统计已实现盈亏扣手续费，并按平仓时指数冻结为 U。
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -377,41 +377,145 @@ def close_option_by_bid1(
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open_rows = conn.execute(
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"""
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SELECT id, premium_paid FROM options_trades
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SELECT id, premium_paid, open_fee, premium_ccy, underlying,
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exchange_ord_id
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FROM options_trades
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WHERE inst_id = ? AND status = 'open'
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ORDER BY id ASC
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""",
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(inst_id,),
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).fetchall()
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from lib.options.options_pnl_settle_lib import (
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extract_order_fee,
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fee_to_premium_ccy,
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resolve_close_index_px,
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settle_closed_pnl,
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sum_option_order_fees_in_premium,
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)
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from lib.options.options_time_lib import options_app_now_str
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row_ccy = premium_ccy
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if open_rows:
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row_ccy = str(open_rows[0]["premium_ccy"] or premium_ccy or "").strip() or premium_ccy
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underly = str((open_rows[0]["underlying"] if open_rows else "") or "").strip()
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close_idx = resolve_close_index_px(
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ex, inst_id=inst_id, underlying=underly, hint=index_px
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)
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# 平仓手续费:优先累计订单号查单;查不到再用本笔下单 info
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close_fee_total = 0.0
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try:
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close_fee_total = sum_option_order_fees_in_premium(
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ex,
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inst_id=inst_id,
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ord_ids=merged_ord,
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premium_ccy=row_ccy,
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index_px=close_idx,
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fetch_order_fn=cfg.get("fetch_option_order"),
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)
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except Exception:
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close_fee_total = 0.0
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if close_fee_total <= 0:
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fee_hint, fee_hint_ccy = extract_order_fee(
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order if isinstance(order, dict) else None
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)
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if fee_hint > 0:
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close_fee_total = fee_to_premium_ccy(
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fee_hint,
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fee_hint_ccy or row_ccy,
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premium_ccy=row_ccy,
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index_px=close_idx,
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)
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total_paid = sum(float(r["premium_paid"] or 0) for r in open_rows)
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total_open_fee = sum(float(r["open_fee"] or 0) for r in open_rows)
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# 开仓费未落库时按开仓单号补查
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if total_open_fee <= 0:
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open_oids = [
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str(r["exchange_ord_id"] or "").strip()
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for r in open_rows
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if str(r["exchange_ord_id"] or "").strip()
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]
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try:
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total_open_fee = sum_option_order_fees_in_premium(
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ex,
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inst_id=inst_id,
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ord_ids=open_oids,
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premium_ccy=row_ccy,
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index_px=close_idx,
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fetch_order_fn=cfg.get("fetch_option_order"),
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)
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except Exception:
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total_open_fee = 0.0
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allocated = 0.0
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allocated_cfee = 0.0
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allocated_ofee = 0.0
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for i, row in enumerate(open_rows):
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paid = float(row["premium_paid"] or 0)
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if i == len(open_rows) - 1:
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recv = round_premium_amount(
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total_recv - allocated, decimals=PREMIUM_DECIMALS_COIN
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) or 0.0
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row_cfee = round(close_fee_total - allocated_cfee, 8)
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stored_ofee = float(row["open_fee"] or 0)
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if stored_ofee > 0:
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row_ofee = stored_ofee
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elif total_paid > 0 and total_open_fee > 0:
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row_ofee = round(total_open_fee - allocated_ofee, 8)
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else:
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row_ofee = round(total_open_fee - allocated_ofee, 8) if total_open_fee > 0 else 0.0
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elif total_paid > 0:
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share = paid / total_paid
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recv = round_premium_amount(
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total_recv * (paid / total_paid), decimals=PREMIUM_DECIMALS_COIN
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total_recv * share, decimals=PREMIUM_DECIMALS_COIN
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) or 0.0
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allocated += recv
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row_cfee = round(close_fee_total * share, 8)
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allocated_cfee += row_cfee
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stored_ofee = float(row["open_fee"] or 0)
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if stored_ofee > 0:
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row_ofee = stored_ofee
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else:
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row_ofee = round(total_open_fee * share, 8)
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allocated_ofee += row_ofee
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else:
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recv = round_premium_amount(
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total_recv / len(open_rows), decimals=PREMIUM_DECIMALS_COIN
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) or 0.0
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allocated += recv
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pnl = round_premium_amount(recv - paid, decimals=PREMIUM_DECIMALS_COIN) or 0.0
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note_sql = ""
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from lib.options.options_time_lib import options_app_now_str
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row_cfee = round(close_fee_total / len(open_rows), 8)
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allocated_cfee += row_cfee
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stored_ofee = float(row["open_fee"] or 0)
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row_ofee = stored_ofee if stored_ofee > 0 else round(
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total_open_fee / len(open_rows), 8
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)
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if stored_ofee <= 0:
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allocated_ofee += row_ofee
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# 占位顺序必须与 SQL 一致: close_quote/recv/pnl/ord/closed_at/[signal_note]/id
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settled = settle_closed_pnl(
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premium_paid=paid,
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premium_received=recv,
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open_fee=row_ofee,
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close_fee=row_cfee,
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premium_ccy=str(row["premium_ccy"] or row_ccy or premium_ccy),
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index_px=close_idx,
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)
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pnl = settled.get("realized_pnl")
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pnl_usdt = settled.get("realized_pnl_usdt")
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note_sql = ""
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# 占位: close_quote/recv/pnl/ord/closed_at/open_fee/close_fee/fee_ccy/idx/pnl_u/[note]/id
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params: list[Any] = [
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close_px,
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recv,
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pnl,
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merged_ord,
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options_app_now_str(),
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row_ofee,
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row_cfee,
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str(row["premium_ccy"] or row_ccy or premium_ccy or ""),
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settled.get("close_index_px"),
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pnl_usdt,
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]
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if signal_note and i == len(open_rows) - 1:
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note_sql = """,
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@@ -426,6 +530,8 @@ def close_option_by_bid1(
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UPDATE options_trades
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SET status = 'closed', close_quote = ?, premium_received = ?,
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realized_pnl = ?, close_ord_id = ?, closed_at = ?,
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open_fee = ?, close_fee = ?, fee_ccy = ?,
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close_index_px = ?, realized_pnl_usdt = ?,
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close_recv_accum = 0, close_sheets_accum = 0,
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close_notional_accum = 0
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{note_sql}
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