fix模拟盘期权手续费按OKX币本位公式计费，并纠正复盘旧单展示。

费率作用在标的币数量上并以权利金7%封顶，不再误用权利金×费率。

Co-authored-by: Cursor <cursoragent@cursor.com>

lib/options/options_review_lib.py

@@ -280,6 +280,148 @@ def hide_review_trade(conn: sqlite3.Connection, trade_id: int) -> dict[str, Any]
     return {"ok": True, "entry": _row_to_dict(entry) if entry else None, "history_key": d.get("history_key")}
 
 
+def _sum_sim_order_fees(conn: sqlite3.Connection, ord_ids: list[str]) -> float | None:
+    """从 sim_option_orders 汇总手续费(权利金币种,正数)."""
+    ids = [str(x).strip() for x in (ord_ids or []) if str(x).strip()]
+    if not ids:
+        return None
+    try:
+        conn.execute("SELECT 1 FROM sim_option_orders LIMIT 1").fetchone()
+    except Exception:
+        return None
+    total = 0.0
+    n = 0
+    for oid in ids:
+        try:
+            row = conn.execute(
+                "SELECT fee FROM sim_option_orders WHERE ord_id=?",
+                (oid,),
+            ).fetchone()
+        except Exception:
+            continue
+        if not row:
+            continue
+        fee = _safe_float(row["fee"] if hasattr(row, "keys") else row[0])
+        if fee is None:
+            continue
+        total += abs(float(fee))
+        n += 1
+    return round(total, 8) if n else None
+
+
+def _estimate_okx_option_fee_coin(
+    *,
+    underlying_coin: float | None,
+    premium_coin: float | None,
+) -> float:
+    """按 OKX 币本位公式估算期权手续费(权利金币种)."""
+    try:
+        from lib.sim.pricing_lib import option_fee_coin
+
+        return float(
+            option_fee_coin(
+                underlying_coin=float(underlying_coin or 0.0),
+                premium_coin=float(premium_coin or 0.0),
+            )
+        )
+    except Exception:
+        return 0.0
+
+
+def _fee_looks_like_legacy_premium_rate(
+    fee_coin: float,
+    *,
+    premium_coin: float | None,
+    underlying_coin: float | None,
+) -> bool:
+    """旧模拟盘把手续费算成权利金×费率,约为正确值的 premium/underlying 倍."""
+    if fee_coin <= 0:
+        return True
+    prem = abs(float(premium_coin or 0.0))
+    uly = abs(float(underlying_coin or 0.0))
+    if prem <= 0 or uly <= 0:
+        return False
+    # 正确量级 ~ uly * fee_rate; 错误量级 ~ prem * fee_rate
+    # 若 fee << uly*1e-4 且接近 prem*5e-4,视为旧算法
+    try:
+        from lib.sim.pricing_lib import sim_fee_rate
+
+        fr = float(sim_fee_rate())
+    except Exception:
+        fr = 0.0005
+    expect_okx = uly * fr
+    expect_legacy = prem * fr
+    if expect_okx <= 0:
+        return False
+    # 比 OKX 估算小一个数量级以上,且靠近旧公式
+    if fee_coin < expect_okx * 0.25 and abs(fee_coin - expect_legacy) <= max(expect_legacy * 0.5, 1e-10):
+        return True
+    if fee_coin < expect_okx * 0.05:
+        return True
+    return False
+
+
+def _resolve_option_fees_coin(
+    conn: sqlite3.Connection,
+    row: Any,
+    *,
+    open_fee: float,
+    close_fee: float,
+    premium_ccy: str,
+) -> tuple[float, float]:
+    """解析期权开/平手续费(权利金币种);修正模拟盘旧算法偏小值."""
+    ccy = (premium_ccy or "").strip().upper()
+    paid = _safe_float(row["premium_paid"] if hasattr(row, "keys") else None)
+    recv = _safe_float(row["premium_received"] if hasattr(row, "keys") else None)
+    uly = _safe_float(row["eth_amount"] if hasattr(row, "keys") else None)
+    if uly is None or uly <= 0:
+        sheets = _safe_float(row["sheets"] if hasattr(row, "keys") else None) or 0.0
+        # BTC 期权约 0.01,ETH 约 0.1
+        ct = 0.01 if ccy == "BTC" else 0.1
+        uly = float(sheets) * ct if sheets > 0 else None
+
+    open_oids = [
+        p.strip()
+        for p in str(row["exchange_ord_id"] if hasattr(row, "keys") else "").split(",")
+        if p.strip()
+    ]
+    close_oids = [
+        p.strip()
+        for p in str(row["close_ord_id"] if hasattr(row, "keys") else "").split(",")
+        if p.strip()
+    ]
+
+    ofee = abs(float(open_fee or 0.0))
+    cfee = abs(float(close_fee or 0.0))
+
+    # 优先用订单表(若订单本身仍是旧算法,下面会再纠正)
+    sim_open = _sum_sim_order_fees(conn, open_oids)
+    sim_close = _sum_sim_order_fees(conn, close_oids)
+    if sim_open is not None and sim_open > 0:
+        ofee = sim_open
+    if sim_close is not None and sim_close > 0:
+        cfee = sim_close
+
+    if ccy in ("ETH", "BTC"):
+        if _fee_looks_like_legacy_premium_rate(ofee, premium_coin=paid, underlying_coin=uly):
+            est = _estimate_okx_option_fee_coin(underlying_coin=uly, premium_coin=paid)
+            if est > 0:
+                ofee = est
+        if _fee_looks_like_legacy_premium_rate(cfee, premium_coin=recv, underlying_coin=uly):
+            est = _estimate_okx_option_fee_coin(underlying_coin=uly, premium_coin=recv)
+            if est > 0:
+                cfee = est
+        elif cfee <= 0 and recv is not None and recv > 0:
+            est = _estimate_okx_option_fee_coin(underlying_coin=uly, premium_coin=recv)
+            if est > 0:
+                cfee = est
+        if ofee <= 0 and paid is not None and paid > 0:
+            est = _estimate_okx_option_fee_coin(underlying_coin=uly, premium_coin=paid)
+            if est > 0:
+                ofee = est
+
+    return round(ofee, 8), round(cfee, 8)
+
 
 def sync_options_from_local_trades(
     conn: sqlite3.Connection,
@@ -317,11 +459,11 @@ def sync_options_from_local_trades(
     rows = conn.execute(
         """
         SELECT id, inst_id, underlying, opt_type, strike, exp_time, sheets,
-               open_quote, close_quote, premium_paid, premium_received, realized_pnl,
+               eth_amount, open_quote, close_quote, premium_paid, premium_received,
-               realized_pnl_usdt, close_index_px, open_index_px, budget_usdt,
+               realized_pnl, realized_pnl_usdt, close_index_px, open_index_px,
-               premium_ccy, created_at, closed_at, signal_note, status,
+               budget_usdt, premium_ccy, created_at, closed_at, signal_note, status,
                trading_usdt_before, pnl_settled, initial_premium_usdt,
-               open_fee, close_fee
+               open_fee, close_fee, exchange_ord_id, close_ord_id
         FROM options_trades
         WHERE status = 'closed'
         ORDER BY id DESC
@@ -445,6 +587,14 @@ def sync_options_from_local_trades(
         # 仅期权开/平手续费折 U(不含现货)
         ofee = abs(_safe_float(r["open_fee"]) or 0.0)
         cfee = abs(_safe_float(r["close_fee"]) or 0.0)
+        # 模拟盘旧单曾按「权利金×费率」计费偏小:按 OKX 公式/订单回填
+        ofee, cfee = _resolve_option_fees_coin(
+            conn,
+            r,
+            open_fee=ofee,
+            close_fee=cfee,
+            premium_ccy=ccy,
+        )
         fee_u = None
         if ccy in ("ETH", "BTC"):
             fee_parts = 0.0

lib/sim/pricing_lib.py

@@ -1,4 +1,9 @@
-"""成交价与手续费: 滑点 = 1×fee_rate."""
+"""成交价与手续费.
+
+永续:滑点=1×fee_rate,手续费=名义×fee_rate.
+期权(币本位):滑点仍按权利金价×fee_rate;手续费对齐 OKX=
+  Min(fee_rate×标的币数量, 权利金×7%).
+"""
 
 from __future__ import annotations
 
@@ -57,6 +62,30 @@ def perp_fill(
     return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
 
 
+def option_fee_coin(
+    *,
+    underlying_coin: float,
+    premium_coin: float,
+    fee_rate: float | None = None,
+    premium_fee_cap: float = 0.07,
+) -> float:
+    """OKX 币本位期权手续费(权利金币种).
+
+    Min(费率 × 张数对应标的币数量, 权利金×封顶比例).
+    注意:费率作用在标的币面值上,不是权利金名义上.
+    """
+    f = sim_fee_rate(fee_rate)
+    qty = abs(float(underlying_coin or 0.0))
+    prem = abs(float(premium_coin or 0.0))
+    if qty <= 0 and prem <= 0:
+        return 0.0
+    by_rate = qty * f
+    cap_ratio = abs(float(premium_fee_cap or 0.07))
+    if cap_ratio <= 0 or prem <= 0:
+        return round(by_rate, 8)
+    return round(min(by_rate, prem * cap_ratio), 8)
+
+
 def option_fill(
     *,
     action: str,
@@ -65,7 +94,11 @@ def option_fill(
     qty: float,
     fee_rate: float,
 ) -> PriceResult:
-    """开仓买入吃卖一; 平仓卖出吃买一. qty = sheets × ct_mult."""
+    """开仓买入吃卖一; 平仓卖出吃买一.
+
+    qty = sheets × ct_mult(标的币数量).
+    滑点仍按权利金价×费率;手续费按 OKX 币本位公式(标的币×费率,权利金7%封顶).
+    """
     f = float(fee_rate)
     if action == "open":
         base = float(ask)
@@ -73,9 +106,14 @@ def option_fill(
     else:
         base = float(bid)
         fill = base * (1.0 - f)
-    notional = abs(fill * float(qty))
+    qty_f = abs(float(qty))
-    fee = notional * f
+    notional = abs(fill * qty_f)
-    slip = abs(fill - base) * float(qty)
+    fee = option_fee_coin(
+        underlying_coin=qty_f,
+        premium_coin=notional,
+        fee_rate=f,
+    )
+    slip = abs(fill - base) * qty_f
     return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
 
 

tests/test_sim_option_fee.py

@@ -0,0 +1,52 @@
+"""模拟盘期权手续费:对齐 OKX 币本位公式."""
+from __future__ import annotations
+
+import unittest
+
+from lib.sim.pricing_lib import option_fee_coin, option_fill
+
+
+class OptionFeeCoinTests(unittest.TestCase):
+    def test_fee_on_underlying_not_premium(self):
+        # 90 张 BTC×0.01=0.9 币;权利金 0.01125
+        fee = option_fee_coin(
+            underlying_coin=0.9,
+            premium_coin=0.01125,
+            fee_rate=0.0005,
+        )
+        # min(0.9*0.0005, 0.01125*0.07) = min(0.00045, 0.0007875)
+        self.assertAlmostEqual(fee, 0.00045, places=8)
+
+    def test_premium_cap(self):
+        fee = option_fee_coin(
+            underlying_coin=1.0,
+            premium_coin=0.001,
+            fee_rate=0.0005,
+        )
+        # min(0.0005, 0.00007) = 0.00007
+        self.assertAlmostEqual(fee, 0.00007, places=8)
+
+    def test_option_fill_uses_okx_fee(self):
+        pr = option_fill(
+            action="open",
+            bid=0.012,
+            ask=0.0125,
+            qty=0.9,
+            fee_rate=0.0005,
+        )
+        self.assertGreater(pr.fee, 1e-6)
+        # 旧算法 fee≈notional*rate≈5.6e-6;新算法应为 4.5e-4 量级
+        self.assertGreater(pr.fee, 1e-4)
+        self.assertAlmostEqual(
+            pr.fee,
+            option_fee_coin(
+                underlying_coin=0.9,
+                premium_coin=pr.notional,
+                fee_rate=0.0005,
+            ),
+            places=8,
+        )
+
+
+if __name__ == "__main__":
+    unittest.main()