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
@@ -5,6 +5,7 @@ using System.Linq.Expressions;
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using YLErp.BLL;
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using YLErp.BLL.Eod;
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using YLErp.DBModels.Enums;
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using YLErp.Helpers;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.EodModule;
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using YLErp.Modules.TradeModule;
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@@ -15,6 +16,7 @@ namespace YLErp.Modules.SwapModule
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{
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public class SwapDealService : SwapTradeBaseService
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{
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private static readonly IYcLogger Logger = LogFactory.GetLogger(nameof(SwapDealService));
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protected virtual bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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return EodPriceQueryService.TryGetPrice(valueDate, underlyingCode, out rate);
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@@ -125,6 +127,85 @@ namespace YLErp.Modules.SwapModule
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{
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}
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#region 前端盈亏只读校验（不阻断交易）
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/// <summary>
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/// 用 FrontendCalcReference 公式重算盈亏，与前端传来的 unwindData 比对，
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/// 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。
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///
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/// 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，
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/// 为将来公式统一积累"前后端差异"数据。
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/// </summary>
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/// <param name="unwindData">前端算好传入的结算数据</param>
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/// <param name="isIncome">true=结息页(income公式)，false=平仓页(unwind公式)</param>
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private void ValidateFrontendPnL(UnwindData unwindData, bool isIncome)
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{
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try
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{
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// 取浮动腿（有 UnderlyingCode 的），与前端 initDeal 取法一致
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var floatLeg = unwindData.FlowEvents?.FirstOrDefault(x => !string.IsNullOrEmpty(x.UnderlyingCode));
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// PosiGrossPrice 是 [NotMapped]，前端可能没传；为空/0 时跳过（避免误报）
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if (floatLeg == null || floatLeg.PosiGrossPrice == 0)
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{
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return;
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}
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// 用 UnderlyingInstrumentType 推 Multiplier（债券=100，否则1）
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bool isBond = ConsGlobal.InstrumentType.IsBond(floatLeg.UnderlyingInstrumentType);
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int multiplier = isBond ? 100 : 1;
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// 分类利息腿/预付金腿（InterestMode 初始预付金/追加预付金→Margin，否则→Interest）
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var input = new UnwindInput
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{
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Multiplier = multiplier,
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PosiGrossPrice = floatLeg.PosiGrossPrice, // EntryDirtyPrice
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TradingAmountAvg = floatLeg.TradingAmountAvg, // ExitDirtyPrice（界面×multiplier形态）
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CloseQty = unwindData.CloseQty,
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CloseNotionalValue = unwindData.CloseNotionalValue,
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PayDirection = floatLeg.PayDirection,
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PositionType = floatLeg.PositionType,
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TradingFee = floatLeg.TradingFee.ToString(),
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TradingFeePending = floatLeg.TradingFeePending.ToString(),
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DividendIn = floatLeg.DividendIn.ToString(),
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};
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foreach (var leg in unwindData.FlowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)))
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{
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var target = (leg.InterestMode == (int)InterestModeEnum.初始预付金
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|| leg.InterestMode == (int)InterestModeEnum.追加预付金)
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? input.MarginLegs : input.InterestLegs;
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target.Add(new LegInput { InterestClosePnL = leg.InterestClosePnL });
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}
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var recalc = isIncome
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? FrontendCalcReference.CalcIncome(input)
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: FrontendCalcReference.CalcUnwind(input);
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// 逐字段比对，差异 > 0.01 告警
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const decimal threshold = 0.01m;
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CheckDiff(nameof(recalc.SwapRealizedPnL), unwindData.SwapRealizedPnL, recalc.SwapRealizedPnL, threshold, unwindData.SwapTradeId, floatLeg);
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CheckDiff(nameof(recalc.SwapCloseAmount), unwindData.SwapCloseAmount, recalc.SwapCloseAmount, threshold, unwindData.SwapTradeId, floatLeg);
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CheckDiff("MarkClosePnl", floatLeg.MarkClosePnl, recalc.MarkClosePnl, threshold, unwindData.SwapTradeId, floatLeg);
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}
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catch (Exception ex)
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{
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// 校验自身错误绝不阻断交易
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Logger.Error($"[互换盈亏校验异常] tradeId={unwindData.SwapTradeId} isIncome={isIncome}", ex);
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}
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}
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private void CheckDiff(string field, decimal frontendVal, decimal backendVal, decimal threshold, int tradeId, swap_flow_event floatLeg)
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{
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decimal diff = frontendVal - backendVal;
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if (Math.Abs(diff) > threshold)
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{
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Logger.Error($"[互换盈亏校验分歧] tradeId={tradeId} field={field} frontend={frontendVal} backend={backendVal} diff={diff} " +
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$"floatLeg=[gross={floatLeg.PosiGrossPrice} avg={floatLeg.TradingAmountAvg} qty={floatLeg.Quantity} payDir={floatLeg.PayDirection} posType={floatLeg.PositionType}]");
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}
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}
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#endregion
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/// <summary>
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/// 平仓初始化
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/// </summary>
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@@ -1093,6 +1174,7 @@ namespace YLErp.Modules.SwapModule
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throw new ServiceException("未找到交易信息");
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}
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//CheckLastEod(unwindData.ValueDate, td.StartDate.Value, unwindData.SwapTradeId); //去掉平仓收盘限制
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ValidateFrontendPnL(unwindData, isIncome: false); // 只读校验告警，不阻断交易
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bool cofirm = false;
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ExecuteInTransaction(() =>
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{
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@@ -1568,6 +1650,7 @@ namespace YLErp.Modules.SwapModule
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throw new ServiceException("未找到交易信息");
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}
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//CheckLastEod(unwindData.ValueDate, td.StartDate.Value, unwindData.SwapTradeId); //去掉平仓收盘限制
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ValidateFrontendPnL(unwindData, isIncome: true); // 只读校验告警，不阻断交易
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ExecuteInTransaction(() =>
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{
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int clientCashId = AddClientCash(td, Convert.ToDouble(-unwindData.SwapRealizedPnL), ClientCashInCashOut.系统操作_互换, unwindData.ValueDate);
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