币本位期权数据统计按指数折算为U，不再误标USDC导致0.00

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-21 06:17:55 +08:00
parent 9421ff7360
commit 893a2cc115
5 changed files with 149 additions and 75 deletions
@@ -6,6 +6,7 @@ from typing import Any

 from lib.instance.instance_embed_context_lib import profit_loss_ratio_from_averages
 from lib.options.options_db import init_options_tables
+from lib.options.options_margin_mode_lib import margin_mode_from_inst_id, premium_ccy_for_mode


 def _parse_ts(raw: Any) -> datetime | None:
@@ -33,8 +34,62 @@ def _avg_seconds(values: list[float]) -> float | None:
    return round(sum(values) / len(values), 1)


-def compute_options_stats_from_history(history: list[dict[str, Any]]) -> dict[str, Any]:
-    """基于期权历史列表(交易所)计算统计."""
+def _safe_float(v: Any) -> float | None:
+    if v is None or v == "":
+        return None
+    try:
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+def _row_premium_ccy(row: dict[str, Any]) -> str:
+    ccy = str(row.get("premium_ccy") or "").strip().upper()
+    if ccy:
+        return ccy
+    inst = str(row.get("inst_id") or "").strip()
+    mode = str(row.get("margin_mode") or "").strip().lower()
+    underly = str(row.get("underlying") or (inst.split("-")[0] if inst else "ETH") or "ETH")
+    if mode:
+        return premium_ccy_for_mode(mode, underly)
+    if not inst:
+        # 旧统计行无合约信息时按 USDC 口径,避免默认币本位把盈亏跳过
+        return "USDC"
+    return premium_ccy_for_mode(margin_mode_from_inst_id(inst), underly)
+
+
+def _pnl_as_usdt(row: dict[str, Any], *, fallback_index: float | None = None) -> float | None:
+    """已平/浮盈统一折算为 USDT(币本位×指数;USDC 原样)."""
+    pnl = _safe_float(row.get("realized_pnl"))
+    if pnl is None:
+        pnl = _safe_float(row.get("upl"))
+    if pnl is None:
+        return None
+    ccy = _row_premium_ccy(row)
+    if ccy in ("ETH", "BTC"):
+        px = _safe_float(row.get("idx_px") or row.get("idxPx") or row.get("index_px"))
+        if px is None or px <= 0:
+            px = fallback_index
+        if px is None or px <= 0:
+            return None
+        return float(pnl) * float(px)
+    return float(pnl)
+
+
+def _history_index_px(history: list[dict[str, Any]]) -> float | None:
+    for row in history:
+        px = _safe_float(row.get("idx_px") or row.get("idxPx") or row.get("index_px"))
+        if px is not None and px > 0:
+            return px
+    return None
+
+
+def compute_options_stats_from_history(
+    history: list[dict[str, Any]],
+    *,
+    index_px: float | None = None,
+) -> dict[str, Any]:
+    """基于期权历史列表计算统计;币本位盈亏按指数折算为 U."""
    wins: list[float] = []
    losses: list[float] = []
    win_holds: list[float] = []
@@ -42,8 +97,13 @@ def compute_options_stats_from_history(history: list[dict[str, Any]]) -> dict[st
    all_holds: list[float] = []
    open_holds: list[float] = []
    now = datetime.now()
+    fallback_idx = index_px if index_px is not None and index_px > 0 else _history_index_px(history)
+    coinish = False

    for row in history:
+        ccy = _row_premium_ccy(row)
+        if ccy in ("ETH", "BTC"):
+            coinish = True
        if row.get("status") == "open":
            start = _parse_ts(row.get("created_at"))
            if start is not None:
@@ -51,12 +111,8 @@ def compute_options_stats_from_history(history: list[dict[str, Any]]) -> dict[st
                if sec >= 0:
                    open_holds.append(sec)
            continue
-        pnl_raw = row.get("realized_pnl")
-        if pnl_raw is None:
-            continue
-        try:
-            pnl = float(pnl_raw)
-        except (TypeError, ValueError):
+        pnl = _pnl_as_usdt(row, fallback_index=fallback_idx)
+        if pnl is None:
            continue
        hold = _hold_seconds(row.get("created_at"), row.get("closed_at"))
        if hold is not None:
@@ -94,6 +150,8 @@ def compute_options_stats_from_history(history: list[dict[str, Any]]) -> dict[st
        "avg_loss_hold_sec": _avg_seconds(loss_holds),
        "open_count": len(open_holds),
        "avg_open_hold_sec": _avg_seconds(open_holds),
+        "pnl_unit": "U" if coinish else "USDC",
+        "index_px": fallback_idx,
    }


@@ -103,7 +161,7 @@ def compute_options_stats(get_db) -> dict[str, Any]:
        init_options_tables(conn)
        closed_rows = conn.execute(
            """
-            SELECT realized_pnl, created_at, closed_at
+            SELECT realized_pnl, created_at, closed_at, inst_id, premium_ccy, margin_mode
            FROM options_trades
            WHERE status = 'closed' AND realized_pnl IS NOT NULL
            """
@@ -116,58 +174,19 @@ def compute_options_stats(get_db) -> dict[str, Any]:
    finally:
        conn.close()

-    wins: list[float] = []
-    losses: list[float] = []
-    win_holds: list[float] = []
-    loss_holds: list[float] = []
-    all_holds: list[float] = []
-    now = datetime.now()
-
+    hist = []
    for row in closed_rows:
-        pnl = float(row["realized_pnl"])
-        hold = _hold_seconds(row["created_at"], row["closed_at"])
-        if hold is not None:
-            all_holds.append(hold)
-        if pnl > 0:
-            wins.append(pnl)
-            if hold is not None:
-                win_holds.append(hold)
-        elif pnl < 0:
-            losses.append(pnl)
-            if hold is not None:
-                loss_holds.append(hold)
-
-    open_holds: list[float] = []
+        hist.append(
+            {
+                "status": "closed",
+                "realized_pnl": row["realized_pnl"],
+                "created_at": row["created_at"],
+                "closed_at": row["closed_at"],
+                "inst_id": row["inst_id"] if "inst_id" in row.keys() else None,
+                "premium_ccy": row["premium_ccy"] if "premium_ccy" in row.keys() else None,
+                "margin_mode": row["margin_mode"] if "margin_mode" in row.keys() else None,
+            }
+        )
    for row in open_rows:
-        start = _parse_ts(row["created_at"])
-        if start is None:
-            continue
-        sec = (now - start).total_seconds()
-        if sec >= 0:
-            open_holds.append(sec)
-
-    total_closed = len(wins) + len(losses)
-    win_rate = round(len(wins) / total_closed * 100, 2) if total_closed else 0
-    avg_win = sum(wins) / len(wins) if wins else None
-    avg_loss = sum(losses) / len(losses) if losses else None
-
-    total_profit = round(sum(wins), 4) if wins else 0.0
-    total_loss = round(abs(sum(losses)), 4) if losses else 0.0
-    net_realized = round(sum(wins) + sum(losses), 4)
-    return {
-        "total_closed": total_closed,
-        "win_count": len(wins),
-        "loss_count": len(losses),
-        "win_rate": win_rate,
-        "profit_loss_ratio": profit_loss_ratio_from_averages(avg_win, avg_loss),
-        "avg_win": round(avg_win, 4) if avg_win is not None else None,
-        "avg_loss": round(abs(avg_loss), 4) if avg_loss is not None else None,
-        "total_profit": total_profit,
-        "total_loss": total_loss,
-        "net_realized_pnl": net_realized,
-        "avg_hold_sec": _avg_seconds(all_holds),
-        "avg_win_hold_sec": _avg_seconds(win_holds),
-        "avg_loss_hold_sec": _avg_seconds(loss_holds),
-        "open_count": len(open_holds),
-        "avg_open_hold_sec": _avg_seconds(open_holds),
-    }
+        hist.append({"status": "open", "created_at": row["created_at"]})
+    return compute_options_stats_from_history(hist)