diff --git a/backend/app/api/stats.py b/backend/app/api/stats.py index 90f0fc0..7732567 100644 --- a/backend/app/api/stats.py +++ b/backend/app/api/stats.py @@ -4,7 +4,9 @@ from typing import Annotated from fastapi import APIRouter, Depends +from ..config import get_settings from ..models.db import get_db +from ..sim.pnl import summarize_fills_pnl from .auth import require_user router = APIRouter(prefix="/api/stats", tags=["stats"]) @@ -13,12 +15,30 @@ router = APIRouter(prefix="/api/stats", tags=["stats"]) @router.get("/summary") async def stats_summary(_user: Annotated[str, Depends(require_user)]) -> dict: db = get_db() + s = get_settings() + mode = "LIVE" if not s.is_sim else "SIM" rows = db.fetchall("SELECT * FROM groups WHERE status='closed'") n = len(rows) wins = sum(1 for r in rows if float(r["realized_pnl"] or 0) > 0) total_pnl = sum(float(r["realized_pnl"] or 0) for r in rows) - total_fees = sum(float(r["fees"] or 0) for r in rows) - total_slip = sum(float(r["slip_cost"] or 0) for r in rows) + + fees_perp = 0.0 + fees_option = 0.0 + total_slip = 0.0 + for r in rows: + fills = db.fetchall( + "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", + (r["group_id"],), + ) + summary = summarize_fills_pnl(list(fills)) + fees_perp += float(summary.get("fees_perp") or 0) + fees_option += float(summary.get("fees_option") or 0) + # LIVE 不展示、不计入滑点；按组成交模式判断（可混有历史 SIM 组） + exec_mode = str(r["exec_mode"] or mode).upper() + if exec_mode != "LIVE": + total_slip += float(summary.get("slip_total") or 0) + + total_fees = fees_perp + fees_option reasons: dict[str, int] = {} for r in rows: k = str(r["close_reason"] or "unknown") @@ -32,12 +52,16 @@ async def stats_summary(_user: Annotated[str, Depends(require_user)]) -> dict: for r in sorted(rows, key=lambda x: int(x["close_at_ms"] or 0)) ] return { + "mode": mode, + "show_slip": mode == "SIM", "groups": n, "wins": wins, "win_rate": (wins / n) if n else 0.0, "total_pnl": total_pnl, + "fees_perp": fees_perp, + "fees_option": fees_option, "total_fees": total_fees, - "total_slip": total_slip, + "total_slip": total_slip if mode == "SIM" else 0.0, "close_reasons": reasons, "equity_curve": curve, } diff --git a/backend/app/live/binance_executor.py b/backend/app/live/binance_executor.py index 85dfda8..e0dca69 100644 --- a/backend/app/live/binance_executor.py +++ b/backend/app/live/binance_executor.py @@ -555,7 +555,7 @@ class BinanceLiveExecutor(Matcher): of_px = float(prev["fill_px"]) of_fee = float(prev["fee"] or 0) of_notional = float(prev["notional"] or (of_px * opt_qty)) - of_slip = float(prev["slip"] or 0) + of_slip = 0.0 # LIVE 不计模拟滑点 else: # 含到期：优先交易所真实平期权；失败且无内在价值时可本地结算 try: @@ -576,12 +576,12 @@ class BinanceLiveExecutor(Matcher): of = option_expiry_settle( intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate ) - of_px, of_fee, of_slip, of_notional = ( + of_px, of_fee, of_notional = ( of.fill_px, of.fee, - of.slip, of.notional, ) + of_slip = 0.0 # LIVE 不计模拟滑点 logger.warning( "expiry option exchange close failed, local settle: %s", e ) @@ -759,9 +759,9 @@ class BinanceLiveExecutor(Matcher): g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,)) base_fees = float((g["fees"] if g else 0) or 0) fees = base_fees + (0.0 if skip_option_cash else of_fee) + pf_fee - slip = float((g["slip_cost"] if g else 0) or 0) + ( - 0.0 if option_fill_already_written else of_slip - ) + # LIVE：真实成交价已含盘口冲击，不另计/不计模拟滑点 + of_slip = 0.0 + slip = 0.0 from ..sim.pnl import summarize_fills_pnl with self.db._lock: diff --git a/backend/app/live/executor.py b/backend/app/live/executor.py index fc65d16..0b67834 100644 --- a/backend/app/live/executor.py +++ b/backend/app/live/executor.py @@ -570,7 +570,7 @@ class OkxLiveExecutor(Matcher): of_px = float(prev["fill_px"]) of_fee = float(prev["fee"] or 0) of_notional = float(prev["notional"] or (of_px * opt_qty)) - of_slip = float(prev["slip"] or 0) + of_slip = 0.0 # LIVE 不计模拟滑点 else: # 含到期：优先交易所真实平期权；失败且无内在价值时可本地结算 try: @@ -593,12 +593,12 @@ class OkxLiveExecutor(Matcher): of = option_expiry_settle( intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate ) - of_px, of_fee, of_slip, of_notional = ( + of_px, of_fee, of_notional = ( of.fill_px, of.fee, - of.slip, of.notional, ) + of_slip = 0.0 # LIVE 不计模拟滑点 logger.warning( "expiry option exchange close failed, local settle: %s", e ) @@ -779,9 +779,9 @@ class OkxLiveExecutor(Matcher): g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,)) base_fees = float((g["fees"] if g else 0) or 0) fees = base_fees + (0.0 if skip_option_cash else of_fee) + pf_fee - slip = float((g["slip_cost"] if g else 0) or 0) + ( - 0.0 if option_fill_already_written else of_slip - ) + # LIVE：真实成交价已含盘口冲击，不另计/不计模拟滑点 + of_slip = 0.0 + slip = 0.0 from ..sim.pnl import summarize_fills_pnl with self.db._lock: diff --git a/backend/app/sim/pnl.py b/backend/app/sim/pnl.py index af2f521..dbc7201 100644 --- a/backend/app/sim/pnl.py +++ b/backend/app/sim/pnl.py @@ -5,13 +5,24 @@ from __future__ import annotations from typing import Any +def _as_map(x: Any) -> dict[str, Any]: + if isinstance(x, dict): + return x + try: + return dict(x) + except Exception: + return {} + + def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]: """ 价差盈亏按 fill_px；手续费另扣。 净盈亏 = 期权盈亏 + 永续盈亏 − 全部手续费（开+平）。 允许只有永续已平、期权尚未结算的半组。 + + 手续费拆：fees_perp / fees_option；滑点合计 slip_total（SIM 记账；LIVE 应为 0）。 """ - rows = [dict(x) for x in fills] + rows = [_as_map(x) for x in fills] opt_open = next( (f for f in rows if f.get("leg") == "option" and f.get("action") == "open"), None, @@ -45,7 +56,14 @@ def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]: else: perp_pnl = (o - c) * qty - fees_total = sum(float(f.get("fee") or 0) for f in rows) + fees_perp = sum( + float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "perp" + ) + fees_option = sum( + float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "option" + ) + fees_total = fees_perp + fees_option + slip_total = sum(float(f.get("slip") or 0) for f in rows) gross = None net = None if option_pnl is not None and perp_pnl is not None: @@ -61,7 +79,10 @@ def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]: return { "option_pnl": option_pnl, "perp_pnl": perp_pnl, + "fees_perp": fees_perp, + "fees_option": fees_option, "fees_total": fees_total, + "slip_total": slip_total, "gross_pnl": gross, "net_pnl": net, } diff --git a/docs/更新说明.md b/docs/更新说明.md index 92dd5fc..64d9dac 100644 --- a/docs/更新说明.md +++ b/docs/更新说明.md @@ -5,6 +5,16 @@ --- +## 2026-07-29 — 统计拆分手续费；LIVE 不展示/不计滑点 + +### 变更 + +1. 统计页：`永续手续费` / `期权手续费` / `手续费合计`；SIM 另列 `滑点合计`。 +2. 交易明细同步拆分手续费；SIM 显示滑点，LIVE 不显示。 +3. LIVE 成交滑点字段强制为 0，不把模拟滑点计入实盘盈亏。 + +--- + ## 2026-07-29 — 到期结算展示：指数 / 行权价 / 内在价值 ### 变更 diff --git a/docs/策略说明.md b/docs/策略说明.md index 54e2f99..7e181fd 100644 --- a/docs/策略说明.md +++ b/docs/策略说明.md @@ -98,7 +98,8 @@ ### 3.4 费用（SIM） - 永续、期权均按可配 `fee_rate`（默认 0.0005）计费。 -- 滑点按约 1 倍费率计入成交价，手续费另扣。 +- **SIM**：滑点按约 1 倍费率计入成交价，手续费另扣；统计拆分「永续手续费 / 期权手续费 / 滑点」。 +- **LIVE**：用交易所真实成交价与真实手续费，**不计、不展示**模拟滑点。 - 开仓现金：支付期权权利金 + 开仓手续费；永续开仓主要扣费。 --- diff --git a/frontend/src/pages/Stats.tsx b/frontend/src/pages/Stats.tsx index a4ce8b1..c403943 100644 --- a/frontend/src/pages/Stats.tsx +++ b/frontend/src/pages/Stats.tsx @@ -3,10 +3,14 @@ import { apiFetch } from "../api/client"; import { closeReasonZh } from "../labels"; type Summary = { + mode?: "SIM" | "LIVE" | string; + show_slip?: boolean; groups: number; wins: number; win_rate: number; total_pnl: number; + fees_perp?: number; + fees_option?: number; total_fees: number; total_slip: number; close_reasons: Record; @@ -26,6 +30,7 @@ export default function StatsPage() { const reasonEntries = s ? Object.entries(s.close_reasons).sort((a, b) => b[1] - a[1]) : []; + const showSlip = s?.show_slip ?? s?.mode !== "LIVE"; return (
@@ -46,11 +51,27 @@ export default function StatsPage() { {s.total_pnl.toFixed(2)}
- 总手续费 / 滑点 + 永续手续费 - {s.total_fees.toFixed(2)} / {s.total_slip.toFixed(2)} + {(s.fees_perp ?? 0).toFixed(4)}
+
+ 期权手续费 + + {(s.fees_option ?? 0).toFixed(4)} + +
+
+ 手续费合计 + {s.total_fees.toFixed(4)} +
+ {showSlip ? ( +
+ 滑点合计 + {s.total_slip.toFixed(4)} +
+ ) : null}
平仓原因 diff --git a/frontend/src/pages/Trades.tsx b/frontend/src/pages/Trades.tsx index e86eddb..c41b6c8 100644 --- a/frontend/src/pages/Trades.tsx +++ b/frontend/src/pages/Trades.tsx @@ -10,7 +10,10 @@ import { type PnlSummary = { option_pnl: number | null; perp_pnl: number | null; + fees_perp?: number; + fees_option?: number; fees_total: number; + slip_total?: number; gross_pnl: number | null; net_pnl: number | null; }; @@ -41,6 +44,7 @@ type Group = { hold_basis?: string | null; strike?: number | null; settle_index_px?: number | null; + exec_mode?: string | null; expiry_settle?: ExpirySettle | null; pnl_summary?: PnlSummary; }; @@ -349,10 +353,31 @@ export default function TradesPage() { {fmt(summary.perp_pnl)}
+
+ 永续手续费 + + {fmt(summary.fees_perp ?? 0, 4)} + +
+
+ 期权手续费 + + {fmt(summary.fees_option ?? 0, 4)} + +
手续费合计 {fmt(summary.fees_total, 4)}
+ {String(selectedGroup.exec_mode || "").toUpperCase() !== + "LIVE" ? ( +
+ 滑点 + + {fmt(summary.slip_total ?? 0, 4)} + +
+ ) : null}
净盈亏（扣费后）