feat(trade): 新增真实除权日字段并完善基金公司行为处理 init

- 添加 EffectiveDate 字段用于标识真实除权生效日 - 实现公司行为价格系数和数量系数统一计算方法 - 增加基金除权回退和平仓基线恢复功能 - 完善除权日验证逻辑，确保真实除权日不早于股权登记日 - 重构平仓流程，支持按有效EOD基线重新计算损益和现金 - 添加基金拆合股和现金分红的特殊处理逻辑 - 增加单元测试验证各种公司行为场景下的正确性
2026-08-18 11:20:56 +08:00
parent 04f4468be5
commit aa1a13d7a3
11 changed files with 1582 additions and 18 deletions
@@ -57,6 +57,7 @@ namespace YLErp.Modules.SwapModule
            protected override List<eod_swap> FindEodSwapsByDate(DateTime valueDate) => _eodSwaps;
            protected override List<swap_flow_event> FindFlowEvents(int swapTradeId, DateTime settleDate) => _flowEvents;
            protected override List<swap_flow_event> FindCompletedFlowEvents(List<int> tradeIds) => _flowEvents;
+            public override DateTime? GetPreDealDate(int tradeId, DateTime valueDate, List<int> eventTypes) => null;
            protected override List<eod_swap_position> FindEodSwapPositions(int swapTradeId, DateTime preSettleDate)
                => _eodPositions.Where(x => x.SwapTradeId == swapTradeId && x.ValueDate >= preSettleDate).ToList();
            protected override List<swap_position> FindSwapPositions(int swapTradeId)
@@ -93,6 +94,20 @@ namespace YLErp.Modules.SwapModule

            public void ExecuteSwapPositionCompose(DateTime settleDate, DateTime preSettleDate)
                => SwapPositionCompose(settleDate, preSettleDate, null);
+
+            public void ExecuteFundCorporateActions(
+                IReadOnlyCollection<eod_swap_position> positions,
+                IReadOnlyCollection<eod_swap_position> previousEodPositions,
+                IReadOnlyCollection<swap_flow_event> flowEvents,
+                IReadOnlyCollection<ex_dividend_info> dividendInfos)
+            {
+                ApplyFundCorporateActions(
+                    positions,
+                    previousEodPositions,
+                    flowEvents,
+                    dividendInfos.ToDictionary(x => x.UnderlyingCode, StringComparer.OrdinalIgnoreCase),
+                    SettleDate);
+            }
        }

        #endregion
@@ -144,7 +159,7 @@ namespace YLErp.Modules.SwapModule
                PosiDirection = 1, PositionType = (int)PositionTypeFlag.Long, Invalid = false,
                PosiQuantity = qty, PosiGrossPrice = grossPrice, PosiNetPrice = 1.0050m,
                PosiNetFeePrice = 1.0030m, PosiNetNoFeePrice = 1.0000m,
-                UnderlyingCode = "220205.IB", ContractSize = 1m,
+                UnderlyingCode = "220205.IB", UnderlyingPrice = grossPrice, ContractSize = 1m,
                InterestIncomeSum = 0m, InterestProfitSum = 0m, PosiNotionalValue = qty
            };
        }
@@ -161,6 +176,41 @@ namespace YLErp.Modules.SwapModule
            };
        }

+        private static ex_dividend_info CreateFundCorporateAction(
+            decimal cashAmount = 0m,
+            decimal shareAmount = 0m)
+        {
+            return new ex_dividend_info
+            {
+                UnderlyingCode = "FUND.TEST",
+                ExDividendDate = SettleDate,
+                EffectiveDate = SettleDate,
+                GiveCashAmount = cashAmount,
+                GiveShareAmount = shareAmount,
+                ValidStatus = true
+            };
+        }
+
+        private static void SetFundLeg(swap_position position, eod_swap_position previousEod)
+        {
+            position.UnderlyingCode = "FUND.TEST";
+            position.UnderlyingInstrumentType = ConsGlobal.InstrumentType.Fund;
+            position.PosiGrossPrice = 100m;
+            position.PosiNetPrice = 102m;
+            position.PosiNetFeePrice = 104m;
+            position.PosiNetNoFeePrice = 106m;
+
+            previousEod.UnderlyingCode = position.UnderlyingCode;
+            previousEod.UnderlyingInstrumentType = position.UnderlyingInstrumentType;
+            previousEod.PosiGrossPrice = position.PosiGrossPrice;
+            previousEod.PosiNetPrice = position.PosiNetPrice;
+            previousEod.PosiNetFeePrice = position.PosiNetFeePrice;
+            previousEod.PosiNetNoFeePrice = position.PosiNetNoFeePrice;
+            previousEod.PosiNotionalValue = previousEod.PosiGrossPrice
+                * previousEod.PosiQuantity
+                * previousEod.ContractSize;
+        }
+
        #endregion

        // ================================================================
@@ -238,6 +288,282 @@ namespace YLErp.Modules.SwapModule
            Console.WriteLine($"SPC_003: PosiQuantity={floatEod.PosiQuantity}, TdCloseQty={floatEod.TdCloseQty} ✅");
        }

+        [TestMethod]
+        public void SPC_FUND_001_送股除权_调整价格数量并重算持仓结果()
+        {
+            var td = CreateTrade();
+            var position = CreateFloatPosition(1, 1000m);
+            var previousEod = CreateFloatEodPosition(1, 1000m, 100m);
+            SetFundLeg(position, previousEod);
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { position },
+                new List<eod_swap_position> { previousEod },
+                new List<eod_swap>(),
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event>(),
+                price: 100m);
+            service.ExDividendInfos.Add(CreateFundCorporateAction(shareAmount: 10m));
+            var actual = previousEod.Clone();
+            actual.ValueDate = SettleDate;
+            actual.UnderlyingPrice = 100m;
+
+            service.ExecuteFundCorporateActions(
+                new[] { actual },
+                new[] { previousEod },
+                Array.Empty<swap_flow_event>(),
+                service.ExDividendInfos);
+
+            Assert.AreEqual(2000m, actual.PosiQuantity);
+            Assert.AreEqual(1000m, actual.TdChangedQty);
+            Assert.AreEqual(50m, actual.PosiGrossPrice);
+            Assert.AreEqual(51m, actual.PosiNetPrice);
+            Assert.AreEqual(52m, actual.PosiNetFeePrice);
+            Assert.AreEqual(53m, actual.PosiNetNoFeePrice);
+            Assert.AreEqual(100000m, actual.PosiNotionalValue);
+            Assert.AreEqual(200000m, actual.UnderlyingMarketValue);
+            Assert.AreEqual(100000m, actual.PosiMtmPnL);
+            Assert.AreEqual(100000m, actual.PosiProfitSum);
+        }
+
+        [TestMethod]
+        public void SPC_FUND_002_现金分红_只调整价格不生成分红流水()
+        {
+            var td = CreateTrade();
+            var position = CreateFloatPosition(1, 1000m);
+            var previousEod = CreateFloatEodPosition(1, 1000m, 100m);
+            SetFundLeg(position, previousEod);
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { position },
+                new List<eod_swap_position> { previousEod },
+                new List<eod_swap>(),
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event>(),
+                price: 100m);
+            service.ExDividendInfos.Add(CreateFundCorporateAction(cashAmount: 10m));
+            var actual = previousEod.Clone();
+            actual.ValueDate = SettleDate;
+            actual.UnderlyingPrice = 100m;
+
+            service.ExecuteFundCorporateActions(
+                new[] { actual },
+                new[] { previousEod },
+                Array.Empty<swap_flow_event>(),
+                service.ExDividendInfos);
+
+            Assert.AreEqual(1000m, actual.PosiQuantity);
+            Assert.AreEqual(0m, actual.TdChangedQty);
+            Assert.AreEqual(99m, actual.PosiGrossPrice);
+            Assert.AreEqual(0m, actual.TdPosiDividend);
+            Assert.AreEqual(0m, actual.PosiDividendSum);
+            Assert.AreEqual(99000m, actual.PosiNotionalValue);
+        }
+
+        [TestMethod]
+        public void SPC_FUND_003_同日重跑_从前日基线重算不重复除权()
+        {
+            var td = CreateTrade();
+            var position = CreateFloatPosition(1, 1000m);
+            var previousEod = CreateFloatEodPosition(1, 1000m, 100m);
+            SetFundLeg(position, previousEod);
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { position },
+                new List<eod_swap_position> { previousEod },
+                new List<eod_swap>(),
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event>(),
+                price: 100m);
+            service.ExDividendInfos.Add(CreateFundCorporateAction(shareAmount: 10m));
+            var todayEod = previousEod.Clone();
+            todayEod.ValueDate = SettleDate;
+            todayEod.UnderlyingPrice = 100m;
+
+            service.ExecuteFundCorporateActions(
+                new[] { todayEod },
+                new[] { previousEod },
+                Array.Empty<swap_flow_event>(),
+                service.ExDividendInfos);
+            service.ExecuteFundCorporateActions(
+                new[] { todayEod },
+                new[] { previousEod },
+                Array.Empty<swap_flow_event>(),
+                service.ExDividendInfos);
+
+            Assert.AreEqual(2000m, todayEod.PosiQuantity);
+            Assert.AreEqual(1000m, todayEod.TdChangedQty);
+            Assert.AreEqual(50m, todayEod.PosiGrossPrice);
+            Assert.AreEqual(100000m, todayEod.PosiNotionalValue);
+        }
+
+        [TestMethod]
+        public void SPC_FUND_004_非Fund标的_即使命中公司行为也不调整()
+        {
+            var td = CreateTrade();
+            var position = CreateFloatPosition(1, 1000m);
+            position.UnderlyingCode = "FUND.TEST";
+            position.PosiGrossPrice = 100m;
+            var previousEod = CreateFloatEodPosition(1, 1000m, 100m);
+            previousEod.UnderlyingCode = position.UnderlyingCode;
+            previousEod.UnderlyingInstrumentType = "TBonds";
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { position },
+                new List<eod_swap_position> { previousEod },
+                new List<eod_swap>(),
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event>(),
+                price: 100m);
+            service.ExDividendInfos.Add(CreateFundCorporateAction(shareAmount: 10m));
+            var actual = previousEod.Clone();
+            actual.ValueDate = SettleDate;
+            actual.UnderlyingPrice = 100m;
+
+            service.ExecuteFundCorporateActions(
+                new[] { actual },
+                new[] { previousEod },
+                Array.Empty<swap_flow_event>(),
+                service.ExDividendInfos);
+
+            Assert.AreEqual(1000m, actual.PosiQuantity);
+            Assert.AreEqual(100m, actual.PosiGrossPrice);
+            Assert.AreEqual(0m, actual.TdChangedQty);
+        }
+
+        [TestMethod]
+        public void SPC_FUND_005_同日同代码多条有效记录_明确失败()
+        {
+            var service = new TestableSwapEodService(
+                new List<trade> { CreateTrade() },
+                new List<swap_position>(),
+                new List<eod_swap_position>(),
+                new List<eod_swap>(),
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event>());
+            service.ExDividendInfos.Add(CreateFundCorporateAction(cashAmount: 1m));
+            service.ExDividendInfos.Add(CreateFundCorporateAction(shareAmount: 1m));
+
+            var exception = Assert.ThrowsException<InvalidOperationException>(() =>
+                service.ExecuteSwapPositionCompose(SettleDate, PreSettleDate));
+
+            StringAssert.Contains(exception.Message, "存在多条有效除权记录");
+        }
+
+        [TestMethod]
+        public void SPC_FUND_006_登记日Eod保持除权前数量价格_生效日才调整()
+        {
+            var recordDate = SettleDate;
+            var effectiveDate = recordDate.AddDays(3);
+            var td = CreateTrade();
+            var position = CreateFloatPosition(1, 1000m);
+            var previousEod = CreateFloatEodPosition(1, 1000m, 100m);
+            SetFundLeg(position, previousEod);
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { position },
+                new List<eod_swap_position> { previousEod },
+                new List<eod_swap>(),
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event>(),
+                price: 100m);
+            service.ExDividendInfos.Add(new ex_dividend_info
+            {
+                UnderlyingCode = "FUND.TEST",
+                ExDividendDate = recordDate,
+                EffectiveDate = effectiveDate,
+                GiveShareAmount = 10m,
+                ValidStatus = true
+            });
+
+            service.ExecuteSwapPositionCompose(recordDate, PreSettleDate);
+
+            var recordEod = service.CreatedEodPositions.First(x => x.PositionId == 1);
+            Assert.AreEqual(1000m, recordEod.PosiQuantity,
+                "登记日 EOD 仍展示除权前数量，不能提前变成 2000");
+            Assert.AreEqual(100m, recordEod.PosiGrossPrice,
+                "登记日 EOD 仍展示除权前价格，不能提前变成 50");
+        }
+
+        [TestMethod]
+        public void SPC_FUND_007_生效日先以除权后基线处理平仓_1000平300得到1700份50元()
+        {
+            var recordDate = SettleDate;
+            var effectiveDate = recordDate.AddDays(3);
+            var td = CreateTrade();
+            var initialPosition = CreateFloatPosition(1, 1000m);
+            var realtimePosition = initialPosition.Clone();
+            realtimePosition.id = 2;
+            realtimePosition.IsInitial = false;
+            realtimePosition.PositionId = initialPosition.id;
+            var previousEod = CreateFloatEodPosition(1, 1000m, 100m);
+            previousEod.ValueDate = recordDate;
+            SetFundLeg(initialPosition, previousEod);
+            SetFundLeg(realtimePosition, previousEod);
+            var closeFlow = CreateCloseFlowEvent(initialPosition.id, 300m);
+            closeFlow.UnderlyingCode = "FUND.TEST";
+            closeFlow.UnderlyingInstrumentType = ConsGlobal.InstrumentType.Fund;
+            closeFlow.DividendIn = 0m;
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { initialPosition, realtimePosition },
+                new List<eod_swap_position> { previousEod },
+                new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = recordDate } },
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event> { closeFlow },
+                price: 100m);
+            service.ExDividendInfos.Add(new ex_dividend_info
+            {
+                UnderlyingCode = "FUND.TEST",
+                ExDividendDate = recordDate,
+                EffectiveDate = effectiveDate,
+                GiveShareAmount = 10m,
+                ValidStatus = true
+            });
+
+            service.ExecuteSwapPositionCompose(effectiveDate, recordDate);
+
+            var effectiveEod = service.CreatedEodPositions.First(x => x.PositionId == 1);
+            Assert.AreEqual(1700m, effectiveEod.PosiQuantity,
+                "生效日先把 1000 份变为 2000 份，再平仓 300 份，应剩 1700 而非 1400");
+            Assert.AreEqual(50m, effectiveEod.PosiGrossPrice,
+                "10 送 10 后期初价格应为 50");
+        }
+
+        [TestMethod]
+        public void SPC_FUND_008_上游splitratio零点零一映射GiveShareAmount负九点九_Eod数量价格调整()
+        {
+            var td = CreateTrade();
+            var position = CreateFloatPosition(1, 1000m);
+            var previousEod = CreateFloatEodPosition(1, 1000m, 100m);
+            SetFundLeg(position, previousEod);
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { position },
+                new List<eod_swap_position> { previousEod },
+                new List<eod_swap>(),
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event>(),
+                price: 100m);
+            // 上游 splitratio=sharesafter/sharesbefore=0.01，落库前按
+            // GiveShareAmount=10*(splitratio-1) 转换为 -9.9；现有公式因此得到 0.01 倍。
+            service.ExDividendInfos.Add(CreateFundCorporateAction(shareAmount: -9.9m));
+            var actual = previousEod.Clone();
+            actual.ValueDate = SettleDate;
+            actual.UnderlyingPrice = 100m;
+
+            service.ExecuteFundCorporateActions(
+                new[] { actual },
+                new[] { previousEod },
+                Array.Empty<swap_flow_event>(),
+                service.ExDividendInfos);
+
+            Assert.AreEqual(10m, actual.PosiQuantity,
+                "上游 splitratio=0.01 映射为 GiveShareAmount=-9.9，1000 份应调整为 10 份");
+            Assert.AreEqual(10000m, actual.PosiGrossPrice,
+                "上游 splitratio=0.01 映射为 GiveShareAmount=-9.9，期初价格应反向放大 100 倍");
+        }
+
        // ================================================================
        // 场景4：未收盘抛异常
        // ================================================================