模拟盘统计改为现货买币/卖回的真实 USDT 净盈亏，对齐钱包。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-08 23:24:18 +08:00
parent 7943cd2167
commit bb9d14dd73
4 changed files with 312 additions and 2 deletions
@@ -59,9 +59,21 @@ def _sell_excess_bridge_coin(
    sell_amt = min(float(avail), excess_cap)
    if not _spot_bridge.is_sellable_spot_coin(ex, underlying, sell_amt):
        return None
-    return _spot_bridge.spot_market_sell_coin_to_usdt(
+    sell = _spot_bridge.spot_market_sell_coin_to_usdt(
        ex, underlying=underlying, coin_amount=sell_amt
    )
+    if sell and sell.get("ok"):
+        try:
+            recovered = float(sell.get("usdt_recovered") or 0)
+        except (TypeError, ValueError):
+            recovered = 0.0
+        if recovered > 0:
+            try:
+                _spot_bridge.add_bridge_usdt_recovered(conn, int(bridge_id), recovered)
+                conn.commit()
+            except Exception:
+                pass
+    return sell


 def coin_budget_preview(cfg: dict[str, Any], ex: Any) -> dict[str, Any]:
@@ -650,12 +662,27 @@ def maybe_sell_spot_after_close(
            pass
    parts = inst_id.split("-")
    underlying = (parts[0] if parts else "ETH").upper()
-    return _spot_bridge.sell_residual_after_option_flat(
+    result = _spot_bridge.sell_residual_after_option_flat(
        cfg["get_db"],
        ex,
        underlying=underlying,
        inst_id=inst_id,
    )
+    # 模拟盘:卖回后按桥上真实 USDT 净额回写已实现盈亏
+    try:
+        from lib.sim.mode_lib import is_sim_mode
+        from lib.options.options_stats_lib import sync_sim_cash_realized_pnl_usdt
+
+        if is_sim_mode(cfg["get_db"]):
+            conn = cfg["get_db"]()
+            try:
+                sync_sim_cash_realized_pnl_usdt(conn, ex)
+                conn.commit()
+            finally:
+                conn.close()
+    except Exception:
+        pass
+    return result


 def sweep_spot_after_options_flat(
@@ -151,6 +151,59 @@ def insert_bridge(
    return int(cur.lastrowid)


+def add_bridge_usdt_recovered(
+    conn: sqlite3.Connection,
+    bridge_id: int,
+    delta_usdt: float | None,
+) -> float | None:
+    """累加桥上卖币收回的 USDT(开仓多余卖回 + 平仓后卖回)."""
+    ensure_bridge_table(conn)
+    try:
+        d = float(delta_usdt or 0)
+    except (TypeError, ValueError):
+        return None
+    if d <= 0 or bridge_id is None:
+        return None
+    row = conn.execute(
+        "SELECT usdt_recovered FROM options_spot_bridge WHERE id=?",
+        (int(bridge_id),),
+    ).fetchone()
+    if not row:
+        return None
+    prev = _safe_float(row["usdt_recovered"] if hasattr(row, "keys") else row[0]) or 0.0
+    new_v = round(float(prev) + d, 8)
+    conn.execute(
+        """
+        UPDATE options_spot_bridge
+        SET usdt_recovered = ?, updated_at = CURRENT_TIMESTAMP
+        WHERE id = ?
+        """,
+        (new_v, int(bridge_id)),
+    )
+    return new_v
+
+
+def cash_pnl_usdt_from_bridge(conn: sqlite3.Connection, bridge_id: int | None) -> float | None:
+    """现金盈亏 = 卖回 USDT 合计 − 开仓买币花费(budget_usdt)."""
+    if bridge_id is None:
+        return None
+    ensure_bridge_table(conn)
+    row = conn.execute(
+        """
+        SELECT budget_usdt, usdt_recovered
+        FROM options_spot_bridge WHERE id = ?
+        """,
+        (int(bridge_id),),
+    ).fetchone()
+    if not row:
+        return None
+    spent = _safe_float(row["budget_usdt"] if hasattr(row, "keys") else row[0])
+    recovered = _safe_float(row["usdt_recovered"] if hasattr(row, "keys") else row[1])
+    if spent is None or recovered is None:
+        return None
+    return round(float(recovered) - float(spent), 4)
+
+
 def update_bridge(
    conn: sqlite3.Connection,
    bridge_id: int,
@@ -540,6 +593,9 @@ def sell_residual_after_option_flat(
                "bridge_id": bid,
                "bridge_status": BRIDGE_PENDING_SELL,
            }
+        recovered = _safe_float(sell.get("usdt_recovered"))
+        if recovered is not None and recovered > 0:
+            add_bridge_usdt_recovered(c, bid, recovered)
        update_bridge(
            c,
            bid,
@@ -465,9 +465,139 @@ def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
    return recompute_closed_realized_pnl_usdt(conn, ex)


+def _sim_net_usdt_converts_for_trade(
+    conn,
+    *,
+    underlying: str,
+    start_ts: str,
+    end_ts: str,
+) -> float | None:
+    """从 sim_ledger 汇总该标的现货兑换的 USDT 净变动(买币为负、卖回为正)."""
+    coin = (underlying or "").strip().upper()
+    if coin not in ("ETH", "BTC") or not start_ts or not end_ts:
+        return None
+    try:
+        rows = conn.execute(
+            """
+            SELECT amount, note FROM sim_ledger_entries
+            WHERE kind = 'convert'
+              AND UPPER(ccy) = 'USDT'
+              AND account = 'trading'
+              AND ts >= ?
+              AND ts <= ?
+            """,
+            (str(start_ts), str(end_ts)),
+        ).fetchall()
+    except Exception:
+        return None
+    total = 0.0
+    n = 0
+    for row in rows or []:
+        note = str(_row_get(row, "note") or "").upper()
+        amt = _safe_float(_row_get(row, "amount"))
+        if amt is None:
+            continue
+        related = (
+            f"{coin}/USDT" in note
+            or f"{coin}-USDT" in note
+            or note.strip() == f"FROM {coin}"
+        )
+        if not related:
+            continue
+        total += float(amt)
+        n += 1
+    if n < 1:
+        return None
+    return round(total, 4)
+
+
+def sync_sim_cash_realized_pnl_usdt(conn, ex: Any = None) -> int:
+    """模拟盘:用现货买币/卖回的真实 USDT 净额覆盖冻结盈亏(对齐钱包)."""
+    del ex  # 现金口径不依赖实时指数
+    init_options_tables(conn)
+    try:
+        from lib.options.options_spot_bridge_lib import (
+            cash_pnl_usdt_from_bridge,
+            ensure_bridge_table,
+        )
+
+        ensure_bridge_table(conn)
+    except Exception:
+        return 0
+    rows = conn.execute(
+        """
+        SELECT id, bridge_id, underlying, budget_usdt, premium_ccy,
+               created_at, closed_at, realized_pnl_usdt
+        FROM options_trades
+        WHERE status = 'closed'
+        ORDER BY id DESC
+        LIMIT 300
+        """
+    ).fetchall()
+    updated = 0
+    for row in rows:
+        ccy = str(_row_get(row, "premium_ccy") or "").strip().upper()
+        underly = str(_row_get(row, "underlying") or "").strip().upper()
+        if ccy not in ("ETH", "BTC") and underly not in ("ETH", "BTC"):
+            continue
+        underly = underly or ccy
+        cash = None
+        bid = _row_get(row, "bridge_id")
+        try:
+            if bid is not None:
+                cash = cash_pnl_usdt_from_bridge(conn, int(bid))
+        except Exception:
+            cash = None
+        if cash is None:
+            # 旧桥未记 usdt_recovered:用流水回补(开仓前1分钟~平仓后30分钟)
+            start = str(_row_get(row, "created_at") or "")
+            end = str(_row_get(row, "closed_at") or "")
+            if start and end:
+                from datetime import datetime, timedelta
+
+                def _shift(ts: str, minutes: int) -> str:
+                    try:
+                        dt = datetime.fromisoformat(str(ts).strip().replace(" ", "T", 1))
+                        return (dt + timedelta(minutes=minutes)).strftime("%Y-%m-%d %H:%M:%S")
+                    except Exception:
+                        return ts
+
+                cash = _sim_net_usdt_converts_for_trade(
+                    conn,
+                    underlying=underly,
+                    start_ts=_shift(start, -2),
+                    end_ts=_shift(end, 30),
+                )
+        if cash is None:
+            continue
+        old = _safe_float(_row_get(row, "realized_pnl_usdt"))
+        if old is not None and abs(float(old) - float(cash)) < 1e-6:
+            continue
+        conn.execute(
+            """
+            UPDATE options_trades
+            SET realized_pnl_usdt = ?
+            WHERE id = ?
+            """,
+            (float(cash), int(row["id"])),
+        )
+        updated += 1
+    return updated
+
+
 def load_local_options_stats_history(conn, ex: Any = None) -> list[dict[str, Any]]:
    """本地已平(模拟盘口径) + 当前 open."""
    init_options_tables(conn)
+    try:
+        from lib.sim.mode_lib import is_sim_mode
+
+        # get_db 不可用时仍尝试现金同步(conn 已打开)
+        sync_sim_cash_realized_pnl_usdt(conn, ex)
+    except Exception:
+        try:
+            sync_sim_cash_realized_pnl_usdt(conn, ex)
+        except Exception:
+            pass
    try:
        freeze_missing_realized_pnl_usdt(conn, ex)
    except Exception:
@@ -73,6 +73,103 @@ class SettleClosedPnlTests(unittest.TestCase):
        self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 27.0, places=4)


+class SimCashPnlStatsTests(unittest.TestCase):
+    def test_sim_cash_from_bridge_overrides_index_pnl(self):
+        import sqlite3
+
+        from lib.options.options_db import init_options_tables
+        from lib.options.options_spot_bridge_lib import ensure_bridge_table
+        from lib.options.options_stats_lib import sync_sim_cash_realized_pnl_usdt
+
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_options_tables(conn)
+        ensure_bridge_table(conn)
+        conn.execute(
+            """
+            INSERT INTO options_spot_bridge(
+                id, underlying, status, budget_usdt, usdt_recovered
+            ) VALUES (1, 'ETH', 'closed', 1000.0, 1952.96)
+            """
+        )
+        conn.execute(
+            """
+            INSERT INTO options_trades(
+                inst_id, underlying, opt_type, sheets, eth_amount,
+                premium_paid, premium_received, realized_pnl, premium_ccy,
+                status, bridge_id, budget_usdt, realized_pnl_usdt,
+                created_at, closed_at
+            ) VALUES (
+                'ETH-USD-261009-2500-P', 'ETH', 'P', 1, 0.01,
+                0.01, 0.02, 0.01, 'ETH',
+                'closed', 1, 1000.0, 884.54,
+                '2026-10-06 10:00:00', '2026-10-08 14:00:00'
+            )
+            """
+        )
+        conn.commit()
+        n = sync_sim_cash_realized_pnl_usdt(conn, None)
+        self.assertEqual(n, 1)
+        row = conn.execute(
+            "SELECT realized_pnl_usdt FROM options_trades WHERE id=1"
+        ).fetchone()
+        self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 952.96, places=2)
+        conn.close()
+
+    def test_sim_cash_from_ledger_when_bridge_missing_recovered(self):
+        import sqlite3
+
+        from lib.options.options_db import init_options_tables
+        from lib.options.options_spot_bridge_lib import ensure_bridge_table
+        from lib.options.options_stats_lib import sync_sim_cash_realized_pnl_usdt
+        from lib.sim.db_lib import init_sim_tables
+
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_options_tables(conn)
+        ensure_bridge_table(conn)
+        init_sim_tables(conn)
+        conn.execute(
+            """
+            INSERT INTO options_spot_bridge(
+                id, underlying, status, budget_usdt, usdt_recovered
+            ) VALUES (1, 'ETH', 'closed', 1000.0, NULL)
+            """
+        )
+        conn.execute(
+            """
+            INSERT INTO options_trades(
+                inst_id, underlying, opt_type, sheets, eth_amount,
+                premium_paid, premium_received, realized_pnl, premium_ccy,
+                status, bridge_id, budget_usdt, realized_pnl_usdt,
+                created_at, closed_at
+            ) VALUES (
+                'ETH-USD-261009-2500-P', 'ETH', 'P', 1, 0.01,
+                0.01, 0.02, 0.01, 'ETH',
+                'closed', 1, 1000.0, 884.54,
+                '2026-10-06 10:00:00', '2026-10-08 14:00:00'
+            )
+            """
+        )
+        # 买币 -1000U, 卖回 +1952.96U
+        conn.execute(
+            """
+            INSERT INTO sim_ledger_entries(kind, amount, ccy, account, note, ts)
+            VALUES
+            ('convert', -1000.0, 'USDT', 'trading', 'ETH/USDT mkt 2500', '2026-10-06 10:00:05'),
+            ('convert', 1952.96, 'USDT', 'trading', 'from eth', '2026-10-08 14:00:10')
+            """
+        )
+        conn.commit()
+        n = sync_sim_cash_realized_pnl_usdt(conn, None)
+        self.assertEqual(n, 1)
+        row = conn.execute(
+            "SELECT realized_pnl_usdt FROM options_trades WHERE id=1"
+        ).fetchone()
+        self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 952.96, places=2)
+        conn.close()
+
+
 class ExchangeFreezeStatsTests(unittest.TestCase):
    def test_freeze_uses_exchange_coin_pnl(self):
        import sqlite3