Files
crypto_okx/tests/test_sim_repair_partial_close_pnl.py
dekun a03c208a5f 修复模拟盘期权历史分批平仓盈亏:用卖平成交重算已平记录。
加载历史前按 sim_option_orders(或钱包流水)合计各批收回,纠正只记最后一笔的旧数据。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-24 21:25:31 +08:00

96 lines
3.3 KiB
Python

"""模拟盘:用分批卖平成交修复已平仓漏计盈亏."""
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 RepairSimPartialClosePnlTests(unittest.TestCase):
def test_repair_sums_two_sell_orders(self):
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
init_sim_tables(conn)
inst = "ETH-USD-260927-2700-P"
# 开仓 228 张,权利金 0.399;旧逻辑只记了第二笔收回 0.2449 → pnl=-0.1541
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, strike, sheets, eth_amount,
open_quote, premium_paid, premium_received, realized_pnl,
status, premium_ccy, created_at, closed_at
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)
""",
(
inst,
"ETH",
"P",
2700,
228,
2.28,
0.175,
0.399,
0.2449,
-0.1541,
"closed",
"ETH",
"2026-09-24 07:09:19",
"2026-09-24 20:59:20",
),
)
# 两笔卖平各 114 张
conn.execute(
"""
INSERT INTO sim_option_orders(
ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
) VALUES (?,?,?,?,?,'filled',?,?)
""",
("sim-a", inst, "sell", 114, 0.12, 114, "2026-09-24 15:00:00"),
)
conn.execute(
"""
INSERT INTO sim_option_orders(
ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
) VALUES (?,?,?,?,?,'filled',?,?)
""",
("sim-b", inst, "sell", 114, 0.1074, 114, "2026-09-24 20:59:10"),
)
conn.commit()
def get_db():
return conn
# SimBroker 每次 close 自己的连接;测试里复用同一 :memory: 需禁止 close
class _Proxy:
def __getattr__(self, name):
return getattr(conn, name)
def close(self):
return None
broker = SimBroker(lambda: _Proxy()) # type: ignore[arg-type]
n = broker.repair_closed_options_pnl_from_sim_orders()
self.assertEqual(n, 1)
row = conn.execute(
"SELECT premium_received, realized_pnl, close_ord_id FROM options_trades WHERE inst_id=?",
(inst,),
).fetchone()
# ct_mult=2.28/228=0.01; recv=114*0.12*0.01 + 114*0.1074*0.01 = 0.1368+0.122436=0.259236
self.assertAlmostEqual(float(row["premium_received"]), 0.259236, places=6)
self.assertAlmostEqual(float(row["realized_pnl"]), 0.259236 - 0.399, places=6)
self.assertIn("sim-a", str(row["close_ord_id"]))
self.assertIn("sim-b", str(row["close_ord_id"]))
# 历史合成应读到修复后的盈亏
hist = broker.option_positions_history_okx_rows(limit=10)
self.assertEqual(len(hist), 1)
self.assertAlmostEqual(float(hist[0]["realizedPnl"]), 0.259236 - 0.399, places=6)
if __name__ == "__main__":
unittest.main()