fix期权复盘与数据统计双口径盈亏，并修复卖回封顶导致盈利单冻成亏损。
平仓卖光可卖币后再按账户差分结算复盘；数据统计改为历史币盈亏×卖回价；复盘展示初始权利金与盈利率，并附历史修复脚本。 Co-authored-by: Cursor <cursoragent@cursor.com>
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dekun
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#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""修复期权双口径历史数据(规格 docs/规格-期权交易账户盈亏结算.md §9).
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默认 dry-run,打印将要修改的行;加 --apply 才写库.
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用法:
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python scripts/repair_options_dual_pnl.py --db path/to/instance.db
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python scripts/repair_options_dual_pnl.py --db path/to/instance.db --apply
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python scripts/repair_options_dual_pnl.py --db path/to/instance.db --csv out.csv --apply
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"""
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from __future__ import annotations
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import argparse
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import csv
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import sqlite3
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import sys
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from pathlib import Path
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from typing import Any
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def _safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def _connect(db_path: Path) -> sqlite3.Connection:
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conn = sqlite3.connect(str(db_path))
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conn.row_factory = sqlite3.Row
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return conn
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def _ensure_columns(conn: sqlite3.Connection) -> None:
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# 与业务库迁移一致,可重复执行
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for ddl in (
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"ALTER TABLE options_trades ADD COLUMN initial_premium_usdt REAL",
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"ALTER TABLE options_trades ADD COLUMN trading_usdt_before REAL",
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"ALTER TABLE options_trades ADD COLUMN trading_usdt_after REAL",
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"ALTER TABLE options_trades ADD COLUMN pnl_settled INTEGER DEFAULT 0",
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"ALTER TABLE options_review_trades ADD COLUMN initial_premium_usdt REAL",
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"ALTER TABLE options_review_trades ADD COLUMN profit_rate REAL",
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):
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try:
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conn.execute(ddl)
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except sqlite3.OperationalError:
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pass
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def repair(conn: sqlite3.Connection, *, apply: bool) -> list[dict[str, Any]]:
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_ensure_columns(conn)
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rows = conn.execute(
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"""
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SELECT id, inst_id, premium_paid, premium_received, realized_pnl,
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open_index_px, close_index_px, budget_usdt,
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trading_usdt_before, trading_usdt_after,
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realized_pnl_usdt, pnl_settled, bridge_id, initial_premium_usdt
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FROM options_trades
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WHERE status='closed'
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ORDER BY id
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"""
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).fetchall()
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report: list[dict[str, Any]] = []
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for r in rows:
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tid = int(r["id"])
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paid = _safe_float(r["premium_paid"])
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recv = _safe_float(r["premium_received"])
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coin_pnl = _safe_float(r["realized_pnl"])
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open_idx = _safe_float(r["open_index_px"])
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close_idx = _safe_float(r["close_index_px"])
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before = _safe_float(r["trading_usdt_before"])
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after = _safe_float(r["trading_usdt_after"])
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settled_u = _safe_float(r["realized_pnl_usdt"])
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settled = int(r["pnl_settled"] or 0) == 1
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initial = _safe_float(r["initial_premium_usdt"])
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new_initial = initial
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if new_initial is None and open_idx and paid and open_idx > 0 and paid > 0:
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new_initial = round(open_idx * paid, 4)
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stats_u = None
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if coin_pnl is not None and close_idx is not None and close_idx > 0:
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stats_u = round(coin_pnl * close_idx, 4)
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elif coin_pnl is not None and open_idx is not None and open_idx > 0:
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stats_u = round(coin_pnl * open_idx, 4)
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# 错账:币盈亏为正、账户冻结为负(典型卖回封顶)
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suspicious = bool(
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settled
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and coin_pnl is not None
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and coin_pnl > 0
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and settled_u is not None
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and settled_u < 0
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)
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# 桥侧:coin_sold ≈ premium 且远小于 recv → 未卖盈利币
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bridge_hint = ""
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bid = r["bridge_id"]
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coin_bought = coin_sold = None
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if bid is not None:
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try:
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b = conn.execute(
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"SELECT coin_bought, coin_sold FROM options_spot_bridge WHERE id=?",
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(int(bid),),
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).fetchone()
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if b:
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coin_bought = _safe_float(b["coin_bought"])
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coin_sold = _safe_float(b["coin_sold"])
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if (
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paid
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and coin_sold is not None
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and recv
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and coin_sold <= paid * 1.05
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and recv > paid * 1.2
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):
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bridge_hint = "sell_capped_at_premium"
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suspicious = True
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except Exception:
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pass
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action = "ok"
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new_settled_u = settled_u
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new_pnl_settled = 1 if settled else 0
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if suspicious:
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# 无法可靠重建 after 时解除错误冻结,待卖回后重结算
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action = "unsettle_bad_account_freeze"
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new_pnl_settled = 0
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new_settled_u = None
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elif before is not None and after is not None and not settled:
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action = "settle_from_snapshots"
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new_settled_u = round(after - before, 4)
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new_pnl_settled = 1
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profit_rate = None
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a_for_rate = new_settled_u if new_pnl_settled == 1 else None
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if a_for_rate is not None and new_initial and abs(new_initial) > 1e-12:
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profit_rate = round(a_for_rate / new_initial, 6)
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rec = {
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"trade_id": tid,
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"inst_id": r["inst_id"],
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"action": action,
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"suspicious": suspicious,
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"bridge_hint": bridge_hint,
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"coin_pnl": coin_pnl,
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"stats_pnl_usdt_B": stats_u,
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"old_realized_pnl_usdt_A": settled_u,
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"new_realized_pnl_usdt_A": new_settled_u,
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"old_pnl_settled": int(r["pnl_settled"] or 0),
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"new_pnl_settled": new_pnl_settled,
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"initial_premium_usdt": new_initial,
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"profit_rate": profit_rate,
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"coin_bought": coin_bought,
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"coin_sold": coin_sold,
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"premium_paid": paid,
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"premium_received": recv,
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}
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report.append(rec)
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if not apply:
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continue
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if new_initial is not None and initial != new_initial:
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conn.execute(
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"UPDATE options_trades SET initial_premium_usdt=? WHERE id=?",
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(new_initial, tid),
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)
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if action == "unsettle_bad_account_freeze":
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conn.execute(
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"""
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UPDATE options_trades
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SET pnl_settled=0, realized_pnl_usdt=NULL, trading_usdt_after=NULL
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WHERE id=? AND COALESCE(pnl_settled,0)=1
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""",
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(tid,),
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)
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elif action == "settle_from_snapshots" and new_settled_u is not None:
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conn.execute(
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"""
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UPDATE options_trades
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SET realized_pnl_usdt=?, pnl_settled=1
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WHERE id=? AND COALESCE(pnl_settled,0)=0
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""",
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(new_settled_u, tid),
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)
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# 复盘表
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hk = f"local_opt:{tid}"
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rev = conn.execute(
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"SELECT id FROM options_review_trades WHERE history_key=?", (hk,)
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).fetchone()
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if rev:
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pnl_total = new_settled_u if new_pnl_settled == 1 else None
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conn.execute(
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"""
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UPDATE options_review_trades
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SET initial_premium_usdt=COALESCE(?, initial_premium_usdt),
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realized_pnl_total=?,
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realized_pnl=?,
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profit_rate=?,
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status_raw=?
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WHERE history_key=?
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""",
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(
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new_initial,
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pnl_total,
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pnl_total,
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profit_rate,
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"待结算" if new_pnl_settled == 0 and before is not None else "已平",
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hk,
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),
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)
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# 实盘/统计冻结表:口径 B
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if stats_u is not None:
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try:
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conn.execute(
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"""
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INSERT INTO options_exchange_pnl_freeze(
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history_key, realized_pnl, realized_pnl_usdt, close_index_px,
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premium_ccy, updated_at
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) VALUES (?, ?, ?, ?, ?, datetime('now'))
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ON CONFLICT(history_key) DO UPDATE SET
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realized_pnl=excluded.realized_pnl,
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realized_pnl_usdt=excluded.realized_pnl_usdt,
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close_index_px=excluded.close_index_px,
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updated_at=excluded.updated_at
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""",
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(
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hk,
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coin_pnl,
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stats_u,
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close_idx or open_idx,
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"BTC" if "BTC" in str(r["inst_id"] or "") else "ETH",
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),
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)
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except Exception:
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pass
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if apply:
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conn.commit()
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return report
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def main() -> int:
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ap = argparse.ArgumentParser(description="修复期权双口径历史盈亏")
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ap.add_argument("--db", required=True, help="实例 SQLite 路径")
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ap.add_argument("--apply", action="store_true", help="实际写库(默认 dry-run)")
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ap.add_argument("--csv", default="", help="导出报告 CSV 路径")
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args = ap.parse_args()
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db_path = Path(args.db)
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if not db_path.is_file():
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print(f"db not found: {db_path}", file=sys.stderr)
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return 2
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conn = _connect(db_path)
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try:
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report = repair(conn, apply=bool(args.apply))
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finally:
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conn.close()
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bad = [x for x in report if x.get("suspicious") or x.get("action") != "ok"]
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print(f"scanned={len(report)} need_attention={len(bad)} apply={bool(args.apply)}")
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for x in bad[:50]:
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print(
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f" #{x['trade_id']} {x['inst_id']} action={x['action']} "
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f"A:{x['old_realized_pnl_usdt_A']}->{x['new_realized_pnl_usdt_A']} "
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f"B={x['stats_pnl_usdt_B']} hint={x['bridge_hint']}"
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)
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if args.csv:
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out = Path(args.csv)
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if report:
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with out.open("w", newline="", encoding="utf-8-sig") as f:
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w = csv.DictWriter(f, fieldnames=list(report[0].keys()))
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w.writeheader()
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w.writerows(report)
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print(f"wrote {out}")
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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