docs(swap): 排查SQL新增第2.5步-分红重复计算完整证明
4段查询还原证据链(含事件/价格/费用/付息明细)： 段1事件拆解 MarkClosePnl=价差+费+分红；段2 EOD逐日盯市vs分红列； 段3累计对照；段4一句话结论。已连库实测：1875重复302400、1891重复-18.66。 修正段1列名: PosiNetPrice/PosiGrossPrice 在swap_flow_event是[NotMapped] 不入库，改用 TradingAmountNetAvg/TradingAmountNetFeeAvg。
This commit is contained in:
hjhan
@@ -1,3 +1,21 @@
|
||||
|
||||
SELECT sfe.SwapTradeId,
|
||||
MAX(sfe.SwapTradeNo) AS SwapTradeNo,
|
||||
SUM(sfe.DividendIn) AS 分红合计,
|
||||
SUM(sfe.MarkClosePnl) AS 盯市合计,
|
||||
-- 关键：必须有 eod 归档才算"走完EOD的有效样本"
|
||||
(SELECT COUNT(*) FROM eod_swap_position esp
|
||||
WHERE esp.SwapTradeId = sfe.SwapTradeId) AS eod持仓快照数,
|
||||
(SELECT COUNT(*) FROM eod_swap es
|
||||
WHERE es.SwapTradeId = sfe.SwapTradeId) AS eod汇总数
|
||||
FROM swap_flow_event sfe
|
||||
WHERE sfe.EventType IN (3,4) AND sfe.DividendIn <> 0 AND sfe.DataState = 100
|
||||
GROUP BY sfe.SwapTradeId
|
||||
HAVING eod持仓快照数 > 0 AND eod汇总数 > 0 -- ← 这道过滤保证种子完整
|
||||
ORDER BY ABS(SUM(sfe.DividendIn)) DESC, MAX(sfe.SwapTradeNo) DESC;
|
||||
|
||||
|
||||
|
||||
-- ============================================================================
|
||||
-- 互换分红损益：数据导出与重复计算验证 SQL 工具箱
|
||||
-- ----------------------------------------------------------------------------
|
||||
@@ -235,6 +253,120 @@ WHERE sfe.SwapTradeId = @TargetTradeId
|
||||
ORDER BY sfe.EventDate;
|
||||
|
||||
|
||||
-- ============================================================================
|
||||
-- 第 2.5 步：分红被计算两次的完整证明（含事件/价格/费用/付息明细）
|
||||
-- ============================================================================
|
||||
-- 本节用 4 个查询把"分红重复计算"的证据链完整还原：
|
||||
-- 段1事件明细：每条平仓/互换事件，把 MarkClosePnl 拆成 价差+费+分红 三成分。
|
||||
-- 若"价差"残差~0 且 DividendIn<>0，证明 MarkClosePnl 里装的就是分红。
|
||||
-- 段2 EOD逐日：盯市列(TdCloseMtmPnl) 与 分红列(TdCloseDividend) 同日出现等额分红。
|
||||
-- 段3 累计对照：盯市列累计 RealizedMtmPnL 含了分红成分，分红列累计 RealizedDividend 又含一份。
|
||||
-- 段4 一句话结论：重复金额 = 盯市列里的分红成分（按 PositionId 汇总避免双向腿抵消）。
|
||||
--
|
||||
-- 已用 golden 数据(1875纯分红型重复302400、1891混合型重复-18.66)校验本 SQL 结果正确。
|
||||
|
||||
SET @TargetTradeId := 1875; -- 替换为实际样本（1875=纯分红型 / 1891=混合型）
|
||||
|
||||
-- 段1 事件明细拆解：MarkClosePnl = 价差 + 费(CloseFee) + 分红(DividendIn)
|
||||
-- 价差残差 = MarkClosePnl - DividendIn - CloseFee
|
||||
-- 纯分红型：价差残差~0（MarkClosePnl 全是分红）
|
||||
-- 混合型 ：价差残差<>0（MarkClosePnl 含真实价差 + 少量分红）
|
||||
SELECT sfe.id,
|
||||
sfe.EventDate,
|
||||
CASE sfe.EventType WHEN 1 THEN '开仓' WHEN 2 THEN '平仓'
|
||||
WHEN 3 THEN '互换' WHEN 4 THEN '自动互换' END AS 事件类型,
|
||||
sfe.PositionId,
|
||||
sfe.UnderlyingCode,
|
||||
sfe.Quantity,
|
||||
sfe.TradingAmountAvg AS 成交均价不含费,
|
||||
sfe.TradingAmountFeeAvg AS 含费均价,
|
||||
sfe.TradingAmountNetAvg AS 成交净价不含费,
|
||||
sfe.TradingAmountNetFeeAvg AS 成交净价含费,
|
||||
sfe.TradingAmount AS 成交金额,
|
||||
sfe.TradingFee AS 交易佣金,
|
||||
sfe.TradingFeePending AS 待结算后付费用,
|
||||
sfe.CloseFee AS 平仓费用_费成分,
|
||||
sfe.DividendPending AS 待结算分红,
|
||||
sfe.DividendIn AS 分红流入_分红成分,
|
||||
sfe.MarkClosePnl AS 盯市盈亏_总额,
|
||||
(sfe.MarkClosePnl - sfe.DividendIn - sfe.CloseFee) AS 价差残差,
|
||||
CASE WHEN sfe.EventType IN (2,3,4)
|
||||
AND ABS(sfe.MarkClosePnl - sfe.DividendIn - sfe.CloseFee) < 0.01
|
||||
AND sfe.DividendIn <> 0
|
||||
THEN '根因:价差~0->MarkClosePnl全是分红'
|
||||
WHEN sfe.EventType IN (2,3,4) AND sfe.DividendIn <> 0
|
||||
THEN '混合:价差+分红(分红成分进盯市列)'
|
||||
ELSE '' END AS 事件诊断
|
||||
FROM swap_flow_event sfe
|
||||
WHERE sfe.SwapTradeId = @TargetTradeId
|
||||
AND sfe.DataState = 100
|
||||
AND sfe.EventType IN (2,3,4)
|
||||
ORDER BY sfe.PositionId, sfe.EventDate, sfe.EventType;
|
||||
|
||||
-- 段2 EOD逐日：盯市列 vs 分红列（同日同腿，分红同时出现在两列）
|
||||
SELECT esp.ValueDate,
|
||||
esp.PositionId,
|
||||
esp.TdCloseQty,
|
||||
esp.UnderlyingPrice AS 当日盯市价,
|
||||
esp.PosiGrossPrice AS 期初成本价,
|
||||
esp.TdCloseMtmPnl AS 当日盯市列,
|
||||
esp.RealizedMtmPnL AS 累计盯市列,
|
||||
esp.TdCloseDividend AS 当日分红列,
|
||||
esp.RealizedDividend AS 累计分红列,
|
||||
esp.TdCloseFee AS 当日费用列,
|
||||
esp.TdCloseInterest AS 当日利息列,
|
||||
esp.RealizedPnl AS 持仓层累计已实现,
|
||||
CASE WHEN esp.TdCloseMtmPnl <> 0 AND esp.TdCloseDividend <> 0
|
||||
THEN CONCAT('分红', esp.TdCloseDividend, '同时进盯市列和分红列')
|
||||
ELSE '' END AS 当日诊断
|
||||
FROM eod_swap_position esp
|
||||
WHERE esp.SwapTradeId = @TargetTradeId
|
||||
AND (esp.TdCloseMtmPnl <> 0 OR esp.TdCloseDividend <> 0)
|
||||
ORDER BY esp.PositionId, esp.ValueDate;
|
||||
|
||||
-- 段3 累计对照：按 PositionId 取最终累计，算出盯市列里的分红成分
|
||||
-- 盯市列里的分红成分 = 该腿所有平仓/互换事件的 DividendIn 之和
|
||||
SELECT fin.PositionId,
|
||||
fin.RealizedMtmPnL AS 最终累计盯市列,
|
||||
fin.RealizedDividend AS 最终累计分红列,
|
||||
fin.RealizedFee AS 最终累计费用列,
|
||||
fin.RealizedInterest AS 最终累计利息列,
|
||||
fin.RealizedPnl AS 最终持仓层已实现,
|
||||
dv.盯市列分红成分,
|
||||
(fin.RealizedMtmPnL - dv.盯市列分红成分 - fin.RealizedFee) AS 盯市列纯价差成分
|
||||
FROM (SELECT PositionId, RealizedMtmPnL, RealizedDividend, RealizedFee, RealizedInterest, RealizedPnl
|
||||
FROM eod_swap_position esp
|
||||
WHERE esp.SwapTradeId = @TargetTradeId
|
||||
AND esp.id IN (SELECT MAX(id) FROM eod_swap_position
|
||||
WHERE SwapTradeId = @TargetTradeId GROUP BY PositionId)
|
||||
) fin
|
||||
LEFT JOIN (SELECT PositionId, SUM(DividendIn) AS 盯市列分红成分
|
||||
FROM swap_flow_event
|
||||
WHERE SwapTradeId = @TargetTradeId AND DataState = 100 AND EventType IN (2,3,4)
|
||||
GROUP BY PositionId) dv ON dv.PositionId = fin.PositionId
|
||||
ORDER BY fin.PositionId;
|
||||
|
||||
-- 段4 一句话结论：重复金额合计 = 盯市列里的分红成分之和
|
||||
SELECT @TargetTradeId AS SwapTradeId,
|
||||
SUM(盯市列分红成分) AS 重复计入分红金额,
|
||||
(SELECT SUM(RealizedPnl) FROM eod_swap_position
|
||||
WHERE SwapTradeId = @TargetTradeId
|
||||
AND id IN (SELECT MAX(id) FROM eod_swap_position
|
||||
WHERE SwapTradeId = @TargetTradeId GROUP BY PositionId)) AS 当前RealizedPnl合计,
|
||||
CASE WHEN ABS(SUM(盯市列分红成分)) > 0.01
|
||||
THEN CONCAT('坐实重复计算: 分红 ', SUM(盯市列分红成分),
|
||||
' 既在 RealizedMtmPnL(盯市列) 又在 RealizedDividend(分红列)',
|
||||
', 修复后 RealizedPnl 应减少 ', SUM(盯市列分红成分))
|
||||
ELSE '未检测到重复(可能已修复或无分红平仓/互换事件)' END AS 结论
|
||||
FROM (SELECT PositionId, SUM(DividendIn) AS 盯市列分红成分
|
||||
FROM swap_flow_event
|
||||
WHERE SwapTradeId = @TargetTradeId AND DataState = 100 AND EventType IN (2,3,4)
|
||||
GROUP BY PositionId) t;
|
||||
-- 预期结果：
|
||||
-- 1875(纯分红型) -> 重复计入 302400.00（MarkClosePnl 全是分红，价差=0）
|
||||
-- 1891(混合型) -> 重复计入 -18.66 （MarkClosePnl 含价差395604 + 分红-18.66）
|
||||
|
||||
|
||||
-- ============================================================================
|
||||
-- 第 3 步：生命周期守恒校验（累计已实现分红 vs 理论应付分红）
|
||||
-- ============================================================================
|
||||
|
||||
Reference in New Issue
Block a user