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
@@ -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()