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feat：更新规则14，字段不再乘以100

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ruisu
2026-08-05 16:45:27 +08:00
parent c771496ecd
commit f0ed2058bf
1 changed files with 11 additions and 12 deletions
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YLErpDAL/Modules/RiskEngine/测试用例.md
+11 -12
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@@ -3090,13 +3090,13 @@ ORDER BY DiffAbs DESC, sp.id ASC;
3. 根据 TradeId 查所有符合条件的浮动支付端，取 PosiGrossPrice 和 UnderlyingCode。
4. 用 swap_position.UnderlyingCode 关联 eod_commodity_future_price.UnderlyingCode；该模型属性映射数据库列 FutureContractId。
5. 每个标的优先取开始日期上一交易日的 ClosePrice；该日无数据时，改取成交日期上一交易日的数据；两日均无数据才报错。
6. 逐条计算 ABS(PosiGrossPrice * 100 - ClosePrice)，变量返回全部记录中的最大偏离值，命中说明只展示产生最大偏离值的记录。
6. 逐条计算 ABS(PosiGrossPrice - ClosePrice)，变量返回全部记录中的最大偏离值，命中说明只展示产生最大偏离值的记录。
```
规则公式：
```text
ABS(浮动支付端.PosiGrossPrice * 100 - 上一日行情.ClosePrice) > 5
ABS(浮动支付端.PosiGrossPrice - 上一日行情.ClosePrice) > 5
```
变量形式：
@@ -3170,14 +3170,14 @@ var deviationItems = selectedItems
{
x.Position.id,
x.Position.UnderlyingCode,
PositionValue = x.Position.PosiGrossPrice * 100m,
PositionValue = x.Position.PosiGrossPrice,
MarketDate = x.Market.ValueDate,
MarketDateSource = startPreviousTradingDay.HasValue
&& x.Market.ValueDate.Date == startPreviousTradingDay.Value
? "开始日期上一交易日"
: "成交日期上一交易日",
MarketValue = Convert.ToDecimal(x.Market.ClosePrice),
DiffAbs = Math.Abs(x.Position.PosiGrossPrice * 100m - Convert.ToDecimal(x.Market.ClosePrice))
DiffAbs = Math.Abs(x.Position.PosiGrossPrice - Convert.ToDecimal(x.Market.ClosePrice))
})
.OrderByDescending(x => x.DiffAbs)
.ThenBy(x => x.id)
@@ -3196,9 +3196,9 @@ return new RiskVariableValueDetail(maxDeviationItem.DiffAbs, detailMessage);
//{
// Id = 1000014,
// RuleName = "非债券类价格偏离（本地）",
// RuleText = "取值字段：通过 DbContext.swap_position 按 TradeId 取 IsInitial=true、Invalid=false、PosiDirection=2 且有标的代码的浮动支付端 PosiGrossPrice 和 UnderlyingCode，PosiGrossPrice 对应普通收益互换页面填写的期初标的价格，库内为 1 左右原值；通过 DbContext.eod_commodity_future_price 按该浮动支付端标的和交易日前日期取上一日收盘价 ClosePrice。注意：eod_commodity_future_price 模型属性 UnderlyingCode 实际映射数据库列 FutureContractId，数据库排查时应使用 FutureContractId 与 swap_position.UnderlyingCode 关联。计算逻辑：按 ABS(PosiGrossPrice×100-ClosePrice) 计算绝对价差，价差大于 5 时触发审批。",
// RuleText = "取值字段：通过 DbContext.swap_position 按 TradeId 取 IsInitial=true、Invalid=false、PosiDirection=2 且有标的代码的浮动支付端 PosiGrossPrice 和 UnderlyingCode，PosiGrossPrice 对应普通收益互换页面填写的期初标的价格，库内为原值；通过 DbContext.eod_commodity_future_price 按该浮动支付端标的和交易日前日期取上一日收盘价 ClosePrice。注意：eod_commodity_future_price 模型属性 UnderlyingCode 实际映射数据库列 FutureContractId，数据库排查时应使用 FutureContractId 与 swap_position.UnderlyingCode 关联。计算逻辑：按 ABS(PosiGrossPrice-ClosePrice) 计算绝对价差，价差大于 5 时触发审批。",
// 字段映射：RuleExpr 中 eod_commodity_future_price.UnderlyingCode 是 C# 模型属性，实际数据库列为 FutureContractId；SQL 排查时应写 e.FutureContractId。
// RuleExpr = "Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).PosiGrossPrice * 100m - 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)) > 5m",
// RuleExpr = "Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.IsInitial && !p.Invalid && p.PosiDirection == 2 && !string.IsNullOrEmpty(p.UnderlyingCode)).PosiGrossPrice - 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)) > 5m",
// Version = 1,
// Status = RiskRuleStatus.Active,
// OptId = 0,
@@ -3211,7 +3211,7 @@ return new RiskVariableValueDetail(maxDeviationItem.DiffAbs, detailMessage);
```
```sql
SET @TradeId = 3001699;
SET @TradeId = 3001749;
SET @Threshold = 5;
WITH RECURSIVE trade_dates AS (
@@ -3264,7 +3264,7 @@ market_ranked AS (
SELECT
sp.id AS SwapPositionId,
e.*,
CASE WHEN rd.StartPreviousTradingDay IS NOT NULL AND DATE(e.ValueDate) = rd.StartPreviousTradingDay THEN '开始日期上一交易日' ELSE '成交日期上一交易日' END AS DataSource,
CASE WHEN rd.StartPreviousTradingDay IS NOT NULL AND DATE(e.ValueDate) = rd.StartPreviousTradingDay THEN '开始日期上一交易日' ELSE '成交日期上一交易日' END AS PriceDateSource,
ROW_NUMBER() OVER (
PARTITION BY sp.id
ORDER BY
@@ -3292,14 +3292,13 @@ SELECT
sp.id AS SwapPositionId,
sp.UnderlyingCode AS SwapPositionUnderlyingCode,
sp.PosiGrossPrice,
sp.PosiGrossPrice * 100 AS PosiGrossPrice_100,
e.id AS EodPriceId,
e.FutureContractId AS EodFutureContractId,
e.ValueDate,
e.ClosePrice,
e.DataSource,
ABS(sp.PosiGrossPrice * 100 - e.ClosePrice) AS DiffAbs,
CASE WHEN ABS(sp.PosiGrossPrice * 100 - e.ClosePrice) > @Threshold THEN 1 ELSE 0 END AS IsGreaterThanThreshold
e.PriceDateSource,
ABS(sp.PosiGrossPrice - e.ClosePrice) AS DiffAbs,
CASE WHEN ABS(sp.PosiGrossPrice - e.ClosePrice) > @Threshold THEN 1 ELSE 0 END AS IsGreaterThanThreshold
FROM trade_dates td
CROSS JOIN reference_days rd
INNER JOIN position_items sp ON 1 = 1