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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。

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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
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lib/options/options_pnl_settle_lib.py
+52 -36
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@@ -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.