fix模拟盘流水重算卖回VWAP时同秒多笔配对去重，避免USDT重复计入。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-13 12:02:04 +08:00
parent 57ca5ebc8f
commit d42e1c7edf
2 changed files with 114 additions and 6 deletions
@@ -0,0 +1,90 @@
+# -*- coding: utf-8 -*-
+"""repair_options_spot_vwap_from_sim_ledger:同秒多笔卖回不得重复配对 USDT."""
+from __future__ import annotations
+
+import importlib.util
+import sqlite3
+import sys
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[1]
+SCRIPT = ROOT / "scripts" / "repair_options_spot_vwap_from_sim_ledger.py"
+
+
+def _load_repair():
+    spec = importlib.util.spec_from_file_location("repair_opt_vwap", SCRIPT)
+    assert spec and spec.loader
+    mod = importlib.util.module_from_spec(spec)
+    sys.modules[spec.name] = mod
+    spec.loader.exec_module(mod)
+    return mod
+
+
+def _mk_conn() -> sqlite3.Connection:
+    c = sqlite3.connect(":memory:")
+    c.row_factory = sqlite3.Row
+    c.executescript(
+        """
+        CREATE TABLE sim_ledger_entries (
+          id INTEGER PRIMARY KEY,
+          ts TEXT, kind TEXT, ccy TEXT, account TEXT, amount REAL, note TEXT
+        );
+        """
+    )
+    return c
+
+
+def test_same_ts_multi_sell_pairs_distinct_usdt():
+    mod = _load_repair()
+    c = _mk_conn()
+    # 模拟 trade2:最后一笔 option_close 后同秒/连秒多笔 BTC→USDT
+    rows = [
+        (21, "2026-10-13 00:06:58", "option_close", "BTC", "trading", 0.01, "sell BTC-USD-261015-84000-P"),
+        (23, "2026-10-13 00:07:35", "option_close", "BTC", "trading", 0.008, "sell BTC-USD-261015-84000-P"),
+        (24, "2026-10-13 00:07:35", "convert", "BTC", "trading", -0.01123875, "BTC/USDT mkt 81411.8737"),
+        (25, "2026-10-13 00:07:35", "convert", "USDT", "trading", 914.967695545875, "from btc"),
+        (26, "2026-10-13 00:07:36", "convert", "BTC", "trading", -0.018413659934387205, "BTC/USDT mkt 81424.9671"),
+        (27, "2026-10-13 00:07:36", "convert", "USDT", "trading", 1499.3316552687493, "from btc"),
+        (28, "2026-10-13 00:07:36", "convert", "BTC", "trading", -1.8413659934386636e-05, "BTC/USDT mkt 81418.9702"),
+        (29, "2026-10-13 00:07:36", "convert", "USDT", "trading", 1.4992212285500766, "from btc"),
+    ]
+    c.executemany(
+        "INSERT INTO sim_ledger_entries(id,ts,kind,ccy,account,amount,note) VALUES (?,?,?,?,?,?,?)",
+        rows,
+    )
+    buy_u, buy_c, sell_u, sell_c = mod._ledger_buy_sell(
+        c,
+        underly="BTC",
+        inst_id="BTC-USD-261015-84000-P",
+        open_ts="",
+        close_ts="",
+    )
+    assert buy_u is None and buy_c is None
+    assert sell_c is not None and abs(sell_c - 0.02967082359432159) < 1e-12
+    assert sell_u is not None and abs(sell_u - 2415.798572043174) < 1e-6
+    vwap = sell_u / sell_c
+    assert 81400 < vwap < 81450
+
+
+def test_old_bug_would_double_count_large_fill():
+    """对照:若按同 ts 永远取第一笔 USDT,会得到 ~3913 而非 ~2415."""
+    mod = _load_repair()
+    c = _mk_conn()
+    rows = [
+        (23, "t0", "option_close", "BTC", "trading", 0.01, "sell BTC-USD-X"),
+        (24, "t1", "convert", "BTC", "trading", -0.01, "BTC/USDT mkt 1"),
+        (25, "t1", "convert", "USDT", "trading", 900.0, "from btc"),
+        (26, "t2", "convert", "BTC", "trading", -0.02, "BTC/USDT mkt 1"),
+        (27, "t2", "convert", "USDT", "trading", 1500.0, "from btc"),
+        (28, "t2", "convert", "BTC", "trading", -0.0001, "BTC/USDT mkt 1"),
+        (29, "t2", "convert", "USDT", "trading", 1.5, "from btc"),
+    ]
+    c.executemany(
+        "INSERT INTO sim_ledger_entries(id,ts,kind,ccy,account,amount,note) VALUES (?,?,?,?,?,?,?)",
+        rows,
+    )
+    _, _, sell_u, sell_c = mod._ledger_buy_sell(
+        c, underly="BTC", inst_id="BTC-USD-X", open_ts="", close_ts=""
+    )
+    assert sell_u == 2401.5
+    assert abs(float(sell_c) - 0.0301) < 1e-12