fix复盘真盈亏按权利金USDT波动公式计算，忽略现货多买。
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -236,68 +236,6 @@ def try_settle_after_sellback(
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pass
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def resolve_true_pnl_usdt(
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conn,
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*,
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trading_usdt_before: Any = None,
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trading_usdt_after: Any = None,
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bridge_id: Any = None,
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realized_pnl_usdt: Any = None,
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pnl_settled: Any = False,
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) -> tuple[float | None, str]:
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"""真盈亏(口径 A)=卖光标的币收回 USDT − 开仓买币花费.
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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」.
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绝不回退权利金×指数(那是口径 B / 期权腿).
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返回 (pnl_u, source): account | bridge | frozen | none
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"""
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before = _safe_float(trading_usdt_before)
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after = _safe_float(trading_usdt_after)
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if before is not None and after is not None:
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return round(float(after) - float(before), 4), "account"
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bid = None
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try:
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if bridge_id is not None and str(bridge_id).strip() != "":
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bid = int(bridge_id)
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except (TypeError, ValueError):
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bid = None
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if bid is not None:
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try:
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from lib.options.options_spot_bridge_lib import (
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BRIDGE_CLOSED,
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cash_pnl_usdt_from_bridge,
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ensure_bridge_table,
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)
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ensure_bridge_table(conn)
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brow = conn.execute(
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"SELECT status, usdt_recovered FROM options_spot_bridge WHERE id=?",
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(bid,),
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).fetchone()
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if brow:
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st = str(brow["status"] if hasattr(brow, "keys") else brow[0] or "")
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recovered = _safe_float(
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brow["usdt_recovered"] if hasattr(brow, "keys") else brow[1]
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)
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if st == BRIDGE_CLOSED and recovered is not None:
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bp = cash_pnl_usdt_from_bridge(conn, bid)
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if bp is not None:
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return bp, "bridge"
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except Exception:
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pass
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try:
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settled = int(pnl_settled or 0) == 1
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except (TypeError, ValueError):
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settled = bool(pnl_settled)
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frozen = _safe_float(realized_pnl_usdt)
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# 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
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if settled and before is not None and frozen is not None:
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return round(float(frozen), 4), "frozen"
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return None, "none"
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def settle_closed_trades_from_trading_account(
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conn,
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*,
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@@ -305,15 +243,17 @@ def settle_closed_trades_from_trading_account(
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bridge_id: int | None = None,
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trade_id: int | None = None,
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) -> int:
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"""卖回后:对本桥/本单未结算已平仓位冻结真盈亏.
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"""卖回后:拍 after 快照,并冻结复盘真盈亏(权利金 USDT 波动口径).
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优先 after−before;账户 after 缺失时用桥「卖回−买币」.
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已 pnl_settled=1 的行永不改写.
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realized_pnl_usdt = 历史币盈亏×卖回价 − (权利金×开仓价 − 权利金×卖回价);
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不含现货多买.账户 after 仅审计.已 pnl_settled=1 的行永不改写.
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"""
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from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
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after = _safe_float(trading_usdt_after)
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if after is not None:
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after = round(float(after), 8)
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clauses = ["status='closed'", "COALESCE(pnl_settled, 0)=0", "trading_usdt_before IS NOT NULL"]
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clauses = ["status='closed'", "COALESCE(pnl_settled, 0)=0"]
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params: list[Any] = []
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if trade_id is not None:
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clauses.append("id=?")
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@@ -325,7 +265,8 @@ def settle_closed_trades_from_trading_account(
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return 0
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rows = conn.execute(
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f"""
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SELECT id, trading_usdt_before, realized_pnl_usdt, bridge_id
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SELECT id, trading_usdt_before, premium_paid, premium_received, realized_pnl,
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open_index_px, close_index_px, open_fee, close_fee, premium_ccy, fee_ccy
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FROM options_trades
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WHERE {" AND ".join(clauses)}
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""",
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@@ -334,30 +275,30 @@ def settle_closed_trades_from_trading_account(
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updated = 0
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for row in rows:
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tid = int(row["id"] if hasattr(row, "keys") else row[0])
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before = _safe_float(row["trading_usdt_before"] if hasattr(row, "keys") else row[1])
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if before is None:
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continue
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row_bid = row["bridge_id"] if hasattr(row, "keys") else row[3]
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if row_bid is None and bridge_id is not None:
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row_bid = bridge_id
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before = _safe_float(
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row["trading_usdt_before"] if hasattr(row, "keys") else row[1]
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)
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after_use = after
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if after_use is not None:
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pnl_u = round(float(after_use) - float(before), 4)
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else:
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pnl_u, src = resolve_true_pnl_usdt(
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conn,
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trading_usdt_before=before,
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trading_usdt_after=None,
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bridge_id=row_bid,
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pnl_settled=0,
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)
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if pnl_u is None or src != "bridge":
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continue
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after_use = round(float(before) + float(pnl_u), 8)
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if after_use is None and before is not None:
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# 无 after 读数时不编造;仍可用权利金公式冻结
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after_use = None
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pnl_u, src = resolve_true_pnl_usdt_from_trade(
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premium_paid=row["premium_paid"] if hasattr(row, "keys") else row[2],
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premium_received=row["premium_received"] if hasattr(row, "keys") else row[3],
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realized_pnl=row["realized_pnl"] if hasattr(row, "keys") else row[4],
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open_index_px=row["open_index_px"] if hasattr(row, "keys") else row[5],
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close_index_px=row["close_index_px"] if hasattr(row, "keys") else row[6],
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open_fee=row["open_fee"] if hasattr(row, "keys") else row[7],
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close_fee=row["close_fee"] if hasattr(row, "keys") else row[8],
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premium_ccy=row["premium_ccy"] if hasattr(row, "keys") else row[9],
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fee_ccy=row["fee_ccy"] if hasattr(row, "keys") else row[10],
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)
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if pnl_u is None or src == "none":
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continue
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conn.execute(
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"""
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UPDATE options_trades
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SET trading_usdt_after = ?,
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SET trading_usdt_after = COALESCE(?, trading_usdt_after),
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realized_pnl_usdt = ?,
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pnl_settled = 1
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WHERE id = ? AND COALESCE(pnl_settled, 0)=0
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