From 8419d5342107bbcc9ff34ce4857fbb5ec7f10a6a Mon Sep 17 00:00:00 2001 From: hjhan Date: Wed, 12 Aug 2026 15:03:00 +0800 Subject: [PATCH] =?UTF-8?q?refactor(eod):=20MtmCalc.BlendPrice=E6=8F=90?= =?UTF-8?q?=E5=8F=96=E5=8A=A0=E6=9D=83=E5=9D=87=E4=BB=B7=E6=B7=B7=E5=90=88?= =?UTF-8?q?(=E5=80=99=E9=80=89J)?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit 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 --- YLErpDAL/Modules/SwapModule/ReturnLegs/MtmCalc.cs | 4 ++++ YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs | 8 ++++---- 2 files changed, 8 insertions(+), 4 deletions(-) diff --git a/YLErpDAL/Modules/SwapModule/ReturnLegs/MtmCalc.cs b/YLErpDAL/Modules/SwapModule/ReturnLegs/MtmCalc.cs index 7fab2a8f..7dedab2c 100644 --- a/YLErpDAL/Modules/SwapModule/ReturnLegs/MtmCalc.cs +++ b/YLErpDAL/Modules/SwapModule/ReturnLegs/MtmCalc.cs @@ -23,4 +23,8 @@ public static class MtmCalc /// 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。 public static decimal ReturnLegProfitSum(decimal mtmPnl, decimal dividendSum, decimal feePending) => mtmPnl + dividendSum + feePending; + + /// 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。 + public static decimal BlendPrice(decimal prevPrice, decimal prevQty, decimal sumQtyTimesPrice, decimal totalQty) + => (prevPrice * prevQty + sumQtyTimesPrice) / totalQty; } diff --git a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs index ead71307..dc700be1 100644 --- a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs @@ -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;