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
2026-10-13 11:55:42 +08:00
parent dd979d9dd0
commit 11a083470d
7 changed files with 378 additions and 37 deletions
+18 -22
View File
@@ -585,52 +585,48 @@ def sync_options_from_local_trades(
status_label = "已平"
pnl_u = None
# 价已冻则只用库内价;缺价才问桥 VWAP(避免刷新改均价)
prices_frozen = (
open_idx is not None
and open_idx > 0
and sell_idx is not None
and sell_idx > 0
# 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)
opx, cpx, _gate = resolve_spot_vwap_prices(
conn,
bridge_id=r["bridge_id"],
open_index_px=open_idx,
close_index_px=sell_idx,
)
use_bridge = None if prices_frozen else r["bridge_id"]
pnl_u, pnl_src = resolve_true_pnl_usdt_from_trade(
premium_paid=prem,
premium_received=r["premium_received"],
realized_pnl=r["realized_pnl"],
open_index_px=open_idx if (open_idx is not None and open_idx > 0) else None,
close_index_px=sell_idx,
open_index_px=opx,
close_index_px=cpx,
open_fee=ofee,
close_fee=cfee,
premium_ccy=ccy,
fee_ccy=str(r["premium_ccy"] or ccy or ""),
conn=conn if use_bridge is not None else None,
bridge_id=use_bridge,
conn=conn,
bridge_id=r["bridge_id"],
)
if pnl_src == "pending_sell":
status_label = "待卖回"
pnl_u = None
elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
try:
opx, cpx = open_idx, sell_idx
if not prices_frozen:
opx, cpx, _g = resolve_spot_vwap_prices(
conn,
bridge_id=r["bridge_id"],
open_index_px=open_idx,
close_index_px=sell_idx,
)
# 真盈亏U每次刷新按固定量+价重算;均价只补缺不覆盖
# VWAP 非空时覆盖指数占位;币量字段不改
conn.execute(
"""
UPDATE options_trades
SET realized_pnl_usdt = ?,
open_index_px = COALESCE(open_index_px, ?),
close_index_px = COALESCE(close_index_px, ?),
open_index_px = COALESCE(?, open_index_px),
close_index_px = COALESCE(?, close_index_px),
pnl_settled = 1
WHERE id = ?
""",
(pnl_u, opx, cpx, trade_id),
)
if opx is not None and opx > 0:
open_idx = opx
open_idx_for_prem = opx
if cpx is not None and cpx > 0:
sell_idx = cpx
except Exception:
pass
else: