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Fix options PnL backfill matching when the same contract is traded twice.

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Match exchange history by sheets and open time so an earlier close is not overwritten with the later trade's PnL.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-06 09:04:30 +08:00
parent 25ed46e3f2
commit f19500bcd9
4 changed files with 189 additions and 22 deletions
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lib/options/options_monitor_lib.py
+33 -9
View File
@@ -142,11 +142,13 @@ def _created_at_ms(created_at: Any) -> int | 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 '')}"
close_prefix = closed[:16] if closed else ""
ord_id = str(row["close_ord_id"] or "").strip() if "close_ord_id" in row.keys() else ""
# 即使 close_ord_id/posId 相同,也要按平仓时间拆开(OKX 可能复用 posId)
if ord_id:
return f"{inst}|ord:{ord_id}|close:{close_prefix}"
return f"{inst}|close:{close_prefix}"
def backfill_closed_options_realized_pnl_from_history(
@@ -170,7 +172,8 @@ def backfill_closed_options_realized_pnl_from_history(
rows = conn.execute(
"""
SELECT id, inst_id, sheets, premium_paid, realized_pnl, created_at, closed_at, close_ord_id
SELECT id, inst_id, sheets, premium_paid, realized_pnl, close_quote,
created_at, closed_at, close_ord_id
FROM options_trades
WHERE status = 'closed'
ORDER BY id DESC
@@ -193,13 +196,26 @@ def backfill_closed_options_realized_pnl_from_history(
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)
close_candidates = [_created_at_ms(r["closed_at"]) for r in group]
close_ms = max((x for x in close_candidates if x is not None), default=None)
sheets_hint = None
try:
sheets_hint = sum(float(_safe_float(r["sheets"]) or 0.0) for r in group) or None
except (TypeError, ValueError):
sheets_hint = None
close_info = resolve_option_close_from_history(
by_inst.get(inst) or [],
open_ms=open_ms,
close_ms=close_ms,
sheets=sheets_hint,
)
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"))
matched_pos = str(close_info.get("pos_id") or "").strip() or None
total_paid = 0.0
for r in group:
total_paid += float(_safe_float(r["premium_paid"]) or 0.0)
@@ -215,7 +231,14 @@ def backfill_closed_options_realized_pnl_from_history(
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:
local_close = _safe_float(r["close_quote"])
local_ord = str(r["close_ord_id"] or "").strip()
pnl_ok = local is not None and abs(local - share) < 1e-6
quote_ok = close_quote is None or (
local_close is not None and abs(local_close - float(close_quote)) < 1e-6
)
ord_ok = (not matched_pos) or (local_ord == matched_pos)
if pnl_ok and quote_ok and ord_ok:
continue
prem_recv = round(paid + share, 4)
conn.execute(
@@ -223,10 +246,11 @@ def backfill_closed_options_realized_pnl_from_history(
UPDATE options_trades
SET realized_pnl = ?,
premium_received = ?,
close_quote = COALESCE(?, close_quote)
close_quote = COALESCE(?, close_quote),
close_ord_id = COALESCE(?, close_ord_id)
WHERE id = ?
""",
(share, prem_recv, close_quote, int(r["id"])),
(share, prem_recv, close_quote, matched_pos, int(r["id"])),
)
updated += 1
return updated