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feat数据统计曲线改为权益采样，现金加现货币权利金与浮盈。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-13 12:52:00 +08:00
parent fc0d76d174
commit 11c67b3c44
5 changed files with 291 additions and 36 deletions
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lib/common/static/options_data_stats.js
+2 -2
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@@ -1,5 +1,5 @@
/**
* 实例数据统计:复盘 KPI + 资金曲线.
* 实例数据统计:复盘 KPI + 权益曲线.
*/
(function (global) {
"use strict";
@@ -278,7 +278,7 @@
drawCurve(pts);
if (meta) {
meta.textContent =
"采样 " +
"权益采样 " +
pts.length +
" 点 · 最新 " +
fmtCash(data.latest != null ? data.latest : pts.length ? pts[pts.length - 1].v : null);
lib/instance/instance_cash_sample_lib.py
+121 -19
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@@ -1,4 +1,4 @@
"""实例资金曲线采样:现金余额(不含权利金/浮盈),供数据统计页使用."""
"""实例资金曲线采样:权益(现金+现货币+权利金+浮盈),供数据统计页使用."""
from __future__ import annotations
import datetime as dt
@@ -36,6 +36,10 @@ def init_cash_sample_table(conn) -> None:
)
"""
)
try:
conn.execute("ALTER TABLE instance_cash_samples ADD COLUMN equity_usdt REAL")
except Exception:
pass
def _safe_float(v: Any) -> Optional[float]:
@@ -48,7 +52,7 @@ def _safe_float(v: Any) -> Optional[float]:
def cash_usdt_from_balances(bal: dict[str, Any] | None) -> Optional[float]:
"""现金 = 交易账户 + 资金账户(优先 USDT,否则 USDC);不含权利金/浮盈."""
"""稳定币现金 = 交易账户 + 资金账户(优先 USDT,否则 USDC)."""
if not isinstance(bal, dict):
return None
parts = [_safe_float(bal.get("trading_usdt")), _safe_float(bal.get("funding_usdt"))]
@@ -60,16 +64,93 @@ def cash_usdt_from_balances(bal: dict[str, Any] | None) -> Optional[float]:
return round(sum(known), 4)
def record_cash_sample(conn, cash_usdt: float, *, ts_ms: int | None = None) -> None:
def spot_coin_usdt_from_balances(
bal: dict[str, Any] | None,
*,
btc_px: float | None = None,
eth_px: float | None = None,
) -> float:
"""交易+资金账户 BTC/ETH 现货按指数折 U(缓冲买币占用)."""
if not isinstance(bal, dict):
return 0.0
total = 0.0
btc = (_safe_float(bal.get("trading_btc")) or 0.0) + (
_safe_float(bal.get("funding_btc")) or 0.0
)
eth = (_safe_float(bal.get("trading_eth")) or 0.0) + (
_safe_float(bal.get("funding_eth")) or 0.0
)
if btc > 0 and btc_px is not None and btc_px > 0:
total += btc * float(btc_px)
if eth > 0 and eth_px is not None and eth_px > 0:
total += eth * float(eth_px)
return round(total, 4)
def option_premium_and_upl_usdt(positions: list[dict[str, Any]] | None) -> tuple[float, float]:
"""持仓权利金U + 浮盈U(权利金+浮盈≈期权市值)."""
prem = 0.0
upl = 0.0
if not positions:
return 0.0, 0.0
from lib.options.options_positions_lib import (
display_pnl_usdt_from_option_row,
premium_paid_usdt_from_option_row,
)
for p in positions:
if not isinstance(p, dict):
continue
try:
pu = premium_paid_usdt_from_option_row(p)
except Exception:
pu = None
if pu is not None:
prem += float(pu)
try:
du = display_pnl_usdt_from_option_row(p)
except Exception:
du = None
if du is not None:
upl += float(du)
return round(prem, 4), round(upl, 4)
def equity_usdt_from_snapshot(
bal: dict[str, Any] | None,
positions: list[dict[str, Any]] | None = None,
*,
btc_px: float | None = None,
eth_px: float | None = None,
) -> Optional[float]:
"""权益 = 稳定币现金 + 现货币折U + 权利金U + 浮盈U."""
cash = cash_usdt_from_balances(bal)
spot = spot_coin_usdt_from_balances(bal, btc_px=btc_px, eth_px=eth_px)
prem, upl = option_premium_and_upl_usdt(positions)
if cash is None and spot <= 0 and prem == 0 and upl == 0:
return None
return round(float(cash or 0.0) + float(spot) + float(prem) + float(upl), 4)
def record_cash_sample(
conn,
cash_usdt: float,
*,
equity_usdt: float | None = None,
ts_ms: int | None = None,
) -> None:
init_cash_sample_table(conn)
t = int(ts_ms if ts_ms is not None else time.time() * 1000)
eq = float(equity_usdt) if equity_usdt is not None else float(cash_usdt)
conn.execute(
"""
INSERT INTO instance_cash_samples(ts_ms, cash_usdt)
VALUES (?, ?)
ON CONFLICT(ts_ms) DO UPDATE SET cash_usdt=excluded.cash_usdt
INSERT INTO instance_cash_samples(ts_ms, cash_usdt, equity_usdt)
VALUES (?, ?, ?)
ON CONFLICT(ts_ms) DO UPDATE SET
cash_usdt=excluded.cash_usdt,
equity_usdt=excluded.equity_usdt
""",
(t, float(cash_usdt)),
(t, float(cash_usdt), eq),
)
keep_ms = cash_sample_keep_days() * 86400 * 1000
cutoff = t - keep_ms
@@ -95,17 +176,23 @@ def query_cash_series_with_db(conn, *, range_key: str = "7d") -> dict[str, Any]:
init_cash_sample_table(conn)
rows = conn.execute(
"""
SELECT ts_ms, cash_usdt
SELECT ts_ms, cash_usdt, equity_usdt
FROM instance_cash_samples
WHERE ts_ms >= ?
ORDER BY ts_ms ASC
""",
(start_ms,),
).fetchall()
points = [{"t": int(r["ts_ms"]), "v": float(r["cash_usdt"])} for r in rows]
points = []
for r in rows:
cash = float(r["cash_usdt"])
eq = r["equity_usdt"]
v = float(eq) if eq is not None else cash
points.append({"t": int(r["ts_ms"]), "v": v, "cash": cash})
return {
"ok": True,
"range": rk,
"metric": "equity",
"points": points,
"start_ms": start_ms,
"end_ms": now_ms,
@@ -113,20 +200,36 @@ def query_cash_series_with_db(conn, *, range_key: str = "7d") -> dict[str, Any]:
}
def sample_once(get_db: Callable, fetch_balances: Callable) -> bool:
"""拉取余额并写入采样;成功返回 True."""
def sample_once(get_db: Callable, fetch_snapshot: Callable) -> bool:
"""拉取快照并写入采样.
fetch_snapshot 可返回:
- float: 视为权益(兼容旧现金回调)
- dict: {cash_usdt, equity_usdt}
"""
global _last_sample_at
try:
bal = fetch_balances()
snap = fetch_snapshot()
except Exception:
return False
cash = cash_usdt_from_balances(bal if isinstance(bal, dict) else None)
if cash is None:
cash: float | None
equity: float | None
if isinstance(snap, dict):
cash = _safe_float(snap.get("cash_usdt"))
equity = _safe_float(snap.get("equity_usdt"))
else:
cash = _safe_float(snap)
equity = cash
if equity is None and cash is None:
return False
if cash is None:
cash = float(equity or 0.0)
if equity is None:
equity = float(cash)
with _lock:
conn = get_db()
try:
record_cash_sample(conn, cash)
record_cash_sample(conn, float(cash), equity_usdt=float(equity))
conn.commit()
finally:
conn.close()
@@ -134,23 +237,22 @@ def sample_once(get_db: Callable, fetch_balances: Callable) -> bool:
return True
def start_cash_sample_loop(get_db: Callable, fetch_balances: Callable) -> None:
def start_cash_sample_loop(get_db: Callable, fetch_snapshot: Callable) -> None:
global _thread
if _thread and _thread.is_alive():
return
_stop.clear()
def _loop() -> None:
# 启动后立刻采一笔,避免曲线长期空白
try:
sample_once(get_db, fetch_balances)
sample_once(get_db, fetch_snapshot)
except Exception:
pass
while not _stop.is_set():
if _stop.wait(cash_sample_interval_sec()):
break
try:
sample_once(get_db, fetch_balances)
sample_once(get_db, fetch_snapshot)
except Exception:
pass
lib/instance/instance_data_stats_register.py
+68 -11
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@@ -1,4 +1,4 @@
"""实例数据统计:复盘 KPI + 资金曲线 API,以及后台现金采样."""
"""实例数据统计:复盘 KPI + 权益曲线 API,以及后台权益采样."""
from __future__ import annotations
from typing import Any, Callable
@@ -10,13 +10,72 @@ def install_instance_data_stats(app: Flask, app_module: Any) -> None:
get_db: Callable = app_module.get_db
login_required = app_module.login_required
def _fetch_balances() -> dict[str, Any]:
ex = getattr(app_module, "exchange_options", None)
if ex is None:
return {}
from lib.exchange.okx_options_lib import fetch_options_balances
def _fetch_equity_snapshot() -> dict[str, Any]:
from lib.instance.instance_cash_sample_lib import (
cash_usdt_from_balances,
equity_usdt_from_snapshot,
)
return fetch_options_balances(ex, force=False) or {}
ex = getattr(app_module, "exchange_options", None)
bal: dict[str, Any] = {}
if ex is not None:
try:
from lib.exchange.okx_options_lib import fetch_options_balances
bal = fetch_options_balances(ex, force=False) or {}
except Exception:
bal = {}
cash = cash_usdt_from_balances(bal if isinstance(bal, dict) else None)
positions: list[dict[str, Any]] = []
cfg = None
try:
cfg = app.extensions.get("options_cfg")
except Exception:
cfg = None
if isinstance(cfg, dict) and cfg.get("enabled"):
try:
from lib.options.options_dashboard_lib import (
fetch_light_option_positions_for_dashboard,
)
positions = fetch_light_option_positions_for_dashboard(cfg) or []
except Exception:
positions = []
btc_px = eth_px = None
if ex is not None:
try:
from lib.options.options_stats_lib import _underlying_index_usdt
btc_px = _underlying_index_usdt(ex, "BTC")
eth_px = _underlying_index_usdt(ex, "ETH")
except Exception:
btc_px = eth_px = None
if (btc_px is None or eth_px is None) and positions:
for p in positions:
if not isinstance(p, dict):
continue
under = str(p.get("underlying") or "").upper()
idx = None
try:
idx = float(p.get("idx_px") or p.get("index_px") or 0)
except (TypeError, ValueError):
idx = None
if idx is None or idx <= 0:
continue
if under == "BTC" and btc_px is None:
btc_px = idx
elif under == "ETH" and eth_px is None:
eth_px = idx
equity = equity_usdt_from_snapshot(
bal if isinstance(bal, dict) else None,
positions,
btc_px=btc_px,
eth_px=eth_px,
)
return {"cash_usdt": cash, "equity_usdt": equity}
@app.route("/api/instance/cash_curve")
@login_required
@@ -26,9 +85,8 @@ def install_instance_data_stats(app: Flask, app_module: Any) -> None:
sample_once,
)
# 打开页面时尽量补一笔最新点(失败忽略)
try:
sample_once(get_db, _fetch_balances)
sample_once(get_db, _fetch_equity_snapshot)
except Exception:
pass
range_key = (request.args.get("range") or "7d").strip()
@@ -40,10 +98,9 @@ def install_instance_data_stats(app: Flask, app_module: Any) -> None:
finally:
conn.close()
# 后台采样(daemon);无密钥时会空转跳过
try:
from lib.instance.instance_cash_sample_lib import start_cash_sample_loop
start_cash_sample_loop(get_db, _fetch_balances)
start_cash_sample_loop(get_db, _fetch_equity_snapshot)
except Exception as e:
print(f"[instance_cash_sample] start skipped: {e}", flush=True)
lib/instance/templates/options_data_stats_panel.html
+4 -4
View File
@@ -68,8 +68,8 @@
</section>
<section class="ods-section" aria-labelledby="ods-curve-heading">
<div class="ods-section-title" id="ods-curve-heading">资金曲线</div>
<p class="ods-section-desc">现金余额(交易账户+资金账户,不含权利金与浮盈);后台定时采样。</p>
<div class="ods-section-title" id="ods-curve-heading">权益曲线</div>
<p class="ods-section-desc">权益=稳定币现金+现货币折U+持仓权利金U+浮盈U;后台定时采样。</p>
<div class="ods-curve-toolbar">
<button type="button" class="ods-range-btn active" data-range="today">今日</button>
<button type="button" class="ods-range-btn" data-range="7d">7日</button>
@@ -78,8 +78,8 @@
<span class="ods-curve-meta" id="ods-curve-meta">—</span>
</div>
<div class="ods-curve-wrap">
<svg id="ods-curve-svg" class="ods-curve-svg" viewBox="0 0 640 240" preserveAspectRatio="none" role="img" aria-label="资金曲线"></svg>
<svg id="ods-curve-svg" class="ods-curve-svg" viewBox="0 0 640 240" preserveAspectRatio="none" role="img" aria-label="权益曲线"></svg>
</div>
</section>
</div>
<script src="/static/options_data_stats.js?v=1"></script>
<script src="/static/options_data_stats.js?v=2"></script>
tests/test_instance_equity_sample.py
+96
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@@ -0,0 +1,96 @@
"""权益曲线采样:现金+现货币+权利金+浮盈."""
from __future__ import annotations
import sqlite3
import unittest
class EquitySampleTests(unittest.TestCase):
def test_equity_fills_open_cliff(self):
from lib.instance.instance_cash_sample_lib import equity_usdt_from_snapshot
# 开仓后:USDT 所剩无几,BTC 缓冲 + 权利金仓位
bal = {
"trading_usdt": 50.0,
"funding_usdt": 0.0,
"trading_btc": 0.001,
"funding_btc": 0.0,
}
positions = [
{
"premium_paid": 0.01,
"premium_ccy": "BTC",
"open_index_px": 84000.0,
"idx_px": 84000.0,
"net_pnl": 0.0,
"mark": 0.01,
}
]
# cash 50 + spot 84 + premium 840 = 974; 浮盈约 0
eq = equity_usdt_from_snapshot(bal, positions, btc_px=84000.0, eth_px=None)
self.assertIsNotNone(eq)
self.assertGreater(float(eq), 900.0)
# 纯现金会只有 50
from lib.instance.instance_cash_sample_lib import cash_usdt_from_balances
self.assertAlmostEqual(float(cash_usdt_from_balances(bal)), 50.0, places=2)
def test_query_prefers_equity_column(self):
from lib.instance.instance_cash_sample_lib import (
init_cash_sample_table,
query_cash_series_with_db,
record_cash_sample,
)
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_cash_sample_table(conn)
record_cash_sample(conn, 100.0, equity_usdt=500.0, ts_ms=1_700_000_000_000)
record_cash_sample(conn, 120.0, equity_usdt=None, ts_ms=1_700_000_060_000)
# 旧点无 equity 列时回退 cash:手动插一条仅 cash
conn.execute(
"INSERT INTO instance_cash_samples(ts_ms, cash_usdt) VALUES (?, ?)",
(1_700_000_120_000, 130.0),
)
conn.commit()
out = query_cash_series_with_db(conn, range_key="all")
self.assertTrue(out["ok"])
self.assertEqual(out["metric"], "equity")
pts = out["points"]
self.assertEqual(len(pts), 3)
self.assertAlmostEqual(pts[0]["v"], 500.0, places=2)
self.assertAlmostEqual(pts[1]["v"], 120.0, places=2) # equity 默认写成 cash
self.assertAlmostEqual(pts[2]["v"], 130.0, places=2) # 历史无 equity → cash
conn.close()
def test_sample_once_dict_snapshot(self):
import tempfile
from pathlib import Path
from lib.instance.instance_cash_sample_lib import (
query_cash_series_with_db,
sample_once,
)
tmp = Path(tempfile.mkdtemp()) / "eq.db"
def get_db():
c = sqlite3.connect(str(tmp))
c.row_factory = sqlite3.Row
return c
ok = sample_once(
get_db,
lambda: {"cash_usdt": 200.0, "equity_usdt": 950.0},
)
self.assertTrue(ok)
conn = get_db()
try:
out = query_cash_series_with_db(conn, range_key="all")
self.assertAlmostEqual(float(out["latest"]), 950.0, places=2)
finally:
conn.close()
if __name__ == "__main__":
unittest.main()