fix复盘真盈亏改为期权币盈亏×平仓价，不再绑卖回与初始权利金差。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-13 12:39:15 +08:00
parent 839baea375
commit fc0d76d174
11 changed files with 98 additions and 211 deletions
@@ -245,7 +245,7 @@ def settle_closed_trades_from_trading_account(
 ) -> int:
    """卖回后:拍 after 快照,并冻结复盘真盈亏.

-    realized_pnl_usdt = (权利金+币盈亏)×卖回VWAP − 初始权利金U;
+    realized_pnl_usdt = 期权币盈亏×平仓价(卖回VWAP优先);
    不含现货多买.账户 after 仅审计.已 pnl_settled=1 的行永不改写.
    """
    from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
@@ -505,26 +505,20 @@ def close_option_by_bid1(
                            row_open_idx = float(bv)
                    except Exception:
                        pass
-                row_pc = str(row["premium_ccy"] or row_ccy or premium_ccy or "").strip().upper()
                settled = settle_closed_pnl(
                    premium_paid=paid,
                    premium_received=recv,
                    open_fee=row_ofee,
                    close_fee=row_cfee,
-                    premium_ccy=row_pc or premium_ccy,
+                    premium_ccy=str(row["premium_ccy"] or row_ccy or premium_ccy),
                    index_px=close_idx,
                    open_index_px=row_open_idx,
                    budget_usdt=row_budget,
                    fee_ccy=str(row["fee_ccy"] or row["premium_ccy"] or row_ccy or ""),
                )
                pnl = settled.get("realized_pnl")
-                # BTC/ETH:币盈亏可落库;真盈亏U与平仓价等卖回VWAP,禁止用指数占位
-                if row_pc in ("ETH", "BTC"):
-                    pnl_usdt = None
-                    close_px_store = None
-                else:
-                    pnl_usdt = settled.get("realized_pnl_usdt")
-                    close_px_store = settled.get("close_index_px")
+                # 真盈亏U=期权币盈亏×平仓价
+                pnl_usdt = settled.get("realized_pnl_usdt")
                note_sql = ""

                # 占位: close_quote/recv/pnl/ord/closed_at/open_fee/close_fee/fee_ccy/close_idx/open_idx/pnl_u/[note]/id
@@ -537,7 +531,7 @@ def close_option_by_bid1(
                    row_ofee,
                    row_cfee,
                    str(row["premium_ccy"] or row_ccy or premium_ccy or ""),
-                    close_px_store,
+                    settled.get("close_index_px"),
                    settled.get("open_index_px") or row_open_idx,
                    pnl_usdt,
                ]
@@ -403,14 +403,7 @@ def sync_open_options_trades(
                fee_ccy=fee_ccy,
            )
        realized_pnl = settled.get("realized_pnl")
-        # BTC/ETH:真盈亏U与平仓价等卖回VWAP,禁止用指数占位
-        pc = str(prem_ccy or "").strip().upper()
-        if pc in ("ETH", "BTC"):
-            pnl_usdt = None
-            close_px_store = None
-        else:
-            pnl_usdt = settled.get("realized_pnl_usdt")
-            close_px_store = settled.get("close_index_px")
+        pnl_usdt = settled.get("realized_pnl_usdt")

        conn.execute(
            """
@@ -438,7 +431,7 @@ def sync_open_options_trades(
                realized_pnl,
                close_ord_id,
                closed_at,
-                close_px_store,
+                settled.get("close_index_px"),
                settled.get("open_index_px"),
                pnl_usdt,
                prem_ccy,
@@ -177,33 +177,22 @@ def fee_to_usdt(
 def true_pnl_usdt_premium_move(
    *,
    coin_pnl: Any,
-    premium_paid: Any,
-    sell_back_px: Any,
+    premium_paid: Any = None,
+    sell_back_px: Any = None,
    initial_premium_usdt: Any = None,
    open_index_px: Any = None,
 ) -> float | None:
-    """复盘真盈亏(U):币本位×卖回价 − 初始权利金U.
+    """复盘真盈亏(U)=期权历史币盈亏×平仓价.

-    币本位 = 权利金 + 币盈亏
-    真盈亏U = 币本位 × 卖回VWAP − 初始权利金U
-    初始权利金U 优先用开仓冻结值;缺失时才用 权利金×开仓价 补算.
-    现货多买数量不进公式(只影响均价).
+    平仓价优先卖回 VWAP,否则用冻结/传入的 close 价.
+    premium_paid / initial_premium_usdt / open_index_px 仅兼容旧调用,不参与计算.
    """
+    del premium_paid, initial_premium_usdt, open_index_px
    pnl = _safe_float(coin_pnl)
-    paid = _safe_float(premium_paid)
    close_px = _safe_float(sell_back_px)
-    if pnl is None or paid is None:
+    if pnl is None or close_px is None or close_px <= 0:
        return None
-    if close_px is None or close_px <= 0:
-        return None
-    initial = _safe_float(initial_premium_usdt)
-    if initial is None:
-        open_px = _safe_float(open_index_px)
-        if open_px is None or open_px <= 0:
-            return None
-        initial = float(paid) * float(open_px)
-    coin_basis = float(paid) + float(pnl)
-    return round(coin_basis * float(close_px) - float(initial), 4)
+    return round(float(pnl) * float(close_px), 4)


 def resolve_spot_vwap_prices(
@@ -213,18 +202,17 @@ def resolve_spot_vwap_prices(
    open_index_px: Any = None,
    close_index_px: Any = None,
 ) -> tuple[float | None, float | None, str]:
-    """开仓价/卖回价解析.
+    """开仓价/平仓价解析(期权盈亏折U用).

-    开仓价:优先已冻结 open_index_px,缺失才补桥买 VWAP(不覆盖已冻值).
-    卖回价:有桥时只认 close_sell VWAP;桥未关→pending_sell;已关无卖回→missing.
-    无桥时 close_index_px 视为调用方传入的卖回价(测试/无现货桥).
+    平仓价:桥上卖回 VWAP > 冻结 close_index_px > 开仓价.
+    桥未关不再阻断折U(现货卖回与期权盈亏脱钩).

    返回 (open_px, close_px, gate):
-      gate='' 可算; 'pending_sell' 卖回未完成; 'missing' 缺价
+      gate='' 可算; 'missing' 缺价
    """
    open_px = _safe_float(open_index_px)
    close_hint = _safe_float(close_index_px)
-    close_px: float | None = None
+    close_px = close_hint
    bid = None
    try:
        if bridge_id is not None and str(bridge_id).strip() != "":
@@ -234,40 +222,23 @@ def resolve_spot_vwap_prices(
    if conn is not None and bid is not None:
        try:
            from lib.options.options_spot_bridge_lib import (
-                BRIDGE_CLOSED,
                bridge_buy_vwap,
                bridge_sell_vwap,
                ensure_bridge_table,
            )

            ensure_bridge_table(conn)
-            row = conn.execute(
-                "SELECT status FROM options_spot_bridge WHERE id=?",
-                (bid,),
-            ).fetchone()
-            if row is None:
-                # 桥记录不存在:按无桥处理,close_index 视为调用方卖回价
-                close_px = close_hint
-            else:
-                if open_px is None or open_px <= 0:
-                    bv = bridge_buy_vwap(conn, bid)
-                    if bv is not None and bv > 0:
-                        open_px = bv
-                st = str(
-                    row["status"] if hasattr(row, "keys") else (row[0] if row else "") or ""
-                )
-                if st and st != BRIDGE_CLOSED:
-                    return open_px, None, "pending_sell"
-                sv = bridge_sell_vwap(conn, bid)
-                if sv is not None and sv > 0:
-                    close_px = sv
-                else:
-                    # 有桥却无卖回成交:禁止用指数/旧 close_index 冒充
-                    return open_px, None, "missing"
+            if open_px is None or open_px <= 0:
+                bv = bridge_buy_vwap(conn, bid)
+                if bv is not None and bv > 0:
+                    open_px = bv
+            sv = bridge_sell_vwap(conn, bid)
+            if sv is not None and sv > 0:
+                close_px = sv
        except Exception:
            pass
-    else:
-        close_px = close_hint
+    if close_px is None or close_px <= 0:
+        close_px = open_px
    if close_px is None or close_px <= 0:
        return open_px, close_px, "missing"
    return open_px, close_px, ""
@@ -288,11 +259,11 @@ def resolve_true_pnl_usdt_from_trade(
    conn: Any = None,
    bridge_id: Any = None,
 ) -> tuple[float | None, str]:
-    """由成交字段算复盘真盈亏: (权利金+币盈亏)×卖回价 − 初始权利金U.
+    """由成交字段算复盘真盈亏: 期权币盈亏×平仓价.

-    返回 (pnl_u, source): premium_move | stable | pending_sell | none
+    返回 (pnl_u, source): premium_move | stable | none
    """
-    del fee_ccy
+    del fee_ccy, initial_premium_usdt
    pc = str(premium_ccy or "").strip().upper()
    paid = _safe_float(premium_paid)
    recv = _safe_float(premium_received)
@@ -308,20 +279,17 @@ def resolve_true_pnl_usdt_from_trade(
            return round(float(coin), 4), "stable"
        return None, "none"

-    open_px, close_px, gate = resolve_spot_vwap_prices(
+    _open_px, close_px, gate = resolve_spot_vwap_prices(
        conn,
        bridge_id=bridge_id,
        open_index_px=open_index_px,
        close_index_px=close_index_px,
    )
-    if gate == "pending_sell":
-        return None, "pending_sell"
+    if gate == "missing":
+        return None, "none"
    usdt = true_pnl_usdt_premium_move(
        coin_pnl=coin,
-        premium_paid=paid,
        sell_back_px=close_px,
-        initial_premium_usdt=initial_premium_usdt,
-        open_index_px=open_px,
    )
    if usdt is not None:
        return usdt, "premium_move"
@@ -339,10 +307,10 @@ def settle_sim_coin_pnl_usdt(
    fee_ccy: str | None = None,
    premium_ccy: str = "ETH",
 ) -> dict[str, float | None]:
-    """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).
+    """由毛权利金生成净币盈亏,再按期权盈亏折 U(费只扣进币盈亏一次).

    币盈亏 = 收回 − 已付 − 开/平手续费
-    真盈亏U = (权利金+币盈亏)×卖回价 − 初始权利金U
+    真盈亏U = 币盈亏 × 平仓价
    """
    del fee_ccy
    paid = float(_safe_float(premium_paid) or 0.0)
@@ -357,33 +325,39 @@ def settle_sim_coin_pnl_usdt(
        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:
+    if sell_px is None or sell_px <= 0:
        return {
            "realized_pnl": net_coin,
-            "close_index_px": float(sell_px) if sell_px is not None and sell_px > 0 else None,
+            "close_index_px": None,
            "open_index_px": float(open_idx) if open_idx is not None and open_idx > 0 else None,
            "realized_pnl_usdt": None,
            "total_fee": round(ofee + cfee, 8),
-            "initial_premium_usdt": None,
+            "initial_premium_usdt": (
+                round(float(paid) * float(open_idx), 4)
+                if open_idx is not None and open_idx > 0 and paid > 0
+                else None
+            ),
            "proceeds_usdt": None,
            "fee_usdt": fee_u,
            "premium_ccy": str(premium_ccy or "").strip().upper() or "ETH",
        }
-    initial_u = float(paid) * float(open_idx)
+    initial_u = (
+        float(paid) * float(open_idx)
+        if open_idx is not None and open_idx > 0
+        else None
+    )
    proceeds_u = float(recv) * float(sell_px)
    pnl_u = true_pnl_usdt_premium_move(
        coin_pnl=net_coin,
-        premium_paid=paid,
        sell_back_px=sell_px,
-        initial_premium_usdt=initial_u,
    )
    return {
        "realized_pnl": net_coin,
        "close_index_px": float(sell_px),
-        "open_index_px": float(open_idx),
+        "open_index_px": float(open_idx) if open_idx is not None and open_idx > 0 else None,
        "realized_pnl_usdt": pnl_u,
        "total_fee": round(ofee + cfee, 8),
-        "initial_premium_usdt": round(initial_u, 4),
+        "initial_premium_usdt": round(initial_u, 4) if initial_u is not None else None,
        "proceeds_usdt": round(proceeds_u, 4),
        "fee_usdt": fee_u,
        "premium_ccy": str(premium_ccy or "").strip().upper() or "ETH",
@@ -406,9 +380,7 @@ def settle_closed_pnl(
    由「毛权利金」结算.
    币数量净盈亏 = 收回 − 已付 − 开/平手续费(只扣一次).

-    币本位 U:
-      (权利金+币盈亏)×卖回价 − 初始权利金U
-      (开仓价缺失时回退为净币×卖回价;币量不含现货多余仓)
+    币本位 U: 净币盈亏×平仓价(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.
@@ -428,8 +400,8 @@ def settle_closed_pnl(
    if pc in ("ETH", "BTC"):
        open_idx = _safe_float(open_index_px)
        sell_px = _safe_float(index_px)
-        if open_idx is not None and open_idx > 0 and sell_px is not None and sell_px > 0:
-            out = settle_sim_coin_pnl_usdt(
+        if sell_px is not None and sell_px > 0:
+            return settle_sim_coin_pnl_usdt(
                premium_paid=paid,
                premium_received=recv,
                open_fee=ofee,
@@ -439,8 +411,6 @@ def settle_closed_pnl(
                fee_ccy=fee_ccy,
                premium_ccy=pc,
            )
-            return out
-        # 无开仓指数:回退净币×平仓价
        return freeze_pnl_to_usdt(
            net,
            premium_ccy=pc,
@@ -607,10 +607,7 @@ def sync_options_from_local_trades(
            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"):
+        if pnl_u is not None and pnl_src not in ("none", "pending_sell"):
            try:
                # 卖回 VWAP 写入 close;开仓价/初始权利金仅缺省时补
                heal_initial = stored_initial
@@ -229,7 +229,7 @@
            <span class="or-step" aria-hidden="true">1</span>
            <div>
                <div class="or-section-title" id="or-list-title">期权交易记录</div>
-                <p class="or-section-desc">真盈亏=历史币盈亏×卖回价 − 权利金×(开仓价−卖回价)；开/卖回价为多笔 VWAP。卖回未完标「待卖回」，缺价标「缺价未核」。期权历史仅记币收益。</p>
+                <p class="or-section-desc">真盈亏=期权历史币盈亏×平仓价（有卖回 VWAP 优先，否则用冻结平仓价）。缺价标「缺价未核」。期权历史仅记币收益。</p>
            </div>
        </div>
        <div class="options-strike-table-wrap or-trades-table-wrap" id="or-trades-wrap">
@@ -239,7 +239,7 @@
                        <th>类型</th>
                        <th>标的/合约</th>
                        <th>初始权利金</th>
-                        <th title="币盈亏×卖回价 − 权利金×(开仓价−卖回价)">真盈亏</th>
+                        <th title="期权历史币盈亏×平仓价">真盈亏</th>
                        <th>盈利率</th>
                        <th title="仅期权开/平手续费">手续费</th>
                        <th>开仓时间</th>