refactor(dividend): 优化除权除息计算逻辑并改进数据类型精度
- 将除权除息相关数值字段从 double 类型改为 decimal 类型以提高精度 - 重构了红利比率计算方法 GetRatio，新增 GetRatioDecimal 方法使用 decimal 计算 - 修改价格和持仓数量计算逻辑，统一使用 decimal 进行高精度运算 - 更新数据库查询逻辑，将篮子标的判断从 IsBasket() 方法改为 CommodityCode 条件 - 优化 AddDividendInfos 方法中的批量处理逻辑，增加业务键冲突检测 - 添加数据源标识字段 DataSource 和来源更新时间字段 SourceUpdatedAt - 新增 FindExDividendByBusinessKey 和 MergeNonZeroDividendValues 辅助方法 - 更新结算服务中除权除息信息的获取方式，使用字典查找替代 LINQ JOIN - 修复前端保存除权信息时的响应处理逻辑 - 为基金类型也开放除权功能，不仅限于股票类型 - 添加单元测试验证篮子标的查询翻译逻辑的正确性
This commit is contained in:
张名锐
@@ -28,7 +28,8 @@ namespace YLErp.Modules.TradeModule.DealModule
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public List<BodTradePosition> Execute(DateTime settleDate, IEnumerable<EodTradePosition> positions)
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{
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var result = new List<BodTradePosition>();
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var dict = DbContext.ex_dividend_info.Where(O => O.ValidStatus && O.ExDividendDate == settleDate).ToDictionary(K => K.UnderlyingId, V => V);
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var dict = GetExDividendQuery(settleDate)
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.ToDictionary(K => K.UnderlyingId, V => V);
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foreach (var item in positions)
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{
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double cost = item.Cost,
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@@ -76,7 +77,8 @@ namespace YLErp.Modules.TradeModule.DealModule
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useSaveTrades = new List<trade>();
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useSaveUndedrlyings = new List<underlying_manager>();
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var result = new List<bod_trade>();
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var dict = DbContext.ex_dividend_info.Where(O => O.ValidStatus && O.ExDividendDate == settleDate).ToDictionary(K => K.UnderlyingId, V => V);
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var dict = GetExDividendQuery(settleDate)
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.ToDictionary(K => K.UnderlyingId, V => V);
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var tradeIds = trades.Select(O => O.id);
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var dividendRatioDict = new DbRecordChangesService<TradeChanges>(this).GetValue(ConsInfoChangeType.UserChange, tradeIds, nameof(trade.DividendRatio), settleDate).ToDictionary(K => K.RecordId, V => { return double.TryParse(V.NewValue, out var temp) ? (double?)temp : null; });
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foreach (var t in trades)
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@@ -713,9 +715,15 @@ namespace YLErp.Modules.TradeModule.DealModule
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{
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return 0;
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}
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var ratio = overrideDividendRatio != null ? overrideDividendRatio.Value : GetRatio(info);
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double? result = price / ratio;
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return Math.Round(result ?? 0, 4, MidpointRounding.AwayFromZero);
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var decimalRatio = overrideDividendRatio.HasValue
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? (decimal)overrideDividendRatio.Value
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: GetRatioDecimal(info);
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if (decimalRatio == 0)
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{
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return 0;
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}
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var result = (decimal)price / decimalRatio;
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return (double)Math.Round(result, 4, MidpointRounding.AwayFromZero);
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}
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/// <summary>
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@@ -725,10 +733,17 @@ namespace YLErp.Modules.TradeModule.DealModule
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/// <returns></returns>
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public double GetRatio(ex_dividend_info info)
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{
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var dividendRate = valuedateBLL.SystemDate.DividendRate / 100;
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return (double)GetRatioDecimal(info);
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}
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private decimal GetRatioDecimal(ex_dividend_info info)
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{
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var dividendRate = (decimal)valuedateBLL.SystemDate.DividendRate / 100m;
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var closePrice = new EodPriceProvider(info.ExDividendDate.Value).GetPrice(info.UnderlyingCode, SettlementTypeEnum.ClosePrice);
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var cDivdPrice = (closePrice * 10.0 - (info.GiveCashAmount * (1 - dividendRate)) + info.RationedSharesAmount * info.RationedSharesPrice) / (10 + info.GiveShareAmount + info.RationedSharesAmount);
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return closePrice / cDivdPrice;
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var decimalClosePrice = (decimal)closePrice;
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var cDivdPrice = (decimalClosePrice * 10m - (info.GiveCashAmount * (1m - dividendRate)) + info.RationedSharesAmount * info.RationedSharesPrice) /
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(10m + info.GiveShareAmount + info.RationedSharesAmount);
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return cDivdPrice == 0 ? 0 : decimalClosePrice / cDivdPrice;
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}
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/// <summary>
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@@ -751,18 +766,20 @@ namespace YLErp.Modules.TradeModule.DealModule
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/// <returns></returns>
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public double GetPositionAmount(double amount, ex_dividend_info info)
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{
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double? result = amount * (1 + info.GiveShareAmount / 10.0);
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return Math.Round(result ?? 0, 12);
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var result = (decimal)amount * (1m + info.GiveShareAmount / 10m);
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return (double)Math.Round(result, 12, MidpointRounding.AwayFromZero);
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}
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public IQueryable<ex_dividend_info> GetExDividendQuery(DateTime valueDate)
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{
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return DbContext.ex_dividend_info.Where(O => O.ValidStatus && O.ExDividendDate == valueDate);
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return DbContext.ex_dividend_info
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.Where(O => O.ValidStatus && O.ExDividendDate == valueDate);
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}
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public IQueryable<ex_dividend_info> GetExDividendQuery(DateTime dateStart, DateTime dateEnd)
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{
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return DbContext.ex_dividend_info.Where(O => O.ValidStatus && O.ExDividendDate >= dateStart && O.ExDividendDate <= dateEnd);
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return DbContext.ex_dividend_info
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.Where(O => O.ValidStatus && O.ExDividendDate >= dateStart && O.ExDividendDate <= dateEnd);
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}
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public IEnumerable<ex_dividend_info> GetExDividends(DateTime valueDate, params int[] underlyingIds)
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@@ -772,7 +789,7 @@ namespace YLErp.Modules.TradeModule.DealModule
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{
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query = query.Where(n => underlyingIds.Contains(n.UnderlyingId));
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}
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return query.ToArray();
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return query;
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}
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public IQueryable<ex_dividend_info> GetExDividendInfos(string underlyingCode)
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@@ -797,17 +814,17 @@ namespace YLErp.Modules.TradeModule.DealModule
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{
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throw new ServiceException("请使用正确的模板上传");
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}
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var dict = new Dictionary<string, ex_dividend_info>();
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var dividendInfos = new List<ex_dividend_info>();
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for (var i = 0; i < dt.Rows.Count; i++)
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{
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var info = new ex_dividend_info
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{
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UnderlyingCode = dt.Rows[i]["股票代码"]?.ToString(),
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ExDividendDate = DateTime.TryParse(getColValueFromTable(dt.Rows[i], "股权登记日"), out var date) ? date : DateTime.MinValue,
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GiveCashAmount = double.TryParse(getColValueFromTable(dt.Rows[i], "派息金额"), out var value) ? value : 0,
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GiveShareAmount = double.TryParse(getColValueFromTable(dt.Rows[i], "送股股数"), out value) ? value : 0,
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RationedSharesAmount = double.TryParse(getColValueFromTable(dt.Rows[i], "配股股数"), out value) ? value : 0,
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RationedSharesPrice = double.TryParse(getColValueFromTable(dt.Rows[i], "配股股价"), out value) ? value : 0,
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GiveCashAmount = decimal.TryParse(getColValueFromTable(dt.Rows[i], "派息金额"), out var value) ? value : 0,
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GiveShareAmount = decimal.TryParse(getColValueFromTable(dt.Rows[i], "送股股数"), out value) ? value : 0,
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RationedSharesAmount = decimal.TryParse(getColValueFromTable(dt.Rows[i], "配股股数"), out value) ? value : 0,
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RationedSharesPrice = decimal.TryParse(getColValueFromTable(dt.Rows[i], "配股股价"), out value) ? value : 0,
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OptId = OptUser.UserId,
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OptName = OptUser.UserName,
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OptDate = DateTime.Now
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@@ -824,9 +841,9 @@ namespace YLErp.Modules.TradeModule.DealModule
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{
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throw new ServiceException($"第{i + 1}行股权登记日不正确");
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}
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dict[$"{info.ExDividendDate}{info.UnderlyingCode}"] = info;
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dividendInfos.Add(info);
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}
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if (!AddDividendInfos(dict.Values, out var errMsg))
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if (!AddDividendInfos(dividendInfos, out var errMsg))
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{
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throw new ServiceException(errMsg);
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}
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@@ -841,48 +858,149 @@ namespace YLErp.Modules.TradeModule.DealModule
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return "";
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}
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private ex_dividend_info FindExDividendByBusinessKey(int underlyingId, DateTime exDividendDate, int excludedId = 0)
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{
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return DbContext.ex_dividend_info.FirstOrDefault(O => O.UnderlyingId == underlyingId
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&& O.ExDividendDate >= exDividendDate
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&& O.ExDividendDate < exDividendDate.AddDays(1)
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&& (excludedId <= 0 || O.id != excludedId));
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}
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private static void MergeNonZeroDividendValues(ex_dividend_info target, ex_dividend_info source)
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{
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if (target == null)
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{
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throw new ArgumentNullException(nameof(target));
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}
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if (source == null)
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{
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throw new ArgumentNullException(nameof(source));
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}
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if (source.GiveCashAmount != 0m)
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{
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target.GiveCashAmount = source.GiveCashAmount;
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}
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if (source.GiveShareAmount != 0m)
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{
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target.GiveShareAmount = source.GiveShareAmount;
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}
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if (source.RationedSharesAmount != 0m)
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{
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target.RationedSharesAmount = source.RationedSharesAmount;
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}
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if (source.RationedSharesPrice != 0m)
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{
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target.RationedSharesPrice = source.RationedSharesPrice;
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}
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}
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public bool AddDividendInfos(IEnumerable<ex_dividend_info> infos, out string errMsg)
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{
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try
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{
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var keys = infos.Select(O => $"{O.ExDividendDate?.ToString("yyyy-MM-dd")}{O.UnderlyingCode}");
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var ids = infos.Select(O => O.id).ToHashSet();
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var data = from dividendDb in DbContext.ex_dividend_info.Where(O => keys.Contains(O.ExDividendDate + O.UnderlyingCode) && O.ValidStatus)
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where !ids.Contains(dividendDb.id)
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select dividendDb;
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if (data.Any())
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var dividendInfos = infos?.ToList();
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if (dividendInfos == null || dividendInfos.Count == 0)
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{
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var dd = data.Select(O => O.UnderlyingCode + "_" + O.ExDividendDate).ToArray();
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errMsg = string.Join(",", dd) + "已存在除息信息,请修改原数据";
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errMsg = "没有可保存的除权除息信息";
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return false;
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}
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var basketList =
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DataCacheProvider.GetUnderlyingDataSource()
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.AsQueryable().Where(O => O.IsBasket() && O.SubData != null)
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.Select(O => new { O.UnderlyingCode, O.SubData });
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IEnumerable<eod_stock_price> priceList = null;
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foreach (var item in infos)
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var preparedInfos = new List<(ex_dividend_info Item, underlying_manager Underlying, DateTime ExDividendDate)>();
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var preparedIndexes = new Dictionary<(int UnderlyingId, DateTime ExDividendDate), int>();
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var recordKeys = new Dictionary<int, (int UnderlyingId, DateTime ExDividendDate)>();
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foreach (var item in dividendInfos)
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{
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if (item == null || string.IsNullOrWhiteSpace(item.UnderlyingCode))
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{
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errMsg = "标的代码信息不存在";
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return false;
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}
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var underlying = underlying_managerBLL.GetByCode(item.UnderlyingCode);
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if (underlying == null)
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{
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errMsg = $"{item.UnderlyingCode} 标的信息不存在";
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return false;
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}
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if (!item.ExDividendDate.HasValue)
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{
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errMsg = "股权登记日信息不存在";
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return false;
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}
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var exDividendDate = item.ExDividendDate.Value.Date;
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var businessKey = (underlying.id, exDividendDate);
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if (item.id > 0
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&& recordKeys.TryGetValue(item.id, out var existingRecordKey)
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&& existingRecordKey != businessKey)
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{
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errMsg = "同一除权信息不能重复保存";
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return false;
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}
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item.UnderlyingId = underlying.id;
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item.GiveCashAmount = item.GiveCashAmount.FormatValue(6);
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item.RationedSharesAmount = item.RationedSharesAmount.FormatValue(6);
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item.RationedSharesPrice = item.RationedSharesPrice.FormatValue(6);
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item.GiveShareAmount = item.GiveShareAmount.FormatValue(6);
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item.ValidStatus = true;
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item.OptId = OptUser.UserId;
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item.OptName = OptUser.UserName;
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item.OptDate = DateTime.Now;
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var dividend = item.id > 0 ? DbContext.ex_dividend_info.Where(O => O.id == item.id).FirstOrDefault() : null;
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item.ExDividendDate = exDividendDate;
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item.GiveCashAmount = OtcFormatHelper.FormatValue(item.GiveCashAmount, 6);
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item.RationedSharesAmount = OtcFormatHelper.FormatValue(item.RationedSharesAmount, 6);
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item.RationedSharesPrice = OtcFormatHelper.FormatValue(item.RationedSharesPrice, 6);
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item.GiveShareAmount = OtcFormatHelper.FormatValue(item.GiveShareAmount, 6);
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if (preparedIndexes.TryGetValue(businessKey, out var preparedIndex))
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{
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var preparedItem = preparedInfos[preparedIndex].Item;
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// 批量保存除权信息时，检测同一业务键（标的+日期）下是否存在冲突的数据库记录。
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if ((preparedItem.id == 0) != (item.id == 0)
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|| preparedItem.id > 0 && item.id > 0 && preparedItem.id != item.id)
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{
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errMsg = $"{item.UnderlyingCode} {exDividendDate:yyyy-MM-dd}除权信息不能合并不同记录";
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return false;
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}
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MergeNonZeroDividendValues(preparedItem, item);
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if (item.id > 0)
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{
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recordKeys[item.id] = businessKey;
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}
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continue;
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}
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if (item.id > 0)
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{
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recordKeys[item.id] = businessKey;
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}
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preparedIndexes.Add(businessKey, preparedInfos.Count);
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preparedInfos.Add((item, underlying, exDividendDate));
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}
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var basketList =
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DataCacheProvider.GetUnderlyingDataSource()
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.AsQueryable().Where(O => O.CommodityCode == "篮子标的" && O.SubData != null)
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.Select(O => new { O.UnderlyingCode, O.SubData });
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IEnumerable<eod_stock_price> priceList = null;
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foreach (var prepared in preparedInfos)
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{
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var item = prepared.Item;
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var underlying = prepared.Underlying;
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var itemDate = prepared.ExDividendDate;
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var dividend = item.id > 0
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? DbContext.ex_dividend_info.FirstOrDefault(O => O.id == item.id)
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: FindExDividendByBusinessKey(underlying.id, itemDate);
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if (dividend == null)
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{ DbContext.ex_dividend_info.Add(item); }
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{
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if (item.id > 0)
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{
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errMsg = "未找到要修改的除权除息信息";
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return false;
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}
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item.DataSource = ExDividendDataSources.Manual;
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item.SourceUpdatedAt = null;
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item.ValidStatus = true;
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item.OptId = OptUser.UserId;
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item.OptName = OptUser.UserName;
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item.OptDate = DateTime.Now;
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DbContext.ex_dividend_info.Add(item);
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}
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else
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{
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if (checkDividendInfoExecuteStatus(dividend))
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@@ -890,6 +1008,13 @@ namespace YLErp.Modules.TradeModule.DealModule
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errMsg = $"{dividend.UnderlyingCode} {dividend.ExDividendDate?.ToString("yyyy-MM-dd")}除权信息保存失败,该信息已被执行,不允许修改!";
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return false;
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}
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var conflictingDividend = FindExDividendByBusinessKey(underlying.id, itemDate, dividend.id);
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if (conflictingDividend != null)
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{
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errMsg = $"{item.UnderlyingCode} {itemDate:yyyy-MM-dd}除权信息已存在,不能修改为该业务键";
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return false;
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}
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var sourceUpdatedAt = dividend.SourceUpdatedAt;
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dividend.UnderlyingCode = item.UnderlyingCode;
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dividend.UnderlyingId = item.UnderlyingId;
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dividend.ExDividendDate = item.ExDividendDate;
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@@ -897,21 +1022,23 @@ namespace YLErp.Modules.TradeModule.DealModule
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dividend.RationedSharesAmount = item.RationedSharesAmount;
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dividend.RationedSharesPrice = item.RationedSharesPrice;
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dividend.GiveShareAmount = item.GiveShareAmount;
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dividend.ValidStatus = item.ValidStatus;
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dividend.OptId = item.OptId;
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dividend.OptName = item.OptName;
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dividend.OptDate = item.OptDate;
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dividend.ValidStatus = true;
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dividend.DataSource = ExDividendDataSources.Manual;
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dividend.SourceUpdatedAt = sourceUpdatedAt;
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dividend.OptId = OptUser.UserId;
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dividend.OptName = OptUser.UserName;
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dividend.OptDate = DateTime.Now;
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}
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if (!basketList.Any())
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{
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continue;
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}
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var codes = basketList.Where(O => O.SubData.Contains(item.UnderlyingCode)).Select(O => O.UnderlyingCode);
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if (!codes.Any())
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var basketCodes = basketList.Where(O => O.SubData.Contains(item.UnderlyingCode)).Select(O => O.UnderlyingCode);
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if (!basketCodes.Any())
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{
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continue;
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}
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var removePriceList = DbContext.eod_stock_price.Where(O => codes.Contains(O.UnderlyingCode) && O.ValueDate > item.ExDividendDate);
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var removePriceList = DbContext.eod_stock_price.Where(O => basketCodes.Contains(O.UnderlyingCode) && O.ValueDate > item.ExDividendDate);
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if (!removePriceList.Any())
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{
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continue;
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@@ -954,7 +1081,7 @@ namespace YLErp.Modules.TradeModule.DealModule
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return true;
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}
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//查询篮子标的对应交易是否执行过收盘操作;
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var umList = DataCacheProvider.GetUnderlyingDataSource().AsQueryable(O => O.IsBasket() && O.SubData != null && O.SubData.Contains(info.UnderlyingCode)).Select(O => O.UnderlyingCode).ToArray();
|
||||
var umList = DataCacheProvider.GetUnderlyingDataSource().AsQueryable(O => O.CommodityCode == "篮子标的" && O.SubData != null && O.SubData.Contains(info.UnderlyingCode)).Select(O => O.UnderlyingCode).ToArray();
|
||||
tradeQuery = from t in DbContext.trade.Where(O => umList.Contains(O.UnderlyingCode) && O.TradeDate <= info.ExDividendDate && O.ExerciseDate >= info.ExDividendDate && O.DividendDate >= O.TradeDate)
|
||||
join et in DbContext.eod_trade.Where(O => ConsTrade.LiveTradeStatusList.Contains(O.TradeStatus))
|
||||
on new { t.id, ValueDate = t.TradeDate.Value } equals new { id = et.TradeId, et.ValueDate }
|
||||
|
||||
Reference in New Issue
Block a user