From 57ca5ebc8f39f5ba644d1241958ff1f12991719b Mon Sep 17 00:00:00 2001
From: dekun <dekun@local>
Date: Tue, 13 Oct 2026 11:56:47 +0800
Subject: [PATCH] =?UTF-8?q?fix=E6=A8=A1=E6=8B=9F=E7=9B=98=E6=B5=81?=
 =?UTF-8?q?=E6=B0=B4=E9=87=8D=E7=AE=97VWAP=E6=8C=89=E5=90=88=E7=BA=A6?=
 =?UTF-8?q?=E5=88=86=E6=AE=B5=EF=BC=8C=E9=81=BF=E5=85=8D=E4=B8=A4=E7=AC=94?=
 =?UTF-8?q?=E5=8D=96=E5=9B=9E=E6=B7=B7=E7=AE=97=E3=80=82?=
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Co-authored-by: Cursor <cursoragent@cursor.com>
---
 ...epair_options_spot_vwap_from_sim_ledger.py | 95 +++++++++++--------
 1 file changed, 56 insertions(+), 39 deletions(-)

diff --git a/scripts/repair_options_spot_vwap_from_sim_ledger.py b/scripts/repair_options_spot_vwap_from_sim_ledger.py
index 1bcc8af..0078f1d 100644
--- a/scripts/repair_options_spot_vwap_from_sim_ledger.py
+++ b/scripts/repair_options_spot_vwap_from_sim_ledger.py
@@ -37,56 +37,72 @@ def _ledger_buy_sell(
     """在开仓前后窗口内汇总 USDT→币 与 平仓后币→USDT."""
     u = (underly or "").upper()
     inst = str(inst_id or "").strip()
-    buys = conn.execute(
-        """
-        SELECT amount, ts FROM sim_ledger_entries
-        WHERE ccy='USDT' AND account='trading' AND kind='convert'
-          AND amount < 0 AND note LIKE ?
-          AND ts >= datetime(?, '-14 hour')
-          AND ts <= datetime(?, '+14 hour')
-        ORDER BY id
-        """,
-        (f"{u}/USDT%", open_ts, open_ts),
-    ).fetchall()
     buy_usdt = 0.0
     buy_coin = 0.0
-    for row in buys:
-        coin_row = conn.execute(
+    opens = conn.execute(
+        """
+        SELECT id, ts FROM sim_ledger_entries
+        WHERE kind='option_open' AND note LIKE ?
+        ORDER BY id
+        """,
+        (f"%{inst}%",),
+    ).fetchall() if inst else []
+    if opens:
+        open_id = int(opens[0]["id"])
+        # 开仓前最近一笔 USDT→币(含缓冲买币)
+        buy_row = conn.execute(
             """
-            SELECT amount FROM sim_ledger_entries
-            WHERE ccy=? AND account='trading' AND kind='convert' AND amount > 0
-              AND ts=? AND note LIKE 'from usdt%'
-            ORDER BY id LIMIT 1
-            """,
-            (u, row["ts"]),
-        ).fetchone()
-        if not coin_row:
-            continue
-        buy_usdt += abs(float(row["amount"]))
-        buy_coin += float(coin_row["amount"])
-    sell_usdt = 0.0
-    sell_coin = 0.0
-    last_close = None
-    if inst:
-        last_close = conn.execute(
-            """
-            SELECT ts FROM sim_ledger_entries
-            WHERE kind='option_close' AND note LIKE ?
+            SELECT id, amount, ts FROM sim_ledger_entries
+            WHERE ccy='USDT' AND account='trading' AND kind='convert'
+              AND amount < 0 AND note LIKE ? AND id < ?
             ORDER BY id DESC LIMIT 1
             """,
-            (f"%{inst}%",),
+            (f"{u}/USDT%", open_id),
         ).fetchone()
-    if last_close or close_ts:
-        close_anchor = str(last_close["ts"]) if last_close else str(close_ts)
+        if buy_row:
+            coin_row = conn.execute(
+                """
+                SELECT amount FROM sim_ledger_entries
+                WHERE ccy=? AND account='trading' AND kind='convert' AND amount > 0
+                  AND ts=? AND note LIKE 'from usdt%' AND id < ?
+                ORDER BY id DESC LIMIT 1
+                """,
+                (u, buy_row["ts"], open_id),
+            ).fetchone()
+            if coin_row:
+                buy_usdt = abs(float(buy_row["amount"]))
+                buy_coin = float(coin_row["amount"])
+    sell_usdt = 0.0
+    sell_coin = 0.0
+    # 该合约 option_close 的 id 区间:本笔最后一笔 close → 下一笔任意 option_open/close 之前
+    closes = conn.execute(
+        """
+        SELECT id, ts FROM sim_ledger_entries
+        WHERE kind='option_close' AND note LIKE ?
+        ORDER BY id
+        """,
+        (f"%{inst}%",),
+    ).fetchall() if inst else []
+    if closes:
+        start_id = int(closes[-1]["id"])
+        nxt = conn.execute(
+            """
+            SELECT id FROM sim_ledger_entries
+            WHERE id > ? AND kind IN ('option_open','option_close')
+            ORDER BY id LIMIT 1
+            """,
+            (start_id,),
+        ).fetchone()
+        end_id = int(nxt["id"]) if nxt else 10**12
         sells = conn.execute(
             """
-            SELECT amount, ts FROM sim_ledger_entries
+            SELECT id, amount, ts FROM sim_ledger_entries
             WHERE ccy=? AND account='trading' AND kind='convert'
               AND amount < 0 AND note LIKE ?
-              AND ts >= ?
+              AND id > ? AND id < ?
             ORDER BY id
             """,
-            (u, f"{u}/USDT%", close_anchor),
+            (u, f"{u}/USDT%", start_id, end_id),
         ).fetchall()
         for row in sells:
             usdt_row = conn.execute(
@@ -94,9 +110,10 @@ def _ledger_buy_sell(
                 SELECT amount FROM sim_ledger_entries
                 WHERE ccy='USDT' AND account='trading' AND kind='convert'
                   AND amount > 0 AND ts=? AND note LIKE 'from %'
+                  AND id > ? AND id < ?
                 ORDER BY id LIMIT 1
                 """,
-                (row["ts"],),
+                (row["ts"], start_id, end_id),
             ).fetchone()
             if not usdt_row:
                 continue