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计算器调用调整

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This commit is contained in:
吴方海
2024-06-06 11:34:37 +08:00
parent ded3a044dd
commit 712563a455
9 changed files with 44 additions and 207 deletions
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YLErpDAL/BLL/EodSettlement/RealtimePnlCalc.cs
+33 -35
View File
@@ -8,6 +8,7 @@ using NPOI.SS.Formula.Functions;
using Org.BouncyCastle.Asn1.Ocsp;
using Org.BouncyCastle.Math.EC.Multiplier;
using Qdp.Pricing.Base.Implementations;
using System.IO;
using System.Security.Cryptography.Xml;
using YLErp.Abstract;
using YLErp.Abstract.DataProviders;
@@ -589,7 +590,7 @@ namespace YLErp.BLL.Eod
bondDb.SaveChanges();
if (clientPosition.deal_full_price_avg > 0 && enableCalcBongd)//发kafka 获取成交收益率
{
BondCalcKafka(bondCalcTopic, clientPosition.id, clientPosition.security_id, clientPosition.side, clientPosition.deal_full_price_avg.Value);
CalcBandPrice(clientPosition);
}
}
var sql = $"{nameof(ClientPosition.create_time)}<'{datenow.AddSeconds(-1):yyyy-MM-dd HH:mm:ss}' or {nameof(ClientPosition.position_qty)}=0";
@@ -633,7 +634,7 @@ namespace YLErp.BLL.Eod
//发kafka 获取成交收益率
if (clientPosition.deal_full_price_avg > 0 && enableCalcBongd)
{
BondCalcKafka(bondCalcTopic, clientPosition.id, clientPosition.security_id, clientPosition.side, clientPosition.deal_full_price_avg.Value);
CalcBandPrice(clientPosition);
}
else if (clientPosition.id > 0 && (clientPosition.position_qty > 0 || clientPosition.today_profit_loss != 0))
{
@@ -710,42 +711,15 @@ namespace YLErp.BLL.Eod
}
}
}
/// <summary>
/// 计算互换成交收益率消费任务
/// </summary>
/// <param name="_kafkaConsumer"></param>
public static void ConsumerBondCalcResp(KafkaConsumerHelper _kafkaConsumer)
{
_kafkaConsumer.Subscribe(msg =>
{
if (!string.IsNullOrEmpty(msg))
{
var result = JsonHelper.Deserialize<BondCalcResp>(msg);
var logid = Convert.ToInt64(result.requestID);
if (result.errCode == "0")
{
using var bondDb = new BondOmsDBContext();
string sqlstr = $"update client_position set deal_yield_avg={result.YTM} where id={logid}";
bondDb.Database.ExecuteSqlRaw(sqlstr);
}
}
});
}
#region 新互换实时持仓私有方法
private static void BondCalcKafka(string topic, long clientPosiId, string underlyingCode, int side, decimal price)
private static void BondCalcApi(ClientPosition clientPosition)
{
BondCalcReq req = new BondCalcReq()
var resp = BondCalcHepler.BondCalc(clientPosition.security_id, clientPosition.deal_full_price_avg ?? 0, "DP");
if (resp!=null)
{
bondId = underlyingCode,
requestId = clientPosiId.ToString(),
direction = side.ToString(),
price = price,
priceType = "DP",
settleType = "0",
requestTime = DateTime.Now.ToString("yyyy-MM-dd HH:mm:ss"),
valueDate = DateTime.Now.ToString("yyyy-MM-dd")
};
kafkaProduceHelper.Produce(topic, JsonHelper.Serialize(req));
clientPosition.deal_yield_avg = resp.ytm* ConsGlobal.bondPriceMultiple;
_yLCache.StringSetWithNoPrefix<CalBondResult>("TRS-BondFullPrice:" + clientPosition.security_id, resp);
}
}
/// <summary>
/// 创建持仓
@@ -892,6 +866,30 @@ namespace YLErp.BLL.Eod
}
}
/// <summary>
/// 计算债券价格
/// </summary>
/// <param name="clientPosition"></param>
private static void CalcBandPrice(ClientPosition clientPosition)
{
if (clientPosition.position_qty <= 0 || _yLCache == null)
{
return;
}
try
{
//TRS-BondDepthMarket:160010.IB-0
CalBondResult bondPrice = _yLCache.StringGetWithNoPrefix<CalBondResult>("TRS-BondFullPrice:" + clientPosition.security_id);
if (bondPrice?.dirtyPrice != clientPosition.deal_full_price_avg)
{
BondCalcApi(clientPosition);
}
}
catch (Exception ex)
{
}
}
#endregion
/// <summary>
/// 实时risk计算
YLErpDAL/Helpers/HTCalcHepler.cs → YLErpDAL/Helpers/BondCalcHepler.cs
+6 -7
View File
@@ -9,23 +9,22 @@ using YLErp.Model;
namespace YLErp.Helpers
{
/// <summary>
/// 衡泰计算器帮助类
/// 计算器帮助类
/// </summary>
public class HTCalcHepler
public class BondCalcHepler
{
/// <summary>
/// 衡泰计算器
/// 计算器
/// </summary>
/// <returns></returns>
public static CalBondResult BondCalc(string underlyingCode,int positionType,decimal price,string valueDate)
public static CalBondResult BondCalc(string underlyingCode,decimal price,string priceType="DP")
{
var baseUrl = Environment.GetEnvironmentVariable("BondOmsInterface_BaseUrl");
var calculateUrl = "/calc/cal_bond_value";
CalcBondRequest request = new CalcBondRequest() {
bondId= underlyingCode,
price = price.ToString(),
valueDate=valueDate,
direction= positionType.ToString()
priceType = priceType,
};
if (!string.IsNullOrEmpty(baseUrl))
{
@@ -34,7 +33,7 @@ namespace YLErp.Helpers
var result = httpHelper.PostRequestNoAuth<CalcBondRequest, CalcBondReponse>(calculateUrl, request).Result;
if (result != null && !result.success)
{
LogFactory.GetLogger("HTCalcHepler").Info("衡泰计算器计算失败：" + result.message);
LogFactory.GetLogger("BondCalcHepler").Info("计算器计算失败：" + result.message);
}
else
{
YLErpDAL/Model/CalcBondRequest.cs
+1 -15
View File
@@ -15,27 +15,13 @@ namespace YLErp.Model
/// </summary>
public string bondId { get; set; }
/// <summary>
/// 买卖方向0买1卖
/// </summary>
public string direction { get; set; }
/// <summary>
/// 价格
/// </summary>
public string price { get; set; }
/// <summary>
/// 清算速度
/// </summary>
// public string settleType { get; set; } = "0";
/// <summary>
/// 价格类型 必填 DP(全价)CP(净价)YD(到期收益率)
/// </summary>
public string priceType { get; set; } = "DP";
/// <summary>
/// 定价日期
/// </summary>
public string valueDate { get; set; }
//public string requestTime { get; set; }
//public string requestId { get; set; }
}
public class CalcBondRequestList
@@ -61,6 +47,6 @@ namespace YLErp.Model
/// <summary>
/// 收益率
/// </summary>
public decimal YTM { get; set; }
public decimal ytm { get; set; }
}
}
YLErpDAL/Model/HengTaiModel/BondCalcReq.cs
-52
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@@ -1,52 +0,0 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace YLErp.Model.HengTaiModel
{
public class BondCalcReq
{
/// <summary>
/// 债券代码 必填,格式为"券名,资产类型,市场类型" "220210,SPT_BD,X_CNBD"
/// </summary>
public string bondId { get; set; }
/// <summary>
/// 定价日 必填
/// </summary>
public string valueDate { get; set; }
/// <summary>
/// 价格类型 必填 DP(全价)CP(净价)YD(到期收益率)
/// </summary>
public string priceType { get; set; }
/// <summary>
/// 价格 必填
/// </summary>
public decimal price { get; set; }
/// <summary>
/// 清算速度 必填
/// </summary>
public string settleType { get; set; }
/// <summary>
/// 请求编号
/// </summary>
public string requestId { get; set; }
/// <summary>
/// 请求时间
/// </summary>
public string requestTime { get; set;}
/// <summary>
/// 买卖方向
/// </summary>
public string direction { get; set; }
/// <summary>
/// 保留字段1
/// </summary>
public string reserver1 { get; set; }
/// <summary>
/// 保留字段2
/// </summary>
public string reserver2 { get; set; }
}
}
YLErpDAL/Model/HengTaiModel/BondCalcResp.cs
-90
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@@ -1,90 +0,0 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace YLErp.Model.HengTaiModel
{
public class BondCalcResp
{
/// <summary>
/// 债券代码
/// </summary>
public string bondId { get; set; }
/// <summary>
/// 定价日
/// </summary>
public string valueDate { get; set; }
/// <summary>
/// 清算速度
/// </summary>
public string settleType { get; set; }
/// <summary>
/// 请求编号
/// </summary>
public string requestID { get; set; }
/// <summary>
/// 请求时间
/// </summary>
public string requestTime { get; set; }
/// <summary>
/// 买卖方向
/// </summary>
public string direction { get; set; }
/// <summary>
/// 保留字段1
/// </summary>
public string reserver1 { get; set; }
/// <summary>
/// 保留字段2
/// </summary>
public string reserver2 { get; set; }
/// <summary>
/// 全价
/// </summary>
public decimal dirtyPrice { get; set; }
/// <summary>
/// 净价
/// </summary>
public decimal cleanPrice { get; set; }
/// <summary>
/// 到期收益率
/// </summary>
public decimal YTM { get; set; }
/// <summary>
/// 应计利息
/// </summary>
public decimal Al { get; set; }
/// <summary>
/// 麦克劳林久期
/// </summary>
public decimal MD { get; set; }
/// <summary>
/// 修正久期
/// </summary>
public decimal AD { get; set; }
/// <summary>
/// 凸性
/// </summary>
public decimal CV { get; set; }
/// <summary>
/// 基点价值
/// </summary>
public decimal DVBP { get; set; }
/// <summary>
/// 剩余期限
/// </summary>
public decimal remainTerm { get; set; }
/// <summary>
/// 关键基点价值
/// </summary>
public decimal KDVBP { get; set; }
/// <summary>
/// 关键久期
/// </summary>
public decimal KD { get; set; }
public string errMsg { get; set; }
public string errCode { get; set; }
}
}
YLErpWeb/App_Data/FunctionRight.xml
-3
View File
@@ -105,9 +105,6 @@
<FunctionSub Name="机构账号设置" Title="机构账号设置"></FunctionSub>
<FunctionSub Name="机构账号设置新增" Title="机构账号设置新增" Type="Operate" Note="是否有机构账号设置新增权限" ></FunctionSub>
<FunctionSub Name="机构账号设置编辑" Title="机构账号设置编辑" Type="Operate" Note="是否有机构账号设置编辑权限" ></FunctionSub>
<FunctionSub Name="开放API配置" Title="开放API配置"></FunctionSub>
<FunctionSub Name="开放API配置新增" Title="开放API配置新增" Type="Operate" Note="是否有开放API配置新增权限" ></FunctionSub>
<FunctionSub Name="开放API配置编辑" Title="开放API配置编辑" Type="Operate" Note="是否有开放API配置编辑权限" ></FunctionSub>
</FunctionParent>
<FunctionParent Name="互换簿记预设" Title="互换簿记预设">
<FunctionSub Name="TRS用簿记账户设置" Title="TRS用簿记账户设置"></FunctionSub>
YLErpWeb/App_Data/Menus.txt
+1 -2
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@@ -37,8 +37,7 @@
{Name:"客户审批",Rights:["客户管理-客户审批"],Url:"clientApproval/openingclientList"},
{Name:"资信等级有效期",Rights:["客户管理-资信等级有效期"],Url:"client_rating/List"},
{Name:"黑名单客户",Rights:["客户管理-黑名单客户"],Url:"clientblack/clientblacklist"},
{Name:"机构账号设置",Rights:["客户管理-机构账号设置"],Url:"v3/client/account"},
{Name:"开放API配置",Rights:["客户管理-开放API配置"],Url:"v3/client/open-api"},
{Name:"机构账号设置",Rights:["客户管理-机构账号设置"],Url:"v3/client/account"}
]
},
{Name:"互换簿记预设",Rights:["互换簿记预设"],Icon:"menu-icon iconfour"
YLErpWeb/Controllers/BondController.cs
+2 -2
View File
@@ -7,9 +7,9 @@ namespace YLErp.Web.Controllers
{
[AllowAnonymous]
public JsonResult CalcBond(string underlyingCode, int positionType, decimal price, string valueDate)
public JsonResult CalcBond(string underlyingCode, decimal price, string priceType)
{
var obj = HTCalcHepler.BondCalc(underlyingCode, positionType, price, valueDate);
var obj = BondCalcHepler.BondCalc(underlyingCode, price, priceType);
if (obj == null)
{
return JsonError("计算价格失败");
YLWinSer/RealTimeCalcPositionService/appsettings.json
+1 -1
View File
@@ -41,7 +41,7 @@
"OnRspCalcBondTopic": "OnRspCalcBond", //互换成交收益率计算器消费topic
"OnRspCalcBondTopicGroupId": "OnRspCalcBondConsumer", //互换成交收益率计算器消费topic消费组
"AutoOffsetReset": 1, //Latest(0),Earliest(1),Error(2)
"EnableCalcBongd": false //是否启用kafka计算
"EnableCalcBongd": true //是否调用计算器
},
"BondOmsInterface": {
"BaseUrl": "http://trs.yiliantech.com:8080/trs_hub_api",