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 +1,177 @@
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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
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qty = float(row["qty_eth"] or 0)
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con.execute(
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"UPDATE fills SET base_px=?, fill_px=?, notional=?, slip=0 WHERE id=?",
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(iv, iv, iv * qty, row["id"]),
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)
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updated.append((leg, iv, qty))
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# 重算 realized
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fills = list(con.execute("SELECT * FROM fills WHERE group_id=?", (GROUP,)))
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opt = {}
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for f in fills:
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key = (f["leg"], f["action"])
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opt[key] = f
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net = 0.0
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fees = 0.0
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for leg in ("option", "option2"):
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o = opt.get((leg, "open"))
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c = opt.get((leg, "close"))
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if not o or not c:
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continue
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qty = float(o["qty_eth"] or c["qty_eth"] or 0)
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net += (float(c["fill_px"]) - float(o["fill_px"])) * qty
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fees += float(o["fee"] or 0) + float(c["fee"] or 0)
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net_after = net - fees
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con.execute(
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"UPDATE groups SET realized_pnl=? WHERE group_id=?",
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(net_after, GROUP),
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)
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con.commit()
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print({
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"group": GROUP,
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"settle": settle,
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"call_iv": c_iv,
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"put_iv": p_iv,
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"fills_updated": updated,
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"realized_pnl": net_after,
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})
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'''
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def main() -> int:
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if not PASSWORD:
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print("Set DEPLOY_PASS", file=sys.stderr)
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return 2
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import paramiko
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settle = SETTLE
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if not settle:
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# peek close_at from remote first
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client = paramiko.SSHClient()
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client.set_missing_host_key_policy(paramiko.AutoAddPolicy())
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client.connect(HOST, username=USER, password=PASSWORD, timeout=30)
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_, stdout, _ = client.exec_command(
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f"sqlite3 {DB} \"SELECT close_at_ms FROM groups WHERE group_id='{GROUP}'\""
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)
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raw = stdout.read().decode().strip()
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client.close()
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if not raw:
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print("cannot read close_at_ms", file=sys.stderr)
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return 1
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px = _eth_close(int(raw))
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if px is None:
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print("cannot fetch ETHUSDT close", file=sys.stderr)
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return 1
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settle = f"{px:.4f}"
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print("using public ETHUSDT close", settle)
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body = REMOTE % {
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"db": DB,
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"group": GROUP,
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"settle": settle,
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"repair_fills": "True" if REPAIR_FILLS else "False",
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}
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client = paramiko.SSHClient()
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client.set_missing_host_key_policy(paramiko.AutoAddPolicy())
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client.connect(HOST, username=USER, password=PASSWORD, timeout=30)
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_, stdout, stderr = client.exec_command("python3 - <<'PY'\n" + body + "\nPY")
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print(stdout.read().decode("utf-8", "replace"))
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err = stderr.read().decode("utf-8", "replace")
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if err:
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print(err, file=sys.stderr)
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code = stdout.channel.recv_exit_status()
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client.close()
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return code
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if __name__ == "__main__":
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raise SystemExit(main())
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