' +
- (needsMark ? '—' : fmtPnl(t.realized_pnl_total)) +
+ (needsMark || pendingSell
+ ? '—'
+ : fmtPnl(t.realized_pnl_total)) +
"" +
' tuple[float | None, float | None, str]:
+ """开仓价/卖回价:优先桥上多笔 VWAP,否则冻结指数.
+
+ 返回 (open_px, close_px, gate):
+ gate='' 可算; 'pending_sell' 卖回未完成; 'missing' 缺价
+ """
+ open_px = _safe_float(open_index_px)
+ close_px = _safe_float(close_index_px)
+ bid = None
+ try:
+ if bridge_id is not None and str(bridge_id).strip() != "":
+ bid = int(bridge_id)
+ except (TypeError, ValueError):
+ bid = None
+ if conn is not None and bid is not None:
+ try:
+ from lib.options.options_spot_bridge_lib import (
+ BRIDGE_CLOSED,
+ BRIDGE_PENDING_SELL,
+ bridge_buy_vwap,
+ bridge_sell_vwap,
+ ensure_bridge_table,
+ )
+
+ ensure_bridge_table(conn)
+ bv = bridge_buy_vwap(conn, bid)
+ if bv is not None and bv > 0:
+ open_px = bv
+ row = conn.execute(
+ "SELECT status FROM options_spot_bridge WHERE id=?",
+ (bid,),
+ ).fetchone()
+ st = str(
+ row["status"] if row and hasattr(row, "keys") else (row[0] if row else "") or ""
+ )
+ if st == BRIDGE_PENDING_SELL:
+ return open_px, None, "pending_sell"
+ sv = bridge_sell_vwap(conn, bid)
+ if sv is not None and sv > 0:
+ close_px = sv
+ elif st == BRIDGE_CLOSED and (close_px is None or close_px <= 0):
+ # 已关桥但无 VWAP/冻结卖回价
+ return open_px, None, "missing"
+ except Exception:
+ pass
+ if open_px is None or open_px <= 0 or close_px is None or close_px <= 0:
+ return open_px, close_px, "missing"
+ return open_px, close_px, ""
+
+
def resolve_true_pnl_usdt_from_trade(
*,
premium_paid: Any = None,
@@ -213,10 +269,12 @@ def resolve_true_pnl_usdt_from_trade(
close_fee: Any = 0,
premium_ccy: str | None = None,
fee_ccy: str | None = None,
+ conn: Any = None,
+ bridge_id: Any = 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.
+ """由成交字段算复盘真盈亏;开/卖回价优先多笔 VWAP.
- 返回 (pnl_u, source): premium_move | stable | none
+ 返回 (pnl_u, source): premium_move | stable | pending_sell | 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()
@@ -233,8 +291,14 @@ def resolve_true_pnl_usdt_from_trade(
return round(float(coin), 4), "stable"
return None, "none"
- open_px = _safe_float(open_index_px)
- close_px = _safe_float(close_index_px)
+ open_px, close_px, gate = resolve_spot_vwap_prices(
+ conn,
+ bridge_id=bridge_id,
+ open_index_px=open_index_px,
+ close_index_px=close_index_px,
+ )
+ if gate == "pending_sell":
+ return None, "pending_sell"
# 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,
diff --git a/lib/options/options_review_lib.py b/lib/options/options_review_lib.py
index 828e09a..8c99f77 100644
--- a/lib/options/options_review_lib.py
+++ b/lib/options/options_review_lib.py
@@ -591,19 +591,35 @@ def sync_options_from_local_trades(
close_fee=cfee,
premium_ccy=ccy,
fee_ccy=str(r["premium_ccy"] or ccy or ""),
+ conn=conn,
+ bridge_id=r["bridge_id"],
)
- # 能算新公式则写回;算不出则清空旧冻结并标记「缺价未核」
+ # 能算新公式则写回;卖回未完成→待卖回;算不出→缺价未核
status_label = "已平"
- if pnl_u is not None and pnl_src != "none":
+ if pnl_src == "pending_sell":
+ status_label = "待卖回"
+ pnl_u = None
+ elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
if frozen_usdt is None or abs(float(frozen_usdt) - float(pnl_u)) > 0.05:
try:
+ from lib.options.options_pnl_settle_lib import resolve_spot_vwap_prices
+
+ opx, cpx, _g = resolve_spot_vwap_prices(
+ conn,
+ bridge_id=r["bridge_id"],
+ open_index_px=open_idx,
+ close_index_px=sell_idx,
+ )
conn.execute(
"""
UPDATE options_trades
- SET realized_pnl_usdt = ?, pnl_settled = 1
+ SET realized_pnl_usdt = ?,
+ open_index_px = COALESCE(?, open_index_px),
+ close_index_px = COALESCE(?, close_index_px),
+ pnl_settled = 1
WHERE id = ?
""",
- (pnl_u, trade_id),
+ (pnl_u, opx, cpx, trade_id),
)
except Exception:
pass
diff --git a/lib/options/options_spot_bridge_lib.py b/lib/options/options_spot_bridge_lib.py
index 045a35b..802dcf1 100644
--- a/lib/options/options_spot_bridge_lib.py
+++ b/lib/options/options_spot_bridge_lib.py
@@ -96,6 +96,153 @@ def ensure_bridge_table(conn: sqlite3.Connection) -> None:
ON options_spot_bridge(status)
"""
)
+ # 多笔买卖 VWAP:买侧累加(含缓冲);平仓后卖回单独累加(不含开仓多余卖回)
+ for ddl in (
+ "ALTER TABLE options_spot_bridge ADD COLUMN buy_usdt_spent REAL",
+ "ALTER TABLE options_spot_bridge ADD COLUMN buy_coin_accum REAL",
+ "ALTER TABLE options_spot_bridge ADD COLUMN close_sell_coin REAL",
+ "ALTER TABLE options_spot_bridge ADD COLUMN close_sell_usdt REAL",
+ ):
+ try:
+ conn.execute(ddl)
+ except Exception:
+ pass
+
+
+def add_bridge_buy_fill(
+ conn: sqlite3.Connection,
+ bridge_id: int,
+ *,
+ usdt_spent: float | None,
+ coin_bought: float | None,
+) -> None:
+ """累加开仓买币成交,供买侧 VWAP=ΣUSDT/Σ币."""
+ ensure_bridge_table(conn)
+ u = _safe_float(usdt_spent)
+ c = _safe_float(coin_bought)
+ if bridge_id is None or u is None or c is None or u <= 0 or c <= 0:
+ return
+ row = conn.execute(
+ "SELECT buy_usdt_spent, buy_coin_accum FROM options_spot_bridge WHERE id=?",
+ (int(bridge_id),),
+ ).fetchone()
+ if not row:
+ return
+ prev_u = _safe_float(row["buy_usdt_spent"] if hasattr(row, "keys") else row[0]) or 0.0
+ prev_c = _safe_float(row["buy_coin_accum"] if hasattr(row, "keys") else row[1]) or 0.0
+ conn.execute(
+ """
+ UPDATE options_spot_bridge
+ SET buy_usdt_spent = ?, buy_coin_accum = ?, updated_at = CURRENT_TIMESTAMP
+ WHERE id = ?
+ """,
+ (round(prev_u + float(u), 8), round(prev_c + float(c), 8), int(bridge_id)),
+ )
+
+
+def add_bridge_close_sell_fill(
+ conn: sqlite3.Connection,
+ bridge_id: int,
+ *,
+ usdt_recovered: float | None,
+ coin_sold: float | None,
+) -> None:
+ """累加平仓后卖回成交(多笔),供卖回 VWAP=ΣUSDT/Σ币;同时累加 usdt_recovered."""
+ ensure_bridge_table(conn)
+ u = _safe_float(usdt_recovered)
+ c = _safe_float(coin_sold)
+ if bridge_id is None:
+ return
+ if u is not None and u > 0:
+ add_bridge_usdt_recovered(conn, int(bridge_id), u)
+ if (u is None or u <= 0) and (c is None or c <= 0):
+ return
+ row = conn.execute(
+ """
+ SELECT close_sell_usdt, close_sell_coin, coin_sold
+ FROM options_spot_bridge WHERE id=?
+ """,
+ (int(bridge_id),),
+ ).fetchone()
+ if not row:
+ return
+ prev_u = _safe_float(row["close_sell_usdt"] if hasattr(row, "keys") else row[0]) or 0.0
+ prev_c = _safe_float(row["close_sell_coin"] if hasattr(row, "keys") else row[1]) or 0.0
+ prev_sold = _safe_float(row["coin_sold"] if hasattr(row, "keys") else row[2]) or 0.0
+ new_u = prev_u + (float(u) if u is not None and u > 0 else 0.0)
+ new_c = prev_c + (float(c) if c is not None and c > 0 else 0.0)
+ new_sold = prev_sold + (float(c) if c is not None and c > 0 else 0.0)
+ conn.execute(
+ """
+ UPDATE options_spot_bridge
+ SET close_sell_usdt = ?, close_sell_coin = ?, coin_sold = ?,
+ updated_at = CURRENT_TIMESTAMP
+ WHERE id = ?
+ """,
+ (round(new_u, 8), round(new_c, 8), round(new_sold, 8), int(bridge_id)),
+ )
+
+
+def bridge_buy_vwap(conn: sqlite3.Connection, bridge_id: int | None) -> float | None:
+ """开仓买币 VWAP(USDT/币);多笔加权.忽略后续把 coin_bought 改成权利金量."""
+ if bridge_id is None:
+ return None
+ ensure_bridge_table(conn)
+ row = conn.execute(
+ "SELECT buy_usdt_spent, buy_coin_accum, budget_usdt, coin_bought FROM options_spot_bridge WHERE id=?",
+ (int(bridge_id),),
+ ).fetchone()
+ if not row:
+ return None
+ spent = _safe_float(row["buy_usdt_spent"] if hasattr(row, "keys") else row[0])
+ coins = _safe_float(row["buy_coin_accum"] if hasattr(row, "keys") else row[1])
+ if spent is not None and coins is not None and spent > 0 and coins > 0:
+ return round(float(spent) / float(coins), 8)
+ # 旧桥无累加字段:用预算/买入量近似单笔
+ budget = _safe_float(row["budget_usdt"] if hasattr(row, "keys") else row[2])
+ bought = _safe_float(row["coin_bought"] if hasattr(row, "keys") else row[3])
+ if budget is not None and bought is not None and budget > 0 and bought > 0:
+ return round(float(budget) / float(bought), 8)
+ return None
+
+
+def bridge_sell_vwap(conn: sqlite3.Connection, bridge_id: int | None) -> float | None:
+ """平仓后卖回 VWAP(USDT/币);仅 close_sell_* 多笔加权,不含开仓多余卖回."""
+ if bridge_id is None:
+ return None
+ ensure_bridge_table(conn)
+ row = conn.execute(
+ "SELECT close_sell_usdt, close_sell_coin, usdt_recovered, coin_sold, status FROM options_spot_bridge WHERE id=?",
+ (int(bridge_id),),
+ ).fetchone()
+ if not row:
+ return None
+ u = _safe_float(row["close_sell_usdt"] if hasattr(row, "keys") else row[0])
+ c = _safe_float(row["close_sell_coin"] if hasattr(row, "keys") else row[1])
+ if u is not None and c is not None and u > 0 and c > 0:
+ return round(float(u) / float(c), 8)
+ # 旧桥无分拆字段且已关桥:用总收回/总卖出近似(可能含开仓多余卖回)
+ st = str(row["status"] if hasattr(row, "keys") else row[4] or "")
+ if st == BRIDGE_CLOSED:
+ ru = _safe_float(row["usdt_recovered"] if hasattr(row, "keys") else row[2])
+ sc = _safe_float(row["coin_sold"] if hasattr(row, "keys") else row[3])
+ if ru is not None and sc is not None and ru > 0 and sc > 0:
+ return round(float(ru) / float(sc), 8)
+ return None
+
+
+def bridge_sell_complete(conn: sqlite3.Connection, bridge_id: int | None) -> bool:
+ """平仓卖回是否已完成(桥已关闭)."""
+ if bridge_id is None:
+ return False
+ ensure_bridge_table(conn)
+ row = conn.execute(
+ "SELECT status FROM options_spot_bridge WHERE id=?",
+ (int(bridge_id),),
+ ).fetchone()
+ if not row:
+ return False
+ return str(row["status"] if hasattr(row, "keys") else row[0] or "") == BRIDGE_CLOSED
def list_open_bridges(conn: sqlite3.Connection) -> list[dict[str, Any]]:
@@ -546,11 +693,37 @@ def sell_residual_after_option_flat(
# 一次一仓空仓后卖光可用(含盈利币);禁止用 coin_bought/权利金封顶
# 此处无业务连接:模拟盘 convert 可安全另开写钱包
+ usdt_before_sell = None
+ try:
+ from lib.options.options_account_pnl_lib import fetch_trading_usdt
+
+ usdt_before_sell = fetch_trading_usdt({"fetch_options_balances": None}, ex)
+ except Exception:
+ usdt_before_sell = None
sell = spot_market_sell_coin_to_usdt(
ex,
underlying=underlying,
coin_amount=None,
)
+ # 实盘订单回报常无 usdt_recovered:用交易账户 USDT 增量补
+ if sell.get("ok") and _safe_float(sell.get("usdt_recovered")) is None:
+ try:
+ from lib.exchange.okx_options_lib import invalidate_options_balance_cache
+ from lib.options.options_account_pnl_lib import fetch_trading_usdt
+
+ invalidate_options_balance_cache()
+ usdt_after_sell = fetch_trading_usdt({"fetch_options_balances": None}, ex)
+ if (
+ usdt_before_sell is not None
+ and usdt_after_sell is not None
+ and float(usdt_after_sell) > float(usdt_before_sell)
+ ):
+ sell = dict(sell)
+ sell["usdt_recovered"] = round(
+ float(usdt_after_sell) - float(usdt_before_sell), 8
+ )
+ except Exception:
+ pass
if bid is None:
if not sell.get("ok"):
msg = str(sell.get("msg") or "")
@@ -609,8 +782,14 @@ def sell_residual_after_option_flat(
"sell_complete": False,
}
recovered = _safe_float(sell.get("usdt_recovered"))
- if recovered is not None and recovered > 0:
- add_bridge_usdt_recovered(c, bid, recovered)
+ sold_amt = _safe_float(sell.get("coin_sold"))
+ # 平仓后卖回(可多笔):累加 close_sell_* 供卖回 VWAP;开仓多余卖回不走这里
+ add_bridge_close_sell_fill(
+ c,
+ bid,
+ usdt_recovered=recovered,
+ coin_sold=sold_amt,
+ )
# 卖后仍有可卖 → 不关桥、不结算(盈利币未卖回时曾误冻亏损)
try:
left = fetch_trading_coin_available(ex, underlying)
@@ -623,7 +802,6 @@ def sell_residual_after_option_flat(
bid,
status=BRIDGE_PENDING_SELL,
sell_ord_id=str(sell.get("ord_id") or ""),
- coin_sold=_safe_float(sell.get("coin_sold")),
inst_id=inst_id,
message=left_msg,
)
@@ -641,7 +819,6 @@ def sell_residual_after_option_flat(
bid,
status=BRIDGE_CLOSED,
sell_ord_id=str(sell.get("ord_id") or ""),
- coin_sold=_safe_float(sell.get("coin_sold")),
inst_id=inst_id,
message="期权已平,币已卖回 USDT",
close=True,
@@ -652,6 +829,7 @@ def sell_residual_after_option_flat(
"bridge_id": bid,
"bridge_status": BRIDGE_CLOSED,
"sell_complete": True,
+ "sell_vwap": bridge_sell_vwap(c, bid),
}
if get_db is not None:
diff --git a/lib/options/templates/options_review_panel.html b/lib/options/templates/options_review_panel.html
index 18a8348..8b45ac2 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=历史币盈亏×卖回价 − 权利金×(开仓价−卖回价)。缺开仓/卖回价的旧单标记「缺价未核」，不沿用旧冻结。期权历史仅记币收益。
+ 真盈亏=历史币盈亏×卖回价 − 权利金×(开仓价−卖回价)；开/卖回价为多笔 VWAP。卖回未完标「待卖回」，缺价标「缺价未核」。期权历史仅记币收益。
diff --git a/scripts/repair_options_dual_pnl.py b/scripts/repair_options_dual_pnl.py
index 97d1844..681acb9 100644
--- a/scripts/repair_options_dual_pnl.py
+++ b/scripts/repair_options_dual_pnl.py
@@ -91,8 +91,7 @@ def repair(conn: sqlite3.Connection, *, apply: bool) -> list[dict[str, Any]]:
elif coin_pnl is not None and open_idx is not None and open_idx > 0:
stats_u = round(coin_pnl * open_idx, 4)
- # 口径 A:权利金 USDT 波动式(忽略现货多买/账户差分)
- # 真盈亏必须同时有开仓价与卖回价;缺一则标记缺价未核(不用开仓价冒充卖回价)
+ # 口径 A:权利金 USDT 波动式;开/卖回价优先桥多笔 VWAP
true_a, src = resolve_true_pnl_usdt_from_trade(
premium_paid=paid,
premium_received=recv,
@@ -102,6 +101,8 @@ def repair(conn: sqlite3.Connection, *, apply: bool) -> list[dict[str, Any]]:
open_fee=r["open_fee"],
close_fee=r["close_fee"],
premium_ccy=ccy,
+ conn=conn,
+ bridge_id=r["bridge_id"],
)
action = "ok"
@@ -109,7 +110,12 @@ def repair(conn: sqlite3.Connection, *, apply: bool) -> list[dict[str, Any]]:
new_pnl_settled = 1 if settled else 0
status_label = "已平"
- if true_a is not None and src != "none":
+ if src == "pending_sell":
+ action = "mark_pending_sell"
+ new_pnl_settled = 0
+ new_settled_u = None
+ status_label = "待卖回"
+ elif true_a is not None and src != "none":
if settled_u is None or abs(float(settled_u) - float(true_a)) > 0.05:
action = "rewrite_A_premium_move"
new_settled_u = round(float(true_a), 4)
@@ -119,7 +125,6 @@ def repair(conn: sqlite3.Connection, *, apply: bool) -> list[dict[str, Any]]:
new_settled_u = round(float(true_a), 4)
new_pnl_settled = 1
else:
- # 缺开仓价/卖回价/币盈亏等:无法按新公式更新 → 标记「缺价未核」
action = "mark_uncomputable_A"
new_pnl_settled = 0
new_settled_u = None
@@ -158,7 +163,7 @@ def repair(conn: sqlite3.Connection, *, apply: bool) -> list[dict[str, Any]]:
"UPDATE options_trades SET initial_premium_usdt=? WHERE id=?",
(new_initial, tid),
)
- if action == "mark_uncomputable_A":
+ if action in ("mark_uncomputable_A", "mark_pending_sell"):
conn.execute(
"""
UPDATE options_trades
diff --git a/tests/test_options_spot_vwap.py b/tests/test_options_spot_vwap.py
new file mode 100644
index 0000000..7c78c83
--- /dev/null
+++ b/tests/test_options_spot_vwap.py
@@ -0,0 +1,110 @@
+"""多笔买/卖回 VWAP 与真盈亏."""
+from __future__ import annotations
+
+import sqlite3
+import unittest
+
+
+class SpotVwapBridgeTests(unittest.TestCase):
+ def test_buy_and_close_sell_vwap_multi_fill(self):
+ from lib.options.options_spot_bridge_lib import (
+ BRIDGE_CLOSED,
+ add_bridge_buy_fill,
+ add_bridge_close_sell_fill,
+ bridge_buy_vwap,
+ bridge_sell_vwap,
+ ensure_bridge_table,
+ insert_bridge,
+ update_bridge,
+ )
+
+ conn = sqlite3.connect(":memory:")
+ conn.row_factory = sqlite3.Row
+ ensure_bridge_table(conn)
+ bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=2200)
+ add_bridge_buy_fill(conn, bid, usdt_spent=1000.0, coin_bought=0.5)
+ add_bridge_buy_fill(conn, bid, usdt_spent=1200.0, coin_bought=0.6)
+ # 2200 / 1.1 = 2000
+ self.assertAlmostEqual(float(bridge_buy_vwap(conn, bid)), 2000.0, places=4)
+
+ add_bridge_close_sell_fill(conn, bid, usdt_recovered=800.0, coin_sold=0.4)
+ add_bridge_close_sell_fill(conn, bid, usdt_recovered=1200.0, coin_sold=0.6)
+ # 2000 / 1.0 = 2000
+ self.assertAlmostEqual(float(bridge_sell_vwap(conn, bid)), 2000.0, places=4)
+ update_bridge(conn, bid, status=BRIDGE_CLOSED, close=True)
+ self.assertAlmostEqual(float(bridge_sell_vwap(conn, bid)), 2000.0, places=4)
+ conn.close()
+
+ def test_true_pnl_uses_bridge_vwap_not_index(self):
+ from lib.options.options_db import init_options_tables
+ from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
+ from lib.options.options_spot_bridge_lib import (
+ BRIDGE_CLOSED,
+ add_bridge_buy_fill,
+ add_bridge_close_sell_fill,
+ ensure_bridge_table,
+ insert_bridge,
+ update_bridge,
+ )
+
+ conn = sqlite3.connect(":memory:")
+ conn.row_factory = sqlite3.Row
+ init_options_tables(conn)
+ ensure_bridge_table(conn)
+ bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=2200)
+ add_bridge_buy_fill(conn, bid, usdt_spent=2200.0, coin_bought=1.1)
+ add_bridge_close_sell_fill(conn, bid, usdt_recovered=1600.0, coin_sold=0.8)
+ add_bridge_close_sell_fill(conn, bid, usdt_recovered=400.0, coin_sold=0.2)
+ update_bridge(conn, bid, status=BRIDGE_CLOSED, close=True)
+ # buy_vwap=2000, sell_vwap=2000; coin_pnl=0.01
+ # A = 0.01*2000 - (0.01*2000 - 0.01*2000) = 20
+ # 若误用指数 90000/80000 会得到 700
+ pnl, src = resolve_true_pnl_usdt_from_trade(
+ premium_paid=0.01,
+ premium_received=0.02,
+ realized_pnl=0.01,
+ open_index_px=90000.0,
+ close_index_px=80000.0,
+ premium_ccy="BTC",
+ conn=conn,
+ bridge_id=bid,
+ )
+ self.assertEqual(src, "premium_move")
+ self.assertAlmostEqual(float(pnl), 20.0, places=2)
+ conn.close()
+
+ def test_pending_sell_blocks_true_pnl(self):
+ from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
+ from lib.options.options_spot_bridge_lib import (
+ BRIDGE_PENDING_SELL,
+ add_bridge_buy_fill,
+ add_bridge_close_sell_fill,
+ ensure_bridge_table,
+ insert_bridge,
+ update_bridge,
+ )
+
+ conn = sqlite3.connect(":memory:")
+ conn.row_factory = sqlite3.Row
+ ensure_bridge_table(conn)
+ bid = insert_bridge(conn, underlying="ETH", status="holding", budget_usdt=3000)
+ add_bridge_buy_fill(conn, bid, usdt_spent=3000.0, coin_bought=1.0)
+ add_bridge_close_sell_fill(conn, bid, usdt_recovered=1500.0, coin_sold=0.5)
+ update_bridge(conn, bid, status=BRIDGE_PENDING_SELL)
+ pnl, src = resolve_true_pnl_usdt_from_trade(
+ premium_paid=0.01,
+ premium_received=0.02,
+ realized_pnl=0.01,
+ open_index_px=3000.0,
+ close_index_px=3000.0,
+ premium_ccy="ETH",
+ conn=conn,
+ bridge_id=bid,
+ )
+ self.assertEqual(src, "pending_sell")
+ self.assertIsNone(pnl)
+ conn.close()
+
+
+if __name__ == "__main__":
+ unittest.main()
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