Add sim option expiry settlement so expired positions clear from current holdings.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+167
-10
@@ -552,19 +552,183 @@ class SimBroker:
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)
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return result
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def _index_px_for_option(
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self,
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exchange: Any,
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inst_id: str,
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*,
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idx_cache: dict[str, float | None] | None = None,
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) -> float | None:
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"""到期结算/持仓展示用指数价:优先合约行情,否则 family 指数."""
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from lib.exchange.okx_options_lib import (
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fetch_index_price,
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inst_family_from_inst_id,
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quote_option_contract,
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)
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cache = idx_cache if idx_cache is not None else {}
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if exchange is None or not inst_id:
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return None
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try:
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q = quote_option_contract(exchange, inst_id)
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if q.get("ok") and q.get("index_px") is not None:
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return float(q["index_px"])
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except Exception:
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pass
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family = inst_family_from_inst_id(inst_id) or ""
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uly = family.replace("_UM", "") if family else ""
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if not uly:
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return None
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if uly not in cache:
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try:
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cache[uly] = fetch_index_price(exchange, uly)
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except Exception:
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cache[uly] = None
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return cache.get(uly)
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def settle_expired_option_positions(
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self,
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exchange: Any = None,
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*,
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now_ms: int | None = None,
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) -> list[dict[str, Any]]:
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"""模拟盘到期结算:按指数内在价值兑付后删除本地仓(无实盘交割).
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虚值兑付 0;实值 credit 交易账户 USDC.同时回写 options_trades 为 closed.
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"""
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import time
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from lib.exchange.okx_options_lib import (
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expiry_ms_from_inst_id,
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option_fields_from_inst_id,
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)
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from lib.hedge_plan.hedge_plan_calc_lib import option_expiry_pnl
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now = int(now_ms if now_ms is not None else time.time() * 1000)
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settled: list[dict[str, Any]] = []
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idx_cache: dict[str, float | None] = {}
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for p in self.list_option_positions():
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inst_id = str(p.get("inst_id") or "").strip()
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if not inst_id:
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continue
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exp_ms = expiry_ms_from_inst_id(inst_id)
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if exp_ms is None or now < int(exp_ms):
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continue
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opt_type, strike = option_fields_from_inst_id(inst_id)
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if strike is None:
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continue
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spot = self._index_px_for_option(exchange, inst_id, idx_cache=idx_cache)
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if spot is None:
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# 无指数则本轮跳过,避免实值误按 0 结算
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continue
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sheets = float(p.get("sheets") or 0)
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ct_mult = float(p.get("ct_mult") or 0.01)
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prem = float(p.get("premium_paid_usdc") or 0)
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pnl = float(
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option_expiry_pnl(
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opt_type=str(opt_type or "P"),
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strike=float(strike),
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spot=float(spot),
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sheets=sheets,
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ct_mult=ct_mult,
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premium_paid=prem,
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)
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)
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settle_recv = round(max(0.0, prem + pnl), 4)
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o = (opt_type or "").strip().upper()
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if o in ("C", "CALL"):
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intrinsic_u = max(0.0, float(spot) - float(strike))
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elif o in ("P", "PUT"):
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intrinsic_u = max(0.0, float(strike) - float(spot))
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else:
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intrinsic_u = 0.0
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conn = self.get_db()
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try:
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conn.execute("DELETE FROM sim_option_positions WHERE inst_id=?", (inst_id,))
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try:
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closed_at = _now()
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conn.execute(
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"""
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UPDATE options_trades
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SET status = 'closed',
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close_quote = ?,
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premium_received = ?,
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realized_pnl = ?,
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closed_at = COALESCE(closed_at, ?),
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signal_note = CASE
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WHEN signal_note IS NULL OR TRIM(signal_note) = ''
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THEN '到期结算'
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ELSE signal_note
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END
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WHERE inst_id = ? AND status = 'open'
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""",
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(
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round(intrinsic_u, 6),
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settle_recv,
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round(pnl, 4),
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closed_at,
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inst_id,
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),
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)
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except Exception:
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pass
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conn.commit()
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finally:
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conn.close()
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if settle_recv > 1e-12:
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self.wallets.credit_trading(
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"USDC",
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settle_recv,
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kind="option_expiry",
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note=f"expiry settle {inst_id} @{spot:g} recv={settle_recv}",
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)
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ord_id = f"sim-opt-exp-{uuid.uuid4().hex[:16]}"
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self._store_option_order(
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ord_id=ord_id,
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inst_id=inst_id,
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side="settle",
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sheets=sheets,
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avg_px=intrinsic_u,
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)
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try:
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from lib.options.options_positions_lib import forget_close_gate_for_inst
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forget_close_gate_for_inst(inst_id)
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except Exception:
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pass
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settled.append(
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{
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"inst_id": inst_id,
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"spot": spot,
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"intrinsic": intrinsic_u,
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"premium_received": settle_recv,
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"realized_pnl": round(pnl, 4),
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"ord_id": ord_id,
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}
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)
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return settled
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def option_positions_okx_rows(self, exchange: Any = None) -> list[dict[str, Any]]:
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"""对齐 OKX positions 行字段, 供 format_position_row 使用.
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模拟盘补充公开行情的 idxPx / markPx, 否则指数价与平掉回本均为空.
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拉取前先结算已到期仓,避免虚值到期后一直挂在当前持仓.
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"""
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from lib.exchange.okx_options_lib import (
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expiry_ms_from_inst_id,
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fetch_index_price,
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inst_family_from_inst_id,
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option_fields_from_inst_id,
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quote_option_contract,
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)
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try:
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self.settle_expired_option_positions(exchange)
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except Exception:
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pass
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rows: list[dict[str, Any]] = []
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idx_cache: dict[str, float | None] = {}
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for p in self.list_option_positions():
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@@ -600,14 +764,7 @@ class SimBroker:
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except Exception:
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pass
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if idx is None:
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family = inst_family_from_inst_id(inst_id) or ""
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uly = family.replace("_UM", "") if family else ""
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if uly and uly not in idx_cache:
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try:
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idx_cache[uly] = fetch_index_price(exchange, uly)
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except Exception:
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idx_cache[uly] = None
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idx = idx_cache.get(uly)
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idx = self._index_px_for_option(exchange, inst_id, idx_cache=idx_cache)
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eth = abs(sheets) * ct_mult
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upl = (mark - entry) * eth
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