19f3cc8679
关键修复： 1. BackfillNavHistoryInternalAsync 汇率处理bug - holdings 存储目标币种成本，避免卖出时用当前汇率重转历史成本 - 优先使用交易时保存的汇率 2. Transaction 表新增字段 - exchange_rate: 交易时汇率 - total_amount_base: 本位币金额 - 创建交易时自动保存汇率 3. CalculateAndSaveDailyNavAsync - 优先使用 TotalAmountBase 字段计算成本 - 回退到当前汇率（兼容历史数据） 4. 新增迁移脚本 sql/migrate_financial_fields.sql
670 lines
26 KiB
C#
670 lines
26 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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// 检查是否有历史数据，没有则自动回填
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var existingCount = await _db.Queryable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId)
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.CountAsync();
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if (existingCount == 0)
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{
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_logger.LogInformation("组合 {PortfolioId} 无净值历史数据，自动开始回填", portfolioId);
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await BackfillNavHistoryInternalAsync(portfolioId, portfolio);
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}
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else
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{
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// 有历史数据，检查是否需要计算今日净值
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var today = DateTime.Today;
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var todayNavExists = await _db.Queryable<PortfolioNavHistory>()
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.Where(n => n.PortfolioId == portfolioId && n.NavDate == today)
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.AnyAsync();
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if (!todayNavExists)
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{
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_logger.LogInformation("组合 {PortfolioId} 今日净值不存在，自动计算", portfolioId);
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try
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{
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await CalculateAndSaveDailyNavAsync(portfolioId);
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}
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catch (Exception ex)
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{
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_logger.LogWarning(ex, "组合 {PortfolioId} 今日净值计算失败，将使用历史数据", portfolioId);
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}
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}
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}
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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<NavHistoryItem>(),
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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 NavHistoryItem
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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，卖出时按比例减少成本）
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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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.OrderBy(t => t.TransactionTime)
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.ToListAsync();
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decimal totalCost = 0;
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// 每个标的的累计成本和数量（用于准确计算卖出比例）
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var holdingsCost = new Dictionary<string, decimal>();
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var holdingsShares = new Dictionary<string, decimal>();
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foreach (var tx in transactions)
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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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// 优先使用交易时保存的本位币金额，确保历史净值计算一致
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decimal txAmountInTarget;
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if (tx.TotalAmountBase.HasValue && tx.TotalAmountBase > 0)
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{
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txAmountInTarget = tx.TotalAmountBase.Value;
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_logger.LogDebug("使用交易时汇率: {StockCode}, 金额={Amount}, 本位币金额={BaseAmount}",
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tx.StockCode, tx.TotalAmount, txAmountInTarget);
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}
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else
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{
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// 回退到当前汇率（历史数据可能不准确）
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txAmountInTarget = await _exchangeRateService.ConvertAmountAsync(
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tx.TotalAmount, tx.Currency, targetCurrency);
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_logger.LogDebug("使用当前汇率: {StockCode}, 金额={Amount}, 本位币金额={BaseAmount}",
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tx.StockCode, tx.TotalAmount, txAmountInTarget);
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}
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totalCost += txAmountInTarget;
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// 更新该标的的累计成本和数量
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if (holdingsCost.ContainsKey(tx.StockCode))
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{
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holdingsCost[tx.StockCode] += txAmountInTarget;
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holdingsShares[tx.StockCode] += tx.Amount;
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}
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else
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{
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holdingsCost[tx.StockCode] = txAmountInTarget;
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holdingsShares[tx.StockCode] = tx.Amount;
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}
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}
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else if (tx.Type == "sell")
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{
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// 卖出时按比例减少该标的的累计成本
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if (holdingsCost.ContainsKey(tx.StockCode) && holdingsShares[tx.StockCode] > 0)
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{
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decimal currentShares = holdingsShares[tx.StockCode];
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decimal soldRatio = tx.Amount / currentShares;
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decimal costToReduce = holdingsCost[tx.StockCode] * soldRatio;
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holdingsCost[tx.StockCode] -= costToReduce;
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holdingsShares[tx.StockCode] -= tx.Amount;
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totalCost -= costToReduce;
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}
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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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return await BackfillNavHistoryInternalAsync(portfolioId, portfolio, force);
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}
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/// <summary>
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/// 内部回填方法（已验证权限）
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/// </summary>
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private async Task<BackfillNavResponse> BackfillNavHistoryInternalAsync(string portfolioId, Portfolio portfolio, bool force = false)
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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[目标币种], 原始币种, 资产类型)
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// 关键修复：成本存储为目标币种，避免卖出时用当前汇率重新转换历史成本
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var holdings = new Dictionary<string, (decimal shares, decimal costInTargetCurrency, string? currency, string? assetType)>();
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// 累计投入成本（目标币种）
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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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// 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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// 优先使用交易时保存的本位币金额，确保历史净值计算一致
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decimal txAmountInTarget;
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if (tx.TotalAmountBase.HasValue && tx.TotalAmountBase > 0)
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{
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txAmountInTarget = tx.TotalAmountBase.Value;
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}
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else
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{
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// 回退到当前汇率（历史数据可能不准确）
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txAmountInTarget = await _exchangeRateService.ConvertAmountAsync(
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tx.TotalAmount, tx.Currency, targetCurrency);
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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 newCostInTarget = existing.costInTargetCurrency + txAmountInTarget;
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holdings[tx.StockCode] = (newShares, newCostInTarget, 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, txAmountInTarget, tx.Currency, tx.AssetType);
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}
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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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// 安全检查：防止除零
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if (existing.shares <= 0)
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{
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holdings.Remove(tx.StockCode);
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continue;
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}
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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 remainingCostInTarget = existing.costInTargetCurrency * (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, remainingCostInTarget, existing.currency, existing.assetType);
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}
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// 按比例减少累计投入成本（直接用目标币种成本，无需再次汇率转换）
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decimal costToReduce = existing.costInTargetCurrency * (decimal)soldRatio;
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cumulativeCost -= costToReduce;
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_logger.LogDebug("卖出成本计算: {StockCode}, 卖出比例={Ratio}, 减少成本={CostToReduce}, 剩余累计成本={CumulativeCost}",
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tx.StockCode, soldRatio.ToString("P2"), costToReduce, cumulativeCost);
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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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bool hasValidPrice = true;
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List<string> failedSymbols = new List<string>();
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foreach (var (stockCode, (shares, costInTargetCurrency, currency, assetType)) in holdings)
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{
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var priceResult = await GetHistoricalPriceAsync(stockCode, assetType ?? "Stock", date);
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if (priceResult == null || priceResult <= 0)
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{
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hasValidPrice = false;
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failedSymbols.Add(stockCode);
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continue;
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}
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decimal price = priceResult.Value;
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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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// 如果有任何持仓价格获取失败，跳过该日期，不写入错误数据
|
||
if (!hasValidPrice)
|
||
{
|
||
_logger.LogWarning("跳过日期 {Date}，以下持仓价格获取失败: {Symbols}",
|
||
date.ToString("yyyy-MM-dd"), string.Join(", ", failedSymbols));
|
||
continue;
|
||
}
|
||
|
||
// 计算净值
|
||
decimal nav = cumulativeCost > 0 ? totalValue / cumulativeCost : 1.0m;
|
||
decimal cumulativeReturn = cumulativeCost > 0 ? (totalValue - cumulativeCost) / cumulativeCost * 100 : 0;
|
||
|
||
// 获取昨日净值以计算日收益率
|
||
var yesterdayNav = await _db.Queryable<PortfolioNavHistory>()
|
||
.Where(n => n.PortfolioId == portfolioId && n.NavDate < date)
|
||
.OrderByDescending(n => n.NavDate)
|
||
.FirstAsync();
|
||
|
||
decimal dailyReturn = 0;
|
||
if (yesterdayNav != null && yesterdayNav.TotalValue > 0)
|
||
{
|
||
dailyReturn = (totalValue - yesterdayNav.TotalValue) / yesterdayNav.TotalValue * 100;
|
||
}
|
||
|
||
// 保存净值记录
|
||
var navRecord = new PortfolioNavHistory
|
||
{
|
||
Id = "nav-" + Guid.NewGuid().ToString().Substring(0, 8),
|
||
PortfolioId = portfolioId,
|
||
NavDate = date,
|
||
TotalValue = totalValue,
|
||
TotalCost = cumulativeCost,
|
||
Nav = nav,
|
||
DailyReturn = dailyReturn,
|
||
CumulativeReturn = cumulativeReturn,
|
||
Currency = targetCurrency,
|
||
PositionCount = holdings.Count,
|
||
Source = "backfill",
|
||
CreatedAt = DateTime.Now
|
||
};
|
||
|
||
await _db.Insertable(navRecord).ExecuteCommandAsync();
|
||
recordsCreated++;
|
||
|
||
// 每100条记录输出一次进度
|
||
if (recordsCreated % 100 == 0)
|
||
{
|
||
_logger.LogInformation("回填进度: {Count} 条记录已创建", recordsCreated);
|
||
}
|
||
}
|
||
|
||
_logger.LogInformation("净值历史回填完成: {PortfolioId}, 共创建 {Count} 条记录", portfolioId, recordsCreated);
|
||
|
||
return new BackfillNavResponse
|
||
{
|
||
PortfolioId = portfolioId,
|
||
RecordsCreated = recordsCreated,
|
||
StartDate = startDate,
|
||
EndDate = endDate,
|
||
Message = $"成功回填 {recordsCreated} 条净值记录"
|
||
};
|
||
}
|
||
|
||
public async Task<int> DeleteNavHistoryAfterDateAsync(string portfolioId, DateTime date)
|
||
{
|
||
var deleted = await _db.Deleteable<PortfolioNavHistory>()
|
||
.Where(n => n.PortfolioId == portfolioId && n.NavDate >= date)
|
||
.ExecuteCommandAsync();
|
||
|
||
_logger.LogInformation("删除净值记录: PortfolioId={PortfolioId}, Date>={Date}, Count={Count}",
|
||
portfolioId, date, deleted);
|
||
|
||
return deleted;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 获取历史价格（优先从缓存读取）
|
||
/// </summary>
|
||
private async Task<decimal?> GetHistoricalPriceAsync(string symbol, string assetType, DateTime date)
|
||
{
|
||
try
|
||
{
|
||
// 1. 先从缓存表查特定日期的价格
|
||
var cachedPrice = await _db.Queryable<MarketKlineCache>()
|
||
.Where(k => k.Symbol == symbol.ToUpper()
|
||
&& k.AssetType == assetType.ToUpper()
|
||
&& k.Timeframe == "1D"
|
||
&& k.Timestamp.Date == date.Date)
|
||
.FirstAsync();
|
||
|
||
if (cachedPrice != null && cachedPrice.Close > 0)
|
||
{
|
||
_logger.LogDebug("缓存命中: {Symbol} {Date}, 价格: {Price}", symbol, date.ToString("yyyy-MM-dd"), cachedPrice.Close);
|
||
return cachedPrice.Close;
|
||
}
|
||
|
||
// 2. 缓存未命中，尝试获取该日期附近的历史数据
|
||
var historicalData = await _marketDataService.GetHistoricalDataAsync(symbol, assetType, "1d", 30);
|
||
|
||
// 精确匹配日期
|
||
var priceOnDate = historicalData.FirstOrDefault(d => d.Timestamp.Date == date.Date);
|
||
if (priceOnDate != null && priceOnDate.Close > 0)
|
||
{
|
||
return priceOnDate.Close;
|
||
}
|
||
|
||
// 找最近的交易日价格
|
||
var nearestPrice = historicalData
|
||
.Where(d => d.Timestamp.Date <= date.Date)
|
||
.OrderByDescending(d => d.Timestamp)
|
||
.FirstOrDefault();
|
||
|
||
if (nearestPrice != null && nearestPrice.Close > 0)
|
||
{
|
||
_logger.LogDebug("使用最近交易日价格: {Symbol} {Date} → {ActualDate}",
|
||
symbol, date.ToString("yyyy-MM-dd"), nearestPrice.Timestamp.ToString("yyyy-MM-dd"));
|
||
return nearestPrice.Close;
|
||
}
|
||
|
||
// 3. 最后尝试获取实时价格
|
||
var currentPrice = await _marketDataService.GetPriceAsync(symbol, assetType);
|
||
if (currentPrice != null && currentPrice.Price > 0)
|
||
{
|
||
return currentPrice.Price;
|
||
}
|
||
|
||
_logger.LogWarning("无法获取有效价格: {Symbol}, {Date}", symbol, date);
|
||
return null;
|
||
}
|
||
catch (Exception ex)
|
||
{
|
||
_logger.LogWarning(ex, "获取历史价格失败: {Symbol}, {Date}", symbol, date);
|
||
return null;
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 计算统计指标
|
||
/// </summary>
|
||
private NavStatistics CalculateStatistics(List<double> returns, List<PortfolioNavHistory> history)
|
||
{
|
||
if (!history.Any()) return new NavStatistics();
|
||
|
||
var maxReturn = returns.Any() ? returns.Max() : 0;
|
||
var minReturn = returns.Any() ? returns.Min() : 0;
|
||
|
||
// 计算最大回撤（修复：用第一条记录的 Nav 作为初始 peak）
|
||
double maxDrawdown = 0;
|
||
var orderedHistory = history.OrderBy(h => h.NavDate).ToList();
|
||
double peak = (double)orderedHistory.First().Nav;
|
||
foreach (var item in orderedHistory)
|
||
{
|
||
var nav = (double)item.Nav;
|
||
if (nav > peak) peak = nav;
|
||
var drawdown = (peak - nav) / peak * 100;
|
||
if (drawdown > maxDrawdown) maxDrawdown = drawdown;
|
||
}
|
||
|
||
// 计算夏普比率（修复：收益率从百分比转为小数）
|
||
double sharpeRatio = 0;
|
||
double volatility = 0;
|
||
if (returns.Any())
|
||
{
|
||
// 收益率从百分比形式转换为小数形式（如 0.5% -> 0.005）
|
||
var decimalReturns = returns.Select(r => r / 100.0).ToList();
|
||
var avgReturn = decimalReturns.Average();
|
||
var stdDev = Math.Sqrt(decimalReturns.Sum(r => Math.Pow(r - avgReturn, 2)) / decimalReturns.Count);
|
||
|
||
// 年化
|
||
double annualizedReturn = avgReturn * 252;
|
||
double annualizedVol = stdDev * Math.Sqrt(252);
|
||
volatility = annualizedVol * 100; // 转回百分比形式显示
|
||
sharpeRatio = annualizedVol > 0 ? (annualizedReturn - 0.03) / annualizedVol : 0; // 3% 无风险利率
|
||
}
|
||
|
||
// 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
|
||
};
|
||
}
|
||
}
|