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resolve confilct QuotaMonitorService.cs

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尹峰
2026-07-07 13:51:24 +08:00
parent d5cbd45a8a
commit de628719dc
1 changed files with 275 additions and 54 deletions
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YLErpDAL/Modules/RiskModule/QuotaMonitorService.cs
+275 -54
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@@ -795,6 +795,19 @@ namespace YLErp.Modules.RiskModule
join p in DbContext.swap_position on t.id equals p.SwapTradeId
where !p.IsInitial && p.PosiDirection > 0 && !p.Invalid
select p;
// 计算互换DV汇总（按标的缓存bondPrice）
var swapPositions = posiQuery.ToList();
var swapDV = 0d;
var swapBPCache = swapPositions.Select(p => p.UnderlyingCode).Distinct()
.ToDictionary(code => code, code => EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, code));
foreach (var pos in swapPositions)
{
if (!swapBPCache.TryGetValue(pos.UnderlyingCode, out var bondPrice) || bondPrice == null) continue;
var vobp = bondPrice.Vobp ?? 0;
if (vobp == 0) continue;
swapDV += Convert.ToDouble(Dv01Helper.CalcDv01(pos.UnderlyingCode, pos.PosiQuantity, pos.PosiDirection, pos.PositionType, vobp));
}
var setValue = new Action<QuotaMonitor_Global, List<QuotaSetting>>((obj, settings) =>
{
obj.StockEqvNotional = Convert.ToDouble(posiQuery.Sum(s => s.PosiNotionalValue));
@@ -907,6 +920,10 @@ namespace YLErp.Modules.RiskModule
var allSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.GLOBAL_ALL);
allSetting = MargeQuotaSetting(allSetting, 0, 0);
var globalDvSetting = allSetting.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaRange == 0 && O.QuotaIndex == "DV").FirstOrDefault()?.Clone();
var tradeSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.TRADE);
tradeSetting = MargeQuotaSetting(tradeSetting, 0, 0);
var tradeDvSetting = tradeSetting.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaRange == 0 && O.QuotaIndex == "DV").FirstOrDefault()?.Clone();
var swapSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.GLOBAL_SWAP);
swapSetting = MargeQuotaSetting(swapSetting, 0, 0);
var swap = new QuotaMonitor_Global()
@@ -915,6 +932,11 @@ namespace YLErp.Modules.RiskModule
BusinessType = "互换"
};
setValue(swap, swapSetting);
swap.DV = swapDV;
//swap.Quota_DV_Upper = tradeDvSetting?.QuotaUpperLimit ?? double.NaN;
//swap.Quota_DV_Lower = tradeDvSetting?.QuotaLowerLimit ?? double.NaN;
//swap.Quota_DV_wUpper = tradeDvSetting?.WarningUpperLimit ?? double.NaN;
//swap.Quota_DV_wLower = tradeDvSetting?.WarningLowerLimit ?? double.NaN;
var positionList = new List<KeyValuePair<trade, realtime_trade_risk>>();
var underly = GetTradePositionPnl();
@@ -926,6 +948,21 @@ namespace YLErp.Modules.RiskModule
positionList.AddRange(swapPositionList);
}
var checkPosiList = GetCheckPosiList();
// 计算checkPosiList中所有持仓的DV合计，用于算未簿记DV（按标的缓存bondPrice）
var totalCheckPosiDV = 0d;
if (checkPosiList.Any())
{
var ckBPCache = checkPosiList.Select(p => p.UnderlyingCode).Distinct()
.ToDictionary(code => code, code => EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, code));
foreach (var pos in checkPosiList)
{
if (!ckBPCache.TryGetValue(pos.UnderlyingCode, out var bp) || bp == null) continue;
var vobp = bp.Vobp ?? 0;
if (vobp == 0) continue;
int positionType = pos.Side == 0 ? (int)PositionTypeFlag.Long : (int)PositionTypeFlag.Short;
totalCheckPosiDV += Convert.ToDouble(Dv01Helper.CalcDv01(pos.UnderlyingCode, pos.Qty, pos.Direction, positionType, vobp));
}
}
var posiStockEqvNotional = checkPosiList.Sum(s => s.Pv);
var delta = checkPosiList.Sum(s => s.Delta);
var unTrade = new QuotaMonitor_Global()
@@ -933,14 +970,20 @@ namespace YLErp.Modules.RiskModule
ParentKey = "场外",
BusinessType = "未簿记合约",
StockEqvNotional = Convert.ToDouble(posiStockEqvNotional) - swap.StockEqvNotional.Normalize(),
DeltaExposure=(double)delta- (swap.DeltaExposure??0)
DeltaExposure=(double)delta- (swap.DeltaExposure??0),
DV = totalCheckPosiDV - (swap.DV ?? 0),
};
var all = new QuotaMonitor_Global()
{
BusinessType = "全局",
StockEqvNotional = Convert.ToDouble(posiStockEqvNotional),
PositionPnl = underly.PositionPnl + swap.PositionPnl,
DeltaExposure=(double)delta+ underly.DeltaExposure
DeltaExposure=(double)delta+ underly.DeltaExposure,
DV = (swap.DV ?? 0) + (underly.DV ?? 0) + (unTrade.DV ?? 0),
Quota_DV_Upper = globalDvSetting?.QuotaUpperLimit ?? double.NaN,
Quota_DV_Lower = globalDvSetting?.QuotaLowerLimit ?? double.NaN,
Quota_DV_wUpper = globalDvSetting?.WarningUpperLimit ?? double.NaN,
Quota_DV_wLower = globalDvSetting?.WarningLowerLimit ?? double.NaN,
};
var list = new List<QuotaMonitor_Global>
{
@@ -963,9 +1006,13 @@ namespace YLErp.Modules.RiskModule
/// <returns></returns>
public List<QuotaMonitor_Global> QueryEodGlobalFromCalc(QuotaMonitorReq req)
{
var posiQuery = DbContext.eod_swap_position.Where(O =>O.ValueDate==req.ValueDate&&O.PosiQuantity>0);
var maxDate = DbContext.eod_swap_position.Where(O => O.PosiQuantity > 0).Max(O => (DateTime?)O.ValueDate) ?? req.ValueDate;
var posiQuery = DbContext.eod_swap_position.Where(O =>O.ValueDate==maxDate&&O.PosiQuantity>0);
req.PvPercent = 1 - req.PvPercent;
// 互换DV汇总：直接取eod_swap_position中已计算好的dv01
var eodSwapDV = Convert.ToDouble(posiQuery.Sum(p => p.dv01));
var setValue = new Action<QuotaMonitor_Global, List<QuotaSetting>>((obj, settings) =>
{
@@ -988,6 +1035,10 @@ namespace YLErp.Modules.RiskModule
var allSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.GLOBAL_ALL);
allSetting = MargeQuotaSetting(allSetting, 0, 0);
var globalDvSetting = allSetting.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaRange == 0 && O.QuotaIndex == "DV").FirstOrDefault()?.Clone();
var tradeSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.TRADE);
tradeSetting = MargeQuotaSetting(tradeSetting, 0, 0);
var tradeDvSetting = tradeSetting.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaRange == 0 && O.QuotaIndex == "DV").FirstOrDefault()?.Clone();
var swapSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.GLOBAL_SWAP);
swapSetting = MargeQuotaSetting(swapSetting, 0, 0);
var swap = new QuotaMonitor_Global()
@@ -996,6 +1047,11 @@ namespace YLErp.Modules.RiskModule
BusinessType = "互换",
};
setValue(swap, swapSetting);
swap.DV = eodSwapDV;
swap.Quota_DV_Upper = tradeDvSetting?.QuotaUpperLimit ?? double.NaN;
swap.Quota_DV_Lower = tradeDvSetting?.QuotaLowerLimit ?? double.NaN;
swap.Quota_DV_wUpper = tradeDvSetting?.WarningUpperLimit ?? double.NaN;
swap.Quota_DV_wLower = tradeDvSetting?.WarningLowerLimit ?? double.NaN;
var underly = GetEodTradePositionPnl(req.ValueDate);
var unTrade = new QuotaMonitor_Global()
{
@@ -1009,7 +1065,12 @@ namespace YLErp.Modules.RiskModule
BusinessType = "全局",
StockEqvNotional = swap.StockEqvNotional,
PositionPnl = underly.PositionPnl + swap.PositionPnl,
DeltaExposure = swap.DeltaExposure+ underly.DeltaExposure
DeltaExposure = swap.DeltaExposure+ underly.DeltaExposure,
DV = (swap.DV ?? 0) + (underly.DV ?? 0) + (unTrade.DV ?? 0),
Quota_DV_Upper = globalDvSetting?.QuotaUpperLimit ?? double.NaN,
Quota_DV_Lower = globalDvSetting?.QuotaLowerLimit ?? double.NaN,
Quota_DV_wUpper = globalDvSetting?.WarningUpperLimit ?? double.NaN,
Quota_DV_wLower = globalDvSetting?.WarningLowerLimit ?? double.NaN,
};
var list = new List<QuotaMonitor_Global>
{
@@ -1323,11 +1384,23 @@ namespace YLErp.Modules.RiskModule
obj.Quota_SwapPercent_Lower = swapPercentSetting?.QuotaLowerLimit ?? double.NaN;
obj.Quota_SwapPercent_wUpper = swapPercentSetting?.WarningUpperLimit ?? double.NaN;
obj.Quota_SwapPercent_wLower = swapPercentSetting?.WarningLowerLimit ?? double.NaN;
var dvSetting = temp.Where(O => O.QuotaIndex == "DV").FirstOrDefault()?.Clone();
obj.Quota_DV_Upper = dvSetting?.QuotaUpperLimit ?? double.NaN;
obj.Quota_DV_Lower = dvSetting?.QuotaLowerLimit ?? double.NaN;
obj.Quota_DV_wUpper = dvSetting?.WarningUpperLimit ?? double.NaN;
obj.Quota_DV_wLower = dvSetting?.WarningLowerLimit ?? double.NaN;
});
var setting = QueryCurrentQuotaSetting(QuotaTypeEnum.TRADE);
setting = MargeQuotaSetting(setting, 0, 0);
var ccrDict = new Dictionary<int, double>();
// 批量获取swap_position方向/多空/数量，用于DV计算
var tradeIds = list.Select(O => O.trade.id).Distinct().ToList();
var swapPositionDict = DbContext.swap_position
.Where(p => tradeIds.Contains(p.SwapTradeId) && !p.IsInitial && p.PosiDirection > 0 && !p.Invalid)
.ToDictionary(p => p.SwapTradeId);
foreach (var item in list)
{
setValue(item, setting);
@@ -1337,6 +1410,13 @@ namespace YLErp.Modules.RiskModule
var vobp = bondPrice == null ? 0 : Convert.ToDouble(bondPrice.Vobp);
var pricePercent = basePrice == 0 ? 0 : Math.Abs((sportPrice / basePrice) - 1);
item.Quota_SwapPercent = pricePercent;
// 计算DV
if (swapPositionDict.TryGetValue(item.trade.id, out var swapPos) && bondPrice != null && vobp != 0)
{
item.DV = Convert.ToDouble(Dv01Helper.CalcDv01(item.trade.UnderlyingCode, swapPos.PosiQuantity, swapPos.PosiDirection, swapPos.PositionType, Convert.ToDecimal(vobp)));
}
var obj = new QuotaMonitor_Trade();
ObjectHelper.MapValues(obj, item);
result.Add(obj);
@@ -1351,6 +1431,7 @@ namespace YLErp.Modules.RiskModule
VegaCash = result.Sum(O => O.VegaCash),
Quota_CCR = result.Sum(O => O.Quota_CCR),
PnL = result.Sum(O => O.PnL),
DV = result.Sum(O => O.DV),
};
result.Add(total);
@@ -1430,11 +1511,26 @@ namespace YLErp.Modules.RiskModule
obj.Quota_SwapPercent_Lower = swapPercentSetting?.QuotaLowerLimit ?? double.NaN;
obj.Quota_SwapPercent_wUpper = swapPercentSetting?.WarningUpperLimit ?? double.NaN;
obj.Quota_SwapPercent_wLower = swapPercentSetting?.WarningLowerLimit ?? double.NaN;
var dvSetting = temp.Where(O => O.QuotaIndex == "DV").FirstOrDefault()?.Clone();
obj.Quota_DV_Upper = dvSetting?.QuotaUpperLimit ?? double.NaN;
obj.Quota_DV_Lower = dvSetting?.QuotaLowerLimit ?? double.NaN;
obj.Quota_DV_wUpper = dvSetting?.WarningUpperLimit ?? double.NaN;
obj.Quota_DV_wLower = dvSetting?.WarningLowerLimit ?? double.NaN;
});
var setting = QueryCurrentQuotaSetting(QuotaTypeEnum.TRADE);
setting = MargeQuotaSetting(setting, 0, 0);
var ccrDict = new Dictionary<int, double>();
// 批量获取eod_swap_position方向/多空/数量，用于DV计算和dv01回写
var tradeIds = list.Select(O => O.trade.id).Distinct().ToList();
var eodSwapPosDict = DbContext.eod_swap_position
.Where(p => p.ValueDate == req.ValueDate && tradeIds.Contains(p.SwapTradeId) && p.PosiQuantity > 0)
.ToDictionary(p => p.SwapTradeId);
var eodSwapDict = DbContext.eod_swap
.Where(p => p.ValueDate == req.ValueDate && tradeIds.Contains(p.SwapTradeId))
.ToDictionary(p => p.SwapTradeId);
foreach (var item in list)
{
setValue(item, setting);
@@ -1444,10 +1540,18 @@ namespace YLErp.Modules.RiskModule
var vobp = bondPrice == null ? 0 : Convert.ToDouble(bondPrice.Vobp);
var pricePercent = basePrice == 0 ? 0 : Math.Abs((sportPrice / basePrice) - 1);
item.Quota_SwapPercent = pricePercent;
// 计算DV，并回写dv01
if (eodSwapPosDict.TryGetValue(item.trade.id, out var eodSwapPos))
{
item.DV = Convert.ToDouble(eodSwapPos.dv01);
}
var obj = new QuotaMonitor_Trade();
ObjectHelper.MapValues(obj, item);
result.Add(obj);
}
var total = new QuotaMonitor_Trade()
{
TradeNumber = "合计",
@@ -1458,6 +1562,7 @@ namespace YLErp.Modules.RiskModule
VegaCash = result.Sum(O => O.VegaCash),
Quota_CCR = result.Sum(O => O.Quota_CCR),
PnL = result.Sum(O => O.PnL),
DV = result.Sum(O => O.DV),
};
result.Add(total);
@@ -3522,6 +3627,20 @@ namespace YLErp.Modules.RiskModule
singleUnderlyingRate = valuedateBLL.SystemDate.SingleUnderlyingRate;
_quotaSettings = new List<QuotaSetting>();
#region 整体业务
//全局-DV
_quotaSettings.Add(new QuotaSetting()
{
QuotaType = QuotaTypeEnum.GLOBAL_ALL,
QuotaRange = 0,
QuotaIndex = "DV",
QuotaLowerLimit = null,
QuotaUpperLimit = null,
WarningLowerLimit = null,
WarningUpperLimit = null,
Percent = false,
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
#endregion
#region 互换
@@ -3617,6 +3736,20 @@ namespace YLErp.Modules.RiskModule
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
//交易-DV
_quotaSettings.Add(new QuotaSetting()
{
QuotaType = QuotaTypeEnum.TRADE,
QuotaRange = 0,
QuotaIndex = "DV",
QuotaLowerLimit = null,
QuotaUpperLimit = null,
WarningLowerLimit = null,
WarningUpperLimit = null,
Percent = false,
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
#endregion
#region 客户
@@ -4335,7 +4468,7 @@ namespace YLErp.Modules.RiskModule
return QuotaCheck(ref res, false);
}
public bool QuotaCheck(ref TradeOpenResult res, bool ignoreRiskWarning, IEnumerable<string> ignoreRiskRuleIds = null)
public bool QuotaCheck(ref TradeOpenResult res, bool ignoreRiskWarning)
{
if (res == null || res.Trade == null)
{
@@ -4368,6 +4501,7 @@ namespace YLErp.Modules.RiskModule
new TradeRiskCheckLogService(UserInfo).AddLog(quotaObj);
}
//否则的情况是上次没算,这次是预警,或上次算了,结果是不通过\通过或预警,这次是预警或不通过,提示用户;
res.RetCode = TradeOpenRetCode.QuotaTrialError;
res.TrialDataId = quotaObj.id;
//汇总各类检查详情，避免只展示RiskWarningDetails而漏掉其它老风控检查
var detailParts = new List<string>();
@@ -4381,27 +4515,14 @@ namespace YLErp.Modules.RiskModule
detailParts.Add($"限额预警：{quotaObj.QuotaWarningDetails}");
res.ErrorMsg = string.Join("\n", detailParts);
//确认本次为需审批后，二次特批。因为只靠点击“交易特批”的ignoreRiskWarning，不能保证本次校验通过。
var isRiskApprovalWarning = quotaObj.TrialStatus == QuotaTrialStatusEnum.RiskWarning
&& !string.IsNullOrWhiteSpace(quotaObj.RiskWarningDetails)
&& (quotaObj.ApprovalRuleIds?.Any() ?? false);
//当前为老风控特批，不是新风控需审批
res.OldRiskNeedSpecialApproval = quotaObj.TrialStatus == QuotaTrialStatusEnum.Warning;
if (isRiskApprovalWarning)
var isRiskApprovalWarning = quotaObj.TrialStatus == QuotaTrialStatusEnum.Warning
&& !string.IsNullOrWhiteSpace(quotaObj.RiskWarningDetails);
//需清除ErrorMsg，不然外部调用会认为失败
//触发需审批，交易特批逻辑
if (ignoreRiskWarning && isRiskApprovalWarning)
{
var currentApprovalRuleIds = quotaObj.ApprovalRuleIds ?? new List<string>();
res.IgnoredRiskRuleIds = currentApprovalRuleIds;
//需清除ErrorMsg，不然外部调用会认为失败
//触发需审批，交易特批逻辑
if (ignoreRiskWarning)
{
var ignoredRuleIdSet = new HashSet<string>((ignoreRiskRuleIds ?? Enumerable.Empty<string>()).Where(o => !string.IsNullOrWhiteSpace(o)));
var newApprovalRuleIds = currentApprovalRuleIds.Where(o => !ignoredRuleIdSet.Contains(o)).ToList();
if (!newApprovalRuleIds.Any())
{
res.ErrorMsg = string.Empty;
return true;
}
}
res.ErrorMsg = string.Empty;
return true;
}
res.RetCode = isRiskApprovalWarning ? TradeOpenRetCode.RiskWarning : TradeOpenRetCode.QuotaTrialError;
return false;
@@ -4440,6 +4561,9 @@ namespace YLErp.Modules.RiskModule
var ums = GetUnderlyings(umCodes);
var checkPoisiList = BuildCheckQuotaMoitorModels(clientPositions, ums, dealDate);
// 仅在限额设置中有DV指标时才计算DV
//var (totalDv, currentDv) = precheckQuotaSettingList.Any(s => s.QuotaIndex == "DV")
// ? CalcRiskCheckDv(checkPoisiList, dealDate) : (0d, 0d);
var underlyingPositions = checkPoisiList.Where(x => x.UnderlyingCode == clientRiskCheckReq.securityId).ToList();
var sameQty = underlyingPositions.Where(x=>x.ClientId== clientRiskCheckReq.clientId && x.Side== clientRiskCheckReq.side).Sum(s => s.Qty);
var qty = underlyingPositions.Where(x => x.ClientId == clientRiskCheckReq.clientId && x.Side != clientRiskCheckReq.side).Sum(s => s.Qty);
@@ -4467,7 +4591,7 @@ namespace YLErp.Modules.RiskModule
{
continue;
}
clientRiskCheckItem = CheckQuota(checkPoisiList, settingItem.QuotaType, clientRiskCheckItem, settingItem.QuotaRange, allList);
clientRiskCheckItem = CheckQuota(checkPoisiList, settingItem.QuotaType, clientRiskCheckItem, settingItem.QuotaRange, allList, 0d, 0d);
if (clientRiskCheckItem != null)
{
clientRiskCheckItem.quotaType = $"{EnumHelper.GetDescriptionByName(settingItem.QuotaType)}({settingItem.QuotaIndex})";
@@ -4499,6 +4623,50 @@ namespace YLErp.Modules.RiskModule
.Where(x => umCodes.Contains(x.UnderlyingCode))
.ToList();
}
/// <summary>
/// 计算风控检查用的DV（全局DV + 当前单笔DV）
/// </summary>
private (double totalDv, double currentDv) CalcRiskCheckDv(List<CheckQuotaMoitorModel> checkPoisiList, DateTime dealDate)
{
var totalDv = 0d;
var currentDv = 0d;
// 按标的缓存bondPrice
var bpCache = checkPoisiList.Select(p => p.UnderlyingCode).Distinct()
.ToDictionary(code => code, code => EodPriceQueryService.GetBondPrice(dealDate, code));
// 全部持仓DV
totalDv = checkPoisiList.Sum(pos =>
{
if (!bpCache.TryGetValue(pos.UnderlyingCode, out var bp) || bp == null) return 0d;
var vobp = bp.Vobp ?? 0;
if (vobp == 0) return 0d;
int posType = pos.Side == 0 ? (int)PositionTypeFlag.Long : (int)PositionTypeFlag.Short;
return Convert.ToDouble(Dv01Helper.CalcDv01(pos.UnderlyingCode, pos.Qty, pos.Direction, posType, vobp));
});
// 当前单笔DV
var cur = checkPoisiList.FirstOrDefault(x => x.Current);
if (cur != null && bpCache.TryGetValue(cur.UnderlyingCode, out var curBp) && curBp != null)
{
var vobp = curBp.Vobp ?? 0;
if (vobp != 0)
{
int pt = cur.Side == 0 ? (int)PositionTypeFlag.Long : (int)PositionTypeFlag.Short;
currentDv = Convert.ToDouble(Dv01Helper.CalcDv01(cur.UnderlyingCode, cur.Qty, cur.Direction, pt, vobp));
}
}
// 标的交易DV
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();
foreach (var code in tposis.Select(x => x.UnderlyingCode).Distinct().Where(c => !bpCache.ContainsKey(c)))
bpCache[code] = EodPriceQueryService.GetBondPrice(dealDate, code);
foreach (var item in tposis)
{
if (!bpCache.TryGetValue(item.UnderlyingCode, out var tpBp) || tpBp == null) continue;
var vobp = tpBp.Vobp ?? 0;
if (vobp == 0) continue;
totalDv += Convert.ToDouble(Dv01Helper.CalcDv01(item.UnderlyingCode, Convert.ToDecimal(Math.Abs(item.Position)), (int)SwapDirectionEnum.收取, (int)item.PositionType, vobp));
}
return (totalDv, currentDv);
}
private (List<ClientPosition>, List<ClientOrder>) GetClientPositionsAndOrders(BondOmsDBContext bondDb, long orderId)
{
var clientPositions = bondDb.client_position.AsNoTracking().ToList();
@@ -4944,8 +5112,10 @@ namespace YLErp.Modules.RiskModule
checkQuotaMoitorModel.Current = checkQuotaMoitorModel.id == 0;
checkPoisiList.Add(checkQuotaMoitorModel);
}
quotaWarningStatus = CheckQuota(checkPoisiList, posiList, list, allList, true, out quotaWarningMsg);
quotaStatus = CheckQuota(checkPoisiList, posiList, list, allList, false, out quotaMsg);
// 预计算DV，避免warning/error两次检查各算一遍
var (quotaTotalDv, quotaCurrentDv) = list.Any(s => s.QuotaIndex == "DV") ? CalcRiskCheckDv(checkPoisiList, tradeObj.TradeDate.Value) : (0d, 0d);
quotaWarningStatus = CheckQuota(checkPoisiList, posiList, list, allList, true, out quotaWarningMsg, quotaTotalDv, quotaCurrentDv);
quotaStatus = CheckQuota(checkPoisiList, posiList, list, allList, false, out quotaMsg, quotaTotalDv, quotaCurrentDv);
}
}
}
@@ -4972,6 +5142,8 @@ namespace YLErp.Modules.RiskModule
result.RiskWarningDetails = riskWarningMsg ?? "";
result.QuotaWarningDetails = quotaWarningMsg ?? "";
result.AvailableForClient = availableMsg ?? "";
result.TrialSource = trialSource;
_logger.Info($"[限额试算] 试算完成 - tradeId: {tradeId}, TrialStatus: {result.TrialStatus}, FundCheck: {fundStatus}, QuotaCheck: {quotaStatus}");
// ===== 新风控引擎接入点（设计文档 4.6.1） =====
try
@@ -4982,6 +5154,7 @@ namespace YLErp.Modules.RiskModule
TradeId = tradeId,
TriggerPoint = "BOOK_CONFIRM"
};
tradeObj.StockEqvNotional = 10000000000;
riskContext.DataMap["trade"] = tradeObj;
var sameUnderlyingTotalNotional = DbContext.trade
.Where(t => t.ValidState != "InValid"
@@ -5021,25 +5194,12 @@ namespace YLErp.Modules.RiskModule
}
if (riskResult.NeedApproval)
{
if (result.TrialStatus != QuotaTrialStatusEnum.Error && result.TrialStatus != QuotaTrialStatusEnum.Warning)
if (result.TrialStatus != QuotaTrialStatusEnum.Error)
{
result.TrialStatus = QuotaTrialStatusEnum.RiskWarning;
result.TrialStatus = QuotaTrialStatusEnum.Warning;
}
result.RiskWarningDetails += "[风控引擎] 规则触发：需审批\n";
var approvalTriggeredRules = riskResult.TriggeredRules.Where(r => r.ControlStrategy == RiskControlStrategy.Approval).ToList();
var approvalTriggeredRuleIds = approvalTriggeredRules.Select(r => r.RuleId)
.Where(r => !string.IsNullOrWhiteSpace(r))
.ToList();
var showTipTriggeredRules = riskResult.TriggeredRules.Where(r => r.ControlStrategy == RiskControlStrategy.ShowTip).ToList();
var showTipTriggeredRuleIds = showTipTriggeredRules.Select(r => r.RuleId)
.Where(r => !string.IsNullOrWhiteSpace(r))
.ToList();
// 二次确认时，需审批规则允许按首次命中结果忽略；同时已展示过的提示规则也不再重复展示
var processedRiskRuleIds = approvalTriggeredRuleIds.Concat(showTipTriggeredRuleIds)
.Distinct()
.ToList();
result.ApprovalRuleIds = processedRiskRuleIds;
foreach (var triggeredRule in approvalTriggeredRules)
foreach (var triggeredRule in riskResult.TriggeredRules.Where(r => r.ControlStrategy == RiskControlStrategy.Approval))
{
result.RiskWarningDetails += $"规则ID:{triggeredRule.RuleId}；规则名称:{triggeredRule.RuleName}；规则说明:{triggeredRule.RuleText}\n";
}
@@ -5064,7 +5224,6 @@ namespace YLErp.Modules.RiskModule
}
// ===== 新风控引擎接入结束 =====
//_logger.Info($"[限额试算] 试算完成 - tradeId: {tradeId}, TrialStatus: {result.TrialStatus}, FundCheck: {fundStatus}, QuotaCheck: {quotaStatus}");
SaveQuotaTrial(result);
return result;
}
@@ -5435,7 +5594,7 @@ namespace YLErp.Modules.RiskModule
/// <param name="warning">试算类型是预警还是警告</param>
/// <param name="msg">试算结果描述</param>
/// <returns></returns>
private bool CheckQuota(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, List<QuotaSetting> setting, List<QuotaSetting> settingAll, bool warning, out string msg)
private bool CheckQuota(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, List<QuotaSetting> setting, List<QuotaSetting> settingAll, bool warning, out string msg, double totalDv = 0, double currentDv = 0)
{
msg = "";
var msgList = new List<string>();
@@ -5445,11 +5604,14 @@ namespace YLErp.Modules.RiskModule
{
switch (item.Key.QuotaType)
{
case QuotaTypeEnum.GLOBAL_ALL:
msgList.AddRange(checkGlobalDv(positionList, item.Value, warning, totalDv));
break;
case QuotaTypeEnum.GLOBAL_SWAP:
msgList.AddRange(checkGlobal(positionList, posiList, "场外业务-互换", item.Value, warning));
break;
case QuotaTypeEnum.TRADE:
msgList.AddRange(checkTrade(positionList, posiList, "单笔交易", item.Value, warning));
msgList.AddRange(checkTrade(positionList, posiList, "单笔交易", item.Value, warning, currentDv));
break;
case QuotaTypeEnum.UNDERLYING:
msgList.AddRange(checkUnderlying(positionList, posiList, "标的资产", item.Value, settingAll, warning));
@@ -5503,17 +5665,25 @@ namespace YLErp.Modules.RiskModule
/// <param name="quotaRange"></param>
/// <param name="stockEqvNotional">单笔名义本金</param>
/// <returns></returns>
private ClientRiskCheckItem CheckQuota(List<CheckQuotaMoitorModel> positionList, QuotaTypeEnum quotaType, ClientRiskCheckItem checkItem, int quotaRange, List<QuotaSetting> settingAll)
private ClientRiskCheckItem CheckQuota(List<CheckQuotaMoitorModel> positionList, QuotaTypeEnum quotaType, ClientRiskCheckItem checkItem, int quotaRange, List<QuotaSetting> settingAll, double totalDv = 0, double currentDv = 0)
{
var tag_prefix = "";
var positionListAll = positionList;
switch (quotaType)
{
//case QuotaTypeEnum.GLOBAL_ALL:
// if (checkItem.quotaType == "DV")
// {
// checkItem.currentValue = Math.Round(totalDv, 2);
// if (!ValidateQuoteResult(checkItem)) return checkItem;
// return null;
// }
// break;
case QuotaTypeEnum.GLOBAL_SWAP:
checkItem = checkGlobal(positionList, "场外业务-互换", checkItem, quotaType);
break;
case QuotaTypeEnum.TRADE:
checkItem = checkTrade(positionList, "单笔交易", checkItem);
checkItem = checkTrade(positionList, "单笔交易", checkItem, currentDv);
break;
case QuotaTypeEnum.UNDERLYING:
checkItem = checkUnderlying(positionList, "标的资产", checkItem, quotaRange, settingAll);
@@ -5548,7 +5718,8 @@ namespace YLErp.Modules.RiskModule
BusinessType = "标的交易",
PositionPnl=0,
DeltaExposure=0,
StockEqvNotional=0
StockEqvNotional=0,
DV=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();
@@ -5570,6 +5741,12 @@ namespace YLErp.Modules.RiskModule
{
var bondPrice = EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, item.UnderlyingCode);
lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
// 计算标的交易DV
var vobp = bondPrice != null ? bondPrice.Vobp ?? 0 : 0;
if (vobp != 0)
{
quotaMonitor_Global.DV += Convert.ToDouble(Dv01Helper.CalcDv01(item.UnderlyingCode,Math.Abs(Convert.ToDecimal(item.Position)), (int)SwapDirectionEnum.收取, (int)item.PositionType, vobp));
}
}
}
quotaMonitor_Global.PositionPnl += lastPrice * item.Position - item.PositionCost;
@@ -5592,7 +5769,8 @@ namespace YLErp.Modules.RiskModule
BusinessType = "标的交易",
PositionPnl = 0,
DeltaExposure = 0,
StockEqvNotional = 0
StockEqvNotional = 0,
DV = 0
};
List<string> tradetypes = new List<string> { "利率债", "信用债", "其它债券" };
var tposis = DbContext.eod_trade_position.Where(x => tradetypes.Contains(x.TradeType)&&x.ValueDate==valueDate).AsNoTracking().ToList();
@@ -5614,6 +5792,13 @@ namespace YLErp.Modules.RiskModule
{
var bondPrice = EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, item.UnderlyingCode);
lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
// 计算标的交易DV: Amount有符号(正=多,负=空)
var vobp = bondPrice != null ? bondPrice.Vobp ?? 0 : 0;
if (vobp != 0)
{
int positionType = item.Amount > 0 ? (int)PositionTypeFlag.Long : (int)PositionTypeFlag.Short;
quotaMonitor_Global.DV += Convert.ToDouble(Dv01Helper.CalcDv01(item.UnderlyingCode, Convert.ToDecimal(Math.Abs(item.Amount)), (int)SwapDirectionEnum.收取, positionType, vobp));
}
}
}
quotaMonitor_Global.PositionPnl += item.PositionPnL;
@@ -5677,6 +5862,27 @@ namespace YLErp.Modules.RiskModule
}
return messageList;
}
/// <summary>
/// 检验全局DV限额
/// </summary>
private List<string> checkGlobalDv(List<CheckQuotaMoitorModel> positionList, QuotaSetting[] settings, bool warning, double totalDv = -1)
{
var messageList = new List<string>();
var dvSettings = settings.Where(s => s.QuotaIndex == "DV").ToArray();
if (!dvSettings.Any()) return messageList;
// totalDv未预计算时（其他调用方），才在这里算
if (totalDv < 0)
totalDv = CalcRiskCheckDv(positionList, valuedateBLL.ValueDate).totalDv;
foreach (var settingItem in dvSettings)
{
double? upperLimit = warning ? settingItem.WarningUpperLimit : settingItem.QuotaUpperLimit;
double? lowerLimit = warning ? settingItem.WarningLowerLimit : settingItem.QuotaLowerLimit;
if (upperLimit == null && lowerLimit == null) continue;
var tag = $"全局(DV)";
messageList.Add(SetMsg(tag, totalDv, upperLimit, lowerLimit, settingItem.Percent, warning));
}
return messageList;
}
private ClientRiskCheckItem checkGlobal(List<CheckQuotaMoitorModel> positionList, string tag_prefix, ClientRiskCheckItem checkItem, QuotaTypeEnum quotaType)
{
@@ -5711,7 +5917,7 @@ namespace YLErp.Modules.RiskModule
}
return null;
}
private List<string> checkTrade(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, string tag_prefix, QuotaSetting[] settings, bool warning)
private List<string> checkTrade(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, string tag_prefix, QuotaSetting[] settings, bool warning, double currentDv = -1)
{
if (string.IsNullOrEmpty(tag_prefix))
{
@@ -5727,6 +5933,9 @@ namespace YLErp.Modules.RiskModule
double? upperLimit, lowerLimit, currentValue = null;
CheckQuotaMoitorModel current = positionList.FirstOrDefault(x => x.Current);
// currentDv未预计算时（其他调用方），才在这里算
if (currentDv < 0 && settings.Any(s => s.QuotaIndex == "DV"))
currentDv = CalcRiskCheckDv(positionList, valuedateBLL.ValueDate).currentDv;
foreach (var settingItem in settings)
{
if (warning)
@@ -5769,6 +5978,10 @@ namespace YLErp.Modules.RiskModule
currentValue = Convert.ToDouble(current.Delta);
messageList.Add(SetMsg(tag, currentValue, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
case "DV":
currentValue = currentDv;
messageList.Add(SetMsg(tag, currentValue, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
default:
continue;
}
@@ -5776,7 +5989,7 @@ namespace YLErp.Modules.RiskModule
}
return messageList;
}
private ClientRiskCheckItem checkTrade(List<CheckQuotaMoitorModel> positionList, string tag_prefix, ClientRiskCheckItem checkItem)
private ClientRiskCheckItem checkTrade(List<CheckQuotaMoitorModel> positionList, string tag_prefix, ClientRiskCheckItem checkItem, double currentDv = 0)
{
if (string.IsNullOrEmpty(tag_prefix))
{
@@ -5808,10 +6021,18 @@ namespace YLErp.Modules.RiskModule
return checkItem;
}
return null;
//case "DV":
// currentValue = currentDv;
// break;
default:
return null;
}
checkItem.currentValue = Math.Round(currentValue ?? 0, 2);
if (!ValidateQuoteResult(checkItem))
{
return checkItem;
}
return null;
}
private List<string> checkUnderlying(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, string tag_prefix, QuotaSetting[] settings, List<QuotaSetting> settingAll, bool warning)