05ca501f40
后端实现：
- 新增PortfolioNavHistory实体，记录每日净值、成本、收益率
- 实现IPortfolioNavService接口，支持净值计算和历史回填
- 支持基于交易记录完整计算历史净值（买入卖出都会更新）
- 计算统计指标：最大回撤、夏普比率、波动率
新增API：
- GET /api/v1/portfolio/{id}/nav-history - 获取净值曲线
- POST /api/v1/portfolio/{id}/nav-history/backfill - 回填历史净值
- POST /api/v1/portfolio/{id}/nav-history/calculate - 计算当日净值
数据库：
- 新增portfolio_nav_history表迁移脚本
- 支持组合级别的净值历史记录
524 lines
19 KiB
C#
524 lines
19 KiB
C#
using AssetManager.Data;
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using AssetManager.Models.DTOs;
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using AssetManager.Infrastructure.Services;
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using SqlSugar;
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using Microsoft.Extensions.Logging;
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namespace AssetManager.Services;
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/// <summary>
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/// 组合净值历史服务实现
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/// </summary>
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public class PortfolioNavService : IPortfolioNavService
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{
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private readonly ISqlSugarClient _db;
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private readonly IMarketDataService _marketDataService;
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private readonly IExchangeRateService _exchangeRateService;
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private readonly ILogger<PortfolioNavService> _logger;
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public PortfolioNavService(
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ISqlSugarClient db,
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IMarketDataService marketDataService,
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IExchangeRateService exchangeRateService,
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ILogger<PortfolioNavService> logger)
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{
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_db = db;
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_marketDataService = marketDataService;
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_exchangeRateService = exchangeRateService;
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_logger = logger;
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}
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public async Task<NavHistoryResponse> GetNavHistoryAsync(string portfolioId, string userId, NavHistoryRequest request)
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{
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// 验证权限
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var portfolio = await _db.Queryable<Portfolio>()
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.Where(p => p.Id == portfolioId && p.UserId == userId)
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.FirstAsync();
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if (portfolio == null)
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{
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throw new Exception("Portfolio not found or access denied");
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}
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// 设置默认日期范围（最近30天）
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var endDate = request.endDate ?? DateTime.Today;
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var startDate = request.startDate ?? endDate.AddDays(-30);
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// 查询净值历史
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var navHistory = await _db.Queryable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId)
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.Where(n => n.NavDate >= startDate && n.NavDate <= endDate)
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.OrderBy(n => n.NavDate)
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.ToListAsync();
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// 如果没有历史数据
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if (!navHistory.Any())
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{
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return new NavHistoryResponse
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{
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portfolioId = portfolioId,
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currency = portfolio.Currency,
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navHistory = new List<NavItem>(),
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statistics = new NavStatistics()
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};
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}
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// 计算统计指标
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var returns = navHistory.Select(n => (double)n.DailyReturn).Where(r => r != 0).ToList();
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var statistics = CalculateStatistics(returns, navHistory);
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return new NavHistoryResponse
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{
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portfolioId = portfolioId,
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currency = portfolio.Currency,
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navHistory = navHistory.Select(n => new NavItem
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{
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date = n.NavDate.ToString("yyyy-MM-dd"),
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nav = (double)n.Nav,
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totalValue = (double)n.TotalValue,
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totalCost = (double)n.TotalCost,
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dailyReturn = (double)n.DailyReturn,
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cumulativeReturn = (double)n.CumulativeReturn
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}).ToList(),
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statistics = statistics
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};
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}
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public async Task<bool> CalculateAndSaveDailyNavAsync(string portfolioId)
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{
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var portfolio = await _db.Queryable<Portfolio>()
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.Where(p => p.Id == portfolioId)
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.FirstAsync();
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if (portfolio == null) return false;
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var today = DateTime.Today;
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// 检查是否已存在当日净值
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var existingNav = await _db.Queryable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId && n.NavDate == today)
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.FirstAsync();
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if (existingNav != null)
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{
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_logger.LogInformation("组合 {PortfolioId} 当日净值已存在，跳过计算", portfolioId);
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return true;
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}
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// 获取持仓
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var positions = await _db.Queryable<Position>()
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.Where(pos => pos.PortfolioId == portfolioId)
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.ToListAsync();
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if (!positions.Any())
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{
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_logger.LogInformation("组合 {PortfolioId} 无持仓，跳过净值计算", portfolioId);
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return false;
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}
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string targetCurrency = portfolio.Currency ?? "CNY";
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decimal totalValue = 0;
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// 计算总市值
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foreach (var pos in positions)
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{
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if (pos.StockCode == null || pos.Currency == null) continue;
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decimal currentPrice = pos.AvgPrice;
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try
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{
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var priceResponse = await _marketDataService.GetPriceAsync(pos.StockCode, pos.AssetType ?? "Stock");
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if (priceResponse.Price > 0)
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{
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currentPrice = priceResponse.Price;
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}
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}
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catch (Exception ex)
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{
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_logger.LogWarning(ex, "获取 {StockCode} 价格失败，使用成本价", pos.StockCode);
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}
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decimal positionValue = pos.Shares * currentPrice;
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decimal positionValueInTarget = await _exchangeRateService.ConvertAmountAsync(
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positionValue, pos.Currency, targetCurrency);
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totalValue += positionValueInTarget;
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}
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// 获取昨日净值
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var yesterdayNav = await _db.Queryable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId && n.NavDate < today)
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.OrderByDescending(n => n.NavDate)
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.FirstAsync();
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// 计算累计投入成本（从交易记录汇总）
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var transactions = await _db.Queryable<Transaction>()
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.Where(t => t.PortfolioId == portfolioId && t.TransactionTime.Date <= today)
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.ToListAsync();
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decimal totalCost = 0;
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foreach (var tx in transactions)
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{
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if (tx.Type == "buy")
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{
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decimal txAmount = tx.TotalAmount;
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decimal txAmountInTarget = await _exchangeRateService.ConvertAmountAsync(
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txAmount, tx.Currency, targetCurrency);
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totalCost += txAmountInTarget;
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}
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else if (tx.Type == "sell")
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{
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decimal txAmount = tx.TotalAmount;
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decimal txAmountInTarget = await _exchangeRateService.ConvertAmountAsync(
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txAmount, tx.Currency, targetCurrency);
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totalCost -= txAmountInTarget;
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}
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}
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// 计算净值
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decimal nav = totalCost > 0 ? totalValue / totalCost : 1.0m;
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decimal dailyReturn = 0;
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decimal cumulativeReturn = totalCost > 0 ? (totalValue - totalCost) / totalCost * 100 : 0;
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if (yesterdayNav != null && yesterdayNav.TotalValue > 0)
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{
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dailyReturn = (totalValue - yesterdayNav.TotalValue) / yesterdayNav.TotalValue * 100;
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}
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// 保存净值记录
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var navRecord = new PortfolioNavHistory
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{
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Id = "nav-" + Guid.NewGuid().ToString().Substring(0, 8),
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PortfolioId = portfolioId,
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NavDate = today,
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TotalValue = totalValue,
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TotalCost = totalCost,
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Nav = nav,
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DailyReturn = dailyReturn,
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CumulativeReturn = cumulativeReturn,
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Currency = targetCurrency,
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PositionCount = positions.Count,
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Source = "calculated",
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CreatedAt = DateTime.Now
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};
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await _db.Insertable(navRecord).ExecuteCommandAsync();
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_logger.LogInformation("组合 {PortfolioId} 净值计算完成: NAV={Nav}, 日收益={DailyReturn}%",
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portfolioId, nav, dailyReturn);
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return true;
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}
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public async Task<int> CalculateAllPortfoliosDailyNavAsync()
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{
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var portfolios = await _db.Queryable<Portfolio>()
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.Where(p => p.Status == "运行中")
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.ToListAsync();
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int successCount = 0;
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foreach (var portfolio in portfolios)
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{
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try
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{
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var result = await CalculateAndSaveDailyNavAsync(portfolio.Id);
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if (result) successCount++;
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}
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catch (Exception ex)
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{
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_logger.LogError(ex, "组合 {PortfolioId} 净值计算失败", portfolio.Id);
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}
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}
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_logger.LogInformation("批量净值计算完成: 成功 {Success}/{Total}", successCount, portfolios.Count);
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return successCount;
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}
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public async Task<BackfillNavResponse> BackfillNavHistoryAsync(string portfolioId, string userId, bool force = false)
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{
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// 验证权限
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var portfolio = await _db.Queryable<Portfolio>()
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.Where(p => p.Id == portfolioId && p.UserId == userId)
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.FirstAsync();
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if (portfolio == null)
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{
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throw new Exception("Portfolio not found or access denied");
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}
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// 获取所有交易记录，按时间排序
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var transactions = await _db.Queryable<Transaction>()
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.Where(t => t.PortfolioId == portfolioId)
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.OrderBy(t => t.TransactionTime)
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.ToListAsync();
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if (!transactions.Any())
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{
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return new BackfillNavResponse
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{
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portfolioId = portfolioId,
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recordsCreated = 0,
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message = "无交易记录，无法计算净值历史"
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};
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}
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// 确定起始日期（最早交易日期）
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var startDate = transactions.Min(t => t.TransactionTime).Date;
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var endDate = DateTime.Today;
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string targetCurrency = portfolio.Currency ?? "CNY";
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_logger.LogInformation("开始回填净值历史: {PortfolioId}, 日期范围: {StartDate} ~ {EndDate}",
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portfolioId, startDate, endDate);
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// 如果强制重新计算，先删除所有历史记录
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if (force)
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{
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await _db.Deleteable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId)
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.ExecuteCommandAsync();
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}
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// 持仓快照：股票代码 -> (数量, 成本)
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var holdings = new Dictionary<string, (decimal shares, decimal cost, string? currency, string? assetType)>();
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// 累计投入成本
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decimal cumulativeCost = 0;
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// 记录创建数量
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int recordsCreated = 0;
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// 遍历每个交易日
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for (var date = startDate; date <= endDate; date = date.AddDays(1))
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{
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// 跳过周末（可选，美股周末无交易）
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// if (date.DayOfWeek == DayOfWeek.Saturday || date.DayOfWeek == DayOfWeek.Sunday)
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// continue;
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// 检查是否已存在该日期的净值记录（非强制模式）
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if (!force)
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{
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var existingNav = await _db.Queryable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId && n.NavDate == date)
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.FirstAsync();
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if (existingNav != null) continue;
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}
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// 处理当天的所有交易
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var todayTransactions = transactions.Where(t => t.TransactionTime.Date == date).ToList();
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foreach (var tx in todayTransactions)
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{
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if (tx.StockCode == null) continue;
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if (tx.Type == "buy")
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{
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if (holdings.ContainsKey(tx.StockCode))
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{
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var existing = holdings[tx.StockCode];
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decimal newShares = existing.shares + tx.Amount;
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decimal newCost = existing.cost + tx.TotalAmount;
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holdings[tx.StockCode] = (newShares, newCost, tx.Currency, tx.AssetType);
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}
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else
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{
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holdings[tx.StockCode] = (tx.Amount, tx.TotalAmount, tx.Currency, tx.AssetType);
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}
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// 累计投入成本（转换为目标币种）
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decimal txAmountInTarget = await _exchangeRateService.ConvertAmountAsync(
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tx.TotalAmount, tx.Currency, targetCurrency);
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cumulativeCost += txAmountInTarget;
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}
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else if (tx.Type == "sell")
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{
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if (holdings.ContainsKey(tx.StockCode))
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{
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var existing = holdings[tx.StockCode];
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decimal soldRatio = tx.Amount / existing.shares;
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decimal remainingShares = existing.shares - tx.Amount;
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decimal remainingCost = existing.cost * (1 - (decimal)soldRatio);
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if (remainingShares <= 0)
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{
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holdings.Remove(tx.StockCode);
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}
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else
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{
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holdings[tx.StockCode] = (remainingShares, remainingCost, existing.currency, existing.assetType);
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}
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// 减少累计投入成本
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decimal txAmountInTarget = await _exchangeRateService.ConvertAmountAsync(
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tx.TotalAmount, tx.Currency, targetCurrency);
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cumulativeCost -= txAmountInTarget;
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}
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}
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}
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// 如果没有持仓，跳过
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if (!holdings.Any()) continue;
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// 计算当日市值
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decimal totalValue = 0;
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foreach (var (stockCode, (shares, cost, currency, assetType)) in holdings)
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{
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decimal price = await GetHistoricalPriceAsync(stockCode, assetType ?? "Stock", date);
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decimal positionValue = shares * price;
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decimal positionValueInTarget = await _exchangeRateService.ConvertAmountAsync(
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positionValue, currency ?? targetCurrency, targetCurrency);
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totalValue += positionValueInTarget;
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}
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// 计算净值
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decimal nav = cumulativeCost > 0 ? totalValue / cumulativeCost : 1.0m;
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decimal cumulativeReturn = cumulativeCost > 0 ? (totalValue - cumulativeCost) / cumulativeCost * 100 : 0;
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// 获取昨日净值以计算日收益率
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var yesterdayNav = await _db.Queryable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId && n.NavDate < date)
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.OrderByDescending(n => n.NavDate)
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.FirstAsync();
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decimal dailyReturn = 0;
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if (yesterdayNav != null && yesterdayNav.TotalValue > 0)
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{
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dailyReturn = (totalValue - yesterdayNav.TotalValue) / yesterdayNav.TotalValue * 100;
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}
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// 保存净值记录
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var navRecord = new PortfolioNavHistory
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{
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Id = "nav-" + Guid.NewGuid().ToString().Substring(0, 8),
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PortfolioId = portfolioId,
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NavDate = date,
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TotalValue = totalValue,
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TotalCost = cumulativeCost,
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Nav = nav,
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DailyReturn = dailyReturn,
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CumulativeReturn = cumulativeReturn,
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Currency = targetCurrency,
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PositionCount = holdings.Count,
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Source = "backfill",
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CreatedAt = DateTime.Now
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};
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await _db.Insertable(navRecord).ExecuteCommandAsync();
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recordsCreated++;
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// 每100条记录输出一次进度
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if (recordsCreated % 100 == 0)
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{
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_logger.LogInformation("回填进度: {Count} 条记录已创建", recordsCreated);
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}
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}
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_logger.LogInformation("净值历史回填完成: {PortfolioId}, 共创建 {Count} 条记录", portfolioId, recordsCreated);
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return new BackfillNavResponse
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{
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portfolioId = portfolioId,
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recordsCreated = recordsCreated,
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startDate = startDate,
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endDate = endDate,
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message = $"成功回填 {recordsCreated} 条净值记录"
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};
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}
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public async Task<int> DeleteNavHistoryAfterDateAsync(string portfolioId, DateTime date)
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{
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var deleted = await _db.Deleteable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId && n.NavDate >= date)
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.ExecuteCommandAsync();
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_logger.LogInformation("删除净值记录: PortfolioId={PortfolioId}, Date>={Date}, Count={Count}",
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portfolioId, date, deleted);
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return deleted;
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}
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/// <summary>
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/// 获取历史价格
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/// </summary>
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private async Task<decimal> GetHistoricalPriceAsync(string symbol, string assetType, DateTime date)
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{
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try
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{
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// 先尝试获取历史数据
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var historicalData = await _marketDataService.GetHistoricalDataAsync(symbol, assetType, "1d", 365);
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var priceOnDate = historicalData.FirstOrDefault(d => d.Timestamp.Date == date.Date);
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if (priceOnDate != null && priceOnDate.Close > 0)
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{
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return priceOnDate.Close;
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}
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// 如果找不到当天数据，找最近的
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var nearestPrice = historicalData
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.Where(d => d.Timestamp.Date <= date.Date)
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.OrderByDescending(d => d.Timestamp)
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.FirstOrDefault();
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if (nearestPrice != null && nearestPrice.Close > 0)
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{
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return nearestPrice.Close;
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}
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// 最后尝试获取实时价格
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var currentPrice = await _marketDataService.GetPriceAsync(symbol, assetType);
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return currentPrice.Price;
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}
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catch (Exception ex)
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{
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_logger.LogWarning(ex, "获取历史价格失败: {Symbol}, {Date}", symbol, date);
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return 0;
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}
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}
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/// <summary>
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/// 计算统计指标
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/// </summary>
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private NavStatistics CalculateStatistics(List<double> returns, List<PortfolioNavHistory> history)
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{
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if (!history.Any()) return new NavStatistics();
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var maxReturn = returns.Any() ? returns.Max() : 0;
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var minReturn = returns.Any() ? returns.Min() : 0;
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// 计算最大回撤
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double maxDrawdown = 0;
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double peak = 1.0;
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foreach (var item in history.OrderBy(h => h.NavDate))
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{
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var nav = (double)item.Nav;
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if (nav > peak) peak = nav;
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var drawdown = (peak - nav) / peak * 100;
|
||
if (drawdown > maxDrawdown) maxDrawdown = drawdown;
|
||
}
|
||
|
||
// 计算夏普比率（简化版，假设无风险利率=3%年化）
|
||
double sharpeRatio = 0;
|
||
double volatility = 0;
|
||
if (returns.Any())
|
||
{
|
||
var avgReturn = returns.Average();
|
||
var stdDev = Math.Sqrt(returns.Sum(r => Math.Pow(r - avgReturn, 2)) / returns.Count);
|
||
volatility = stdDev * Math.Sqrt(252); // 年化波动率
|
||
sharpeRatio = stdDev > 0 ? (avgReturn * 252 - 3) / (stdDev * Math.Sqrt(252)) : 0;
|
||
}
|
||
|
||
// 总收益率
|
||
var totalReturn = history.Any()
|
||
? (double)(history.Last().CumulativeReturn)
|
||
: 0;
|
||
|
||
return new NavStatistics
|
||
{
|
||
maxReturn = Math.Round(maxReturn, 2),
|
||
minReturn = Math.Round(minReturn, 2),
|
||
maxDrawdown = Math.Round(maxDrawdown, 2),
|
||
sharpeRatio = Math.Round(sharpeRatio, 2),
|
||
volatility = Math.Round(volatility, 2),
|
||
totalReturn = Math.Round(totalReturn, 2),
|
||
tradingDays = history.Count
|
||
};
|
||
}
|
||
}
|