Align hedge plan option leg PnL with OKX exchange history.

Co-authored-by: Cursor <cursoragent@cursor.com>

lib/hedge_plan/hedge_plan_settle_lib.py

@@ -2,9 +2,10 @@
 from __future__ import annotations
 
 import time
-from typing import Any, Optional
+from datetime import datetime, timezone
+from typing import Any, Callable, Optional
 
-from lib.exchange.okx_options_lib import normalize_option_exp_ms
+from lib.exchange.okx_options_lib import normalize_option_exp_ms, resolve_option_close_from_history
 from lib.hedge_plan.hedge_plan_calc_lib import option_expiry_pnl
 
 
@@ -60,3 +61,148 @@ def all_option_legs_expired(legs: list[dict[str, Any]], *, now_ms: Optional[int]
     if not opts:
         return False
     return all(leg_is_expired(x, now_ms=now_ms) for x in opts)
+
+
+def _parse_opened_ms(raw: Any) -> Optional[int]:
+    if raw is None or raw == "":
+        return None
+    s = str(raw).strip()
+    if not s:
+        return None
+    for fmt in ("%Y-%m-%d %H:%M:%S", "%Y-%m-%d %H:%M:%f"):
+        try:
+            dt = datetime.strptime(s[:26], fmt).replace(tzinfo=timezone.utc)
+            return int(dt.timestamp() * 1000)
+        except ValueError:
+            continue
+    return None
+
+
+def resolve_option_leg_realized_pnl(
+    *,
+    ex: Any = None,
+    leg: dict[str, Any],
+    fallback: Optional[float] = None,
+    fetch_history_fn: Optional[Callable[[str], list[dict[str, Any]]]] = None,
+    hist_rows: Optional[list[dict[str, Any]]] = None,
+) -> tuple[Optional[float], str]:
+    """
+    期权腿已实现盈亏:优先 OKX positions-history realizedPnl.
+    返回 (pnl, source) source=exchange|fallback|none.
+    """
+    inst_id = str(leg.get("inst_id") or "").strip()
+    open_ms = _parse_opened_ms(leg.get("opened_at"))
+    rows = hist_rows
+    if rows is None and inst_id:
+        try:
+            if callable(fetch_history_fn):
+                rows = fetch_history_fn(inst_id)
+            elif ex is not None:
+                from lib.exchange.okx_options_lib import fetch_option_position_history
+
+                rows = fetch_option_position_history(ex, inst_id)
+        except Exception:
+            rows = None
+    if rows:
+        info = resolve_option_close_from_history(rows, open_ms=open_ms)
+        pnl = _sf((info or {}).get("realized_pnl")) if info else None
+        if pnl is not None:
+            return round(float(pnl), 4), "exchange"
+    if fallback is not None:
+        return round(float(fallback), 4), "fallback"
+    return None, "none"
+
+
+def backfill_hedge_option_legs_realized_pnl(
+    conn: Any,
+    hist_rows: list[dict[str, Any]],
+    *,
+    update_plan_fn: Optional[Callable[..., Any]] = None,
+) -> dict[str, int]:
+    """用交易所历史覆盖已平期权腿盈亏,并重算已结束计划合计."""
+    from lib.hedge_plan.hedge_plan_db import get_plan, get_plan_legs, update_plan
+
+    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 inst:
+            by_inst.setdefault(inst, []).append(raw)
+
+    legs = conn.execute(
+        """
+        SELECT * FROM hedge_plan_legs
+        WHERE status = 'closed'
+          AND inst_id IS NOT NULL AND TRIM(inst_id) != ''
+          AND (leg_role LIKE 'option%' OR opt_type IS NOT NULL)
+        ORDER BY id DESC
+        LIMIT 400
+        """
+    ).fetchall()
+    updated_legs = 0
+    touched_plans: set[int] = set()
+    for row in legs:
+        leg = dict(row)
+        inst = str(leg.get("inst_id") or "").strip()
+        if not inst or inst not in by_inst:
+            continue
+        pnl, src = resolve_option_leg_realized_pnl(
+            leg=leg,
+            hist_rows=by_inst[inst],
+            fallback=None,
+        )
+        if src != "exchange" or pnl is None:
+            continue
+        local = _sf(leg.get("realized_pnl"))
+        if local is not None and abs(local - pnl) < 1e-6:
+            continue
+        conn.execute(
+            "UPDATE hedge_plan_legs SET realized_pnl=? WHERE id=?",
+            (pnl, int(leg["id"])),
+        )
+        updated_legs += 1
+        touched_plans.add(int(leg["plan_id"]))
+
+    updated_plans = 0
+    updater = update_plan_fn or update_plan
+    for pid in touched_plans:
+        plan = get_plan(conn, pid)
+        if not plan or str(plan.get("status") or "") != "closed":
+            continue
+        plan_legs = get_plan_legs(conn, pid)
+        opt_sum = 0.0
+        for lg in plan_legs:
+            role = str(lg.get("leg_role") or "")
+            if not (role.startswith("option") or lg.get("opt_type")):
+                continue
+            if str(lg.get("status") or "") != "closed":
+                continue
+            opt_sum += float(_sf(lg.get("realized_pnl")) or 0.0)
+        perp = float(_sf(plan.get("realized_pnl_perp")) or 0.0)
+        ptype = str(plan.get("plan_type") or "")
+        if ptype == "options_options":
+            total = opt_sum
+            kwargs: dict[str, Any] = {
+                "realized_pnl_options": round(opt_sum, 4),
+                "realized_pnl_total": round(total, 4),
+            }
+        else:
+            total = perp + opt_sum
+            kwargs = {
+                "realized_pnl_perp": round(perp, 4),
+                "realized_pnl_options": round(opt_sum, 4),
+                "realized_pnl_total": round(total, 4),
+            }
+        old_total = _sf(plan.get("realized_pnl_total"))
+        old_opts = _sf(plan.get("realized_pnl_options"))
+        if (
+            old_total is not None
+            and abs(old_total - total) < 1e-6
+            and old_opts is not None
+            and abs(old_opts - opt_sum) < 1e-6
+        ):
+            continue
+        updater(conn, pid, **kwargs)
+        updated_plans += 1
+    return {"legs": updated_legs, "plans": updated_plans}