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
@@ -0,0 +1,250 @@
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#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""从模拟盘流水重建买/卖回 VWAP,并按真盈亏公式重算 realized_pnl_usdt.
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用于 close_sell_* 漏记、开仓价被 budget/premium 抬飞的历史单.
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默认 dry-run;加 --apply 才写库.
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python scripts/repair_options_spot_vwap_from_sim_ledger.py --db crypto.db
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python scripts/repair_options_spot_vwap_from_sim_ledger.py --db crypto.db --apply
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"""
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from __future__ import annotations
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import argparse
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import sqlite3
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import sys
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from pathlib import Path
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from typing import Any
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def _safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def _ledger_buy_sell(
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conn: sqlite3.Connection,
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*,
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underly: str,
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inst_id: str,
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open_ts: str,
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close_ts: str | None,
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) -> tuple[float | None, float | None, float | None, float | None]:
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"""在开仓前后窗口内汇总 USDT→币 与 平仓后币→USDT."""
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u = (underly or "").upper()
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inst = str(inst_id or "").strip()
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buys = conn.execute(
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"""
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SELECT amount, ts FROM sim_ledger_entries
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WHERE ccy='USDT' AND account='trading' AND kind='convert'
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AND amount < 0 AND note LIKE ?
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AND ts >= datetime(?, '-14 hour')
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AND ts <= datetime(?, '+14 hour')
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ORDER BY id
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""",
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(f"{u}/USDT%", open_ts, open_ts),
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).fetchall()
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buy_usdt = 0.0
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buy_coin = 0.0
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for row in buys:
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coin_row = conn.execute(
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"""
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SELECT amount FROM sim_ledger_entries
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WHERE ccy=? AND account='trading' AND kind='convert' AND amount > 0
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AND ts=? AND note LIKE 'from usdt%'
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ORDER BY id LIMIT 1
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""",
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(u, row["ts"]),
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).fetchone()
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if not coin_row:
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continue
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buy_usdt += abs(float(row["amount"]))
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buy_coin += float(coin_row["amount"])
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sell_usdt = 0.0
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sell_coin = 0.0
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last_close = None
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if inst:
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last_close = conn.execute(
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"""
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SELECT ts FROM sim_ledger_entries
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WHERE kind='option_close' AND note LIKE ?
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ORDER BY id DESC LIMIT 1
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""",
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(f"%{inst}%",),
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).fetchone()
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if last_close or close_ts:
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close_anchor = str(last_close["ts"]) if last_close else str(close_ts)
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sells = conn.execute(
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"""
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SELECT amount, ts FROM sim_ledger_entries
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WHERE ccy=? AND account='trading' AND kind='convert'
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AND amount < 0 AND note LIKE ?
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AND ts >= ?
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ORDER BY id
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""",
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(u, f"{u}/USDT%", close_anchor),
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).fetchall()
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for row in sells:
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usdt_row = conn.execute(
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"""
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SELECT amount FROM sim_ledger_entries
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WHERE ccy='USDT' AND account='trading' AND kind='convert'
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AND amount > 0 AND ts=? AND note LIKE 'from %'
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ORDER BY id LIMIT 1
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""",
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(row["ts"],),
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).fetchone()
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if not usdt_row:
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continue
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sell_coin += abs(float(row["amount"]))
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sell_usdt += float(usdt_row["amount"])
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return (
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buy_usdt if buy_usdt > 0 else None,
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buy_coin if buy_coin > 0 else None,
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sell_usdt if sell_usdt > 0 else None,
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sell_coin if sell_coin > 0 else None,
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)
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def repair(conn: sqlite3.Connection, *, apply: bool) -> list[dict[str, Any]]:
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sys.path.insert(0, str(Path(__file__).resolve().parents[1]))
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from lib.options.options_pnl_settle_lib import true_pnl_usdt_premium_move
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from lib.options.options_spot_bridge_lib import ensure_bridge_table
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ensure_bridge_table(conn)
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rows = conn.execute(
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"""
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SELECT id, inst_id, underlying, premium_paid, premium_received, realized_pnl,
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open_index_px, close_index_px, realized_pnl_usdt, bridge_id,
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created_at, closed_at, budget_usdt
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FROM options_trades
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WHERE status='closed'
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ORDER BY id
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"""
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).fetchall()
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report: list[dict[str, Any]] = []
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for r in rows:
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tid = int(r["id"])
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underly = str(r["underlying"] or (str(r["inst_id"] or "").split("-")[0]) or "").upper()
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open_ts = str(r["created_at"] or "")
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close_ts = str(r["closed_at"] or "") or None
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buy_u, buy_c, sell_u, sell_c = _ledger_buy_sell(
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conn,
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underly=underly,
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inst_id=str(r["inst_id"] or ""),
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open_ts=open_ts,
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close_ts=close_ts,
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)
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open_px = (buy_u / buy_c) if buy_u and buy_c and buy_c > 0 else None
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close_px = (sell_u / sell_c) if sell_u and sell_c and sell_c > 0 else None
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paid = _safe_float(r["premium_paid"])
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coin = _safe_float(r["realized_pnl"])
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old_open = _safe_float(r["open_index_px"])
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old_close = _safe_float(r["close_index_px"])
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old_u = _safe_float(r["realized_pnl_usdt"])
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new_u = true_pnl_usdt_premium_move(
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coin_pnl=coin,
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premium_paid=paid,
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open_index_px=open_px or old_open,
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sell_back_px=close_px or old_close,
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)
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item = {
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"id": tid,
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"inst_id": r["inst_id"],
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"buy_vwap": round(open_px, 4) if open_px else None,
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"sell_vwap": round(close_px, 4) if close_px else None,
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"old_open": old_open,
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"old_close": old_close,
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"old_u": old_u,
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"new_u": new_u,
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"bridge_id": r["bridge_id"],
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"sell_usdt": sell_u,
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"sell_coin": sell_c,
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"buy_usdt": buy_u,
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"buy_coin": buy_c,
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}
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report.append(item)
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if not apply:
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continue
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bid = r["bridge_id"]
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if bid is not None and buy_u and buy_c:
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conn.execute(
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"""
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UPDATE options_spot_bridge
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SET buy_usdt_spent = ?, buy_coin_accum = ?
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WHERE id = ?
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""",
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(float(buy_u), float(buy_c), int(bid)),
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)
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if bid is not None and sell_u and sell_c:
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conn.execute(
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"""
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UPDATE options_spot_bridge
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SET close_sell_usdt = ?, close_sell_coin = ?,
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usdt_recovered = ?, coin_sold = ?
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WHERE id = ?
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""",
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(float(sell_u), float(sell_c), float(sell_u), float(sell_c), int(bid)),
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)
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conn.execute(
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"""
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UPDATE options_trades
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SET open_index_px = COALESCE(?, open_index_px),
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close_index_px = COALESCE(?, close_index_px),
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realized_pnl_usdt = COALESCE(?, realized_pnl_usdt),
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initial_premium_usdt = CASE
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WHEN ? IS NOT NULL AND premium_paid IS NOT NULL
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THEN round(premium_paid * ?, 4)
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ELSE initial_premium_usdt
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END,
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pnl_settled = 1
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WHERE id = ?
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""",
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(
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open_px,
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close_px,
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new_u,
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open_px,
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open_px,
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tid,
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),
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)
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if apply:
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conn.commit()
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# 复盘行跟着刷
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try:
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from lib.options.options_review_lib import sync_options_from_local_trades
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sync_options_from_local_trades(conn, None)
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conn.commit()
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except Exception as e:
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print("review_sync_warn", e)
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return report
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def main() -> int:
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ap = argparse.ArgumentParser()
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ap.add_argument("--db", required=True)
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ap.add_argument("--apply", action="store_true")
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args = ap.parse_args()
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path = Path(args.db)
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if not path.is_file():
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print("db missing", path)
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return 1
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conn = sqlite3.connect(str(path))
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conn.row_factory = sqlite3.Row
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report = repair(conn, apply=bool(args.apply))
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conn.close()
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import json
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print(json.dumps(report, ensure_ascii=False, indent=2))
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print("apply" if args.apply else "dry-run", "rows", len(report))
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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