dekun
a03c208a5f
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>
96 lines
3.3 KiB
Python
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."""
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from __future__ import annotations
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import sqlite3
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import unittest
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from lib.options.options_db import init_options_tables
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from lib.sim.broker_lib import SimBroker
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from lib.sim.db_lib import init_sim_tables
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class RepairSimPartialClosePnlTests(unittest.TestCase):
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def test_repair_sums_two_sell_orders(self):
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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init_sim_tables(conn)
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inst = "ETH-USD-260927-2700-P"
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# 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
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conn.execute(
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"""
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INSERT INTO options_trades(
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inst_id, underlying, opt_type, strike, sheets, eth_amount,
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open_quote, premium_paid, premium_received, realized_pnl,
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status, premium_ccy, created_at, closed_at
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)
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""",
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(
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inst,
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"ETH",
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"P",
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2700,
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228,
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2.28,
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0.175,
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0.399,
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0.2449,
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-0.1541,
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"closed",
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"ETH",
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"2026-09-24 07:09:19",
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"2026-09-24 20:59:20",
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),
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)
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# 两笔卖平各 114 张
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conn.execute(
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"""
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INSERT INTO sim_option_orders(
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ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
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) VALUES (?,?,?,?,?,'filled',?,?)
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""",
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("sim-a", inst, "sell", 114, 0.12, 114, "2026-09-24 15:00:00"),
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)
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conn.execute(
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"""
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INSERT INTO sim_option_orders(
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ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
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) VALUES (?,?,?,?,?,'filled',?,?)
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""",
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("sim-b", inst, "sell", 114, 0.1074, 114, "2026-09-24 20:59:10"),
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)
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conn.commit()
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def get_db():
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return conn
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# SimBroker 每次 close 自己的连接;测试里复用同一 :memory: 需禁止 close
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class _Proxy:
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def __getattr__(self, name):
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return getattr(conn, name)
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def close(self):
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return None
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broker = SimBroker(lambda: _Proxy()) # type: ignore[arg-type]
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n = broker.repair_closed_options_pnl_from_sim_orders()
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self.assertEqual(n, 1)
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row = conn.execute(
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"SELECT premium_received, realized_pnl, close_ord_id FROM options_trades WHERE inst_id=?",
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(inst,),
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).fetchone()
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# ct_mult=2.28/228=0.01; recv=114*0.12*0.01 + 114*0.1074*0.01 = 0.1368+0.122436=0.259236
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self.assertAlmostEqual(float(row["premium_received"]), 0.259236, places=6)
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self.assertAlmostEqual(float(row["realized_pnl"]), 0.259236 - 0.399, places=6)
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self.assertIn("sim-a", str(row["close_ord_id"]))
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self.assertIn("sim-b", str(row["close_ord_id"]))
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# 历史合成应读到修复后的盈亏
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hist = broker.option_positions_history_okx_rows(limit=10)
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self.assertEqual(len(hist), 1)
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self.assertAlmostEqual(float(hist[0]["realizedPnl"]), 0.259236 - 0.399, places=6)
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if __name__ == "__main__":
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unittest.main()
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