dekun/crypto_okx
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

fix真盈亏收口为币本位×卖回价减初始权利金U，禁指数冒充平仓价。

Browse Source 
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-13 12:29:33 +08:00
parent d42e1c7edf
commit 839baea375
10 changed files with 171 additions and 83 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/options/options_account_pnl_lib.py
+14 -5
View File
@@ -243,9 +243,9 @@ def settle_closed_trades_from_trading_account(
bridge_id: int | None = None,
trade_id: int | None = None,
) -> int:
"""卖回后:拍 after 快照,并冻结复盘真盈亏(权利金 USDT 波动口径).
"""卖回后:拍 after 快照,并冻结复盘真盈亏.
realized_pnl_usdt = 历史币盈亏×卖回价 − (权利金×开仓价 − 权利金×卖回价);
realized_pnl_usdt = (权利金+币盈亏)×卖回VWAP − 初始权利金U;
不含现货多买.账户 after 仅审计.已 pnl_settled=1 的行永不改写.
"""
from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
@@ -269,7 +269,7 @@ def settle_closed_trades_from_trading_account(
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,
bridge_id
bridge_id, initial_premium_usdt
FROM options_trades
WHERE {" AND ".join(clauses)}
""",
@@ -287,6 +287,9 @@ def settle_closed_trades_from_trading_account(
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
initial_u = (
row["initial_premium_usdt"] if hasattr(row, "keys") else row[12]
)
open_px, close_px, _gate = resolve_spot_vwap_prices(
conn,
bridge_id=row_bid,
@@ -299,6 +302,7 @@ def settle_closed_trades_from_trading_account(
realized_pnl=row["realized_pnl"] if hasattr(row, "keys") else row[4],
open_index_px=open_px,
close_index_px=close_px,
initial_premium_usdt=initial_u,
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],
@@ -308,7 +312,11 @@ def settle_closed_trades_from_trading_account(
)
if pnl_u is None or src in ("none", "pending_sell"):
continue
# 卖回价一次冻结为卖回 VWAP;开仓价已在开仓时冻住,仅缺省时补
# 卖回价冻为卖回 VWAP;开仓价/初始权利金已在开仓时冻住,仅缺省时补
paid = _safe_float(row["premium_paid"] if hasattr(row, "keys") else row[2])
heal_initial = _safe_float(initial_u)
if heal_initial is None and paid is not None and open_px is not None and open_px > 0:
heal_initial = round(float(paid) * float(open_px), 4)
conn.execute(
"""
UPDATE options_trades
@@ -316,10 +324,11 @@ def settle_closed_trades_from_trading_account(
realized_pnl_usdt = ?,
open_index_px = COALESCE(open_index_px, ?),
close_index_px = COALESCE(?, close_index_px),
initial_premium_usdt = COALESCE(initial_premium_usdt, ?),
pnl_settled = 1
WHERE id = ? AND COALESCE(pnl_settled, 0)=0
""",
(after_use, pnl_u, open_px, close_px, tid),
(after_use, pnl_u, open_px, close_px, heal_initial, tid),
)
updated += 1
return updated
lib/options/options_close_exec_lib.py
+10 -4
View File
@@ -505,20 +505,26 @@ def close_option_by_bid1(
row_open_idx = float(bv)
except Exception:
pass
row_pc = str(row["premium_ccy"] or row_ccy or premium_ccy or "").strip().upper()
settled = settle_closed_pnl(
premium_paid=paid,
premium_received=recv,
open_fee=row_ofee,
close_fee=row_cfee,
premium_ccy=str(row["premium_ccy"] or row_ccy or premium_ccy),
premium_ccy=row_pc or premium_ccy,
index_px=close_idx,
open_index_px=row_open_idx,
budget_usdt=row_budget,
fee_ccy=str(row["fee_ccy"] or row["premium_ccy"] or row_ccy or ""),
)
pnl = settled.get("realized_pnl")
# 复盘真盈亏=权利金 USDT 波动口径;账户 after 另在卖回后拍快照
pnl_usdt = settled.get("realized_pnl_usdt")
# BTC/ETH:币盈亏可落库;真盈亏U与平仓价等卖回VWAP,禁止用指数占位
if row_pc in ("ETH", "BTC"):
pnl_usdt = None
close_px_store = None
else:
pnl_usdt = settled.get("realized_pnl_usdt")
close_px_store = settled.get("close_index_px")
note_sql = ""
# 占位: close_quote/recv/pnl/ord/closed_at/open_fee/close_fee/fee_ccy/close_idx/open_idx/pnl_u/[note]/id
@@ -531,7 +537,7 @@ def close_option_by_bid1(
row_ofee,
row_cfee,
str(row["premium_ccy"] or row_ccy or premium_ccy or ""),
settled.get("close_index_px"),
close_px_store,
settled.get("open_index_px") or row_open_idx,
pnl_usdt,
]
lib/options/options_monitor_lib.py
+9 -2
View File
@@ -403,7 +403,14 @@ def sync_open_options_trades(
fee_ccy=fee_ccy,
)
realized_pnl = settled.get("realized_pnl")
pnl_usdt = settled.get("realized_pnl_usdt")
# BTC/ETH:真盈亏U与平仓价等卖回VWAP,禁止用指数占位
pc = str(prem_ccy or "").strip().upper()
if pc in ("ETH", "BTC"):
pnl_usdt = None
close_px_store = None
else:
pnl_usdt = settled.get("realized_pnl_usdt")
close_px_store = settled.get("close_index_px")
conn.execute(
"""
@@ -431,7 +438,7 @@ def sync_open_options_trades(
realized_pnl,
close_ord_id,
closed_at,
settled.get("close_index_px"),
close_px_store,
settled.get("open_index_px"),
pnl_usdt,
prem_ccy,
lib/options/options_pnl_settle_lib.py
+52 -36
View File
@@ -178,29 +178,32 @@ def true_pnl_usdt_premium_move(
*,
coin_pnl: Any,
premium_paid: Any,
open_index_px: Any,
sell_back_px: Any,
initial_premium_usdt: Any = None,
open_index_px: Any = None,
) -> float | None:
"""复盘真盈亏(U):计入权利金 USDT 波动;现货多买数量不进公式.
"""复盘真盈亏(U):币本位×卖回价 − 初始权利金U.
真盈亏 = 期权历史盈亏(币)×平仓卖回价
− (权利金×开仓价 − 权利金×平仓卖回价)
= 历史币盈亏×卖回价 − 权利金×(开仓价 − 卖回价)
币量=期权腿(realized_pnl / premium_paid);价=买卖 VWAP.
无手续费时 ≡ 期权收回权利金×卖回价 − 权利金×开仓价
(收回≠账户卖掉的全部现货;多余仓只影响均价).
币本位 = 权利金 + 币盈亏
真盈亏U = 币本位 × 卖回VWAP − 初始权利金U
初始权利金U 优先用开仓冻结值;缺失时才用 权利金×开仓价 补算.
现货多买数量不进公式(只影响均价).
"""
pnl = _safe_float(coin_pnl)
paid = _safe_float(premium_paid)
open_px = _safe_float(open_index_px)
close_px = _safe_float(sell_back_px)
if pnl is None or paid is None:
return None
if open_px is None or open_px <= 0 or close_px is None or close_px <= 0:
if close_px is None or close_px <= 0:
return None
prem_move = float(paid) * float(open_px) - float(paid) * float(close_px)
return round(float(pnl) * float(close_px) - prem_move, 4)
initial = _safe_float(initial_premium_usdt)
if initial is None:
open_px = _safe_float(open_index_px)
if open_px is None or open_px <= 0:
return None
initial = float(paid) * float(open_px)
coin_basis = float(paid) + float(pnl)
return round(coin_basis * float(close_px) - float(initial), 4)
def resolve_spot_vwap_prices(
@@ -210,13 +213,18 @@ def resolve_spot_vwap_prices(
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.
"""开仓价/卖回价解析.
开仓价:优先已冻结 open_index_px,缺失才补桥买 VWAP(不覆盖已冻值).
卖回价:有桥时只认 close_sell VWAP;桥未关→pending_sell;已关无卖回→missing.
无桥时 close_index_px 视为调用方传入的卖回价(测试/无现货桥).
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)
close_hint = _safe_float(close_index_px)
close_px: float | None = None
bid = None
try:
if bridge_id is not None and str(bridge_id).strip() != "":
@@ -233,26 +241,34 @@ def resolve_spot_vwap_prices(
)
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 ""
)
# 桥未关闭(=卖回流程未结束):禁止用平仓指数冒充卖回 VWAP 提前结算
if st and st != BRIDGE_CLOSED:
return open_px, None, "pending_sell"
sv = bridge_sell_vwap(conn, bid)
if sv is not None and sv > 0:
close_px = sv
# 已关桥但无卖回 VWAP:允许回退 close_index_px;两者都无则 missing
if row is None:
# 桥记录不存在:按无桥处理,close_index 视为调用方卖回价
close_px = close_hint
else:
if open_px is None or open_px <= 0:
bv = bridge_buy_vwap(conn, bid)
if bv is not None and bv > 0:
open_px = bv
st = str(
row["status"] if hasattr(row, "keys") else (row[0] if row else "") or ""
)
if st and st != BRIDGE_CLOSED:
return open_px, None, "pending_sell"
sv = bridge_sell_vwap(conn, bid)
if sv is not None and sv > 0:
close_px = sv
else:
# 有桥却无卖回成交:禁止用指数/旧 close_index 冒充
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:
else:
close_px = close_hint
if close_px is None or close_px <= 0:
return open_px, close_px, "missing"
return open_px, close_px, ""
@@ -264,6 +280,7 @@ def resolve_true_pnl_usdt_from_trade(
realized_pnl: Any = None,
open_index_px: Any = None,
close_index_px: Any = None,
initial_premium_usdt: Any = None,
open_fee: Any = 0,
close_fee: Any = 0,
premium_ccy: str | None = None,
@@ -271,7 +288,7 @@ def resolve_true_pnl_usdt_from_trade(
conn: Any = None,
bridge_id: Any = None,
) -> tuple[float | None, str]:
"""由成交字段算复盘真盈亏;开/卖回价优先多笔 VWAP.
"""由成交字段算复盘真盈亏: (权利金+币盈亏)×卖回价 − 初始权利金U.
返回 (pnl_u, source): premium_move | stable | pending_sell | none
"""
@@ -299,12 +316,12 @@ def resolve_true_pnl_usdt_from_trade(
)
if gate == "pending_sell":
return None, "pending_sell"
# 只用: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,
premium_paid=paid,
open_index_px=open_px,
sell_back_px=close_px,
initial_premium_usdt=initial_premium_usdt,
open_index_px=open_px,
)
if usdt is not None:
return usdt, "premium_move"
@@ -325,8 +342,7 @@ def settle_sim_coin_pnl_usdt(
"""由毛权利金生成净币盈亏,再按用户式折 U(费只扣进币盈亏一次).
币盈亏 = 收回 − 已付 − 开/平手续费
真盈亏U = 币盈亏×卖回价 − 权利金×(开仓价−卖回价)
不再用「毛收回折U后再减手续费U」(避免与历史币盈亏口径两套算法).
真盈亏U = (权利金+币盈亏)×卖回价 − 初始权利金U
"""
del fee_ccy
paid = float(_safe_float(premium_paid) or 0.0)
@@ -358,8 +374,8 @@ def settle_sim_coin_pnl_usdt(
pnl_u = true_pnl_usdt_premium_move(
coin_pnl=net_coin,
premium_paid=paid,
open_index_px=open_idx,
sell_back_px=sell_px,
initial_premium_usdt=initial_u,
)
return {
"realized_pnl": net_coin,
@@ -391,7 +407,7 @@ def settle_closed_pnl(
币数量净盈亏 = 收回 − 已付 − 开/平手续费(只扣一次).
币本位 U:
期权收回权利金×卖回价 − 权利金×开仓价 − 手续费U
(权利金+币盈亏)×卖回价 − 初始权利金U
(开仓价缺失时回退为净币×卖回价;币量不含现货多余仓)
USDC: 净额原样为 U.
lib/options/options_review_lib.py
+15 -8
View File
@@ -575,7 +575,8 @@ def sync_options_from_local_trades(
close_fee=cfee,
premium_ccy=ccy,
)
# 权利金币量/币盈亏/已冻均价不变;刷新时按公式重算真盈亏U
# 币本位/初始权利金U 冻结不变;刷新只按卖回价重算真盈亏U
stored_initial = _safe_float(r["initial_premium_usdt"])
open_idx_for_prem = open_idx if (open_idx is not None and open_idx > 0) else idx
sell_idx = close_idx if (close_idx is not None and close_idx > 0) else None
from lib.options.options_pnl_settle_lib import (
@@ -585,7 +586,7 @@ def sync_options_from_local_trades(
status_label = "已平"
pnl_u = None
# 始终问桥:买/卖回 VWAP 优先于库内指数占位价(防预算反推开仓价、平仓指数冒充卖回价)
# 有桥时卖回价只认 close_sell VWAP;开仓价不覆盖已冻值
opx, cpx, _gate = resolve_spot_vwap_prices(
conn,
bridge_id=r["bridge_id"],
@@ -598,6 +599,7 @@ def sync_options_from_local_trades(
realized_pnl=r["realized_pnl"],
open_index_px=opx,
close_index_px=cpx,
initial_premium_usdt=stored_initial,
open_fee=ofee,
close_fee=cfee,
premium_ccy=ccy,
@@ -610,30 +612,35 @@ def sync_options_from_local_trades(
pnl_u = None
elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
try:
# VWAP 非空时覆盖指数占位;币量字段不改
# 卖回 VWAP 写入 close;开仓价/初始权利金仅缺省时补
heal_initial = stored_initial
if heal_initial is None and prem is not None and opx is not None and opx > 0:
heal_initial = round(float(prem) * float(opx), 4)
conn.execute(
"""
UPDATE options_trades
SET realized_pnl_usdt = ?,
open_index_px = COALESCE(?, open_index_px),
open_index_px = COALESCE(open_index_px, ?),
close_index_px = COALESCE(?, close_index_px),
initial_premium_usdt = COALESCE(initial_premium_usdt, ?),
pnl_settled = 1
WHERE id = ?
""",
(pnl_u, opx, cpx, trade_id),
(pnl_u, opx, cpx, heal_initial, trade_id),
)
if opx is not None and opx > 0:
if (open_idx is None or open_idx <= 0) and opx is not None and opx > 0:
open_idx = opx
open_idx_for_prem = opx
if cpx is not None and cpx > 0:
sell_idx = cpx
if stored_initial is None and heal_initial is not None:
stored_initial = heal_initial
except Exception:
pass
else:
status_label = "缺价未核"
pnl_u = None
# 初始权利金(U)=开仓指数×权利金币量;不含多买
stored_initial = _safe_float(r["initial_premium_usdt"])
# 初始权利金U:优先开仓冻结值
prem_u = stored_initial
if prem_u is None:
prem_u = _to_usdt(prem, ccy=ccy, idx=open_idx_for_prem)