累计标的数量超阈值',
|
||||
'对手方累计标的数量超过阈值（默认10个）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 32,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 10
|
||||
)),
|
||||
'calc.CounterpartyUnderlyingCount > 10',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则16：多头支付固定端利率偏离（审批，账户）
|
||||
-- 条件：多空方向为多头(ID=41) AND 利息端利率与FR007偏离度(ID=48) > 3%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('多头支付固定端利率偏离',
|
||||
'多头方向支付固定端场景下，利息端利率与FR007偏离度超阈值（默认3%）时触发审批',
|
||||
JSON_ARRAY(
|
||||
JSON_OBJECT(
|
||||
'VariableId', 41,
|
||||
'Operator', '是', 'ThresholdType', 'Fixed', 'Value', true
|
||||
),
|
||||
JSON_OBJECT(
|
||||
'VariableId', 48,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 3
|
||||
)
|
||||
),
|
||||
'calc.IsLongDirection == true && Math.Abs(calc.InterestRate - market.FR007) / market.FR007 * 100 > 3',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则17：空头利率减点借贷加权偏离（审批，账户）
|
||||
-- 条件：多空方向为空头(ID=42) AND 利息端利率与借贷加权费率偏离度(ID=49) > 2%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('空头利率减点借贷加权偏离',
|
||||
'空头方向场景下，利息端利率与借贷加权费率偏离度超阈值（默认2%）时触发审批',
|
||||
JSON_ARRAY(
|
||||
JSON_OBJECT(
|
||||
'VariableId', 42,
|
||||
'Operator', '是', 'ThresholdType', 'Fixed', 'Value', true
|
||||
),
|
||||
JSON_OBJECT(
|
||||
'VariableId', 49,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 2
|
||||
)
|
||||
),
|
||||
'calc.IsShortDirection == true && Math.Abs(calc.InterestRate - market.BondLendingRate) / market.BondLendingRate * 100 > 2',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则18：账户授权收支方向不匹配（禁止，账户）
|
||||
-- 条件：保证金收支方向为支付(ID=43)（实际需结合账户授权方向判断，此处简化）
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('账户授权收支方向不匹配',
|
||||
'保证金收支方向与账户授权方向不匹配时禁止交易',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 43,
|
||||
'Operator', '是', 'ThresholdType', 'Fixed', 'Value', true
|
||||
)),
|
||||
'calc.IsMarginPay == true',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则19：执行价偏离超阈值（审批，账户）
|
||||
-- 条件：执行价偏离度(ID=50) > 5%
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('执行价偏离超阈值',
|
||||
'执行价与参考价格偏离度超阈值（默认5%）时触发审批',
|
||||
JSON_ARRAY(JSON_OBJECT(
|
||||
'VariableId', 50,
|
||||
'Operator', '>', 'ThresholdType', 'Fixed', 'Value', 5
|
||||
)),
|
||||
'Math.Abs(trade.StrikePrice - market.ReferencePrice) / market.ReferencePrice * 100 > 5',
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则20：希腊字母限额超阈值（提示，预留接口，一期不纳入）
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('希腊字母限额超阈值',
|
||||
'Delta/Gamma/Vega/Theta任一超阈值时提示（预留接口，一期不纳入）',
|
||||
NULL,
|
||||
NULL,
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 规则21：接近/触发敲入敲出价（提示，预留接口，需确认具体判断逻辑）
|
||||
INSERT INTO `glms_risk_rule` (`RuleName`, `RuleText`, `ConditionJson`, `RuleExpr`, `Status`, `Version`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('接近/触发敲入敲出价',
|
||||
'标的价格接近敲入/敲出价时提示（预留接口，需确认具体判断逻辑）',
|
||||
NULL,
|
||||
NULL,
|
||||
1, 1, 0, 'SYSTEM', NOW());
|
||||
@@ -1,73 +0,0 @@
|
||||
-- ============================================================
|
||||
-- 变量池初始数据（对应设计文档 §4.4 变量池完整清单）
|
||||
-- ============================================================
|
||||
|
||||
-- 4.4.1 簿记要素类（Category=1）
|
||||
INSERT INTO `glms_risk_variable` (`VariableName`, `Category`, `DataType`, `Unit`, `ValueDomain`, `Description`, `VariableExpr`, `SortOrder`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('合约名义本金', 1, 1, '元', '≥ 0', 'trade.StockEqvNotional 或 swap_position.PosiNotionalValue', 'trade.StockEqvNotional', 101, 0, 'SYSTEM', NOW()),
|
||||
('合约起息日', 1, 2, NULL, NULL, 'trade.StartDate 或 swap_position.PosiStartDate', 'trade.StartDate', 102, 0, 'SYSTEM', NOW()),
|
||||
('合约到期日', 1, 2, NULL, NULL, 'trade.ExerciseDate 或 swap_position.PosiMatuirityDate', 'trade.ExerciseDate', 103, 0, 'SYSTEM', NOW()),
|
||||
('合约平仓日', 1, 2, NULL, NULL, 'trade.UnWindDate', 'trade.UnWindDate', 104, 0, 'SYSTEM', NOW()),
|
||||
('合约支付日', 1, 2, NULL, NULL, 'trade.SettlementDate', 'trade.SettlementDate', 105, 0, 'SYSTEM', NOW()),
|
||||
('期初净价', 1, 1, '元', '≥ 0', 'swap_position.PosiNetNoFeePrice（债券 TRS）', 'swap_position.PosiNetNoFeePrice', 106, 0, 'SYSTEM', NOW()),
|
||||
('期初全价', 1, 1, '元', '≥ 0', 'swap_position.PosiNetFeePrice（债券 TRS）/ trade.SpotPrice（其他）', 'swap_position.PosiNetFeePrice', 107, 0, 'SYSTEM', NOW()),
|
||||
('期初收益率', 1, 1, '%', NULL, 'trade.InitYtm 或 swap_position.InitYtm', 'trade.InitYtm', 108, 0, 'SYSTEM', NOW()),
|
||||
('期初价格', 1, 1, '元', '≥ 0', 'trade.SpotPrice（非债券类）', 'trade.SpotPrice', 109, 0, 'SYSTEM', NOW()),
|
||||
('期末全价', 1, 1, '元', '≥ 0', 'eod_swap_position.UnderlyingPrice（债券 TRS）', 'eod_swap_position.UnderlyingPrice', 110, 0, 'SYSTEM', NOW()),
|
||||
('期末价格', 1, 1, '元', '≥ 0', 'trade.FinalPrice', 'trade.FinalPrice', 111, 0, 'SYSTEM', NOW()),
|
||||
('保证金利率', 1, 1, '%', NULL, 'client_marginrate.InitMarginRebateRate', 'client_marginrate.InitMarginRebateRate', 112, 0, 'SYSTEM', NOW()),
|
||||
('保证金比例', 1, 1, '%', '0~100', 'trade.MarginRate', 'trade.MarginRate', 113, 0, 'SYSTEM', NOW()),
|
||||
('客户授信额度', 1, 1, '元', '≥ 0', 'credit.Credit', 'credit.Credit', 114, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 4.4.2 行情类（Category=2，统一取上一交易日收盘价）
|
||||
INSERT INTO `glms_risk_variable` (`VariableName`, `Category`, `DataType`, `Unit`, `ValueDomain`, `Description`, `VariableExpr`, `SortOrder`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('上一收盘日中债估值净价', 2, 1, '元', '≥ 0', '资讯数据', 'market.CBValuationNetPrice', 201, 0, 'SYSTEM', NOW()),
|
||||
('上一收盘日中债估值全价', 2, 1, '元', '≥ 0', '资讯数据', 'market.CBValuationFullPrice', 202, 0, 'SYSTEM', NOW()),
|
||||
('上一收盘日中债估值收益率', 2, 1, '%', NULL, '资讯数据', 'market.CBValuationYtm', 203, 0, 'SYSTEM', NOW()),
|
||||
('上一日收盘价', 2, 1, '元', '≥ 0', '行情数据，按标的区分', 'market.LastClosePrice', 204, 0, 'SYSTEM', NOW()),
|
||||
('借贷加权费率', 2, 1, '%', NULL, 'CMDM 标的债券借贷费率行情表', 'market.BondLendingRate', 205, 0, 'SYSTEM', NOW()),
|
||||
('FR007', 2, 1, '%', NULL, '上一交易日收盘价', 'market.FR007', 206, 0, 'SYSTEM', NOW()),
|
||||
('当前日期', 2, 2, NULL, NULL, 'DateTime.Today', 'sys.CurrentDate', 207, 0, 'SYSTEM', NOW()),
|
||||
('挂钩标的到期日', 2, 2, NULL, NULL, '资讯数据', 'market.UnderlyingMaturityDate', 208, 0, 'SYSTEM', NOW()),
|
||||
('标的发行余额', 2, 1, '元', '≥ 0', '资讯数据', 'market.UnderlyingIssueBalance', 209, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 4.4.3 系统计算值类（Category=3）
|
||||
INSERT INTO `glms_risk_variable` (`VariableName`, `Category`, `DataType`, `Unit`, `ValueDomain`, `Description`, `VariableExpr`, `SortOrder`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('挂钩标的集中度', 3, 1, '%', '0~100', '同一标的存续交易总名义本金 ÷ 标的发行余额 × 100', 'calc.UnderlyingConcentration', 301, 0, 'SYSTEM', NOW()),
|
||||
('授信占用率', 3, 1, '%', '0~100', '(已占用授信 + 本笔授信占用) ÷ 授信总额 × 100', 'calc.CreditUsageRate', 302, 0, 'SYSTEM', NOW()),
|
||||
('合约期限', 3, 1, '天', '≥ 0', '(ExerciseDate - StartDate).Days', 'calc.MaturityDays', 303, 0, 'SYSTEM', NOW()),
|
||||
('Delta', 3, 1, NULL, NULL, 'realtime_trade_risk.Delta（预留接口，一期不纳入）', 'realtime_trade_risk.Delta', 304, 0, 'SYSTEM', NOW()),
|
||||
('Gamma', 3, 1, NULL, NULL, 'realtime_trade_risk.Gamma（预留接口，一期不纳入）', 'realtime_trade_risk.Gamma', 305, 0, 'SYSTEM', NOW()),
|
||||
('Vega', 3, 1, NULL, NULL, 'realtime_trade_risk.Vega（预留接口，一期不纳入）', 'realtime_trade_risk.Vega', 306, 0, 'SYSTEM', NOW()),
|
||||
('Theta', 3, 1, NULL, NULL, 'realtime_trade_risk.Theta（预留接口，一期不纳入）', 'realtime_trade_risk.Theta', 307, 0, 'SYSTEM', NOW()),
|
||||
('利息端利率', 3, 1, '%', NULL, '固定利率 或 FR007 ± 加点', 'calc.InterestRate', 308, 0, 'SYSTEM', NOW()),
|
||||
('对手方累计标的数量', 3, 1, '个', '≥ 0', 'COUNT(DISTINCT UnderlyingId) 该对手方所有存续交易，含本笔', 'calc.CounterpartyUnderlyingCount', 309, 0, 'SYSTEM', NOW()),
|
||||
('同一标的累计名义本金', 3, 1, '元', '≥ 0', 'SUM(该标的所有存续交易的 StockEqvNotional)，含本笔', 'calc.SameUnderlyingTotalNotional', 310, 0, 'SYSTEM', NOW()),
|
||||
('同一客户累计名义本金', 3, 1, '元', '≥ 0', 'SUM(该客户所有存续交易的 StockEqvNotional)，含本笔', 'calc.SameClientTotalNotional', 311, 0, 'SYSTEM', NOW()),
|
||||
('总持仓名义本金', 3, 1, '元', '≥ 0', 'SUM(所有存续交易的 StockEqvNotional)', 'calc.TotalPositionNotional', 312, 0, 'SYSTEM', NOW());
|
||||
-- 新增变量（ID 45~53）：
|
||||
-- 45=期初净价偏离度 46=期初收益率偏离度 47=期初价格偏离度
|
||||
-- 48=利息端利率与FR007偏离度 49=利息端利率与借贷加权费率偏离度
|
||||
-- 50=执行价偏离度 51=执行价 52=客户品种最低保证金率 53=参考价格
|
||||
INSERT INTO `glms_risk_variable` (`VariableName`, `Category`, `DataType`, `Unit`, `ValueDomain`, `Description`, `VariableExpr`, `SortOrder`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('期初净价偏离度', 3, 1, '%', '≥ 0', 'ABS(期初净价-中债估值净价)/中债估值净价*100', 'Math.Abs(swap_position.PosiNetNoFeePrice - market.CBValuationNetPrice) / market.CBValuationNetPrice * 100', 313, 0, 'SYSTEM', NOW()),
|
||||
('期初收益率偏离度', 3, 1, '%', '≥ 0', 'ABS(期初收益率-中债估值收益率)/中债估值收益率*100', 'Math.Abs(trade.InitYtm - market.CBValuationYtm) / market.CBValuationYtm * 100', 314, 0, 'SYSTEM', NOW()),
|
||||
('期初价格偏离度', 3, 1, '%', '≥ 0', 'ABS(期初价格-上一日收盘价)/上一日收盘价*100', 'Math.Abs(trade.SpotPrice - market.LastClosePrice) / market.LastClosePrice * 100', 315, 0, 'SYSTEM', NOW()),
|
||||
('利息端利率与FR007偏离度', 3, 1, '%', '≥ 0', 'ABS(利息端利率-FR007)/FR007*100', 'Math.Abs(calc.InterestRate - market.FR007) / market.FR007 * 100', 316, 0, 'SYSTEM', NOW()),
|
||||
('利息端利率与借贷加权费率偏离度', 3, 1, '%', '≥ 0', 'ABS(利息端利率-借贷加权费率)/借贷加权费率*100', 'Math.Abs(calc.InterestRate - market.BondLendingRate) / market.BondLendingRate * 100', 317, 0, 'SYSTEM', NOW()),
|
||||
('执行价偏离度', 3, 1, '%', '≥ 0', 'ABS(执行价-参考价格)/参考价格*100', 'Math.Abs(trade.StrikePrice - market.ReferencePrice) / market.ReferencePrice * 100', 318, 0, 'SYSTEM', NOW()),
|
||||
('执行价', 1, 1, '元', '≥ 0', 'trade.StrikePrice', 'trade.StrikePrice', 115, 0, 'SYSTEM', NOW()),
|
||||
('客户品种最低保证金率', 1, 1, '%', '0~100', '客户品种最低保证金率（由账户/标的配置决定）', 'config.MinMarginRate', 116, 0, 'SYSTEM', NOW()),
|
||||
('参考价格', 2, 1, '元', '≥ 0', '执行价参考价格（行情数据）', 'market.ReferencePrice', 210, 0, 'SYSTEM', NOW());
|
||||
|
||||
-- 4.4.4 布尔判断类（Category=4）
|
||||
INSERT INTO `glms_risk_variable` (`VariableName`, `Category`, `DataType`, `Unit`, `ValueDomain`, `Description`, `VariableExpr`, `SortOrder`, `OptId`, `OptName`, `OptDate`) VALUES
|
||||
('到期日是否银行间交易日', 4, 3, NULL, NULL, '查询银行间交易日历', 'calc.IsExerciseDateTradingDay', 401, 0, 'SYSTEM', NOW()),
|
||||
('平仓日是否银行间交易日', 4, 3, NULL, NULL, '查询银行间交易日历', 'calc.IsUnwindDateTradingDay', 402, 0, 'SYSTEM', NOW()),
|
||||
('支付日是否银行间交易日', 4, 3, NULL, NULL, '查询银行间交易日历', 'calc.IsSettlementDateTradingDay', 403, 0, 'SYSTEM', NOW()),
|
||||
('利息端/浮动端方向是否同向', 4, 3, NULL, NULL, '利息端"收取"↔浮动端"多头"，利息端"支付"↔浮动端"空头"', 'calc.IsInterestFloatSameDirection', 404, 0, 'SYSTEM', NOW()),
|
||||
('关键业务要素是否一致', 4, 3, NULL, NULL, '交易确认书 vs 簿记要素（大模型方案）', 'calc.IsKeyElementsConsistent', 405, 0, 'SYSTEM', NOW()),
|
||||
('多空方向为多头', 4, 3, NULL, NULL, 'trade.BuySell == "买入" 或浮动端为多头', 'calc.IsLongDirection', 406, 0, 'SYSTEM', NOW()),
|
||||
('多空方向为空头', 4, 3, NULL, NULL, '与多头互斥', 'calc.IsShortDirection', 407, 0, 'SYSTEM', NOW()),
|
||||
('保证金收支方向为支付', 4, 3, NULL, NULL, '保证金方向为支付', 'calc.IsMarginPay', 408, 0, 'SYSTEM', NOW()),
|
||||
('保证金收支方向为收取', 4, 3, NULL, NULL, '与支付互斥', 'calc.IsMarginReceive', 409, 0, 'SYSTEM', NOW());
|
||||
Reference in New Issue
Block a user