diff --git a/.gitignore b/.gitignore index 0edc3f1b..f2b3f579 100644 --- a/.gitignore +++ b/.gitignore @@ -1,6 +1,9 @@ ## Ignore Visual Studio temporary files, build results, and ## files generated by popular Visual Studio add-ons. +# 数据库结构快照（体积大且随库结构变化失效，仅本地参考，不入版本库） +项目文档/数据库/排查SQL/*_yltrs_ylcms.sql + # User-specific files *.suo *.user diff --git a/UnitTestProject/Modules/SwapModule/SwapDividendGoldenRecordTest.cs b/UnitTestProject/Modules/SwapModule/SwapDividendGoldenRecordTest.cs new file mode 100644 index 00000000..bc9baef1 --- /dev/null +++ b/UnitTestProject/Modules/SwapModule/SwapDividendGoldenRecordTest.cs @@ -0,0 +1,426 @@ +using Newtonsoft.Json; +using Newtonsoft.Json.Linq; + +namespace YLErp.Modules.SwapModule +{ + /// + /// 互换分红损益 - 黄金文件录制测试（A1：仅录制，不回放） + /// ============================================================================ + /// 目的： + /// 从测试库录制一笔"带分红的互换交易"完整生命周期数据（5表快照）， + /// 序列化为 JSON golden 文件。既作为： + /// (1) 人工/脚本验证"分红重复计算 2 次"的数据证据； + /// (2) 后续 EOD 重构（抽虚方法）后，回放回归测试的 golden source 种子。 + /// + /// 为什么是录制而不是回放： + /// 回放需要 SwapEodPositionService 把 DB 调用抽成虚方法（参考 + /// refactor-swap-event-testable 分支的 TestableSwapEodPositionService）。 + /// 当前 1.4.2 分支尚未做该重构，故先录制 golden 数据。 + /// TDD 红灯：录制数据会暴露 RealizedPnl 中分红被计 2 次的事实， + /// 待"方向A：让 MarkClosePnl 不含分红"修复后，同一批 golden 用于回归守底。 + /// + /// 运行方式： + /// 全部标 [Ignore]+[TestCategory("DBRecording")]，不会自动跑（不依赖测试库环境）。 + /// 手动执行：在测试资源管理器取消忽略，或用 vstest: + /// vstest.console.exe UnitTestProject.dll /TestCaseFilter:"TestCategory=DBRecording" + /// 录制产物落 bin/$(Configuration)/net6.0/Resources/GoldenFiles/SwapDividend/*.json + /// ============================================================================ + + [TestClass] + public class SwapDividendGoldenRecordTest + { + private static readonly string GoldenDir = Path.Combine( + AppDomain.CurrentDomain.BaseDirectory, "Resources", "GoldenFiles", "SwapDividend"); + + private static readonly JsonSerializerSettings JsonSettings = new JsonSerializerSettings + { + Formatting = Formatting.Indented, + NullValueHandling = NullValueHandling.Include, + DateFormatString = "yyyy-MM-ddTHH:mm:ss", + ReferenceLoopHandling = ReferenceLoopHandling.Ignore + }; + + // 已确认的样本交易（来自测试库 swap_flow_event EventType in(3,4) DividendIn<>0 筛选）： + // 1875 = 纯分红型（MarkClosePnl==DividendIn，最干净，重复计算最直观） + // 1891 = 混合型 （MarkClosePnl 含价差成分，复杂场景） + private static readonly int[] SampleTradeIds = { 1875, 1891 }; + + /// + /// Step0：列出库中所有"带分红的互换交易"，确认样本有效性。 + /// 打印 SwapTradeId / 分红合计 / 盯市合计 / eod快照数，供挑选样本。 + /// + /// 可直接运行：连不上测试库时返回 Inconclusive（不计入失败），不挡 CI； + /// 连得上时输出诊断表。这是日常排查"库里有啥分红交易"的入口。 + /// + [TestMethod] + [TestCategory("DBRecording")] + public void Step0_ListDividendSwapTrades() + { + YLContext db; + try { db = DbContextFactory.GetYLDbContext(); } + catch (Exception ex) + { + Assert.Inconclusive($"无法连接测试库（CI/无DB环境正常跳过）：{ex.Message}"); + return; + } + + try + { + var trades = db.swap_flow_event + .Where(x => (x.EventType == (int)SwapFlowEventTypeEnum.互换 + || x.EventType == (int)SwapFlowEventTypeEnum.自动互换) + && x.DividendIn != 0m + && x.DataState == (int)SwapFlowDateStateEnum.完成) + .AsEnumerable() + .GroupBy(x => x.SwapTradeId) + .Select(g => new + { + SwapTradeId = g.Key, + SwapTradeNo = g.Select(x => x.SwapTradeNo).FirstOrDefault(s => !string.IsNullOrEmpty(s)), + DividendSum = g.Sum(x => x.DividendIn), + MarkCloseSum = g.Sum(x => x.MarkClosePnl), + LastEventDate = g.Max(x => x.EventDate), + EodPositionCount = db.eod_swap_position.Count(e => e.SwapTradeId == g.Key), + EodSwapCount = db.eod_swap.Count(e => e.SwapTradeId == g.Key) + }) + .OrderByDescending(t => Math.Abs(t.DividendSum)) + .ToList(); + + Console.WriteLine($"=== 带分红的互换交易数: {trades.Count} ==="); + Console.WriteLine($"{"TradeId",8} {"SwapTradeNo",-24} {"分红合计",14} {"盯市合计",14} {"eod持仓",8} {"eod汇总",8}"); + foreach (var t in trades) + { + Console.WriteLine($"{t.SwapTradeId,8} {(t.SwapTradeNo ?? ""),-24} {t.DividendSum,14:F4} {t.MarkCloseSum,14:F4} {t.EodPositionCount,8} {t.EodSwapCount,8}"); + // 直观诊断：分红型交易若 MarkCloseSum≈DividendSum，说明 MarkClosePnl 全是分红（重复计算铁证） + if (Math.Abs(t.MarkCloseSum - t.DividendSum) < 0.01m && t.DividendSum != 0m) + { + Console.WriteLine($" ↳ ⚠ MarkClosePnl合计≈DividendIn合计 → 盯市列里全是分红，RealizedPnl 会计 2 次"); + } + } + Assert.IsTrue(trades.Count > 0, "库中应存在带分红的互换交易"); + } + finally + { + db?.Dispose(); + } + } + + /// + /// Step1：逐笔录制样本交易的完整快照（5表），并输出分红重复计算诊断。 + /// + /// 为何保留 [Ignore]：本方法有写文件副作用（落 golden JSON）， + /// 不应随每次构建/CI 自动执行；只在需要"刷新 golden 种子"时手动触发。 + /// 运行方式（三选一）： + /// - VS 测试资源管理器：选中本方法 → 右键 → 运行（VS 默认会跑被 Ignore 的，除非全局过滤） + /// - 命令行：dotnet test --filter "FullyQualifiedName~Step1_RecordSampleTrades" + /// - 临时：删掉本方法上的 [Ignore] 再跑，跑完恢复 + /// + [TestMethod] + [TestCategory("DBRecording")] + // [Ignore] 临时取消以运行录制 + public void Step1_RecordSampleTrades() + { + using var db = DbContextFactory.GetYLDbContext(); + Directory.CreateDirectory(GoldenDir); + int recorded = 0; + + foreach (var tradeId in SampleTradeIds) + { + Console.WriteLine($"\n========== 录制 SwapTradeId={tradeId} =========="); + + // 1. 交易主信息 + var trade = db.trade.FirstOrDefault(t => t.id == tradeId); + if (trade == null) + { + Console.WriteLine($"⚠ trade 表无 SwapTradeId={tradeId}，跳过"); + continue; + } + + // 2. 五表快照 + var positions = db.swap_position + .Where(p => p.SwapTradeId == tradeId) + .OrderByDescending(p => p.IsInitial).ThenBy(p => p.PositionId) + .ToList(); + var flowEvents = db.swap_flow_event + .Where(e => e.SwapTradeId == tradeId) + .OrderBy(e => e.EventDate).ThenBy(e => e.EventType).ThenBy(e => e.id) + .ToList(); + var eodPositions = db.eod_swap_position + .Where(e => e.SwapTradeId == tradeId) + .OrderBy(e => e.PositionId).ThenBy(e => e.ValueDate) + .ToList(); + var eodSwaps = db.eod_swap + .Where(e => e.SwapTradeId == tradeId) + .OrderBy(e => e.ValueDate) + .ToList(); + + // 3. 关联的债券付息（理论应付分红来源） + var bondCode = positions.Select(p => p.UnderlyingCode).FirstOrDefault(c => !string.IsNullOrEmpty(c)) + ?? trade.UnderlyingCode; + List bondPayments = new List(); + if (!string.IsNullOrEmpty(bondCode)) + { + bondPayments = db.bondPayment + .Where(b => b.underlyingCode == bondCode) + .OrderBy(b => b.payment_date_pl) + .ToList(); + } + + // 4. 诊断：坐实分红重复计算（这是录制测试的核心价值） + var diagnosis = DiagnoseDividendDoubleCount(tradeId, flowEvents, eodPositions); + Console.WriteLine(diagnosis.Summary); + + // 5. 序列化为 golden 文件 + var golden = new SwapDividendGoldenModel + { + SwapTradeId = tradeId, + SwapTradeNo = trade.TradeNumber, + UnderlyingCode = bondCode, + RecordedAt = DateTime.Now, + SourceDb = "test", + Purpose = "分红重复计算验证 + EOD重构回归基线", + InputTrade = JObject.FromObject(trade, JsonSerializer.Create(JsonSettings)), + InputPositions = JArray.FromObject(positions, JsonSerializer.Create(JsonSettings)), + InputFlowEvents = JArray.FromObject(flowEvents, JsonSerializer.Create(JsonSettings)), + InputEodPositions = JArray.FromObject(eodPositions, JsonSerializer.Create(JsonSettings)), + InputEodSwaps = JArray.FromObject(eodSwaps, JsonSerializer.Create(JsonSettings)), + InputBondPayments = JArray.FromObject(bondPayments, JsonSerializer.Create(JsonSettings)), + Diagnosis = JObject.FromObject(diagnosis, JsonSerializer.Create(JsonSettings)) + }; + + string fileName = $"dividend_trade_{tradeId}.json"; + string filePath = Path.Combine(GoldenDir, fileName); + File.WriteAllText(filePath, JsonConvert.SerializeObject(golden, JsonSettings)); + Console.WriteLine($"✅ 已保存: {filePath}"); + recorded++; + } + + Assert.IsTrue(recorded > 0, "至少应录制 1 笔样本"); + Console.WriteLine($"\n录制完成，共 {recorded} 笔，输出目录: {GoldenDir}"); + } + + /// + /// 分红重复计算诊断：对照代码行号，把链路数据逐一算出来。 + /// 重复计算根因链路（SwapEodPositionService.cs）： + /// SetPriceInfoByFlowEvent:1610 TdCloseMtmPnl = Σ MarkClosePnl（互换事件里已含分红） + /// UpdateEodPosition:1486 RealizedMtmPnL += TdCloseMtmPnl ← 分红第1次（盯市列） + /// UpdateEodPosition:1488 TdCloseDividend = Σ DividendIn + /// UpdateEodPosition:1494 RealizedDividend += TdCloseDividend ← 分红第2次（分红列） + /// SaveEodSwap:1869 eod_swap.RealizedPnL = Σ(RealizedMtmPnL + RealizedDividend + ...) + /// → 分红在盯市列和分红列各计一次 = 2 次 + /// + private DiagnoseResult DiagnoseDividendDoubleCount( + int tradeId, + List flowEvents, + List eodPositions) + { + var r = new DiagnoseResult { SwapTradeId = tradeId }; + var lines = new List + { + $"--- 分红重复计算诊断 SwapTradeId={tradeId} ---", + "", + "[流水层] 每条平仓/互换事件拆解 (MarkClosePnl = 价差 + 费CloseFee + 分红DividendIn)：", + string.Format(" {0,-8}{1,-12}{2,-8}{3,16}{4,12}{5,10}{6,16}", + "id", "EventDate", "EvType", "MarkClosePnl", "DividendIn", "CloseFee", "价差(残差)") + }; + + // 仅取完成状态的平仓/互换事件（开仓事件 MarkClosePnl=0 不参与） + var closeSwapEvents = flowEvents + .Where(e => (e.EventType == (int)SwapFlowEventTypeEnum.平仓 + || e.EventType == (int)SwapFlowEventTypeEnum.互换 + || e.EventType == (int)SwapFlowEventTypeEnum.自动互换) + && e.DataState == (int)SwapFlowDateStateEnum.完成) + .ToList(); + + decimal totalPriceComponent = 0m; // 全交易价差成分合计（用于类型判定） + foreach (var e in closeSwapEvents) + { + string et = e.EventType switch + { + (int)SwapFlowEventTypeEnum.平仓 => "平仓", + (int)SwapFlowEventTypeEnum.互换 => "互换", + (int)SwapFlowEventTypeEnum.自动互换 => "自动互换", + _ => e.EventType.ToString() + }; + // 残差 = MarkClosePnl - 分红 - 费 = 纯价差成分 + decimal priceComp = e.MarkClosePnl - e.DividendIn - e.CloseFee; + totalPriceComponent += priceComp; + lines.Add(string.Format(" {0,-8}{1,-12}{2,-8}{3,16:F4}{4,12:F4}{5,10:F4}{6,16:F4}", + e.id, e.EventDate.ToString("yyyy-MM-dd"), et, e.MarkClosePnl, e.DividendIn, e.CloseFee, priceComp)); + } + + // ===== 按 PositionId 拆解（避免双向腿抵消）===== + lines.Add(""); + lines.Add("[EOD层] 按 PositionId 拆解盯市列成分："); + lines.Add(string.Format(" {0,-12}{1,16}{2,16}{3,12}{4,16}{5,16}{6,16}", + "PositionId", "盯市列合计", "价差成分", "费成分", "分红成分(重复)", "分红列累计", "重复计入")); + + decimal totalRepeat = 0m; + var evByPos = closeSwapEvents.GroupBy(e => e.PositionId).ToDictionary(g => g.Key, g => g.ToList()); + var eodByPos = eodPositions.GroupBy(e => e.PositionId) + .ToDictionary(g => g.Key, g => g.OrderByDescending(x => x.ValueDate).First()); + + foreach (var pid in eodByPos.Keys.OrderBy(k => k)) + { + var evs = evByPos.ContainsKey(pid) ? evByPos[pid] : new List(); + decimal mtmTotal = evs.Sum(e => e.MarkClosePnl); + decimal feeComp = evs.Sum(e => e.CloseFee); + decimal divComp = evs.Sum(e => e.DividendIn); // 盯市列里的分红成分（被重复计入） + decimal priceComp = mtmTotal - divComp - feeComp; + decimal realizedDiv = eodByPos[pid].RealizedDividend; + + totalRepeat += divComp; + r.逐持仓拆解.Add(new PositionDiagnose + { + PositionId = pid, + 盯市列合计 = mtmTotal, + 盯市价差成分 = priceComp, + 盯市费成分 = feeComp, + 盯市分红成分 = divComp, + 分红列累计 = realizedDiv, + 重复计入分红 = divComp + }); + lines.Add(string.Format(" {0,-12}{1,16:F4}{2,16:F4}{3,12:F4}{4,16:F4}{5,16:F4}{6,16:F4}", + pid, mtmTotal, priceComp, feeComp, divComp, realizedDiv, divComp)); + } + + // ===== 全交易累计与类型判定 ===== + r.最终累计盯市已实现 = eodByPos.Values.Sum(e => e.RealizedMtmPnL); + r.最终累计分红已实现 = eodByPos.Values.Sum(e => e.RealizedDividend); + r.最终持仓层累计已实现 = eodByPos.Values.Sum(e => e.RealizedPnl); + r.重复计入分红金额 = totalRepeat; + r.重复计算成立 = Math.Abs(totalRepeat) > 0.01m; + r.交易类型 = Math.Abs(totalPriceComponent) < 0.01m ? "纯分红型" : "混合型"; + + // 结论 + if (r.重复计算成立) + { + r.结论 = string.Format( + "⚠ 坐实重复计算：盯市列含分红成分 {0:F4}（既在 RealizedMtmPnL 又在 RealizedDividend），" + + "修复后 RealizedPnl 应减少 {0:F4}。类型={1}。", + totalRepeat, r.交易类型); + } + else + { + r.结论 = "未检测到重复计算（盯市列分红成分≈0，可能已修复或无分红平仓/互换事件）。"; + } + + lines.Add(""); + lines.Add("[汇总]"); + lines.Add($" 交易类型: {r.交易类型}（价差成分合计={totalPriceComponent:F4}）"); + lines.Add($" 盯市列里被重复计入的分红成分: {r.重复计入分红金额:F4}"); + lines.Add($" 最终 RealizedMtmPnL(盯市列): {r.最终累计盯市已实现:F4}"); + lines.Add($" 最终 RealizedDividend(分红列): {r.最终累计分红已实现:F4}"); + lines.Add($" 最终 RealizedPnl(持仓层): {r.最终持仓层累计已实现:F4}"); + lines.Add($" 重复计算成立: {r.重复计算成立}"); + lines.Add($" [结论] {r.结论}"); + + r.Summary = string.Join("\n", lines); + return r; + } + + /// + /// Step2：校验已录制 golden 文件的完整性（离线，不连库）。 + /// 确认每个 json 含 5 表数据、能正确反序列化。 + /// + [TestMethod] + [TestCategory("DBRecording")] + public void Step2_VerifyRecordedGoldenFiles() + { + if (!Directory.Exists(GoldenDir)) + { + Assert.Inconclusive($"golden 目录不存在: {GoldenDir}（请先跑 Step1_RecordSampleTrades）"); + return; + } + var files = Directory.GetFiles(GoldenDir, "dividend_trade_*.json"); + Assert.IsTrue(files.Length > 0, $"应至少有 1 个 golden 文件 in {GoldenDir}"); + + foreach (var file in files) + { + var json = File.ReadAllText(file); + var golden = JsonConvert.DeserializeObject(json); + + Assert.IsTrue(golden.SwapTradeId > 0, $"{file}: SwapTradeId 无效"); + Assert.IsNotNull(golden.InputFlowEvents, $"{file}: InputFlowEvents 缺失"); + Assert.IsTrue(golden.InputFlowEvents.Count > 0, $"{file}: InputFlowEvents 为空"); + Assert.IsNotNull(golden.InputEodPositions, $"{file}: InputEodPositions 缺失"); + Assert.IsNotNull(golden.Diagnosis, $"{file}: Diagnosis 缺失"); + + Console.WriteLine($"✅ {Path.GetFileName(file)}: trade={golden.SwapTradeId}, " + + $"flow={golden.InputFlowEvents.Count}条, eod={golden.InputEodPositions.Count}条, " + + $"结论={golden.Diagnosis?["结论"]?.Value()}"); + } + } + } + + /// + /// 分红黄金文件数据模型。5 表快照 + 诊断结论。 + /// 字段名沿用数据库实体类名，反序列化时类型一致。 + /// + public class SwapDividendGoldenModel + { + public int SwapTradeId { get; set; } + public string SwapTradeNo { get; set; } + public string UnderlyingCode { get; set; } + public DateTime RecordedAt { get; set; } + public string SourceDb { get; set; } + public string Purpose { get; set; } + + public JObject InputTrade { get; set; } + public JArray InputPositions { get; set; } // swap_position + public JArray InputFlowEvents { get; set; } // swap_flow_event（分红核心） + public JArray InputEodPositions { get; set; } // eod_swap_position（重复计算发生处） + public JArray InputEodSwaps { get; set; } // eod_swap（汇总层） + public JArray InputBondPayments { get; set; } // bond_payment_info（理论应付） + + public JObject Diagnosis { get; set; } + } + + /// + /// 重复计算诊断结果，随 golden 一起持久化，便于修复后对比。 + /// 拆解原理：每条平仓/互换事件的 MarkClosePnl = 价差成分 + 费成分(CloseFee) + 分红成分(DividendIn)。 + /// 盯市列(TdCloseMtmPnl=ΣMarkClosePnl) 含了分红成分一份，分红列(TdCloseDividend=ΣDividendIn) 又含一份， + /// 故"重复金额" = 进入盯市列的分红成分 = Σ(事件 DividendIn)。按 PositionId 分别拆解避免双向腿抵消。 + /// + public class DiagnoseResult + { + public int SwapTradeId { get; set; } + + /// "纯分红型"(价差成分≈0) 或 "混合型"(价差成分≠0)。基于 MarkClosePnl 是否含价差判定。 + public string 交易类型 { get; set; } + + // ===== 逐 PositionId 拆解 ===== + public List 逐持仓拆解 { get; set; } = new List(); + + /// 盯市列里被重复计入的分红成分合计（=修复后 RealizedPnl 应减少的金额）。 + public decimal 重复计入分红金额 { get; set; } + public decimal 最终累计盯市已实现 { get; set; } + public decimal 最终累计分红已实现 { get; set; } + public decimal 最终持仓层累计已实现 { get; set; } + + /// 若重复计入分红金额≠0，则重复计算成立。 + public bool 重复计算成立 { get; set; } + public string 结论 { get; set; } + public string Summary { get; set; } + } + + /// + /// 单个持仓腿(PositionId)的拆解结果。 + /// + public class PositionDiagnose + { + public long PositionId { get; set; } + /// 该腿盯市列合计 = Σ 事件 MarkClosePnl。 + public decimal 盯市列合计 { get; set; } + /// 盯市列里的价差成分 = Σ(MarkClosePnl - DividendIn - CloseFee)。 + public decimal 盯市价差成分 { get; set; } + /// 盯市列里的费成分 = Σ CloseFee。 + public decimal 盯市费成分 { get; set; } + /// 盯市列里的分红成分 = Σ DividendIn（这是被重复计入的部分）。 + public decimal 盯市分红成分 { get; set; } + /// 该腿分红列最终累计 RealizedDividend。 + public decimal 分红列累计 { get; set; } + /// 该腿被重复计入的分红 = 盯市分红成分。 + public decimal 重复计入分红 { get; set; } + } +} diff --git a/UnitTestProject/Resources/GoldenFiles/SwapDividend/dividend_trade_1875.json b/UnitTestProject/Resources/GoldenFiles/SwapDividend/dividend_trade_1875.json new file mode 100644 index 00000000..cf848f75 --- /dev/null +++ b/UnitTestProject/Resources/GoldenFiles/SwapDividend/dividend_trade_1875.json @@ -0,0 +1,4070 @@ +{ + "SwapTradeId": 1875, + "SwapTradeNo": "GLMS-20260612-0003", + "UnderlyingCode": "173982.IB", + "RecordedAt": "2026-06-26T09:05:16", + "SourceDb": "test", + "Purpose": "分红重复计算验证 + EOD重构回归基线", + "InputTrade": { + "SubTrades": null, + "YesterDayTradeSavedVol": null, + "PV": null, + "RealizedPnl": null, + "PositionPnl": null, + "MaturityWorkDay": 8, + "PairTradeNumber": null, + "ShowNotional": 0.0, + "MaturityDay": 12, + "TradeOpenVolatilityString": "0.00%", + "InitialSpotPriceOriginal": null, + "TradeOriginalAmount": null, + "ExerciseDateString": "2026-07-08", + "ActualStrike": null, + "StrikeString": "0.000000000", + "TradeSinglePriceString": "0.00%", + "TradeDateString": "2026-06-12", + "LotsNewInfo": null, + "UnWindPrice": null, + "StockEqvNotionalToShow": 10000000.0, + "SettlementTypeDesc": "收盘价", + "SettlementDesc": null, + "VarietyId": null, + "SyntheticUnderlyingTipsInfo": null, + "StrikeToShow": "0.000000000", + "CurNotional": 0.0, + "LastDayNotional": 0.0, + "Amount": null, + "ContractCode": null, + "InitialMarginRatio": null, + "UnderlyingPrice": null, + "UnderlyingName": null, + "DeltaInLots": null, + "ValueStatus": null, + "UnWindUnderlyingPrice": null, + "UnWindTradePrice": null, + "UnWindTotalAmount": null, + "UnWindFee": null, + "UnWindTimes": 0, + "KnockInOutStatusObservation": null, + "DividendRatio": 0.0, + "InitYtm": 0.015000, + "CalcId": null, + "TTMDays": null, + "UnderlyingInstrumentTypeCn": "利率债", + "ExerciseModeCn": "", + "ClientNumber": null, + "SummaryType": "收益互换", + "QuoteUnitSingle": null, + "QuoteUnit": null, + "trade_forward": { + "id": 0, + "TradeId": 0, + "OpenCommission": 0.0, + "AnnualMarginRate": 0.0, + "AnnualStoragePrice": 0.0, + "ForwardValue": 0.0, + "ObservationStart": null, + "ObservationDates": null, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_asian_option": { + "StrikeType": null, + "PayoffType": null, + "SettleMode": null, + "StrikeGearingFactor": 1.0, + "AveragingPeriodStartDate": null, + "ObservationDates": null, + "EnhancedPrice": 0.0, + "StrikeTypeCn": "", + "PayoffTypeCn": "", + "Fixings": null, + "id": 0, + "TradeId": 0, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_rainbow_option": { + "UnderlyingAssetCode": null, + "Strike": null, + "UnderlyingMaturityDate": null, + "UnderlyingId1": null, + "UnderlyingId2": null, + "Strike2": null, + "SpotPrice1": null, + "SpotPrice2": null, + "RainbowType": null, + "UnderlyingAssetCode2": null, + "CorRelation": null, + "CashAmount": null, + "Vol2": 0.0, + "UnderlyingCodes": [ + null, + null + ], + "Strikes": [ + 0.0, + 0.0 + ], + "SpotPrices": [ + 0.0, + 0.0 + ], + "id": 0, + "TradeId": 0, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_barrier_option": { + "KnockInOutStatus": null, + "KnockInOutStatusCn": "观察中", + "KnockInOutDate": null, + "KnockInOutNotional": null, + "BarrierShift": null, + "BarrierTypeEn": null, + "IsDiscrete": false, + "BarrierPrice": null, + "UpperBarrierPrice": null, + "Discrete": null, + "BarrierType": null, + "Rebate": null, + "RebateRate": null, + "RebateHigh": null, + "RebateHighRate": null, + "RebateAnnualizedAtKO": false, + "RebateDayCount": null, + "ObservationDates": null, + "LatestObservationDate": null, + "RebateType": null, + "RebateTypeCn": "", + "id": 0, + "TradeId": 0, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_risky_option": { + "Strike1": null, + "Strike2": null, + "Strike3": null, + "ParticipationRate1": null, + "ParticipationRate2": null, + "ParticipationRate3": null, + "id": 0, + "TradeId": 0, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_binary_option": { + "RebateType": null, + "RebateTypeCn": "", + "CashOrNothingAmount": null, + "CashOrNothingAmountHigh": null, + "CashOrNothingAmountRate": null, + "CashOrNothingAmountHighRate": null, + "PayoffType": "", + "UpperBarrier": null, + "RebateDayCount": null, + "RebateAnnualizedAtKO": false, + "ObservationDates": null, + "LatestObservationDate": null, + "UpperBarrierRelative": "0", + "MonitorType": null, + "IsDiscreteMonitored": false, + "Offset": null, + "id": 0, + "TradeId": 0, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_spread_option": { + "UnderlyingMaturityDate2": null, + "UnderlyingMaturityDate3": null, + "UnderlyingMaturityDate4": null, + "Payoff": "S1-S2", + "UnderlyingId1": null, + "UnderlyingId2": null, + "UnderlyingId3": null, + "UnderlyingId4": null, + "UnderlyingAssetClass1": null, + "UnderlyingAssetClass2": null, + "UnderlyingAssetClass3": null, + "UnderlyingAssetClass4": null, + "UnderlyingAssetCode1": null, + "UnderlyingAssetCode2": null, + "UnderlyingAssetCode3": null, + "UnderlyingAssetCode4": null, + "UnderlyingAssetName1": null, + "UnderlyingAssetName2": null, + "UnderlyingAssetName3": null, + "UnderlyingAssetName4": null, + "TradeCloseVolatility1": null, + "TradeCloseVolatility2": null, + "TradeCloseVolatility3": null, + "TradeCloseVolatility4": null, + "TradeOpenVolatility1": null, + "TradeOpenVolatility2": null, + "TradeOpenVolatility3": null, + "TradeOpenVolatility4": null, + "NumOfSmoothingDays1": null, + "NumOfSmoothingDays2": null, + "NumOfSmoothingDays3": null, + "NumOfSmoothingDays4": null, + "Vol1": null, + "Vol2": null, + "Vol3": null, + "Vol4": null, + "Correlation12": null, + "Correlation13": null, + "Correlation14": null, + "Correlation23": null, + "Correlation24": null, + "Correlation34": null, + "id": 0, + "TradeId": 0, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_double_sharkfin_option": { + "KnockInOutStatus": null, + "KnockInOutStatusCn": "观察中", + "KnockInOutDate": null, + "IsDiscrete": false, + "BarrierHigh": 0.0, + "BarrierLow": 0.0, + "StrikeHigh": null, + "StrikeLow": null, + "CallParticipationRate": null, + "PutParticipationRate": null, + "Discrete": null, + "Rebate": null, + "RebateRate": null, + "RebateHigh": null, + "RebateHighRate": null, + "RebateType": null, + "ObservationDates": null, + "LatestObservationDate": null, + "id": 0, + "TradeId": 0, + "OptId": null, + "OptName": null, + "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + 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+ "OptDate": null, + "EncryptId": "93JNozbumCxdv7dwztjpOg" + }, + "trade_swap": { + "AnnualDays": null, + "IsGetFloatingProfit": false, + "GetVarietyId": null, + "GetUnderlyingId": null, + "GetUnderlyingCode": null, + "GetLongShort": null, + "GetSpotPrice": null, + "GetOpenPrice": null, + "GetTradePrice": null, + "GetSwapTimeAndRate": null, + "GetSwapRate": 0.0, + "GetFixedProfit": null, + "GetSingleFee": null, + "GetUnAnnualRate": null, + "GetMarginRate": 0.0, + "GetFinalPrice": null, + "GetNotional": null, + "GetTradeAmount": null, + "GetLot": null, + "IsPayFloatingProfit": false, + "PayVarietyId": null, + "PayUnderlyingId": null, + "PayUnderlyingCode": null, + "PayLongShort": null, + "PaySpotPrice": null, + "PayOpenPrice": null, + "PayTradePrice": null, + "PaySwapTimeAndRate": null, + "PaySwapRate": 0.0, + "PayFixedProfit": null, + "PaySingleFee": null, + "RateCalcMode": "11", + "IncludeFirstDay": true, + "PayUnAnnualRate": null, + "PayMarginRate": 0.0, + "PayFinalPrice": null, + 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"OpenPrice": null, + "OpenCurrencyRate": null, + "TradeCommission": null, + "PricingOriginalStockEqvNotional": null, + "PricingStockEqvNotional": null, + "SwapTimeAndRate": null + }, + "Tags": null, + "OutputTags": null, + "SaveExt": null, + "TradeType": "收益互换", + "TradeSavedVol": null, + "CreatorId": null, + "CreatorName": null, + "CreateDate": "2026-06-23T17:18:49", + "PairTrade": "", + "TradeSinglePrice": null, + "GroupId": null, + "GroupName": "", + "NumOfSmoothingDays": null, + "ParentTradeId": 0, + "TradeCloseVolatility": null, + "TradeOpenVolatility": null, + "UnWindDate": "2026-06-25T00:00:00", + "UnWindNotional": null, + "CheckStatus": 0, + "CheckTradeUpdate": 1, + "InitialSpotPrice": 1.0, + "IsMoneynessOption": null, + "TradeAmount": 0.0, + "TradeUnit": "", + "StockEqvNotional": 0.0, + "StockEqvNotionalMax": null, + "StockEqvNotionalReal": 10000000.0, + "VolType": null, + "UnderlyingInstrumentType": "TBonds", + "ExerciseDate": "2026-07-08T00:00:00", + "TraderName": "初始用户", + 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"SentMailCount": null, + "Lots": null, + "HasPartialUnWind": null, + "OriginalNotional": 0.0, + "TradeSource": "系统交易", + "OriginalStockEqvNotional": 10000000.0, + "OriginalStockEqvNotionalV2": 10000000.0, + "IsUsePremiumRate": true, + "IsTradePricePayType": true, + "IsAnnualized": false, + "AnnualizeFactor": null, + "DividendRate": null, + "ParticipationRate": 1.0, + "PrincipalRate": null, + "OriginalPrincipalSum": null, + "PrincipalRateWrite": null, + "SinglePrincipalWrite": null, + "SettlementDate": null, + "SettlementFlag": 0, + "SettlementFlagStr": "否", + "SettlementFlagDate": null, + "SettlementFlagOptId": null, + "SettlementFlagOptName": null, + "CalcFlag": 0, + "IsSingleContract": null, + "PremiumPayDate": null, + "PremiumRate": null, + "UnderlyingAssetName": "23湖北03", + "UnderlyingVariety": null, + "ContractVersion": null, + "FinalPrice": null, + "OpponentRole": "乙方", + "DurationDays": null, + "StructureType": "普通债券类收益互换", + "InitialMargin": 0.0, + "StructureIntroduction": null, + "MarginTemplateName": "系统默认", + "MarginType": 0, + "MarginRate": 0.0, + "PositionMarginRate": 0.0, + "QuoteCurrency": null, + "SettlementCurrency": null, + "IsGroup": 0, + "ExtendInfo": null, + "IsNight": false, + "Propertys": [], + "ExtendOptionTypeInfo": null, + "AccumulatorOptionId": null, + "OptId": 166, + "OptName": "贾春梅", + "OptDate": "2026-06-25T21:00:51", + "IsApproval": false, + "IsAutoGenerate": null, + "HTStatus": null, + "Warning": false, + "DividendDate": "2000-01-01T00:00:00", + "CountRatio": 1, + "CallPut": "", + "IsMoneynessOptionData": false, + "MetaDic": {}, + "TradeExtendJson": null, + "TradeMultipleType": "收益互换", + "Fixing": null, + "id": 1875, + "EncryptId": "ZFzhegn1W9Y9Rob7IHpYmg" + }, + "InputPositions": [ + { + "PositionId": 0, + "SwapTradeId": 1875, + "PosiDirection": 0, + "PositionType": 0, + "UnderlyingCode": null, + "underlying": null, + "CountRatio": 0.0, + "ContractSize": 0.0, + "PosiNetPrice": 0.0, + "PosiGrossPrice": 0.0, + "PosiNetFeePrice": 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"EncryptId": "y7hK4bnJnRZ0FbfZSvslUg", + "inner_code": -1, + "underlyingCode": "173982.IB", + "security_id": null, + "symbol": null, + "coupon_rate": 2.00000000, + "payment_date_pl": "2026-06-16T00:00:00", + "payment_date": "2026-06-16T00:00:00", + "payment_interest": 1.008000000000, + "payment_parvalue": 1000.000000000000, + "paying_price": 18.000000000000, + "channel_source": "系统", + "jsid": -1, + "create_time": "2026-06-17T17:22:39", + "update_time": "2026-06-17T17:22:41" + } + ], + "Diagnosis": { + "SwapTradeId": 1875, + "交易类型": "纯分红型", + "逐持仓拆解": [ + { + "PositionId": 34611, + "盯市列合计": 0.0, + "盯市价差成分": 0.0, + "盯市费成分": 0.0, + "盯市分红成分": 0.0, + "分红列累计": 0.0, + "重复计入分红": 0.0 + }, + { + "PositionId": 34612, + "盯市列合计": 302400.000000, + "盯市价差成分": 0.0, + "盯市费成分": 0.0, + "盯市分红成分": 302400.000000, + "分红列累计": 302400.000000, + "重复计入分红": 302400.000000 + } + ], + "重复计入分红金额": 302400.000000, + "最终累计盯市已实现": 201600.000000, + "最终累计分红已实现": 302400.000000, + "最终持仓层累计已实现": 510007.070000, + "重复计算成立": true, + "结论": "⚠ 坐实重复计算：盯市列含分红成分 302400.0000（既在 RealizedMtmPnL 又在 RealizedDividend），修复后 RealizedPnl 应减少 302400.0000。类型=纯分红型。", + "Summary": "--- 分红重复计算诊断 SwapTradeId=1875 ---\n\n[流水层] 每条平仓/互换事件拆解 (MarkClosePnl = 价差 + 费CloseFee + 分红DividendIn)：\n id EventDate EvType MarkClosePnl DividendIn CloseFee 价差(残差)\n 13487 2026-06-16 自动互换 100800.0000 100800.0000 0.0000 0.0000\n 13456 2026-06-25 平仓 0.0000 0.0000 0.0000 0.0000\n 13457 2026-06-25 平仓 201600.0000 201600.0000 0.0000 0.0000\n\n[EOD层] 按 PositionId 拆解盯市列成分：\n PositionId 盯市列合计 价差成分 费成分 分红成分(重复) 分红列累计 重复计入\n 34611 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000\n 34612 302400.0000 0.0000 0.0000 302400.0000 302400.0000 302400.0000\n\n[汇总]\n 交易类型: 纯分红型（价差成分合计=0.0000）\n 盯市列里被重复计入的分红成分: 302400.0000\n 最终 RealizedMtmPnL(盯市列): 201600.0000\n 最终 RealizedDividend(分红列): 302400.0000\n 最终 RealizedPnl(持仓层): 510007.0700\n 重复计算成立: True\n [结论] ⚠ 坐实重复计算：盯市列含分红成分 302400.0000（既在 RealizedMtmPnL 又在 RealizedDividend），修复后 RealizedPnl 应减少 302400.0000。类型=纯分红型。" + } +} \ No newline at end of file diff --git a/UnitTestProject/Resources/GoldenFiles/SwapDividend/dividend_trade_1891.json b/UnitTestProject/Resources/GoldenFiles/SwapDividend/dividend_trade_1891.json new file mode 100644 index 00000000..fa8655b6 --- /dev/null +++ b/UnitTestProject/Resources/GoldenFiles/SwapDividend/dividend_trade_1891.json @@ -0,0 +1,3292 @@ +{ + "SwapTradeId": 1891, + "SwapTradeNo": "GLMS-20260617-0002", + "UnderlyingCode": "180205.IB", + "RecordedAt": "2026-06-26T09:05:16", + "SourceDb": "test", + "Purpose": "分红重复计算验证 + EOD重构回归基线", + "InputTrade": { + "SubTrades": null, + "YesterDayTradeSavedVol": null, + "PV": null, + "RealizedPnl": null, + "PositionPnl": null, + "MaturityWorkDay": 10, + "PairTradeNumber": null, + "ShowNotional": 0.0, + "MaturityDay": 14, + "TradeOpenVolatilityString": "0.00%", + "InitialSpotPriceOriginal": null, + "TradeOriginalAmount": null, + "ExerciseDateString": "2026-07-10", + "ActualStrike": null, + "StrikeString": "0.000000000", + 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"InitMarginLoss": 0.0, + "PostionMarginLoss": 0.0, + "TdCloseQty": 0.0, + "dv01": 0.0, + "CloseStartDate": "0001-01-01T00:00:00", + "id": 161757, + "EncryptId": "dVl5MFmbf3CKcgz8zSGAcQ", + "OptId": 166, + "OptName": "贾春梅", + "OptTime": "2026-06-25T21:09:19" + }, + { + "ValueDate": "2026-06-22T00:00:00", + "BookId": 38, + "ClientId": 14, + "SwapTradeId": 1891, + "SwapTradeNo": "GLMS-20260617-0002", + "StructureType": "普通债券类收益互换", + "NotionalValue": 19990.000000, + "NotionalValueLong": 19990.000000, + "NotionalValueShort": 0.0, + "MarketValueLong": 19990.000000, + "MarketValueShort": 0.0, + "FloatingPnL": 0.0, + "InterestPnL": 4.929447, + "PostionValue": 4.930000, + "TdRealizedPnL": -3.290000, + "RealizedPnL": 395585.799000, + "InitMarginGain": 0.0, + "PostionMarginGain": 0.0, + "InitMarginLoss": 0.0, + "PostionMarginLoss": 0.0, + "TdCloseQty": 0.0, + "dv01": 0.0, + "CloseStartDate": "0001-01-01T00:00:00", + "id": 161777, + "EncryptId": "DM-I1CXzbJadiuagAfJSMQ", + "OptId": 166, + "OptName": "贾春梅", + "OptTime": "2026-06-25T21:09:20" + }, + { + "ValueDate": "2026-06-23T00:00:00", + "BookId": 38, + "ClientId": 14, + "SwapTradeId": 1891, + "SwapTradeNo": "GLMS-20260617-0002", + "StructureType": "普通债券类收益互换", + "NotionalValue": 19990.000000, + "NotionalValueLong": 19990.000000, + "NotionalValueShort": 0.0, + "MarketValueLong": 19990.000000, + "MarketValueShort": 0.0, + "FloatingPnL": 0.0, + "InterestPnL": 6.518085, + "PostionValue": 6.520000, + "TdRealizedPnL": 0.350000, + "RealizedPnL": 395586.149000, + "InitMarginGain": 0.0, + "PostionMarginGain": 0.0, + "InitMarginLoss": 0.0, + "PostionMarginLoss": 0.0, + "TdCloseQty": 0.0, + "dv01": 0.0, + "CloseStartDate": "0001-01-01T00:00:00", + "id": 161798, + "EncryptId": "OrelzQptEqJDbVIfUM3dxw", + "OptId": 166, + "OptName": "贾春梅", + "OptTime": "2026-06-25T21:09:20" + }, + { + "ValueDate": "2026-06-24T00:00:00", + "BookId": 38, + "ClientId": 14, + "SwapTradeId": 1891, + "SwapTradeNo": "GLMS-20260617-0002", + "StructureType": "普通债券类收益互换", + "NotionalValue": 19990.000000, + "NotionalValueLong": 19990.000000, + "NotionalValueShort": 0.0, + "MarketValueLong": 19990.000000, + "MarketValueShort": 0.0, + "FloatingPnL": 0.0, + "InterestPnL": 6.852273, + "PostionValue": 6.850000, + "TdRealizedPnL": 0.0, + "RealizedPnL": 395586.149000, + "InitMarginGain": 0.0, + "PostionMarginGain": 0.0, + "InitMarginLoss": 0.0, + "PostionMarginLoss": 0.0, + "TdCloseQty": 0.0, + "dv01": 0.0, + "CloseStartDate": "0001-01-01T00:00:00", + "id": 161819, + "EncryptId": "jfM8CnKDU48Puy6x0RhrpQ", + "OptId": 166, + "OptName": "贾春梅", + "OptTime": "2026-06-25T21:09:21" + }, + { + "ValueDate": "2026-06-25T00:00:00", + "BookId": 38, + "ClientId": 14, + "SwapTradeId": 1891, + "SwapTradeNo": "GLMS-20260617-0002", + "StructureType": "普通债券类收益互换", + "NotionalValue": 0.0, + "NotionalValueLong": 0.0, + "NotionalValueShort": 0.0, + "MarketValueLong": 0.0, + "MarketValueShort": 0.0, + "FloatingPnL": 0.0, + "InterestPnL": 0.0, + "PostionValue": 0.0, + "TdRealizedPnL": 101.140000, + "RealizedPnL": 395687.289000, + "InitMarginGain": 0.0, + "PostionMarginGain": 0.0, + "InitMarginLoss": 0.0, + "PostionMarginLoss": 0.0, + "TdCloseQty": 1000.0, + "dv01": 0.0, + "CloseStartDate": "0001-01-01T00:00:00", + "id": 161841, + "EncryptId": "amHOYrGVVRDdqh1rneWNJA", + "OptId": 166, + "OptName": "贾春梅", + "OptTime": "2026-06-25T21:09:21" + } + ], + "InputBondPayments": [ + { + "id": 6, + "EncryptId": "F8UUkcqqifN9KV2u-6zcbQ", + "inner_code": 100006, + "underlyingCode": "180205.IB", + "security_id": null, + "symbol": null, + "coupon_rate": null, + "payment_date_pl": "2026-06-20T00:00:00", + "payment_date": "2026-06-20T00:00:00", + "payment_interest": 1.011122220000, + "payment_parvalue": null, + "paying_price": null, + "channel_source": "聚源数据库", + "jsid": 1000000006, + "create_time": "2025-09-01T18:55:29", + "update_time": "2025-10-01T18:56:17" + }, + { + "id": 9, + "EncryptId": "l0-qKzO7VpkKdIIkYJG5ww", + "inner_code": 100008, + "underlyingCode": "180205.IB", + "security_id": null, + "symbol": null, + "coupon_rate": null, + "payment_date_pl": "2026-06-23T00:00:00", + "payment_date": "2026-06-23T00:00:00", + "payment_interest": 1.051122220000, + "payment_parvalue": null, + "paying_price": null, + "channel_source": "聚源数据库", + "jsid": 1000000006, + "create_time": "2025-09-01T18:55:29", + "update_time": "2025-10-01T18:56:17" + } + ], + "Diagnosis": { + "SwapTradeId": 1891, + "交易类型": "混合型", + "逐持仓拆解": [ + { + "PositionId": 34711, + "盯市列合计": 0.0, + "盯市价差成分": 0.0, + "盯市费成分": 0.0, + "盯市分红成分": 0.0, + "分红列累计": 0.0, + "重复计入分红": 0.0 + }, + { + "PositionId": 34712, + "盯市列合计": 395696.439000, + "盯市价差成分": 395604.099000, + "盯市费成分": 111.000000, + "盯市分红成分": -18.660000, + "分红列累计": -18.660000, + "重复计入分红": -18.660000 + } + ], + "重复计入分红金额": -18.660000, + "最终累计盯市已实现": 395705.949000, + "最终累计分红已实现": -18.660000, + "最终持仓层累计已实现": 395687.289000, + "重复计算成立": true, + "结论": "⚠ 坐实重复计算：盯市列含分红成分 -18.6600（既在 RealizedMtmPnL 又在 RealizedDividend），修复后 RealizedPnl 应减少 -18.6600。类型=混合型。", + "Summary": "--- 分红重复计算诊断 SwapTradeId=1891 ---\n\n[流水层] 每条平仓/互换事件拆解 (MarkClosePnl = 价差 + 费CloseFee + 分红DividendIn)：\n id EventDate EvType MarkClosePnl DividendIn CloseFee 价差(残差)\n 12773 2026-06-20 互换 0.0000 0.0000 0.0000 0.0000\n 12774 2026-06-20 互换 395594.9490 -9.1500 0.0000 395604.0990\n 12775 2026-06-22 互换 0.0000 0.0000 0.0000 0.0000\n 12776 2026-06-22 互换 0.0000 0.0000 0.0000 0.0000\n 13503 2026-06-23 自动互换 -9.5100 -9.5100 0.0000 0.0000\n 12824 2026-06-25 平仓 111.0000 0.0000 111.0000 0.0000\n\n[EOD层] 按 PositionId 拆解盯市列成分：\n PositionId 盯市列合计 价差成分 费成分 分红成分(重复) 分红列累计 重复计入\n 34711 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000\n 34712 395696.4390 395604.0990 111.0000 -18.6600 -18.6600 -18.6600\n\n[汇总]\n 交易类型: 混合型（价差成分合计=395604.0990）\n 盯市列里被重复计入的分红成分: -18.6600\n 最终 RealizedMtmPnL(盯市列): 395705.9490\n 最终 RealizedDividend(分红列): -18.6600\n 最终 RealizedPnl(持仓层): 395687.2890\n 重复计算成立: True\n [结论] ⚠ 坐实重复计算：盯市列含分红成分 -18.6600（既在 RealizedMtmPnL 又在 RealizedDividend），修复后 RealizedPnl 应减少 -18.6600。类型=混合型。" + } +} \ No newline at end of file diff --git a/UnitTestProject/UnitTestProject.csproj b/UnitTestProject/UnitTestProject.csproj index a5198648..2ab816f7 100644 --- a/UnitTestProject/UnitTestProject.csproj +++ b/UnitTestProject/UnitTestProject.csproj @@ -49,6 +49,9 @@ PreserveNewest + + PreserveNewest + PreserveNewest diff --git a/UnitTestProject/appsettings.json b/UnitTestProject/appsettings.json index 166c0e8e..7505ceff 100644 --- a/UnitTestProject/appsettings.json +++ b/UnitTestProject/appsettings.json @@ -1,8 +1,8 @@ { "ConnectionStrings": { - "ylcms": "server=192.168.2.96;uid=DBAdmin;pooling=true;port=3306;pwd=YieldChain$$2025;database=zszq_yltrs_ylcms;charset=utf8;Allow User Variables=True;SslMode=none;Connection Timeout=30;IgnoreCommandTransaction=true;", - "yladmin": "server=192.168.2.96;uid=DBAdmin;pooling=true;port=3306;pwd=YieldChain$$2025;database=zszq_yltrs_admin;charset=utf8;Allow User Variables=True;SslMode=none;Connection Timeout=30;IgnoreCommandTransaction=true;", - "ylclient": "server=192.168.2.96;uid=DBAdmin;pooling=true;port=3306;pwd=YieldChain$$2025;database=zszq_yltrs_client;charset=utf8;Allow User Variables=True;SslMode=none;Connection Timeout=30;IgnoreCommandTransaction=true;", + "ylcms": "server=192.168.2.96;uid=DBAdmin;pooling=true;port=3306;pwd=YieldChain$$2025;database=glms_yltrs_ylcms;charset=utf8;Allow User Variables=True;SslMode=none;Connection Timeout=30;IgnoreCommandTransaction=true;", + "yladmin": "server=192.168.2.96;uid=DBAdmin;pooling=true;port=3306;pwd=YieldChain$$2025;database=glms_yltrs_admin;charset=utf8;Allow User Variables=True;SslMode=none;Connection Timeout=30;IgnoreCommandTransaction=true;", + "ylclient": "server=192.168.2.96;uid=DBAdmin;pooling=true;port=3306;pwd=YieldChain$$2025;database=glms_yltrs_client;charset=utf8;Allow User Variables=True;SslMode=none;Connection Timeout=30;IgnoreCommandTransaction=true;", "bondoms": "server=192.168.2.96;uid=DBAdmin;pooling=true;port=3306;pwd=YieldChain$$2025;database=zszq_bond_oms;charset=utf8;Allow User Variables=True;SslMode=none;Connection Timeout=30;IgnoreCommandTransaction=true;" }, "LibreOffice": { diff --git a/项目文档/数据库/排查SQL/互换分红损益_数据导出与验证.sql b/项目文档/数据库/排查SQL/互换分红损益_数据导出与验证.sql new file mode 100644 index 00000000..b6eb9c0c --- /dev/null +++ b/项目文档/数据库/排查SQL/互换分红损益_数据导出与验证.sql @@ -0,0 +1,303 @@ +-- ============================================================================ +-- 互换分红损益：数据导出与重复计算验证 SQL 工具箱 +-- ---------------------------------------------------------------------------- +-- ⚠ 本脚本所有列名均取自真实库 DDL（glms_yltrs_ylcms.sql），非实体类属性名。 +-- 实体类属性名与库列名存在差异（如 swap_flow_event.EventDate、 +-- bond_payment_info.paying_interest、swap_position.IsInitial 等）。 +-- +-- 目的： +-- 1) 定位并导出一笔"带分红的互换交易"完整数据，作 golden source 种子； +-- 2) 用真实库数据验证"分红被重复计算 2 次"； +-- 3) 生命周期守恒校验。 +-- +-- 涉及表与关键列（取自 DDL，列名以反引号为准）： +-- swap_event 事件主表(窄列)：id,SwapTradeId,ValueDate,EventType, +-- EventReason,EventData(json),Invalid,BackId,OptId,OptTime,ClientCashId +-- ※ 无 SwapTradeNo/UnderlyingCode/金额，这些在 EventData 或流水表 +-- swap_position 持仓：PositionId,SwapTradeId,UnderlyingCode,PosiQuantity, +-- PosiNotionalValue,PosiNetPrice,PosiGrossPrice,IsInitial(0实时/1期初), +-- PosiDividendIncome,PosiTradingFeePending,Invalid +-- swap_flow_event 流水(分红核心)：EventDate(非ValueDate!),SwapTradeId,SwapTradeNo, +-- EventType,PositionId,Quantity,MarkClosePnl,DividendIn,DividendPending, +-- CloseFee,DataState(0废弃/1等待/100完成) +-- eod_swap_position 日终归档：ValueDate,SwapTradeId,PositionId,TdCloseMtmPnl,TdCloseDividend, +-- RealizedMtmPnL,RealizedDividend,RealizedFee,RealizedInterest, +-- RealizedInterestFee,RealizedPnl,DV01(大写),PosiDividendSum,Invalid +-- eod_swap 日终汇总：ValueDate,SwapTradeId,SwapTradeNo,TdRealizedPnL,RealizedPnL, +-- PostionValue +-- bond_payment_info 债券付息：underlying_code,pay_date_PL,paying_interest(非payment_interest!), +-- paying_principal,paying_price +-- +-- EventType 枚举（注意 swap_event 与 swap_flow_event 取值不同！）： +-- swap_event.EventType (SwapEventTypeEnum): 展期1/平仓2/互换3/自动互换4/回退5/合成持仓6... +-- swap_flow_event.EventType (SwapFlowEventTypeEnum): 开仓1/平仓2/互换3/自动互换4 +-- → 分红型互换在两表均为 EventType IN (3,4) +-- ============================================================================ + + +-- ============================================================================ +-- 第 0 步：定位一笔"带分红的互换交易"作为样本 +-- ============================================================================ +-- 思路：互换/自动互换事件(EventType in 3,4) 的 DividendIn != 0，即发生过分红型互换。 +-- swap_flow_event 自带 SwapTradeNo（人类可读），无需关联 swap_event。 +-- DataState=100 仅取已完成流水。 + +SELECT SwapTradeId, + MAX(SwapTradeNo) AS SwapTradeNo, + COUNT(*) AS 互换事件数, + SUM(DividendIn) AS 互换事件分红合计, + SUM(MarkClosePnl) AS 互换事件盯市合计, + MAX(EventDate) AS 最近事件日 +FROM swap_flow_event +WHERE EventType IN (3, 4) -- 互换 / 自动互换 + AND DividendIn <> 0 -- 真正发生过分红 + AND DataState = 100 -- 仅完成的 +GROUP BY SwapTradeId +ORDER BY SUM(DividendIn) DESC, MAX(EventDate) DESC +LIMIT 20; +-- 选定其中一行 SwapTradeId，填入下面 @TargetTradeId。 + + +-- ============================================================================ +-- 第 1 步：单笔交易完整数据导出（golden source 种子） +-- ============================================================================ +-- 用法：把 @TargetTradeId 改为第 0 步选出的值，逐段执行。 + +SET @TargetTradeId := 1874; -- ← 替换为实际样本 SwapTradeId + +-- 1.1 互换事件主表（窄列；EventData 是 json，含详细快照） +SELECT id, SwapTradeId, ValueDate, EventType, EventReason, + Invalid, BackId, OptId, OptName, OptTime, ClientCashId +FROM swap_event +WHERE SwapTradeId = @TargetTradeId +ORDER BY ValueDate, id; + +-- 1.2 互换持仓（区分期初/实时：IsInitial 1=期初, 0=实时） +SELECT PositionId, SwapTradeId, UnderlyingCode, PosiDirection, PositionType, + PosiQuantity, PosiNotionalValue, PosiNetPrice, PosiGrossPrice, + ContractSize, CountRatio, PosiTradingFee, PosiTradingFeePending, + PosiDividendIncome, IsInitial, Invalid +FROM swap_position +WHERE SwapTradeId = @TargetTradeId +ORDER BY IsInitial DESC, PositionId; +-- 说明：IsInitial=1 是期初开仓腿；=0 是实时持仓（会随平仓/互换变动）。 + +-- 1.3 流水事件（分红核心表，导出全字段便于复盘） +SELECT id, EventDate, SwapTradeId, SwapTradeNo, EventType, EventReason, + PositionId, PayDirection, PositionType, UnderlyingCode, Quantity, + TradingAmount, TradingAmountAvg, TradingAmountFeeAvg, + TradingFee, TradingFeePending, DividendPending, + MarkClosePnl, DividendIn, CloseFee, DataState, ClientCashId +FROM swap_flow_event +WHERE SwapTradeId = @TargetTradeId +ORDER BY EventDate, EventType, id; + +-- 1.4 日终持仓归档（按日快照，含所有 TdClose* / Realized* 字段） +SELECT id, ValueDate, SwapTradeId, PositionId, PosiDirection, PositionType, + UnderlyingCode, PosiQuantity, PosiNotionalValue, + PosiNetPrice, PosiGrossPrice, UnderlyingPrice, UnderlyingMarketValue, + TdPosiDividend, PosiMtmPnL, PosiDividendSum, PosiFeePending, PosiProfitSum, + TdCloseQty, TdCloseMtmPnl, TdCloseDividend, TdCloseFee, + RealizedMtmPnL, RealizedDividend, RealizedFee, RealizedInterest, RealizedInterestFee, + RealizedPnl, DV01, PosiStatus, Invalid +FROM eod_swap_position +WHERE SwapTradeId = @TargetTradeId +ORDER BY PositionId, ValueDate; + +-- 1.5 日终互换层汇总 +SELECT id, ValueDate, SwapTradeId, SwapTradeNo, TdCloseQty, + TdRealizedPnL, RealizedPnL, PostionValue +FROM eod_swap +WHERE SwapTradeId = @TargetTradeId +ORDER BY ValueDate; + +-- 1.6 债券付息明细（理论应付分红来源） +-- 先从 swap_position 取该交易挂钩的标的代码： +SELECT DISTINCT UnderlyingCode +FROM swap_position +WHERE SwapTradeId = @TargetTradeId + AND UnderlyingCode IS NOT NULL; + +-- 再用取到的 UnderlyingCode 查付息明细（替换 @BondCode）： +SET @BondCode := 'PUT_UNDERLYING_CODE_HERE'; +SELECT id, underlying_code, inner_code, + pay_date_PL, pay_date_act, paying_interest, paying_principal, paying_price, + interest_tax_rate, event_type, info_source, insert_time +FROM bond_payment_info +WHERE underlying_code = @BondCode +ORDER BY pay_date_PL; + + +-- ============================================================================ +-- 第 2 步：分红重复计算验证（证明"分红被算 2 次"） +-- ============================================================================ +-- 根因链路（SwapEodPositionService.cs）： +-- SetPriceInfoByFlowEvent:1610 TdCloseMtmPnl = Σ unwindEvents.MarkClosePnl +-- （互换/平仓事件的 MarkClosePnl 已含分红） +-- UpdateEodPosition:1486 RealizedMtmPnL += TdCloseMtmPnl ← 分红第1次进"盯市"列 +-- UpdateEodPosition:1488/1607 TdCloseDividend = Σ DividendIn +-- UpdateEodPosition:1494 RealizedDividend += TdCloseDividend ← 分红第2次进"分红"列 +-- SaveEodSwap:1869 eod_swap.RealizedPnL = Σ(RealizedMtmPnL + RealizedDividend + ...) +-- → 分红在盯市列和分红列各计一次 = 2 次 +-- +-- 验证思路：若 MarkClosePnl 含分红，则同一事件日同一持仓满足： +-- 该日"盯市列中扣除纯平仓价差后的余额" ≈ "分红列"，且两者都进了 RealizedPnL → 重复。 + +SET @TargetTradeId := 1874; -- ← 替换为实际样本 + +-- 2.1 逐日核对：盯市列 vs 分红列 +-- 关键比对：盯市列里扣除"纯平仓事件(EventType=2)的价差"后，剩余是否≈分红列。 +-- 若是，说明互换/自动互换事件(EventType in 3,4)的 MarkClosePnl 含分红。 +SELECT esp.ValueDate, + esp.PositionId, + esp.TdCloseMtmPnl AS 当日盯市列, + esp.TdCloseDividend AS 当日分红列, + -- 当日纯平仓事件(EventType=2)的盯市价差合计（理论上=纯价差，不含分红） + (SELECT COALESCE(SUM(sfe2.MarkClosePnl), 0) + FROM swap_flow_event sfe2 + WHERE sfe2.SwapTradeId = esp.SwapTradeId + AND sfe2.PositionId = esp.PositionId + AND sfe2.EventType = 2 + AND sfe2.DataState = 100 + AND sfe2.EventDate = esp.ValueDate) AS 纯平仓盯市价差, + -- 盯市列 - 纯平仓价差 = 互换/自动互换事件贡献的盯市成分（若≈分红列→含分红） + (esp.TdCloseMtmPnl - ( + SELECT COALESCE(SUM(sfe2.MarkClosePnl), 0) + FROM swap_flow_event sfe2 + WHERE sfe2.SwapTradeId = esp.SwapTradeId + AND sfe2.PositionId = esp.PositionId + AND sfe2.EventType = 2 + AND sfe2.DataState = 100 + AND sfe2.EventDate = esp.ValueDate + )) AS 盯市列扣除纯平仓后余额, + esp.TdCloseDividend AS 分红列, + esp.RealizedMtmPnL AS 累计盯市已实现, + esp.RealizedDividend AS 累计分红已实现, + esp.RealizedPnl AS 持仓层累计已实现 +FROM eod_swap_position esp +WHERE esp.SwapTradeId = @TargetTradeId + AND (esp.TdCloseDividend <> 0 OR esp.TdCloseMtmPnl <> 0) +ORDER BY esp.PositionId, esp.ValueDate; + +-- 2.2 全生命周期汇总：盯市列累计 + 分红列累计 vs RealizedPnL +-- 若 MarkClosePnl 含分红：盯市累计里多算了一份分红，导致 +-- RealizedMtmPnL + RealizedDividend > 真实盯市价差 + 分红 （多出 ≈ 分红金额） +SELECT esp.PositionId, + MAX(esp.RealizedMtmPnL) AS 最终累计盯市已实现, + MAX(esp.RealizedDividend) AS 最终累计分红已实现, + MAX(esp.RealizedPnl) AS 最终持仓层累计已实现, + -- 互换层汇总公式（SaveEodSwap:1869）的口径： + (MAX(esp.RealizedMtmPnL) + MAX(esp.RealizedDividend) + + COALESCE(MAX(esp.RealizedFee),0) + + COALESCE(MAX(esp.RealizedInterest),0) + + COALESCE(MAX(esp.RealizedInterestFee),0)) + AS 按互换层公式重算, + -- 理论上不含费的纯盯市价差（用纯平仓 EventType=2 的 MarkClosePnl 估算）： + (SELECT COALESCE(SUM(sfe.MarkClosePnl), 0) + FROM swap_flow_event sfe + WHERE sfe.SwapTradeId = esp.SwapTradeId + AND sfe.PositionId = esp.PositionId + AND sfe.EventType = 2 + AND sfe.DataState = 100) AS 纯平仓盯市价差合计 +FROM eod_swap_position esp +WHERE esp.SwapTradeId = @TargetTradeId +GROUP BY esp.PositionId; + +-- 2.3 一句话诊断：互换/自动互换分红事件的 MarkClosePnl 是否含分红 +-- 对每个 EventType in (3,4) 且 DividendIn<>0 的事件日， +-- 检查当日 eod 盯市列是否也包含了等额成分。 +SELECT sfe.EventDate, + sfe.PositionId, + sfe.EventType, + sfe.DividendIn AS 事件分红流入, + sfe.MarkClosePnl AS 事件盯市含费, + esp.TdCloseMtmPnl AS 当日盯市列, + esp.TdCloseDividend AS 当日分红列, + CASE + -- 同一互换事件自身：若 MarkClosePnl≈DividendIn，则该事件盯市就含分红 + WHEN ABS(sfe.MarkClosePnl - sfe.DividendIn) < 0.01 AND sfe.DividendIn <> 0 + THEN '⚠该事件MarkClosePnl≈DividendIn→盯市含分红(根因)' + -- 当日整列：盯市列≈分红列 + WHEN esp.TdCloseMtmPnl <> 0 + AND ABS(esp.TdCloseMtmPnl - esp.TdCloseDividend) < 0.01 + THEN '⚠当日盯市列≈分红列→重复' + ELSE '需人工核对' + END AS 诊断 +FROM swap_flow_event sfe +JOIN eod_swap_position esp + ON esp.SwapTradeId = sfe.SwapTradeId + AND esp.PositionId = sfe.PositionId + AND esp.ValueDate = sfe.EventDate +WHERE sfe.SwapTradeId = @TargetTradeId + AND sfe.EventType IN (3, 4) + AND sfe.DividendIn <> 0 + AND sfe.DataState = 100 +ORDER BY sfe.EventDate; + + +-- ============================================================================ +-- 第 3 步：生命周期守恒校验（累计已实现分红 vs 理论应付分红） +-- ============================================================================ +-- 含义：一笔互换交易从开仓到全部平仓，"已实现分红收益总额"应等于持仓期间 +-- 该债券应付分红（税后）的累加。任何偏差说明核算有误。 +-- 若存在第 2 步的重复计算，累计已实现分红会被放大，本步量化偏差作修复后回归基线。 + +SET @TargetTradeId := 1874; + +-- 3.1 实际已实现分红（从事件流水 DividendIn 累加） +SELECT + SUM(CASE WHEN EventType IN (2,3,4) THEN DividendIn ELSE 0 END) AS 事件流水已实现分红合计, + SUM(CASE WHEN EventType IN (3,4) THEN DividendIn ELSE 0 END) AS 其中互换事件分红, + SUM(CASE WHEN EventType = 2 THEN DividendIn ELSE 0 END) AS 其中平仓事件分红 +FROM swap_flow_event +WHERE SwapTradeId = @TargetTradeId + AND DataState = 100; + +-- 3.2 日终表口径的最终累计已实现分红（应与 3.1 一致） +SELECT PositionId, + MAX(RealizedDividend) AS 日终表累计已实现分红, + MAX(RealizedPnl) AS 日终表累计已实现盈亏 +FROM eod_swap_position +WHERE SwapTradeId = @TargetTradeId +GROUP BY PositionId; + +-- 3.3 理论应付分红（税后）—— 需人工带入持仓区间与标的 +-- 业务口径（BondPaymentService.CalcPayment）： +-- totalPayment = CalcPayment(UnderlyingCode, StartDate, EndDate, Qty, shortRatio, dirRatio) +-- 理论税后分红 = totalPayment / (1 + tax) * (1 - tax) +-- 这里给出从 bond_payment_info 直接估算的简化版（仅供量级对照）： +SET @BondCode := 'PUT_UNDERLYING_CODE_HERE'; +SET @StartDate := '2024-01-01'; +SET @EndDate := '2024-12-31'; +SELECT underlying_code, + SUM(COALESCE(paying_interest, 0)) * 0.01 AS 区间每张利息合计_相对值, + COUNT(*) AS 付息次数 +FROM bond_payment_info +WHERE underlying_code = @BondCode + AND pay_date_PL BETWEEN @StartDate AND @EndDate +GROUP BY underlying_code; +-- 说明：paying_interest 为"每张兑付利息额"，×0.01 转相对价后还需 ×持仓数量 ×方向， +-- 再做税后调整，才能与 3.1/3.2 对齐。精确口径见 BondPaymentService.CalcPayment。 + + +-- ============================================================================ +-- 附录：导出为 json / csv 的方式 +-- ============================================================================ +-- 【方式A：MySQL 客户端导出（推荐，最简单）】 +-- 在 Navicat / DBeaver / MySQL Workbench 中执行上述任一 SELECT，结果区右键 +-- "导出" → 选 JSON / CSV / Excel。推荐把 1.1~1.6 各导一份，按表名命名： +-- swap_event.json / swap_position.json / swap_flow_event.json / +-- eod_swap_position.json / eod_swap.json / bond_payment_info.json +-- +-- 【方式B：命令行 mysqldump（整表+DDL，含 CREATE）】 +-- mysqldump -h -u -p swap_flow_event \ +-- --where="SwapTradeId=1874 AND DataState=100" \ +-- --skip-add-drop-table --no-create-info > sfe_1874.sql +-- +-- 【方式C：SELECT ... INTO OUTFILE（服务端导 csv，需 FILE 权限）】 +-- SELECT ... FROM swap_flow_event WHERE SwapTradeId=1874 +-- INTO OUTFILE '/tmp/sfe_1874.csv' +-- FIELDS TERMINATED BY ',' OPTIONALLY ENCLOSED BY '"' LINES TERMINATED BY '\r\n'; +-- +-- golden source 种子建议：用方式A导出 1.1~1.6 共 6 个 json， +-- 连同 trade 主记录，作为"一笔带分红互换交易"的完整快照纳入版本库。