Split fee stats by leg and hide LIVE slip.

SIM shows perp/option fees and slip separately; LIVE keeps real exchange fees only with slip forced to zero.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-29 16:37:18 +08:00
parent 8518a207a7
commit 1c75db4a19
8 changed files with 122 additions and 20 deletions
+23 -2
View File
@@ -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_totalSIM 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,
}