Backfill OO expiry settle display via public ETHUSDT and intrinsic overlay.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -0,0 +1,65 @@
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"""公开行情辅助：补历史到期结算指数展示（不发明成交现金）。"""
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from __future__ import annotations
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import json
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import logging
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import urllib.error
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import urllib.request
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from typing import Any
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logger = logging.getLogger(__name__)
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_CACHE: dict[int, float] = {}
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_CACHE_MAX = 256
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def looks_binance_option(inst_id: str | None) -> bool:
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return "USD_UM" in str(inst_id or "")
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def eth_usdt_close_at_ms(ts_ms: int | None) -> float | None:
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"""币安 ETHUSDT 1m K 线收盘价（近似期权结算指数）。失败返回 None。"""
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if ts_ms is None:
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return None
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try:
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ms = int(ts_ms)
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except (TypeError, ValueError):
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return None
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if ms <= 0:
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return None
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minute = (ms // 60_000) * 60_000
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cached = _CACHE.get(minute)
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if cached is not None:
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return cached
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url = (
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"https://api.binance.com/api/v3/klines"
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f"?symbol=ETHUSDT&interval=1m&startTime={minute}&limit=1"
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)
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try:
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with urllib.request.urlopen(url, timeout=4) as resp:
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raw = resp.read().decode("utf-8", "replace")
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rows = json.loads(raw)
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if not rows:
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return None
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close_px = float(rows[0][4])
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if close_px <= 0:
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return None
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if len(_CACHE) >= _CACHE_MAX:
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_CACHE.clear()
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_CACHE[minute] = close_px
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return close_px
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except (urllib.error.URLError, TimeoutError, ValueError, TypeError, IndexError) as e:
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logger.debug("eth_usdt_close_at_ms failed ms=%s: %s", minute, e)
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return None
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def maybe_public_settle_index(g: dict[str, Any]) -> float | None:
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"""库内无结算价时，币安期权到期组用公开 ETHUSDT 收盘近似。"""
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if str(g.get("close_reason") or "") != "expiry":
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return None
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inst = g.get("option_inst_id") or g.get("option2_inst_id")
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if not looks_binance_option(str(inst) if inst else None):
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return None
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ts = g.get("close_at_ms") or g.get("hold_close_at_ms")
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return eth_usdt_close_at_ms(ts if ts is not None else None)
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+86
-14
@@ -25,7 +25,7 @@ def _is_oo_group(g: dict) -> bool:
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def _infer_settle_index(g: dict, fills: list) -> float | None:
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"""优先库内 settle_index_px；否则用「实值腿」成交反推。虚值 fill≈0 时禁止推成行权价。"""
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"""优先库内 settle_index_px；否则用「实值腿」成交反推；再否则公开指数近似。"""
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settle_index = g.get("settle_index_px")
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if settle_index is not None:
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try:
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@@ -68,10 +68,62 @@ def _infer_settle_index(g: dict, fills: list) -> float | None:
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candidates.append(k + px)
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elif side in ("put", "p"):
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candidates.append(k - px)
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if not candidates:
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return None
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# 多腿一致时取平均；实值腿通常只有一条
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return round(sum(candidates) / len(candidates), 4)
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if candidates:
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return round(sum(candidates) / len(candidates), 4)
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try:
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from .public_index import maybe_public_settle_index
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pub = maybe_public_settle_index(g)
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if pub is not None and pub > 0:
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return round(float(pub), 4)
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except Exception:
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pass
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return None
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def _overlay_expiry_zero_fills(
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g: dict, fills: list, settle_index: float | None
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) -> list:
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"""到期 close 价为 0 且已有结算指数时，用内在价值覆盖展示（响应层，不写库）。"""
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if settle_index is None or settle_index <= 0:
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return fills
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if str(g.get("close_reason") or "") != "expiry":
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return fills
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out: list = []
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changed = False
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for raw in fills:
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f = dict(raw) if not isinstance(raw, dict) else dict(raw)
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if str(f.get("action") or "") == "close" and str(f.get("leg") or "") in (
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"option",
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"option2",
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):
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try:
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px = float(f.get("fill_px") or 0)
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except (TypeError, ValueError):
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px = 0.0
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if px <= 1e-9:
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leg = str(f.get("leg") or "")
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if leg == "option":
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strike = g.get("strike")
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side = str(g.get("option_side") or "").lower()
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else:
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strike = g.get("strike2")
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side = str(g.get("option2_side") or "put").lower()
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if strike is not None:
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try:
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intrinsic = _intrinsic(side, float(settle_index), float(strike))
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qty = float(f.get("qty_eth") or 0)
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f["fill_px"] = intrinsic
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f["base_px"] = intrinsic
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f["notional"] = intrinsic * qty
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f["slip"] = 0.0
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f["_overlay_intrinsic"] = True
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changed = True
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except (TypeError, ValueError):
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pass
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out.append(f)
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return out if changed else fills
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def _intrinsic(side: str, settle_index: float, strike: float) -> float:
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s = str(side or "").lower()
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@@ -211,15 +263,26 @@ def _option_leverage_for_leg(
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def _enrich_group(g: dict, fills: list) -> dict:
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is_oo = _is_oo_group(g)
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g["is_oo"] = is_oo
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summary = summarize_fills_pnl(fills)
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# LIVE：优先 groups.realized_pnl（已按交易所回写，含资金费）
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if str(g.get("exec_mode") or "").upper() == "LIVE" and g.get("realized_pnl") is not None:
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settle = _infer_settle_index(g, fills)
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view_fills = _overlay_expiry_zero_fills(g, fills, settle)
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overlaid = any(
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isinstance(f, dict) and f.get("_overlay_intrinsic") for f in view_fills
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)
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summary = summarize_fills_pnl(view_fills)
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# LIVE 且未做内在价值覆盖：优先 groups.realized_pnl（含资金费）
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if (
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not overlaid
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and str(g.get("exec_mode") or "").upper() == "LIVE"
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and g.get("realized_pnl") is not None
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):
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summary = dict(summary)
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summary["net_pnl"] = float(g["realized_pnl"])
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if g.get("funding_usdt") is not None:
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summary["funding_usdt"] = float(g["funding_usdt"])
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summary["pnl_source"] = "live_exchange"
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# 期期 SIM：若成交汇总缺腿但组上已有 realized_pnl，用组值兜底
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elif overlaid:
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summary = dict(summary)
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summary["pnl_source"] = "expiry_intrinsic_overlay"
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elif (
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is_oo
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and g.get("realized_pnl") is not None
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@@ -240,17 +303,20 @@ def _enrich_group(g: dict, fills: list) -> dict:
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prem2 = float(g.get("initial_premium2") or 0) if is_oo else 0.0
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g["total_initial_premium"] = prem1 + prem2 if is_oo else prem1
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g.update(hold_timing(g, fills))
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info = _expiry_settle_info(g, fills)
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if settle is not None and g.get("settle_index_px") is None:
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g["settle_index_px"] = float(settle)
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info = _expiry_settle_info(g, view_fills)
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if info:
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g["expiry_settle"] = info
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if g.get("settle_index_px") is None and info.get("settle_index_px") is not None:
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g["settle_index_px"] = info["settle_index_px"]
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mp = _move_points(g, fills)
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mp = _move_points(g, view_fills)
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g["move_points"] = mp
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g["close_index_px"] = _close_index_px(g, fills)
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g["close_index_px"] = _close_index_px(g, view_fills)
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g["option_leverage"] = _option_leverage_for_leg(g, fills, leg="option")
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if is_oo:
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g["option2_leverage"] = _option_leverage_for_leg(g, fills, leg="option2")
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g["_view_fills"] = view_fills
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return g
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@@ -265,7 +331,9 @@ async def list_groups(_user: Annotated[str, Depends(require_user)]) -> dict:
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"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC",
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(g["group_id"],),
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)
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groups.append(_enrich_group(g, fills))
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gr = _enrich_group(g, fills)
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gr.pop("_view_fills", None)
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groups.append(gr)
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return {"groups": groups}
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@@ -281,9 +349,13 @@ async def group_detail(
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"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
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)
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gr = _enrich_group(_row(g), fills)
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view_fills = gr.pop("_view_fills", None) or fills
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return {
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"group": gr,
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"fills": [_row(x) for x in fills],
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"fills": [
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{k: v for k, v in (dict(x) if not isinstance(x, dict) else x).items() if k != "_overlay_intrinsic"}
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for x in view_fills
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],
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"pnl_summary": gr.get("pnl_summary"),
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}
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@@ -2,22 +2,28 @@
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from __future__ import annotations
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from app.api.trades import _infer_settle_index
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from app.api.trades import _infer_settle_index, _overlay_expiry_zero_fills
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def test_otm_call_zero_fill_does_not_become_strike() -> None:
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def test_otm_call_zero_fill_does_not_become_strike(monkeypatch) -> None:
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g = {
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"hedge_mode": "option_option",
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"option_side": "call",
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"option2_side": "put",
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"option_inst_id": "ETH-USD-260811-1920-C", # OKX 样式：不走公开回退
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"strike": 1920.0,
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"strike2": 1890.0,
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"settle_index_px": None,
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"close_reason": "expiry",
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"close_at_ms": 1,
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}
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fills = [
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{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
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{"leg": "option2", "action": "close", "fill_px": 0.0, "slip": 0},
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]
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monkeypatch.setattr(
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"app.api.public_index.maybe_public_settle_index", lambda _g: None
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)
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assert _infer_settle_index(g, fills) is None
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@@ -34,7 +40,6 @@ def test_itm_put_fill_infers_settle_near_1875() -> None:
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{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
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{"leg": "option2", "action": "close", "fill_px": 45.0, "slip": 0},
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]
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# put intrinsic 45 → settle = 1920 - 45 = 1875
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assert _infer_settle_index(g, fills) == 1875.0
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@@ -46,3 +51,28 @@ def test_stored_settle_wins() -> None:
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}
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fills = [{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0}]
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assert _infer_settle_index(g, fills) == 1875.2
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def test_public_fallback_and_overlay(monkeypatch) -> None:
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g = {
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"hedge_mode": "option_option",
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"option_side": "call",
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"option2_side": "put",
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"option_inst_id": "ETH-USD_UM-260811-1940-C",
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"strike": 1940.0,
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"strike2": 1920.0,
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"settle_index_px": None,
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"close_reason": "expiry",
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"close_at_ms": 1786435200000,
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}
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fills = [
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{"leg": "option", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
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{"leg": "option2", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
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]
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monkeypatch.setattr(
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"app.api.public_index.maybe_public_settle_index", lambda _g: 1877.8
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)
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assert _infer_settle_index(g, fills) == 1877.8
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view = _overlay_expiry_zero_fills(g, fills, 1877.8)
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assert view[0]["fill_px"] == 0.0 # call OTM
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assert abs(view[1]["fill_px"] - (1920 - 1877.8)) < 1e-9
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@@ -5,6 +5,20 @@
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---
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## 2026-08-11 — 期期到期结算指数：公开行情回退 + 零成交覆盖
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### 变更
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1. 币安期期到期若库内无 `settle_index_px`、成交也为 0：用到期时刻 ETHUSDT 1m 收盘近似结算指数（约 1877）。
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2. 详情用内在价值覆盖展示零价到期成交，并重算 Call/Put 盈亏。
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3. `scripts/repair_oo_settle_index.py` 可写回库（需 `DEPLOY_PASS`）。
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### 审计
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G-20260810-01 更新后仍显示「结算指数 —」：旧记录未落库 settle，且两腿 close=0，仅禁止误推后变成空。
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---
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## 2026-08-11 — 期期到期结算指数修正
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### 变更
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@@ -0,0 +1,177 @@
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"""回填期期到期组的 settle_index（及可选内在价值成交）。
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用法:
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$env:DEPLOY_PASS='...'
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$env:REPAIR_GROUP_ID='G-20260810-01'
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# 可选: $env:SETTLE_INDEX='1877.8' 不设则用币安 ETHUSDT 1m 收盘
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python scripts/repair_oo_settle_index.py
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"""
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from __future__ import annotations
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import json
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import os
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import sys
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import urllib.request
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HOST = os.environ.get("DEPLOY_HOST", "47.236.184.99")
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USER = os.environ.get("DEPLOY_USER", "root")
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PASSWORD = os.environ.get("DEPLOY_PASS", "")
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ROOT = os.environ.get("DEPLOY_ROOT", "/opt/eth_hedge_sim")
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DB = f"{ROOT}/backend/data/hedge.db"
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GROUP = os.environ.get("REPAIR_GROUP_ID", "G-20260810-01")
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SETTLE = os.environ.get("SETTLE_INDEX", "").strip()
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REPAIR_FILLS = os.environ.get("REPAIR_FILLS", "1").strip() not in ("0", "false", "no")
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def _eth_close(ms: int) -> float | None:
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minute = (int(ms) // 60_000) * 60_000
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url = (
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"https://api.binance.com/api/v3/klines"
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f"?symbol=ETHUSDT&interval=1m&startTime={minute}&limit=1"
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)
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with urllib.request.urlopen(url, timeout=10) as resp:
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rows = json.loads(resp.read().decode())
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if not rows:
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return None
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return float(rows[0][4])
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REMOTE = r'''
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import sqlite3
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DB = %(db)r
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GROUP = %(group)r
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SETTLE = %(settle)s
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REPAIR_FILLS = %(repair_fills)s
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con = sqlite3.connect(DB)
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con.row_factory = sqlite3.Row
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g = con.execute("SELECT * FROM groups WHERE group_id=?", (GROUP,)).fetchone()
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if not g:
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print("missing", GROUP)
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raise SystemExit(1)
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if str(g["close_reason"] or "") != "expiry":
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print("not expiry", GROUP)
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raise SystemExit(1)
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settle = float(SETTLE)
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strike = float(g["strike"] or 0)
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strike2 = float(g["strike2"] or 0) if g["strike2"] is not None else None
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side = str(g["option_side"] or "call").lower()
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side2 = str(g["option2_side"] or "put").lower()
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def intrinsic(side, spot, k):
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if k is None:
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return None
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if side in ("call", "c"):
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return max(spot - k, 0.0)
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if side in ("put", "p"):
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return max(k - spot, 0.0)
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return 0.0
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c_iv = intrinsic(side, settle, strike)
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p_iv = intrinsic(side2, settle, strike2) if strike2 is not None else None
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con.execute("BEGIN")
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con.execute(
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"UPDATE groups SET settle_index_px=?, note=COALESCE(note,'') || ? WHERE group_id=?",
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(settle, f" | settle_backfill={settle}", GROUP),
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)
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updated = []
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if REPAIR_FILLS:
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for leg, iv in (("option", c_iv), ("option2", p_iv)):
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if iv is None:
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continue
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row = con.execute(
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"SELECT id, qty_eth, fill_px FROM fills WHERE group_id=? AND leg=? AND action='close'",
|
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(GROUP, leg),
|
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).fetchone()
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if not row:
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continue
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if abs(float(row["fill_px"] or 0)) > 1e-9:
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continue
|
||||
qty = float(row["qty_eth"] or 0)
|
||||
con.execute(
|
||||
"UPDATE fills SET base_px=?, fill_px=?, notional=?, slip=0 WHERE id=?",
|
||||
(iv, iv, iv * qty, row["id"]),
|
||||
)
|
||||
updated.append((leg, iv, qty))
|
||||
# 重算 realized
|
||||
fills = list(con.execute("SELECT * FROM fills WHERE group_id=?", (GROUP,)))
|
||||
opt = {}
|
||||
for f in fills:
|
||||
key = (f["leg"], f["action"])
|
||||
opt[key] = f
|
||||
net = 0.0
|
||||
fees = 0.0
|
||||
for leg in ("option", "option2"):
|
||||
o = opt.get((leg, "open"))
|
||||
c = opt.get((leg, "close"))
|
||||
if not o or not c:
|
||||
continue
|
||||
qty = float(o["qty_eth"] or c["qty_eth"] or 0)
|
||||
net += (float(c["fill_px"]) - float(o["fill_px"])) * qty
|
||||
fees += float(o["fee"] or 0) + float(c["fee"] or 0)
|
||||
net_after = net - fees
|
||||
con.execute(
|
||||
"UPDATE groups SET realized_pnl=? WHERE group_id=?",
|
||||
(net_after, GROUP),
|
||||
)
|
||||
con.commit()
|
||||
print({
|
||||
"group": GROUP,
|
||||
"settle": settle,
|
||||
"call_iv": c_iv,
|
||||
"put_iv": p_iv,
|
||||
"fills_updated": updated,
|
||||
"realized_pnl": net_after,
|
||||
})
|
||||
'''
|
||||
|
||||
|
||||
def main() -> int:
|
||||
if not PASSWORD:
|
||||
print("Set DEPLOY_PASS", file=sys.stderr)
|
||||
return 2
|
||||
import paramiko
|
||||
|
||||
settle = SETTLE
|
||||
if not settle:
|
||||
# peek close_at from remote first
|
||||
client = paramiko.SSHClient()
|
||||
client.set_missing_host_key_policy(paramiko.AutoAddPolicy())
|
||||
client.connect(HOST, username=USER, password=PASSWORD, timeout=30)
|
||||
_, stdout, _ = client.exec_command(
|
||||
f"sqlite3 {DB} \"SELECT close_at_ms FROM groups WHERE group_id='{GROUP}'\""
|
||||
)
|
||||
raw = stdout.read().decode().strip()
|
||||
client.close()
|
||||
if not raw:
|
||||
print("cannot read close_at_ms", file=sys.stderr)
|
||||
return 1
|
||||
px = _eth_close(int(raw))
|
||||
if px is None:
|
||||
print("cannot fetch ETHUSDT close", file=sys.stderr)
|
||||
return 1
|
||||
settle = f"{px:.4f}"
|
||||
print("using public ETHUSDT close", settle)
|
||||
|
||||
body = REMOTE % {
|
||||
"db": DB,
|
||||
"group": GROUP,
|
||||
"settle": settle,
|
||||
"repair_fills": "True" if REPAIR_FILLS else "False",
|
||||
}
|
||||
client = paramiko.SSHClient()
|
||||
client.set_missing_host_key_policy(paramiko.AutoAddPolicy())
|
||||
client.connect(HOST, username=USER, password=PASSWORD, timeout=30)
|
||||
_, stdout, stderr = client.exec_command("python3 - <<'PY'\n" + body + "\nPY")
|
||||
print(stdout.read().decode("utf-8", "replace"))
|
||||
err = stderr.read().decode("utf-8", "replace")
|
||||
if err:
|
||||
print(err, file=sys.stderr)
|
||||
code = stdout.channel.recv_exit_status()
|
||||
client.close()
|
||||
return code
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
raise SystemExit(main())
|
||||
Reference in New Issue
Block a user