Use exchange fees, UPL, funding for LIVE PnL; USDC 1:1 to USDT.

Option open P&L stays local (option net); exit target ignores estimated close fees. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-26 21:49:20 +08:00
parent b7e055e37b
commit ca66c494e7
12 changed files with 685 additions and 25 deletions
@@ -0,0 +1,151 @@
+"""LIVE 组净盈亏：交易所永续 UPL/资金费 + 本地期权净盈亏 − 真实手续费。"""
+
+from __future__ import annotations
+
+import logging
+import time
+from typing import Any, Protocol
+
+logger = logging.getLogger(__name__)
+
+
+class _FeeFundingClient(Protocol):
+    def get_perp_upl_usdt(self, *args: Any, **kwargs: Any) -> float | None: ...
+
+    def get_funding_usdt(self, *args: Any, **kwargs: Any) -> float: ...
+
+    def get_closed_perp_pnl_usdt(self, *args: Any, **kwargs: Any) -> float | None: ...
+
+
+def group_paid_fees_usdt(db: Any, group_id: str) -> float:
+    rows = db.fetchall(
+        "SELECT fee FROM fills WHERE group_id=?",
+        (group_id,),
+    )
+    return sum(abs(float(r["fee"] or 0)) for r in rows)
+
+
+def enrich_live_unrealized(
+    *,
+    base: dict[str, Any],
+    db: Any,
+    client: Any,
+    exchange: str,
+    perp_inst_id: str,
+    perp_side: str,
+    open_at_ms: int | None,
+) -> dict[str, Any]:
+    """
+    在 Matcher.unrealized 结果上覆盖 LIVE 口径：
+    net = 永续交易所UPL + 期权净盈亏(本地) − 已付手续费 + 资金费(signed)
+    不再扣预估平仓费。
+    """
+    if not base.get("has_position"):
+        return base
+    group_id = str(base.get("group_id") or "")
+    fees_paid = group_paid_fees_usdt(db, group_id) if group_id else 0.0
+
+    begin = int(open_at_ms or 0)
+    funding = 0.0
+    perp_upl = float(base.get("perp_upl") or 0.0)
+    ex = (exchange or "").lower()
+
+    try:
+        if ex == "binance":
+            side = "LONG" if perp_side == "long" else "SHORT"
+            upl = client.get_perp_upl_usdt(perp_inst_id, position_side=side)
+            if upl is not None:
+                perp_upl = float(upl)
+            if begin > 0:
+                funding = float(
+                    client.get_funding_usdt(perp_inst_id, begin_ms=begin) or 0.0
+                )
+        else:
+            upl = client.get_perp_upl_usdt(perp_inst_id, pos_side=perp_side)
+            if upl is not None:
+                perp_upl = float(upl)
+            if begin > 0:
+                funding = float(
+                    client.get_funding_usdt(perp_inst_id, begin_ms=begin) or 0.0
+                )
+    except Exception as e:
+        logger.warning("live unrealized exchange overlay failed: %s", e)
+
+    option_upl = float(base.get("option_upl") or 0.0)  # 期权净盈亏（本地）
+    # 资金费 signed：付出为负，直接加总
+    net_pnl = perp_upl + option_upl - fees_paid + funding
+
+    out = dict(base)
+    out["perp_upl"] = perp_upl
+    out["option_upl"] = option_upl
+    out["fees_paid"] = fees_paid
+    out["funding_usdt"] = funding
+    out["est_close_fees"] = 0.0  # LIVE 不估平仓费
+    out["net_pnl"] = net_pnl
+    out["pnl_source"] = "live_exchange"
+    return out
+
+
+def reconcile_closed_group_pnl(
+    *,
+    db: Any,
+    client: Any,
+    exchange: str,
+    group_id: str,
+    perp_inst_id: str,
+    open_at_ms: int | None,
+    local_net: float | None,
+) -> float:
+    """
+    平仓后回写：净盈亏优先用 交易所永续已实现 + 本地期权腿盈亏 − 手续费 + 资金费。
+    失败则退回 local_net。
+    """
+    from ..sim.pnl import summarize_fills_pnl
+
+    fills = db.fetchall(
+        "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
+    )
+    summary = summarize_fills_pnl(list(fills))
+    fees = float(summary.get("fees_total") or 0.0)
+    option_pnl = summary.get("option_pnl")
+    local_perp = summary.get("perp_pnl")
+
+    begin = int(open_at_ms or 0)
+    end = int(time.time() * 1000)
+    funding = 0.0
+    exch_perp: float | None = None
+    ex = (exchange or "").lower()
+    try:
+        if begin > 0:
+            funding = float(client.get_funding_usdt(perp_inst_id, begin_ms=begin, end_ms=end) or 0.0)
+        exch_perp = client.get_closed_perp_pnl_usdt(
+            perp_inst_id, begin_ms=begin, end_ms=end
+        )
+    except Exception as e:
+        logger.warning("reconcile exchange pnl failed: %s", e)
+
+    perp_pnl = float(exch_perp) if exch_perp is not None else (
+        float(local_perp) if local_perp is not None else 0.0
+    )
+    opt = float(option_pnl) if option_pnl is not None else 0.0
+    net = perp_pnl + opt - fees + funding
+
+    if local_net is not None and exch_perp is None and abs(funding) < 1e-12:
+        # 交易所永续已实现拉不到且无资金费 → 保持本地
+        net = float(local_net)
+
+    with db._lock:
+        try:
+            db._conn.execute(
+                "UPDATE groups SET realized_pnl=?, funding_usdt=?, fees=? WHERE group_id=?",
+                (float(net), float(funding), float(fees), group_id),
+            )
+            db._conn.commit()
+        except Exception:
+            # funding_usdt 列未迁移时降级
+            db._conn.execute(
+                "UPDATE groups SET realized_pnl=?, fees=? WHERE group_id=?",
+                (float(net), float(fees), group_id),
+            )
+            db._conn.commit()
+    return float(net)