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refactor(eod): MtmCalc.BlendPrice提取加权均价混合(候选J)

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4处内联 (prevPrice*prevQty + sum) / total → MtmCalc.BlendPrice(...)
SwapModule零回归(7基线/510通过)

候选K(单点TdRealizedPnL)/L(2处guard差InterestType)/M(2处guard)/N(单点)为低频,
提取收益不足以抵消新增方法的开销, 暂不提取
This commit is contained in:
hjhan
2026-08-12 15:03:00 +08:00
parent dbdc975da4
commit 8419d53421
2 changed files with 8 additions and 4 deletions
Download Patch File Download Diff File Expand all files Collapse all files
YLErpDAL/Modules/SwapModule/ReturnLegs/MtmCalc.cs
+4
View File
@@ -23,4 +23,8 @@ public static class MtmCalc
/// <summary>浮动端总未实现盈亏 = 盯市盈亏 + 分红 + 待结费用。原 4 处内联收口到此。</summary>
public static decimal ReturnLegProfitSum(decimal mtmPnl, decimal dividendSum, decimal feePending)
=> mtmPnl + dividendSum + feePending;
/// <summary>加权均价混合：(昨日均价×昨日量 + 今日∑(量×均额)) / 总量。原 4 处内联收口到此。</summary>
public static decimal BlendPrice(decimal prevPrice, decimal prevQty, decimal sumQtyTimesPrice, decimal totalQty)
=> (prevPrice * prevQty + sumQtyTimesPrice) / totalQty;
}
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+4 -4
View File
@@ -1986,16 +1986,16 @@ namespace YLErp.Modules.SwapModule
{
posiQty = 0;
}
curretEod.PosiGrossPrice = (eod.PosiGrossPrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountAvg)) / (eod.PosiQuantity + openQty);
curretEod.PosiGrossPrice = MtmCalc.BlendPrice(eod.PosiGrossPrice, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * a.TradingAmountAvg), eod.PosiQuantity + openQty);
curretEod.PosiGrossPrice = Math.Round(
curretEod.PosiGrossPrice,
GetStorageDeliveryPriceRound(curretEod.UnderlyingInstrumentType, curretEod.UnderlyingCode),
MidpointRounding.AwayFromZero);
curretEod.PosiNetPrice = (eod.PosiNetPrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountFeeAvg)) / (eod.PosiQuantity + openQty);
curretEod.PosiNetPrice = MtmCalc.BlendPrice(eod.PosiNetPrice, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * a.TradingAmountFeeAvg), eod.PosiQuantity + openQty);
curretEod.PosiNetPrice = Math.Round(curretEod.PosiNetPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
curretEod.PosiNetNoFeePrice = (eod.PosiNetNoFeePrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountNetAvg)) / (eod.PosiQuantity + openQty);
curretEod.PosiNetNoFeePrice = MtmCalc.BlendPrice(eod.PosiNetNoFeePrice ?? 0m, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * (a.TradingAmountNetAvg ?? 0m)), eod.PosiQuantity + openQty);
curretEod.PosiNetNoFeePrice = Math.Round(curretEod.PosiNetNoFeePrice ?? 0, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
curretEod.PosiNetFeePrice = (eod.PosiNetFeePrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountNetFeeAvg)) / (eod.PosiQuantity + openQty);
curretEod.PosiNetFeePrice = MtmCalc.BlendPrice(eod.PosiNetFeePrice ?? 0m, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * (a.TradingAmountNetFeeAvg ?? 0m)), eod.PosiQuantity + openQty);
curretEod.PosiNetFeePrice = Math.Round(curretEod.PosiNetFeePrice ?? 0, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
}
curretEod.PosiNotionalValue = curretEod.PosiGrossPrice * curretEod.PosiQuantity * curretEod.ContractSize;