Implement dual target-close paths and residual option expiry.

Document and enforce: A full dual-leg close, B perp-only when deep OTM with residual archive that does not block next open, and expiry settlement when target is missed. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-26 18:32:05 +08:00
parent 96e8e5cb70
commit 4994aaab16
14 changed files with 595 additions and 118 deletions
@@ -0,0 +1,67 @@
+"""从成交明细汇总腿盈亏与净盈亏。"""
+
+from __future__ import annotations
+
+from typing import Any
+
+
+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。
+    """
+    rows = [dict(x) for x in fills]
+    opt_open = next(
+        (f for f in rows if f.get("leg") == "option" and f.get("action") == "open"),
+        None,
+    )
+    opt_close = next(
+        (f for f in rows if f.get("leg") == "option" and f.get("action") == "close"),
+        None,
+    )
+    perp_open = next(
+        (f for f in rows if f.get("leg") == "perp" and f.get("action") == "open"),
+        None,
+    )
+    perp_close = next(
+        (f for f in rows if f.get("leg") == "perp" and f.get("action") == "close"),
+        None,
+    )
+
+    option_pnl: float | None = None
+    if opt_open and opt_close:
+        qty = float(opt_open.get("qty_eth") or opt_close.get("qty_eth") or 0)
+        option_pnl = (float(opt_close["fill_px"]) - float(opt_open["fill_px"])) * qty
+
+    perp_pnl: float | None = None
+    if perp_open and perp_close:
+        qty = float(perp_open.get("qty_eth") or perp_close.get("qty_eth") or 0)
+        side = str(perp_open.get("side") or "")
+        o = float(perp_open["fill_px"])
+        c = float(perp_close["fill_px"])
+        if side == "long":
+            perp_pnl = (c - o) * qty
+        else:
+            perp_pnl = (o - c) * qty
+
+    fees_total = sum(float(f.get("fee") or 0) for f in rows)
+    gross = None
+    net = None
+    if option_pnl is not None and perp_pnl is not None:
+        gross = option_pnl + perp_pnl
+        net = gross - fees_total
+    elif option_pnl is not None:
+        gross = option_pnl
+        net = option_pnl - fees_total
+    elif perp_pnl is not None:
+        gross = perp_pnl
+        net = perp_pnl - fees_total
+
+    return {
+        "option_pnl": option_pnl,
+        "perp_pnl": perp_pnl,
+        "fees_total": fees_total,
+        "gross_pnl": gross,
+        "net_pnl": net,
+    }