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修复币本位统计：开仓成本按预算/开仓指数计，不再用平仓价重估。

Browse Source 
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-08 23:11:45 +08:00
parent 2369aae362
commit d05629c362
7 changed files with 258 additions and 120 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/options/options_close_exec_lib.py
+14 -3
View File
@@ -378,7 +378,8 @@ def close_option_by_bid1(
open_rows = conn.execute(
"""
SELECT id, premium_paid, open_fee, premium_ccy, underlying,
exchange_ord_id
exchange_ord_id, budget_usdt, open_index_px, fee_ccy,
eth_amount, open_quote
FROM options_trades
WHERE inst_id = ? AND status = 'open'
ORDER BY id ASC
@@ -492,6 +493,11 @@ def close_option_by_bid1(
if stored_ofee <= 0:
allocated_ofee += row_ofee
row_budget = _safe_float(row["budget_usdt"])
row_open_idx = _safe_float(row["open_index_px"])
if (row_open_idx is None or row_open_idx <= 0) and row_budget and paid > 1e-12:
# 无开仓指数时用预算/已付反推
row_open_idx = float(row_budget) / paid
settled = settle_closed_pnl(
premium_paid=paid,
premium_received=recv,
@@ -499,12 +505,15 @@ def close_option_by_bid1(
close_fee=row_cfee,
premium_ccy=str(row["premium_ccy"] or row_ccy or premium_ccy),
index_px=close_idx,
open_index_px=row_open_idx,
budget_usdt=row_budget,
fee_ccy=str(row["fee_ccy"] or row["premium_ccy"] or row_ccy or ""),
)
pnl = settled.get("realized_pnl")
pnl_usdt = settled.get("realized_pnl_usdt")
note_sql = ""
# 占位: close_quote/recv/pnl/ord/closed_at/open_fee/close_fee/fee_ccy/idx/pnl_u/[note]/id
# 占位: close_quote/recv/pnl/ord/closed_at/open_fee/close_fee/fee_ccy/close_idx/open_idx/pnl_u/[note]/id
params: list[Any] = [
close_px,
recv,
@@ -515,6 +524,7 @@ def close_option_by_bid1(
row_cfee,
str(row["premium_ccy"] or row_ccy or premium_ccy or ""),
settled.get("close_index_px"),
settled.get("open_index_px") or row_open_idx,
pnl_usdt,
]
if signal_note and i == len(open_rows) - 1:
@@ -531,7 +541,8 @@ def close_option_by_bid1(
SET status = 'closed', close_quote = ?, premium_received = ?,
realized_pnl = ?, close_ord_id = ?, closed_at = ?,
open_fee = ?, close_fee = ?, fee_ccy = ?,
close_index_px = ?, realized_pnl_usdt = ?,
close_index_px = ?, open_index_px = COALESCE(open_index_px, ?),
realized_pnl_usdt = ?,
close_recv_accum = 0, close_sheets_accum = 0,
close_notional_accum = 0
{note_sql}
lib/options/options_coin_open_lib.py
+13 -3
View File
@@ -426,6 +426,7 @@ def open_coin_option_buy_full(
# 开仓手续费(折权利金单位);优先成交回包,否则查单
open_fee = 0.0
idx_open = None
try:
from lib.options.options_pnl_settle_lib import (
extract_order_fee,
@@ -438,7 +439,7 @@ def open_coin_option_buy_full(
ex,
inst_id=inst_id,
underlying=underlying,
hint=(q.get("index_px") if isinstance(q, dict) else None),
hint=(q.get("index_px") if isinstance(q, dict) else None) or idx,
)
fee_hint, fee_ccy_hint = extract_order_fee(order if isinstance(order, dict) else None)
if fee_hint <= 0 and isinstance(fill, dict):
@@ -500,6 +501,7 @@ def open_coin_option_buy_full(
budget_usdt=buy_usdt,
premium_ccy=premium_ccy,
open_fee=open_fee,
open_index_px=idx_open,
profit_exit_enabled=profit_exit_enabled,
profit_exit_mult=profit_exit_mult,
)
@@ -573,15 +575,22 @@ def _insert_coin_trade(conn: Any, **kwargs: Any) -> int:
if open_fee < 0:
open_fee = abs(open_fee)
fee_ccy = str(kwargs.get("premium_ccy") or "ETH")
open_index_px = kwargs.get("open_index_px")
try:
open_index_px = float(open_index_px) if open_index_px is not None else None
if open_index_px is not None and open_index_px <= 0:
open_index_px = None
except (TypeError, ValueError):
open_index_px = None
cur = conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
open_quote, premium_paid, status, signal_note, exchange_ord_id,
margin_mode, premium_ccy, bridge_id, budget_usdt,
open_fee, fee_ccy,
open_fee, fee_ccy, open_index_px,
profit_exit_enabled, profit_exit_mult, profit_exit_state, created_at
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, 'open', ?, ?, 'coin', ?, ?, ?, ?, ?, ?, ?, ?, ?)
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, 'open', ?, ?, 'coin', ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
""",
(
kwargs["inst_id"],
@@ -600,6 +609,7 @@ def _insert_coin_trade(conn: Any, **kwargs: Any) -> int:
kwargs.get("budget_usdt"),
open_fee,
fee_ccy,
open_index_px,
pe,
pe_mult,
pe_state,
lib/options/options_db.py
+1
View File
@@ -114,6 +114,7 @@ def init_options_tables(conn: sqlite3.Connection) -> None:
"ALTER TABLE options_trades ADD COLUMN close_fee REAL DEFAULT 0",
"ALTER TABLE options_trades ADD COLUMN fee_ccy TEXT",
"ALTER TABLE options_trades ADD COLUMN close_index_px REAL",
"ALTER TABLE options_trades ADD COLUMN open_index_px REAL",
"ALTER TABLE options_trades ADD COLUMN realized_pnl_usdt REAL",
):
try:
lib/options/options_monitor_lib.py
+20 -8
View File
@@ -315,7 +315,8 @@ def sync_open_options_trades(
rows = conn.execute(
"""
SELECT id, inst_id, premium_paid, exp_time, created_at,
open_fee, premium_ccy, underlying, exchange_ord_id
open_fee, premium_ccy, underlying, exchange_ord_id,
budget_usdt, open_index_px, fee_ccy
FROM options_trades
WHERE status = 'open'
"""
@@ -326,7 +327,6 @@ def sync_open_options_trades(
from lib.options.options_pnl_settle_lib import (
resolve_close_index_px,
settle_closed_pnl,
settle_exchange_realized_pnl,
)
for row in rows:
@@ -371,17 +371,24 @@ def sync_open_options_trades(
prem_ccy = str(row["premium_ccy"] or "").strip() or "ETH"
underly = str(row["underlying"] or "").strip()
close_idx = resolve_close_index_px(None, inst_id=inst_id, underlying=underly)
budget = _safe_float(row["budget_usdt"])
open_idx = _safe_float(row["open_index_px"])
fee_ccy = str(row["fee_ccy"] or prem_ccy or "")
if close_reason == "exchange" and realized_pnl is not None:
# OKX realizedPnl 已含费,禁止再减 open_fee
settled = settle_exchange_realized_pnl(
realized_pnl=realized_pnl,
# OKX realizedPnl 已含费 → 反推毛收回,再按开仓成本折 U(不再二次扣费)
prem_recv = round(paid + float(realized_pnl) + open_fee, 4)
settled = settle_closed_pnl(
premium_paid=paid,
premium_received=prem_recv,
open_fee=open_fee,
close_fee=0,
premium_ccy=prem_ccy,
index_px=close_idx,
fee_hint=open_fee,
open_index_px=open_idx,
budget_usdt=budget,
fee_ccy=fee_ccy,
)
prem_recv = round(paid + float(realized_pnl) + open_fee, 4)
else:
# 到期归零:本地权利金口径,只扣一次开仓费
if prem_recv is None:
prem_recv = 0.0
settled = settle_closed_pnl(
@@ -391,6 +398,9 @@ def sync_open_options_trades(
close_fee=0,
premium_ccy=prem_ccy,
index_px=close_idx,
open_index_px=open_idx,
budget_usdt=budget,
fee_ccy=fee_ccy,
)
realized_pnl = settled.get("realized_pnl")
pnl_usdt = settled.get("realized_pnl_usdt")
@@ -405,6 +415,7 @@ def sync_open_options_trades(
close_ord_id = COALESCE(?, close_ord_id),
closed_at = COALESCE(?, closed_at),
close_index_px = COALESCE(?, close_index_px),
open_index_px = COALESCE(open_index_px, ?),
realized_pnl_usdt = COALESCE(?, realized_pnl_usdt),
fee_ccy = COALESCE(fee_ccy, ?),
signal_note = CASE
@@ -421,6 +432,7 @@ def sync_open_options_trades(
close_ord_id,
closed_at,
settled.get("close_index_px"),
settled.get("open_index_px"),
pnl_usdt,
prem_ccy,
close_reason,
lib/options/options_pnl_settle_lib.py
+88 -8
View File
@@ -148,6 +148,32 @@ def freeze_pnl_to_usdt(
}
def fee_to_usdt(
fee_amt: Any,
fee_ccy: Any,
*,
index_px: float | None,
) -> float:
"""手续费折 USDT."""
amt = fee_amount_abs(fee_amt)
if amt <= 0:
return 0.0
fc = str(fee_ccy or "").strip().upper()
if fc in ("USDT", "USDC", "USD", ""):
# 空币种时按稳定币近似,避免把小数额 ETH 费当成整 U
if fc == "" and amt < 0.05:
idx = _safe_float(index_px)
if idx is not None and idx > 100:
return round(amt * float(idx), 4)
return round(amt, 4)
if fc in ("ETH", "BTC"):
idx = _safe_float(index_px)
if idx is None or idx <= 0:
return 0.0
return round(amt * float(idx), 4)
return round(amt, 4)
def settle_closed_pnl(
*,
premium_paid: Any,
@@ -156,11 +182,18 @@ def settle_closed_pnl(
close_fee: Any = 0,
premium_ccy: str,
index_px: float | None,
open_index_px: float | None = None,
budget_usdt: float | None = None,
fee_ccy: str | None = None,
) -> dict[str, float | None]:
"""
由「毛权利金」结算:净盈亏 = 收回 − 已付 − 开/平手续费(权利金单位).
仅用于本地开平仓权利金口径;不要对 OKX realizedPnl 再调此函数扣费
(交易所 realizedPnl = pnl + fee + ..., 已含手续费).
由「毛权利金」结算.
币数量净盈亏 = 收回 − 已付 − 开/平手续费.
冻结 U(币本位):
平仓收回×平仓指数 − 开仓成本U − 手续费U
开仓成本优先 budget_usdt,否则 已付×开仓指数(缺省才用平仓指数).
这样不会把开仓成本也按平仓价重估,避免和余额对不上.
不要对 OKX realizedPnl 再调此函数扣费.
"""
paid = float(_safe_float(premium_paid) or 0.0)
recv = float(_safe_float(premium_received) or 0.0)
@@ -171,12 +204,59 @@ def settle_closed_pnl(
if cfee < 0:
cfee = abs(cfee)
net = round(recv - paid - ofee - cfee, 8)
return freeze_pnl_to_usdt(
net,
premium_ccy=premium_ccy,
index_px=index_px,
total_fee=ofee + cfee,
pc = str(premium_ccy or "").strip().upper()
close_idx = _safe_float(index_px)
open_idx = _safe_float(open_index_px)
budget = _safe_float(budget_usdt)
fc = str(fee_ccy or pc or "").strip().upper()
if pc not in ("ETH", "BTC"):
return freeze_pnl_to_usdt(
net,
premium_ccy=premium_ccy,
index_px=close_idx,
total_fee=ofee + cfee,
)
if close_idx is None or close_idx <= 0:
return {
"realized_pnl": net,
"close_index_px": None,
"open_index_px": float(open_idx) if open_idx and open_idx > 0 else None,
"realized_pnl_usdt": None,
"total_fee": round(ofee + cfee, 8),
}
# 开仓成本 U:预算(真实花出去的 USDT) > 已付×开仓指数 > 已付×平仓指数
if budget is not None and budget > 0:
entry_u = float(budget)
if open_idx is None or open_idx <= 0:
open_idx = (entry_u / paid) if paid > 1e-12 else close_idx
elif open_idx is not None and open_idx > 0:
entry_u = paid * float(open_idx)
else:
entry_u = paid * float(close_idx)
open_idx = close_idx
exit_u = recv * float(close_idx)
# 开仓费按开仓指数、平仓费按平仓指数折 U
fee_u = fee_to_usdt(ofee, fc or pc, index_px=open_idx) + fee_to_usdt(
cfee, fc or pc, index_px=close_idx
)
# 若开仓成本已是 budget(含买币),ETH 开仓费已体现在币变少/卖回变少,不再重复扣 ETH 开仓费
if budget is not None and budget > 0 and (fc or pc) in ("ETH", "BTC"):
fee_u = fee_to_usdt(cfee, fc or pc, index_px=close_idx)
if str(fee_ccy or "").strip().upper() in ("USDT", "USDC", "USD"):
fee_u += fee_to_usdt(ofee, fee_ccy, index_px=open_idx)
usdt = round(exit_u - entry_u - fee_u, 4)
return {
"realized_pnl": net,
"close_index_px": float(close_idx),
"open_index_px": float(open_idx) if open_idx and open_idx > 0 else None,
"realized_pnl_usdt": usdt,
"total_fee": round(ofee + cfee, 8),
}
def settle_exchange_realized_pnl(
lib/options/options_stats_lib.py
+50 -33
View File
@@ -364,23 +364,22 @@ def freeze_missing_realized_pnl_usdt(conn, ex: Any = None) -> int:
return updated
def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
"""修复「交易所净盈亏上又减了一次手续费」导致的偏亏冻结值.
def recompute_closed_realized_pnl_usdt(conn, ex: Any = None) -> int:
"""强制按「平仓收回×平仓指数 − 开仓成本U − 手续费」重算已平冻结 U.
判定:存在开/平手续费,且 realized_pnl ≈ (recv-paid) - 2×fees,则改回只扣一次.
若无可靠 recv/paid,但 usdt ≈ (realized + fees)×index 的反向不符则跳过.
旧逻辑用 (收回−已付)×平仓指数,等于把开仓成本也按平仓价重估,ETH 上涨时会偏亏,
导致合计盈亏与余额对不上.有 budget_usdt/open_index_px 时优先用真实开仓成本.
"""
init_options_tables(conn)
rows = conn.execute(
"""
SELECT id, realized_pnl, realized_pnl_usdt, close_index_px,
SELECT id, realized_pnl, realized_pnl_usdt, close_index_px, open_index_px,
inst_id, underlying, premium_ccy, premium_paid, premium_received,
open_fee, close_fee
open_fee, close_fee, fee_ccy, budget_usdt, close_quote, eth_amount,
open_quote
FROM options_trades
WHERE status = 'closed'
AND (COALESCE(open_fee, 0) > 0 OR COALESCE(close_fee, 0) > 0)
AND premium_paid IS NOT NULL
AND premium_received IS NOT NULL
ORDER BY id DESC
LIMIT 300
"""
@@ -388,59 +387,72 @@ def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
if not rows:
return 0
from lib.options.options_pnl_settle_lib import resolve_close_index_px, settle_closed_pnl
from lib.options.options_pricing_lib import total_premium
updated = 0
for row in rows:
paid = _safe_float(_row_get(row, "premium_paid"))
recv = _safe_float(_row_get(row, "premium_received"))
if recv is None:
cq = _safe_float(_row_get(row, "close_quote"))
eth = _safe_float(_row_get(row, "eth_amount"))
if cq is not None and eth is not None and eth > 0:
recv = float(total_premium(cq, eth))
if paid is None or recv is None:
continue
ofee = abs(_safe_float(_row_get(row, "open_fee")) or 0.0)
cfee = abs(_safe_float(_row_get(row, "close_fee")) or 0.0)
fees = ofee + cfee
if paid is None or recv is None or fees <= 0:
continue
gross = float(recv) - float(paid)
single = round(gross - fees, 8)
double = round(gross - 2.0 * fees, 8)
cur = _safe_float(_row_get(row, "realized_pnl"))
usdt = _safe_float(_row_get(row, "realized_pnl_usdt"))
ccy = str(_row_get(row, "premium_ccy") or "").strip().upper() or "ETH"
idx = _safe_float(_row_get(row, "close_index_px"))
if idx is None or idx <= 0:
idx = resolve_close_index_px(
close_idx = _safe_float(_row_get(row, "close_index_px"))
open_idx = _safe_float(_row_get(row, "open_index_px"))
budget = _safe_float(_row_get(row, "budget_usdt"))
if close_idx is None or close_idx <= 0:
close_idx = resolve_close_index_px(
ex,
inst_id=str(_row_get(row, "inst_id") or ""),
underlying=str(_row_get(row, "underlying") or ""),
)
# 币数量层面像双重扣费,或 U 层面像双重扣费
coin_double = cur is not None and abs(cur - double) <= max(1e-8, abs(fees) * 1e-6)
usdt_double = False
if usdt is not None and idx is not None and idx > 0 and ccy in ("ETH", "BTC"):
usdt_double = abs(usdt - double * float(idx)) <= max(0.02, abs(fees * float(idx)) * 0.05)
if not coin_double and not usdt_double:
# 若当前已是单次扣费则不动
continue
if (open_idx is None or open_idx <= 0) and budget and paid > 1e-12:
open_idx = float(budget) / float(paid)
settled = settle_closed_pnl(
premium_paid=paid,
premium_received=recv,
open_fee=ofee,
close_fee=cfee,
premium_ccy=ccy,
index_px=idx,
index_px=close_idx,
open_index_px=open_idx,
budget_usdt=budget,
fee_ccy=str(_row_get(row, "fee_ccy") or ccy),
)
if settled.get("realized_pnl_usdt") is None and settled.get("realized_pnl") is None:
new_usdt = settled.get("realized_pnl_usdt")
if new_usdt is None:
continue
old_usdt = _safe_float(_row_get(row, "realized_pnl_usdt"))
new_pnl = settled.get("realized_pnl")
# 有变化才写,避免无意义刷库
if (
old_usdt is not None
and abs(float(old_usdt) - float(new_usdt)) < 1e-6
and _safe_float(_row_get(row, "realized_pnl")) is not None
and new_pnl is not None
and abs(float(_row_get(row, "realized_pnl")) - float(new_pnl)) < 1e-10
):
continue
conn.execute(
"""
UPDATE options_trades
SET realized_pnl = ?,
SET realized_pnl = COALESCE(?, realized_pnl),
close_index_px = COALESCE(?, close_index_px),
open_index_px = COALESCE(open_index_px, ?),
realized_pnl_usdt = ?
WHERE id = ?
""",
(
settled.get("realized_pnl"),
new_pnl,
settled.get("close_index_px"),
settled.get("realized_pnl_usdt"),
settled.get("open_index_px"),
float(new_usdt),
int(row["id"]),
),
)
@@ -448,11 +460,16 @@ def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
return updated
def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
"""兼容旧名:改为强制按开仓成本重算冻结 U."""
return recompute_closed_realized_pnl_usdt(conn, ex)
def load_local_options_stats_history(conn, ex: Any = None) -> list[dict[str, Any]]:
"""本地已平(含冻结 U/手续费净额) + 当前 open,供统计/中控窗口复用."""
init_options_tables(conn)
try:
repair_double_counted_fee_pnl(conn, ex)
recompute_closed_realized_pnl_usdt(conn, ex)
except Exception:
pass
try: