Floor option close at intrinsic to fix expiry garbage quotes.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -0,0 +1,152 @@
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#!/usr/bin/env python3
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"""一键修复服务器上因到期垃圾盘口导致的期权错结算（G-20260725-01）。
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用法（本机）:
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$env:DEPLOY_PASS='...'
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python scripts/repair_expiry_settle.py
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"""
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from __future__ import annotations
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import os
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import sys
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import time
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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-20260725-01")
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REMOTE_PY = r'''
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import sqlite3, time
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DB = "%(db)s"
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GROUP = "%(group)s"
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FEE = 0.0005
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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("group missing", GROUP)
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raise SystemExit(1)
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if g["status"] != "closed" or g["close_reason"] != "expiry":
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print("skip: not closed expiry", dict(g))
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raise SystemExit(0)
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fills = list(con.execute(
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"SELECT * FROM fills WHERE group_id=? ORDER BY ts_ms", (GROUP,)
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).fetchall())
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o_open = next(f for f in fills if f["leg"]=="option" and f["action"]=="open")
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o_close = next(f for f in fills if f["leg"]=="option" and f["action"]=="close")
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p_open = next(f for f in fills if f["leg"]=="perp" and f["action"]=="open")
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p_close = next(f for f in fills if f["leg"]=="perp" and f["action"]=="close")
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strike = float(g["strike"] or 1860)
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# 永续平仓为买回空头：fill≈ask*(1+f) → spot≈ask
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perp_fill = float(p_close["fill_px"])
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spot = perp_fill / (1.0 + FEE)
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intrinsic = max(spot - strike, 0.0) if str(g["option_side"])=="call" else max(strike - spot, 0.0)
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old_base = float(o_close["base_px"] or o_close["fill_px"])
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new_base = max(old_base, intrinsic)
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if abs(new_base - old_base) < 1e-9:
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print("already ok", old_base, intrinsic)
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raise SystemExit(0)
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qty = float(o_close["qty_eth"])
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new_fill = new_base * (1.0 - FEE)
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new_notional = new_fill * qty
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new_fee = new_notional * FEE
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new_slip = abs(new_fill - new_base) * qty
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old_cash = float(o_close["notional"]) - float(o_close["fee"])
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new_cash = new_notional - new_fee
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cash_delta = new_cash - old_cash
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opt_entry = float(o_open["fill_px"])
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opt_pnl = (new_fill - opt_entry) * qty
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perp_entry = float(p_open["fill_px"])
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perp_side = str(p_open["side"])
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if perp_side == "long":
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perp_pnl = (float(p_close["fill_px"]) - perp_entry) * float(p_open["qty_eth"])
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else:
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perp_pnl = (perp_entry - float(p_close["fill_px"])) * float(p_open["qty_eth"])
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net = perp_pnl + opt_pnl - float(p_close["fee"]) - new_fee
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# fees on group: replace option close fee contribution
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old_opt_fee = float(o_close["fee"])
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old_opt_slip = float(o_close["slip"] or 0)
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fees = float(g["fees"] or 0) - old_opt_fee + new_fee
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slip = float(g["slip_cost"] or 0) - old_opt_slip + new_slip
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now = int(time.time() * 1000)
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meta = con.execute("SELECT equity, available FROM ledger_meta WHERE id=1").fetchone()
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eq = float(meta["equity"]) + cash_delta
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av = float(meta["available"]) + cash_delta
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con.execute("BEGIN")
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con.execute(
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"UPDATE fills SET base_px=?, fill_px=?, fee=?, slip=?, notional=? WHERE group_id=? AND leg='option' AND action='close'",
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(new_base, new_fill, new_fee, new_slip, new_notional, GROUP),
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)
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con.execute(
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"UPDATE groups SET realized_pnl=?, fees=?, slip_cost=?, note=? WHERE group_id=?",
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(net, fees, slip, f"repaired_intrinsic:{intrinsic:.4f}", GROUP),
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)
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con.execute(
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"UPDATE ledger_meta SET equity=?, available=?, updated_at_ms=? WHERE id=1",
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(eq, av, now),
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)
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con.execute(
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"INSERT INTO ledger_entries(group_id, kind, amount, balance_after, note, ts_ms) VALUES (?,?,?,?,?,?)",
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(GROUP, "repair_option_intrinsic", cash_delta, eq,
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f"repair {GROUP}: option close {old_base:.4f}->{new_base:.4f} intrinsic={intrinsic:.4f}", now),
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)
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# also fix close_option entry amount if present
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row = con.execute(
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"SELECT id, amount FROM ledger_entries WHERE group_id=? AND kind='close_option' ORDER BY id DESC LIMIT 1",
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(GROUP,),
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).fetchone()
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if row:
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con.execute(
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"UPDATE ledger_entries SET amount=?, note=? WHERE id=?",
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(new_cash, f"close option expiry (repaired intrinsic {intrinsic:.4f})", row["id"]),
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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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"spot": spot,
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"intrinsic": intrinsic,
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"old_base": old_base,
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"new_base": new_base,
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"cash_delta": cash_delta,
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"new_equity": eq,
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"new_realized_pnl": net,
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})
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''' % {"db": DB, "group": GROUP}
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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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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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cmd = "python3 - <<'PY'\n" + REMOTE_PY + "\nPY"
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_, stdout, stderr = client.exec_command(cmd)
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out = stdout.read().decode("utf-8", errors="replace")
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err = stderr.read().decode("utf-8", errors="replace")
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code = stdout.channel.recv_exit_status()
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print(out)
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if err:
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print(err, file=sys.stderr)
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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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