Align hedge plan option leg PnL with OKX exchange history.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-21 10:09:44 +08:00
parent 6876515160
commit 7e7666adfb
4 changed files with 303 additions and 10 deletions
@@ -0,0 +1,105 @@
+"""对冲计划期权腿盈亏与交易所对齐."""
+from __future__ import annotations
+
+import sqlite3
+import unittest
+
+from lib.hedge_plan.hedge_plan_db import get_plan, init_hedge_plan_tables, insert_leg, insert_plan
+from lib.hedge_plan.hedge_plan_settle_lib import (
+    backfill_hedge_option_legs_realized_pnl,
+    resolve_option_leg_realized_pnl,
+)
+
+
+class HedgeExchangePnlTest(unittest.TestCase):
+    def test_resolve_prefers_exchange(self):
+        leg = {
+            "inst_id": "ETH-USD_UM-260719-1850-P",
+            "opened_at": "2026-07-17 06:59:18",
+            "premium": 5.0,
+        }
+        hist = [
+            {
+                "instId": "ETH-USD_UM-260719-1850-P",
+                "uTime": "1784400000000",
+                "realizedPnl": "12.00",
+                "closeAvgPx": "30",
+            }
+        ]
+        pnl, src = resolve_option_leg_realized_pnl(
+            leg=leg, hist_rows=hist, fallback=-5.0
+        )
+        self.assertEqual(src, "exchange")
+        self.assertEqual(pnl, 12.0)
+
+    def test_backfill_updates_plan_total(self):
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_hedge_plan_tables(conn)
+        pid = insert_plan(
+            conn,
+            {
+                "plan_type": "options_options",
+                "status": "closed",
+                "underlying": "ETH",
+                "premium_total": 10,
+                "realized_pnl_options": 6.08,
+                "realized_pnl_total": 6.08,
+                "opened_at": "2026-07-17 06:59:18",
+                "closed_at": "2026-07-19 16:00:13",
+            },
+        )
+        insert_leg(
+            conn,
+            {
+                "plan_id": pid,
+                "leg_role": "option_a",
+                "inst_id": "ETH-USD_UM-260719-1890-C",
+                "opt_type": "C",
+                "strike": 1890,
+                "size": 10,
+                "premium": 5.92,
+                "status": "closed",
+                "realized_pnl": -5.92,
+                "opened_at": "2026-07-17 06:59:18",
+                "closed_at": "2026-07-19 16:00:13",
+            },
+        )
+        insert_leg(
+            conn,
+            {
+                "plan_id": pid,
+                "leg_role": "option_b",
+                "inst_id": "ETH-USD_UM-260719-1850-P",
+                "opt_type": "P",
+                "strike": 1850,
+                "size": 10,
+                "premium": 4.0,
+                "status": "closed",
+                "realized_pnl": 12.0,
+                "opened_at": "2026-07-17 06:59:18",
+                "closed_at": "2026-07-19 08:00:00",
+            },
+        )
+        hist = [
+            {
+                "instId": "ETH-USD_UM-260719-1890-C",
+                "uTime": "1784476813000",
+                "realizedPnl": "-5.50",
+            },
+            {
+                "instId": "ETH-USD_UM-260719-1850-P",
+                "uTime": "1784448000000",
+                "realizedPnl": "11.80",
+            },
+        ]
+        out = backfill_hedge_option_legs_realized_pnl(conn, hist)
+        self.assertEqual(out["legs"], 2)
+        self.assertEqual(out["plans"], 1)
+        plan = get_plan(conn, pid)
+        self.assertAlmostEqual(float(plan["realized_pnl_options"]), 6.3, places=4)
+        self.assertAlmostEqual(float(plan["realized_pnl_total"]), 6.3, places=4)
+
+
+if __name__ == "__main__":
+    unittest.main()