243 lines
10 KiB
C#
243 lines
10 KiB
C#
using YLErp.Abstract;
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using YLErp.BLL;
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using YLErp.DBModels;
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using YLErp.Helpers;
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namespace YLErp.Modules.EodModule
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{
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/// <summary>
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/// 收盘后按交易日推送 TRS 合约全量快照。
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/// </summary>
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public class TrsContractKafkaPushService
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{
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private const string DateFormat = "yyyy-MM-dd";
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private const string DateTimeFormat = "yyyy-MM-dd HH:mm:ss";
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private const string InterestCategory = "互换利率";
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private const int TrsContractPushType = 1;
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private const int MaxAttempts = 3;
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private readonly YLContext _dbContext;
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private readonly IKafkaProduce _kafkaProduce;
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private readonly string _topic;
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private readonly IYcLogger _logger;
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public TrsContractKafkaPushService(YLContext dbContext, IKafkaProduce kafkaProduce, string topic)
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{
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_dbContext = dbContext ?? throw new ArgumentNullException(nameof(dbContext));
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_kafkaProduce = kafkaProduce ?? throw new ArgumentNullException(nameof(kafkaProduce));
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_topic = string.IsNullOrWhiteSpace(topic) ? throw new ArgumentException("Kafka topic is empty", nameof(topic)) : topic;
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_logger = LogFactory.GetLogger(nameof(TrsContractKafkaPushService));
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}
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public void Push(DateTime valueDate)
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{
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valueDate = valueDate.Date;
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TrsContractSnapshot snapshot;
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string payload;
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try
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{
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snapshot = BuildSnapshot(valueDate);
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payload = JsonHelper.Serialize(snapshot, true, true);
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}
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catch (Exception ex)
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{
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_logger.Error($"TRS contract snapshot build failed, valueDate:{valueDate:yyyy-MM-dd}", ex);
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RecordFailures(valueDate, 0, ex);
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return;
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}
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var key = valueDate.ToString(DateFormat);
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Exception lastException = null;
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for (var attempt = 1; attempt <= MaxAttempts; attempt++)
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{
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try
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{
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_kafkaProduce.Produce(_topic, key, payload);
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_logger.Info($"TRS contract snapshot sent, valueDate:{key}, topic:{_topic}, count:{snapshot.ContractCount}, attempt:{attempt}");
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return;
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}
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catch (Exception ex)
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{
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lastException = ex;
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_logger.Error($"TRS contract snapshot send failed, valueDate:{key}, topic:{_topic}, attempt:{attempt}", ex);
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}
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}
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_logger.Error($"TRS contract snapshot send exhausted retries, valueDate:{key}, topic:{_topic}, attempts:{MaxAttempts}");
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RecordFailures(valueDate, MaxAttempts, lastException);
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}
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protected virtual void RecordFailures(DateTime valueDate, int retryCount, Exception exception)
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{
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try
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{
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var recordIds = _dbContext.eod_swap
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.Where(x => x.ValueDate == valueDate)
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.Select(x => x.id)
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.ToList();
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if (recordIds.Count == 0)
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{
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recordIds.Add(0);
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}
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var now = DateTime.Now;
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var statuses = _dbContext.push_status
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.Where(x => x.ValueDate == valueDate
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&& x.PushType == TrsContractPushType
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&& recordIds.Contains(x.RecordId))
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.ToList();
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var error = exception?.ToString();
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if (error?.Length > 2000)
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{
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error = error.Substring(0, 2000);
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}
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foreach (var recordId in recordIds)
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{
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var status = statuses.FirstOrDefault(x => x.RecordId == recordId);
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if (status == null)
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{
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status = new PushStatus
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{
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ValueDate = valueDate,
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PushType = TrsContractPushType,
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RecordId = recordId,
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CreateTime = now
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};
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_dbContext.push_status.Add(status);
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}
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status.State = PushStateEnum.失败;
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status.RetryCount = retryCount;
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status.LastError = error;
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status.PushTime = now;
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status.UpdateTime = now;
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}
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_dbContext.SaveChanges();
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}
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catch (Exception ex)
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{
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_logger.Error($"TRS contract push failure status save failed, valueDate:{valueDate:yyyy-MM-dd}", ex);
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}
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}
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protected virtual TrsContractSnapshot BuildSnapshot(DateTime valueDate)
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{
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var eodSwaps = _dbContext.eod_swap
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.Where(x => x.ValueDate == valueDate)
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.AsNoTracking()
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.ToList();
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var tradeIds = eodSwaps.Select(x => x.SwapTradeId).Distinct().ToList();
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var trades = _dbContext.trade
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.Where(x => tradeIds.Contains(x.id))
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.AsNoTracking()
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.ToDictionary(x => x.id);
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var eodPositions = _dbContext.eod_swap_position
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.Where(x => x.ValueDate == valueDate && tradeIds.Contains(x.SwapTradeId) && !x.Invalid)
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.AsNoTracking()
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.ToList();
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var positionIds = eodPositions.Select(x => x.PositionId).Distinct().ToList();
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var swapPositions = _dbContext.swap_position
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.Where(x => positionIds.Contains(x.id) && !x.Invalid)
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.AsNoTracking()
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.ToDictionary(x => x.id);
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var contracts = eodSwaps.Select(eodSwap => BuildContract(eodSwap, trades, eodPositions, swapPositions)).ToList();
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return new TrsContractSnapshot
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{
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SchemaVersion = "v1",
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ValueDate = valueDate.ToString(DateFormat),
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PushTime = DateTime.Now.ToString(DateTimeFormat),
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ContractCount = contracts.Count,
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Contracts = contracts
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};
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}
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internal static TrsContractSnapshotItem BuildContract(
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eod_swap eodSwap,
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IReadOnlyDictionary<int, trade> trades,
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IReadOnlyCollection<eod_swap_position> eodPositions,
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IReadOnlyDictionary<long, swap_position> swapPositions)
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{
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if (!trades.TryGetValue(eodSwap.SwapTradeId, out var trade))
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{
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throw new InvalidOperationException($"TRS trade not found, swapTradeId:{eodSwap.SwapTradeId}");
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}
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var positions = eodPositions.Where(x => x.SwapTradeId == eodSwap.SwapTradeId).ToList();
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var floating = positions.Where(x => !string.IsNullOrWhiteSpace(x.UnderlyingCode)).ToList();
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var interestCandidates = positions.Where(x => string.IsNullOrWhiteSpace(x.UnderlyingCode)
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&& ConsTrade.InterestModels.Contains(x.InterestMode)
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&& swapPositions.TryGetValue(x.PositionId, out var swapPosition)
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&& (swapPosition.category_tag == InterestCategory || string.IsNullOrWhiteSpace(swapPosition.category_tag)))
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.ToList();
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// 互换利率腿优先；同类别多腿按当前查询顺序取第一条。历史类别为空时保留利息方向，
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// 但 fixedRate 按约定置 0，避免把未标注类别的历史值当作已确认利率。
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var interest = interestCandidates.FirstOrDefault(x =>
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swapPositions.TryGetValue(x.PositionId, out var swapPosition)
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&& swapPosition.category_tag == InterestCategory);
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var isUncategorizedInterest = interest == null && interestCandidates.Count > 0;
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interest ??= interestCandidates.FirstOrDefault();
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if (floating.Count != 1 || interest == null)
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{
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throw new InvalidOperationException($"TRS legs invalid, swapTradeId:{eodSwap.SwapTradeId}, floating:{floating.Count}, interest:{(interest == null ? 0 : 1)}");
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}
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var interestLeg = interest;
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var floatingLeg = floating[0];
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return new TrsContractSnapshotItem
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{
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TradeDate = eodSwap.ValueDate.ToString(DateFormat),
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BookId = eodSwap.BookId,
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SwapTradeNo = eodSwap.SwapTradeNo,
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ClientId = eodSwap.ClientId,
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UnderlyingCode = trade.UnderlyingCode,
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UnderlyingName = trade.UnderlyingAssetName,
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UnderlyingInstrumentType = trade.UnderlyingInstrumentType,
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NotionalValue = eodSwap.NotionalValue,
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Dv01 = eodSwap.dv01 ?? 0,
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StartDate = trade.StartDate?.ToString(DateFormat),
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MaturityDate = trade.ExerciseDate?.ToString(DateFormat),
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FixedRate = isUncategorizedInterest ? 0 : interestLeg.InterestRateDefault,
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InterestDirection = interestLeg.InterestDirection,
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FloatingDirection = floatingLeg.PositionType,
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InitMarginGain = eodSwap.InitMarginGain,
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InitMarginLoss = eodSwap.InitMarginLoss
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};
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}
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}
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public class TrsContractSnapshot
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{
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public string SchemaVersion { get; set; }
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public string ValueDate { get; set; }
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public string PushTime { get; set; }
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public int ContractCount { get; set; }
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public List<TrsContractSnapshotItem> Contracts { get; set; }
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}
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public class TrsContractSnapshotItem
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{
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public string TradeDate { get; set; }
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public int BookId { get; set; }
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public string SwapTradeNo { get; set; }
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public int ClientId { get; set; }
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public string UnderlyingCode { get; set; }
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public string UnderlyingName { get; set; }
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public string UnderlyingInstrumentType { get; set; }
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public decimal NotionalValue { get; set; }
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public decimal Dv01 { get; set; }
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public string StartDate { get; set; }
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public string MaturityDate { get; set; }
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public decimal FixedRate { get; set; }
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public int InterestDirection { get; set; }
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public int FloatingDirection { get; set; }
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public decimal InitMarginGain { get; set; }
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public decimal InitMarginLoss { get; set; }
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}
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}
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