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fix(swap): 修复互换交易中债券价格精度处理问题，扩充到11位计算

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- 统一债券价格四舍五入规则，使用AwayFromZero模式
- 为债券类型添加特殊的精度处理逻辑
- 修复前端价格显示精度计算问题
- 优化价格存储精度控制，区分债券和其他产品类型
- 修复初始化YTM和净价精度处理问题
- 更新价格验证逻辑以支持动态精度设置
This commit is contained in:
张名锐
2026-07-23 11:06:50 +08:00
parent 018136c615
commit bc961c3411
13 changed files with 142 additions and 44 deletions
Download Patch File Download Diff File Expand all files Collapse all files
YLErpDAL/BLL/EodSettlement/RealTimeClientBanlanceService.cs
+1 -1
View File
@@ -1386,7 +1386,7 @@ namespace YLErp.BLL.Eod
ClientId = item.client_id ?? 0,
ClientName = item.client_name,
TradingQty = (item.order_qty ?? 0) - (item.last_shares ?? 0),
TradingAmountAvg = BondPriceConverter.ToStorage(item.full_price ?? 0),
TradingAmountAvg = Math.Round(BondPriceConverter.ToStorage(item.full_price ?? 0), ConsGlobal.PriceRound, MidpointRounding.AwayFromZero),
TradingAmountFeeAvg = BondPriceConverter.ToStorage(item.full_price ?? 0),
TradingFee = 0
};
YLErpDAL/Modules/SwapModule/SwapConsumerService.cs
+7 -1
View File
@@ -137,7 +137,13 @@ namespace YLErp.Modules.SwapModule
swapFlow.OptTime = result.OptTime;
swapFlow.SettleDate = result.SettleDate;
swapFlow.TradingAmount = result.TradingAmount;
swapFlow.TradingAmountAvg = Math.Round(result.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
var underlying = string.IsNullOrEmpty(result.UnderlyingCode)
? null
: DataCacheProvider.GetUnderlyingDataSource().GetData(result.UnderlyingCode);
var storagePriceRound = underlying?.IsBond() == true
? ConsGlobal.PriceRound
: ConsGlobal.SwapDeliveryPriceRound;
swapFlow.TradingAmountAvg = Math.Round(result.TradingAmountAvg, storagePriceRound, MidpointRounding.AwayFromZero);
swapFlow.TradingAmountFeeAvg = result.TradingAmountFeeAvg;
swapFlow.TradingAmountNet = result.TradingAmountNet;
swapFlow.TradingAmountNetFee = result.TradingAmountNetFee;
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+20 -3
View File
@@ -48,6 +48,20 @@ namespace YLErp.Modules.SwapModule
unwindData.CloseNotionalValue = Math.Round(unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
}
private static int GetStorageDeliveryPriceRound(swap_flow_event flowEvent)
{
if (ConsGlobal.InstrumentType.IsBond(flowEvent?.UnderlyingInstrumentType))
{
return ConsGlobal.PriceRound;
}
if (string.IsNullOrEmpty(flowEvent?.UnderlyingCode))
{
return ConsGlobal.SwapDeliveryPriceRound;
}
var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(flowEvent?.UnderlyingCode);
return underlying?.IsBond() == true ? ConsGlobal.PriceRound : ConsGlobal.SwapDeliveryPriceRound;
}
private static void ValidateDeliveryPrices(UnwindData unwindData)
{
if (unwindData.FlowEvents == null)
@@ -56,7 +70,7 @@ namespace YLErp.Modules.SwapModule
}
foreach (var item in unwindData.FlowEvents.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)))
{
var roundedPrice = Math.Round(item.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
var roundedPrice = Math.Round(item.TradingAmountAvg, GetStorageDeliveryPriceRound(item), MidpointRounding.AwayFromZero);
if (item.TradingAmountAvg != roundedPrice)
{
throw new ServiceException($"期末交割价最多保留{ConsGlobal.SwapDeliveryPriceRound}位小数");
@@ -73,7 +87,7 @@ namespace YLErp.Modules.SwapModule
}
foreach (var item in flowEvents.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)))
{
item.TradingAmountAvg = Math.Round(item.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
item.TradingAmountAvg = Math.Round(item.TradingAmountAvg, GetStorageDeliveryPriceRound(item), MidpointRounding.AwayFromZero);
}
}
@@ -1310,7 +1324,6 @@ namespace YLErp.Modules.SwapModule
/// <param name="unwindPriceFee"></param>
public void AuotoSwapUnwind(int tradeid, decimal unwindPrice, decimal unwindPriceFee, decimal unwindNetFee, decimal unwindNet, DateTime valueDate, decimal unwindQty, decimal closeFee)
{
unwindPrice = Math.Round(unwindPrice, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
unwindPriceFee = decimal.Parse(unwindPriceFee.ToString("F10"));
var td = DbContext.trade.Find(tradeid);
var positions = DbContext.swap_position.Where(x => x.SwapTradeId == td.id && !x.Invalid);
@@ -1319,6 +1332,10 @@ namespace YLErp.Modules.SwapModule
var tradeExtend = DbContext.trade_extend.FirstOrDefault(x => x.TradeId == td.id);
td.trade_extend = tradeExtend;
var position = positions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode) && !x.IsInitial).FirstOrDefault();
var storagePriceRound = ConsGlobal.InstrumentType.IsBond(position?.UnderlyingInstrumentType)
? ConsGlobal.PriceRound
: ConsGlobal.SwapDeliveryPriceRound;
unwindPrice = Math.Round(unwindPrice, storagePriceRound, MidpointRounding.AwayFromZero);
var preDealDate = GetPreDealDate(td.id, dealDate, eventTypes);
swap_flow_event floatEvent = new swap_flow_event();
UnwindData unwindData = new UnwindData();
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+28 -6
View File
@@ -32,13 +32,29 @@ namespace YLErp.Modules.SwapModule
}
private int GetStorageDeliveryPriceRound(string underlyingInstrumentType, string underlyingCode)
{
if (ConsGlobal.InstrumentType.IsBond(underlyingInstrumentType))
{
return ConsGlobal.PriceRound;
}
if (string.IsNullOrEmpty(underlyingCode))
{
return ConsGlobal.SwapDeliveryPriceRound;
}
return GetUnderlyingData(underlyingCode)?.IsBond() == true
? ConsGlobal.PriceRound
: ConsGlobal.SwapDeliveryPriceRound;
}
#region 可测试化接缝（Seams）——override 这些虚方法可在测试中替换 DB/外部调用，生产代码行为不变
/// <summary>持久化 eod 持仓记录（生产: DbContext.Add；测试: 收集到列表）</summary>
protected virtual void PersistEodSwapPosition(eod_swap_position position)
{
position.PosiGrossPrice = Math.Round(position.PosiGrossPrice, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
position.UnderlyingPrice = Math.Round(position.UnderlyingPrice, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
var storagePriceRound = GetStorageDeliveryPriceRound(position.UnderlyingInstrumentType, position.UnderlyingCode);
position.PosiGrossPrice = Math.Round(position.PosiGrossPrice, storagePriceRound, MidpointRounding.AwayFromZero);
position.UnderlyingPrice = Math.Round(position.UnderlyingPrice, storagePriceRound, MidpointRounding.AwayFromZero);
position.PosiNotionalValue = Math.Round(position.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
if (position.id == 0)
{
@@ -179,7 +195,7 @@ namespace YLErp.Modules.SwapModule
{
var normalizedPrice = BondPriceConverter.ToStorage(price);
Log.Error($"互换债券日终价格按展示态返回，已转换为存储态: UnderlyingCode={code}, ValueDate={settleDate:yyyy-MM-dd}, PosiGrossPrice={posiGrossPrice}, SourcePrice={price}, NormalizedPrice={normalizedPrice}");
return Math.Round(normalizedPrice, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
return Math.Round(normalizedPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
}
return Math.Round(price, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
@@ -1471,7 +1487,10 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.ContractSize = eventFlow.ContractSize;
newEodPayPosition.CountRatio = eventFlow.CountRatio;
newEodPayPosition.PosiNetPrice = netPrice;
newEodPayPosition.PosiGrossPrice = Math.Round(grossPrice, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
newEodPayPosition.PosiGrossPrice = Math.Round(
grossPrice,
GetStorageDeliveryPriceRound(eventFlow.UnderlyingInstrumentType, eventFlow.UnderlyingCode),
MidpointRounding.AwayFromZero);
newEodPayPosition.PosiNetFeePrice = netFeePrice;
newEodPayPosition.PosiNetNoFeePrice = netNoFeePrice;
newEodPayPosition.PosiQuantity = payQty;
@@ -1770,7 +1789,10 @@ namespace YLErp.Modules.SwapModule
posiQty = 0;
}
curretEod.PosiGrossPrice = (eod.PosiGrossPrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountAvg)) / (eod.PosiQuantity + openQty);
curretEod.PosiGrossPrice = Math.Round(curretEod.PosiGrossPrice, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
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 = Math.Round(curretEod.PosiNetPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
curretEod.PosiNetNoFeePrice = (eod.PosiNetNoFeePrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountNetAvg)) / (eod.PosiQuantity + openQty);
@@ -1896,7 +1918,7 @@ namespace YLErp.Modules.SwapModule
}
if (data.IsBond())
{
return Math.Round(BondPrice(data, settleDate, out vobp), ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
return Math.Round(BondPrice(data, settleDate, out vobp), ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
}
var price = data.Price ?? 0;
if (EodPriceQueryService.TryGetEodPrice(settleDate, code, out var eodPrice))
YLErpDAL/Modules/SwapModule/SwapFlowEventService.cs
+29 -5
View File
@@ -51,6 +51,21 @@ namespace YLErp.Modules.SwapModule
protected virtual underlying_manager GetUnderlying(string underlyingCode)
=> DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
private int GetStorageDeliveryPriceRound(string underlyingInstrumentType, string underlyingCode)
{
if (ConsGlobal.InstrumentType.IsBond(underlyingInstrumentType))
{
return ConsGlobal.PriceRound;
}
if (string.IsNullOrEmpty(underlyingCode))
{
return ConsGlobal.SwapDeliveryPriceRound;
}
return GetUnderlying(underlyingCode)?.IsBond() == true
? ConsGlobal.PriceRound
: ConsGlobal.SwapDeliveryPriceRound;
}
protected virtual DateTime GetNextBusinessDay(DateTime date)
=> QdpCalendarHelper.GetNonHoliday(date);
@@ -63,7 +78,10 @@ namespace YLErp.Modules.SwapModule
{
if (!string.IsNullOrEmpty(evt.UnderlyingCode))
{
evt.TradingAmountAvg = Math.Round(evt.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
evt.TradingAmountAvg = Math.Round(
evt.TradingAmountAvg,
GetStorageDeliveryPriceRound(evt.UnderlyingInstrumentType, evt.UnderlyingCode),
MidpointRounding.AwayFromZero);
}
DbContext.swap_flow_event.Add(evt);
}
@@ -325,7 +343,7 @@ namespace YLErp.Modules.SwapModule
DataState = 1,
EventDate = flow_merge.OccurTime,
UnwindDate = QdpCalendarHelper.GetNonHoliday(flow_merge.OccurTime.AddDays(1)),
TradingAmountAvg = Math.Round(TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero),
TradingAmountAvg = Math.Round(TradingAmountAvg, GetStorageDeliveryPriceRound(underlyingInstrumentType, flow_merge.UnderlyingCode), MidpointRounding.AwayFromZero),
TradingAmountFeeAvg = TradingAmountFeeAvg,
TradingAmountNetFeeAvg = TradingAmountNetFeeAvg,
TradingAmountNetAvg = flow_merge.TradingAmountNetAvg,
@@ -379,7 +397,10 @@ namespace YLErp.Modules.SwapModule
DataState = 1,
EventDate = flow_merge.OccurTime,
UnwindDate = QdpCalendarHelper.GetNonHoliday(flow_merge.OccurTime.AddDays(1)),
TradingAmountAvg = Math.Round(flow_merge.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero),
TradingAmountAvg = Math.Round(
flow_merge.TradingAmountAvg,
GetStorageDeliveryPriceRound(null, flow_merge.UnderlyingCode),
MidpointRounding.AwayFromZero),
TradingAmountFeeAvg = flow_merge.TradingAmountFeeAvg,
TradingFeePending = flow_merge.TradingFeePending,
ClientId = flow_merge.ClientId
@@ -413,7 +434,10 @@ namespace YLErp.Modules.SwapModule
DataState = (int)SwapFlowDateStateEnum.完成,
EventDate = td.TradeDate.Value,
UnwindDate = td.StartDate.Value,
TradingAmountAvg = Math.Round(position.PosiGrossPrice, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero),
TradingAmountAvg = Math.Round(
position.PosiGrossPrice,
GetStorageDeliveryPriceRound(position.UnderlyingInstrumentType, position.UnderlyingCode),
MidpointRounding.AwayFromZero),
TradingAmountFeeAvg = position.PosiNetPrice,
TradingAmountNetFeeAvg = position.PosiNetFeePrice,
TradingAmountNetAvg = position.PosiNetNoFeePrice,
@@ -466,7 +490,7 @@ namespace YLErp.Modules.SwapModule
DataState = 100,
EventDate = td.TradeDate.Value,
UnwindDate = QdpCalendarHelper.GetNonHoliday(td.TradeDate.Value.AddDays(1)),
TradingAmountAvg = Math.Round(flowMerge.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero),
TradingAmountAvg = Math.Round(flowMerge.TradingAmountAvg, GetStorageDeliveryPriceRound(underlyingInstrumentType, flowMerge.UnderlyingCode), MidpointRounding.AwayFromZero),
TradingAmountFeeAvg = flowMerge.TradingAmountFeeAvg,
TradingAmountNetFeeAvg = flowMerge.TradingAmountNetFeeAvg,
TradingAmountNetAvg = flowMerge.TradingAmountNetAvg,
YLErpDAL/Modules/SwapModule/SwapFlowImportService.cs
+6 -2
View File
@@ -118,7 +118,8 @@ namespace YLErp.Modules.SwapModule
swap_flow.ytm = reader.GetDecimalOrPercent("成交收益率",false,true) ?? 0;
swap_flow.TradingAmountNet = reader.GetDecimal("成交净价") ?? 0;
swap_flow.TradingAmountNetFee = TradeFeeHelper.CalcPriceWithFee(swap_flow.TradingFee, swap_flow.TradingAmountNet??0, swap_flow.TradingQty, swap_flow.BsType);
if (underlying != null && underlying.IsBond())
var isBond = underlying != null && underlying.IsBond();
if (isBond)
{
// 成交流水债券报价(×100形式)转入库小数(×0.01)，统一走 BondPriceConverter
swap_flow.TradingAmountAvg = BondPriceConverter.ToStorage(swap_flow.TradingAmountAvg);
@@ -129,7 +130,10 @@ namespace YLErp.Modules.SwapModule
if (swap_flow.TradingAmountNetFee.HasValue)
swap_flow.TradingAmountNetFee = BondPriceConverter.ToStorage(swap_flow.TradingAmountNetFee.Value);
}
swap_flow.TradingAmountAvg = Math.Round(swap_flow.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
swap_flow.TradingAmountAvg = Math.Round(
swap_flow.TradingAmountAvg,
isBond ? ConsGlobal.PriceRound : ConsGlobal.SwapDeliveryPriceRound,
MidpointRounding.AwayFromZero);
if (!string.IsNullOrEmpty(clientName))
{
var client = DataCacheProvider.GetClientDataSource().AsQueryable(x=>x.Name== clientName).FirstOrDefault();
YLErpDAL/Modules/SwapModule/SwapFlowService.cs
+9 -5
View File
@@ -473,7 +473,7 @@ namespace YLErp.Modules.SwapModule
swap_Flow.UnderlyingCode = req.UnderlyingCode;
swap_Flow.BsType = req.BsType;
swap_Flow.ContractSize = req.ContractSize;
swap_Flow.TradingAmountAvg = Math.Round(req.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
swap_Flow.TradingAmountAvg = req.TradingAmountAvg;
swap_Flow.TradingAmountFeeAvg = TradeFeeHelper.CalcPriceWithFee(req.TradingFee,req.TradingAmountAvg,req.TradingQty,req.BsType);
swap_Flow.ClientId = req.ClientId;
swap_Flow.ytm = req.ytm;
@@ -540,7 +540,7 @@ namespace YLErp.Modules.SwapModule
swap_Flow.BsType = req.BsType;
swap_Flow.DataState = (int)SwapFlowDateStateEnum.等待完成;
swap_Flow.ContractSize = req.ContractSize;
swap_Flow.TradingAmountAvg = Math.Round(req.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
swap_Flow.TradingAmountAvg = req.TradingAmountAvg;
swap_Flow.TradingAmountFeeAvg = req.TradingAmountFeeAvg;
UpdateDbOption(swap_Flow);
if (req.id == 0)
@@ -695,7 +695,7 @@ namespace YLErp.Modules.SwapModule
TradingFee = gourpItem.Sum(s => s.TradingFee),
DataState = (int)SwapFlowDateStateEnum.等待完成,
TradingAmountFeeAvg = gourpItem.Average(s => s.TradingAmountFeeAvg),
TradingAmountAvg = Math.Round(gourpItem.Average(s => s.TradingAmountAvg), ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero),
TradingAmountAvg = Math.Round(gourpItem.Average(s => s.TradingAmountAvg), ConsGlobal.PriceRound, MidpointRounding.AwayFromZero),
ContractSize = swapflow.ContractSize
};
UpdateDbOption(swap_flow_summary);
@@ -757,7 +757,8 @@ namespace YLErp.Modules.SwapModule
{
throw new ServiceException("没有找到标的信息:" + req.UnderlyingCode);
}
if (underlying != null && underlying.IsBond())
var isBond = underlying.IsBond();
if (isBond)
{
// 债券报价(×100)转入库小数(×0.01)，价格字段统一走 BondPriceConverter
req.TradingAmountAvg = BondPriceConverter.ToStorage(req.TradingAmountAvg);
@@ -769,7 +770,10 @@ namespace YLErp.Modules.SwapModule
// 数量×100（万手→手），与价格维度无关，保留常量
req.TradingQty *= ConsGlobal.bondShowPriceMultiple;
}
req.TradingAmountAvg = Math.Round(req.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
req.TradingAmountAvg = Math.Round(
req.TradingAmountAvg,
isBond ? ConsGlobal.PriceRound : ConsGlobal.SwapDeliveryPriceRound,
MidpointRounding.AwayFromZero);
}
YLErpDAL/Modules/SwapModule/SwapTradeAutoService.cs
+4 -4
View File
@@ -154,7 +154,7 @@ namespace YLErp.Modules.SwapModule
swapFlow.DataState = (int)SwapFlowDateStateEnum.等待完成;
}
// 债券报价(×100)转入库小数(×0.01)，统一走 BondPriceConverter
swapFlow.TradingAmountAvg = Math.Round(BondPriceConverter.ToStorage(item.deal_full_price ?? 0), ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
swapFlow.TradingAmountAvg = Math.Round(BondPriceConverter.ToStorage(item.deal_full_price ?? 0), ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
swapFlow.TradingAmountFeeAvg = BondPriceConverter.ToStorage(item.deal_full_price_include_fee ?? 0);
swapFlow.TradingAmount = swapFlow.TradingQty * swapFlow.ContractSize * swapFlow.TradingAmountAvg;
swapFlow.ClientId = Convert.ToInt32(item.client_id ?? 0);
@@ -451,7 +451,7 @@ namespace YLErp.Modules.SwapModule
swap_flow_summary.FirstFlowTime = swapflow.OptTime;
swap_flow_summary.SettleDate = gourpItem.Max(s => s.SettleDate);
swap_flow_summary.TradingAmountAvg = swap_flow_summary.TradingQty == 0 ? 0 : gourpItem.Sum(s => s.TradingAmountAvg * s.TradingQty) / swap_flow_summary.TradingQty;
swap_flow_summary.TradingAmountAvg = Math.Round(swap_flow_summary.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
swap_flow_summary.TradingAmountAvg = Math.Round(swap_flow_summary.TradingAmountAvg, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
swap_flow_summary.TradingAmountFeeAvg = swap_flow_summary.TradingQty == 0 ? swap_flow_summary.TradingAmountAvg : swap_flow_summary.TradingAmountAvg + swap_flow_summary.TradingFeePending * tradeSide / swap_flow_summary.TradingQty;
swap_flow_summary.TradingAmountFeeAvg = Math.Round(swap_flow_summary.TradingAmountFeeAvg, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
swap_flow_summary.TradingAmountNetAvg = swap_flow_summary.TradingQty == 0 ? 0 : gourpItem.Sum(s => s.TradingAmountNet * s.TradingQty) / swap_flow_summary.TradingQty;
@@ -508,7 +508,7 @@ namespace YLErp.Modules.SwapModule
swap_flow_summary.SettleDate = gourpItem.Max(s => s.SettleDate);
swap_flow_summary.TradingAmount = swap_flow_summary.TradingQty * swap_flow_summary.ContractSize;
swap_flow_summary.TradingAmountAvg = swap_flow_summary.TradingQty == 0 ? 0 : gourpItem.Sum(s => s.FullPrice * s.TradingQty) / swap_flow_summary.TradingQty;
swap_flow_summary.TradingAmountAvg = Math.Round(swap_flow_summary.TradingAmountAvg, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
swap_flow_summary.TradingAmountAvg = Math.Round(swap_flow_summary.TradingAmountAvg, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
swap_flow_summary.TradingAmountFeeAvg = swap_flow_summary.TradingQty == 0 ? swap_flow_summary.TradingAmountAvg : swap_flow_summary.TradingAmountAvg + swap_flow_summary.TradingFeePending * tradeSide / swap_flow_summary.TradingQty;
swap_flow_summary.TradingAmountNetAvg = swap_flow_summary.TradingQty == 0 ? 0 : gourpItem.Sum(s => s.NetPrice * s.TradingQty) / swap_flow_summary.TradingQty;
swap_flow_summary.TradingAmountNetFeeAvg = swap_flow_summary.TradingQty == 0 ? swap_flow_summary.TradingAmountNetAvg : swap_flow_summary.TradingAmountNetAvg + swap_flow_summary.TradingFeePending * tradeSide / swap_flow_summary.TradingQty;
@@ -1082,7 +1082,7 @@ namespace YLErp.Modules.SwapModule
var ratio = flowMergeClone.BsType == 1 ? 1 : -1;
var oriRatio = flowMergeClone.BsType == 1 ? -1 : 1;
flowMergeClone.TradingFeePending = flowMergeClone.TradingQty / origin.TradingQty * origin.TradingFeePending;
flowMergeClone.TradingAmountAvg = Math.Round(origin.TradingAmountAvg + oriRatio * origin.TradingFeePending * 2 / origin.TradingQty, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
flowMergeClone.TradingAmountAvg = Math.Round(origin.TradingAmountAvg + oriRatio * origin.TradingFeePending * 2 / origin.TradingQty, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
flowMergeClone.TradingAmountNetAvg = origin.TradingAmountNetAvg + oriRatio * origin.TradingFeePending * 2 / origin.TradingQty;
flowMergeClone.TradingAmountFeeAvg = flowMergeClone.TradingAmountAvg + ratio * flowMergeClone.TradingFeePending / flowMergeClone.TradingQty;
YLErpDAL/Modules/SwapModule/SwapTradeService.cs
+14 -7
View File
@@ -62,6 +62,13 @@ namespace YLErp.Modules.SwapModule
return roundedPrice;
}
private static decimal? RoundSwapBondNetPriceAndYtm(decimal? value)
{
return value.HasValue
? Math.Round(value.Value, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero)
: null;
}
#region 互换交易保存
/// <summary>
/// 新版收益互换预付金校验
@@ -361,7 +368,7 @@ namespace YLErp.Modules.SwapModule
td.ValidState = "Valid";
td.TradeSource = "系统交易";
td.TradeStatus = ConsTrade.确认成交;
td.InitYtm = flowMerge.InitYtm ?? 0;
td.InitYtm = RoundSwapBondNetPriceAndYtm(flowMerge.InitYtm) ?? 0;
return td;
}
/// <summary>
@@ -400,7 +407,7 @@ namespace YLErp.Modules.SwapModule
OptId = UserInfo.UserId,
OptName = UserInfo.UserName,
UnderlyingInstrumentType = underlying.UnderlyingInstrumentType,
InitYtm = flowMerge.InitYtm
InitYtm = RoundSwapBondNetPriceAndYtm(flowMerge.InitYtm)
};
td.swap_positions.Add(floatPosition);
swap_position interestPosition = new swap_position()
@@ -593,7 +600,7 @@ namespace YLErp.Modules.SwapModule
dbTrade.trade_extend = req.trade_extend;
dbTrade.swap_positions = req.swap_positions;
dbTrade.MetaDic = req.MetaDic;
dbTrade.InitYtm = req.swap_positions.FirstOrDefault(p => p.InitYtm != null)?.InitYtm;
dbTrade.InitYtm = RoundSwapBondNetPriceAndYtm(req.swap_positions.FirstOrDefault(p => p.InitYtm != null)?.InitYtm);
InnerSaveTrade(false, dbTrade, changsStr, changeConfirmStatus);
return dbTrade;
@@ -1380,7 +1387,7 @@ namespace YLErp.Modules.SwapModule
position.PosiGrossPrice = Math.Round(swap.PosiGrossPrice, storagePriceRound, MidpointRounding.AwayFromZero);
position.PosiNetPrice = swap.PosiQuantity == 0 ? 0 : (position.PosiGrossPrice + (position.PosiTradingFeePending / swap.PosiQuantity) * ratio);
position.PosiNetPrice = Math.Round(position.PosiNetPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
position.PosiNetNoFeePrice = swap.PosiNetNoFeePrice;
position.PosiNetNoFeePrice = RoundSwapBondNetPriceAndYtm(swap.PosiNetNoFeePrice);
position.PosiNetFeePrice = swap.PosiQuantity == 0 ? 0 : (swap.PosiNetNoFeePrice + (position.PosiTradingFeePending / swap.PosiQuantity) * ratio);
position.PosiNetFeePrice = Math.Round(position.PosiNetFeePrice??0, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
position.PosiNotionalValue = Math.Round(swap.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
@@ -1405,10 +1412,10 @@ namespace YLErp.Modules.SwapModule
position.FloatRateUnderlyingCode = swap.FloatRateUnderlyingCode;
position.interest_rest_days = swap.interest_rest_days;
position.interest_rule = swap.interest_rule;
position.InitYtm = swap.InitYtm;
if (swap.InitYtm != null && swap.InitYtm > 0)
position.InitYtm = RoundSwapBondNetPriceAndYtm(swap.InitYtm);
if (position.InitYtm != null && position.InitYtm > 0)
{
td.InitYtm = swap.InitYtm;
td.InitYtm = position.InitYtm;
}
if (position.id == 0)
YLErpWeb/Views/SwapTrade2/TradeEdit.cshtml
+2 -2
View File
@@ -455,10 +455,10 @@
<vue-number-input :key="getPosiPriceFormatKey(item,'PosiGrossPrice')" v-model="item.PosiGrossPrice" v-bind:format="inputFormatSwapBondDeliveryPrice" v-on:input="changeSpotPrice(item)"></vue-number-input>
</td>
<td v-if="trade.StructureType!='普通收益互换'">
<vue-number-input :key="getPosiPriceFormatKey(item,'PosiNetNoFeePrice')" v-model="item.PosiNetNoFeePrice" v-bind:format="inputFormatMarginRateNoPercent"></vue-number-input>
<vue-number-input :key="getPosiPriceFormatKey(item,'PosiNetNoFeePrice')" v-model="item.PosiNetNoFeePrice" v-bind:format="inputFormatSwapBondNetPriceAndYtm"></vue-number-input>
</td>
<td v-if="trade.StructureType!='普通收益互换'">
<vue-number-input :key="getPosiPriceFormatKey(item,'InitYtm')" v-model="item.InitYtm" v-bind:format="inputFormatMarginRateNoPercent"></vue-number-input>
<vue-number-input :key="getPosiPriceFormatKey(item,'InitYtm')" v-model="item.InitYtm" v-bind:format="inputFormatSwapBondNetPriceAndYtm"></vue-number-input>
</td>
<td v-if="trade.StructureType=='普通收益互换'">
<vue-number-input :key="getPosiPriceFormatKey(item,'normalPosiGrossPrice')" v-model="item.PosiGrossPrice" v-bind:format="inputFormatSwapDeliveryPrice" v-on:input="changeSpotPrice(item)"></vue-number-input>
YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js
+2 -1
View File
@@ -79,7 +79,8 @@ const vue = new Vue({
return SwapCalc.getPriceScale(this.multiplier);
},
getStorageDeliveryPrice() {
return _.round(Number(this.floatPosition.TradingAmountAvg) * this.getPriceScale(), 9);
const precision = inputFormatSwapDeliveryPrice.precision + (this.multiplier === 100 ? 2 : 0);
return SwapCalc.roundHalfAwayFromZero(Number(this.floatPosition.TradingAmountAvg) * this.getPriceScale(), precision);
},
initDeal() {
var positions = model.FlowEvents.filter((item) => {
YLErpWeb/wwwroot/Scripts/app/swaptrade/swapTradeEdit.js
+18 -6
View File
@@ -13,9 +13,10 @@ const inputFormatSwapRate = Object.freeze({ precision: otcformat.trading.premium
const inputFormatTradePrice = Object.freeze({ precision: otcformat.trading.tradePrice.precision, negative: true, append: '' });
const inputFormatTradeSinglePrice = Object.freeze({ precision: otcformat.trading.tradeSinglePrice.precision, negative: true, append: '', percent: false });
const inputFormatMarginRate = Object.freeze({ precision: otcformat.trading.marginRateP.precision, append: '%' });
const inputFormatMarginRateNoPercent = Object.freeze({ precision: otcformat.trading.umpriceP.precision, append: '', percent:true });
const inputFormatSwapDeliveryPrice = Object.freeze({ precision: 9, negative: true, append: '', percent: false });
const inputFormatSwapBondDeliveryPrice = Object.freeze({ precision: 9, negative: true, append: '', percent: true });
const inputFormatSwapBondNetPriceAndYtm = Object.freeze({ precision: 9, negative: true, append: '', percent: true });
const swapBondStoragePricePrecision = inputFormatSwapBondDeliveryPrice.precision + 2;
const consUnderlyingFlagBase = (function () {
let unSelFlag = tradeHelper.UnderlyingSelectFlag;
@@ -221,6 +222,15 @@ const vue = new Vue({
});
},
methods: {
roundStorageDeliveryPrice(item, price) {
const precision = tradeHelper.IsBond(item && item.UnderlyingInstrumentType)
? swapBondStoragePricePrecision
: inputFormatSwapDeliveryPrice.precision;
return _.round(Number(price), precision);
},
roundStorageBondNetPriceAndYtm(value) {
return value == null ? value : _.round(Number(value), swapBondStoragePricePrecision);
},
getPosiPriceFormatKey(item, field) {
const index = item && item.index != null ? item.index : '';
const isBond = tradeHelper.IsBond(item && item.UnderlyingInstrumentType);
@@ -279,7 +289,7 @@ const vue = new Vue({
//计算数量
if (this.paySwapList.length > 0) {
var item = this.paySwapList[0];
var deliveryPrice = _.round(Number(item.PosiGrossPrice), 9);
var deliveryPrice = this.roundStorageDeliveryPrice(item, item.PosiGrossPrice);
var notional = deliveryPrice * item.ContractSize;
item.PosiQuantity = notional == 0 ? 0 : _.round(this.trade.StockEqvNotional / notional, page.otcFormatConfig.StockEqvNotional.precision);
this.calcNotional();
@@ -361,7 +371,7 @@ const vue = new Vue({
}
var national = payItem.PosiQuantity * payItem.ContractSize;
// 守卫: 名义本金必须 round 到 2 位 → 对应历史 bug f873239a(缺 _.round); 外置到 swapCalc.calcStockEqvNotional
var deliveryPrice = _.round(Number(payItem.PosiGrossPrice), 9);
var deliveryPrice = this.roundStorageDeliveryPrice(payItem, payItem.PosiGrossPrice);
var stockEqvNotional = SwapCalc.calcStockEqvNotional(deliveryPrice, national);//名义本金=期初价格*数量*乘数
this.trade.StockEqvNotional = otcformat.trading.stockEqvNotional(stockEqvNotional);
payItem.PosiNotionalValue = this.trade.StockEqvNotional;
@@ -506,7 +516,9 @@ const vue = new Vue({
errorcount++;
return false;
}
x.PosiGrossPrice = _.round(Number(x.PosiGrossPrice), 9);
x.PosiGrossPrice = thisObj.roundStorageDeliveryPrice(x, x.PosiGrossPrice);
x.PosiNetNoFeePrice = thisObj.roundStorageBondNetPriceAndYtm(x.PosiNetNoFeePrice);
x.InitYtm = x.InitYtm == null ? null : thisObj.roundStorageBondNetPriceAndYtm(x.InitYtm);
thisObj.trade.swap_positions.push(x);
});
} else {
@@ -632,8 +644,8 @@ const vue = new Vue({
var thisObj = this;
main.post("/pricing/AjaxGetUnderlyingPrice", { underlyingCode: underlyingCode, tradeDate: StartDate })
.done(function (resp) {
item.PosiNetNoFeePrice = otcformat.trading.umprice(resp.obj.netPrice);
item.PosiGrossPrice = _.round(Number(resp.obj.price), 9);
item.PosiNetNoFeePrice = thisObj.roundStorageBondNetPriceAndYtm(resp.obj.netPrice);
item.PosiGrossPrice = thisObj.roundStorageDeliveryPrice(item, resp.obj.price);
thisObj.calcNotional();
});
},
YLErpWeb/wwwroot/Scripts/app/swaptrade/unwindSwapTrade.js
+2 -1
View File
@@ -42,7 +42,8 @@ const vue = new Vue({
return this.multiplier == 100 ? 0.01 : 1;
},
getStorageDeliveryPrice() {
return _.round(Number(this.floatPosition.TradingAmountAvg) * this.getPriceScale(), 9);
const precision = inputFormatSwapDeliveryPrice.precision + (this.multiplier === 100 ? 2 : 0);
return SwapCalc.roundHalfAwayFromZero(Number(this.floatPosition.TradingAmountAvg) * this.getPriceScale(), precision);
},
initDeal() {
var positions = model.FlowEvents.filter((item) => {