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>

lib/options/options_close_exec_lib.py

@@ -495,9 +495,16 @@ def close_option_by_bid1(
 
                 row_budget = _safe_float(row["budget_usdt"])
                 row_open_idx = _safe_float(row["open_index_px"])
-                if (row_open_idx is None or row_open_idx <= 0) and row_budget and paid > 1e-12:
+                # 禁止 budget/premium 反推开仓价(会把缓冲算进均价,开仓价被抬飞)
-                    # 无开仓指数时用预算/已付反推
+                if (row_open_idx is None or row_open_idx <= 0) and row.get("bridge_id") is not None:
-                    row_open_idx = float(row_budget) / paid
+                    try:
+                        from lib.options.options_spot_bridge_lib import bridge_buy_vwap
+
+                        bv = bridge_buy_vwap(conn, int(row["bridge_id"]))
+                        if bv is not None and float(bv) > 0:
+                            row_open_idx = float(bv)
+                    except Exception:
+                        pass
                 settled = settle_closed_pnl(
                     premium_paid=paid,
                     premium_received=recv,

lib/options/options_coin_open_lib.py

@@ -511,6 +511,16 @@ def open_coin_option_buy_full(
         except Exception:
             pass
 
+        # 开仓价必须在缩减 coin_bought 之前按买币 VWAP 冻住
+        # (buy_usdt_spent/buy_coin_accum;禁止事后 budget/缩水权利金量反推)
+        open_px_freeze = idx_open
+        try:
+            bv = _spot_bridge.bridge_buy_vwap(conn, bridge_id)
+            if bv is not None and float(bv) > 0:
+                open_px_freeze = float(bv)
+        except Exception:
+            pass
+
         _spot_bridge.update_bridge(
             conn,
             bridge_id,
@@ -520,14 +530,6 @@ def open_coin_option_buy_full(
             message="期权持仓中",
         )
 
-        # 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
-        open_px_freeze = idx_open
-        try:
-            bv = _spot_bridge.bridge_buy_vwap(conn, bridge_id)
-            if bv is not None and float(bv) > 0:
-                open_px_freeze = float(bv)
-        except Exception:
-            pass
         trade_id = _insert_coin_trade(
             conn,
             inst_id=inst_id,

lib/options/options_review_lib.py

@@ -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)
+        # 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)
-        prices_frozen = (
+        opx, cpx, _gate = resolve_spot_vwap_prices(
-            open_idx is not None
+            conn,
-            and open_idx > 0
+            bridge_id=r["bridge_id"],
-            and sell_idx is not None
+            open_index_px=open_idx,
-            and sell_idx > 0
+            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,
+            open_index_px=opx,
-            close_index_px=sell_idx,
+            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,
+            conn=conn,
-            bridge_id=use_bridge,
+            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
+                # VWAP 非空时覆盖指数占位;币量字段不改
-                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
                 conn.execute(
                     """
                     UPDATE options_trades
                     SET realized_pnl_usdt = ?,
-                        open_index_px = COALESCE(open_index_px, ?),
+                        open_index_px = COALESCE(?, open_index_px),
-                        close_index_px = COALESCE(close_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:

lib/options/options_spot_bridge_lib.py

@@ -778,6 +778,13 @@ def sell_residual_after_option_flat(
             }
         recovered = _safe_float(sell.get("usdt_recovered"))
         sold_amt = _safe_float(sell.get("coin_sold"))
+        # 缺 USDT 回报时用成交价×币量补,保证 close_sell VWAP 能落库
+        if (recovered is None or recovered <= 0) and sold_amt is not None and sold_amt > 0:
+            fill_px = _safe_float(sell.get("fill_px"))
+            if fill_px is not None and fill_px > 0:
+                recovered = round(float(sold_amt) * float(fill_px), 8)
+                sell = dict(sell)
+                sell["usdt_recovered"] = recovered
         # 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
         add_bridge_close_sell_fill(
             c,
@@ -809,6 +816,7 @@ def sell_residual_after_option_flat(
                 "bridge_id": bid,
                 "bridge_status": BRIDGE_PENDING_SELL,
             }
+        sell_vwap = bridge_sell_vwap(c, bid)
         update_bridge(
             c,
             bid,
@@ -818,13 +826,26 @@ def sell_residual_after_option_flat(
             message="期权已平,币已卖回 USDT",
             close=True,
         )
+        # 卖回 VWAP 写入关联已平仓(覆盖平仓时指数占位价)
+        if sell_vwap is not None and float(sell_vwap) > 0:
+            try:
+                c.execute(
+                    """
+                    UPDATE options_trades
+                    SET close_index_px = ?
+                    WHERE bridge_id = ? AND status = 'closed'
+                    """,
+                    (float(sell_vwap), int(bid)),
+                )
+            except Exception:
+                pass
         return {
             "ok": True,
             "sell": sell,
             "bridge_id": bid,
             "bridge_status": BRIDGE_CLOSED,
             "sell_complete": True,
-            "sell_vwap": bridge_sell_vwap(c, bid),
+            "sell_vwap": sell_vwap,
         }
 
     if get_db is not None:

lib/sim/hooks.py

@@ -421,6 +421,10 @@ def _patch_spot_bridge_lib() -> None:
                 if not is_sellable_spot_coin(ex, coin, amt):
                     min_sz = spot_min_sell_sz(ex, coin)
                     return {"ok": False, "msg": f"{coin} 可卖数量过小(低于现货最小 {min_sz:g})"}
+                # 平仓卖回(coin_amount=None)一次卖光;限量卖才留粉尘余量
+                if coin_amount is None:
+                    sell_sz = float(amt)
+                else:
                     sell_sz = max(0.0, float(amt) * 0.999)
                 if sell_sz <= 0 or not is_sellable_spot_coin(ex, coin, sell_sz):
                     return {"ok": False, "msg": f"{coin} 可卖数量过小"}
@@ -445,13 +449,20 @@ def _patch_spot_bridge_lib() -> None:
                     notify_instance_balance_changed()
                 except Exception:
                     pass
+                recovered = result.get("usdt_recovered")
+                if recovered is None and result.get("fill_px") is not None:
+                    try:
+                        recovered = round(float(sell_sz) * float(result.get("fill_px")), 8)
+                    except (TypeError, ValueError):
+                        recovered = None
                 return {
                     "ok": True,
                     "inst_id": result.get("inst_id") or "",
                     "ord_id": f"sim-spot-sell-{result.get('fill_px') or 0}",
                     "coin_sold": float(sell_sz),
+                    "fill_px": result.get("fill_px"),
                     "sim": True,
-                    "usdt_recovered": result.get("usdt_recovered"),
+                    "usdt_recovered": recovered,
                     "data": {"sCode": "0", "sMsg": "sim filled"},
                 }
         except Exception as e:

scripts/repair_options_spot_vwap_from_sim_ledger.py

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

tests/test_options_review_pnl_freeze.py

@@ -7,7 +7,7 @@ import unittest
 
 class ReviewLocalSyncFreezeTests(unittest.TestCase):
     def test_refresh_recomputes_u_keeps_frozen_qty_px(self):
-        """刷新按公式重算U;权利金币/币盈亏/开仓卖回价不变."""
+        """刷新按公式重算U;权利金币/币盈亏不变."""
         from lib.options.options_db import init_options_tables
         from lib.options.options_review_lib import sync_options_from_local_trades
         from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
@@ -55,6 +55,60 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
         self.assertAlmostEqual(float(row["realized_pnl_total"]), 700.0, places=2)
         conn.close()
 
+    def test_refresh_prefers_bridge_sell_vwap_over_wrong_index(self):
+        """库内卖回价若是指数占位,刷新须用桥上卖回 VWAP 纠正."""
+        from lib.options.options_db import init_options_tables
+        from lib.options.options_review_lib import sync_options_from_local_trades
+        from lib.options.options_spot_bridge_lib import (
+            BRIDGE_CLOSED,
+            add_bridge_buy_fill,
+            add_bridge_close_sell_fill,
+            ensure_bridge_table,
+            insert_bridge,
+            update_bridge,
+        )
+        from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
+        from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
+
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_options_tables(conn)
+        ensure_bridge_table(conn)
+        ensure_runtime_settings_table(conn)
+        runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
+        bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=990.0)
+        add_bridge_buy_fill(conn, bid, usdt_spent=840.10, coin_bought=0.01)
+        add_bridge_close_sell_fill(conn, bid, usdt_recovered=814.18, coin_sold=0.01)
+        update_bridge(conn, bid, status=BRIDGE_CLOSED, close=True)
+        conn.execute(
+            """
+            INSERT INTO options_trades(
+                inst_id, underlying, opt_type, sheets, eth_amount,
+                premium_paid, premium_received, realized_pnl, premium_ccy,
+                open_fee, close_fee, status, realized_pnl_usdt,
+                open_index_px, close_index_px, pnl_settled, bridge_id,
+                created_at, closed_at
+            ) VALUES (
+                'BTC-USD-261015-84000-P', 'BTC', 'P', 1, 0.01,
+                0.01, 0.02, 0.01, 'BTC',
+                0, 0, 'closed', 1544.0,
+                88086.0, 85400.0, 1, ?,
+                '2026-10-12 01:46:50', '2026-10-13 08:07:35'
+            )
+            """,
+            (bid,),
+        )
+        conn.commit()
+        sync_options_from_local_trades(conn, None)
+        trade = conn.execute(
+            "SELECT realized_pnl_usdt, open_index_px, close_index_px FROM options_trades WHERE id=1"
+        ).fetchone()
+        self.assertAlmostEqual(float(trade["open_index_px"]), 84010.0, places=2)
+        self.assertAlmostEqual(float(trade["close_index_px"]), 81418.0, places=2)
+        # A = 0.01*81418 - 0.01*(84010-81418) = 814.18 - 25.92 = 788.26
+        self.assertAlmostEqual(float(trade["realized_pnl_usdt"]), 788.26, places=2)
+        conn.close()
+
     def test_premium_usdt_move_formula(self):
         from lib.options.options_db import init_options_tables
         from lib.options.options_review_lib import sync_options_from_local_trades