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fix复盘真盈亏按权利金USDT波动公式计算，忽略现货多买。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-13 10:16:44 +08:00
parent c2c69e580c
commit 3416996ae5
10 changed files with 249 additions and 280 deletions
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lib/options/options_account_pnl_lib.py
+28 -87
View File
@@ -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
lib/options/options_close_exec_lib.py
+2 -3
View File
@@ -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
lib/options/options_pnl_settle_lib.py
+98 -4
View File
@@ -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).
"""
lib/options/options_review_lib.py
+30 -59
View File
@@ -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":
lib/options/templates/options_review_panel.html
+2 -2
View File
@@ -229,7 +229,7 @@
<span class="or-step" aria-hidden="true">1</span>
<div>
<div class="or-section-title" id="or-list-title">期权交易记录</div>
<p class="or-section-desc">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。</p>
<p class="or-section-desc">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。</p>
</div>
</div>
<div class="options-strike-table-wrap or-trades-table-wrap" id="or-trades-wrap">
@@ -239,7 +239,7 @@
<th>类型</th>
<th>标的/合约</th>
<th>初始权利金</th>
<th title="卖光收回USDT − 开仓买币花费(账户after−before)">真盈亏</th>
<th title="币盈亏×卖回价 − 权利金×(开仓价−卖回价)">真盈亏</th>
<th>盈利率</th>
<th title="仅期权开/平手续费">手续费</th>
<th>开仓时间</th>