fix真盈亏只认历史币盈亏不再另扣费，刷新按固定量价重算；修模拟到期币盈亏。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-13 11:30:07 +08:00
parent aa8b16ce27
commit dd979d9dd0
7 changed files with 278 additions and 128 deletions
@@ -181,14 +181,15 @@ def true_pnl_usdt_premium_move(
    open_index_px: Any,
    sell_back_px: Any,
 ) -> float | None:
-    """复盘真盈亏(U):计入权利金 USDT 波动,忽略现货多买.
+    """复盘真盈亏(U):计入权利金 USDT 波动;现货多买数量不进公式.

    真盈亏 = 期权历史盈亏(币)×平仓卖回价
            − (权利金×开仓价 − 权利金×平仓卖回价)
           = 历史币盈亏×卖回价 − 权利金×(开仓价 − 卖回价)

-    无手续费时等价于: 收回×卖回价 − 已付×开仓价.
-    币盈亏须已含期权开/平手续费(与期权历史同口径).
+    币量=期权腿(realized_pnl / premium_paid);价=买卖 VWAP.
+    无手续费时 ≡ 期权收回权利金×卖回价 − 权利金×开仓价
+    (收回≠账户卖掉的全部现货;多余仓只影响均价).
    """
    pnl = _safe_float(coin_pnl)
    paid = _safe_float(premium_paid)
@@ -274,12 +275,13 @@ def resolve_true_pnl_usdt_from_trade(

    返回 (pnl_u, source): premium_move | stable | pending_sell | none
    """
-    del fee_ccy  # 费率折 U 已体现在历史币盈亏里;本函数不重扣
+    del fee_ccy
    pc = str(premium_ccy or "").strip().upper()
    paid = _safe_float(premium_paid)
    recv = _safe_float(premium_received)
    ofee = abs(float(_safe_float(open_fee) or 0.0))
    cfee = abs(float(_safe_float(close_fee) or 0.0))
+    # 期权历史币盈亏已含开/平手续费;真盈亏不再另扣费
    coin = _safe_float(realized_pnl)
    if coin is None and paid is not None and recv is not None:
        coin = round(float(recv) - float(paid) - ofee - cfee, 8)
@@ -297,7 +299,7 @@ def resolve_true_pnl_usdt_from_trade(
    )
    if gate == "pending_sell":
        return None, "pending_sell"
-    # 优先严格按用户式:历史币盈亏×卖回价 − 权利金×(开仓价−卖回价)
+    # 只用:历史币盈亏×卖回价 − 权利金×(开仓价−卖回价)
    usdt = true_pnl_usdt_premium_move(
        coin_pnl=coin,
        premium_paid=paid,
@@ -306,28 +308,6 @@ def resolve_true_pnl_usdt_from_trade(
    )
    if usdt is not None:
        return usdt, "premium_move"
-
-    # 无历史币盈亏时回退收回/已付精确折 U
-    if (
-        paid is not None
-        and recv is not None
-        and open_px is not None
-        and open_px > 0
-        and close_px is not None
-        and close_px > 0
-    ):
-        settled = settle_sim_coin_pnl_usdt(
-            premium_paid=paid,
-            premium_received=recv,
-            open_fee=ofee,
-            close_fee=cfee,
-            open_index_px=open_px,
-            sell_back_px=close_px,
-            premium_ccy=pc,
-        )
-        usdt2 = _safe_float(settled.get("realized_pnl_usdt"))
-        if usdt2 is not None:
-            return usdt2, "premium_move"
    return None, "none"


@@ -342,14 +322,13 @@ def settle_sim_coin_pnl_usdt(
    fee_ccy: str | None = None,
    premium_ccy: str = "ETH",
 ) -> dict[str, float | None]:
-    """币本位真盈亏(U):含权利金 USDT 波动,不含现货多买.
+    """由毛权利金生成净币盈亏,再按用户式折 U(费只扣进币盈亏一次).

-    = 历史币盈亏×卖回价 − (权利金×开仓价 − 权利金×卖回价)
-    = 收回币×卖回价 − 已付币×开仓指数 − 手续费U
-
-    不用买币预算当成本(预算含缓冲).
+    币盈亏 = 收回 − 已付 − 开/平手续费
+    真盈亏U = 币盈亏×卖回价 − 权利金×(开仓价−卖回价)
+    不再用「毛收回折U后再减手续费U」(避免与历史币盈亏口径两套算法).
    """
-    del fee_ccy  # 手续费按权利金币种折 U
+    del fee_ccy
    paid = float(_safe_float(premium_paid) or 0.0)
    recv = float(_safe_float(premium_received) or 0.0)
    ofee = abs(float(_safe_float(open_fee) or 0.0))
@@ -357,6 +336,11 @@ def settle_sim_coin_pnl_usdt(
    open_idx = _safe_float(open_index_px)
    sell_px = _safe_float(sell_back_px)
    net_coin = round(recv - paid - ofee - cfee, 8)
+    fee_u = None
+    if open_idx is not None and open_idx > 0 and sell_px is not None and sell_px > 0:
+        fee_u = round(ofee * float(open_idx) + cfee * float(sell_px), 4)
+    elif sell_px is not None and sell_px > 0 and (ofee > 0 or cfee > 0):
+        fee_u = round((ofee + cfee) * float(sell_px), 4)
    if open_idx is None or open_idx <= 0 or sell_px is None or sell_px <= 0:
        return {
            "realized_pnl": net_coin,
@@ -366,13 +350,17 @@ def settle_sim_coin_pnl_usdt(
            "total_fee": round(ofee + cfee, 8),
            "initial_premium_usdt": None,
            "proceeds_usdt": None,
+            "fee_usdt": fee_u,
+            "premium_ccy": str(premium_ccy or "").strip().upper() or "ETH",
        }
-    # 权利金btc+盈利btc = 平仓收回币
-    proceeds_u = float(recv) * float(sell_px)
    initial_u = float(paid) * float(open_idx)
-    # 开仓费按开仓指数、平仓费按卖回价折 U
-    fee_u = ofee * float(open_idx) + cfee * float(sell_px)
-    pnl_u = round(proceeds_u - initial_u - fee_u, 4)
+    proceeds_u = float(recv) * float(sell_px)
+    pnl_u = true_pnl_usdt_premium_move(
+        coin_pnl=net_coin,
+        premium_paid=paid,
+        open_index_px=open_idx,
+        sell_back_px=sell_px,
+    )
    return {
        "realized_pnl": net_coin,
        "close_index_px": float(sell_px),
@@ -381,7 +369,7 @@ def settle_sim_coin_pnl_usdt(
        "total_fee": round(ofee + cfee, 8),
        "initial_premium_usdt": round(initial_u, 4),
        "proceeds_usdt": round(proceeds_u, 4),
-        "fee_usdt": round(fee_u, 4),
+        "fee_usdt": fee_u,
        "premium_ccy": str(premium_ccy or "").strip().upper() or "ETH",
    }

@@ -403,8 +391,8 @@ def settle_closed_pnl(
    币数量净盈亏 = 收回 − 已付 − 开/平手续费(只扣一次).

    币本位 U:
-      收回×卖回价(index_px) − 已付×开仓指数 − 手续费U
-      (开仓指数缺失时回退为净币×平仓指数)
+      期权收回权利金×卖回价 − 权利金×开仓价 − 手续费U
+      (开仓价缺失时回退为净币×卖回价;币量不含现货多余仓)
    USDC: 净额原样为 U.

    注意:不要用 budget_usdt 当开仓成本——它含现货买入缓冲.
@@ -555,11 +555,6 @@ def sync_options_from_local_trades(
        ccy = str(r["premium_ccy"] or "").strip().upper()
        if not ccy:
            ccy = premium_ccy_for_mode(margin_mode_from_inst_id(inst), underly)
-        frozen_usdt = _safe_float(r["realized_pnl_usdt"])
-        try:
-            settled = int(r["pnl_settled"] or 0) == 1
-        except Exception:
-            settled = False
        close_idx = _safe_float(r["close_index_px"])
        open_idx = _safe_float(r["open_index_px"])
        idx = None
@@ -580,60 +575,67 @@ def sync_options_from_local_trades(
            close_fee=cfee,
            premium_ccy=ccy,
        )
-        # 权利金币量/币盈亏固定;开仓价与卖回价各自冻一次后真盈亏只读
+        # 权利金币量/币盈亏/已冻均价不变;刷新时按公式重算真盈亏U
        open_idx_for_prem = open_idx if (open_idx is not None and open_idx > 0) else idx
        sell_idx = close_idx if (close_idx is not None and close_idx > 0) else None
-        from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
+        from lib.options.options_pnl_settle_lib import (
+            resolve_spot_vwap_prices,
+            resolve_true_pnl_usdt_from_trade,
+        )

        status_label = "已平"
        pnl_u = None
-        if settled and frozen_usdt is not None:
-            # 已冻结:只读展示,禁止同步反复改写
-            pnl_u = round(float(frozen_usdt), 4)
-        else:
-            pnl_u, pnl_src = resolve_true_pnl_usdt_from_trade(
-                premium_paid=prem,
-                premium_received=r["premium_received"],
-                realized_pnl=r["realized_pnl"],
-                open_index_px=open_idx if (open_idx is not None and open_idx > 0) else None,
-                close_index_px=sell_idx,
-                open_fee=ofee,
-                close_fee=cfee,
-                premium_ccy=ccy,
-                fee_ccy=str(r["premium_ccy"] or ccy or ""),
-                conn=conn,
-                bridge_id=r["bridge_id"],
-            )
-            if pnl_src == "pending_sell":
-                status_label = "待卖回"
-                pnl_u = None
-            elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
-                # 未冻结且可算:只写一次
-                try:
-                    from lib.options.options_pnl_settle_lib import resolve_spot_vwap_prices
-
+        # 价已冻则只用库内价;缺价才问桥 VWAP(避免刷新改均价)
+        prices_frozen = (
+            open_idx is not None
+            and open_idx > 0
+            and sell_idx is not None
+            and sell_idx > 0
+        )
+        use_bridge = None if prices_frozen else r["bridge_id"]
+        pnl_u, pnl_src = resolve_true_pnl_usdt_from_trade(
+            premium_paid=prem,
+            premium_received=r["premium_received"],
+            realized_pnl=r["realized_pnl"],
+            open_index_px=open_idx if (open_idx is not None and open_idx > 0) else None,
+            close_index_px=sell_idx,
+            open_fee=ofee,
+            close_fee=cfee,
+            premium_ccy=ccy,
+            fee_ccy=str(r["premium_ccy"] or ccy or ""),
+            conn=conn if use_bridge is not None else None,
+            bridge_id=use_bridge,
+        )
+        if pnl_src == "pending_sell":
+            status_label = "待卖回"
+            pnl_u = None
+        elif pnl_u is not None and pnl_src not in ("none", "pending_sell"):
+            try:
+                opx, cpx = open_idx, sell_idx
+                if not prices_frozen:
                    opx, cpx, _g = resolve_spot_vwap_prices(
                        conn,
                        bridge_id=r["bridge_id"],
                        open_index_px=open_idx,
                        close_index_px=sell_idx,
                    )
-                    conn.execute(
-                        """
-                        UPDATE options_trades
-                        SET realized_pnl_usdt = ?,
-                            open_index_px = COALESCE(open_index_px, ?),
-                            close_index_px = COALESCE(?, close_index_px),
-                            pnl_settled = 1
-                        WHERE id = ? AND COALESCE(pnl_settled, 0)=0
-                        """,
-                        (pnl_u, opx, cpx, trade_id),
-                    )
-                except Exception:
-                    pass
-            else:
-                status_label = "缺价未核"
-                pnl_u = None
+                # 真盈亏U每次刷新按固定量+价重算;均价只补缺不覆盖
+                conn.execute(
+                    """
+                    UPDATE options_trades
+                    SET realized_pnl_usdt = ?,
+                        open_index_px = COALESCE(open_index_px, ?),
+                        close_index_px = COALESCE(close_index_px, ?),
+                        pnl_settled = 1
+                    WHERE id = ?
+                    """,
+                    (pnl_u, opx, cpx, trade_id),
+                )
+            except Exception:
+                pass
+        else:
+            status_label = "缺价未核"
+            pnl_u = None
        # 初始权利金(U)=开仓指数×权利金币量;不含多买
        stored_initial = _safe_float(r["initial_premium_usdt"])
        prem_u = stored_initial
@@ -641,6 +643,7 @@ def sync_options_from_local_trades(
            prem_u = _to_usdt(prem, ccy=ccy, idx=open_idx_for_prem)
        if ccy in ("ETH", "BTC") and prem_u is None:
            prem_u = prem
+        # 手续费列仅展示(已含在历史币盈亏内,真盈亏不再扣)
        fee_u = None
        if ccy in ("ETH", "BTC"):
            fee_parts = 0.0
@@ -790,47 +790,88 @@ class SimBroker:

            prem_ccy = _premium_ccy_for_inst(inst_id)
            # 币本位到期兑付用币数量: 实值/指数 × 张数 × 乘数
+            # 注意: option_expiry_pnl 的 intrinsic 是 U,减权利金时币本位不能直接用
            if prem_ccy in ("ETH", "BTC") and float(spot) > 0:
                settle_recv = round(
                    max(0.0, (intrinsic_u / float(spot)) * sheets * ct_mult),
                    8,
                )
+                # 币盈亏 = 兑付币 − 仓位权利金币(与 options_trades.premium_paid 同口径)
+                pnl = round(float(settle_recv) - float(prem), 8)
+            else:
+                settle_recv = round(max(0.0, prem + pnl), 4)
+                pnl = round(float(pnl), 4)

            conn = self.get_db()
            try:
                conn.execute("DELETE FROM sim_option_positions WHERE inst_id=?", (inst_id,))
                try:
                    closed_at = _now()
-                    open_ids = [
-                        int(r["id"])
-                        for r in conn.execute(
-                            "SELECT id FROM options_trades WHERE inst_id=? AND status='open'",
-                            (inst_id,),
-                        ).fetchall()
-                    ]
-                    conn.execute(
+                    open_rows = conn.execute(
                        """
-                        UPDATE options_trades
-                        SET status = 'closed',
-                            close_quote = ?,
-                            premium_received = ?,
-                            realized_pnl = ?,
-                            closed_at = COALESCE(closed_at, ?),
-                            signal_note = CASE
-                                WHEN signal_note IS NULL OR TRIM(signal_note) = ''
-                                THEN '到期结算'
-                                ELSE signal_note
-                            END
-                        WHERE inst_id = ? AND status = 'open'
+                        SELECT id, premium_paid, open_fee, close_fee
+                        FROM options_trades
+                        WHERE inst_id=? AND status='open'
                        """,
-                        (
-                            round(intrinsic_u, 6),
-                            settle_recv,
-                            round(pnl, 4),
-                            closed_at,
-                            inst_id,
-                        ),
-                    )
+                        (inst_id,),
+                    ).fetchall()
+                    open_ids = [int(r["id"]) for r in open_rows]
+                    total_paid = 0.0
+                    for r in open_rows:
+                        try:
+                            total_paid += float(r["premium_paid"] or 0)
+                        except (TypeError, ValueError):
+                            pass
+                    n_open = len(open_rows) or 1
+                    for r in open_rows:
+                        paid_i = 0.0
+                        try:
+                            paid_i = float(r["premium_paid"] or 0)
+                        except (TypeError, ValueError):
+                            paid_i = 0.0
+                        ofee_i = 0.0
+                        try:
+                            ofee_i = abs(float(r["open_fee"] or 0))
+                        except (TypeError, ValueError):
+                            ofee_i = 0.0
+                        # 多笔开仓按权利金占比拆兑付;单笔拿全部
+                        if n_open == 1:
+                            recv_i = float(settle_recv)
+                        elif total_paid > 1e-12:
+                            recv_i = float(settle_recv) * (paid_i / total_paid)
+                        else:
+                            recv_i = float(settle_recv) / float(n_open)
+                        if prem_ccy in ("ETH", "BTC"):
+                            recv_i = round(recv_i, 8)
+                            pnl_i = round(recv_i - paid_i - ofee_i, 8)
+                        else:
+                            recv_i = round(recv_i, 4)
+                            pnl_i = round(recv_i - paid_i - ofee_i, 4)
+                        conn.execute(
+                            """
+                            UPDATE options_trades
+                            SET status = 'closed',
+                                close_quote = ?,
+                                premium_received = ?,
+                                realized_pnl = ?,
+                                close_index_px = COALESCE(close_index_px, ?),
+                                closed_at = COALESCE(closed_at, ?),
+                                signal_note = CASE
+                                    WHEN signal_note IS NULL OR TRIM(signal_note) = ''
+                                    THEN '到期结算'
+                                    ELSE signal_note
+                                END
+                            WHERE id = ? AND status = 'open'
+                            """,
+                            (
+                                round(intrinsic_u, 6),
+                                recv_i,
+                                pnl_i,
+                                float(spot),
+                                closed_at,
+                                int(r["id"]),
+                            ),
+                        )
                    if open_ids:
                        from lib.options.options_notify_lib import (
                            active_options_notify_cfg,