fix卖回VWAP必须落库并覆盖指数占位价，禁止预算反推开仓价。
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -495,9 +495,16 @@ def close_option_by_bid1(
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row_budget = _safe_float(row["budget_usdt"])
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row_open_idx = _safe_float(row["open_index_px"])
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if (row_open_idx is None or row_open_idx <= 0) and row_budget and paid > 1e-12:
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# 无开仓指数时用预算/已付反推
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row_open_idx = float(row_budget) / paid
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# 禁止 budget/premium 反推开仓价(会把缓冲算进均价,开仓价被抬飞)
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if (row_open_idx is None or row_open_idx <= 0) and row.get("bridge_id") is not None:
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try:
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from lib.options.options_spot_bridge_lib import bridge_buy_vwap
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bv = bridge_buy_vwap(conn, int(row["bridge_id"]))
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if bv is not None and float(bv) > 0:
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row_open_idx = float(bv)
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except Exception:
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pass
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settled = settle_closed_pnl(
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premium_paid=paid,
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premium_received=recv,
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@@ -511,6 +511,16 @@ def open_coin_option_buy_full(
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except Exception:
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pass
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# 开仓价必须在缩减 coin_bought 之前按买币 VWAP 冻住
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# (buy_usdt_spent/buy_coin_accum;禁止事后 budget/缩水权利金量反推)
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open_px_freeze = idx_open
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try:
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bv = _spot_bridge.bridge_buy_vwap(conn, bridge_id)
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if bv is not None and float(bv) > 0:
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open_px_freeze = float(bv)
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except Exception:
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pass
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_spot_bridge.update_bridge(
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conn,
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bridge_id,
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@@ -520,14 +530,6 @@ def open_coin_option_buy_full(
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message="期权持仓中",
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)
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# 开仓价一次冻结:优先买币 VWAP(之后不再改);权利金币量 premium_paid 固定
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open_px_freeze = idx_open
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try:
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bv = _spot_bridge.bridge_buy_vwap(conn, bridge_id)
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if bv is not None and float(bv) > 0:
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open_px_freeze = float(bv)
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except Exception:
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pass
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trade_id = _insert_coin_trade(
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conn,
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inst_id=inst_id,
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@@ -585,52 +585,48 @@ def sync_options_from_local_trades(
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status_label = "已平"
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pnl_u = None
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# 价已冻则只用库内价;缺价才问桥 VWAP(避免刷新改均价)
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prices_frozen = (
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open_idx is not None
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and open_idx > 0
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and sell_idx is not None
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and sell_idx > 0
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# 始终问桥:买/卖回 VWAP 优先于库内指数占位价(防预算反推开仓价、平仓指数冒充卖回价)
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opx, cpx, _gate = resolve_spot_vwap_prices(
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conn,
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bridge_id=r["bridge_id"],
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open_index_px=open_idx,
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close_index_px=sell_idx,
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)
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use_bridge = None if prices_frozen else r["bridge_id"]
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pnl_u, pnl_src = resolve_true_pnl_usdt_from_trade(
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premium_paid=prem,
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premium_received=r["premium_received"],
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realized_pnl=r["realized_pnl"],
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open_index_px=open_idx if (open_idx is not None and open_idx > 0) else None,
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close_index_px=sell_idx,
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open_index_px=opx,
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close_index_px=cpx,
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open_fee=ofee,
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close_fee=cfee,
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premium_ccy=ccy,
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fee_ccy=str(r["premium_ccy"] or ccy or ""),
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conn=conn if use_bridge is not None else None,
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bridge_id=use_bridge,
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conn=conn,
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bridge_id=r["bridge_id"],
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)
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if pnl_src == "pending_sell":
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status_label = "待卖回"
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pnl_u = None
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elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
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try:
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opx, cpx = open_idx, sell_idx
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if not prices_frozen:
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opx, cpx, _g = resolve_spot_vwap_prices(
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conn,
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bridge_id=r["bridge_id"],
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open_index_px=open_idx,
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close_index_px=sell_idx,
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)
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# 真盈亏U每次刷新按固定量+价重算;均价只补缺不覆盖
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# VWAP 非空时覆盖指数占位;币量字段不改
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conn.execute(
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"""
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UPDATE options_trades
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SET realized_pnl_usdt = ?,
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open_index_px = COALESCE(open_index_px, ?),
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close_index_px = COALESCE(close_index_px, ?),
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open_index_px = COALESCE(?, open_index_px),
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close_index_px = COALESCE(?, close_index_px),
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pnl_settled = 1
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WHERE id = ?
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""",
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(pnl_u, opx, cpx, trade_id),
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)
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if opx is not None and opx > 0:
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open_idx = opx
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open_idx_for_prem = opx
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if cpx is not None and cpx > 0:
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sell_idx = cpx
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except Exception:
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pass
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else:
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@@ -778,6 +778,13 @@ def sell_residual_after_option_flat(
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}
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recovered = _safe_float(sell.get("usdt_recovered"))
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sold_amt = _safe_float(sell.get("coin_sold"))
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# 缺 USDT 回报时用成交价×币量补,保证 close_sell VWAP 能落库
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if (recovered is None or recovered <= 0) and sold_amt is not None and sold_amt > 0:
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fill_px = _safe_float(sell.get("fill_px"))
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if fill_px is not None and fill_px > 0:
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recovered = round(float(sold_amt) * float(fill_px), 8)
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sell = dict(sell)
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sell["usdt_recovered"] = recovered
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# 平仓后卖回(可多笔):累加 close_sell_* 供卖回 VWAP;开仓多余卖回不走这里
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add_bridge_close_sell_fill(
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c,
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@@ -809,6 +816,7 @@ def sell_residual_after_option_flat(
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"bridge_id": bid,
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"bridge_status": BRIDGE_PENDING_SELL,
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}
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sell_vwap = bridge_sell_vwap(c, bid)
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update_bridge(
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c,
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bid,
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@@ -818,13 +826,26 @@ def sell_residual_after_option_flat(
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message="期权已平,币已卖回 USDT",
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close=True,
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)
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# 卖回 VWAP 写入关联已平仓(覆盖平仓时指数占位价)
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if sell_vwap is not None and float(sell_vwap) > 0:
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try:
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c.execute(
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"""
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UPDATE options_trades
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SET close_index_px = ?
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WHERE bridge_id = ? AND status = 'closed'
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""",
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(float(sell_vwap), int(bid)),
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)
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except Exception:
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pass
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return {
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"ok": True,
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"sell": sell,
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"bridge_id": bid,
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"bridge_status": BRIDGE_CLOSED,
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"sell_complete": True,
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"sell_vwap": bridge_sell_vwap(c, bid),
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"sell_vwap": sell_vwap,
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}
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if get_db is not None:
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