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修复已实现盈亏重复扣手续费，并自动纠正偏亏冻结值。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-08 23:03:31 +08:00
parent 5e8b578f75
commit 2369aae362
4 changed files with 258 additions and 84 deletions
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lib/options/options_stats_lib.py
+106 -38
View File
@@ -308,13 +308,16 @@ _CLOSED_STATS_SELECT = """
def freeze_missing_realized_pnl_usdt(conn, ex: Any = None) -> int:
"""旧已平仓缺冻结 U 时按 close_index/当前指数写一次,之后不再跟盘变."""
"""旧已平仓缺冻结 U 时按 close_index/当前指数写一次,之后不再跟盘变.
注意:已有 realized_pnl 视为净额直接冻结,不再二次扣 open_fee/close_fee
(避免对 OKX realizedPnl 或已扣费本地净额重复减费).
"""
init_options_tables(conn)
rows = conn.execute(
"""
SELECT id, realized_pnl, realized_pnl_usdt, close_index_px,
inst_id, underlying, premium_ccy, premium_paid, premium_received,
open_fee, close_fee
inst_id, underlying, premium_ccy
FROM options_trades
WHERE status = 'closed'
AND realized_pnl_usdt IS NULL
@@ -325,7 +328,10 @@ def freeze_missing_realized_pnl_usdt(conn, ex: Any = None) -> int:
).fetchall()
if not rows:
return 0
from lib.options.options_pnl_settle_lib import settle_closed_pnl, resolve_close_index_px
from lib.options.options_pnl_settle_lib import (
freeze_pnl_to_usdt,
resolve_close_index_px,
)
updated = 0
for row in rows:
@@ -337,48 +343,106 @@ def freeze_missing_realized_pnl_usdt(conn, ex: Any = None) -> int:
inst_id=str(_row_get(row, "inst_id") or ""),
underlying=str(_row_get(row, "underlying") or ""),
)
# 有手续费列时按净额重算;否则用已有 realized_pnl 冻结
ofee = _safe_float(_row_get(row, "open_fee")) or 0.0
cfee = _safe_float(_row_get(row, "close_fee")) or 0.0
paid = _row_get(row, "premium_paid")
recv = _row_get(row, "premium_received")
if paid is not None and recv is not None and (ofee > 0 or cfee > 0):
settled = settle_closed_pnl(
premium_paid=paid,
premium_received=recv,
open_fee=ofee,
close_fee=cfee,
premium_ccy=ccy or "USDC",
index_px=idx,
)
pnl = settled.get("realized_pnl")
usdt = settled.get("realized_pnl_usdt")
close_idx = settled.get("close_index_px")
else:
pnl = _safe_float(_row_get(row, "realized_pnl"))
if pnl is None:
continue
settled = settle_closed_pnl(
premium_paid=0,
premium_received=pnl,
open_fee=0,
close_fee=0,
premium_ccy=ccy or "USDC",
index_px=idx,
)
usdt = settled.get("realized_pnl_usdt")
close_idx = settled.get("close_index_px")
pnl = _safe_float(_row_get(row, "realized_pnl"))
if pnl is None:
continue
settled = freeze_pnl_to_usdt(pnl, premium_ccy=ccy or "USDC", index_px=idx)
usdt = settled.get("realized_pnl_usdt")
close_idx = settled.get("close_index_px")
if usdt is None:
continue
conn.execute(
"""
UPDATE options_trades
SET realized_pnl_usdt = ?,
close_index_px = COALESCE(close_index_px, ?),
realized_pnl = COALESCE(?, realized_pnl)
close_index_px = COALESCE(close_index_px, ?)
WHERE id = ? AND realized_pnl_usdt IS NULL
""",
(float(usdt), close_idx, pnl, int(row["id"])),
(float(usdt), close_idx, int(row["id"])),
)
updated += 1
return updated
def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
"""修复「交易所净盈亏上又减了一次手续费」导致的偏亏冻结值.
判定:存在开/平手续费,且 realized_pnl ≈ (recv-paid) - 2×fees,则改回只扣一次.
若无可靠 recv/paid,但 usdt ≈ (realized + fees)×index 的反向不符则跳过.
"""
init_options_tables(conn)
rows = conn.execute(
"""
SELECT id, realized_pnl, realized_pnl_usdt, close_index_px,
inst_id, underlying, premium_ccy, premium_paid, premium_received,
open_fee, close_fee
FROM options_trades
WHERE status = 'closed'
AND (COALESCE(open_fee, 0) > 0 OR COALESCE(close_fee, 0) > 0)
AND premium_paid IS NOT NULL
AND premium_received IS NOT NULL
ORDER BY id DESC
LIMIT 300
"""
).fetchall()
if not rows:
return 0
from lib.options.options_pnl_settle_lib import resolve_close_index_px, settle_closed_pnl
updated = 0
for row in rows:
paid = _safe_float(_row_get(row, "premium_paid"))
recv = _safe_float(_row_get(row, "premium_received"))
ofee = abs(_safe_float(_row_get(row, "open_fee")) or 0.0)
cfee = abs(_safe_float(_row_get(row, "close_fee")) or 0.0)
fees = ofee + cfee
if paid is None or recv is None or fees <= 0:
continue
gross = float(recv) - float(paid)
single = round(gross - fees, 8)
double = round(gross - 2.0 * fees, 8)
cur = _safe_float(_row_get(row, "realized_pnl"))
usdt = _safe_float(_row_get(row, "realized_pnl_usdt"))
ccy = str(_row_get(row, "premium_ccy") or "").strip().upper() or "ETH"
idx = _safe_float(_row_get(row, "close_index_px"))
if idx is None or idx <= 0:
idx = resolve_close_index_px(
ex,
inst_id=str(_row_get(row, "inst_id") or ""),
underlying=str(_row_get(row, "underlying") or ""),
)
# 币数量层面像双重扣费,或 U 层面像双重扣费
coin_double = cur is not None and abs(cur - double) <= max(1e-8, abs(fees) * 1e-6)
usdt_double = False
if usdt is not None and idx is not None and idx > 0 and ccy in ("ETH", "BTC"):
usdt_double = abs(usdt - double * float(idx)) <= max(0.02, abs(fees * float(idx)) * 0.05)
if not coin_double and not usdt_double:
# 若当前已是单次扣费则不动
continue
settled = settle_closed_pnl(
premium_paid=paid,
premium_received=recv,
open_fee=ofee,
close_fee=cfee,
premium_ccy=ccy,
index_px=idx,
)
if settled.get("realized_pnl_usdt") is None and settled.get("realized_pnl") is None:
continue
conn.execute(
"""
UPDATE options_trades
SET realized_pnl = ?,
close_index_px = COALESCE(?, close_index_px),
realized_pnl_usdt = ?
WHERE id = ?
""",
(
settled.get("realized_pnl"),
settled.get("close_index_px"),
settled.get("realized_pnl_usdt"),
int(row["id"]),
),
)
updated += 1
return updated
@@ -387,6 +451,10 @@ def freeze_missing_realized_pnl_usdt(conn, ex: Any = None) -> int:
def load_local_options_stats_history(conn, ex: Any = None) -> list[dict[str, Any]]:
"""本地已平(含冻结 U/手续费净额) + 当前 open,供统计/中控窗口复用."""
init_options_tables(conn)
try:
repair_double_counted_fee_pnl(conn, ex)
except Exception:
pass
try:
freeze_missing_realized_pnl_usdt(conn, ex)
except Exception: