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>
2026-09-24 21:25:31 +08:00
parent a7015ec5c8
commit a03c208a5f
2 changed files with 295 additions and 0 deletions
@@ -0,0 +1,95 @@
+"""模拟盘:用分批卖平成交修复已平仓漏计盈亏."""
+from __future__ import annotations
+
+import sqlite3
+import unittest
+
+from lib.options.options_db import init_options_tables
+from lib.sim.broker_lib import SimBroker
+from lib.sim.db_lib import init_sim_tables
+
+
+class RepairSimPartialClosePnlTests(unittest.TestCase):
+    def test_repair_sums_two_sell_orders(self):
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_options_tables(conn)
+        init_sim_tables(conn)
+        inst = "ETH-USD-260927-2700-P"
+        # 开仓 228 张,权利金 0.399;旧逻辑只记了第二笔收回 0.2449 → pnl=-0.1541
+        conn.execute(
+            """
+            INSERT INTO options_trades(
+                inst_id, underlying, opt_type, strike, sheets, eth_amount,
+                open_quote, premium_paid, premium_received, realized_pnl,
+                status, premium_ccy, created_at, closed_at
+            ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)
+            """,
+            (
+                inst,
+                "ETH",
+                "P",
+                2700,
+                228,
+                2.28,
+                0.175,
+                0.399,
+                0.2449,
+                -0.1541,
+                "closed",
+                "ETH",
+                "2026-09-24 07:09:19",
+                "2026-09-24 20:59:20",
+            ),
+        )
+        # 两笔卖平各 114 张
+        conn.execute(
+            """
+            INSERT INTO sim_option_orders(
+                ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
+            ) VALUES (?,?,?,?,?,'filled',?,?)
+            """,
+            ("sim-a", inst, "sell", 114, 0.12, 114, "2026-09-24 15:00:00"),
+        )
+        conn.execute(
+            """
+            INSERT INTO sim_option_orders(
+                ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
+            ) VALUES (?,?,?,?,?,'filled',?,?)
+            """,
+            ("sim-b", inst, "sell", 114, 0.1074, 114, "2026-09-24 20:59:10"),
+        )
+        conn.commit()
+
+        def get_db():
+            return conn
+
+        # SimBroker 每次 close 自己的连接;测试里复用同一 :memory: 需禁止 close
+        class _Proxy:
+            def __getattr__(self, name):
+                return getattr(conn, name)
+
+            def close(self):
+                return None
+
+        broker = SimBroker(lambda: _Proxy())  # type: ignore[arg-type]
+        n = broker.repair_closed_options_pnl_from_sim_orders()
+        self.assertEqual(n, 1)
+        row = conn.execute(
+            "SELECT premium_received, realized_pnl, close_ord_id FROM options_trades WHERE inst_id=?",
+            (inst,),
+        ).fetchone()
+        # ct_mult=2.28/228=0.01; recv=114*0.12*0.01 + 114*0.1074*0.01 = 0.1368+0.122436=0.259236
+        self.assertAlmostEqual(float(row["premium_received"]), 0.259236, places=6)
+        self.assertAlmostEqual(float(row["realized_pnl"]), 0.259236 - 0.399, places=6)
+        self.assertIn("sim-a", str(row["close_ord_id"]))
+        self.assertIn("sim-b", str(row["close_ord_id"]))
+
+        # 历史合成应读到修复后的盈亏
+        hist = broker.option_positions_history_okx_rows(limit=10)
+        self.assertEqual(len(hist), 1)
+        self.assertAlmostEqual(float(hist[0]["realizedPnl"]), 0.259236 - 0.399, places=6)
+
+
+if __name__ == "__main__":
+    unittest.main()