diff --git a/docs/系统分析-期权主链条.md b/docs/系统分析-期权主链条.md
index 0749fbc..8e39712 100644
--- a/docs/系统分析-期权主链条.md
+++ b/docs/系统分析-期权主链条.md
@@ -32,8 +32,8 @@ USDT(交易户)
▼
卖光可卖标的币（禁止按开仓权利金封顶）→ 快照 trading_usdt_after
▼
-口径 A（复盘真盈亏）: after − before ≡ 卖光收回 − 买币；禁止指数冒充
-口径 B（期权历史/数据统计）: 仅期权腿币盈亏（×卖回价折 U）；不含现货
+口径 A（复盘真盈亏）: 币盈亏×卖回价 − 权利金×(开仓价−卖回价)；含权利金U波动，忽略多买
+口径 B（期权历史/数据统计）: 仅期权腿币盈亏（×卖回价折 U）；不含现货/权利金U波动修正
```
### 0.3 启动装配
diff --git a/docs/规格-期权交易账户盈亏结算.md b/docs/规格-期权交易账户盈亏结算.md
index 9504b45..1f96910 100644
--- a/docs/规格-期权交易账户盈亏结算.md
+++ b/docs/规格-期权交易账户盈亏结算.md
@@ -31,20 +31,20 @@
## 2. 双口径定义
-### 2.1 口径 A — 真盈亏（交易账户 / 复盘交易记录）
+### 2.1 口径 A — 真盈亏（复盘交易记录）
```
-本单真盈亏(U) = trading_usdt_after − trading_usdt_before
- = 卖光标的币累计收回 USDT − 开仓买币花费
+真盈亏(U) = 期权历史盈亏(币) × 平仓卖回价
+ − (权利金 × 开仓价 − 权利金 × 平仓卖回价)
```
-一次一仓且无中途划转时，账户差分与桥上 `usdt_recovered − budget_usdt` 等价。
-**禁止**用权利金×指数（期权腿 / 口径 B）冒充实盈亏。
+等价（无手续费时）：`收回×卖回价 − 已付×开仓价`。
+含义：**计入权利金的 USDT 波动**；**忽略现货多买缓冲**。
+有开/平手续费时：开仓费按开仓价、平仓费按卖回价折 U 后扣除。
-- **消费者**：期权复盘「期权交易记录」盈亏列、复盘 KPI、账户冻结（`pnl_settled`）
-- **含**：多买缓冲、现货滑点、期权/现货摩擦（整笔钱进出）
-- **门禁**：全部期权仓位已平 **且** 标的币无可卖量后才拍 `after` 并冻结
-- 未结算：列表显示「待结算」，不写币×价假 U
+- **消费者**：期权复盘「期权交易记录」盈亏列、复盘 KPI、`realized_pnl_usdt` 冻结
+- **不含**：现货多买 / 账户 after−before / 桥 `usdt_recovered−budget`
+- 账户 `trading_usdt_before/after` 仅审计用，**不**作复盘真盈亏
### 2.2 口径 B — 期权历史 / 数据统计（仅期权腿）
@@ -54,8 +54,8 @@
```
- **消费者**：期权面板「期权历史」（币）、数据统计 / 顶栏窗口统计（折 U）
-- **不含**现货买币/卖回；**不**用现货贵贱改写权利金腿
-- 与复盘真盈亏 A **独立**，禁止混用
+- **不含**现货；**不**做「开仓价 vs 卖回价」权利金 USDT 波动修正（那是口径 A）
+- 与复盘真盈亏 A **独立**：`A = B − 权利金×(开仓价−卖回价)`
### 2.3 初始权利金、盈利率、期权手续费
@@ -270,3 +270,4 @@ IDLE
| 2026-10-13 | 复盘「期权交易记录」盈亏与数据统计同口径 B；增加仅期权手续费展示 |
| 2026-10-13 | 交易记录改回真盈亏 A；期权历史/统计仅期权腿 B，不含现货 |
| 2026-10-13 | 真盈亏明确为卖光收回−买币；复盘禁止指数折 U 冒充；桥可回退 |
+| 2026-10-13 | 真盈亏改回权利金 USDT 波动式：币盈亏×卖回价−权利金×(开−平)；忽略多买 |
diff --git a/lib/options/options_account_pnl_lib.py b/lib/options/options_account_pnl_lib.py
index e6caf34..a8026a3 100644
--- a/lib/options/options_account_pnl_lib.py
+++ b/lib/options/options_account_pnl_lib.py
@@ -236,68 +236,6 @@ def try_settle_after_sellback(
pass
-def resolve_true_pnl_usdt(
- conn,
- *,
- trading_usdt_before: Any = None,
- trading_usdt_after: Any = None,
- bridge_id: Any = None,
- realized_pnl_usdt: Any = None,
- pnl_settled: Any = False,
-) -> tuple[float | None, str]:
- """真盈亏(口径 A)=卖光标的币收回 USDT − 开仓买币花费.
-
- 优先账户快照 after−before(与上式等价);其次已关桥的「卖回累计−买币预算」.
- 绝不回退权利金×指数(那是口径 B / 期权腿).
- 返回 (pnl_u, source): account | bridge | frozen | none
- """
- before = _safe_float(trading_usdt_before)
- after = _safe_float(trading_usdt_after)
- if before is not None and after is not None:
- return round(float(after) - float(before), 4), "account"
-
- bid = None
- try:
- if bridge_id is not None and str(bridge_id).strip() != "":
- bid = int(bridge_id)
- except (TypeError, ValueError):
- bid = None
- if bid is not None:
- try:
- from lib.options.options_spot_bridge_lib import (
- BRIDGE_CLOSED,
- cash_pnl_usdt_from_bridge,
- ensure_bridge_table,
- )
-
- ensure_bridge_table(conn)
- brow = conn.execute(
- "SELECT status, usdt_recovered FROM options_spot_bridge WHERE id=?",
- (bid,),
- ).fetchone()
- if brow:
- st = str(brow["status"] if hasattr(brow, "keys") else brow[0] or "")
- recovered = _safe_float(
- brow["usdt_recovered"] if hasattr(brow, "keys") else brow[1]
- )
- if st == BRIDGE_CLOSED and recovered is not None:
- bp = cash_pnl_usdt_from_bridge(conn, bid)
- if bp is not None:
- return bp, "bridge"
- except Exception:
- pass
-
- try:
- settled = int(pnl_settled or 0) == 1
- except (TypeError, ValueError):
- settled = bool(pnl_settled)
- frozen = _safe_float(realized_pnl_usdt)
- # 仅承认「有 before 且已账户结算」的旧冻结;无快照的指数折 U 不算真盈亏
- if settled and before is not None and frozen is not None:
- return round(float(frozen), 4), "frozen"
- return None, "none"
-
-
def settle_closed_trades_from_trading_account(
conn,
*,
@@ -305,15 +243,17 @@ def settle_closed_trades_from_trading_account(
bridge_id: int | None = None,
trade_id: int | None = None,
) -> int:
- """卖回后:对本桥/本单未结算已平仓位冻结真盈亏.
+ """卖回后:拍 after 快照,并冻结复盘真盈亏(权利金 USDT 波动口径).
- 优先 after−before;账户 after 缺失时用桥「卖回−买币」.
- 已 pnl_settled=1 的行永不改写.
+ realized_pnl_usdt = 历史币盈亏×卖回价 − (权利金×开仓价 − 权利金×卖回价);
+ 不含现货多买.账户 after 仅审计.已 pnl_settled=1 的行永不改写.
"""
+ from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
+
after = _safe_float(trading_usdt_after)
if after is not None:
after = round(float(after), 8)
- clauses = ["status='closed'", "COALESCE(pnl_settled, 0)=0", "trading_usdt_before IS NOT NULL"]
+ clauses = ["status='closed'", "COALESCE(pnl_settled, 0)=0"]
params: list[Any] = []
if trade_id is not None:
clauses.append("id=?")
@@ -325,7 +265,8 @@ def settle_closed_trades_from_trading_account(
return 0
rows = conn.execute(
f"""
- SELECT id, trading_usdt_before, realized_pnl_usdt, bridge_id
+ SELECT id, trading_usdt_before, premium_paid, premium_received, realized_pnl,
+ open_index_px, close_index_px, open_fee, close_fee, premium_ccy, fee_ccy
FROM options_trades
WHERE {" AND ".join(clauses)}
""",
@@ -334,30 +275,30 @@ def settle_closed_trades_from_trading_account(
updated = 0
for row in rows:
tid = int(row["id"] if hasattr(row, "keys") else row[0])
- before = _safe_float(row["trading_usdt_before"] if hasattr(row, "keys") else row[1])
- if before is None:
- continue
- row_bid = row["bridge_id"] if hasattr(row, "keys") else row[3]
- if row_bid is None and bridge_id is not None:
- row_bid = bridge_id
+ before = _safe_float(
+ row["trading_usdt_before"] if hasattr(row, "keys") else row[1]
+ )
after_use = after
- if after_use is not None:
- pnl_u = round(float(after_use) - float(before), 4)
- else:
- pnl_u, src = resolve_true_pnl_usdt(
- conn,
- trading_usdt_before=before,
- trading_usdt_after=None,
- bridge_id=row_bid,
- pnl_settled=0,
- )
- if pnl_u is None or src != "bridge":
- continue
- after_use = round(float(before) + float(pnl_u), 8)
+ if after_use is None and before is not None:
+ # 无 after 读数时不编造;仍可用权利金公式冻结
+ after_use = None
+ pnl_u, src = resolve_true_pnl_usdt_from_trade(
+ premium_paid=row["premium_paid"] if hasattr(row, "keys") else row[2],
+ premium_received=row["premium_received"] if hasattr(row, "keys") else row[3],
+ realized_pnl=row["realized_pnl"] if hasattr(row, "keys") else row[4],
+ open_index_px=row["open_index_px"] if hasattr(row, "keys") else row[5],
+ close_index_px=row["close_index_px"] if hasattr(row, "keys") else row[6],
+ open_fee=row["open_fee"] if hasattr(row, "keys") else row[7],
+ close_fee=row["close_fee"] if hasattr(row, "keys") else row[8],
+ premium_ccy=row["premium_ccy"] if hasattr(row, "keys") else row[9],
+ fee_ccy=row["fee_ccy"] if hasattr(row, "keys") else row[10],
+ )
+ if pnl_u is None or src == "none":
+ continue
conn.execute(
"""
UPDATE options_trades
- SET trading_usdt_after = ?,
+ SET trading_usdt_after = COALESCE(?, trading_usdt_after),
realized_pnl_usdt = ?,
pnl_settled = 1
WHERE id = ? AND COALESCE(pnl_settled, 0)=0
diff --git a/lib/options/options_close_exec_lib.py b/lib/options/options_close_exec_lib.py
index b97b1f2..2f87a27 100644
--- a/lib/options/options_close_exec_lib.py
+++ b/lib/options/options_close_exec_lib.py
@@ -510,9 +510,8 @@ def close_option_by_bid1(
fee_ccy=str(row["fee_ccy"] or row["premium_ccy"] or row_ccy or ""),
)
pnl = settled.get("realized_pnl")
- # 有交易账户 before 快照:U 盈亏等卖回后结算,平仓不写 realized_pnl_usdt
- has_acct_snap = _safe_float(row["trading_usdt_before"]) is not None
- pnl_usdt = None if has_acct_snap else settled.get("realized_pnl_usdt")
+ # 复盘真盈亏=权利金 USDT 波动口径;账户 after 另在卖回后拍快照
+ pnl_usdt = settled.get("realized_pnl_usdt")
note_sql = ""
# 占位: close_quote/recv/pnl/ord/closed_at/open_fee/close_fee/fee_ccy/close_idx/open_idx/pnl_u/[note]/id
diff --git a/lib/options/options_pnl_settle_lib.py b/lib/options/options_pnl_settle_lib.py
index f6a12b8..edda931 100644
--- a/lib/options/options_pnl_settle_lib.py
+++ b/lib/options/options_pnl_settle_lib.py
@@ -174,6 +174,101 @@ def fee_to_usdt(
return round(amt, 4)
+def true_pnl_usdt_premium_move(
+ *,
+ coin_pnl: Any,
+ premium_paid: Any,
+ open_index_px: Any,
+ sell_back_px: Any,
+) -> float | None:
+ """复盘真盈亏(U):计入权利金 USDT 波动,忽略现货多买.
+
+ 真盈亏 = 期权历史盈亏(币)×平仓卖回价
+ − (权利金×开仓价 − 权利金×平仓卖回价)
+ = 历史币盈亏×卖回价 − 权利金×(开仓价 − 卖回价)
+
+ 无手续费时等价于: 收回×卖回价 − 已付×开仓价.
+ 币盈亏须已含期权开/平手续费(与期权历史同口径).
+ """
+ pnl = _safe_float(coin_pnl)
+ paid = _safe_float(premium_paid)
+ open_px = _safe_float(open_index_px)
+ close_px = _safe_float(sell_back_px)
+ if pnl is None or paid is None:
+ return None
+ if open_px is None or open_px <= 0 or close_px is None or close_px <= 0:
+ return None
+ prem_move = float(paid) * float(open_px) - float(paid) * float(close_px)
+ return round(float(pnl) * float(close_px) - prem_move, 4)
+
+
+def resolve_true_pnl_usdt_from_trade(
+ *,
+ premium_paid: Any = None,
+ premium_received: Any = None,
+ realized_pnl: Any = None,
+ open_index_px: Any = None,
+ close_index_px: Any = None,
+ open_fee: Any = 0,
+ close_fee: Any = 0,
+ premium_ccy: str | None = None,
+ fee_ccy: str | None = None,
+) -> tuple[float | None, str]:
+ """由成交字段算复盘真盈亏;不含现货多买/账户差分.
+
+ 返回 (pnl_u, source): premium_move | stable | none
+ """
+ del fee_ccy # 费率折 U 已体现在历史币盈亏里;本函数不重扣
+ pc = str(premium_ccy or "").strip().upper()
+ paid = _safe_float(premium_paid)
+ recv = _safe_float(premium_received)
+ ofee = abs(float(_safe_float(open_fee) or 0.0))
+ cfee = abs(float(_safe_float(close_fee) or 0.0))
+ coin = _safe_float(realized_pnl)
+ if coin is None and paid is not None and recv is not None:
+ coin = round(float(recv) - float(paid) - ofee - cfee, 8)
+
+ if pc not in ("ETH", "BTC"):
+ if coin is not None:
+ return round(float(coin), 4), "stable"
+ return None, "none"
+
+ open_px = _safe_float(open_index_px)
+ close_px = _safe_float(close_index_px)
+ # 优先严格按用户式:历史币盈亏×卖回价 − 权利金×(开仓价−卖回价)
+ usdt = true_pnl_usdt_premium_move(
+ coin_pnl=coin,
+ premium_paid=paid,
+ open_index_px=open_px,
+ sell_back_px=close_px,
+ )
+ if usdt is not None:
+ return usdt, "premium_move"
+
+ # 无历史币盈亏时回退收回/已付精确折 U
+ if (
+ paid is not None
+ and recv is not None
+ and open_px is not None
+ and open_px > 0
+ and close_px is not None
+ and close_px > 0
+ ):
+ settled = settle_sim_coin_pnl_usdt(
+ premium_paid=paid,
+ premium_received=recv,
+ open_fee=ofee,
+ close_fee=cfee,
+ open_index_px=open_px,
+ sell_back_px=close_px,
+ premium_ccy=pc,
+ )
+ usdt2 = _safe_float(settled.get("realized_pnl_usdt"))
+ if usdt2 is not None:
+ return usdt2, "premium_move"
+ return None, "none"
+
+
def settle_sim_coin_pnl_usdt(
*,
premium_paid: Any,
@@ -185,11 +280,10 @@ def settle_sim_coin_pnl_usdt(
fee_ccy: str | None = None,
premium_ccy: str = "ETH",
) -> dict[str, float | None]:
- """模拟盘币本位盈亏(U).
+ """币本位真盈亏(U):含权利金 USDT 波动,不含现货多买.
- 盈利: (权利金btc+盈利btc)×卖回价 − 初始U权利金 − 手续费
- = 收回币×卖回价 − 已付币×开仓指数 − 手续费U
- 亏损: 剩余权利金U − 手续费U − 初始U权利金(同一式,结果为负)
+ = 历史币盈亏×卖回价 − (权利金×开仓价 − 权利金×卖回价)
+ = 收回币×卖回价 − 已付币×开仓指数 − 手续费U
不用买币预算当成本(预算含缓冲).
"""
diff --git a/lib/options/options_review_lib.py b/lib/options/options_review_lib.py
index ac6236e..3d6d320 100644
--- a/lib/options/options_review_lib.py
+++ b/lib/options/options_review_lib.py
@@ -429,7 +429,8 @@ def sync_options_from_local_trades(
) -> dict[str, Any]:
"""从本地 options_trades 已平仓记录导入复盘快照(不访问交易所).
- 真盈亏=卖光收回−买币(after−before / 已关桥);禁止权利金×指数冒充.
+ 真盈亏=历史币盈亏×卖回价 − (权利金×开仓价 − 权利金×卖回价);
+ 计入权利金 USDT 波动,忽略现货多买.
"""
init_options_review_tables(conn)
from lib.options.options_db import init_options_tables
@@ -555,13 +556,8 @@ def sync_options_from_local_trades(
if not ccy:
ccy = premium_ccy_for_mode(margin_mode_from_inst_id(inst), underly)
frozen_usdt = _safe_float(r["realized_pnl_usdt"])
- try:
- settled = int(r["pnl_settled"] or 0) == 1
- except Exception:
- settled = False
close_idx = _safe_float(r["close_index_px"])
open_idx = _safe_float(r["open_index_px"])
- # 折算指数:仅用于初始权利金/期权手续费展示,不用于真盈亏
idx = None
if close_idx is not None and close_idx > 0:
idx = close_idx
@@ -570,26 +566,36 @@ def sync_options_from_local_trades(
else:
idx = idx_cache.get(underly)
prem = _safe_float(r["premium_paid"])
- # 真盈亏=卖光收回−买币(账户 after−before 或已关桥);禁止权利金×指数冒充
- from lib.options.options_account_pnl_lib import resolve_true_pnl_usdt
-
- pnl_u, pnl_src = resolve_true_pnl_usdt(
+ # 仅期权开/平手续费折 U(不含现货);先解析再算真盈亏
+ ofee = abs(_safe_float(r["open_fee"]) or 0.0)
+ cfee = abs(_safe_float(r["close_fee"]) or 0.0)
+ ofee, cfee = _resolve_option_fees_coin(
conn,
- trading_usdt_before=r["trading_usdt_before"],
- trading_usdt_after=r["trading_usdt_after"],
- bridge_id=r["bridge_id"],
- realized_pnl_usdt=frozen_usdt,
- pnl_settled=settled,
+ r,
+ open_fee=ofee,
+ close_fee=cfee,
+ premium_ccy=ccy,
+ )
+ open_idx_for_prem = open_idx if (open_idx is not None and open_idx > 0) else idx
+ sell_idx = close_idx if (close_idx is not None and close_idx > 0) else idx
+ # 真盈亏=币盈亏×卖回价 − (权利金×开仓价 − 权利金×卖回价);忽略现货多买
+ from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
+
+ pnl_u, pnl_src = resolve_true_pnl_usdt_from_trade(
+ premium_paid=prem,
+ premium_received=r["premium_received"],
+ realized_pnl=r["realized_pnl"],
+ open_index_px=open_idx_for_prem,
+ close_index_px=sell_idx,
+ open_fee=ofee,
+ close_fee=cfee,
+ premium_ccy=ccy,
+ fee_ccy=str(r["premium_ccy"] or ccy or ""),
)
- # 快照能算真盈亏但冻结值偏离:纠偏写回(仅纠正错账,不改口径)
- before_f = _safe_float(r["trading_usdt_before"])
- after_f = _safe_float(r["trading_usdt_after"])
if (
- pnl_src == "account"
- and pnl_u is not None
- and before_f is not None
- and after_f is not None
- and (not settled or frozen_usdt is None or abs(float(frozen_usdt) - float(pnl_u)) > 0.05)
+ pnl_u is not None
+ and pnl_src != "none"
+ and (frozen_usdt is None or abs(float(frozen_usdt) - float(pnl_u)) > 0.05)
):
try:
conn.execute(
@@ -600,49 +606,15 @@ def sync_options_from_local_trades(
""",
(pnl_u, trade_id),
)
- settled = True
except Exception:
pass
- elif pnl_src == "bridge" and pnl_u is not None and not settled:
- try:
- after_heal = (
- round(float(before_f) + float(pnl_u), 8) if before_f is not None else None
- )
- conn.execute(
- """
- UPDATE options_trades
- SET realized_pnl_usdt = ?,
- trading_usdt_after = COALESCE(trading_usdt_after, ?),
- pnl_settled = 1
- WHERE id = ? AND COALESCE(pnl_settled, 0)=0
- """,
- (pnl_u, after_heal, trade_id),
- )
- settled = True
- except Exception:
- pass
- acct_pending = pnl_u is None and (
- before_f is not None or r["bridge_id"] is not None
- )
# 初始权利金(U)=开仓指数×权利金币量;不含多买
stored_initial = _safe_float(r["initial_premium_usdt"])
- open_idx_for_prem = open_idx if (open_idx is not None and open_idx > 0) else idx
prem_u = stored_initial
if prem_u is None:
prem_u = _to_usdt(prem, ccy=ccy, idx=open_idx_for_prem)
if ccy in ("ETH", "BTC") and prem_u is None:
prem_u = prem
- # 仅期权开/平手续费折 U(不含现货)
- ofee = abs(_safe_float(r["open_fee"]) or 0.0)
- cfee = abs(_safe_float(r["close_fee"]) or 0.0)
- # 模拟盘旧单曾按「权利金×费率」计费偏小:按 OKX 公式/订单回填
- ofee, cfee = _resolve_option_fees_coin(
- conn,
- r,
- open_fee=ofee,
- close_fee=cfee,
- premium_ccy=ccy,
- )
fee_u = None
if ccy in ("ETH", "BTC"):
fee_parts = 0.0
@@ -650,7 +622,6 @@ def sync_options_from_local_trades(
if ofee > 0 and open_idx_for_prem is not None and open_idx_for_prem > 0:
fee_parts += ofee * float(open_idx_for_prem)
has_fee = True
- sell_idx = close_idx if (close_idx is not None and close_idx > 0) else idx
if cfee > 0 and sell_idx is not None and sell_idx > 0:
fee_parts += cfee * float(sell_idx)
has_fee = True
@@ -683,7 +654,7 @@ def sync_options_from_local_trades(
"option_fee_usdt": fee_u,
"created_at": opened_at,
"closed_at": closed_at,
- "status_label": "待结算" if acct_pending else "已平",
+ "status_label": "已平",
},
)
if action == "inserted":
diff --git a/lib/options/templates/options_review_panel.html b/lib/options/templates/options_review_panel.html
index 8af16e3..797c364 100644
--- a/lib/options/templates/options_review_panel.html
+++ b/lib/options/templates/options_review_panel.html
@@ -229,7 +229,7 @@
1
期权交易记录
-
真盈亏=卖光币收回 USDT − 开仓买币花费；点「复盘」填写表单。期权历史仅记期权腿币收益，不含现货。
+
真盈亏=历史币盈亏×卖回价 − 权利金×(开仓价−卖回价)；计入权利金 USDT 波动，忽略现货多买。期权历史仅记币收益。
@@ -239,7 +239,7 @@
类型 |
标的/合约 |
初始权利金 |
- 真盈亏 |
+ 真盈亏 |
盈利率 |
手续费 |
开仓时间 |
diff --git a/tests/test_options_account_pnl.py b/tests/test_options_account_pnl.py
index 2089137..63a6781 100644
--- a/tests/test_options_account_pnl.py
+++ b/tests/test_options_account_pnl.py
@@ -6,7 +6,7 @@ import unittest
class AccountPnlSettleTests(unittest.TestCase):
- def test_settle_after_minus_before(self):
+ def test_settle_freezes_premium_usdt_move_not_account_diff(self):
from lib.options.options_account_pnl_lib import (
settle_closed_trades_from_trading_account,
)
@@ -15,16 +15,19 @@ class AccountPnlSettleTests(unittest.TestCase):
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
+ # coin_pnl=0.01, open=90000, close=80000 → A=700; 账户差分会是 947 但不采用
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, sheets, eth_amount,
- premium_paid, status, bridge_id, trading_usdt_before, pnl_settled,
- created_at, closed_at
+ premium_paid, premium_received, realized_pnl, premium_ccy,
+ open_index_px, close_index_px, status, bridge_id,
+ trading_usdt_before, pnl_settled, created_at, closed_at
) VALUES (
'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
- 0.01, 'closed', 7, 1000.0, 0,
- '2026-10-05 05:11:30', '2026-10-07 10:03:53'
+ 0.01, 0.02, 0.01, 'BTC',
+ 90000.0, 80000.0, 'closed', 7,
+ 1000.0, 0, '2026-10-05 05:11:30', '2026-10-07 10:03:53'
)
"""
)
@@ -37,7 +40,7 @@ class AccountPnlSettleTests(unittest.TestCase):
"SELECT trading_usdt_after, realized_pnl_usdt, pnl_settled FROM options_trades WHERE id=1"
).fetchone()
self.assertAlmostEqual(float(row["trading_usdt_after"]), 1947.05, places=2)
- self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 947.05, places=2)
+ self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 700.0, places=2)
self.assertEqual(int(row["pnl_settled"]), 1)
# 已冻结不再改
@@ -48,7 +51,7 @@ class AccountPnlSettleTests(unittest.TestCase):
row2 = conn.execute(
"SELECT realized_pnl_usdt FROM options_trades WHERE id=1"
).fetchone()
- self.assertAlmostEqual(float(row2["realized_pnl_usdt"]), 947.05, places=2)
+ self.assertAlmostEqual(float(row2["realized_pnl_usdt"]), 700.0, places=2)
conn.close()
def test_stats_use_coin_times_sell_px_not_account(self):
@@ -149,48 +152,35 @@ class AccountPnlSettleTests(unittest.TestCase):
self.assertEqual(int(out["total"]), 2)
conn.close()
- def test_resolve_true_pnl_prefers_account_then_bridge(self):
- from lib.options.options_account_pnl_lib import resolve_true_pnl_usdt
- from lib.options.options_db import init_options_tables
- from lib.options.options_spot_bridge_lib import ensure_bridge_table
+ def test_true_pnl_premium_move_helper(self):
+ from lib.options.options_pnl_settle_lib import (
+ resolve_true_pnl_usdt_from_trade,
+ true_pnl_usdt_premium_move,
+ )
- conn = sqlite3.connect(":memory:")
- conn.row_factory = sqlite3.Row
- init_options_tables(conn)
- ensure_bridge_table(conn)
- conn.execute(
- """
- INSERT INTO options_spot_bridge(
- id, underlying, status, budget_usdt, usdt_recovered
- ) VALUES (3, 'ETH', 'closed', 100.0, 160.0)
- """
+ # A = 0.01*80000 - (0.01*90000 - 0.01*80000) = 700
+ self.assertAlmostEqual(
+ float(
+ true_pnl_usdt_premium_move(
+ coin_pnl=0.01,
+ premium_paid=0.01,
+ open_index_px=90000,
+ sell_back_px=80000,
+ )
+ ),
+ 700.0,
+ places=4,
)
- conn.commit()
- pnl, src = resolve_true_pnl_usdt(
- conn,
- trading_usdt_before=500.0,
- trading_usdt_after=580.0,
- bridge_id=3,
+ pnl, src = resolve_true_pnl_usdt_from_trade(
+ premium_paid=0.01,
+ premium_received=0.02,
+ realized_pnl=0.01,
+ open_index_px=90000,
+ close_index_px=80000,
+ premium_ccy="BTC",
)
- self.assertEqual(src, "account")
- self.assertAlmostEqual(float(pnl), 80.0, places=4)
- pnl2, src2 = resolve_true_pnl_usdt(
- conn,
- trading_usdt_before=500.0,
- trading_usdt_after=None,
- bridge_id=3,
- )
- self.assertEqual(src2, "bridge")
- self.assertAlmostEqual(float(pnl2), 60.0, places=4)
- pnl3, src3 = resolve_true_pnl_usdt(
- conn,
- trading_usdt_before=None,
- realized_pnl_usdt=999.0,
- pnl_settled=1,
- )
- self.assertEqual(src3, "none")
- self.assertIsNone(pnl3)
- conn.close()
+ self.assertEqual(src, "premium_move")
+ self.assertAlmostEqual(float(pnl), 700.0, places=4)
def test_settle_blocked_when_sellable_coin(self):
from lib.options.options_account_pnl_lib import try_settle_after_sellback
diff --git a/tests/test_options_pnl_settle.py b/tests/test_options_pnl_settle.py
index 9d0a82c..ef944b1 100644
--- a/tests/test_options_pnl_settle.py
+++ b/tests/test_options_pnl_settle.py
@@ -7,6 +7,7 @@ from lib.options.options_pnl_settle_lib import (
fee_to_premium_ccy,
settle_closed_pnl,
settle_exchange_realized_pnl,
+ true_pnl_usdt_premium_move,
)
from lib.options.options_stats_lib import (
apply_exchange_pnl_freeze,
@@ -24,6 +25,26 @@ class FeeConvertTests(unittest.TestCase):
)
+class PremiumMoveFormulaTests(unittest.TestCase):
+ def test_user_formula_matches_proceeds_minus_open_cost(self):
+ coin = 0.01
+ paid = 0.01
+ open_px = 90000.0
+ close_px = 80000.0
+ a = true_pnl_usdt_premium_move(
+ coin_pnl=coin,
+ premium_paid=paid,
+ open_index_px=open_px,
+ sell_back_px=close_px,
+ )
+ # 历史盈亏×卖回 − (权利金×开 − 权利金×平)
+ expect = coin * close_px - (paid * open_px - paid * close_px)
+ self.assertAlmostEqual(float(a), expect, places=4)
+ # 无费时 ≡ 收回×平 − 已付×开 (recv=paid+coin)
+ recv = paid + coin
+ self.assertAlmostEqual(float(a), recv * close_px - paid * open_px, places=4)
+
+
class SettleClosedPnlTests(unittest.TestCase):
def test_sim_net_times_close_index(self):
# 无开仓指数时回退净币×平仓价
diff --git a/tests/test_options_review_pnl_freeze.py b/tests/test_options_review_pnl_freeze.py
index 27f3b72..7960759 100644
--- a/tests/test_options_review_pnl_freeze.py
+++ b/tests/test_options_review_pnl_freeze.py
@@ -1,4 +1,4 @@
-"""复盘真盈亏=卖光收回−买币;禁止权利金×指数冒充."""
+"""复盘真盈亏=币盈亏×卖回价 − 权利金×(开仓价−卖回价)."""
from __future__ import annotations
import sqlite3
@@ -6,7 +6,7 @@ import unittest
class ReviewLocalSyncFreezeTests(unittest.TestCase):
- def test_account_after_minus_before_is_true_pnl(self):
+ def test_premium_usdt_move_formula(self):
from lib.options.options_db import init_options_tables
from lib.options.options_review_lib import sync_options_from_local_trades
from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
@@ -17,77 +17,65 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
init_options_tables(conn)
ensure_runtime_settings_table(conn)
runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
+ # paid=0.01, recv=0.02, coin_pnl=0.01; open=90000, close=80000
+ # A = 0.01*80000 - (0.01*90000 - 0.01*80000) = 800 - 100 = 700
+ # 亦= recv*close - paid*open = 1600 - 900 = 700
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, sheets, eth_amount,
premium_paid, premium_received, realized_pnl, premium_ccy,
- status, realized_pnl_usdt, close_index_px,
+ open_fee, close_fee, status, realized_pnl_usdt,
+ open_index_px, close_index_px,
trading_usdt_before, trading_usdt_after, pnl_settled,
created_at, closed_at
) VALUES (
'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
0.01, 0.02, 0.01, 'BTC',
- 'closed', -51.0, 85000.0,
+ 0, 0, 'closed', -51.0,
+ 90000.0, 80000.0,
1000.0, 2506.0, 1,
'2026-10-05 05:11:30', '2026-10-07 10:03:53'
)
"""
)
conn.commit()
-
- class _Ex:
- def public_get_market_ticker(self, params):
- return {"data": [{"last": "999999"}]}
-
- out = sync_options_from_local_trades(conn, _Ex())
+ out = sync_options_from_local_trades(conn, None)
self.assertTrue(out.get("ok"))
row = conn.execute(
"SELECT realized_pnl_total FROM options_review_trades WHERE history_key=?",
("local_opt:1",),
).fetchone()
- self.assertIsNotNone(row)
- # 真盈亏=after−before=1506,不是错误冻结 -51,也不是指数折算
- self.assertAlmostEqual(float(row["realized_pnl_total"]), 1506.0, places=2)
+ self.assertAlmostEqual(float(row["realized_pnl_total"]), 700.0, places=2)
+ # 纠偏写回,不用账户差分 1506
healed = conn.execute(
"SELECT realized_pnl_usdt FROM options_trades WHERE id=1"
).fetchone()
- self.assertAlmostEqual(float(healed["realized_pnl_usdt"]), 1506.0, places=2)
+ self.assertAlmostEqual(float(healed["realized_pnl_usdt"]), 700.0, places=2)
conn.close()
- def test_bridge_cash_is_true_pnl_when_no_after(self):
+ def test_same_open_close_px_equals_coin_times_close(self):
from lib.options.options_db import init_options_tables
from lib.options.options_review_lib import sync_options_from_local_trades
- from lib.options.options_spot_bridge_lib import ensure_bridge_table
from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
- ensure_bridge_table(conn)
ensure_runtime_settings_table(conn)
runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
- conn.execute(
- """
- INSERT INTO options_spot_bridge(
- id, underlying, status, budget_usdt, usdt_recovered, message
- ) VALUES (7, 'BTC', 'closed', 2200.0, 3706.0, 'done')
- """
- )
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, sheets, eth_amount,
premium_paid, premium_received, realized_pnl, premium_ccy,
- status, realized_pnl_usdt, close_index_px,
- trading_usdt_before, bridge_id, pnl_settled,
+ open_fee, close_fee, status, open_index_px, 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',
- 'closed', 850.0, 85000.0,
- 1000.0, 7, 0,
+ 0, 0, 'closed', 85000.0, 85000.0,
'2026-10-05 05:11:30', '2026-10-07 10:03:53'
)
"""
@@ -98,44 +86,8 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
"SELECT realized_pnl_total FROM options_review_trades WHERE history_key=?",
("local_opt:1",),
).fetchone()
- # 3706 − 2200 = 1506;不是 0.01*85000
- self.assertAlmostEqual(float(row["realized_pnl_total"]), 1506.0, places=2)
- conn.close()
-
- def test_index_formula_not_shown_as_true_pnl(self):
- from lib.options.options_db import init_options_tables
- from lib.options.options_review_lib import sync_options_from_local_trades
- from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
- from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
-
- conn = sqlite3.connect(":memory:")
- conn.row_factory = sqlite3.Row
- init_options_tables(conn)
- ensure_runtime_settings_table(conn)
- runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
- conn.execute(
- """
- INSERT INTO options_trades(
- inst_id, underlying, opt_type, sheets, eth_amount,
- premium_paid, premium_received, realized_pnl, premium_ccy,
- 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',
- 'closed', 850.0, 85000.0,
- '2026-10-05 05:11:30', '2026-10-07 10:03:53'
- )
- """
- )
- conn.commit()
- sync_options_from_local_trades(conn, None)
- row = conn.execute(
- "SELECT realized_pnl_total, status_raw FROM options_review_trades WHERE history_key=?",
- ("local_opt:1",),
- ).fetchone()
- # 无账户/桥快照:不得用指数折 U 冒充真盈亏
- self.assertIsNone(row["realized_pnl_total"])
+ # 开平价相同:波动项为0 → 等于币×卖回价=850
+ self.assertAlmostEqual(float(row["realized_pnl_total"]), 850.0, places=2)
conn.close()