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fix卖回未完成禁止用指数提前结算，并纠正买卖VWAP回退。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-13 10:50:50 +08:00
parent 53a624633d
commit 1aa279f191
4 changed files with 60 additions and 21 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/options/options_pnl_settle_lib.py
+3 -5
View File
@@ -226,7 +226,6 @@ def resolve_spot_vwap_prices(
try:
from lib.options.options_spot_bridge_lib import (
BRIDGE_CLOSED,
BRIDGE_PENDING_SELL,
bridge_buy_vwap,
bridge_sell_vwap,
ensure_bridge_table,
@@ -243,14 +242,13 @@ def resolve_spot_vwap_prices(
st = str(
row["status"] if row and hasattr(row, "keys") else (row[0] if row else "") or ""
)
if st == BRIDGE_PENDING_SELL:
# 桥未关闭(=卖回流程未结束):禁止用平仓指数冒充卖回 VWAP 提前结算
if st and st != BRIDGE_CLOSED:
return open_px, None, "pending_sell"
sv = bridge_sell_vwap(conn, bid)
if sv is not None and sv > 0:
close_px = sv
elif st == BRIDGE_CLOSED and (close_px is None or close_px <= 0):
# 已关桥但无 VWAP/冻结卖回价
return open_px, None, "missing"
# 已关桥但无卖回 VWAP:允许回退 close_index_px;两者都无则 missing
except Exception:
pass
if open_px is None or open_px <= 0 or close_px is None or close_px <= 0:
lib/options/options_review_lib.py
+12
View File
@@ -599,6 +599,18 @@ def sync_options_from_local_trades(
if pnl_src == "pending_sell":
status_label = "待卖回"
pnl_u = None
# 清掉曾用指数提前冻上的假真盈亏
try:
conn.execute(
"""
UPDATE options_trades
SET realized_pnl_usdt = NULL, pnl_settled = 0
WHERE id = ? AND COALESCE(pnl_settled, 0) = 1
""",
(trade_id,),
)
except Exception:
pass
elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
if frozen_usdt is None or abs(float(frozen_usdt) - float(pnl_u)) > 0.05:
try:
lib/options/options_spot_bridge_lib.py
+11 -16
View File
@@ -184,12 +184,16 @@ def add_bridge_close_sell_fill(
def bridge_buy_vwap(conn: sqlite3.Connection, bridge_id: int | None) -> float | None:
"""开仓买币 VWAP(USDT/币);多笔加权.忽略后续把 coin_bought 改成权利金量."""
"""开仓买币 VWAP(USDT/币);多笔加权.
只用 buy_usdt_spent/buy_coin_accum.禁止 budget/coin_bought:
开仓成功后 coin_bought 会被改成权利金量,用 budget/缩水量会把开仓价抬飞.
"""
if bridge_id is None:
return None
ensure_bridge_table(conn)
row = conn.execute(
"SELECT buy_usdt_spent, buy_coin_accum, budget_usdt, coin_bought FROM options_spot_bridge WHERE id=?",
"SELECT buy_usdt_spent, buy_coin_accum FROM options_spot_bridge WHERE id=?",
(int(bridge_id),),
).fetchone()
if not row:
@@ -198,21 +202,19 @@ def bridge_buy_vwap(conn: sqlite3.Connection, bridge_id: int | None) -> float |
coins = _safe_float(row["buy_coin_accum"] if hasattr(row, "keys") else row[1])
if spent is not None and coins is not None and spent > 0 and coins > 0:
return round(float(spent) / float(coins), 8)
# 旧桥无累加字段:用预算/买入量近似单笔
budget = _safe_float(row["budget_usdt"] if hasattr(row, "keys") else row[2])
bought = _safe_float(row["coin_bought"] if hasattr(row, "keys") else row[3])
if budget is not None and bought is not None and budget > 0 and bought > 0:
return round(float(budget) / float(bought), 8)
return None
def bridge_sell_vwap(conn: sqlite3.Connection, bridge_id: int | None) -> float | None:
"""平仓后卖回 VWAP(USDT/币);仅 close_sell_* 多笔加权,不含开仓多余卖回."""
"""平仓后卖回 VWAP(USDT/币);仅 close_sell_* 多笔加权.
禁止回退 usdt_recovered/coin_sold:后者常混有开仓多余卖回,会污染卖回均价.
"""
if bridge_id is None:
return None
ensure_bridge_table(conn)
row = conn.execute(
"SELECT close_sell_usdt, close_sell_coin, usdt_recovered, coin_sold, status FROM options_spot_bridge WHERE id=?",
"SELECT close_sell_usdt, close_sell_coin FROM options_spot_bridge WHERE id=?",
(int(bridge_id),),
).fetchone()
if not row:
@@ -221,13 +223,6 @@ def bridge_sell_vwap(conn: sqlite3.Connection, bridge_id: int | None) -> float |
c = _safe_float(row["close_sell_coin"] if hasattr(row, "keys") else row[1])
if u is not None and c is not None and u > 0 and c > 0:
return round(float(u) / float(c), 8)
# 旧桥无分拆字段且已关桥:用总收回/总卖出近似(可能含开仓多余卖回)
st = str(row["status"] if hasattr(row, "keys") else row[4] or "")
if st == BRIDGE_CLOSED:
ru = _safe_float(row["usdt_recovered"] if hasattr(row, "keys") else row[2])
sc = _safe_float(row["coin_sold"] if hasattr(row, "keys") else row[3])
if ru is not None and sc is not None and ru > 0 and sc > 0:
return round(float(ru) / float(sc), 8)
return None
tests/test_options_spot_vwap.py
+34
View File
@@ -76,6 +76,7 @@ class SpotVwapBridgeTests(unittest.TestCase):
def test_pending_sell_blocks_true_pnl(self):
from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
from lib.options.options_spot_bridge_lib import (
BRIDGE_HOLDING,
BRIDGE_PENDING_SELL,
add_bridge_buy_fill,
add_bridge_close_sell_fill,
@@ -103,6 +104,39 @@ class SpotVwapBridgeTests(unittest.TestCase):
)
self.assertEqual(src, "pending_sell")
self.assertIsNone(pnl)
# holding 未关桥同样不得用指数提前结算
update_bridge(conn, bid, status=BRIDGE_HOLDING)
pnl2, src2 = resolve_true_pnl_usdt_from_trade(
premium_paid=0.01,
premium_received=0.02,
realized_pnl=0.01,
open_index_px=3000.0,
close_index_px=3000.0,
premium_ccy="ETH",
conn=conn,
bridge_id=bid,
)
self.assertEqual(src2, "pending_sell")
self.assertIsNone(pnl2)
conn.close()
def test_buy_vwap_ignores_shrunk_coin_bought(self):
"""开仓后 coin_bought 被改成权利金量时,不得用 budget/缩水量当买价."""
from lib.options.options_spot_bridge_lib import (
add_bridge_buy_fill,
bridge_buy_vwap,
ensure_bridge_table,
insert_bridge,
update_bridge,
)
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
ensure_bridge_table(conn)
bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=2200)
add_bridge_buy_fill(conn, bid, usdt_spent=2200.0, coin_bought=1.1)
update_bridge(conn, bid, coin_bought=0.01) # 缩成权利金
self.assertAlmostEqual(float(bridge_buy_vwap(conn, bid)), 2000.0, places=4)
conn.close()