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。
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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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