feat(swap): 后端只读校验告警-搬FrontendCalcReference+SwapIncome/SwapUnwind插校验
前端保持快速反馈(用户改输入立即算),后端不替代前端,仅做合理性兜底校验。 1. 搬FrontendCalcReference到YLErpDAL/Helpers(测试与生产共用同一份公式,避免分叉) - 从FrontendCalcCharacterizationTest提取,改public,8个FC测试搬迁后全绿验证一致 2. SwapDealService新增ValidateFrontendPnL只读校验: - 从unwindData.FlowEvents取浮动腿,PosiGrossPrice==0时跳过(避免误报) - 调FrontendCalcReference重算,与前端传值逐字段比对 - 差异>0.01记Logger.Error(带输入快照便于排查) - 整体try/catch吞异常,校验自身错误绝不阻断交易 - SwapUnwind/SwapIncome各插一处(FindTrade后、ExecuteInTransaction前) 不碰NLog配置(告警进Console,生产由运维采集)。SwapModule 157测试全绿。
This commit is contained in:
hjhan
@@ -2,6 +2,7 @@ using Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Helpers;
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namespace YLErp.Modules.SwapModule
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{
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@@ -25,178 +26,8 @@ namespace YLErp.Modules.SwapModule
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private static readonly string GoldenDir = Path.Combine(
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AppDomain.CurrentDomain.BaseDirectory, "Resources", "GoldenFiles", "FrontendCalc");
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// ================================================================
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// FrontendCalcReference：前端公式的 C# 忠实重写（参考实现，非生产代码）
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// ================================================================
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/// <summary>
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/// 前端公式参考实现。输入=前端可见的原始字段，输出=前端算出的衍生字段。
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/// 注意：otcformat.trading.StockEqvNotional 的精度按 MoneyRound=2 模拟。
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/// </summary>
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private static class FrontendCalcReference
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{
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/// <summary>模拟 otcformat.trading.StockEqvNotional（金额类，2位小数）</summary>
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private static decimal StockEqvNotional(decimal v) => Math.Round(v, 2, MidpointRounding.AwayFromZero);
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/// <summary>
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/// 计算平仓页（unwind）的盯市盈亏与汇总。
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/// 对应 unwindSwapTrade.js:196-261（calcFloatClosePnl + calcCloseAmount）。
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/// </summary>
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public static UnwindResult CalcUnwind(UnwindInput input)
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{
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// 规范名映射：initPosiNetPrice(前端变量) = PosiGrossPrice = EntryDirtyPrice（期初全价不含费）
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decimal entryPrice = input.PosiGrossPrice;
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// scale = getPriceScale()：债券(multiplier=100)→0.01，非债券→1
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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// 方向因子：PayDirection(1=收取)→+1；PositionType(1=多头)→+1
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal longRatio = input.PositionType == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = round(CloseQty × (TradingAmountAvg × scale − EntryPrice) × floatRatio × longRatio × 10000)/10000
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decimal markClosePnl = Math.Round(
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input.CloseQty * (input.TradingAmountAvg * scale - entryPrice) * floatRatio * longRatio * 10000) / 10000;
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// toFixed(2) → StockEqvNotional
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markClosePnl = Math.Round(markClosePnl, 2, MidpointRounding.AwayFromZero);
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markClosePnl = StockEqvNotional(markClosePnl);
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// FloatPnlSum = (MarkClosePnl + TradingFee + TradingFeePending + DividendIn).toFixed(2)
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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// calcCloseAmount：SwapRealizedPnL/SwapCloseAmount = FloatPnlSum + Σ利息腿 + Σ预付金腿
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty==0 ? 0 : (TradingAmountAvg×scale + TradingFee/CloseQty × ratio)
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// 注：unwind 的 ratio = PositionType?1:-1（calcCloseAmount 内重新定义）
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decimal ratio = input.PositionType == 1 ? 1 : -1;
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decimal tradingAmountFeeAvg = input.CloseQty == 0 ? 0 :
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input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * ratio;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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/// <summary>
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/// 计算结息页（income）的盯市盈亏与汇总。
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/// 对应 incomeSwapTrade.js:128-178。
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/// 差异：用 CloseNotionalValue（非 CloseQty）作量纲，无 longRatio，无 Math.round/10000。
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/// </summary>
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public static UnwindResult CalcIncome(UnwindInput input)
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{
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// income 页 initPosiGrossPrice = PosiGrossPrice = EntryDirtyPrice
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decimal entryPrice = input.PosiGrossPrice;
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = CloseNotionalValue × (TradingAmountAvg × scale − EntryPrice) × floatRatio
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// （无 longRatio、无 Math.round/10000）
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decimal markClosePnl = input.CloseNotionalValue * (input.TradingAmountAvg * scale - entryPrice) * floatRatio;
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markClosePnl = StockEqvNotional(markClosePnl);
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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// income 页无 SwapMarginAmount 计算（恒为0）
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty>0 ? (TradingAmountAvg×scale + TradingFee/CloseQty × floatRatio) : TradingAmountAvg×scale
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// 注：income 用 floatRatio（PayDirection），与 unwind 的 ratio(PositionType) 不同
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decimal tradingAmountFeeAvg = input.CloseQty > 0
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? input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * floatRatio
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: input.TradingAmountAvg * scale;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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private static decimal ParseOrZero(string s) => string.IsNullOrEmpty(s) ? 0m : decimal.Parse(s);
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}
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// 输入/输出模型
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private class UnwindInput
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{
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public int Multiplier; // 债券=100，非债券=1
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public decimal PosiGrossPrice; // EntryDirtyPrice（期初全价不含费）
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public decimal TradingAmountAvg; // 用户可改的期末标的价格（界面×multiplier形态）
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public decimal CloseQty; // 平仓数量
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public decimal CloseNotionalValue;// 平仓名义本金（income 用）
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public int PayDirection; // 1=收取，-1=支付
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public int PositionType; // 1=多头，2=空头
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public string TradingFee; // 交易费用（前端是字符串）
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public string TradingFeePending; // 待结算费用
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public string DividendIn; // 分红
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public List<LegInput> InterestLegs = new();
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public List<LegInput> MarginLegs = new();
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}
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private class LegInput
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{
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public decimal InterestClosePnL; // 利息腿平仓盈亏（已含方向）
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}
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private class UnwindResult
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{
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public decimal MarkClosePnl;
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public decimal FloatPnlSum;
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public decimal SwapRealizedPnL;
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public decimal SwapCloseAmount;
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public decimal SwapMarginRebatePnl;
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public decimal TradingAmountFeeAvg;
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}
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// FrontendCalcReference 已搬迁到生产代码 YLErpDAL/Helpers/FrontendCalcReference.cs，
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// 生产代码(SwapDealService校验)与测试共用同一份公式实现，避免分叉。
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// ================================================================
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// 8 个测试场景（含用户可变输入分支）
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@@ -0,0 +1,185 @@
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using System;
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using System.Collections.Generic;
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namespace YLErp.Helpers
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{
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/// <summary>
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/// 前端互换计算公式的后端参考实现（忠实重写 unwindSwapTrade.js / incomeSwapTrade.js）。
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/// ============================================================================
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/// 用途：
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/// 1. 特征化测试的金标准（FrontendCalcCharacterizationTest）—— 冻结前端行为
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/// 2. 后端只读校验（SwapDealService.ValidateFrontendPnL）—— 重算盈亏与前端传值比对
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///
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/// 注：前端保持快速反馈（用户改输入立即算），本类不替代前端，仅作后端校验兜底。
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/// 命名规范（见《互换价格字段命名规范决策文档》）：
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/// PosiGrossPrice 现状名，实为"期初全价不含费"，规范名 EntryDirtyPrice
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/// TradingAmountAvg 现状名，实为"期末全价不含费"，规范名 ExitDirtyPrice
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/// ============================================================================
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/// </summary>
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public static class FrontendCalcReference
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{
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/// <summary>模拟 otcformat.trading.StockEqvNotional（金额类，2位小数）</summary>
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private static decimal StockEqvNotional(decimal v) => Math.Round(v, 2, MidpointRounding.AwayFromZero);
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/// <summary>
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/// 计算平仓页（unwind）的盯市盈亏与汇总。
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/// 对应 unwindSwapTrade.js:196-261（calcFloatClosePnl + calcCloseAmount）。
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/// </summary>
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public static UnwindResult CalcUnwind(UnwindInput input)
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{
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// 规范名映射：initPosiNetPrice(前端变量) = PosiGrossPrice = EntryDirtyPrice（期初全价不含费）
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decimal entryPrice = input.PosiGrossPrice;
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// scale = getPriceScale()：债券(multiplier=100)→0.01，非债券→1
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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// 方向因子：PayDirection(1=收取)→+1；PositionType(1=多头)→+1
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal longRatio = input.PositionType == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = round(CloseQty × (TradingAmountAvg × scale − EntryPrice) × floatRatio × longRatio × 10000)/10000
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decimal markClosePnl = Math.Round(
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input.CloseQty * (input.TradingAmountAvg * scale - entryPrice) * floatRatio * longRatio * 10000) / 10000;
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// toFixed(2) → StockEqvNotional
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markClosePnl = Math.Round(markClosePnl, 2, MidpointRounding.AwayFromZero);
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markClosePnl = StockEqvNotional(markClosePnl);
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// FloatPnlSum = (MarkClosePnl + TradingFee + TradingFeePending + DividendIn).toFixed(2)
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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// calcCloseAmount：SwapRealizedPnL/SwapCloseAmount = FloatPnlSum + Σ利息腿 + Σ预付金腿
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty==0 ? 0 : (TradingAmountAvg×scale + TradingFee/CloseQty × ratio)
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// 注：unwind 的 ratio = PositionType?1:-1（calcCloseAmount 内重新定义）
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decimal ratio = input.PositionType == 1 ? 1 : -1;
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decimal tradingAmountFeeAvg = input.CloseQty == 0 ? 0 :
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input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * ratio;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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/// <summary>
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/// 计算结息页（income）的盯市盈亏与汇总。
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/// 对应 incomeSwapTrade.js:128-178。
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/// 差异：用 CloseNotionalValue（非 CloseQty）作量纲，无 longRatio，无 Math.round/10000。
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/// </summary>
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public static UnwindResult CalcIncome(UnwindInput input)
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{
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// income 页 initPosiGrossPrice = PosiGrossPrice = EntryDirtyPrice
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decimal entryPrice = input.PosiGrossPrice;
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = CloseNotionalValue × (TradingAmountAvg × scale − EntryPrice) × floatRatio
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// （无 longRatio、无 Math.round/10000）
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decimal markClosePnl = input.CloseNotionalValue * (input.TradingAmountAvg * scale - entryPrice) * floatRatio;
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markClosePnl = StockEqvNotional(markClosePnl);
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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// income 页无 SwapMarginAmount 计算（恒为0）
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty>0 ? (TradingAmountAvg×scale + TradingFee/CloseQty × floatRatio) : TradingAmountAvg×scale
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// 注：income 用 floatRatio（PayDirection），与 unwind 的 ratio(PositionType) 不同
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decimal tradingAmountFeeAvg = input.CloseQty > 0
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? input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * floatRatio
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: input.TradingAmountAvg * scale;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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private static decimal ParseOrZero(string s) => string.IsNullOrEmpty(s) ? 0m : decimal.Parse(s);
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}
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/// <summary>前端计算输入模型（对应前端可见的原始字段）</summary>
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public class UnwindInput
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{
|
||||
public int Multiplier; // 债券=100，非债券=1
|
||||
public decimal PosiGrossPrice; // EntryDirtyPrice（期初全价不含费）
|
||||
public decimal TradingAmountAvg; // 用户可改的期末标的价格（界面×multiplier形态）
|
||||
public decimal CloseQty; // 平仓数量
|
||||
public decimal CloseNotionalValue;// 平仓名义本金（income 用）
|
||||
public int PayDirection; // 1=收取，-1=支付
|
||||
public int PositionType; // 1=多头，2=空头
|
||||
public string TradingFee; // 交易费用（前端是字符串）
|
||||
public string TradingFeePending; // 待结算费用
|
||||
public string DividendIn; // 分红
|
||||
public List<LegInput> InterestLegs = new();
|
||||
public List<LegInput> MarginLegs = new();
|
||||
}
|
||||
|
||||
/// <summary>利息腿/预付金腿输入</summary>
|
||||
public class LegInput
|
||||
{
|
||||
public decimal InterestClosePnL; // 利息腿平仓盈亏（已含方向）
|
||||
}
|
||||
|
||||
/// <summary>前端计算输出模型（前端算出的衍生字段）</summary>
|
||||
public class UnwindResult
|
||||
{
|
||||
public decimal MarkClosePnl;
|
||||
public decimal FloatPnlSum;
|
||||
public decimal SwapRealizedPnL;
|
||||
public decimal SwapCloseAmount;
|
||||
public decimal SwapMarginRebatePnl;
|
||||
public decimal TradingAmountFeeAvg;
|
||||
}
|
||||
}
|
||||
@@ -5,6 +5,7 @@ using System.Linq.Expressions;
|
||||
using YLErp.BLL;
|
||||
using YLErp.BLL.Eod;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Helpers;
|
||||
using YLErp.Modules.DataProviderModule;
|
||||
using YLErp.Modules.EodModule;
|
||||
using YLErp.Modules.TradeModule;
|
||||
@@ -15,6 +16,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
public class SwapDealService : SwapTradeBaseService
|
||||
{
|
||||
private static readonly IYcLogger Logger = LogFactory.GetLogger(nameof(SwapDealService));
|
||||
protected virtual bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
|
||||
{
|
||||
return EodPriceQueryService.TryGetPrice(valueDate, underlyingCode, out rate);
|
||||
@@ -125,6 +127,85 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
|
||||
}
|
||||
|
||||
#region 前端盈亏只读校验（不阻断交易）
|
||||
|
||||
/// <summary>
|
||||
/// 用 FrontendCalcReference 公式重算盈亏，与前端传来的 unwindData 比对，
|
||||
/// 差异 > 0.01 记 Error 日志。整体 try/catch 吞异常——校验自身错误绝不阻断交易。
|
||||
///
|
||||
/// 目的：前端保持快速反馈（用户改输入立即算），后端不替代前端，仅做合理性兜底，
|
||||
/// 为将来公式统一积累"前后端差异"数据。
|
||||
/// </summary>
|
||||
/// <param name="unwindData">前端算好传入的结算数据</param>
|
||||
/// <param name="isIncome">true=结息页(income公式)，false=平仓页(unwind公式)</param>
|
||||
private void ValidateFrontendPnL(UnwindData unwindData, bool isIncome)
|
||||
{
|
||||
try
|
||||
{
|
||||
// 取浮动腿（有 UnderlyingCode 的），与前端 initDeal 取法一致
|
||||
var floatLeg = unwindData.FlowEvents?.FirstOrDefault(x => !string.IsNullOrEmpty(x.UnderlyingCode));
|
||||
// PosiGrossPrice 是 [NotMapped]，前端可能没传；为空/0 时跳过（避免误报）
|
||||
if (floatLeg == null || floatLeg.PosiGrossPrice == 0)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
// 用 UnderlyingInstrumentType 推 Multiplier（债券=100，否则1）
|
||||
bool isBond = ConsGlobal.InstrumentType.IsBond(floatLeg.UnderlyingInstrumentType);
|
||||
int multiplier = isBond ? 100 : 1;
|
||||
|
||||
// 分类利息腿/预付金腿（InterestMode 初始预付金/追加预付金→Margin，否则→Interest）
|
||||
var input = new UnwindInput
|
||||
{
|
||||
Multiplier = multiplier,
|
||||
PosiGrossPrice = floatLeg.PosiGrossPrice, // EntryDirtyPrice
|
||||
TradingAmountAvg = floatLeg.TradingAmountAvg, // ExitDirtyPrice（界面×multiplier形态）
|
||||
CloseQty = unwindData.CloseQty,
|
||||
CloseNotionalValue = unwindData.CloseNotionalValue,
|
||||
PayDirection = floatLeg.PayDirection,
|
||||
PositionType = floatLeg.PositionType,
|
||||
TradingFee = floatLeg.TradingFee.ToString(),
|
||||
TradingFeePending = floatLeg.TradingFeePending.ToString(),
|
||||
DividendIn = floatLeg.DividendIn.ToString(),
|
||||
};
|
||||
foreach (var leg in unwindData.FlowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)))
|
||||
{
|
||||
var target = (leg.InterestMode == (int)InterestModeEnum.初始预付金
|
||||
|| leg.InterestMode == (int)InterestModeEnum.追加预付金)
|
||||
? input.MarginLegs : input.InterestLegs;
|
||||
target.Add(new LegInput { InterestClosePnL = leg.InterestClosePnL });
|
||||
}
|
||||
|
||||
var recalc = isIncome
|
||||
? FrontendCalcReference.CalcIncome(input)
|
||||
: FrontendCalcReference.CalcUnwind(input);
|
||||
|
||||
// 逐字段比对，差异 > 0.01 告警
|
||||
const decimal threshold = 0.01m;
|
||||
CheckDiff(nameof(recalc.SwapRealizedPnL), unwindData.SwapRealizedPnL, recalc.SwapRealizedPnL, threshold, unwindData.SwapTradeId, floatLeg);
|
||||
CheckDiff(nameof(recalc.SwapCloseAmount), unwindData.SwapCloseAmount, recalc.SwapCloseAmount, threshold, unwindData.SwapTradeId, floatLeg);
|
||||
CheckDiff("MarkClosePnl", floatLeg.MarkClosePnl, recalc.MarkClosePnl, threshold, unwindData.SwapTradeId, floatLeg);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
// 校验自身错误绝不阻断交易
|
||||
Logger.Error($"[互换盈亏校验异常] tradeId={unwindData.SwapTradeId} isIncome={isIncome}", ex);
|
||||
}
|
||||
}
|
||||
|
||||
private void CheckDiff(string field, decimal frontendVal, decimal backendVal, decimal threshold, int tradeId, swap_flow_event floatLeg)
|
||||
{
|
||||
decimal diff = frontendVal - backendVal;
|
||||
if (Math.Abs(diff) > threshold)
|
||||
{
|
||||
Logger.Error($"[互换盈亏校验分歧] tradeId={tradeId} field={field} frontend={frontendVal} backend={backendVal} diff={diff} " +
|
||||
$"floatLeg=[gross={floatLeg.PosiGrossPrice} avg={floatLeg.TradingAmountAvg} qty={floatLeg.Quantity} payDir={floatLeg.PayDirection} posType={floatLeg.PositionType}]");
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
/// <summary>
|
||||
/// 平仓初始化
|
||||
/// </summary>
|
||||
@@ -1093,6 +1174,7 @@ namespace YLErp.Modules.SwapModule
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
//CheckLastEod(unwindData.ValueDate, td.StartDate.Value, unwindData.SwapTradeId); //去掉平仓收盘限制
|
||||
ValidateFrontendPnL(unwindData, isIncome: false); // 只读校验告警，不阻断交易
|
||||
bool cofirm = false;
|
||||
ExecuteInTransaction(() =>
|
||||
{
|
||||
@@ -1568,6 +1650,7 @@ namespace YLErp.Modules.SwapModule
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
//CheckLastEod(unwindData.ValueDate, td.StartDate.Value, unwindData.SwapTradeId); //去掉平仓收盘限制
|
||||
ValidateFrontendPnL(unwindData, isIncome: true); // 只读校验告警，不阻断交易
|
||||
ExecuteInTransaction(() =>
|
||||
{
|
||||
int clientCashId = AddClientCash(td, Convert.ToDouble(-unwindData.SwapRealizedPnL), ClientCashInCashOut.系统操作_互换, unwindData.ValueDate);
|
||||
|
||||
Reference in New Issue
Block a user