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山证bug修复及功能 迁移

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This commit is contained in:
吴方海
2024-06-04 18:19:49 +08:00
parent df65cd0add
commit acbd2e7678
39 changed files with 709 additions and 406 deletions
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YLErpDAL/Modules/RiskModule/QuotaMonitorService.cs
+54 -52
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@@ -1065,11 +1065,12 @@ namespace YLErp.Modules.RiskModule
setValue(swap, swapSetting);
var positionList = new List<KeyValuePair<trade, realtime_trade_risk>>();
var gloabDv01 = GetTradePositionDv01();
double underPnl = 0;
var gloabDv01 = GetTradePositionDv01(ref underPnl);
if (dict.ContainsKey("互换"))
{
var swapPositionList = dict["互换"].Select(O => new KeyValuePair<trade, realtime_trade_risk>(O.t, O.risk));
swap.TotalPnL = swapPositionList.Sum(O => O.Value.PositionPnl.Normalize() + O.Value.RealizedPnl.Normalize());
swap.TotalPnL = swapPositionList.Sum(O => O.Value.PositionPnl.Normalize());
if (PS.Config.Is国信金阳)
{
swap.PositionPnl = swapPositionList.Sum(O => O.Value.PositionPnl.Normalize() < 0 ? O.Value.PositionPnl.Normalize() : 0);
@@ -1097,6 +1098,7 @@ namespace YLErp.Modules.RiskModule
ParentKey = "场外",
BusinessType = "标的交易",
Quota_DV01 = gloabDv01,
PositionPnl = underPnl
};
var unTrade = new QuotaMonitor_Global()
{
@@ -1109,6 +1111,7 @@ namespace YLErp.Modules.RiskModule
{
BusinessType = "全局",
StockEqvNotional = Convert.ToDouble(posiStockEqvNotional),
PositionPnl = underly.PositionPnl + swap.PositionPnl,
Quota_DV01_Upper = dv01Settings?.QuotaUpperLimit ?? double.NaN,
Quota_DV01_Lower = dv01Settings?.QuotaLowerLimit ?? double.NaN,
Quota_DV01_wUpper = dv01Settings?.WarningUpperLimit ?? double.NaN,
@@ -1221,7 +1224,7 @@ namespace YLErp.Modules.RiskModule
var temp = settings.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && (O.QuotaRange == obj.ClientId || O.QuotaRange == 0));
var stockEqvNotionalSettings = temp.Where(O => O.QuotaIndex == "名义本金" && O.QuotaRange == 0).FirstOrDefault()?.Clone();
var stockEqvNotionalSettingsClient = temp.Where(O => O.QuotaIndex == "名义本金" && O.QuotaRange == obj.ClientId).FirstOrDefault()?.Clone();
if (stockEqvNotionalSettingsClient!=null)
if (stockEqvNotionalSettingsClient != null)
{
stockEqvNotionalSettings = stockEqvNotionalSettingsClient.Clone();
}
@@ -1433,7 +1436,7 @@ namespace YLErp.Modules.RiskModule
GammaCash = risk.GammaCash ?? 0,
Vega = risk.Vega ?? 0,
VegaCash = risk.VegaCash ?? 0,
PnL = (PS.Config.IsPVRounded ? risk.RoundedPositionPnl : risk.PositionPnl) ?? 0,
PnL = (PS.Config.IsPVRounded ? risk.RoundedPositionPnl : risk.PositionPnl) ?? 0 + risk.RealizedPnl,
Quota_DV01 = risk.DV01
};
@@ -1505,8 +1508,7 @@ namespace YLErp.Modules.RiskModule
if (item.trade.TradeType == "收益互换")
{
var sportPrice = item.trade.SpotPrice ?? 0;
var valueDate = QdpCalendarHelper.GetNonHolidayDefore(valuedateBLL.ValueDate.AddDays(-1));
var bondPrice = EodPriceQueryService.GetBondPrice(valueDate, item.trade.UnderlyingCode);
var bondPrice = EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, item.trade.UnderlyingCode);
var basePrice = bondPrice == null ? 0 : bondPrice.ClosePrice;
var vobp = bondPrice == null ? 0 : Convert.ToDouble(bondPrice.Vobp);
var pricePercent = basePrice == 0 ? 0 : Math.Abs((sportPrice / basePrice) - 1);
@@ -2145,7 +2147,7 @@ namespace YLErp.Modules.RiskModule
QuotaMonitor_Underlying quotaMonitor = new QuotaMonitor_Underlying();
var um = underlyings.FirstOrDefault(f => f.UnderlyingCode == item.UnderlyingCode);
quotaMonitor.UnderlyingCode = item.UnderlyingCode;
quotaMonitor.StockEqvNotional =Math.Abs(item.StockEqvNotional??0);
quotaMonitor.StockEqvNotional = Math.Abs(item.StockEqvNotional ?? 0);
quotaMonitor.UnderlyingId = um?.id ?? 0;
if (um != null && um.IsBond())
{
@@ -3582,20 +3584,20 @@ namespace YLErp.Modules.RiskModule
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
//交易-止损金额
_quotaSettings.Add(new QuotaSetting()
{
QuotaType = QuotaTypeEnum.TRADE,
QuotaRange = 0,
QuotaIndex = "止损金额",
QuotaLowerLimit = null,
QuotaUpperLimit = null,
WarningLowerLimit = null,
WarningUpperLimit = null,
Percent = false,
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
////交易-止损金额
//_quotaSettings.Add(new QuotaSetting()
//{
// QuotaType = QuotaTypeEnum.TRADE,
// QuotaRange = 0,
// QuotaIndex = "止损金额",
// QuotaLowerLimit = null,
// QuotaUpperLimit = null,
// WarningLowerLimit = null,
// WarningUpperLimit = null,
// Percent = false,
// IsValid = true,
// Status = QuotaSettingApprovalStatus.Valid,
//});
//交易-Delta金额
_quotaSettings.Add(new QuotaSetting()
{
@@ -4405,7 +4407,7 @@ namespace YLErp.Modules.RiskModule
{
List<ClientRiskCheckItem> clientRiskCheckResps = new List<ClientRiskCheckItem>();
var allList = QueryPrecheckQuotaSetting(false);
allList = allList.Where(x=>x.QuotaIndex!="DV01").ToList(); ;
allList = allList.Where(x => x.QuotaIndex != "DV01").ToList(); ;
var precheckQuotaSettingList = allList.Where(O => O.Precheck).ToList();
List<string> quotaIndexs = new List<string>() { "名义本金", "轧差集中度", "轧差名义本金" };
if (clientRiskCheckReq.isClient)
@@ -4416,9 +4418,9 @@ namespace YLErp.Modules.RiskModule
{
return clientRiskCheckResps;
}
var clientPrecheckQuotaSettingList = precheckQuotaSettingList.Where(x=>x.QuotaRange== clientRiskCheckReq.clientId&&x.QuotaType==QuotaTypeEnum.CLIENT&&x.QuotaIndex=="名义本金").ToList();
var allClientPrecheckQuotaSettingList= precheckQuotaSettingList.Where(x => x.QuotaRange == 0 && x.QuotaType == QuotaTypeEnum.CLIENT && x.QuotaIndex == "名义本金").ToList();
if (clientPrecheckQuotaSettingList.Count>0)
var clientPrecheckQuotaSettingList = precheckQuotaSettingList.Where(x => x.QuotaRange == clientRiskCheckReq.clientId && x.QuotaType == QuotaTypeEnum.CLIENT && x.QuotaIndex == "名义本金").ToList();
var allClientPrecheckQuotaSettingList = precheckQuotaSettingList.Where(x => x.QuotaRange == 0 && x.QuotaType == QuotaTypeEnum.CLIENT && x.QuotaIndex == "名义本金").ToList();
if (clientPrecheckQuotaSettingList.Count > 0)
{
foreach (var item in allClientPrecheckQuotaSettingList)
{
@@ -4430,16 +4432,26 @@ namespace YLErp.Modules.RiskModule
{
throw new ServiceException("未找到客户信息");
}
try
{
RealtimePnlCalc.RealtimeSwapPosition(new OptUserInfo(0, "互换实时持仓服务", OptUserFrom.Service));
}
catch (Exception ex)
{
LogFactory.GetLogger("RealtimeSwapPosition").Error("风控调用实时持仓异常", ex);
}
using var bondDb = new BondOmsDBContext();
var clientPositions = bondDb.client_position.AsNoTracking().ToList();//所有持仓
ClientPosition posi = new ClientPosition();
posi.commission = clientRiskCheckReq.commission;
posi.side = clientRiskCheckReq.side;
posi.security_id = clientRiskCheckReq.securityId;
posi.full_price_now = clientRiskCheckReq.price* ConsGlobal.bondShowPriceMultiple;
posi.full_price_now = clientRiskCheckReq.price * ConsGlobal.bondShowPriceMultiple;
posi.deal_full_price_avg = clientRiskCheckReq.price * ConsGlobal.bondShowPriceMultiple;
posi.client_id = clientRiskCheckReq.clientId;
posi.position_qty = clientRiskCheckReq.qty / 10000;
posi.position_notional_principal = clientRiskCheckReq.qty;
posi.direction = (int)SwapDirectionEnum.支付;
clientPositions.Add(posi);
var umCodes = clientPositions.Select(s => s.security_id).Distinct().ToList();
@@ -4486,7 +4498,6 @@ namespace YLErp.Modules.RiskModule
{
checkQuotaMoitorModel.Price *= ConsGlobal.bondPriceMultiple;
checkQuotaMoitorModel.NowPrice *= ConsGlobal.bondPriceMultiple;
dealDate = QdpCalendarHelper.GetNonHolidayDefore(dealDate.AddDays(-1));
var bondPrice = EodPriceQueryService.GetBondPrice(dealDate, item.security_id);
lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
vobp = bondPrice != null ? bondPrice.Vobp ?? 0 : 0;
@@ -4533,7 +4544,6 @@ namespace YLErp.Modules.RiskModule
{
List<CheckQuotaMoitorModel> checkPoisiList = new List<CheckQuotaMoitorModel>();
var dealDate = valuedateBLL.ValueDate;
dealDate = QdpCalendarHelper.GetNonHolidayDefore(dealDate.AddDays(-1));
using var bondDb = new BondOmsDBContext();
var clientPositions = bondDb.client_position.AsNoTracking().ToList();//所有持仓
Dictionary<string, EodPrice> eodPriceDic = new Dictionary<string, EodPrice>();
@@ -4717,7 +4727,6 @@ namespace YLErp.Modules.RiskModule
{
checkQuotaMoitorModel.Price *= ConsGlobal.bondPriceMultiple;
checkQuotaMoitorModel.NowPrice *= ConsGlobal.bondPriceMultiple;
dealDate = QdpCalendarHelper.GetNonHolidayDefore(dealDate.AddDays(-1));
var bondPrice = EodPriceQueryService.GetBondPrice(dealDate, item.security_id);
lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
vobp = bondPrice != null ? bondPrice.Vobp ?? 0 : 0;
@@ -5121,7 +5130,7 @@ namespace YLErp.Modules.RiskModule
tag_prefix = quota.QuotaRange == 0 ? "客户合计" : "当前客户";
msgList.AddRange(checkClient(positionList, posiList, tag_prefix, new QuotaSetting[] { quota }, settingAll, warning));
}
}
break;
@@ -5217,10 +5226,11 @@ namespace YLErp.Modules.RiskModule
currentValue = null;
var tag = $"{tag_prefix}({settingItem.QuotaIndex})";
CheckQuotaMoitorModel current = positionList.FirstOrDefault(x => x.Current);
double pnl = 0;
switch (settingItem.QuotaIndex)
{
case "DV01":
var uDv = GetTradePositionDv01();
var uDv = GetTradePositionDv01(ref pnl);
currentValue = uDv;
var tradePosiVal = posiList.Sum(s => s.DV01);
var posiVal = positionList.Where(x => !x.Current).Sum(s => s.DV01);
@@ -5240,10 +5250,11 @@ namespace YLErp.Modules.RiskModule
{
double? currentValue = null;
double tradeValue = 0;
double pnl = 0;
switch (checkItem.quotaType)
{
case "DV01":
tradeValue = GetTradePositionDv01();
tradeValue = GetTradePositionDv01(ref pnl);
currentValue = tradeValue + Convert.ToDouble(positionList.Sum(s => s.DV01));
var posiVal = positionList.Where(x => !x.Current).Sum(s => s.DV01);
if (!ValidateQuoteResult(checkItem, currentValue, Convert.ToDouble(posiVal) + tradeValue))
@@ -5261,9 +5272,8 @@ namespace YLErp.Modules.RiskModule
/// 算标的交易dv01
/// </summary>
/// <returns></returns>
private double GetTradePositionDv01()
private double GetTradePositionDv01(ref double pnl)
{
var dealDate = QdpCalendarHelper.GetNonHolidayDefore(valuedateBLL.ValueDate.AddDays(-1));
double currentValue = 0;
List<string> tradetypes = new List<string> { "利率债", "信用债", "其它债券" };
var tposis = DbContext.TradePosition.Where(x => tradetypes.Contains(x.TradeType)).AsNoTracking().ToList();
@@ -5284,13 +5294,14 @@ namespace YLErp.Modules.RiskModule
}
else
{
var bondPrice = EodPriceQueryService.GetBondPrice(dealDate, item.UnderlyingCode);
var bondPrice = EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, item.UnderlyingCode);
lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
vobp = bondPrice != null ? bondPrice.Vobp ?? 0 : 0;
}
}
var DV01 = Convert.ToDouble(vobp) * Math.Abs(item.Position) * contractSize * 0.01 * (item.PositionType == PositionTypeFlag.Long ? 1 : -1);
var DV01 = Convert.ToDouble(vobp) * item.Position * contractSize * 0.01;
currentValue += DV01;
pnl += lastPrice * Math.Abs(item.Position) - Math.Abs(item.PositionCost);
}
return currentValue;
}
@@ -5513,7 +5524,7 @@ namespace YLErp.Modules.RiskModule
return null;
case "Delta金额":
currentValue = Convert.ToDouble(current.Delta);
if (!ValidateQuoteResult(checkItem))
{
return checkItem;
@@ -5533,7 +5544,7 @@ namespace YLErp.Modules.RiskModule
checkItem.currentValue = currentValue;
if (!ValidateQuoteResult(checkItem))
{
return checkItem;
}
return null;
@@ -5550,7 +5561,7 @@ namespace YLErp.Modules.RiskModule
default:
return null;
}
}
private List<string> checkUnderlying(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, string tag_prefix, QuotaSetting[] settings, List<QuotaSetting> settingAll, bool warning)
@@ -5618,11 +5629,6 @@ namespace YLErp.Modules.RiskModule
messageList.Add(SetQuotaMsg(tag, setting.QuotaIndex, currentValue, Convert.ToDouble(tradePosiVal), posiVal, Convert.ToDouble(current.Pv), Convert.ToDouble(noPosiVal), null, upperLimit, lowerLimit, setting.Percent, warning));
break;
case "轧差集中度":
//if (current.Circulation == 0)
//{
// messageList.Add($"{tag}:{current.UnderlyingCode}发行规模数据未维护");
// break;
//}
currentValue = current.Circulation == 0 ? 0 : currentValue / Convert.ToDouble(current.Circulation);
tradePosiVal = current.Circulation == 0 ? 0 : tradePosiVal / current.Circulation;
posiVal = current.Circulation == 0 ? 0 : posiVal / Convert.ToDouble(current.Circulation);
@@ -5652,14 +5658,14 @@ namespace YLErp.Modules.RiskModule
{
return null;
}
var noQuoteSetting = settingAll.FirstOrDefault(x => x.QuotaType == QuotaTypeEnum.UNDERLYING && x.QuotaRange == quotaRange && x.QuotaIndex== checkItem.quotaType&&!x.Precheck);//是否设置了不事前检查
var noQuoteSetting = settingAll.FirstOrDefault(x => x.QuotaType == QuotaTypeEnum.UNDERLYING && x.QuotaRange == quotaRange && x.QuotaIndex == checkItem.quotaType && !x.Precheck);//是否设置了不事前检查
if (noQuoteSetting != null)
{
return null;
}
currentPv = positionList.Where(s => s.UnderlyingCode == current.UnderlyingCode).Sum(s => s.Pv * (s.Side == 0 ? 1 : -1));
currentValue = Convert.ToDouble(currentPv);
currentValue = Math.Abs(currentValue??0);
currentValue = Math.Abs(currentValue ?? 0);
posiPv = positionList.Where(s => s.UnderlyingCode == current.UnderlyingCode && !s.Current).Sum(s => s.Pv * (s.Side == 0 ? 1 : -1));
posiVal = Convert.ToDouble(posiPv);
var tag = $"{tag_prefix}({checkItem.quotaType})";
@@ -5673,10 +5679,6 @@ namespace YLErp.Modules.RiskModule
}
return null;
case "轧差集中度":
//if (current.Circulation == 0)
//{
// throw new Exception($"{tag}:{current.UnderlyingCode}发行规模数据未维护");
//}
currentValue = current.Circulation == 0 ? 0 : currentValue / Convert.ToDouble(current.Circulation);
posiPv = positionList.Where(s => s.UnderlyingCode == current.UnderlyingCode && !s.Current).Sum(s => s.Pv);
posiVal = current.Circulation == 0 ? 0 : Convert.ToDouble(posiPv / current.Circulation);
@@ -5706,7 +5708,7 @@ namespace YLErp.Modules.RiskModule
CheckQuotaMoitorModel current = positionList.FirstOrDefault(x => x.Current);
//settings 可能包含全部
var settingItem = settings.First();
var noQuoteSetting = settingAll.FirstOrDefault(x => x.QuotaType == settingItem.QuotaType && x.QuotaRange == settingItem.QuotaRange &&x.QuotaIndex==settingItem.QuotaIndex && !x.Precheck);//是否设置了不事前检查
var noQuoteSetting = settingAll.FirstOrDefault(x => x.QuotaType == settingItem.QuotaType && x.QuotaRange == settingItem.QuotaRange && x.QuotaIndex == settingItem.QuotaIndex && !x.Precheck);//是否设置了不事前检查
if (noQuoteSetting != null)
{
return messageList;
@@ -5780,7 +5782,7 @@ namespace YLErp.Modules.RiskModule
{
return null;
}
var noQuoteSetting = settingAll.FirstOrDefault(x => x.QuotaType == QuotaTypeEnum.CLIENT && x.QuotaRange == quotaRange&&x.QuotaIndex== checkItem.quotaType && !x.Precheck);//是否设置了不事前检查
var noQuoteSetting = settingAll.FirstOrDefault(x => x.QuotaType == QuotaTypeEnum.CLIENT && x.QuotaRange == quotaRange && x.QuotaIndex == checkItem.quotaType && !x.Precheck);//是否设置了不事前检查
if (noQuoteSetting != null)
{
return null;