Backfill OO expiry settle display via public ETHUSDT and intrinsic overlay.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+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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