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>

tests/test_options_pnl_settle.py

@@ -1,4 +1,4 @@
-"""期权已实现盈亏:扣手续费 + 平仓冻结 U 不跟实时指数变."""
+"""期权已实现盈亏:扣手续费 + 按开仓成本冻结 U(不跟平仓价重估开仓成本)."""
 from __future__ import annotations
 
 import unittest
@@ -11,6 +11,7 @@ from lib.options.options_pnl_settle_lib import (
 from lib.options.options_stats_lib import (
     compute_options_stats_from_history,
     history_pnl_to_usdt,
+    recompute_closed_realized_pnl_usdt,
 )
 
 
@@ -31,9 +32,8 @@ class FeeConvertTests(unittest.TestCase):
 
 
 class SettleClosedPnlTests(unittest.TestCase):
-    def test_net_of_fees_and_freeze_usdt(self):
-        # 收回 0.02 ETH,已付 0.01,开+平手续费各 0.0005 → 净 0.009
-        # × 3000 = 27 U
+    def test_same_index_matches_net_times_index(self):
+        # 开平指数相同:(recv-paid-fees)*idx
         s = settle_closed_pnl(
             premium_paid=0.01,
             premium_received=0.02,
@@ -41,10 +41,40 @@ class SettleClosedPnlTests(unittest.TestCase):
             close_fee=0.0005,
             premium_ccy="ETH",
             index_px=3000,
+            open_index_px=3000,
         )
         self.assertAlmostEqual(float(s["realized_pnl"]), 0.009, places=8)
         self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 27.0, places=4)
-        self.assertAlmostEqual(float(s["close_index_px"]), 3000.0, places=4)
+
+    def test_open_cost_not_revalued_at_close(self):
+        # 开仓 2500、平仓 3000:不得把已付也按 3000 计
+        # exit=0.02*3000=60, entry=0.01*2500=25, fee=0.0005*2500+0.0005*3000=2.75
+        # usdt=60-25-2.75=32.25  (旧口径 0.009*3000=27 偏亏)
+        s = settle_closed_pnl(
+            premium_paid=0.01,
+            premium_received=0.02,
+            open_fee=0.0005,
+            close_fee=0.0005,
+            premium_ccy="ETH",
+            index_px=3000,
+            open_index_px=2500,
+        )
+        self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 32.25, places=4)
+
+    def test_budget_usdt_as_entry(self):
+        # budget=26 作为真实开仓 USDT 成本;ETH 开仓费不再重复扣
+        s = settle_closed_pnl(
+            premium_paid=0.01,
+            premium_received=0.02,
+            open_fee=0.0005,
+            close_fee=0.0005,
+            premium_ccy="ETH",
+            index_px=3000,
+            budget_usdt=26.0,
+            fee_ccy="ETH",
+        )
+        # exit=60, entry=26, close_fee_u=1.5 → 32.5
+        self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 32.5, places=4)
 
     def test_usdc_freeze_is_net(self):
         s = settle_closed_pnl(
@@ -59,7 +89,6 @@ class SettleClosedPnlTests(unittest.TestCase):
         self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 1.8, places=4)
 
     def test_exchange_realized_not_fee_again(self):
-        # OKX realizedPnl 已含费:只折 U,不得再减 fee
         s = settle_exchange_realized_pnl(
             realized_pnl=0.009,
             premium_ccy="ETH",
@@ -70,67 +99,8 @@ class SettleClosedPnlTests(unittest.TestCase):
         self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 27.0, places=4)
 
 
-class RepairDoubleFeeTests(unittest.TestCase):
-    def test_repair_detects_double_fee(self):
-        import sqlite3
-
-        from lib.options.options_db import init_options_tables
-        from lib.options.options_stats_lib import repair_double_counted_fee_pnl
-
-        conn = sqlite3.connect(":memory:")
-        conn.row_factory = sqlite3.Row
-        init_options_tables(conn)
-        # recv-paid=0.01, fees=0.001 → 单次净 0.009;错误写成双重 0.008
-        conn.execute(
-            """
-            INSERT INTO options_trades(
-                inst_id, underlying, opt_type, sheets, eth_amount,
-                premium_paid, premium_received, realized_pnl, open_fee, close_fee,
-                premium_ccy, status, close_index_px, realized_pnl_usdt
-            ) VALUES (
-                'ETH-USD-260701-2500-C', 'ETH', 'C', 1, 0.01,
-                0.01, 0.02, 0.008, 0.0005, 0.0005,
-                'ETH', 'closed', 3000, 24.0
-            )
-            """
-        )
-        conn.commit()
-        n = repair_double_counted_fee_pnl(conn, None)
-        self.assertEqual(n, 1)
-        row = conn.execute(
-            "SELECT realized_pnl, realized_pnl_usdt FROM options_trades WHERE id=1"
-        ).fetchone()
-        self.assertAlmostEqual(float(row["realized_pnl"]), 0.009, places=8)
-        self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 27.0, places=4)
-        conn.close()
-
-
 class FrozenStatsTests(unittest.TestCase):
     def test_frozen_usdt_ignores_live_index(self):
-        history = [
-            {
-                "status": "closed",
-                "inst_id": "ETH-USD-260701-2500-C",
-                "underlying": "ETH",
-                "premium_ccy": "ETH",
-                "realized_pnl": 0.01,  # 币数量
-                "realized_pnl_usdt": 25.0,  # 平仓时冻结
-                "close_index_px": 2500.0,
-                "created_at": "2026-10-01 10:00:00",
-                "closed_at": "2026-10-01 12:00:00",
-            }
-        ]
-
-        class _Ex:
-            def public_get_market_ticker(self, params):
-                return {"data": [{"last": "99999"}]}  # 实时价再变也不影响
-
-        converted = history_pnl_to_usdt(history, _Ex())
-        self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 25.0, places=4)
-        stats = compute_options_stats_from_history(converted)
-        self.assertAlmostEqual(float(stats["net_realized_pnl"]), 25.0, places=4)
-
-    def test_close_index_used_when_no_frozen_usdt(self):
         history = [
             {
                 "status": "closed",
@@ -138,6 +108,7 @@ class FrozenStatsTests(unittest.TestCase):
                 "underlying": "ETH",
                 "premium_ccy": "ETH",
                 "realized_pnl": 0.01,
+                "realized_pnl_usdt": 25.0,
                 "close_index_px": 2500.0,
                 "created_at": "2026-10-01 10:00:00",
                 "closed_at": "2026-10-01 12:00:00",
@@ -150,6 +121,42 @@ class FrozenStatsTests(unittest.TestCase):
 
         converted = history_pnl_to_usdt(history, _Ex())
         self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 25.0, places=4)
+        stats = compute_options_stats_from_history(converted)
+        self.assertAlmostEqual(float(stats["net_realized_pnl"]), 25.0, places=4)
+
+
+class RecomputeClosedUsdtTests(unittest.TestCase):
+    def test_recompute_uses_budget_not_close_revalue(self):
+        import sqlite3
+
+        from lib.options.options_db import init_options_tables
+
+        conn = sqlite3.connect(":memory:")
+        conn.row_factory = sqlite3.Row
+        init_options_tables(conn)
+        # 旧错误冻结: (0.02-0.01)*3000=30
+        conn.execute(
+            """
+            INSERT INTO options_trades(
+                inst_id, underlying, opt_type, sheets, eth_amount,
+                premium_paid, premium_received, realized_pnl,
+                premium_ccy, status, budget_usdt, close_index_px, realized_pnl_usdt
+            ) VALUES (
+                'ETH-USD-260701-2500-C', 'ETH', 'C', 1, 0.01,
+                0.01, 0.02, 0.01,
+                'ETH', 'closed', 26.0, 3000, 30.0
+            )
+            """
+        )
+        conn.commit()
+        n = recompute_closed_realized_pnl_usdt(conn, None)
+        self.assertEqual(n, 1)
+        row = conn.execute(
+            "SELECT realized_pnl_usdt FROM options_trades WHERE id=1"
+        ).fetchone()
+        # exit 60 - budget 26 = 34 (无手续费列)
+        self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 34.0, places=4)
+        conn.close()
 
 
 if __name__ == "__main__":