fix(swap): 解决互换交易全额平仓计算和判定问题

- 在前端计算函数中添加全额平仓时返回剩余数量的逻辑 - 添加针对 trade2308 问题的单元测试验证全额平仓场景 - 实现后端全额平仓请求标准化处理方法 NormalizeFullCloseRequest - 添加重新计算标准化平仓金额的方法 RecalculateNormalizedUnwindAmounts - 实现平仓后是否全额关闭的判定逻辑 IsFullCloseAfterDeduction - 在平仓流程中集成全额平仓标准化处理和金额重新计算 - 更新平仓后交易状态和剩余金额数量的处理逻辑 - 完善审批流程中的平仓数据标准化和流动事件处理 - 优化持仓扣减时全额平仓的处理逻辑 - 添加多个单元测试验证各种全额平仓场景的正确性
2026-08-06 13:24:41 +08:00
parent c7900adca1
commit 6bbe9b1c13
4 changed files with 363 additions and 15 deletions
@@ -47,6 +47,65 @@ namespace YLErp.Modules.SwapModule
            unwindData.CloseNotionalValue = Math.Round(unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
        }

+        private static bool NormalizeFullCloseRequest(UnwindData unwindData)
+        {
+            if (unwindData.CloseMethod != (int)CloseMethodEnum.全部平仓
+                && unwindData.ClosePercent < 1
+                && !(unwindData.PositionQty > 0 && unwindData.CloseQty >= unwindData.PositionQty)
+                && !(unwindData.PosiNotionalValue > 0 && unwindData.CloseNotionalValue >= unwindData.PosiNotionalValue))
+            {
+                return false;
+            }
+
+            var closeQty = unwindData.CloseQty;
+            var closeNotionalValue = unwindData.CloseNotionalValue;
+            unwindData.ClosePercent = 1;
+            if (unwindData.PositionQty > 0) unwindData.CloseQty = unwindData.PositionQty;
+            if (unwindData.PosiNotionalValue > 0) unwindData.CloseNotionalValue = unwindData.PosiNotionalValue;
+            return closeQty != unwindData.CloseQty || closeNotionalValue != unwindData.CloseNotionalValue;
+        }
+
+        private static void RecalculateNormalizedUnwindAmounts(UnwindData unwindData)
+        {
+            var floatLeg = unwindData.FlowEvents.FirstOrDefault(x => !string.IsNullOrEmpty(x.UnderlyingCode));
+            if (floatLeg == null || floatLeg.PosiGrossPrice == 0) return;
+
+            var input = new UnwindInput
+            {
+                Multiplier = ConsGlobal.InstrumentType.IsBond(floatLeg.UnderlyingInstrumentType) ? 100 : 1,
+                PosiGrossPrice = floatLeg.PosiGrossPrice,
+                TradingAmountAvg = floatLeg.TradingAmountAvg,
+                CloseQty = unwindData.CloseQty,
+                PositionQty = unwindData.PositionQty,
+                ContractSize = floatLeg.ContractSize,
+                CloseNotionalValue = unwindData.CloseNotionalValue,
+                PayDirection = floatLeg.PayDirection,
+                PositionType = floatLeg.PositionType,
+                TradingFee = floatLeg.TradingFee.ToString(),
+                TradingFeePending = floatLeg.TradingFeePending.ToString(),
+                DividendIn = floatLeg.DividendIn.ToString()
+            };
+            foreach (var leg in unwindData.FlowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)))
+            {
+                var target = leg.InterestMode == (int)InterestModeEnum.初始预付金
+                    || leg.InterestMode == (int)InterestModeEnum.追加预付金
+                    ? input.MarginLegs
+                    : input.InterestLegs;
+                target.Add(new LegInput { InterestClosePnL = leg.InterestClosePnL });
+            }
+
+            var result = FrontendCalcReference.CalcUnwind(input);
+            floatLeg.MarkClosePnl = result.MarkClosePnl;
+            unwindData.SwapCloseAmount = result.SwapCloseAmount;
+            unwindData.SwapRealizedPnL = result.SwapRealizedPnL;
+            unwindData.SwapMarginRebatePnl = result.SwapMarginRebatePnl;
+        }
+
+        private static bool IsFullCloseAfterDeduction(UnwindData unwindData, double remainingNotional, double remainingQuantity)
+        {
+            return unwindData.ClosePercent == 1 || (remainingNotional == 0 && remainingQuantity == 0);
+        }
+
        // 待实现利息会进入 decimal(30,12) 日终快照
        private const int InterestCalculationPrecision = 12;

@@ -1335,10 +1394,14 @@ namespace YLErp.Modules.SwapModule
            NormalizeNotionalValues(unwindData);
            NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.平仓, "系统操作_平仓");
            //CheckLastEod(unwindData.ValueDate, td.StartDate.Value, unwindData.SwapTradeId); //去掉平仓收盘限制
-            ValidateFrontendPnL(unwindData, isIncome: false); // 只读校验告警，不阻断交易
            // 前端按"占期初(original)"语义传 ClosePercent(A)；后端全链路按"占剩余(remaining)"语义(B)消费。
            // 入口统一转换为 B，落库展示用的 A 由 SaveSwapDealInternal 还原。
            unwindData.ClosePercent = ToRemainingClosePercent(unwindData.ClosePercent, unwindData.NotionalValue, unwindData.PosiNotionalValue);
+            if (NormalizeFullCloseRequest(unwindData))
+            {
+                RecalculateNormalizedUnwindAmounts(unwindData);
+            }
+            ValidateFrontendPnL(unwindData, isIncome: false); // 只读校验告警，不阻断交易
            bool cofirm = false;
            ExecuteInTransaction(() =>
            {
@@ -1354,18 +1417,24 @@ namespace YLErp.Modules.SwapModule
                DealFloatPosition(unwindData);
                var flowList = new List<swap_flow_event>(unwindData.FlowEvents);
                var eventId = SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.平仓, clientCashId, "系统操作_平仓");
-                if (unwindData.CloseMethod == (int)CloseMethodEnum.全部平仓 || unwindData.ClosePercent == 1)
+                var remainingStockEqvNotional = Math.Round(td.StockEqvNotional - Convert.ToDouble(unwindData.CloseNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
+                var remainingTradeAmount = td.TradeAmount - Convert.ToDouble(unwindData.CloseQty);
+                var isFullClose = IsFullCloseAfterDeduction(unwindData, remainingStockEqvNotional, remainingTradeAmount);
+                if (isFullClose)
                {
                    td.TradeStatus = "已平仓";
+                    td.StockEqvNotional = 0;
+                    td.TradeAmount = 0;
                    CallSaveSwapTradeClientCash(td, unwindData.ValueDate);
                }
                else
                {
                    td.HasPartialUnWind = 1;
+                    td.StockEqvNotional = remainingStockEqvNotional;
+                    td.TradeAmount = remainingTradeAmount;
                }
+                td.Notional = td.TradeAmount;
                td.UnWindDate = unwindData.UnwindDate;
-                td.StockEqvNotional = Math.Round(td.StockEqvNotional - Convert.ToDouble(unwindData.CloseNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
-                td.TradeAmount -= Convert.ToDouble(unwindData.CloseQty);
                SaveAllChanges();
                cofirm = true;
            });
@@ -1860,12 +1929,36 @@ namespace YLErp.Modules.SwapModule
                throw new Exception("该笔交易状态为平仓待复核，未找到相关记录，请检查该笔交易是否有效");
            }
            swapEvent.unwindData = JsonConvert.DeserializeObject<UnwindData>(swapEvent.EventData);
+            NormalizeNotionalValues(swapEvent.unwindData);
+            // Stored events keep display ratio A; approval calculations consume remaining ratio B.
+            swapEvent.unwindData.ClosePercent = ToRemainingClosePercent(
+                swapEvent.unwindData.ClosePercent,
+                swapEvent.unwindData.NotionalValue,
+                swapEvent.unwindData.PosiNotionalValue);
+            var flowList = FindFlowEventsByEventId(swapEvent.id);
+            swapEvent.unwindData.FlowEvents = flowList;
+            if (eventType == (int)SwapEventTypeEnum.平仓)
+            {
+                if (NormalizeFullCloseRequest(swapEvent.unwindData))
+                {
+                    RecalculateNormalizedUnwindAmounts(swapEvent.unwindData);
+                }
+            }
            if (eventType == (int)SwapEventTypeEnum.互换)
            {
                NormalizeIncomeUnwindDate(swapEvent.unwindData);
                ValidateIncomeValueDate(swapEvent.unwindData, td);
            }
-            var flowList = FindFlowEventsByEventId(swapEvent.id);
+            if (eventType == (int)SwapEventTypeEnum.平仓)
+            {
+                foreach (var item in flowList.Where(x => x.PositionType > 0))
+                {
+                    item.Quantity = swapEvent.unwindData.CloseQty;
+                    item.PositionQty = swapEvent.unwindData.ClosePercent == 1
+                        ? 0
+                        : swapEvent.unwindData.PositionQty - swapEvent.unwindData.CloseQty;
+                }
+            }
            string action = eventType == (int)SwapEventTypeEnum.互换 ? ClientCashInCashOut.系统操作_互换 : ClientCashInCashOut.系统操作_平仓费;
            int clientCashId = AddClientCash(td, Convert.ToDouble(-swapEvent.unwindData.SwapRealizedPnL), action, swapEvent.unwindData.ValueDate);
            if (swapEvent.unwindData.SwapMarginAmount != 0)
@@ -1873,7 +1966,28 @@ namespace YLErp.Modules.SwapModule
                AddClientCash(td, Convert.ToDouble(swapEvent.unwindData.SwapMarginAmount), ClientCashInCashOut.系统操作_应付预付金, swapEvent.unwindData.ValueDate);
            }
            swapEvent.ClientCashId = clientCashId;
-            if (swapEvent.unwindData.CloseMethod == (int)CloseMethodEnum.全部平仓)
+            td.UnWindDate = swapEvent.unwindData.UnwindDate;
+            if (eventType != (int)SwapEventTypeEnum.互换)
+            {
+                var remainingStockEqvNotional = Math.Round(td.StockEqvNotional - Convert.ToDouble(swapEvent.unwindData.CloseNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
+                var remainingTradeAmount = td.TradeAmount - Convert.ToDouble(swapEvent.unwindData.CloseQty);
+                var isFullClose = IsFullCloseAfterDeduction(swapEvent.unwindData, remainingStockEqvNotional, remainingTradeAmount);
+                if (isFullClose)
+                {
+                    td.TradeStatus = "已平仓";
+                    td.StockEqvNotional = 0;
+                    td.TradeAmount = 0;
+                    CallSaveSwapTradeClientCash(td, swapEvent.unwindData.ValueDate);
+                }
+                else
+                {
+                    td.TradeStatus = ConsTrade.确认成交;
+                    td.HasPartialUnWind = 1;
+                    td.StockEqvNotional = remainingStockEqvNotional;
+                    td.TradeAmount = remainingTradeAmount;
+                }
+            }
+            else if (swapEvent.unwindData.CloseMethod == (int)CloseMethodEnum.全部平仓)
            {
                td.TradeStatus = "已平仓";
                CallSaveSwapTradeClientCash(td, swapEvent.unwindData.ValueDate);
@@ -1883,12 +1997,6 @@ namespace YLErp.Modules.SwapModule
                td.TradeStatus = ConsTrade.确认成交;
                td.HasPartialUnWind = 1;
            }
-            td.UnWindDate = swapEvent.unwindData.UnwindDate;
-            if (eventType != (int)SwapEventTypeEnum.互换)
-            {
-                td.StockEqvNotional = Math.Round(td.StockEqvNotional - Convert.ToDouble(swapEvent.unwindData.CloseNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
-                td.TradeAmount -= Convert.ToDouble(swapEvent.unwindData.CloseQty);
-            }

            td.Notional = td.TradeAmount;
            UpdateInitalPosition(flowList, swapEvent.unwindData, eventType);
@@ -1920,6 +2028,13 @@ namespace YLErp.Modules.SwapModule
            // 与 SwapUnwind(L1270) 保持一致——缺少此转换会导致 SaveSwapDealInternal 的 B→A 还原出错
            // （例如第二次部分平仓 50%(A) → 错误还原为 0.325 而非 0.50）。
            unwindData.ClosePercent = ToRemainingClosePercent(unwindData.ClosePercent, unwindData.NotionalValue, unwindData.PosiNotionalValue);
+            if (eventType == (int)SwapEventTypeEnum.平仓)
+            {
+                if (NormalizeFullCloseRequest(unwindData))
+                {
+                    RecalculateNormalizedUnwindAmounts(unwindData);
+                }
+            }
            string action = eventType == (int)SwapEventTypeEnum.互换 ? ClientCashInCashOut.系统操作_互换 : ClientCashInCashOut.系统操作_平仓费;
            ExecuteInTransaction(() =>
            {
@@ -2053,8 +2168,17 @@ namespace YLErp.Modules.SwapModule
                    else
                    {
                        // 平仓时才扣减持仓
-                        position.PosiQuantity -= unwindData.CloseQty;
-                        position.PosiNotionalValue = Math.Round(position.PosiNotionalValue - unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
+                        var remainingPositionQty = position.PosiQuantity - unwindData.CloseQty;
+                        var remainingPositionNotional = Math.Round(
+                            position.PosiNotionalValue - unwindData.CloseNotionalValue,
+                            ConsGlobal.MoneyRound,
+                            MidpointRounding.AwayFromZero);
+                        position.PosiQuantity = unwindData.ClosePercent == 1
+                            ? 0
+                            : remainingPositionQty;
+                        position.PosiNotionalValue = unwindData.ClosePercent == 1
+                            ? 0
+                            : remainingPositionNotional;
                        position.PosiTradingFee -= position.PosiTradingFee * unwindData.ClosePercent;
                        position.PosiTradingFeePending -= position.PosiTradingFeePending * unwindData.ClosePercent;
                    }
@@ -2068,10 +2192,13 @@ namespace YLErp.Modules.SwapModule
                        position.InterestFeePending += interest.InterestFee;
                        if ((interest.InterestMode == (int)InterestModeEnum.追加预付金 || interest.InterestMode == (int)InterestModeEnum.初始预付金) && eventType == (int)SwapEventTypeEnum.平仓)
                        {
-                            position.InterestPrincipalFix = Math.Round(
+                            var remainingInterestPrincipal = Math.Round(
                                position.InterestPrincipalFix - interest.InterestPrincipal,
                                ConsGlobal.MoneyRound,
                                MidpointRounding.AwayFromZero);
+                            position.InterestPrincipalFix = unwindData.ClosePercent == 1
+                                ? 0
+                                : remainingInterestPrincipal;
                        }
                    }
                }