修复模拟盘期权历史分批平仓盈亏：用卖平成交重算已平记录。
加载历史前按 sim_option_orders（或钱包流水）合计各批收回，纠正只记最后一笔的旧数据。 Co-authored-by: Cursor <cursoragent@cursor.com>
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dekun
@@ -902,6 +902,200 @@ class SimBroker:
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rows.append(row)
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return rows
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@staticmethod
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def _sells_from_ledger(
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conn: Any,
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*,
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inst: str,
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opened: str,
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closed: str,
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) -> list[Any]:
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"""从 sim_ledger_entries 的 option_close 备注解析卖平成交."""
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import re
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try:
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params: list[Any] = [f"%sell {inst} %"]
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sql = """
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SELECT note, ts AS created_at
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FROM sim_ledger_entries
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WHERE kind = 'option_close' AND note LIKE ?
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"""
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if opened:
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sql += " AND ts >= ?"
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params.append(opened[:19])
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if closed:
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sql += " AND ts <= ?"
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params.append((closed[:16] + ":59") if len(closed) >= 16 else closed)
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sql += " ORDER BY ts ASC, id ASC"
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rows = conn.execute(sql, params).fetchall()
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except Exception:
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return []
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out: list[dict[str, Any]] = []
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pat = re.compile(
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rf"sell\s+{re.escape(inst)}\s+x(?P<sheets>[0-9.]+)@(?P<px>[0-9.]+)",
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re.I,
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)
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for i, r in enumerate(rows):
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note = str(r["note"] or "")
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m = pat.search(note)
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if not m:
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continue
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try:
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sh = float(m.group("sheets"))
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px = float(m.group("px"))
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except (TypeError, ValueError):
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continue
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if sh <= 0 or px <= 0:
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continue
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out.append(
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{
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"ord_id": f"ledger-{i}",
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"sheets": sh,
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"avg_px": px,
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"created_at": r["created_at"],
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}
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)
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return out
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def repair_closed_options_pnl_from_sim_orders(self, *, limit: int = 300) -> int:
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"""用 sim_option_orders 卖平成交重算已平仓收回(修复分批平仓只记最后一笔).
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返回更新条数.历史页/复盘合成前调用,使旧数据也能自愈.
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"""
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from lib.options.options_db import init_options_tables
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from lib.options.options_pricing_lib import total_premium
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from lib.sim.db_lib import init_sim_tables
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conn = self.get_db()
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updated = 0
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try:
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init_options_tables(conn)
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init_sim_tables(conn)
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# 表不存在时跳过(极旧库)
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try:
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conn.execute("SELECT 1 FROM sim_option_orders LIMIT 1").fetchone()
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except Exception:
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return 0
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trades = conn.execute(
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"""
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SELECT id, inst_id, sheets, eth_amount, premium_paid, premium_received,
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realized_pnl, close_quote, created_at, closed_at, close_ord_id
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FROM options_trades
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WHERE status = 'closed'
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ORDER BY id DESC
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LIMIT ?
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""",
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(int(max(1, min(int(limit), 500))),),
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).fetchall()
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for tr in trades:
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inst = str(tr["inst_id"] or "").strip()
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if not inst:
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continue
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want_sheets = float(tr["sheets"] or 0)
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if want_sheets <= 0:
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continue
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eth_amt = float(tr["eth_amount"] or 0)
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ct_mult = (eth_amt / want_sheets) if eth_amt > 0 else 0.01
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if ct_mult <= 0:
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ct_mult = 0.01
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opened = str(tr["created_at"] or "").strip()
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closed = str(tr["closed_at"] or "").strip()
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# 时间窗:开仓后、平仓后 2 分钟内(含下单延迟)
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params: list[Any] = [inst]
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sql = """
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SELECT ord_id, sheets, avg_px, created_at
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FROM sim_option_orders
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WHERE inst_id = ? AND lower(side) = 'sell'
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"""
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if opened:
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sql += " AND created_at >= ?"
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params.append(opened[:19])
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if closed:
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# 字符串时间比较;闭区间放宽到同分钟及之后的短尾
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sql += " AND created_at <= ?"
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params.append((closed[:16] + ":59") if len(closed) >= 16 else closed)
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sql += " ORDER BY created_at ASC, ord_id ASC"
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sells = conn.execute(sql, params).fetchall()
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if not sells:
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# 回退:从钱包流水 note 解析 sell INST x张数@价
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sells = self._sells_from_ledger(
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conn, inst=inst, opened=opened, closed=closed
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)
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if not sells:
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continue
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selected: list[Any] = []
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sheets_sum = 0.0
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for o in sells:
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selected.append(o)
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sheets_sum += float(o["sheets"] or 0)
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if sheets_sum + 1e-9 >= want_sheets:
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break
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if sheets_sum + 1e-6 < want_sheets * 0.5:
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# 成交张数明显不足,不瞎改
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continue
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recv = 0.0
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notional = 0.0
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oids: list[str] = []
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for o in selected:
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sh = float(o["sheets"] or 0)
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px = float(o["avg_px"] or 0)
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if sh <= 0 or px <= 0:
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continue
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recv += total_premium(px, sh * ct_mult)
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notional += px * sh
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oid = str(o["ord_id"] or "").strip()
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if oid and oid not in oids:
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oids.append(oid)
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if not oids:
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continue
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total_recv = round(recv, 8)
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paid = float(tr["premium_paid"] or 0) if tr["premium_paid"] is not None else None
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if paid is None:
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continue
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new_pnl = round(total_recv - paid, 8)
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close_px = round(notional / sheets_sum, 8) if sheets_sum > 0 else None
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old_recv = (
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float(tr["premium_received"])
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if tr["premium_received"] is not None
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else None
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)
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old_pnl = float(tr["realized_pnl"]) if tr["realized_pnl"] is not None else None
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# 已与合计一致则跳过
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if (
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old_recv is not None
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and old_pnl is not None
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and abs(old_recv - total_recv) < 1e-8
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and abs(old_pnl - new_pnl) < 1e-8
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):
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continue
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# 仅当卖笔数≥2 或合计收回明显高于本地(漏记)时覆盖
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if len(selected) < 2 and old_recv is not None and total_recv <= old_recv + 1e-10:
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continue
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conn.execute(
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"""
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UPDATE options_trades
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SET premium_received = ?,
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realized_pnl = ?,
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close_quote = COALESCE(?, close_quote),
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close_ord_id = ?
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WHERE id = ?
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""",
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(
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total_recv,
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new_pnl,
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close_px,
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",".join(oids) if oids else tr["close_ord_id"],
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int(tr["id"]),
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),
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)
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updated += 1
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if updated:
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conn.commit()
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finally:
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conn.close()
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return updated
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def option_positions_history_okx_rows(
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self,
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exchange: Any = None,
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@@ -913,6 +1107,12 @@ class SimBroker:
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实盘 positions-history 在模拟模式不可用,期权历史/复盘依赖此合成数据.
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"""
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# 先按卖平成交修复分批漏计,再合成展示
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try:
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self.repair_closed_options_pnl_from_sim_orders(limit=max(int(limit), 200))
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except Exception:
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pass
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from datetime import datetime
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from zoneinfo import ZoneInfo
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