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。
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -364,23 +364,22 @@ def freeze_missing_realized_pnl_usdt(conn, ex: Any = None) -> int:
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return updated
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def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
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"""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.
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def recompute_closed_realized_pnl_usdt(conn, ex: Any = None) -> int:
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"""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.
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判定:存在开/平手续费,且 realized_pnl ≈ (recv-paid) - 2×fees,则改回只扣一次.
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若无可靠 recv/paid,但 usdt ≈ (realized + fees)×index 的反向不符则跳过.
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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,
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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.
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"""
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init_options_tables(conn)
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rows = conn.execute(
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"""
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SELECT id, realized_pnl, realized_pnl_usdt, close_index_px,
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SELECT id, realized_pnl, realized_pnl_usdt, close_index_px, open_index_px,
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inst_id, underlying, premium_ccy, premium_paid, premium_received,
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open_fee, close_fee
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open_fee, close_fee, fee_ccy, budget_usdt, close_quote, eth_amount,
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open_quote
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FROM options_trades
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WHERE status = 'closed'
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AND (COALESCE(open_fee, 0) > 0 OR COALESCE(close_fee, 0) > 0)
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AND premium_paid IS NOT NULL
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AND premium_received IS NOT NULL
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ORDER BY id DESC
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LIMIT 300
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"""
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@@ -388,59 +387,72 @@ def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
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if not rows:
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return 0
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from lib.options.options_pnl_settle_lib import resolve_close_index_px, settle_closed_pnl
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from lib.options.options_pricing_lib import total_premium
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updated = 0
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for row in rows:
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paid = _safe_float(_row_get(row, "premium_paid"))
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recv = _safe_float(_row_get(row, "premium_received"))
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if recv is None:
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cq = _safe_float(_row_get(row, "close_quote"))
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eth = _safe_float(_row_get(row, "eth_amount"))
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if cq is not None and eth is not None and eth > 0:
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recv = float(total_premium(cq, eth))
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if paid is None or recv is None:
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continue
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ofee = abs(_safe_float(_row_get(row, "open_fee")) or 0.0)
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cfee = abs(_safe_float(_row_get(row, "close_fee")) or 0.0)
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fees = ofee + cfee
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if paid is None or recv is None or fees <= 0:
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continue
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gross = float(recv) - float(paid)
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single = round(gross - fees, 8)
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double = round(gross - 2.0 * fees, 8)
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cur = _safe_float(_row_get(row, "realized_pnl"))
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usdt = _safe_float(_row_get(row, "realized_pnl_usdt"))
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ccy = str(_row_get(row, "premium_ccy") or "").strip().upper() or "ETH"
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idx = _safe_float(_row_get(row, "close_index_px"))
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if idx is None or idx <= 0:
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idx = resolve_close_index_px(
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close_idx = _safe_float(_row_get(row, "close_index_px"))
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open_idx = _safe_float(_row_get(row, "open_index_px"))
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budget = _safe_float(_row_get(row, "budget_usdt"))
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if close_idx is None or close_idx <= 0:
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close_idx = resolve_close_index_px(
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ex,
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inst_id=str(_row_get(row, "inst_id") or ""),
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underlying=str(_row_get(row, "underlying") or ""),
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)
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# 币数量层面像双重扣费,或 U 层面像双重扣费
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coin_double = cur is not None and abs(cur - double) <= max(1e-8, abs(fees) * 1e-6)
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usdt_double = False
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if usdt is not None and idx is not None and idx > 0 and ccy in ("ETH", "BTC"):
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usdt_double = abs(usdt - double * float(idx)) <= max(0.02, abs(fees * float(idx)) * 0.05)
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if not coin_double and not usdt_double:
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# 若当前已是单次扣费则不动
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continue
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if (open_idx is None or open_idx <= 0) and budget and paid > 1e-12:
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open_idx = float(budget) / float(paid)
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settled = settle_closed_pnl(
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premium_paid=paid,
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premium_received=recv,
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open_fee=ofee,
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close_fee=cfee,
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premium_ccy=ccy,
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index_px=idx,
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index_px=close_idx,
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open_index_px=open_idx,
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budget_usdt=budget,
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fee_ccy=str(_row_get(row, "fee_ccy") or ccy),
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)
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if settled.get("realized_pnl_usdt") is None and settled.get("realized_pnl") is None:
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new_usdt = settled.get("realized_pnl_usdt")
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if new_usdt is None:
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continue
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old_usdt = _safe_float(_row_get(row, "realized_pnl_usdt"))
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new_pnl = settled.get("realized_pnl")
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# 有变化才写,避免无意义刷库
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if (
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old_usdt is not None
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and abs(float(old_usdt) - float(new_usdt)) < 1e-6
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and _safe_float(_row_get(row, "realized_pnl")) is not None
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and new_pnl is not None
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and abs(float(_row_get(row, "realized_pnl")) - float(new_pnl)) < 1e-10
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):
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continue
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conn.execute(
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"""
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UPDATE options_trades
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SET realized_pnl = ?,
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SET realized_pnl = COALESCE(?, realized_pnl),
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close_index_px = COALESCE(?, close_index_px),
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open_index_px = COALESCE(open_index_px, ?),
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realized_pnl_usdt = ?
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WHERE id = ?
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""",
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(
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settled.get("realized_pnl"),
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new_pnl,
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settled.get("close_index_px"),
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settled.get("realized_pnl_usdt"),
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settled.get("open_index_px"),
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float(new_usdt),
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int(row["id"]),
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),
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)
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@@ -448,11 +460,16 @@ def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
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return updated
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def repair_double_counted_fee_pnl(conn, ex: Any = None) -> int:
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"""兼容旧名:改为强制按开仓成本重算冻结 U."""
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return recompute_closed_realized_pnl_usdt(conn, ex)
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def load_local_options_stats_history(conn, ex: Any = None) -> list[dict[str, Any]]:
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"""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."""
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init_options_tables(conn)
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try:
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repair_double_counted_fee_pnl(conn, ex)
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recompute_closed_realized_pnl_usdt(conn, ex)
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except Exception:
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pass
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try:
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