Fix OO trade records: include Put PnL and show dual-leg detail clearly.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-11 09:34:35 +08:00
parent 26e6d98338
commit 4a5d19e30f
6 changed files with 481 additions and 141 deletions
@@ -0,0 +1,67 @@
+"""期期成交盈亏汇总：须计入 option2（Put）腿。"""
+
+from __future__ import annotations
+
+from app.sim.pnl import summarize_fills_pnl
+
+
+def test_summarize_oo_both_legs() -> None:
+    fills = [
+        {
+            "leg": "option",
+            "action": "open",
+            "side": "long",
+            "fill_px": 12.6,
+            "qty_eth": 3.5,
+            "fee": 0.0221,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "open",
+            "side": "long",
+            "fill_px": 9.0,
+            "qty_eth": 5.0,
+            "fee": 0.0225,
+            "slip": 0,
+        },
+        {
+            "leg": "option",
+            "action": "close",
+            "side": "sell",
+            "fill_px": 0.0,
+            "qty_eth": 3.5,
+            "fee": 0.0,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "close",
+            "side": "sell",
+            "fill_px": 0.0,
+            "qty_eth": 5.0,
+            "fee": 0.0,
+            "slip": 0,
+        },
+    ]
+    s = summarize_fills_pnl(fills)
+    assert s["option_pnl"] == -12.6 * 3.5
+    assert s["option2_pnl"] == -9.0 * 5.0
+    assert s["perp_pnl"] is None
+    assert abs(float(s["fees_option"] or 0) - 0.0446) < 1e-9
+    assert abs(float(s["gross_pnl"] or 0) - (-44.1 - 45.0)) < 1e-9
+    assert abs(float(s["net_pnl"] or 0) - (-89.1 - 0.0446)) < 1e-9
+
+
+def test_summarize_perp_option_unchanged() -> None:
+    fills = [
+        {"leg": "option", "action": "open", "fill_px": 10, "qty_eth": 2, "fee": 0.1, "slip": 0},
+        {"leg": "perp", "action": "open", "side": "short", "fill_px": 100, "qty_eth": 1, "fee": 0.2, "slip": 0},
+        {"leg": "option", "action": "close", "fill_px": 12, "qty_eth": 2, "fee": 0.1, "slip": 0},
+        {"leg": "perp", "action": "close", "side": "short", "fill_px": 98, "qty_eth": 1, "fee": 0.2, "slip": 0},
+    ]
+    s = summarize_fills_pnl(fills)
+    assert s["option_pnl"] == 4.0
+    assert s["perp_pnl"] == 2.0
+    assert s["option2_pnl"] is None
+    assert abs(float(s["net_pnl"] or 0) - (6.0 - 0.6)) < 1e-9