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fix多笔买/卖回用VWAP计入真盈亏，卖完再结算并标记待卖回。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-13 10:38:46 +08:00
parent 42a7ee9961
commit 53a624633d
11 changed files with 451 additions and 28 deletions
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lib/options/options_account_pnl_lib.py
+21 -6
View File
@@ -263,10 +263,13 @@ def settle_closed_trades_from_trading_account(
params.append(int(bridge_id))
else:
return 0
from lib.options.options_pnl_settle_lib import resolve_spot_vwap_prices
rows = conn.execute(
f"""
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
open_index_px, close_index_px, open_fee, close_fee, premium_ccy, fee_ccy,
bridge_id
FROM options_trades
WHERE {" AND ".join(clauses)}
""",
@@ -280,30 +283,42 @@ def settle_closed_trades_from_trading_account(
)
after_use = after
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
row_bid = row["bridge_id"] if hasattr(row, "keys") else row[11]
if row_bid is None and bridge_id is not None:
row_bid = bridge_id
open_px, close_px, _gate = resolve_spot_vwap_prices(
conn,
bridge_id=row_bid,
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],
)
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_index_px=open_px,
close_index_px=close_px,
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],
conn=conn,
bridge_id=row_bid,
)
if pnl_u is None or src == "none":
if pnl_u is None or src in ("none", "pending_sell"):
continue
conn.execute(
"""
UPDATE options_trades
SET trading_usdt_after = COALESCE(?, trading_usdt_after),
realized_pnl_usdt = ?,
open_index_px = COALESCE(?, open_index_px),
close_index_px = COALESCE(?, close_index_px),
pnl_settled = 1
WHERE id = ? AND COALESCE(pnl_settled, 0)=0
""",
(after_use, pnl_u, tid),
(after_use, pnl_u, open_px, close_px, tid),
)
updated += 1
return updated
lib/options/options_coin_open_lib.py
+14
View File
@@ -306,6 +306,20 @@ def open_coin_option_buy_full(
"budget": budget_info,
}
_spot_bridge.update_bridge(conn, bridge_id, coin_bought=float(coin_bought))
# 买侧 VWAP 累加(多笔买同理);USDT 优先成交回报,否则用计划买额
try:
usdt_spent = float(buy.get("usdt_spent") or buy_usdt)
except (TypeError, ValueError):
usdt_spent = float(buy_usdt)
try:
_spot_bridge.add_bridge_buy_fill(
conn,
bridge_id,
usdt_spent=usdt_spent,
coin_bought=float(coin_bought),
)
except Exception:
pass
try:
conn.commit()
except Exception:
lib/options/options_pnl_settle_lib.py
+68 -4
View File
@@ -202,6 +202,62 @@ def true_pnl_usdt_premium_move(
return round(float(pnl) * float(close_px) - prem_move, 4)
def resolve_spot_vwap_prices(
conn: Any = None,
*,
bridge_id: Any = None,
open_index_px: Any = None,
close_index_px: Any = None,
) -> 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,
lib/options/options_review_lib.py
+20 -4
View File
@@ -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
lib/options/options_spot_bridge_lib.py
+182 -4
View File
@@ -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:
lib/options/templates/options_review_panel.html
+1 -1
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=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。</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)；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。</p>
</div>
</div>
<div class="options-strike-table-wrap or-trades-table-wrap" id="or-trades-wrap">