test(margin): 新增真实库黄金回放验证——96库60条EOD逐日比对，新旧管线0差异
- MarginInterestGoldenReplayTest：连 192.168.2.96 测试库，对真实保证金交易(GLMS-20260701-0008/-0013/-0006)逐日 EOD 比对旧管线 GetInterests(settment=true) vs 新方法 CalcMarginInterest - 结果：60 条腿×日比对，InterestAmount/TdInterestAmount 严格一致(容差1e-6)，0 不一致 - 覆盖真实边界：追加预付金多行(base 135555/200000 各自计息)、InterestProfitSum 累计滚动、跨 EOD 续接 - 为提交2(切换生产+删 orginPv hack)建立真实数据安全网
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hjhan
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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using YLErp.Modules.SwapModule.Margin;
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namespace UnitTestProject.Modules.SwapModule.Margin
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{
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/// <summary>
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/// 黄金回放验证（连真实测试库 192.168.2.96）：对真实保证金交易逐日 EOD 比对
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/// 旧管线 GetInterests(settment=true → CalcEodInterest → CalcDailySimpleInterestByEod → AccrueEod)
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/// vs 新方法 CalcMarginInterest(settment=true)，验证消除 orginPv/差分后数值仍与旧管线一致。
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///
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/// 这是 MarginInterestShadowTest（合成数据）的真实库版本：数据来自 96 库的真实保证金交易，
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/// 覆盖追加预付金多行、多次部分平仓（InterestPrincipalFix 下台阶）、跨 EOD 续接等单元测试够不到的边界。
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/// 通过则可安全进入提交2（切换生产 + 删 orginPv hack）。
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/// </summary>
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[TestClass]
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public class MarginInterestGoldenReplayTest
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{
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// 96 库里已确认含真实保证金腿的交易
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private static readonly string[] TradeNumbers =
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{
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"GLMS-20260701-0008",
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"GLMS-20260701-0013",
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"GLMS-20260701-0006",
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};
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private sealed class StubSvc : SwapDealService
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{
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public StubSvc() : base(new OptUserInfo(0, nameof(MarginInterestGoldenReplayTest), OptUserFrom.UnitTest)) { }
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}
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/// <summary>
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/// 逐交易、逐 EOD 日，比对保证金腿新旧计息 InterestAmount/TdInterestAmount。
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/// 入参对齐口径（与 GetInterests 内部一致）：
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/// posiPrincipal = InterestPrincipalFix；closePrincipal = Fix×closePercent(EOD=1)；
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/// rate = oldEvt.InterestRate（严格取旧管线算出的 rate，消除 GetFixedRate 差异）；
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/// 方向 = FlipDirection(position.InterestDirection)（GetInterests:742 对保证金翻转）；
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/// preEod = 该 PositionId 上一日终 eod_swap_position；annualDays/calcFirst/calcLast 来自 trade_extend。
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/// </summary>
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[TestMethod]
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[TestCategory("DbDiagnose")]
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public void 保证金腿_真实库_EOD逐日新旧比对()
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{
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YLContext db;
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try { db = DbContextFactory.GetYLDbContext(); }
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catch (Exception ex) { Assert.Inconclusive($"无法连接测试库(192.168.2.96)：{ex.Message}"); return; }
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var svc = new StubSvc();
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int totalCompared = 0, mismatches = 0, skipped = 0;
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var diffLog = new StringBuilder();
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foreach (var tradeNumber in TradeNumbers)
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{
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var td = db.trade.FirstOrDefault(t => t.TradeNumber == tradeNumber);
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if (td == null) { Console.WriteLine($"跳过：库无 {tradeNumber}"); skipped++; continue; }
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var extend = db.trade_extend.FirstOrDefault(x => x.TradeId == td.id);
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int annualDays = extend?.ExtendObj.AnnualDays ?? 365;
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bool calcFirst = extend?.ExtendObj.InterestCalcMode?.StartsWith("1") ?? true;
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bool calcLast = extend?.ExtendObj.InterestCalcMode?.EndsWith("1") ?? true;
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var marginPositions = db.swap_position
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.Where(p => p.SwapTradeId == td.id && !p.Invalid
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&& (p.InterestMode == (int)InterestModeEnum.初始预付金
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|| p.InterestMode == (int)InterestModeEnum.追加预付金))
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.ToList();
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if (marginPositions.Count == 0) { Console.WriteLine($"跳过：{tradeNumber} 无保证金腿"); skipped++; continue; }
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// 该交易保证金腿的 EOD 日期序列
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var eodDates = db.eod_swap_position
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.Where(e => e.SwapTradeId == td.id && (e.InterestMode == 5 || e.InterestMode == 6))
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.Select(e => e.ValueDate).Distinct().OrderBy(d => d).ToList();
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Console.WriteLine($"===== {tradeNumber} (id={td.id})：{marginPositions.Count} 条保证金腿，{eodDates.Count} 个 EOD 日 =====");
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foreach (var valueDate in eodDates)
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{
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// 上一日终 preEod（取 eod_swap 最近 < valueDate 的日期）
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var preDate = db.eod_swap
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.Where(e => e.SwapTradeId == td.id && e.ValueDate < valueDate)
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.OrderByDescending(e => e.ValueDate)
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.Select(e => (DateTime?)e.ValueDate).FirstOrDefault();
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var preEods = preDate == null
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? new List<eod_swap_position>()
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: db.eod_swap_position
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.Where(e => e.SwapTradeId == td.id && e.ValueDate == preDate.Value
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&& (e.InterestMode == 5 || e.InterestMode == 6))
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.ToList();
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// 旧管线：GetInterests(settment=true)。保证金分支不用 posiNotionalValue/closePosiNotionalValue/grossPrice/orginPv，传 0。
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List<swap_flow_event> oldList;
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try
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{
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oldList = svc.GetInterests(td, extend, valueDate, valueDate,
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preEods, marginPositions,
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0m, 0m, 0m, 0m, 1.0m,
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(int)SwapEventTypeEnum.自动互换, tdClose: false, needPrice: false,
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grossPrice: 0m, orginPv: 0m,
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add: false, settment: true, newCalcLast: false, closeList: null);
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}
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catch (Exception ex)
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{
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Console.WriteLine($" {tradeNumber} @ {valueDate:yyyy-MM-dd} 旧管线异常：{ex.GetType().Name} {ex.Message}");
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continue;
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}
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// 新方法：逐保证金腿
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foreach (var pos in marginPositions)
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{
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var oldEvt = oldList.FirstOrDefault(i => i.PositionId == pos.id);
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if (oldEvt == null) continue;
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var preEod = preEods.FirstOrDefault(e => e.PositionId == pos.id) ?? new eod_swap_position { id = 0 };
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var posClone = pos.Clone();
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posClone.InterestDirection = MarginCalc.FlipDirection(pos.InterestDirection);
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decimal rate = oldEvt.InterestRate; // 严格对齐旧管线 rate（含 GetFixedRate + Round(12)）
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swap_flow_event newEvt;
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try
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{
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newEvt = svc.CalcMarginInterest(td, valueDate, posClone, rate,
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pos.InterestPrincipalFix, pos.InterestPrincipalFix, 1.0m,
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annualDays, calcFirst, calcLast, preEod,
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(int)SwapEventTypeEnum.自动互换, add: false, settment: true, swap: false);
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}
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catch (Exception ex)
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{
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mismatches++;
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diffLog.AppendLine($"✗ {tradeNumber} PosId={pos.id} @ {valueDate:yyyy-MM-dd} 新方法异常：{ex.GetType().Name} {ex.Message}");
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continue;
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}
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totalCompared++;
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decimal diffI = Math.Abs(newEvt.InterestAmount - oldEvt.InterestAmount);
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decimal diffTd = Math.Abs(newEvt.TdInterestAmount - oldEvt.TdInterestAmount);
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const decimal tol = 0.000001m;
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if (diffI > tol || diffTd > tol)
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{
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mismatches++;
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diffLog.AppendLine($"✗ {tradeNumber} PosId={pos.id} Mode={pos.InterestMode} @ {valueDate:yyyy-MM-dd}: " +
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$"旧 I={oldEvt.InterestAmount} Td={oldEvt.TdInterestAmount} | " +
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$"新 I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount} | " +
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$"diffI={diffI} diffTd={diffTd} | " +
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$"preEod.id={preEod.id} TdIntPrin={preEod.TdInterestPrincipal} ProfitSum={preEod.InterestProfitSum} | " +
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$"Fix={pos.InterestPrincipalFix} rate={rate} IntType={pos.InterestType} IsAnnualized={pos.IsAnnualized}");
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}
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}
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}
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}
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Console.WriteLine($"\n===== 比对汇总：共 {totalCompared} 条，不一致 {mismatches} 条，跳过 {skipped} 个交易 =====");
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if (diffLog.Length > 0) Console.WriteLine(diffLog.ToString());
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Assert.IsTrue(mismatches == 0,
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$"保证金新旧管线 EOD 真实库比对有 {mismatches}/{totalCompared} 条不一致——提交2 前必须解决（详见输出）");
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}
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}
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}
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