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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。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-10-13 11:30:07 +08:00
parent aa8b16ce27
commit dd979d9dd0
7 changed files with 278 additions and 128 deletions
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tests/test_options_pnl_settle.py
+25 -3
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@@ -75,7 +75,7 @@ class SettleClosedPnlTests(unittest.TestCase):
self.assertAlmostEqual(float(s["realized_pnl_usdt"]), expect, places=2)
def test_sim_loss_remaining_minus_fees(self):
"""亏损:剩余权利金U − 手续费U − 初始U(同一式)."""
"""亏损:费先扣进币盈亏,再按用户式折 U(不另扣手续费U)."""
s = settle_closed_pnl(
premium_paid=0.01,
premium_received=0.004,
@@ -85,8 +85,30 @@ class SettleClosedPnlTests(unittest.TestCase):
index_px=2500,
open_index_px=3000,
)
# 0.004*2500 - 0.01*3000 - (0.0001*3000+0.0001*2500) = 10 - 30 - 0.55 = -20.55
self.assertAlmostEqual(float(s["realized_pnl_usdt"]), -20.55, places=2)
# net_coin=-0.0062; U=-0.0062*2500 - 0.01*(3000-2500)=-20.5
self.assertAlmostEqual(float(s["realized_pnl"]), -0.0062, places=8)
self.assertAlmostEqual(float(s["realized_pnl_usdt"]), -20.5, places=2)
def test_resolve_loss_does_not_deduct_fee_again(self):
"""历史币盈亏已含费;resolve 只跑用户式,不再用 open_fee/close_fee 扣第二遍."""
from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
# coin 已是 recv-paid-fees=-0.0062
pnl, src = resolve_true_pnl_usdt_from_trade(
premium_paid=0.01,
premium_received=0.004,
realized_pnl=-0.0062,
open_index_px=3000,
close_index_px=2500,
open_fee=0.0001,
close_fee=0.0001,
premium_ccy="ETH",
)
self.assertEqual(src, "premium_move")
# -0.0062*2500 - 0.01*(3000-2500) = -15.5 - 5 = -20.5
self.assertAlmostEqual(float(pnl), -20.5, places=2)
# 若再扣一遍费会更亏于 -20.5
self.assertGreater(float(pnl), -20.55)
def test_budget_ignored_for_usdt(self):
# budget 不得抬高开仓成本
tests/test_options_review_pnl_freeze.py
+4 -3
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@@ -6,8 +6,8 @@ import unittest
class ReviewLocalSyncFreezeTests(unittest.TestCase):
def test_settled_true_pnl_not_rewritten_on_resync(self):
"""已冻结真盈亏只读;同步不得因桥/指数再改写."""
def test_refresh_recomputes_u_keeps_frozen_qty_px(self):
"""刷新按公式重算U;权利金币/币盈亏/开仓卖回价不变."""
from lib.options.options_db import init_options_tables
from lib.options.options_review_lib import sync_options_from_local_trades
from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
@@ -29,7 +29,7 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
) VALUES (
'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
0.01, 0.02, 0.01, 'BTC',
0, 0, 'closed', 700.0,
0, 0, 'closed', -51.0,
90000.0, 80000.0, 1,
'2026-10-05 05:11:30', '2026-10-07 10:03:53'
)
@@ -41,6 +41,7 @@ class ReviewLocalSyncFreezeTests(unittest.TestCase):
trade = conn.execute(
"SELECT realized_pnl_usdt, open_index_px, close_index_px, pnl_settled, realized_pnl, premium_paid FROM options_trades WHERE id=1"
).fetchone()
# 0.01*80000 - 0.01*(90000-80000)=700;旧错账 -51 被刷新纠正
self.assertAlmostEqual(float(trade["realized_pnl_usdt"]), 700.0, places=2)
self.assertAlmostEqual(float(trade["open_index_px"]), 90000.0, places=2)
self.assertAlmostEqual(float(trade["close_index_px"]), 80000.0, places=2)
tests/test_sim_expiry_coin_pnl.py
+94
View File
@@ -0,0 +1,94 @@
"""模拟盘到期结算:币本位盈亏须用币,不能把 U 实值减权利金币."""
from __future__ import annotations
import sqlite3
import unittest
from lib.options.options_db import init_options_tables
from lib.sim.broker_lib import SimBroker
from lib.sim.db_lib import init_sim_tables
class SimExpiryCoinPnlTests(unittest.TestCase):
def test_coin_expiry_pnl_not_usd_minus_coin(self):
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
init_sim_tables(conn)
# 251001 = 2025-10-01 08:00 UTC 已过期
inst = "BTC-USD-251001-100000-P"
prem = 0.001
sheets = 1.0
ct_mult = 0.01
spot = 90000.0
conn.execute(
"""
INSERT INTO sim_option_positions(
inst_id, side, sheets, entry_px, ct_mult, premium_paid_usdc, updated_at
) VALUES (?,?,?,?,?,?,?)
""",
(inst, "buy", sheets, 0.1, ct_mult, prem, "2025-09-01 10:00:00"),
)
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, strike, sheets, eth_amount,
premium_paid, status, premium_ccy, open_index_px, open_fee,
created_at
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?)
""",
(
inst,
"BTC",
"P",
100000,
int(sheets),
sheets * ct_mult,
prem,
"open",
"BTC",
95000.0,
0.0,
"2025-09-01 10:00:00",
),
)
conn.commit()
class _Proxy:
def __getattr__(self, name):
return getattr(conn, name)
def close(self):
return None
broker = SimBroker(lambda: _Proxy()) # type: ignore[arg-type]
broker._index_px_for_option = lambda *_a, **_k: spot # type: ignore[method-assign]
# 跳过卖回(本测只核币盈亏)
import lib.options.options_spot_bridge_lib as bridge
bridge.sell_residual_after_option_flat = lambda *_a, **_k: {"ok": True, "skipped": True}
# 2025-10-02 UTC
now_ms = 1759363200000
out = broker.settle_expired_option_positions(None, now_ms=now_ms)
self.assertEqual(len(out), 1)
intrinsic_u = 100000.0 - spot # 10000
settle_recv = (intrinsic_u / spot) * sheets * ct_mult
expected_pnl = settle_recv - prem
# 旧 bug: option_expiry_pnl = intrinsic_u*sheets*ct_mult - prem ≈ 99.999
wrong_old = intrinsic_u * sheets * ct_mult - prem
self.assertGreater(abs(wrong_old - expected_pnl), 1.0)
row = conn.execute(
"SELECT premium_received, realized_pnl, close_index_px, status FROM options_trades WHERE id=1"
).fetchone()
self.assertEqual(str(row["status"]), "closed")
self.assertAlmostEqual(float(row["premium_received"]), settle_recv, places=8)
self.assertAlmostEqual(float(row["realized_pnl"]), expected_pnl, places=8)
self.assertAlmostEqual(float(row["close_index_px"]), spot, places=2)
self.assertLess(abs(float(row["realized_pnl"])), 1.0) # 币量级,绝不是 ~100 U
if __name__ == "__main__":
unittest.main()