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>
2026-10-13 10:16:44 +08:00
parent c2c69e580c
commit 3416996ae5
10 changed files with 249 additions and 280 deletions
@@ -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
@@ -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
@@ -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()