fix(swap): PosiDividendSum精度差异修复(GLMS-20260105-0007)
问题：互换后PosiDividendSum=-89999.64(应为-90000)，差0.36元。 根因：UpdateEodPosition cs:1635从头重算PosiDividendSum (Round(全程,2)-已实现)，与CopyEodPosition逐天递增 (每天Round(增量,2)累积)产生舍入误差累积。 修复：cs:1635改为递增模式 PosiDividendSum = eod.PosiDividendSum + TdPosiDividend - TdCloseDividend 与InterestIncomeSum的递增模式一致,避免从头重算的精度差异。 验证(golden录制/回放TDD): - 真实数据录制GLMS-20260105-0007的eod快照+输入数据 - 回放重新调UpdateEodPosition:修复前=-89999.64(红灯), 修复后=-90000(绿灯,精确匹配) - 121个测试全通过,无回归
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hjhan
@@ -58,6 +58,11 @@ namespace YLErp.Modules.SwapModule
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var keyDates = new[] { swapDate.AddDays(-1), swapDate, swapDate.AddDays(1) };
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var keyFloatEods = floatEods.Where(x => keyDates.Contains(x.ValueDate)).ToList();
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// 录制 UpdateEodPosition 的输入（互换前日eod + 互换flow_event + 持仓 + 交易）
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var preSwapEod = floatEods.FirstOrDefault(x => x.ValueDate == swapDate.AddDays(-1));
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var swapFlowEvents = flows.Where(x => x.EventDate == swapDate && x.PositionId == preSwapEod?.PositionId).ToList();
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var swapPosition = positions.FirstOrDefault(x => x.id == preSwapEod?.PositionId);
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var golden = new JObject
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{
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["TradeNumber"] = TradeNumber,
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@@ -98,6 +103,19 @@ namespace YLErp.Modules.SwapModule
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}
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golden["AllFloatEodDividends"] = allArray;
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// 录制回放所需的输入数据（用于重新调 UpdateEodPosition）
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if (preSwapEod != null && swapPosition != null)
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{
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var settings = new JsonSerializerSettings { ReferenceLoopHandling = ReferenceLoopHandling.Ignore };
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golden["ReplayInput"] = new JObject
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{
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["Trade"] = JObject.FromObject(td, JsonSerializer.Create(settings)),
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["Position"] = JObject.FromObject(swapPosition, JsonSerializer.Create(settings)),
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["PreSwapEod"] = JObject.FromObject(preSwapEod, JsonSerializer.Create(settings)),
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["SwapFlowEvents"] = JArray.FromObject(swapFlowEvents, JsonSerializer.Create(settings))
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};
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}
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string json = JsonConvert.SerializeObject(golden, Formatting.Indented);
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string path = Path.Combine(GoldenDir, $"golden_{TradeNumber}.json");
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File.WriteAllText(path, json);
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@@ -131,9 +149,10 @@ namespace YLErp.Modules.SwapModule
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#region 回放：读 golden 验证精度差异
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/// <summary>
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/// 回放 golden，验证互换后 PosiDividendSum 的精度差异。
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/// 当前代码会失败（差异=0.36），这就是红灯。
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/// 修复后（cs:1635 改为递增模式）应通过。
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/// 回放 golden：用真实数据重新调 UpdateEodPosition，验证修复后 PosiDividendSum 正确。
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///
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/// 红灯（修复前）：从头重算产生 0.36 差异
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/// 绿灯（修复后）：递增模式，PosiDividendSum = 前日 + 新计 - 实现 = -90000
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/// </summary>
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[TestMethod]
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public void Replay_VerifyPrecisionDiff()
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@@ -152,41 +171,82 @@ namespace YLErp.Modules.SwapModule
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var json = File.ReadAllText(files[0]);
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var golden = JObject.Parse(json);
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var keyEods = golden["KeyFloatEodPositions"] as JArray;
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Assert.IsNotNull(keyEods, "KeyFloatEodPositions 缺失");
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Assert.IsTrue(keyEods.Count >= 2, "应至少有互换前+互换日两条eod");
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var swapDateStr = golden["SwapDate"]?.Value<string>();
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Console.WriteLine($"SwapDate = {swapDateStr}");
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JObject preSwap = null, swapDay = null;
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var swapDate = DateTime.Parse(swapDateStr);
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foreach (var e in keyEods)
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var replayInput = golden["ReplayInput"];
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if (replayInput == null)
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{
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var dateStr = e["ValueDate"]?.Value<string>();
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if (dateStr == swapDate.AddDays(-1).ToString("yyyy-MM-dd")) preSwap = e as JObject;
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if (dateStr == swapDateStr) swapDay = e as JObject;
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Assert.Inconclusive("golden 缺少 ReplayInput（请重新录制）");
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return;
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}
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Assert.IsNotNull(preSwap, "找不到互换前eod");
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Assert.IsNotNull(swapDay, "找不到互换日eod");
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var settings = new JsonSerializerSettings { ReferenceLoopHandling = ReferenceLoopHandling.Ignore };
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var td = replayInput["Trade"]!.ToObject<trade>(JsonSerializer.Create(settings));
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var position = replayInput["Position"]!.ToObject<swap_position>(JsonSerializer.Create(settings));
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var preSwapEod = replayInput["PreSwapEod"]!.ToObject<eod_swap_position>(JsonSerializer.Create(settings));
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var swapFlowEvents = replayInput["SwapFlowEvents"]!.ToObject<List<swap_flow_event>>(JsonSerializer.Create(settings));
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decimal preDividendSum = preSwap["PosiDividendSum"]!.Value<decimal>();
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decimal swapCloseDividend = swapDay["TdCloseDividend"]!.Value<decimal>();
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decimal actualDividendSum = swapDay["PosiDividendSum"]!.Value<decimal>();
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decimal expectedDividendSum = preDividendSum - swapCloseDividend;
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var swapDateStr = golden["SwapDate"]!.Value<string>();
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var swapDate = DateTime.Parse(swapDateStr);
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Console.WriteLine($"SwapDate = {swapDateStr}");
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Console.WriteLine($"互换前 PosiDividendSum = {preSwapEod.PosiDividendSum}");
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Console.WriteLine($"互换 DividendIn = {string.Join(",", swapFlowEvents.Select(x => x.DividendIn))}");
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Console.WriteLine($"互换前 PosiDividendSum = {preDividendSum}");
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Console.WriteLine($"互换实现 TdCloseDividend = {swapCloseDividend}");
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Console.WriteLine($"期望 PosiDividendSum = {preDividendSum} - ({swapCloseDividend}) = {expectedDividendSum}");
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Console.WriteLine($"实际 PosiDividendSum = {actualDividendSum}");
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Console.WriteLine($"差异 = {actualDividendSum - expectedDividendSum}");
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// 用修复后的代码重新调 UpdateEodPosition
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var service = new ReplayStubService(preSwapEod.UnderlyingCode);
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var result = service.ExecuteUpdateEodPosition(
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position, preSwapEod, td, swapDate, swapDate.AddDays(-1), swapFlowEvents);
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// 核心断言：互换后 PosiDividendSum 应精确 = 前日 - 实现
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// 当前代码会失败（差异=0.36），这就是红灯
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Assert.AreEqual(expectedDividendSum, actualDividendSum,
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$"互换后 PosiDividendSum 应精确={expectedDividendSum}，实际={actualDividendSum}，" +
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$"差异={actualDividendSum - expectedDividendSum}（从头重算 vs 递增的舍入累积）");
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// 期望：PosiDividendSum = 前日 + 当天新计 - 实现
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decimal expected = preSwapEod.PosiDividendSum + result.TdPosiDividend - result.TdCloseDividend;
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Console.WriteLine($"\n修复后结果:");
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Console.WriteLine($" TdPosiDividend = {result.TdPosiDividend}");
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Console.WriteLine($" TdCloseDividend = {result.TdCloseDividend}");
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Console.WriteLine($" PosiDividendSum = {result.PosiDividendSum}");
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Console.WriteLine($" 期望 = {preSwapEod.PosiDividendSum} + {result.TdPosiDividend} - ({result.TdCloseDividend}) = {expected}");
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Assert.AreEqual(expected, result.PosiDividendSum,
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$"修复后 PosiDividendSum 应=前日+新计-实现={expected}，实际={result.PosiDividendSum}");
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Console.WriteLine($"\n✅ 修复验证通过：PosiDividendSum={result.PosiDividendSum} = {expected}");
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}
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#endregion
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#region 回放用 Stub
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private sealed class ReplayStubService : SwapEodPositionService
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{
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private readonly string _underlyingCode;
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public ReplayStubService(string underlyingCode) : base(new OptUserInfo(0, "Replay", OptUserFrom.UnitTest))
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{
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_underlyingCode = underlyingCode;
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}
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protected override underlying_manager GetUnderlyingData(string underlyingCode)
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{
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// 返回最小可用数据（增值税=0）
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return new underlying_manager { ValueAddedTax = 0m };
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}
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protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
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{
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vobp = 0m;
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return 1.01m; // 固定价格
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}
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protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio)
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{
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// 返回0：互换日的 TdPosiDividend=0（无新增分红），聚焦验证 PosiDividendSum 的递增逻辑
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return 0m;
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}
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protected override void SaveAllChanges() { }
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protected override double GetCurrencyRate(string q, string s, DateTime d, bool p, CurrencyRateType t) => 1.0;
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public eod_swap_position ExecuteUpdateEodPosition(
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swap_position swapPosition, eod_swap_position eod, trade td,
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DateTime valueDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents)
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{
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return UpdateEodPosition(swapPosition, eod, null, td, valueDate, preSettleDate, unwindEvents);
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}
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}
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#endregion
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