hjhan
75b033dd7b
连 96 测试库的诊断工具，用于定位'100%平仓 vs 部分平仓利息差异异常'。
对同一笔交易分别调 GetUnwindInterests(100%) 和 (40%)，逐腿打印本金/利息并对比，
输出比值以判断是否线性。复现并确认了 consumedInterest 未按 closePercent 缩放的根因
（已由 a0be0eb0 修复，本测试作回归诊断保留）。
模式同 GLMS20260701DbDiagnoseTest：TestCategory(DbDiagnose)，连不上库自动 Inconclusive。
283 lines
16 KiB
C#
283 lines
16 KiB
C#
using Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using YLErp.DBModels.Enums;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 线上事故诊断：GLMS-JIATT-20260805-FICC-01-2180120IB 100%平仓 vs 40%平仓 利息差异异常
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/// ============================================================================
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/// 现象：同一笔交易，100% 平仓与 40% 平仓算出的利息差异远大于线性比例。
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/// 怀疑点：8/5 创建的交易，撞上 8/6-8/7 对 SwapDealService 平仓利息计算的密集修复窗口，
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/// 尤其 3a435ad8(8/7 13:46) 把 ResolveInterestLegPositionsAsOf 分桶从 UnwindDate 改回
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/// EventDate、并删除 01d7f0c5 的 priorClosePositionIds 防护，可能引入回归。
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///
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/// 直连 96 测试库，对这笔交易：
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/// 1) 录真实数据快照（trade/position/eod/flow_event）
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/// 2) 分别调 GetUnwindInterests(closePercent=1.0) 和 (=0.4)，逐腿打印本金/利息
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/// 3) 对比两者是否成线性比例；定位差异落在哪条腿、哪个字段
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/// 4) 检查 EOD 快照的预付金 TdInterestPrincipal 是否用了初始本金（坐实 8/5 基数 bug）
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///
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/// 用法：本地连 96 库跑 Diagnose_100vs40_InterestDiff；连不上库自动 Inconclusive 跳过。
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/// </summary>
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[TestClass]
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public class GLMS20260805ClosePercentDiffDiagnoseTest
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{
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private const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
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#region 1) 录真实数据快照（手动跑，标 Ignore）
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[TestMethod]
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[Ignore]
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[TestCategory("DbDiagnose")]
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public void Record_RealSnapshot()
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{
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YLContext db;
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try { db = DbContextFactory.GetYLDbContext(); }
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catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
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var td = db.trade.FirstOrDefault(t => t.TradeNumber == TradeNumber);
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Assert.IsNotNull(td, $"测试库无交易 {TradeNumber}，请确认 96 库是否有该数据");
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var snapshot = new JObject
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{
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["TradeNumber"] = td.TradeNumber,
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["TradeId"] = td.id,
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["TradeDate"] = td.TradeDate,
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["StartDate"] = td.StartDate,
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["StockEqvNotional"] = td.StockEqvNotional,
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["OriginalStockEqvNotional"] = td.OriginalStockEqvNotional,
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["Notional"] = td.Notional,
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["OriginalNotional"] = td.OriginalNotional,
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["TradeStatus"] = td.TradeStatus,
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["HasPartialUnWind"] = td.HasPartialUnWind
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};
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// 持仓（含 IsInitial=初始 + !IsInitial=已平后剩余）
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var positions = db.swap_position
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.Where(p => p.SwapTradeId == td.id && !p.Invalid)
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.OrderBy(p => p.IsInitial).ThenBy(p => p.id)
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.ToList();
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snapshot["Positions"] = JArray.FromObject(positions, JsonSerializer.Create(new JsonSerializerSettings
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{
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ReferenceLoopHandling = ReferenceLoopHandling.Ignore,
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DateFormatHandling = DateFormatHandling.IsoDateFormat
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}));
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// EOD 预付金腿逐日（关键：看 TdInterestPrincipal 是否=初始本金）
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var eodPositions = db.eod_swap_position
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.Where(e => e.SwapTradeId == td.id && !e.Invalid)
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.OrderBy(e => e.ValueDate).ThenBy(e => e.PositionId)
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.ToList();
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snapshot["EodPositions"] = JArray.FromObject(eodPositions, JsonSerializer.Create(new JsonSerializerSettings
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{
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ReferenceLoopHandling = ReferenceLoopHandling.Ignore,
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DateFormatHandling = DateFormatHandling.IsoDateFormat
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}));
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// 所有 flow_event（看平仓事件序列、EventDate vs UnwindDate）
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var flows = db.swap_flow_event
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.Where(f => f.SwapTradeId == td.id)
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.OrderBy(f => f.EventDate).ThenBy(f => f.id)
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.ToList();
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snapshot["FlowEvents"] = JArray.FromObject(flows, JsonSerializer.Create(new JsonSerializerSettings
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{
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ReferenceLoopHandling = ReferenceLoopHandling.Ignore,
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DateFormatHandling = DateFormatHandling.IsoDateFormat
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}));
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var dir = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, "Resources", "DbDiagnose", "GLMS20260805");
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Directory.CreateDirectory(dir);
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var path = Path.Combine(dir, $"snapshot_{DateTime.Now:yyyyMMdd_HHmmss}.json");
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File.WriteAllText(path, JsonConvert.SerializeObject(snapshot, Formatting.Indented,
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new JsonSerializerSettings { DateFormatHandling = DateFormatHandling.IsoDateFormat }));
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Console.WriteLine($"✅ 快照已保存: {path}");
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}
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#endregion
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#region 2) 诊断：100% vs 40% 利息差异根因定位（连库跑）
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[TestMethod]
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[TestCategory("DbDiagnose")]
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public void Diagnose_100vs40_InterestDiff()
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{
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YLContext db;
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try { db = DbContextFactory.GetYLDbContext(); }
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catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
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var td = db.trade.FirstOrDefault(t => t.TradeNumber == TradeNumber);
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if (td == null) { Assert.Inconclusive($"测试库无 {TradeNumber}"); return; }
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Console.WriteLine($"===== 交易 {TradeNumber} (id={td.id}) =====");
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Console.WriteLine($" TradeDate={td.TradeDate:yyyy-MM-dd} StartDate={td.StartDate:yyyy-MM-dd}");
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Console.WriteLine($" StockEqvNotional(剩余)={td.StockEqvNotional} Original(期初)={td.OriginalStockEqvNotional}");
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string remainRatio = td.OriginalStockEqvNotional == 0 ? "N/A" : (td.StockEqvNotional / td.OriginalStockEqvNotional.Value).ToString("P2");
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Console.WriteLine($" 剩余比例={remainRatio}");
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Console.WriteLine($" HasPartialUnWind={td.HasPartialUnWind} TradeStatus={td.TradeStatus}");
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Console.WriteLine();
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// ---- A. 持仓全景 ----
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var allPositions = db.swap_position
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.Where(p => p.SwapTradeId == td.id && !p.Invalid)
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.OrderBy(p => p.IsInitial).ThenBy(p => p.id)
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.ToList();
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PrintPositions("持仓全景（orig=IsInitial初始 vs real=!IsInitial剩余）", allPositions);
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// ---- B. 历史平仓事件（确认是否之前平过仓、EventDate vs UnwindDate 是否一致）----
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PrintCloseFlowEvents(db, td.id);
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// ---- C. EOD 预付金腿逐日（看基数是否=初始本金 → 坐实 8/5 基数 bug）----
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PrintEodPrepaySequence(db, td.id);
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// ---- D. 核心对比：分别调 100% 和 40% ----
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Console.WriteLine("\n\n############ 核心：100% vs 40% GetUnwindInterests 对比 ############");
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var user = new OptUserInfo(0, nameof(GLMS20260805ClosePercentDiffDiagnoseTest), OptUserFrom.UnitTest);
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// 前端传"占期初(A)"语义，后端转"占剩余(B)"。这里模拟前端两种选择。
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decimal frontNotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0d); // 期初
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decimal frontPosiNotionalValue = Convert.ToDecimal(td.StockEqvNotional); // 剩余
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Console.WriteLine($"\n 前端参数：期初={frontNotionalValue} 剩余={frontPosiNotionalValue}");
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// 选 100%（占期初 A=1.0）
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decimal cp100_A = 1.0m;
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decimal cp100_B = SwapDealService.ToRemainingClosePercent(cp100_A, frontNotionalValue, frontPosiNotionalValue);
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Console.WriteLine($" [100%] 前端A={cp100_A} → 后端B={cp100_B}(占剩余)");
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// 选 40%（占期初 A=0.4）
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decimal cp40_A = 0.4m;
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decimal cp40_B = SwapDealService.ToRemainingClosePercent(cp40_A, frontNotionalValue, frontPosiNotionalValue);
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Console.WriteLine($" [40%] 前端A={cp40_A} → 后端B={cp40_B}(占剩余)");
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Console.WriteLine($" 注：若期初≠剩余，A=1.0→B 被 cap 到 1，A=0.4→B 是另一值，二者本就非线性。\n");
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// 计算日期用今天（实际前端选哪天可改）
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var valueDate = DateTime.Today;
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var unwindDate = DateTime.Today;
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var interests100 = new SwapDealService(user).GetUnwindInterests(valueDate, unwindDate, td.id, cp100_B, (int)SwapEventTypeEnum.平仓);
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var interests40 = new SwapDealService(user).GetUnwindInterests(valueDate, unwindDate, td.id, cp40_B, (int)SwapEventTypeEnum.平仓);
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PrintInterestComparison(interests100, interests40, cp100_B, cp40_B);
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}
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#endregion
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#region 打印辅助
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private static void PrintPositions(string title, List<swap_position> positions)
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{
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Console.WriteLine($"===== {title} =====");
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Console.WriteLine($" {"Id",-8}{"Mode",-6}{"IntDir",-7}{"PosiDir",-8}{"IsInit",-8}{"Fix",-18}{"PosiNotional",-18}{"PosiQty",-12}");
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foreach (var p in positions)
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{
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Console.WriteLine($" {p.id,-8}{p.InterestMode,-6}{p.InterestDirection,-7}{p.PosiDirection,-8}{p.IsInitial,-8}{p.InterestPrincipalFix,-18}{p.PosiNotionalValue,-18}{p.PosiQuantity,-12}");
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}
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}
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private static void PrintCloseFlowEvents(YLContext db, int tradeId)
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{
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Console.WriteLine($"\n===== 历史平仓/互换事件（EventDate vs UnwindDate）=====");
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var flows = db.swap_flow_event
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.Where(f => f.SwapTradeId == tradeId
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&& (f.EventType == (int)SwapEventTypeEnum.平仓
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|| f.EventType == (int)SwapEventTypeEnum.互换
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|| f.EventType == (int)SwapEventTypeEnum.自动互换)
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&& f.DataState == (int)SwapFlowDateStateEnum.完成)
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.OrderBy(f => f.EventDate).ThenBy(f => f.id)
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.ToList();
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if (flows.Count == 0) { Console.WriteLine(" （无历史平仓/互换事件 → 此前未平过仓）"); return; }
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Console.WriteLine($" {"EventDate",-12}{"UnwindDate",-12}{"一致?",-8}{"Type",-6}{"PosId",-8}{"Mode",-6}{"I.Principal",-16}{"I.Amount",-14}");
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foreach (var f in flows)
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{
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var sameDate = f.EventDate == f.UnwindDate;
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var typeStr = f.EventType == (int)SwapEventTypeEnum.平仓 ? "平仓" :
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f.EventType == (int)SwapEventTypeEnum.互换 ? "互换" : "自动";
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Console.WriteLine($" {f.EventDate:yyyy-MM-dd} {f.UnwindDate:yyyy-MM-dd} {(sameDate ? "是" : "否⚠"),-6}{typeStr,-6}{f.PositionId,-8}{f.InterestMode,-6}{f.InterestPrincipal,-16}{f.InterestAmount,-14}");
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}
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Console.WriteLine(" ⚠ EventDate≠UnwindDate 的历史事件：当前 3a435ad8 按 EventDate 分桶，可能与 UnwindDate 口径不一致");
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}
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private static void PrintEodPrepaySequence(YLContext db, int tradeId)
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{
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Console.WriteLine($"\n===== EOD 预付金腿逐日（看 TdInterestPrincipal 是否=初始本金）=====");
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var eodPrepay = db.eod_swap_position
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.Where(e => e.SwapTradeId == tradeId && !e.Invalid
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&& (e.InterestMode == (int)InterestModeEnum.初始预付金
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|| e.InterestMode == (int)InterestModeEnum.追加预付金))
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.OrderBy(e => e.ValueDate).ThenBy(e => e.PositionId)
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.ToList();
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if (eodPrepay.Count == 0) { Console.WriteLine(" （无预付金腿 EOD 记录）"); return; }
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Console.WriteLine($" {"ValueDate",-12}{"PosId",-8}{"Mode",-6}{"TdInterestPrincipal",-20}{"InterestProfitSum",-20}{"InterestIncomeSum",-20}");
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foreach (var e in eodPrepay)
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{
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Console.WriteLine($" {e.ValueDate:yyyy-MM-dd} {e.PositionId,-8}{e.InterestMode,-6}{e.TdInterestPrincipal,-20}{e.InterestProfitSum,-20}{e.InterestIncomeSum,-20}");
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}
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// 对比初始 vs 实时剩余 vs EOD
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var origPrepay = db.swap_position.Where(p => p.SwapTradeId == tradeId && !p.Invalid && p.IsInitial
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&& (p.InterestMode == (int)InterestModeEnum.初始预付金 || p.InterestMode == (int)InterestModeEnum.追加预付金)).ToList();
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var realPrepay = db.swap_position.Where(p => p.SwapTradeId == tradeId && !p.Invalid && !p.IsInitial
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&& (p.InterestMode == (int)InterestModeEnum.初始预付金 || p.InterestMode == (int)InterestModeEnum.追加预付金)).ToList();
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Console.WriteLine("\n ---- 预付金本金基数三方对比 ----");
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foreach (var orig in origPrepay)
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{
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var real = realPrepay.FirstOrDefault(r => r.PositionId == orig.id);
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var latestEod = eodPrepay.Where(e => e.PositionId == orig.id).OrderByDescending(e => e.ValueDate).FirstOrDefault();
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var realFix = real?.InterestPrincipalFix ?? 0;
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var eodTd = latestEod?.TdInterestPrincipal ?? 0;
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var eodMatchesOrig = Math.Abs((double)(eodTd - orig.InterestPrincipalFix)) < 0.01;
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var eodMatchesReal = Math.Abs((double)(eodTd - realFix)) < 0.01;
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Console.WriteLine($" PosId={orig.id} origFix(初始)={orig.InterestPrincipalFix} realFix(剩余)={realFix} EOD.TdInterestPrincipal(最新)={eodTd}");
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if (eodMatchesOrig && !eodMatchesReal && orig.InterestPrincipalFix != realFix)
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{
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Console.WriteLine($" ⚠⚠ EOD 基数=初始本金（≠剩余）→ 坐实：日终用了初始预付金本金而非实时剩余，后续利息计算基数错误！");
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}
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}
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}
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private static void PrintInterestComparison(List<swap_flow_event> interests100, List<swap_flow_event> interests40, decimal cp100_B, decimal cp40_B)
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{
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Console.WriteLine($"\n ---- GetUnwindInterests 返回（100% 共{interests100.Count}条 / 40% 共{interests40.Count}条）----");
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Console.WriteLine($" {"PosId",-8}{"Mode",-6}{"IntDir",-8}{"I.Principal(100)",-18}{"I.Principal(40)",-18}{"本金比",-10}{"I.Amount(100)",-16}{"I.Amount(40)",-16}{"利息比",-10}");
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decimal totalAmount100 = 0, totalAmount40 = 0;
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foreach (var i100 in interests100.OrderBy(x => x.PositionId))
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{
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var i40 = interests40.FirstOrDefault(x => x.PositionId == i100.PositionId && x.InterestMode == i100.InterestMode);
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var amt40 = i40?.InterestAmount ?? 0;
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var prin40 = i40?.InterestPrincipal ?? 0;
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totalAmount100 += i100.InterestAmount;
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totalAmount40 += amt40;
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string prinRatio = prin40 == 0 ? "-" : (i100.InterestPrincipal / prin40).ToString("F4");
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string amtRatio = amt40 == 0 ? "-" : (i100.InterestAmount / amt40).ToString("F4");
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Console.WriteLine($" {i100.PositionId,-8}{i100.InterestMode,-6}{i100.InterestDirection,-8}{i100.InterestPrincipal,-18}{prin40,-18}{prinRatio,-10}{i100.InterestAmount,-16}{amt40,-16}{amtRatio,-10}");
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}
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Console.WriteLine($"\n ===== 利息合计 =====");
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Console.WriteLine($" 100% 总利息 = {totalAmount100}");
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Console.WriteLine($" 40% 总利息 = {totalAmount40}");
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var ratioStr = totalAmount40 == 0 ? "N/A" : (totalAmount100 / totalAmount40).ToString("F4");
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Console.WriteLine($" 比值(100/40) = {ratioStr}");
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Console.WriteLine($" 若为线性关系，比值应≈{cp100_B / cp40_B:F4}（即 B_100 / B_40）");
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Console.WriteLine($" 若实际比值远偏离此值 → 存在非线性/bug，重点看上方哪条腿的[利息比]或[本金比]异常");
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Console.WriteLine($"\n ===== 诊断结论指引 =====");
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Console.WriteLine(" · 本金比≠B_100/B_40：ResolveInterestLegPositions 没用实时剩余本金（看 realFix vs origFix）");
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Console.WriteLine(" · 复利腿利息比异常：检查 consumedInterest 扣除（GetConsumedInterest 用 EventDate 过滤）");
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Console.WriteLine(" · 单利腿利息比异常：检查 preEodPosition.InterestProfitSum 基数（EOD 是否用了初始本金）");
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Console.WriteLine(" · 全部腿都偏：closePercent 双语义转换 + tdClose 导致计息区间坍缩");
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}
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#endregion
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}
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}
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