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feat期权盈亏按交易账户快照结算：一次一仓、持仓禁划转、卖回后冻结。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-09 00:29:47 +08:00
parent e0e2a94322
commit 260bfd1f29
12 changed files with 659 additions and 157 deletions
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tests/test_options_pnl_settle.py
+8 -53
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@@ -104,83 +104,38 @@ class SettleClosedPnlTests(unittest.TestCase):
class SimPremiumPnlStatsTests(unittest.TestCase):
def test_sim_uses_premium_net_not_bridge_cash(self):
"""卖回−预算会把权利金本金算进盈利;必须用(收回−已付)×平仓指数."""
def test_sync_sim_no_longer_overwrites_account_settled(self):
"""账户结算后 sync 兼容入口不得改写."""
import sqlite3
from lib.options.options_db import init_options_tables
from lib.options.options_spot_bridge_lib import ensure_bridge_table
from lib.options.options_stats_lib import sync_sim_cash_realized_pnl_usdt
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
ensure_bridge_table(conn)
# 桥上现金差额 952.96,但权利金净盈亏仅 0.01 ETH × 2500 = 25U
conn.execute(
"""
INSERT INTO options_spot_bridge(
id, underlying, status, budget_usdt, usdt_recovered
) VALUES (1, 'ETH', 'closed', 1000.0, 1952.96)
"""
)
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, sheets, eth_amount,
premium_paid, premium_received, realized_pnl, premium_ccy,
status, bridge_id, budget_usdt, realized_pnl_usdt, close_index_px,
created_at, closed_at
status, trading_usdt_before, trading_usdt_after,
realized_pnl_usdt, pnl_settled, created_at, closed_at
) VALUES (
'ETH-USD-261009-2500-P', 'ETH', 'P', 1, 0.01,
0.01, 0.02, 0.01, 'ETH',
'closed', 1, 1000.0, 1947.05, 2500.0,
'2026-10-06 10:00:00', '2026-10-08 14:00:00'
'closed', 1000.0, 1952.96,
952.96, 1, '2026-10-06 10:00:00', '2026-10-08 14:00:00'
)
"""
)
conn.commit()
n = sync_sim_cash_realized_pnl_usdt(conn, None)
self.assertEqual(n, 1)
row = conn.execute(
"SELECT realized_pnl_usdt, realized_pnl FROM options_trades WHERE id=1"
).fetchone()
# (0.02-0.01)*2500 = 25, 绝不是 1952.96-1000
self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 25.0, places=2)
self.assertAlmostEqual(float(row["realized_pnl"]), 0.01, places=8)
conn.close()
def test_sim_deducts_fees_from_premium_pnl(self):
import sqlite3
from lib.options.options_db import init_options_tables
from lib.options.options_stats_lib import sync_sim_cash_realized_pnl_usdt
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
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, close_index_px,
created_at, closed_at
) VALUES (
'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
0.01, 0.02, 0.01, 'BTC',
0.0001, 0.0001, 'closed', 1947.05, 80000.0,
'2026-10-05 05:11:30', '2026-10-07 10:03:53'
)
"""
)
conn.commit()
sync_sim_cash_realized_pnl_usdt(conn, None)
self.assertEqual(n, 0)
row = conn.execute(
"SELECT realized_pnl_usdt FROM options_trades WHERE id=1"
).fetchone()
# (0.02-0.01-0.0002)*80000 = 784
self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 784.0, places=2)
self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 952.96, places=2)
conn.close()