106 lines
4.7 KiB
JavaScript
106 lines
4.7 KiB
JavaScript
/**
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* historicalReconciliation.test.js — 历史对账 + 独立规格差分骨架（离线，无需数据库）
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* ============================================================================
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* 运行：cd YLErpWeb/fe-tests && npx jest historicalReconciliation.test.js
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*
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* 数据库边界（关键）：
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* - 本测试运行时【零数据库依赖】。历史数据来自 fixtures/historical_swap_events.json，
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* 该 fixture 可离线提交进仓库。
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* - 唯一的数据库触碰是 tools/exportHistoricalSwapEvents.js —— 开发期一次性导出脚本，
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* 把真实 swap_event.data 灌进上面的 fixture。它不属于 npm test 路径，CI 不执行。
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*
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* 设计要点：
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* - referenceOracle：基于 unwindSwapTrade.js:329 的 calcCloseAmount 核心【独立重写】的纯函数
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* （"规格"），不信任任何既有实现。用于校验"当前公式产出" == "落库/记录值"。
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* - 对已知差异字段（如 swapLongShort.js 的 SwapMarginAmount 无符号）通过
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* record.knownDiscrepancies 冻结现状：仅当"差异量"变化时才报红，既不掩盖也不误报。
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* - 这是特征测试(characterization)：先把现状冻住，未来任何重构只要改变了产出，
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* 测试立即变红，逼你查根因（绝不自动 re-baseline）。
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*/
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const fs = require('fs');
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const path = require('path');
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const round2 = v => Math.round((Number(v) || 0) * 100) / 100;
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// 独立规格：等价于 unwindSwapTrade.js:329-367 的 calcCloseAmount 金额聚合核心。
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// 注意：这里只看 SwapCloseAmount / SwapRealizedPnL / SwapMarginRebatePnl / SwapMarginAmount
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// 四个金额字段；TradingAmount / FeeAvg 等展示字段不在对账范围内（且 swapCalc 也未实现）。
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function referenceOracle({ floatPosition, interestList, marginList }) {
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const fp = floatPosition || {};
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const interestLegs = interestList || [];
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const marginLegs = marginList || [];
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let closeAmount = round2(fp.FloatPnlSum || 0);
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let realizedPnL = closeAmount;
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let marginRebatePnl = 0;
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let marginAmount = 0;
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interestLegs.forEach(x => {
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const amt = round2(x.InterestClosePnL || 0);
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closeAmount = round2(closeAmount + amt);
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realizedPnL = round2(realizedPnL + amt);
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});
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marginLegs.forEach(x => {
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const amt = round2(x.InterestClosePnL || 0);
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// 与 unwindSwapTrade.js:355 同口径：InterestDirection==1 ? -1 : 1
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const interestRatio = x.InterestDirection == 1 ? -1 : 1;
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closeAmount = round2(closeAmount + amt);
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marginRebatePnl = round2(marginRebatePnl + amt);
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realizedPnL = round2(realizedPnL + amt);
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marginAmount = round2(marginAmount + (Number(x.InterestPrincipal) || 0) * interestRatio);
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});
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return {
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SwapCloseAmount: closeAmount,
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SwapRealizedPnL: realizedPnL,
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SwapMarginRebatePnl: marginRebatePnl,
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SwapMarginAmount: marginAmount,
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};
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}
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const TOL = 1e-6;
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function expectClose(actual, expected, msg) {
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expect(Math.abs(actual - expected)).toBeLessThanOrEqual(TOL, msg || '');
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}
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const fixturePath = path.join(__dirname, 'fixtures', 'historical_swap_events.json');
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const fixture = JSON.parse(fs.readFileSync(fixturePath, 'utf8'));
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const RECON_FIELDS = ['SwapCloseAmount', 'SwapRealizedPnL', 'SwapMarginRebatePnl', 'SwapMarginAmount'];
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describe('历史对账：当前公式产出 == 落库/记录值（离线，无 DB）', () => {
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fixture.records.forEach(rec => {
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test(`[${rec.id}] ${rec.desc}`, () => {
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const got = referenceOracle(rec);
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const exp = rec.expected || {};
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const tolerated = rec.knownDiscrepancies || {};
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RECON_FIELDS.forEach(field => {
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if (!(field in exp)) return; // 记录未提供该字段则跳过
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const actual = got[field];
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const recorded = exp[field];
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if (tolerated[field] != null) {
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// 冻结已知差异：仅当"差异量"本身变化时才报红（行为漂移告警）
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const deltaNow = Math.abs(actual - recorded);
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expectClose(deltaNow, tolerated[field],
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`${field} 已知差异量应稳定为 ${tolerated[field]}（当前 ${deltaNow}）`);
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} else {
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expectClose(actual, recorded, `${field} 应等于落库值`);
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}
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});
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});
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});
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});
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// 该 describe 仅做"骨架自洽性"校验：确保 fixture 里的手搓样本与独立规格自洽，
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// 否则说明 fixture 写错（不是生产 bug）。真实历史差异由上面对账 + 导出脚本覆盖。
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describe('骨架自洽：fixture 样本与独立规格一致（非生产断言）', () => {
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test('UNWIND_STD 全部字段自洽', () => {
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const rec = fixture.records.find(r => r.id === 'UNWIND_STD');
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const got = referenceOracle(rec);
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expectClose(got.SwapCloseAmount, 51500);
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expectClose(got.SwapMarginAmount, -50000);
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});
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});
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