修复期权分批平仓只记最后一笔收回导致盈亏漏算。
每次部分成交累加权利金与张数，全平后再合计 realized_pnl，并优先匹配交易所全平历史。 Co-authored-by: Cursor <cursoragent@cursor.com>
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dekun
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"""分批平仓:累计各批收回权利金后再算盈亏."""
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from __future__ import annotations
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import sqlite3
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import unittest
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from unittest.mock import patch
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from lib.options.options_close_exec_lib import close_option_by_bid1
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from lib.options.options_db import (
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add_open_close_accum,
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get_open_close_accum,
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init_options_tables,
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)
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def _mem_db() -> sqlite3.Connection:
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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return conn
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class CloseAccumDbTests(unittest.TestCase):
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def test_accum_on_earliest_open(self):
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conn = _mem_db()
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, sheets, eth_amount, premium_paid, status)
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VALUES ('ETH-USD-260927-2700-P', 'ETH', 'P', 10, 0.1, 0.02, 'open')
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"""
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)
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conn.commit()
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self.assertTrue(
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add_open_close_accum(
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conn, "ETH-USD-260927-2700-P", recv=0.005, sheets=5, px=0.05, ord_id="a1"
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)
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)
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self.assertTrue(
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add_open_close_accum(
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conn, "ETH-USD-260927-2700-P", recv=0.004, sheets=5, px=0.04, ord_id="a2"
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)
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)
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acc = get_open_close_accum(conn, "ETH-USD-260927-2700-P")
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self.assertAlmostEqual(float(acc["recv"]), 0.009, places=6)
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self.assertEqual(int(acc["sheets"]), 10)
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self.assertAlmostEqual(float(acc["notional"]), 0.05 * 5 + 0.04 * 5, places=6)
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self.assertEqual(acc["close_ord_id"], "a1,a2")
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class TwoStepCloseExecTests(unittest.TestCase):
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def test_two_partial_closes_sum_premium_received(self):
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conn = _mem_db()
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inst = "ETH-USD-260927-2700-P"
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, sheets, eth_amount,
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open_quote, premium_paid, status, premium_ccy, margin_mode)
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VALUES (?, 'ETH', 'P', 2700, 10, 0.1, 0.2, 0.02, 'open', 'ETH', 'coin')
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""",
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(inst,),
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)
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conn.commit()
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# 持仓:第一次 10→5,第二次 5→0
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pos_seq = [
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[{"instId": inst, "availPos": "10", "pos": "10", "mgnMode": "isolated", "idxPx": "2500"}],
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[{"instId": inst, "availPos": "5", "pos": "5", "mgnMode": "isolated", "idxPx": "2500"}],
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[{"instId": inst, "availPos": "5", "pos": "5", "mgnMode": "isolated", "idxPx": "2500"}],
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[], # 第二次下单后已平
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]
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pos_i = {"n": 0}
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def fetch_positions(_ex):
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i = pos_i["n"]
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pos_i["n"] = min(i + 1, len(pos_seq) - 1)
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return pos_seq[i]
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order_px = {"n": 0}
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def place_limit(_ex, **kwargs):
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order_px["n"] += 1
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px = 0.05 if order_px["n"] == 1 else 0.04
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return {"ok": True, "px": px, "data": {"ordId": f"ord{order_px['n']}"}}
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def quote(_ex, _inst):
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return {"ok": True, "tick_sz": "0.0001", "ct_mult": 0.01, "bid": 0.05, "index_px": 2500}
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def book(_ex, _inst, _n):
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# 每次只够吃一半深度,强制分两批
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return {"bids": [{"px": 0.05, "sz": 5}]} if order_px["n"] < 1 else {"bids": [{"px": 0.04, "sz": 5}]}
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cfg = {
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"get_db": lambda: _reuse_conn(conn),
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"quote_option_contract": quote,
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"fetch_option_positions": fetch_positions,
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"fetch_option_book_depth": book,
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"place_option_limit_order": place_limit,
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"td_mode": "isolated",
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}
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with patch("lib.options.options_close_exec_lib.time.sleep", return_value=None), patch(
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"lib.exchange.okx_options_lib.invalidate_option_positions_cache"
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), patch(
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"lib.options.options_pricing_lib.fetch_option_mark_px", return_value=0.05
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), patch(
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"lib.options.options_close_exec_lib._pos_close_refs", return_value=(0.05, 0.0)
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):
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r1 = close_option_by_bid1(cfg, ex=object(), inst_id=inst, sheets=10)
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self.assertTrue(r1.get("ok"), r1)
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self.assertFalse(r1.get("fully_closed"), r1)
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open_row = conn.execute(
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"SELECT close_recv_accum, status, realized_pnl FROM options_trades WHERE inst_id=?",
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(inst,),
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).fetchone()
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self.assertEqual(open_row["status"], "open")
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self.assertGreater(float(open_row["close_recv_accum"] or 0), 0)
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self.assertIsNone(open_row["realized_pnl"])
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# 第二次买一深度
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def book2(_ex, _inst, _n):
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return {"bids": [{"px": 0.04, "sz": 5}]}
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cfg["fetch_option_book_depth"] = book2
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r2 = close_option_by_bid1(cfg, ex=object(), inst_id=inst, sheets=5)
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self.assertTrue(r2.get("ok"), r2)
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self.assertTrue(r2.get("fully_closed"), r2)
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closed = conn.execute(
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"""
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SELECT premium_paid, premium_received, realized_pnl, status, close_recv_accum
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FROM options_trades WHERE inst_id=?
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""",
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(inst,),
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).fetchone()
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self.assertEqual(closed["status"], "closed")
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# ct_mult=0.01: 5张×0.05 + 5张×0.04 = 0.0025 + 0.002 = 0.0045
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self.assertAlmostEqual(float(closed["premium_received"]), 0.0045, places=6)
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self.assertAlmostEqual(float(closed["realized_pnl"]), 0.0045 - 0.02, places=6)
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self.assertEqual(float(closed["close_recv_accum"] or 0), 0.0)
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# 若只记第二批,recv 会是 0.002,pnl=-0.018;合计应为 -0.0155
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self.assertNotAlmostEqual(float(closed["premium_received"]), 0.002, places=6)
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def _reuse_conn(conn: sqlite3.Connection) -> sqlite3.Connection:
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"""get_db 每次返回同一连接;close 时 no-op,避免 :memory: 被关掉."""
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class _Proxy:
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def __getattr__(self, name):
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return getattr(conn, name)
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def close(self):
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return None
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return _Proxy() # type: ignore[return-value]
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if __name__ == "__main__":
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unittest.main()
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