fix开仓价卖回价与真盈亏一次冻结，复盘同步不再反复改写。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-13 10:56:53 +08:00
parent 1aa279f191
commit aa8b16ce27
5 changed files with 106 additions and 64 deletions
@@ -42,15 +42,19 @@
 含义：**计入权利金的 USDT 波动**；**忽略现货多买缓冲**。  
 有开/平手续费时：开仓费按开仓价、平仓费按卖回价折 U 后扣除。

-**多笔成交（VWAP）：**
+**固定量 vs 一次冻结价：**

-| 价格 | 定义 |
+| 字段 | 性质 |
 |------|------|
-| 开仓价 | 买币多笔加权：`Σ买币花费USDT / Σ买入币量`（缓冲买单计入均价，公式仍只乘 `premium_paid`） |
-| 卖回价 | 平仓后卖回多笔加权：`Σ收回USDT / Σ卖出币量`（**不含**开仓多余卖回） |
+| `premium_paid`（权利金币） | 开仓后**固定**，不再改 |
+| `realized_pnl`（期权腿币盈亏） | 平仓后**固定**，不再改 |
+| 开仓价 | 买币完成时算一次 VWAP 写入 `open_index_px`，**冻住** |
+| 卖回价 | 平仓卖回全部完成时算一次 VWAP 写入 `close_index_px`，**冻住** |
+| `realized_pnl_usdt` | 卖回完成后按上式算一次，`pnl_settled=1` 后**只读** |

- 卖回未完成（仍有可卖）→ 复盘标「待卖回」，不冻结真盈亏  
- 无 VWAP 时回退冻结指数；仍缺则「缺价未核」  
+- 卖回未完成 → 「待卖回」，不算真盈亏  
+- 缺价 → 「缺价未核」  
+- 复盘刷新**不得**改已冻结的开仓价/卖回价/真盈亏/权利金币量/币盈亏  

 - **消费者**：期权复盘「期权交易记录」盈亏列、复盘 KPI、`realized_pnl_usdt` 冻结  
 - **不含**：现货多买差分当盈亏 / 账户 after−before  
@@ -308,12 +308,13 @@ def settle_closed_trades_from_trading_account(
        )
        if pnl_u is None or src in ("none", "pending_sell"):
            continue
+        # 卖回价一次冻结为卖回 VWAP;开仓价已在开仓时冻住,仅缺省时补
        conn.execute(
            """
            UPDATE options_trades
            SET trading_usdt_after = COALESCE(?, trading_usdt_after),
                realized_pnl_usdt = ?,
-                open_index_px = COALESCE(?, open_index_px),
+                open_index_px = COALESCE(open_index_px, ?),
                close_index_px = COALESCE(?, close_index_px),
                pnl_settled = 1
            WHERE id = ? AND COALESCE(pnl_settled, 0)=0
@@ -520,6 +520,14 @@ def open_coin_option_buy_full(
            message="期权持仓中",
        )

+        # 开仓价一次冻结:优先买币 VWAP(之后不再改);权利金币量 premium_paid 固定
+        open_px_freeze = idx_open
+        try:
+            bv = _spot_bridge.bridge_buy_vwap(conn, bridge_id)
+            if bv is not None and float(bv) > 0:
+                open_px_freeze = float(bv)
+        except Exception:
+            pass
        trade_id = _insert_coin_trade(
            conn,
            inst_id=inst_id,
@@ -537,7 +545,7 @@ def open_coin_option_buy_full(
            budget_usdt=buy_usdt,
            premium_ccy=premium_ccy,
            open_fee=open_fee,
-            open_index_px=idx_open,
+            open_index_px=open_px_freeze,
            trading_usdt_before=trading_usdt_before,
            profit_exit_enabled=profit_exit_enabled,
            profit_exit_mult=profit_exit_mult,
@@ -556,6 +556,10 @@ def sync_options_from_local_trades(
        if not ccy:
            ccy = premium_ccy_for_mode(margin_mode_from_inst_id(inst), underly)
        frozen_usdt = _safe_float(r["realized_pnl_usdt"])
+        try:
+            settled = int(r["pnl_settled"] or 0) == 1
+        except Exception:
+            settled = False
        close_idx = _safe_float(r["close_index_px"])
        open_idx = _safe_float(r["open_index_px"])
        idx = None
@@ -576,43 +580,35 @@ def sync_options_from_local_trades(
            close_fee=cfee,
            premium_ccy=ccy,
        )
-        # 初始权利金可用开仓价,缺则兜底指数;真盈亏必须用冻结的开仓价+卖回价,禁止实时价冒充
+        # 权利金币量/币盈亏固定;开仓价与卖回价各自冻一次后真盈亏只读
        open_idx_for_prem = open_idx if (open_idx is not None and open_idx > 0) else idx
        sell_idx = close_idx if (close_idx is not None and close_idx > 0) else None
        from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade

-        pnl_u, pnl_src = resolve_true_pnl_usdt_from_trade(
-            premium_paid=prem,
-            premium_received=r["premium_received"],
-            realized_pnl=r["realized_pnl"],
-            open_index_px=open_idx if (open_idx is not None and open_idx > 0) else None,
-            close_index_px=sell_idx,
-            open_fee=ofee,
-            close_fee=cfee,
-            premium_ccy=ccy,
-            fee_ccy=str(r["premium_ccy"] or ccy or ""),
-            conn=conn,
-            bridge_id=r["bridge_id"],
-        )
-        # 能算新公式则写回;卖回未完成→待卖回;算不出→缺价未核
        status_label = "已平"
-        if pnl_src == "pending_sell":
-            status_label = "待卖回"
-            pnl_u = None
-            # 清掉曾用指数提前冻上的假真盈亏
-            try:
-                conn.execute(
-                    """
-                    UPDATE options_trades
-                    SET realized_pnl_usdt = NULL, pnl_settled = 0
-                    WHERE id = ? AND COALESCE(pnl_settled, 0) = 1
-                    """,
-                    (trade_id,),
-                )
-            except Exception:
-                pass
-        elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
-            if frozen_usdt is None or abs(float(frozen_usdt) - float(pnl_u)) > 0.05:
+        pnl_u = None
+        if settled and frozen_usdt is not None:
+            # 已冻结:只读展示,禁止同步反复改写
+            pnl_u = round(float(frozen_usdt), 4)
+        else:
+            pnl_u, pnl_src = resolve_true_pnl_usdt_from_trade(
+                premium_paid=prem,
+                premium_received=r["premium_received"],
+                realized_pnl=r["realized_pnl"],
+                open_index_px=open_idx if (open_idx is not None and open_idx > 0) else None,
+                close_index_px=sell_idx,
+                open_fee=ofee,
+                close_fee=cfee,
+                premium_ccy=ccy,
+                fee_ccy=str(r["premium_ccy"] or ccy or ""),
+                conn=conn,
+                bridge_id=r["bridge_id"],
+            )
+            if pnl_src == "pending_sell":
+                status_label = "待卖回"
+                pnl_u = None
+            elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
+                # 未冻结且可算:只写一次
                try:
                    from lib.options.options_pnl_settle_lib import resolve_spot_vwap_prices

@@ -626,33 +622,18 @@ def sync_options_from_local_trades(
                        """
                        UPDATE options_trades
                        SET realized_pnl_usdt = ?,
-                            open_index_px = COALESCE(?, open_index_px),
+                            open_index_px = COALESCE(open_index_px, ?),
                            close_index_px = COALESCE(?, close_index_px),
                            pnl_settled = 1
-                        WHERE id = ?
+                        WHERE id = ? AND COALESCE(pnl_settled, 0)=0
                        """,
                        (pnl_u, opx, cpx, trade_id),
                    )
                except Exception:
                    pass
-        else:
-            status_label = "缺价未核"
-            pnl_u = None
-            try:
-                conn.execute(
-                    """
-                    UPDATE options_trades
-                    SET realized_pnl_usdt = NULL, pnl_settled = 0
-                    WHERE id = ?
-                      AND (
-                        COALESCE(pnl_settled, 0) = 1
-                        OR realized_pnl_usdt IS NOT NULL
-                      )
-                    """,
-                    (trade_id,),
-                )
-            except Exception:
-                pass
+            else:
+                status_label = "缺价未核"
+                pnl_u = None
        # 初始权利金(U)=开仓指数×权利金币量;不含多买
        stored_initial = _safe_float(r["initial_premium_usdt"])
        prem_u = stored_initial
@@ -6,6 +6,54 @@ import unittest


 class ReviewLocalSyncFreezeTests(unittest.TestCase):
+    def test_settled_true_pnl_not_rewritten_on_resync(self):
+        """已冻结真盈亏只读;同步不得因桥/指数再改写."""
+        from lib.options.options_db import init_options_tables
+        from lib.options.options_review_lib import sync_options_from_local_trades
+        from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
+        from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
+
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_options_tables(conn)
+        ensure_runtime_settings_table(conn)
+        runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
+        conn.execute(
+            """
+            INSERT INTO options_trades(
+                inst_id, underlying, opt_type, sheets, eth_amount,
+                premium_paid, premium_received, realized_pnl, premium_ccy,
+                open_fee, close_fee, status, realized_pnl_usdt,
+                open_index_px, close_index_px, pnl_settled,
+                created_at, closed_at
+            ) VALUES (
+                'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
+                0.01, 0.02, 0.01, 'BTC',
+                0, 0, 'closed', 700.0,
+                90000.0, 80000.0, 1,
+                '2026-10-05 05:11:30', '2026-10-07 10:03:53'
+            )
+            """
+        )
+        conn.commit()
+        sync_options_from_local_trades(conn, None)
+        sync_options_from_local_trades(conn, None)
+        trade = conn.execute(
+            "SELECT realized_pnl_usdt, open_index_px, close_index_px, pnl_settled, realized_pnl, premium_paid FROM options_trades WHERE id=1"
+        ).fetchone()
+        self.assertAlmostEqual(float(trade["realized_pnl_usdt"]), 700.0, places=2)
+        self.assertAlmostEqual(float(trade["open_index_px"]), 90000.0, places=2)
+        self.assertAlmostEqual(float(trade["close_index_px"]), 80000.0, places=2)
+        self.assertEqual(int(trade["pnl_settled"]), 1)
+        self.assertAlmostEqual(float(trade["realized_pnl"]), 0.01, places=8)
+        self.assertAlmostEqual(float(trade["premium_paid"]), 0.01, places=8)
+        row = conn.execute(
+            "SELECT realized_pnl_total FROM options_review_trades WHERE history_key=?",
+            ("local_opt:1",),
+        ).fetchone()
+        self.assertAlmostEqual(float(row["realized_pnl_total"]), 700.0, places=2)
+        conn.close()
+
    def test_premium_usdt_move_formula(self):
        from lib.options.options_db import init_options_tables
        from lib.options.options_review_lib import sync_options_from_local_trades
@@ -32,9 +80,9 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
            ) VALUES (
                'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
                0.01, 0.02, 0.01, 'BTC',
-                0, 0, 'closed', -51.0,
+                0, 0, 'closed', NULL,
                90000.0, 80000.0,
-                1000.0, 2506.0, 1,
+                1000.0, 2506.0, 0,
                '2026-10-05 05:11:30', '2026-10-07 10:03:53'
            )
            """
@@ -65,7 +113,7 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
        init_options_tables(conn)
        ensure_runtime_settings_table(conn)
        runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
-        # 无开仓/卖回价 → 无法按新公式更新
+        # 未冻结且无开仓/卖回价 → 缺价未核(不瞎写)
        conn.execute(
            """
            INSERT INTO options_trades(
@@ -76,7 +124,7 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
            ) VALUES (
                'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
                0.01, 0.02, 0.01, 'BTC',
-                'closed', -51.0, 1,
+                'closed', NULL, 0,
                '2026-10-05 05:11:30', '2026-10-07 10:03:53'
            )
            """