using Newtonsoft.Json; using Qdp.Foundation.Utilities; using System.Reflection; using YLErp.BLL; using YLErp.Model; /* ================================================================================ 风控引擎服务 — RiskEngineService 技术方案与当前实现说明 ================================================================================ 【项目背景】 当前 TRS 系统已在 QuotaMonitorService 中接入第一版风控引擎,用于在交易关键 时点执行可配置规则判断。当前目标不是一次性做成最终版,而是在最小可运行链路 跑通后,逐步演进为可由前端配置、后端预编译、执行期直接命中的正式版本。 【当前实现口径】(以本注释和实际代码为准) 核心概念: - RiskRule(风控规则):规则定义本体,当前重点字段包括 Id、RuleName、 RuleText、RuleExpr、Version、CompiledScript。 - RiskRuleApplication(规则应用):与规则分离,承载启用状态、控制策略、触发时点、 适用范围(全局 / 账户 / 客户 / 标的类型 / 合约类型)。 - RuleExpr:自由文本规则的编译入口。要求内容是 Roslyn 可直接执行的 C# bool 表达式, 例如通过 DbContext 和 TradeId 查询数据库后做数值或日期比较。 - ConditionJson:结构化规则的主执行依据;有值时优先由结构化执行器执行。 - RiskContext:一次风控检查的数据上下文,包含 TradeId、TriggerPoint 和 DbContext。 - RuleCompiledCache:进程内编译结果缓存,仅用于自由文本 RuleExpr 规则,按规则 Id 缓存 Func。 当前编译流程: 1. 结构化规则以 ConditionJson 为执行依据,预热时只做 JSON 结构解析校验 2. 自由文本规则在 RuleExpr 中直接写最终可执行表达式 3. 调用 RuleCompiler.ValidateAndCompileRule(rule) 4. 内部使用 Roslyn 编译 RuleExpr,生成 Func 5. 编译成功后写入 rule.CompiledScript,并同步写入 RuleCompiledCache 当前执行流程(EvaluateRisk): 1. 从数据库加载规则列表和应用列表 2. 按应用状态、TriggerPoints 过滤有效应用 3. 按应用范围过滤交易是否命中(全局 / 账户 / 客户 / 标的类型 / 合约类型) 4. 根据应用配置中的 RuleIds 找到对应规则 Id 并关联规则 5. ConditionJson 有值时走结构化执行器;否则从 RuleCompiledCache 读取已编译委托,未命中时兜底编译一次 6. 执行规则判断,按 ControlStrategy 聚合为 Blocked / NeedApproval / Warnings 7. 返回 RiskResult 当前维度匹配规则: - 全局:ScopeIsGlobal=true 时直接命中 - 同一维度内多选:并集(OR) - 不同维度之间:交集(AND) - 某维度留空:视为该维度不限制 【与早期方案的主要差异】 - 结构化规则已改为 ConditionJson 执行主导,自由文本规则继续保留 RuleExpr 直编译 - RiskRule 与 RiskRuleApplication 当前仍是分离模型,没有合并 - 编译器文件已放入 RiskEngine/Compile 目录下 - 当前已引入 RuleCompileResult、RuleCompiledCache,用于校验结果与进程内缓存 - Rule2 这类“左值与右值都来自对象字段”的规则,当前通过 RuleExpr 直接表达 【当前代码结构】 风控引擎层:YLErpDAL/Modules/RiskEngine/ - RiskEngineService.cs:执行入口,负责规则筛选、应用过滤、委托执行、结果聚合 - RiskRule.cs:规则定义模型,含 CompiledScript 运行时字段 - RiskRuleApplication.cs:规则应用模型,承载策略、触发点和适用范围 - RiskContext.cs / RiskResult.cs:执行上下文与结果模型 编译相关:YLErpDAL/Modules/RiskEngine/Compile/ - RuleCompiler.cs:Roslyn 编译入口,提供 ValidateAndCompileFormula / ValidateAndCompileRule - RuleCompileResult.cs:编译结果模型 - RuleCompiledCache.cs:编译结果缓存 当前集成点: - QuotaMonitorService.cs:构造 RiskContext,并传入当前 TradeId 【当前进度】(截至 2026-06-24) ✅ 已完成: 1. RiskEngine 第一版执行链路已跑通:QuotaMonitorService -> RiskEngineService -> RuleCompiler 2. 风控上下文提供 DbContext 和 TradeId,支持规则脚本直接查询数据库 3. 结构化规则已支持 ConditionJson 执行,自由文本规则保留 RuleExpr 直编译 4. Application 通用维度匹配已支持:全局 / 账户 / 客户 / 标的类型 / 合约类型 5. 维度组合逻辑已按文档确认:同维度 OR,不同维度 AND 6. RuleCompiler 已支持校验 + 编译 + 写缓存 7. RuleCompiledCache / RuleCompileResult 已落地到 Compile 目录 8. RiskEngineService 已改为结构化规则优先执行 ConditionJson,自由文本规则再读取 RuleCompiledCache 【待办事项 / TODO】 ⬜ 1. 接入真实规则来源 - 由数据库或前端提交替换当前 LoadRules / LoadApplications 的规则来源 ⬜ 2. 增加接口层 - 提供前端提交 RuleExpr 后的校验接口 - 提供规则保存 / 发布后预编译并写缓存的入口 ⬜ 3. 启动预热与缓存刷新 - 服务启动时批量加载有效规则并预编译 - 支持规则更新后的缓存刷新 / 删除 ⬜ 4. 完善执行期策略 - 当前保留“缓存未命中时兜底编译”逻辑 - 后续可收紧为“执行期只读缓存,未命中按发布失败处理” ⬜ 5. 补测试样例 - 数值比较、日期比较、维度过滤、非法公式、边界值 ⬜ 6. 完善 RuleExpr 配套能力 - 提供前端可用的表达式编辑、校验与错误提示 - 约束可用变量、类型转换和脚本安全边界 【注意事项】 1. 当前 RuleExpr 必须是 Roslyn 最终可执行的 C# bool 表达式,不是业务语义短句 2. RuleExpr 可直接使用 DbContext 查询数据库,当前交易通过 TradeId 定位 3. 当前缓存的是 Func,这是规则判断函数,不是事件处理器 4. 业务可预期失败优先走结果返回,不要把高频校验失败都设计成异常 ================================================================================ */ namespace YLErp.Modules.RiskEngine { /// /// 风控引擎服务(第一版 — 骨架版,先跑通) /// public class RiskEngineService : YLBaseService { IYcLogger _logger = LogFactory.GetLogger("RiskEngineService"); private static readonly Lazy _instance = new Lazy(() => new RiskEngineService()); public static RiskEngineService GetInstance() => _instance.Value; private RiskEngineService() : base(OptUserInfo.SystemUser) { } public RiskEngineService(OptUserInfo userInfo) : base(userInfo) { } public RiskEngineService(YLBaseService baseService) : base(baseService) { } public RiskEngineService(OptUserInfo optUser, YLContext dbContext) : base(optUser, dbContext) { } /// /// 规则内存缓存(启动预热写入,EvaluateRisk 读取) /// private static volatile List _cachedRules; private static volatile List _cachedApplications; private static readonly object _cacheLock = new object(); /// /// 预热:加载规则与应用到内存,并预编译自由文本规则到 RuleCompiledCache。 /// 结构化规则运行时直接执行 ConditionJson,预热时只做轻量结构校验,不再预编译 RuleExpr。 /// public void Preload() { lock (_cacheLock) { _logger.Info("[风控引擎] Preload 开始 - 加载规则与应用并预编译"); var rules = LoadRulesFromDb(); var applications = LoadApplicationsFromDb(); // 仅预编译自由文本规则;结构化规则运行时由 ConditionJson 执行。 foreach (var rule in rules) { var ruleId = rule.Id.ToString(); //非活跃的rule不编译 if (rule.Status != RiskRuleStatus.Active) { RuleCompiledCache.Remove(rule.Id.ToString()); _logger.Info($"[风控引擎] 规则非活跃,已移除预编译缓存 - RuleId: {rule.Id}, Status: {rule.Status}"); continue; } if (!string.IsNullOrWhiteSpace(rule.ConditionJson)) { RuleCompiledCache.Remove(rule.Id.ToString()); try { RuleConditionExpressionBuilder.DeserializeConditions(rule.ConditionJson); _logger.Info($"[风控引擎] 结构化规则预热校验成功,跳过 RuleExpr 预编译 - RuleId: {rule.Id}"); } catch (Exception ex) { _logger.Info($"[风控引擎] 结构化规则预热校验失败 - RuleId: {rule.Id}, Error: {ex.Message}"); } continue; } var compileResult = RuleCompiler.ValidateAndCompileRule(rule); if (compileResult.Success) { _logger.Info($"[风控引擎] 规则预编译成功 - RuleId: {rule.Id}"); } else { _logger.Info($"[风控引擎] 规则预编译失败 - RuleId: {rule.Id}, Error: {compileResult.ErrorMessage}"); } } _cachedRules = rules; _cachedApplications = applications; _logger.Info($"[风控引擎] Preload 完成 - 规则数: {rules.Count}, 应用数: {applications.Count}"); } } /// /// 刷新缓存:刷新规则与应用内存缓存,预编译成功时覆盖旧编译缓存。 /// 规则/应用配置更新后调用。 /// public void RefreshCache() { _logger.Info("[风控引擎] RefreshCache 被调用 - 刷新规则与应用缓存并重新预加载"); lock (_cacheLock) { _cachedRules = null; _cachedApplications = null; RuleCompiledCache.Clear(); } Preload(); } /// /// 刷新单条规则缓存:重新加载规则列表,只编译指定规则。 /// public RuleCompileResult RefreshOneRuleCache(long ruleId) { lock (_cacheLock) { _logger.Info($"[风控引擎] RefreshOneRuleCache 开始 - RuleId: {ruleId}"); // 从数据库加载最新规则列表 _cachedRules = LoadRulesFromDb(); var rule = _cachedRules.FirstOrDefault(r => r.Id == ruleId); if (rule == null) { RuleCompiledCache.Remove(ruleId.ToString()); _logger.Info($"[风控引擎] RefreshOneRuleCache 未找到规则,已移除缓存 - RuleId: {ruleId}"); return RuleCompileResult.Fail("规则不存在或已删除"); } if (rule.Status != RiskRuleStatus.Active) { RuleCompiledCache.Remove(ruleId.ToString()); _logger.Info($"[风控引擎] RefreshOneRuleCache 规则非活跃,已移除缓存 - RuleId: {ruleId}, Status: {rule.Status}"); return RuleCompileResult.Fail("规则不存在或非活跃状态"); } if (!string.IsNullOrWhiteSpace(rule.ConditionJson)) { RuleCompiledCache.Remove(ruleId.ToString()); try { RuleConditionExpressionBuilder.DeserializeConditions(rule.ConditionJson); _logger.Info($"[风控引擎] RefreshOneRuleCache 结构化规则校验成功,跳过 RuleExpr 编译 - RuleId: {ruleId}"); return RuleCompileResult.Ok(null); } catch (Exception ex) { _logger.Info($"[风控引擎] RefreshOneRuleCache 结构化规则校验失败 - RuleId: {ruleId}, Error: {ex.Message}"); return RuleCompileResult.Fail(ex.Message); } } var compileResult = RuleCompiler.ValidateAndCompileRule(rule); _logger.Info($"[风控引擎] RefreshOneRuleCache 完成 - RuleId: {ruleId}, Success: {compileResult.Success}, Error: {compileResult.ErrorMessage}"); return compileResult; } } /// /// 仅刷新规则应用列表,不清空规则编译缓存。 /// public void RefreshApplication() { lock (_cacheLock) { _cachedApplications = LoadApplicationsFromDb(); _logger.Info($"[风控引擎] RefreshApplication 完成 - 应用数: {_cachedApplications.Count}"); } } /// /// 从内存缓存获取规则列表;缓存为空时兜底加载并填充缓存。 /// private List GetRules() { var rules = _cachedRules; if (rules != null) { return rules; } lock (_cacheLock) { if (_cachedRules != null) { return _cachedRules; } var loaded = LoadRulesFromDb(); _cachedRules = loaded; return loaded; } } /// /// 从内存缓存获取应用列表;缓存为空时兜底加载并填充缓存。 /// private List GetApplications() { var applications = _cachedApplications; if (applications != null) { return applications; } lock (_cacheLock) { if (_cachedApplications != null) { return _cachedApplications; } var loaded = LoadApplicationsFromDb(); _cachedApplications = loaded; return loaded; } } /// /// 执行风控检查(最终设计版:预编译委托 + 规则筛选 + 策略判定) /// /// 风控上下文 /// 触发时点,如 BOOK_CONFIRM /// 风控结果 public RiskResult EvaluateRisk(RiskContext context, string triggerPoint) { var result = new RiskResult(); try { using var ruleDbContext = DbContextFactory.GetYLDbContext(); ruleDbContext.ChangeTracker.QueryTrackingBehavior = Microsoft.EntityFrameworkCore.QueryTrackingBehavior.NoTracking; context ??= new RiskContext(); context.TriggerPoint = triggerPoint; context.DbContext = ruleDbContext; _logger.Info($"[风控引擎] EvaluateRisk 开始 - TradeId: {context.TradeId}, TriggerPoint: {triggerPoint}"); // ============================================================ // Step 1: 从内存缓存读取规则定义和规则应用(启动时已预热) // ============================================================ var rules = GetRules(); var applications = GetApplications(); var variables = new Dictionary(); _logger.Info($"[风控引擎] 加载规则数: {rules.Count}, 应用数: {applications.Count}"); // ============================================================ // Step 2: 先按 Application 过滤 Active 状态和 TriggerPoint 匹配的应用 // ============================================================ var activeApps = applications .Where(a => a.Status == RiskRuleStatus.Active) .ToList(); var apps = activeApps .Where(a => !string.IsNullOrEmpty(a.TriggerPoints)) .ToList(); var triggerMatchedApps = apps .Where(a => a.TriggerPoints.Split(',', StringSplitOptions.RemoveEmptyEntries) .Select(s => s.Trim()) .Contains(triggerPoint)) .ToList(); // 再按应用范围过滤。 // 统一走通用维度匹配: // 1. 全局命中时直接通过; // 2. 同一维度内多选按并集处理; // 3. 不同维度之间按交集处理; // 4. 某维度留空表示该维度不限制。 var trade = context.TradeId > 0 ? context.DbContext.trade.AsNoTracking().FirstOrDefault(t => t.id == context.TradeId) : null; var matchedApplications = triggerMatchedApps .Where(a => IsApplicationMatched(a, trade)) .ToList(); _logger.Info($"[风控引擎] 匹配 TriggerPoint 的应用数: {matchedApplications.Count}"); // ============================================================ // Step 3: 遍历匹配的应用,通过 RuleIds 关联规则并执行预编译委托 // ============================================================ foreach (var application in matchedApplications) { // ------------------------------------------------------------ // 3.1 通过 RuleIds 关联规则定义 // ------------------------------------------------------------ var applicationRuleIds = ParseRuleIds(application.RuleIds); if (!applicationRuleIds.Any()) { _logger.Info($"[风控引擎] 应用未配置有效规则 - RuleIds: {application.RuleIds}"); continue; } var applicationRules = rules .Where(r => applicationRuleIds.Contains(r.Id) && r.Status == RiskRuleStatus.Active) .ToList(); // 区分"规则不存在"与"规则非活跃"两种情况,分别记录日志 var ruleDict = rules.Where(r => applicationRuleIds.Contains(r.Id)) .ToDictionary(r => r.Id); foreach (var ruleId in applicationRuleIds) { if (!ruleDict.TryGetValue(ruleId, out var ruleDef)) { _logger.Info($"[风控引擎] 未找到对应规则定义 - RuleId: {ruleId}, ApplicationRuleIds: {application.RuleIds}"); } else if (ruleDef.Status != RiskRuleStatus.Active) { _logger.Info($"[风控引擎] 规则非活跃,跳过执行 - RuleId: {ruleId}, Status: {ruleDef.Status}, ApplicationRuleIds: {application.RuleIds}"); } } foreach (var rule in applicationRules) { var ruleId = rule.Id.ToString(); bool triggered = false; if (!string.IsNullOrWhiteSpace(rule.ConditionJson)) { // 结构化规则优先使用 ConditionJson 执行,避免继续把条件整体拼成 Roslyn bool 公式。 try { var conditions = RuleConditionExpressionBuilder.DeserializeConditions(rule.ConditionJson); var referencedVariableIds = RuleConditionExpressionBuilder.GetReferencedVariableIds(conditions); var missingVariableIds = referencedVariableIds .Where(id => !variables.ContainsKey(id)) .ToList(); if (missingVariableIds.Any()) { // 按本次结构化规则实际引用的变量懒加载,避免每次风控检查全量读取变量池。 var loadedVariables = ruleDbContext.glms_risk_variable .AsNoTracking() .Where(v => missingVariableIds.Contains(v.id)) .ToDictionary(v => v.id); foreach (var variable in loadedVariables) variables[variable.Key] = variable.Value; } var ruleVariables = referencedVariableIds .Where(variables.ContainsKey) .ToDictionary(id => id, id => variables[id]); var executeResult = StructuredRuleExecutor.Execute(conditions, ruleVariables, context); if (!executeResult.Success) { var errorMessage = $"规则[{rule.RuleName}]执行异常:{executeResult.ErrorMessage}"; _logger.Error($"[风控引擎] 结构化规则执行异常,按阻断处理 - RuleId: {rule.Id}, Error: {executeResult.ErrorMessage}"); AddBlockError(result, ruleId, rule.RuleName, rule.RuleText, errorMessage); continue; } triggered = executeResult.Triggered; _logger.Info($"[风控引擎] 结构化规则执行 - RuleId: {rule.Id}, Triggered: {triggered}"); } catch (Exception ex) { var errorMessage = $"规则[{rule.RuleName}]执行异常:{ex.Message}"; _logger.Error($"[风控引擎] 结构化规则执行异常,按阻断处理 - RuleId: {rule.Id}, Error: {ex.Message}"); AddBlockError(result, ruleId, rule.RuleName, rule.RuleText, errorMessage); continue; } } else { // ------------------------------------------------------------ // 3.2 优先从编译缓存读取规则委托 // ------------------------------------------------------------ if (!RuleCompiledCache.TryGet(ruleId, out var compiledScript)) { _logger.Info($"[风控引擎] 缓存中未命中已编译规则,执行兜底编译 - RuleId: {rule.Id}"); var compileResult = RuleCompiler.ValidateAndCompileRule(rule); if (!compileResult.Success) { var errorMessage = $"规则[{rule.RuleName}]编译失败,已按阻断处理,请检查规则表达式配置:{compileResult.ErrorMessage}"; _logger.Info($"[风控引擎] 规则编译失败,按阻断处理 - RuleId: {rule.Id}, Error: {compileResult.ErrorMessage}"); AddBlockError(result, rule.Id.ToString(), rule.RuleName, rule.RuleText, errorMessage); continue; } compiledScript = compileResult.CompiledScript; } // ------------------------------------------------------------ // 3.3 执行预编译委托 // ------------------------------------------------------------ try { triggered = compiledScript(context); _logger.Info($"[风控引擎] 规则执行 - RuleId: {rule.Id}, Triggered: {triggered}"); } catch (Exception ex) { var errorMessage = $"规则[{rule.RuleName}]执行异常:{ex.Message}"; _logger.Error($"[风控引擎] 规则执行异常,按阻断处理 - RuleId: {rule.Id}, Error: {ex.Message}"); AddBlockError(result, ruleId, rule.RuleName, rule.RuleText, errorMessage); continue; } } // ------------------------------------------------------------ // 3.4 命中后按 Application 的控制策略聚合结果 // ------------------------------------------------------------ if (triggered) { _logger.Info($"[风控引擎] 规则触发 - RuleId: {rule.Id}, Strategy: {application.ControlStrategy}"); switch (application.ControlStrategy) { case RiskControlStrategy.Block: result.Blocked = true; result.Passed = false; result.TriggeredRules.Add(new TriggeredRuleInfo { RuleId = rule.Id.ToString(), RuleName = rule.RuleName, ControlStrategy = RiskControlStrategy.Block, RuleText = rule.RuleText, Message = $"规则[{rule.RuleName}]触发:禁止" }); break; case RiskControlStrategy.Approval: result.NeedApproval = true; result.Passed = false; result.TriggeredRules.Add(new TriggeredRuleInfo { RuleId = ruleId, RuleName = rule.RuleName, ControlStrategy = RiskControlStrategy.Approval, RuleText = rule.RuleText, Message = $"规则[{rule.RuleName}]触发:需审批" }); break; case RiskControlStrategy.ShowTip: result.ShowTip = true; result.TriggeredRules.Add(new TriggeredRuleInfo { RuleId = ruleId, RuleName = rule.RuleName, ControlStrategy = RiskControlStrategy.ShowTip, RuleText = rule.RuleText, Message = $"规则[{rule.RuleName}]触发:提示" }); break; default: _logger.Info($"[风控引擎] 未知策略类型 - ControlStrategy: {application.ControlStrategy}"); break; } } else { _logger.Info($"[风控引擎] 规则未触发 - RuleId: {rule.Id}, TriggerPoint: {triggerPoint}"); } } } // ============================================================ // Step 4: 聚合最终结果 // ============================================================ if (!result.Blocked && !result.NeedApproval) { result.Passed = true; } else { result.Passed = false; } _logger.Info($"[风控引擎] EvaluateRisk 完成 - TradeId: {context?.TradeId}, Passed: {result.Passed}, Blocked: {result.Blocked}, NeedApproval: {result.NeedApproval}, TriggeredRules: {result.TriggeredRules.Count}"); } catch (Exception ex) { var errorMessage = $"风控引擎异常:{ex.Message}"; AddBlockError(result, "ENGINE_ERROR", "风控引擎执行异常", ex.Message, errorMessage); _logger.Error($"[风控引擎] EvaluateRisk 异常 - TradeId: {context?.TradeId}, Error: {ex.Message}"); } return result; } private static void AddBlockError(RiskResult result, string ruleId, string ruleName, string ruleText, string errorMessage) { result.Blocked = true; result.Passed = false; result.ErrorMessage = string.IsNullOrWhiteSpace(result.ErrorMessage) ? errorMessage : $"{result.ErrorMessage};{errorMessage}"; result.TriggeredRules.Add(new TriggeredRuleInfo { RuleId = ruleId, RuleName = ruleName, ControlStrategy = RiskControlStrategy.Block, RuleText = ruleText, Message = errorMessage }); } /// /// 从数据库加载规则列表 /// private List LoadRulesFromDb() { using var dbContext = DbContextFactory.GetYLDbContext(); var rules = dbContext.glms_risk_rule .AsNoTracking() .OrderByDescending(r => r.UpdateDate ?? r.OptDate) .Select(r => new RiskRule { Status = r.Status, Id = r.id, RuleName = r.RuleName, RuleText = r.RuleText, ConditionJson = r.ConditionJson, RuleExpr = r.RuleExpr, Version = r.Version, OptId = r.OptId ?? 0, OptName = r.OptName, OptDate = r.OptDate ?? DateTime.MinValue, UpdateOptId = r.UpdateOptId ?? 0, UpdateOptName = r.UpdateOptName, UpdateDate = r.UpdateDate ?? r.OptDate ?? DateTime.MinValue }).ToList() ; return rules; //#region 测试本地规则 //rules.Add(new RiskRule //{ // Id = 1000001, // RuleName = "挂钩标的集中度校验(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易;分子查询 trade 表同一标的存续/审批中交易 StockEqvNotional 汇总;分母查询 underlying_manager.ExJson 中债券 IssueSize(亿)。计算逻辑:同一标的总名义本金 ÷ 发行量 × 100%,发行量乘 100000000 还原为元,结果大于 30% 时触发审批。", // RuleExpr = "Convert.ToDecimal(DbContext.trade.Where(t => t.ValidState != \"InValid\" && t.UnderlyingId == DbContext.trade.First(x => x.id == TradeId).UnderlyingId && t.ParentTradeId == 0 && (ConsTrade.NeedMarginTradeStatusList.Contains(t.TradeStatus) || t.TradeStatus == \"审批中\")).Sum(t => (double?)t.StockEqvNotional) ?? 0d) / (JsonConvert.DeserializeObject(DbContext.underlying_manager.Where(u => u.UnderlyingCode == DbContext.trade.First(x => x.id == TradeId).UnderlyingCode).Select(u => u.ExJson).FirstOrDefault()).IssueSize.Value * 100000000m) * 100m > 30m", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000003, // RuleName = "名义本金超阈值(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 StockEqvNotional,对应 trade 表名义本金字段。计算逻辑:StockEqvNotional 大于 100000000 时触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).StockEqvNotional > 100000000", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000004, // RuleName = "保证金支付比例超阈值(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 MarginRate,对应 trade 表保证金率字段。计算逻辑:本地测试按数值型比例直接比较,MarginRate 大于 0.5 视为超过 50%,触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).MarginRate > 0.5", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000005, // RuleName = "保证金利率偏离(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 MarginRate,作为保证金利率本地测试字段。计算逻辑:若 MarginRate 小于 0.02 或大于 0.05,则触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).MarginRate < 0.02 || DbContext.trade.First(t => t.id == TradeId).MarginRate > 0.05", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000006, // RuleName = "保证金收取比例低于最低标准(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 MarginRate 做本地测试比较。计算逻辑:先以 20% 作为本地测试最低标准,MarginRate 小于 0.2 时触发审批,后续接入正式配置后再替换阈值来源。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).MarginRate < 0.2", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000007, // RuleName = "起息日早于当前日期(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 StartDate,对应 trade 表开始日。计算逻辑:StartDate 有值且日期早于系统当天 DateTime.Today 时触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).StartDate.HasValue && DbContext.trade.First(t => t.id == TradeId).StartDate.Value.Date < DateTime.Today", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000008, // RuleName = "支付日为银行间交易日(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 SettlementDate,对应 trade 表结算日期;调用 QdpCalendarHelper.GetNonHolidayDefore 做交易日校验。计算逻辑:若 SettlementDate 有值,且向前修正到最近交易日后的结果不等于原日期,则说明原日期不是银行间交易日,触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).SettlementDate.HasValue && QdpCalendarHelper.GetNonHolidayDefore(DbContext.trade.First(t => t.id == TradeId).SettlementDate.Value.Date) != DbContext.trade.First(t => t.id == TradeId).SettlementDate.Value.Date", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000009, // RuleName = "到期日为银行间交易日(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 ExerciseDate,对应当前交易里更接近业务到期/行权日的字段;调用 QdpCalendarHelper.GetNonHolidayDefore 做交易日校验。计算逻辑:ExerciseDate 有值且向前修正到最近交易日后的结果不等于原日期时,视为不是银行间交易日,触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).ExerciseDate.HasValue && QdpCalendarHelper.GetNonHolidayDefore(DbContext.trade.First(t => t.id == TradeId).ExerciseDate.Value.Date) != DbContext.trade.First(t => t.id == TradeId).ExerciseDate.Value.Date", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000010, // RuleName = "平仓日为银行间交易日(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 UnWindDate,对应 trade 表平仓日;调用 QdpCalendarHelper.GetNonHolidayDefore 做交易日校验。计算逻辑:UnWindDate 有值且向前修正到最近交易日后的结果不等于原日期时,视为不是银行间交易日,触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).UnWindDate.HasValue && QdpCalendarHelper.GetNonHolidayDefore(DbContext.trade.First(t => t.id == TradeId).UnWindDate.Value.Date) != DbContext.trade.First(t => t.id == TradeId).UnWindDate.Value.Date", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000011, // RuleName = "合约期限超阈值(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 StartDate 和 ExerciseDate。计算逻辑:当 StartDate 和 ExerciseDate 都有值时,用 ExerciseDate.Date 减 StartDate.Date 的总天数,若大于 365 天则触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).StartDate.HasValue && DbContext.trade.First(t => t.id == TradeId).ExerciseDate.HasValue && (DbContext.trade.First(t => t.id == TradeId).ExerciseDate.Value.Date - DbContext.trade.First(t => t.id == TradeId).StartDate.Value.Date).TotalDays > 365d", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000012, // RuleName = "债券类净价偏离(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 PosiNetNoFeePrice 和 UnderlyingCode,PosiNetNoFeePrice 对应债券类标的期初交割净价,库内为 1 左右原值;通过 DbContext.china_bond_valuation 按该浮动支付端标的和交易日前日期优先取 credibility=1 的上一收盘日 net_price,库内为 100 左右报价。计算逻辑:按 ABS(PosiNetNoFeePrice×100-net_price) 计算绝对价差,价差大于 5 元时触发审批。", // RuleExpr = "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", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000013, // RuleName = "债券类收益率偏离(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 InitYtm 和 UnderlyingCode,InitYtm 对应债券类标的期初成交收益率,库内为原值;通过 DbContext.china_bond_valuation 按该浮动支付端标的和交易日前日期优先取 credibility=1 的上一收盘日 yield,库内为 1.5 到 2.2 左右百分数。计算逻辑:按 ABS(InitYtm×100-yield) 计算收益率绝对差,差值大于 1 时触发审批。", // RuleExpr = "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) > 1m", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // 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。", // 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", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000015, // RuleName = "单一交易对手累计标的数量超阈值(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易对手 ClientId,再查询同一交易对手有效交易对应的实时存续持仓 swap_position.UnderlyingCode 去重数量。实时存续持仓口径:IsInitial=false、PosiQuantity>0、Invalid=false、PosiDirection>0 且 UnderlyingCode 非空。计算逻辑:同一交易对手累计标的数量超过 10 个时触发审批。", // RuleExpr= 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 // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000016, // RuleName = "多头支付固定端利率偏离(本地)", // RuleText = "取值字段:通过 DbContext.swap_position 按 TradeId 取利息端收入固定利息方向记录的 InterestRateDefault。InterestRateDefault 只代表利率文本框中 + 号后的点差,不包含 FR007 基准利率,库内为小数原值,界面按百分比显示。计算逻辑:按 ABS(InterestRateDefault×100) 计算点差百分比绝对值,绝对值小于 5 时触发审批。", // RuleExpr = "Math.Abs(DbContext.swap_position.First(p => p.SwapTradeId == TradeId && p.InterestDirection == 1).InterestRateDefault * 100m) < 5m", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000017, // RuleName = "空头利率减点借贷加权偏离(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 FixedRate,并结合 BuySell 判断空头方向。计算逻辑:当 BuySell 表示空头且 FixedRate 有值时,先以 2% 作为本地测试基准,若 ABS(FixedRate-0.02)/0.02×100% 大于 5%,则触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).BuySell == \"Sell\" && DbContext.trade.First(t => t.id == TradeId).FixedRate.HasValue && Math.Abs((DbContext.trade.First(t => t.id == TradeId).FixedRate.Value - 0.02d) / 0.02d) * 100d > 5d", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000018, // RuleName = "账户授权收支方向不匹配(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 OpponentRole 与 BuySell 做本地测试占位判断。计算逻辑:当 OpponentRole 和 BuySell 都有值,且 OpponentRole 为 Pay 且 BuySell 为 Buy 时视为方向不匹配,触发禁止。", // RuleExpr = "!string.IsNullOrWhiteSpace(DbContext.trade.First(t => t.id == TradeId).OpponentRole) && !string.IsNullOrWhiteSpace(DbContext.trade.First(t => t.id == TradeId).BuySell) && DbContext.trade.First(t => t.id == TradeId).OpponentRole == \"Pay\" && DbContext.trade.First(t => t.id == TradeId).BuySell == \"Buy\"", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000019, // RuleName = "执行价偏离超阈值(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 Strike 和 SpotPrice,分别对应行权价与现价。计算逻辑:当 Strike 和 SpotPrice 都有值且 SpotPrice 不为 0 时,按 ABS(Strike/SpotPrice-1)×100% 计算执行价相对现价的偏离率,大于 5% 时触发审批。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).Strike.HasValue && DbContext.trade.First(t => t.id == TradeId).SpotPrice.HasValue && DbContext.trade.First(t => t.id == TradeId).SpotPrice.Value != 0 && Math.Abs((DbContext.trade.First(t => t.id == TradeId).Strike.Value / DbContext.trade.First(t => t.id == TradeId).SpotPrice.Value) - 1d) * 100d > 5d", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //rules.Add(new RiskRule //{ // Id = 1000021, // RuleName = "接近/触发敲入敲出价(本地)", // RuleText = "取值字段:通过 DbContext.trade 按 TradeId 取当前交易的 Strike 和 SpotPrice,近似模拟触发价与现价。计算逻辑:当 Strike 和 SpotPrice 都有值且 Strike 不为 0 时,按 ABS(SpotPrice/Strike-1)×100% 计算两者距离,距离小于等于 2% 时视为接近触发价,给出提示。", // RuleExpr = "DbContext.trade.First(t => t.id == TradeId).Strike.HasValue && DbContext.trade.First(t => t.id == TradeId).SpotPrice.HasValue && DbContext.trade.First(t => t.id == TradeId).Strike.Value != 0 && Math.Abs((DbContext.trade.First(t => t.id == TradeId).SpotPrice.Value / DbContext.trade.First(t => t.id == TradeId).Strike.Value) - 1d) * 100d <= 2d", // Version = 1, // Status = RiskRuleStatus.Active, // OptId = 0, // OptName = "system", // OptDate = DateTime.Now, // UpdateOptId = 0, // UpdateOptName = "system", // UpdateDate = DateTime.Now //}); //return rules; //#endregion } private List LoadApplicationsFromDb() { using var dbContext = DbContextFactory.GetYLDbContext(); var applications = dbContext.glms_risk_rule_application .AsNoTracking() .OrderByDescending(a => a.UpdateDate ?? a.OptDate) .Select(a => new RiskRuleApplication { Id = a.id, RuleIds = a.RuleIds, Status = a.Status, ControlStrategy = a.ControlStrategy, TriggerPoints = a.TriggerPoints, ScopeIsGlobal = a.ScopeIsGlobal, ScopeAssetBookIds = a.ScopeAssetBookIds, ScopeClientIds = a.ScopeClientIds, ScopeUnderlyingTypes = a.ScopeUnderlyingTypes, ScopeTradeTypes = a.ScopeTradeTypes, Version = a.Version, OptId = a.OptId ?? 0, OptName = a.OptName, OptDate = a.OptDate ?? DateTime.MinValue, UpdateOptId = a.UpdateOptId ?? 0, UpdateOptName = a.UpdateOptName, UpdateDate = a.UpdateDate ?? a.OptDate ?? DateTime.MinValue }) .ToList(); return applications; } // applications.Add(new RiskRuleApplication // { // Id = 1000001, // RuleIds = "1000001", // Status = RiskRuleStatus.Active, // ControlStrategy = RiskControlStrategy.Approval, // TriggerPoints = "BOOK_CONFIRM", // ScopeIsGlobal = true, // ScopeAssetBookIds = string.Empty, // ScopeClientIds = string.Empty, // ScopeUnderlyingTypes = string.Empty, // ScopeTradeTypes = string.Empty, // Version = 1, // OptId = 0, // OptName = "system", //} /// /// 判断应用配置是否命中当前交易。 /// 匹配规则遵循设计文档: /// 1. 全局命中时直接返回 true; /// 2. 同一维度内多选按并集处理; /// 3. 不同维度之间按交集处理; /// 4. 某维度留空表示该维度不限制。 /// private bool IsApplicationMatched(RiskRuleApplication application, YLErp.DBModels.trade trade) { if (application == null) { return false; } if (application.ScopeIsGlobal == 1) { return true; } var hasAnyScope = !IsScopeEmpty(application.ScopeAssetBookIds) || !IsScopeEmpty(application.ScopeClientIds) || !IsScopeEmpty(application.ScopeUnderlyingTypes) || !IsScopeEmpty(application.ScopeTradeTypes); if (!hasAnyScope) { _logger.Error($"[风控引擎] 非全局应用未配置任何适用范围,拒绝匹配 - ApplicationId: {application.Id}"); return false; } if (trade == null) { return false; } var accountMatched = IsScopeEmpty(application.ScopeAssetBookIds) || IsValueMatched(application.ScopeAssetBookIds, GetTradeAssetBookId(trade)); var clientMatched = IsScopeEmpty(application.ScopeClientIds) || IsValueMatched(application.ScopeClientIds, trade.ClientId); var underlyingTypeMatched = IsScopeEmpty(application.ScopeUnderlyingTypes) || IsValueMatched(application.ScopeUnderlyingTypes, GetTradeUnderlyingType(trade)); var tradeTypeMatched = IsScopeEmpty(application.ScopeTradeTypes) || IsValueMatched(application.ScopeTradeTypes, trade.TradeType); return accountMatched && clientMatched && underlyingTypeMatched && tradeTypeMatched; } /// /// 解析应用配置中的规则ID列表。 /// 多个规则ID使用逗号分隔,返回去空格后的 long 集合。 /// private List ParseRuleIds(string ruleIds) { if (string.IsNullOrWhiteSpace(ruleIds)) { return new List(); } var ids = new List(); foreach (var part in ruleIds.Split(',', StringSplitOptions.RemoveEmptyEntries)) { if (long.TryParse(part.Trim(), out long id)) { ids.Add(id); } } return ids; } /// /// 判断某个范围字段是否为空。 /// 为空表示该维度不限制。 /// private bool IsScopeEmpty(string scopeValue) { return string.IsNullOrWhiteSpace(scopeValue); } /// /// 判断单个值是否命中逗号分隔的范围配置。 /// 同一维度内多选按并集处理,只要命中任一值即返回 true。 /// private bool IsValueMatched(string scopeValue, object currentValue) { if (string.IsNullOrWhiteSpace(scopeValue)) { return true; } if (currentValue == null) { return false; } var currentText = currentValue.ToString()?.Trim(); if (string.IsNullOrWhiteSpace(currentText)) { return false; } return scopeValue .Split(',', StringSplitOptions.RemoveEmptyEntries) .Select(s => s.Trim()) .Any(s => string.Equals(s, currentText, StringComparison.OrdinalIgnoreCase)); } /// /// 读取交易的资产簿账户ID。 /// private object GetTradeAssetBookId(YLErp.DBModels.trade trade) { return trade.AssetId; } /// /// 读取交易的标的类型。 /// private object GetTradeUnderlyingType(YLErp.DBModels.trade trade) { return trade.UnderlyingAssetClass; } } }