修复已实现盈亏重复扣手续费，并自动纠正偏亏冻结值。

Co-authored-by: Cursor <cursoragent@cursor.com>

lib/options/options_monitor_lib.py

@@ -199,7 +199,10 @@ def backfill_closed_options_realized_pnl_from_history(
     if not rows:
         return 0
 
-    from lib.options.options_pnl_settle_lib import resolve_close_index_px, settle_closed_pnl
+    from lib.options.options_pnl_settle_lib import (
+        resolve_close_index_px,
+        settle_exchange_realized_pnl,
+    )
 
     groups: dict[str, list[Any]] = {}
     for row in rows:
@@ -262,18 +265,17 @@ def backfill_closed_options_realized_pnl_from_history(
             ord_ok = (not matched_pos) or (local_ord == matched_pos)
             if pnl_ok and quote_ok and ord_ok:
                 continue
-            prem_recv = round(paid + share, 4)
+            # OKX realizedPnl 已含手续费,只冻结折 U,禁止再减 open_fee/close_fee
-            ofee = float(_safe_float(r["open_fee"]) or 0.0)
-            cfee = float(_safe_float(r["close_fee"]) or 0.0)
             prem_ccy = str(r["premium_ccy"] or "").strip() or "ETH"
-            settled = settle_closed_pnl(
+            settled = settle_exchange_realized_pnl(
-                premium_paid=paid,
+                realized_pnl=share,
-                premium_received=prem_recv,
-                open_fee=ofee,
-                close_fee=cfee,
                 premium_ccy=prem_ccy,
                 index_px=close_idx,
             )
+            # 展示用收回≈已付+净盈亏+已记手续费(毛额近似,不参与再扣费)
+            ofee = float(_safe_float(r["open_fee"]) or 0.0)
+            cfee = float(_safe_float(r["close_fee"]) or 0.0)
+            prem_recv = round(paid + share + ofee + cfee, 4)
             conn.execute(
                 """
                 UPDATE options_trades
@@ -321,7 +323,11 @@ def sync_open_options_trades(
     updated = 0
     closed_inst_ids: list[str] = []
     now_ms = int(time.time() * 1000)
-    from lib.options.options_pnl_settle_lib import resolve_close_index_px, settle_closed_pnl
+    from lib.options.options_pnl_settle_lib import (
+        resolve_close_index_px,
+        settle_closed_pnl,
+        settle_exchange_realized_pnl,
+    )
 
     for row in rows:
         inst_id = str(row["inst_id"] or "")
@@ -345,8 +351,6 @@ def sync_open_options_trades(
             close_quote = close_info.get("close_quote")
             realized_pnl = close_info.get("realized_pnl")
             close_ord_id = close_info.get("pos_id")
-            if realized_pnl is not None:
-                prem_recv = round(paid + float(realized_pnl), 4)
             close_ms = close_info.get("close_ms")
             if close_ms:
                 closed_at = ms_to_options_app_str(close_ms)
@@ -367,17 +371,27 @@ def sync_open_options_trades(
         prem_ccy = str(row["premium_ccy"] or "").strip() or "ETH"
         underly = str(row["underlying"] or "").strip()
         close_idx = resolve_close_index_px(None, inst_id=inst_id, underlying=underly)
-        # 交易所 pnl 多为权利金差;再扣本地开仓费后冻结(平仓费此处无单号,记 0)
+        if close_reason == "exchange" and realized_pnl is not None:
-        if prem_recv is None and realized_pnl is not None:
+            # OKX realizedPnl 已含费,禁止再减 open_fee
-            prem_recv = round(paid + float(realized_pnl), 4)
+            settled = settle_exchange_realized_pnl(
-        settled = settle_closed_pnl(
+                realized_pnl=realized_pnl,
-            premium_paid=paid,
+                premium_ccy=prem_ccy,
-            premium_received=prem_recv if prem_recv is not None else (paid + float(realized_pnl or 0)),
+                index_px=close_idx,
-            open_fee=open_fee,
+                fee_hint=open_fee,
-            close_fee=0,
+            )
-            premium_ccy=prem_ccy,
+            prem_recv = round(paid + float(realized_pnl) + open_fee, 4)
-            index_px=close_idx,
+        else:
-        )
+            # 到期归零:本地权利金口径,只扣一次开仓费
+            if prem_recv is None:
+                prem_recv = 0.0
+            settled = settle_closed_pnl(
+                premium_paid=paid,
+                premium_received=prem_recv,
+                open_fee=open_fee,
+                close_fee=0,
+                premium_ccy=prem_ccy,
+                index_px=close_idx,
+            )
         realized_pnl = settled.get("realized_pnl")
         pnl_usdt = settled.get("realized_pnl_usdt")
 

lib/options/options_pnl_settle_lib.py

@@ -114,6 +114,40 @@ def sum_option_order_fees_in_premium(
     return round(total, 8)
 
 
+def freeze_pnl_to_usdt(
+    net_pnl: float,
+    *,
+    premium_ccy: str,
+    index_px: float | None,
+    total_fee: float = 0.0,
+) -> dict[str, float | None]:
+    """把已是「净额」的权利金盈亏冻结为 U(不再扣费)."""
+    net = round(float(net_pnl), 8)
+    pc = str(premium_ccy or "").strip().upper()
+    idx = _safe_float(index_px)
+    fee_total = abs(float(total_fee or 0.0))
+    if pc in ("ETH", "BTC"):
+        if idx is None or idx <= 0:
+            return {
+                "realized_pnl": net,
+                "close_index_px": None,
+                "realized_pnl_usdt": None,
+                "total_fee": round(fee_total, 8),
+            }
+        return {
+            "realized_pnl": net,
+            "close_index_px": float(idx),
+            "realized_pnl_usdt": round(net * float(idx), 4),
+            "total_fee": round(fee_total, 8),
+        }
+    return {
+        "realized_pnl": net,
+        "close_index_px": float(idx) if idx is not None and idx > 0 else None,
+        "realized_pnl_usdt": round(net, 4),
+        "total_fee": round(fee_total, 8),
+    }
+
+
 def settle_closed_pnl(
     *,
     premium_paid: Any,
@@ -124,8 +158,9 @@ def settle_closed_pnl(
     index_px: float | None,
 ) -> dict[str, float | None]:
     """
-    净盈亏 = 收回 − 已付 − 开/平手续费(权利金单位).
+    由「毛权利金」结算:净盈亏 = 收回 − 已付 − 开/平手续费(权利金单位).
-    币本位再乘平仓指数得到冻结 U;USDC/USDT 直接冻结.
+    仅用于本地开平仓权利金口径;不要对 OKX realizedPnl 再调此函数扣费
+    (交易所 realizedPnl = pnl + fee + ..., 已含手续费).
     """
     paid = float(_safe_float(premium_paid) or 0.0)
     recv = float(_safe_float(premium_received) or 0.0)
@@ -136,29 +171,39 @@ def settle_closed_pnl(
     if cfee < 0:
         cfee = abs(cfee)
     net = round(recv - paid - ofee - cfee, 8)
-    pc = str(premium_ccy or "").strip().upper()
+    return freeze_pnl_to_usdt(
-    idx = _safe_float(index_px)
+        net,
-    if pc in ("ETH", "BTC"):
+        premium_ccy=premium_ccy,
-        if idx is None or idx <= 0:
+        index_px=index_px,
-            return {
+        total_fee=ofee + cfee,
-                "realized_pnl": net,
+    )
-                "close_index_px": None,
+
-                "realized_pnl_usdt": None,
+
-                "total_fee": round(ofee + cfee, 8),
+def settle_exchange_realized_pnl(
-            }
+    *,
+    realized_pnl: Any,
+    premium_ccy: str,
+    index_px: float | None,
+    fee_hint: Any = None,
+) -> dict[str, float | None]:
+    """
+    冻结交易所 positions-history 的 realizedPnl.
+    该字段已含手续费,此处只折 U,不再减 fee.
+    """
+    net = _safe_float(realized_pnl)
+    if net is None:
         return {
-            "realized_pnl": net,
+            "realized_pnl": None,
-            "close_index_px": float(idx),
+            "close_index_px": None,
-            "realized_pnl_usdt": round(net * float(idx), 4),
+            "realized_pnl_usdt": None,
-            "total_fee": round(ofee + cfee, 8),
+            "total_fee": fee_amount_abs(fee_hint),
         }
-    # USDC / USDT 权利金
+    return freeze_pnl_to_usdt(
-    return {
+        float(net),
-        "realized_pnl": net,
+        premium_ccy=premium_ccy,
-        "close_index_px": float(idx) if idx is not None and idx > 0 else None,
+        index_px=index_px,
-        "realized_pnl_usdt": round(net, 4),
+        total_fee=fee_amount_abs(fee_hint),
-        "total_fee": round(ofee + cfee, 8),
+    )
-    }
 
 
 def resolve_close_index_px(

lib/options/options_stats_lib.py

@@ -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,
+               inst_id, underlying, premium_ccy
-               open_fee, close_fee
         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
+        pnl = _safe_float(_row_get(row, "realized_pnl"))
-        ofee = _safe_float(_row_get(row, "open_fee")) or 0.0
+        if pnl is None:
-        cfee = _safe_float(_row_get(row, "close_fee")) or 0.0
+            continue
-        paid = _row_get(row, "premium_paid")
+        settled = freeze_pnl_to_usdt(pnl, premium_ccy=ccy or "USDC", index_px=idx)
-        recv = _row_get(row, "premium_received")
+        usdt = settled.get("realized_pnl_usdt")
-        if paid is not None and recv is not None and (ofee > 0 or cfee > 0):
+        close_idx = settled.get("close_index_px")
-            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")
         if usdt is None:
             continue
         conn.execute(
             """
             UPDATE options_trades
             SET realized_pnl_usdt = ?,
-                close_index_px = COALESCE(close_index_px, ?),
+                close_index_px = COALESCE(close_index_px, ?)
-                realized_pnl = COALESCE(?, realized_pnl)
             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:

tests/test_options_pnl_settle.py

@@ -6,6 +6,7 @@ import unittest
 from lib.options.options_pnl_settle_lib import (
     fee_to_premium_ccy,
     settle_closed_pnl,
+    settle_exchange_realized_pnl,
 )
 from lib.options.options_stats_lib import (
     compute_options_stats_from_history,
@@ -57,6 +58,52 @@ class SettleClosedPnlTests(unittest.TestCase):
         self.assertAlmostEqual(float(s["realized_pnl"]), 1.8, places=4)
         self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 1.8, places=4)
 
+    def test_exchange_realized_not_fee_again(self):
+        # OKX realizedPnl 已含费:只折 U,不得再减 fee
+        s = settle_exchange_realized_pnl(
+            realized_pnl=0.009,
+            premium_ccy="ETH",
+            index_px=3000,
+            fee_hint=0.001,
+        )
+        self.assertAlmostEqual(float(s["realized_pnl"]), 0.009, places=8)
+        self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 27.0, places=4)
+
+
+class RepairDoubleFeeTests(unittest.TestCase):
+    def test_repair_detects_double_fee(self):
+        import sqlite3
+
+        from lib.options.options_db import init_options_tables
+        from lib.options.options_stats_lib import repair_double_counted_fee_pnl
+
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_options_tables(conn)
+        # recv-paid=0.01, fees=0.001 → 单次净 0.009;错误写成双重 0.008
+        conn.execute(
+            """
+            INSERT INTO options_trades(
+                inst_id, underlying, opt_type, sheets, eth_amount,
+                premium_paid, premium_received, realized_pnl, open_fee, close_fee,
+                premium_ccy, status, close_index_px, realized_pnl_usdt
+            ) VALUES (
+                'ETH-USD-260701-2500-C', 'ETH', 'C', 1, 0.01,
+                0.01, 0.02, 0.008, 0.0005, 0.0005,
+                'ETH', 'closed', 3000, 24.0
+            )
+            """
+        )
+        conn.commit()
+        n = repair_double_counted_fee_pnl(conn, None)
+        self.assertEqual(n, 1)
+        row = conn.execute(
+            "SELECT realized_pnl, realized_pnl_usdt FROM options_trades WHERE id=1"
+        ).fetchone()
+        self.assertAlmostEqual(float(row["realized_pnl"]), 0.009, places=8)
+        self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 27.0, places=4)
+        conn.close()
+
 
 class FrozenStatsTests(unittest.TestCase):
     def test_frozen_usdt_ignores_live_index(self):