Align options review PnL with OKX positions-history realizedPnl.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-21 10:05:27 +08:00
parent 1bc12a32c6
commit 6876515160
5 changed files with 168 additions and 9 deletions
@@ -135,6 +135,98 @@ def _created_at_ms(created_at: Any) -> int | None:
    return None


+def _group_key_for_closed_trade(row: Any) -> str:
+    inst = str(row["inst_id"] or "").strip()
+    ord_id = str(row["close_ord_id"] or "").strip() if "close_ord_id" in row.keys() else ""
+    if ord_id:
+        return f"{inst}|ord:{ord_id}"
+    closed = str(row["closed_at"] or "").strip()
+    return f"{inst}|close:{(closed[:16] if closed else '')}"
+
+
+def backfill_closed_options_realized_pnl_from_history(
+    conn: sqlite3.Connection,
+    hist_rows: list[dict[str, Any]],
+    *,
+    trade_limit: int = 200,
+) -> int:
+    """
+    用 OKX positions-history 的 realizedPnl 覆盖本地已平记录.
+    同一次平仓多笔本地 open(加仓)按权利金占比分摊交易所总盈亏.
+    """
+    by_inst: dict[str, list[dict[str, Any]]] = {}
+    for raw in hist_rows or []:
+        if not isinstance(raw, dict):
+            continue
+        inst = str(raw.get("instId") or "").strip()
+        if not inst:
+            continue
+        by_inst.setdefault(inst, []).append(raw)
+
+    rows = conn.execute(
+        """
+        SELECT id, inst_id, sheets, premium_paid, realized_pnl, created_at, closed_at, close_ord_id
+        FROM options_trades
+        WHERE status = 'closed'
+        ORDER BY id DESC
+        LIMIT ?
+        """,
+        (int(trade_limit),),
+    ).fetchall()
+    if not rows:
+        return 0
+
+    groups: dict[str, list[Any]] = {}
+    for row in rows:
+        inst = str(row["inst_id"] or "").strip()
+        if not inst or inst not in by_inst:
+            continue
+        groups.setdefault(_group_key_for_closed_trade(row), []).append(row)
+
+    updated = 0
+    for group in groups.values():
+        inst = str(group[0]["inst_id"] or "").strip()
+        open_candidates = [_created_at_ms(r["created_at"]) for r in group]
+        open_ms = min((x for x in open_candidates if x is not None), default=None)
+        close_info = resolve_option_close_from_history(by_inst.get(inst) or [], open_ms=open_ms)
+        if not close_info:
+            continue
+        ex_pnl = _safe_float(close_info.get("realized_pnl"))
+        if ex_pnl is None:
+            continue
+        close_quote = _safe_float(close_info.get("close_quote"))
+        total_paid = 0.0
+        for r in group:
+            total_paid += float(_safe_float(r["premium_paid"]) or 0.0)
+        allocated = 0.0
+        for i, r in enumerate(group):
+            paid = float(_safe_float(r["premium_paid"]) or 0.0)
+            if i == len(group) - 1:
+                share = round(float(ex_pnl) - allocated, 4)
+            elif total_paid > 0:
+                share = round(float(ex_pnl) * (paid / total_paid), 4)
+                allocated += share
+            else:
+                share = round(float(ex_pnl) / len(group), 4)
+                allocated += share
+            local = _safe_float(r["realized_pnl"])
+            if local is not None and abs(local - share) < 1e-6:
+                continue
+            prem_recv = round(paid + share, 4)
+            conn.execute(
+                """
+                UPDATE options_trades
+                SET realized_pnl = ?,
+                    premium_received = ?,
+                    close_quote = COALESCE(?, close_quote)
+                WHERE id = ?
+                """,
+                (share, prem_recv, close_quote, int(r["id"])),
+            )
+            updated += 1
+    return updated
+
+
 def sync_open_options_trades(
    conn: sqlite3.Connection,
    *,