From e2a19a1614c56fae344ee417fb09e5a62a540fe3 Mon Sep 17 00:00:00 2001 From: dekun Date: Wed, 29 Jul 2026 20:32:45 +0800 Subject: [PATCH] Recover stuck opening and harden LIVE open/close reconcile. Stamp open intent, recover opening from exchange option/perp state, skip resell/reopen when already flat, and persist Binance margin mode. Co-authored-by: Cursor --- backend/app/live/binance_executor.py | 250 +++++++++++++++++-- backend/app/live/binance_trade.py | 66 ++++- backend/app/live/executor.py | 249 ++++++++++++++++-- backend/app/live/okx_trade.py | 29 +++ backend/app/live/reconcile.py | 237 +++++++++++++++++- backend/app/strategy/engine.py | 88 +++++-- docs/审计说明-2026-07-29-开平仓与实盘安全.md | 62 ++--- docs/更新说明.md | 16 ++ 8 files changed, 893 insertions(+), 104 deletions(-) diff --git a/backend/app/live/binance_executor.py b/backend/app/live/binance_executor.py index fa87737..83fb918 100644 --- a/backend/app/live/binance_executor.py +++ b/backend/app/live/binance_executor.py @@ -15,8 +15,11 @@ from .binance_trade import BinanceTradeClient from .reconcile import ( assert_safe_to_open_live, claim_open_slot, + exchange_option_abs_size, perp_close_qty_eth_binance, + recover_stuck_opening, release_open_slot_if_opening, + stamp_opening_intent, ) from .symbols import live_settings, resolve_perp_inst_id @@ -39,6 +42,17 @@ class BinanceLiveExecutor(Matcher): return reason return None + def _perp_margin_mode(self) -> str: + from ..config import get_settings + + s = get_settings() + raw = str( + self.ledger.get_setting_str("perp_margin_mode", s.perp_margin_mode) + or s.perp_margin_mode + or "cross" + ).strip().lower() + return "isolated" if raw == "isolated" else "cross" + def unrealized(self) -> dict: base = super().unrealized() if not base.get("has_position"): @@ -106,6 +120,17 @@ class BinanceLiveExecutor(Matcher): ct_mult = self._ct_mult(option_inst_id) opt_contracts = contracts_for_eth(opt_qty, ct_mult) + stamp_opening_intent( + self.db, + group_id=group_id, + option_inst_id=option_inst_id, + option_side=option_side, + perp_side=perp_side, + option_qty_eth=opt_qty, + option_qty_contracts=float(opt_contracts), + entry_index_px=entry_index_px, + ) + try: opt_fill = client.place_option_market( symbol=option_inst_id, @@ -129,14 +154,30 @@ class BinanceLiveExecutor(Matcher): ) opt_contracts = filled_opt_contracts opt_qty = eth_from_contracts(opt_contracts, ct_mult) + stamp_opening_intent( + self.db, + group_id=group_id, + option_inst_id=option_inst_id, + option_side=option_side, + perp_side=perp_side, + option_qty_eth=opt_qty, + option_qty_contracts=float(opt_contracts), + entry_index_px=entry_index_px, + option_entry_px=float(opt_fill.avg_px), + ) # 永续市价失败（多为保证金不足）→ 必须回滚期权 + mgn = self._perp_margin_mode() try: if perp_side == "long": side, pos_side = "BUY", "LONG" else: side, pos_side = "SELL", "SHORT" leverage = self.ledger.get_setting_float("leverage", s.leverage) + try: + client.set_margin_type(perp_inst, mgn) + except Exception as e_mgn: + logger.warning("binance set_margin_type failed: %s", e_mgn) try: client.set_leverage(perp_inst, leverage) except Exception as e_lev: @@ -149,6 +190,21 @@ class BinanceLiveExecutor(Matcher): ) except Exception as e: logger.exception("binance live open perp failed (likely margin); rollback option") + try: + live_perp = client.get_perp_pos_sz( + perp_inst, + position_side=("LONG" if perp_side == "long" else "SHORT"), + ) + except Exception: + live_perp = None + if live_perp is not None and live_perp > 1e-8: + return OpenResult( + ok=False, + detail=( + f"永续可能已成交但未确认成交明细(保留 opening): {e}; " + f"ex_perp={live_perp}" + ), + ) try: client.place_option_market( symbol=option_inst_id, @@ -220,8 +276,8 @@ class BinanceLiveExecutor(Matcher): """INSERT INTO groups( group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id, strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost, - exec_mode - ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", + exec_mode, perp_margin_mode + ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", ( group_id, "open", @@ -238,6 +294,7 @@ class BinanceLiveExecutor(Matcher): of_fee + pf_fee, 0.0, "LIVE", + mgn, ), ) self.db._conn.execute( @@ -505,6 +562,101 @@ class BinanceLiveExecutor(Matcher): data={"group_id": group_id, "exec_mode": "LIVE", "exchange": "binance"}, ) + def recover_opening(self) -> CloseResult: + err = self._guard_live() + if err: + return CloseResult(ok=False, detail=err) + r = recover_stuck_opening(self) + if r is None: + return CloseResult(ok=False, detail="非 opening 状态") + return r + + def _promote_opening_to_open( + self, + *, + pos: dict, + perp_inst: str, + opt_sz: float, + perp_total: float, + ) -> CloseResult: + s = live_settings() + group_id = str(pos.get("group_id") or f"RCV-{int(time.time())}") + option_inst_id = str(pos.get("option_inst_id") or "") + option_side = str(pos.get("option_side") or "call") + perp_side = str(pos.get("perp_side") or "long") + of_px = float(pos.get("option_entry_px") or 0) or 0.0 + opt_qty = float(pos.get("option_qty_eth") or 0) + opt_contracts = float(pos.get("option_qty_contracts") or opt_sz or 0) + if opt_qty <= 0 and opt_contracts > 0: + opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id)) + perp_qty = float(pos.get("perp_qty_eth") or 0) or float( + self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth) + ) + if perp_total > 0: + perp_qty = float(perp_total) + entry_index = float(pos.get("entry_index_px") or 0) or 0.0 + pf_px = entry_index if entry_index > 0 else of_px + initial_premium = of_px * opt_qty + mgn = self._perp_margin_mode() + now = int(time.time() * 1000) + with self.db._lock: + existing = self.db._conn.execute( + "SELECT group_id FROM groups WHERE group_id=?", (group_id,) + ).fetchone() + if existing is None: + self.db._conn.execute( + """INSERT INTO groups( + group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id, + strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost, + exec_mode, perp_margin_mode, note + ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", + ( + group_id, + "open", + "recover", + option_side, + perp_side, + option_inst_id, + perp_inst, + None, + None, + entry_index, + initial_premium, + now, + 0.0, + 0.0, + "LIVE", + mgn, + "recover_opening both legs", + ), + ) + self.db._conn.execute( + """UPDATE positions SET + group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?, + option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?, + option_entry_px=?, entry_index_px=?, initial_premium=?, status='open' + WHERE id=1""", + ( + group_id, + perp_side, + perp_qty, + pf_px, + option_inst_id, + option_side, + opt_qty, + opt_contracts, + of_px, + entry_index, + initial_premium, + ), + ) + self.db._conn.commit() + return CloseResult( + ok=True, + detail="recover_opening: 已提升为 open", + data={"group_id": group_id, "exec_mode": "LIVE"}, + ) + def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult: err = self._guard_live() if err: @@ -513,6 +665,8 @@ class BinanceLiveExecutor(Matcher): s = live_settings() pos = self.current_position() st = str(pos.get("status") or "") + if st == "opening": + return self.recover_opening() if st == "half_open": return self.repair_half_open() if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"): @@ -579,7 +733,34 @@ class BinanceLiveExecutor(Matcher): opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id)) of_notional = of_px * opt_qty except Exception as e: - if is_expiry and intrinsic is not None: + ex_opt = exchange_option_abs_size(client, option_inst_id) + if ex_opt is not None and ex_opt <= 1e-8: + prev = self.db.fetchone( + """SELECT fill_px, fee, notional, slip FROM fills + WHERE group_id=? AND leg='option' AND action='close' + ORDER BY id DESC LIMIT 1""", + (group_id,), + ) + if prev is not None: + of_px = float(prev["fill_px"]) + of_fee = float(prev["fee"] or 0) + of_notional = float(prev["notional"] or (of_px * opt_qty)) + of_slip = float(prev["slip"] or 0) + elif is_expiry and intrinsic is not None: + of = option_expiry_settle( + intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate + ) + of_px, of_fee, of_notional = of.fill_px, of.fee, of.notional + of_slip = 0.0 + else: + of_px = float(pos.get("option_entry_px") or 0) or 0.0 + of_fee = 0.0 + of_notional = of_px * opt_qty + of_slip = 0.0 + logger.warning( + "binance option already flat on exchange; skip resell: %s", e + ) + elif is_expiry and intrinsic is not None: of = option_expiry_settle( intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate ) @@ -601,18 +782,32 @@ class BinanceLiveExecutor(Matcher): else: return CloseResult(ok=False, detail=f"币安平期权失败: {e}") - # 期权已平（或到期本地结算）：立刻落 pending，避免永续失败后重试再卖期权 - self._mark_option_closed_perp_pending( - group_id=group_id, - option_inst_id=option_inst_id, - opt_qty=opt_qty, - opt_contracts=opt_contracts, - of_px=of_px, - of_fee=of_fee, - of_notional=of_notional, - of_slip=of_slip, - reason=reason, + st_now = str(self.current_position().get("status") or "") + prev_close = self.db.fetchone( + """SELECT id FROM fills + WHERE group_id=? AND leg='option' AND action='close' + ORDER BY id DESC LIMIT 1""", + (group_id,), ) + if st_now == "option_closed_perp_pending" or prev_close is not None: + if st_now != "option_closed_perp_pending": + with self.db._lock: + self.db._conn.execute( + "UPDATE positions SET status='option_closed_perp_pending' WHERE id=1" + ) + self.db._conn.commit() + else: + self._mark_option_closed_perp_pending( + group_id=group_id, + option_inst_id=option_inst_id, + opt_qty=opt_qty, + opt_contracts=opt_contracts, + of_px=of_px, + of_fee=of_fee, + of_notional=of_notional, + of_slip=of_slip, + reason=reason, + ) pending_perp_only = True try: @@ -625,16 +820,25 @@ class BinanceLiveExecutor(Matcher): perp_inst=perp_inst, perp_side=perp_side, perp_qty_eth=perp_qty, + allow_db_fallback=not pending_perp_only, ) - perp_live = client.place_perp_market( - symbol=perp_inst, - side=side, - qty_eth=perp_qty_close, - position_side=pos_side, - reduce_only=True, - ) - pf_px = float(perp_live.avg_px) - pf_fee = float(perp_live.fee) + if perp_qty_close <= 0: + pf_px = float(pos.get("perp_entry_px") or 0) or 0.0 + pf_fee = 0.0 + logger.warning( + "binance perp already flat; finalize without order group=%s", + group_id, + ) + else: + perp_live = client.place_perp_market( + symbol=perp_inst, + side=side, + qty_eth=perp_qty_close, + position_side=pos_side, + reduce_only=True, + ) + pf_px = float(perp_live.avg_px) + pf_fee = float(perp_live.fee) except Exception as e: return CloseResult( ok=False, diff --git a/backend/app/live/binance_trade.py b/backend/app/live/binance_trade.py index c8d17a5..901173d 100644 --- a/backend/app/live/binance_trade.py +++ b/backend/app/live/binance_trade.py @@ -162,7 +162,7 @@ class BinanceTradeClient: sz = safe_float(q.get("executedQty")) or sz data = q if not avg or avg <= 0: - raise RuntimeError(f"币安永续无成交均价: {data}") + raise RuntimeError(f"币安永续无成交均价 orderId={ord_id} last={data}") from .money import abs_fee_usdt fee = abs(safe_float(data.get("cumCommission")) or 0.0) @@ -226,10 +226,12 @@ class BinanceTradeClient: if st == "PARTIALLY_FILLED": continue if not avg or avg <= 0: - raise RuntimeError(f"币安期权无成交均价: {data}") + raise RuntimeError(f"币安期权无成交均价 orderId={ord_id} last={data}") st_final = str(data.get("status") or "").upper() if st_final and st_final != "FILLED": - raise RuntimeError(f"币安期权未完全成交 status={st_final} {data}") + raise RuntimeError( + f"币安期权未完全成交 status={st_final} orderId={ord_id} last={data}" + ) from .money import abs_fee_usdt fee = abs(safe_float(data.get("fee")) or 0.0) @@ -336,6 +338,64 @@ class BinanceTradeClient: return abs(float(amt)) return 0.0 + def get_option_pos_sz(self, symbol: str) -> float | None: + """期权持仓绝对张数；查不到接口时返回 None。""" + try: + rows = self._signed(self._eapi, "GET", "/eapi/v1/position", {"symbol": symbol}) + except Exception as e: + logger.warning("binance get_option_pos_sz failed: %s", e) + return None + if isinstance(rows, dict): + rows = [rows] + total = 0.0 + hit = False + for row in rows: + if not isinstance(row, dict): + continue + if str(row.get("symbol") or "") and str(row.get("symbol")) != symbol: + continue + qty = safe_float(row.get("quantity")) or safe_float(row.get("positionAmt")) or 0.0 + hit = True + total += abs(float(qty)) + return total if hit else 0.0 + + def any_option_pos_abs(self) -> float | None: + """账户任意期权绝对持仓合计（ETH 期权）。""" + try: + rows = self._signed(self._eapi, "GET", "/eapi/v1/position", {}) + except Exception as e: + logger.warning("binance any_option_pos_abs failed: %s", e) + return None + if isinstance(rows, dict): + rows = [rows] + total = 0.0 + for row in rows: + if not isinstance(row, dict): + continue + sym = str(row.get("symbol") or "") + if sym and not sym.upper().startswith("ETH"): + continue + qty = safe_float(row.get("quantity")) or safe_float(row.get("positionAmt")) or 0.0 + total += abs(float(qty)) + return total + + def set_margin_type(self, symbol: str, margin_type: str) -> None: + """ISOLATED | CROSSED。""" + mt = "ISOLATED" if str(margin_type).lower() == "isolated" else "CROSSED" + try: + self._signed( + self._fapi, + "POST", + "/fapi/v1/marginType", + {"symbol": symbol, "marginType": mt}, + ) + except Exception as e: + # 已是目标模式时币安常报错，忽略 + msg = str(e).lower() + if "no need to change" in msg or "-4046" in msg: + return + raise + def set_leverage(self, symbol: str, leverage: int | float) -> None: lev = int(round(float(leverage))) if lev < 1: diff --git a/backend/app/live/executor.py b/backend/app/live/executor.py index 6737cf6..53f14b1 100644 --- a/backend/app/live/executor.py +++ b/backend/app/live/executor.py @@ -17,8 +17,11 @@ from .okx_trade import OkxTradeClient from .reconcile import ( assert_safe_to_open_live, claim_open_slot, + exchange_option_abs_size, perp_close_contracts_okx, + recover_stuck_opening, release_open_slot_if_opening, + stamp_opening_intent, ) from .symbols import live_settings, resolve_perp_inst_id @@ -132,6 +135,18 @@ class OkxLiveExecutor(Matcher): ct_mult = self._ct_mult(option_inst_id) opt_contracts = contracts_for_eth(opt_qty, ct_mult) + # 意图先落库：崩溃后仍可 recover（含 option_inst_id） + stamp_opening_intent( + self.db, + group_id=group_id, + option_inst_id=option_inst_id, + option_side=option_side, + perp_side=perp_side, + option_qty_eth=opt_qty, + option_qty_contracts=float(opt_contracts), + entry_index_px=entry_index_px, + ) + # 期权：买入，张数 = contracts try: opt_fill = client.place_market( @@ -158,6 +173,17 @@ class OkxLiveExecutor(Matcher): ) opt_contracts = filled_opt_contracts opt_qty = eth_from_contracts(opt_contracts, ct_mult) + stamp_opening_intent( + self.db, + group_id=group_id, + option_inst_id=option_inst_id, + option_side=option_side, + perp_side=perp_side, + option_qty_eth=opt_qty, + option_qty_contracts=float(opt_contracts), + entry_index_px=entry_index_px, + option_entry_px=float(opt_fill.avg_px), + ) # 永续市价：按产品假设，失败原因实质为保证金不足 → 必须回滚期权 mgn = self._perp_margin_mode() @@ -190,6 +216,21 @@ class OkxLiveExecutor(Matcher): ) except Exception as e: logger.exception("live open perp failed (likely margin); rollback option") + # 永续可能已成交：先查仓，有仓则不得回滚期权 + try: + live_perp = client.get_perp_pos_sz( + perp_inst, pos_side=("long" if perp_side == "long" else "short") + ) + except Exception: + live_perp = None + if live_perp is not None and live_perp > 1e-8: + return OpenResult( + ok=False, + detail=( + f"永续可能已成交但未确认成交明细(保留 opening): {e}; " + f"ex_perp={live_perp}" + ), + ) try: client.place_market( inst_id=option_inst_id, @@ -544,6 +585,109 @@ class OkxLiveExecutor(Matcher): data={"group_id": group_id, "exec_mode": "LIVE"}, ) + def recover_opening(self) -> CloseResult: + """恢复 stuck opening（交易所对账后 half_open/open/清槽）。""" + err = self._guard_live() + if err: + return CloseResult(ok=False, detail=err) + r = recover_stuck_opening(self) + if r is None: + return CloseResult(ok=False, detail="非 opening 状态") + return r + + def _promote_opening_to_open( + self, + *, + pos: dict, + perp_inst: str, + opt_sz: float, + perp_total: float, + ) -> CloseResult: + """opening + 交易所双边有仓 → 落本地 open（用 stamp/设置数量）。""" + s = live_settings() + group_id = str(pos.get("group_id") or f"RCV-{int(time.time())}") + option_inst_id = str(pos.get("option_inst_id") or "") + option_side = str(pos.get("option_side") or "call") + perp_side = str(pos.get("perp_side") or "long") + of_px = float(pos.get("option_entry_px") or 0) or 0.0 + opt_qty = float(pos.get("option_qty_eth") or 0) + opt_contracts = float(pos.get("option_qty_contracts") or opt_sz or 0) + if opt_qty <= 0 and opt_contracts > 0: + opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id)) + perp_qty = float(pos.get("perp_qty_eth") or 0) or float( + self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth) + ) + if perp_total > 0: + try: + ct_val = self._client().get_ct_val(perp_inst, inst_type="SWAP") + if ct_val > 0: + perp_qty = float(perp_total) * float(ct_val) + except Exception: + pass + entry_index = float(pos.get("entry_index_px") or 0) or 0.0 + # 永续入场价未知时用指数近似（仅恢复镜像） + pf_px = entry_index if entry_index > 0 else of_px + initial_premium = of_px * opt_qty + mgn = self._perp_margin_mode() + now = int(time.time() * 1000) + with self.db._lock: + existing = self.db._conn.execute( + "SELECT group_id FROM groups WHERE group_id=?", (group_id,) + ).fetchone() + if existing is None: + self.db._conn.execute( + """INSERT INTO groups( + group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id, + strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost, + exec_mode, perp_margin_mode, note + ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", + ( + group_id, + "open", + "recover", + option_side, + perp_side, + option_inst_id, + perp_inst, + None, + None, + entry_index, + initial_premium, + now, + 0.0, + 0.0, + "LIVE", + mgn, + "recover_opening both legs", + ), + ) + self.db._conn.execute( + """UPDATE positions SET + group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?, + option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?, + option_entry_px=?, entry_index_px=?, initial_premium=?, status='open' + WHERE id=1""", + ( + group_id, + perp_side, + perp_qty, + pf_px, + option_inst_id, + option_side, + opt_qty, + opt_contracts, + of_px, + entry_index, + initial_premium, + ), + ) + self.db._conn.commit() + return CloseResult( + ok=True, + detail="recover_opening: 已提升为 open", + data={"group_id": group_id, "exec_mode": "LIVE"}, + ) + def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult: err = self._guard_live() if err: @@ -552,6 +696,8 @@ class OkxLiveExecutor(Matcher): s = live_settings() pos = self.current_position() st = str(pos.get("status") or "") + if st == "opening": + return self.recover_opening() if st == "half_open": return self.repair_half_open() if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"): @@ -619,7 +765,35 @@ class OkxLiveExecutor(Matcher): opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id)) of_notional = of_px * opt_qty except Exception as e: - if is_expiry and intrinsic is not None: + # 交易所期权可能已空（上次卖出成功但未 mark）：跳过再卖，直接 pending + ex_opt = exchange_option_abs_size(client, option_inst_id) + if ex_opt is not None and ex_opt <= 1e-8: + prev = self.db.fetchone( + """SELECT fill_px, fee, notional, slip FROM fills + WHERE group_id=? AND leg='option' AND action='close' + ORDER BY id DESC LIMIT 1""", + (group_id,), + ) + if prev is not None: + of_px = float(prev["fill_px"]) + of_fee = float(prev["fee"] or 0) + of_notional = float(prev["notional"] or (of_px * opt_qty)) + of_slip = float(prev["slip"] or 0) + elif is_expiry and intrinsic is not None: + of = option_expiry_settle( + intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate + ) + of_px, of_fee, of_notional = of.fill_px, of.fee, of.notional + of_slip = 0.0 + else: + of_px = float(pos.get("option_entry_px") or 0) or 0.0 + of_fee = 0.0 + of_notional = of_px * opt_qty + of_slip = 0.0 + logger.warning( + "option already flat on exchange; skip resell: %s", e + ) + elif is_expiry and intrinsic is not None: # 到期后交易所可能已不能交易：用本地结算，仍进入 pending 再平永续 of = option_expiry_settle( intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate @@ -643,42 +817,69 @@ class OkxLiveExecutor(Matcher): return CloseResult(ok=False, detail=f"实盘平期权失败: {e}") # 期权已平（或到期本地结算）：立刻落 pending，避免永续失败后重试再卖期权 - self._mark_option_closed_perp_pending( - group_id=group_id, - option_inst_id=option_inst_id, - opt_qty=opt_qty, - opt_contracts=opt_contracts, - of_px=of_px, - of_fee=of_fee, - of_notional=of_notional, - of_slip=of_slip, - reason=reason, + st_now = str(self.current_position().get("status") or "") + prev_close = self.db.fetchone( + """SELECT id FROM fills + WHERE group_id=? AND leg='option' AND action='close' + ORDER BY id DESC LIMIT 1""", + (group_id,), ) + if st_now == "option_closed_perp_pending" or prev_close is not None: + # 已入账过平期权：只保证 pending，禁止二次现金 + if st_now != "option_closed_perp_pending": + with self.db._lock: + self.db._conn.execute( + "UPDATE positions SET status='option_closed_perp_pending' WHERE id=1" + ) + self.db._conn.commit() + else: + self._mark_option_closed_perp_pending( + group_id=group_id, + option_inst_id=option_inst_id, + opt_qty=opt_qty, + opt_contracts=opt_contracts, + of_px=of_px, + of_fee=of_fee, + of_notional=of_notional, + of_slip=of_slip, + reason=reason, + ) pending_perp_only = True try: ct_val = client.get_ct_val(perp_inst, inst_type="SWAP") + # pending 路径：交易所已空则禁止用 DB 数量再下单 perp_sz = perp_close_contracts_okx( client, perp_inst=perp_inst, perp_side=perp_side, perp_qty_eth=perp_qty, ct_val=ct_val, + allow_db_fallback=not pending_perp_only, ) - if perp_side == "long": - side, pos_side = "sell", "long" + if perp_sz <= 0: + # 永续已在交易所平掉：用入场价近似 finalize（净盈亏由对账校正） + pf_px = float(pos.get("perp_entry_px") or 0) or 0.0 + pf_fee = 0.0 + logger.warning( + "perp already flat on exchange; finalize without order group=%s", + group_id, + ) else: - side, pos_side = "buy", "short" - perp_live = client.place_market( - inst_id=perp_inst, - side=side, - sz=str(perp_sz), - td_mode=self._perp_margin_mode_for_group(group_id), - pos_side=pos_side, - reduce_only=True, - ) - pf_px = float(perp_live.avg_px) - pf_fee = float(perp_live.fee) + if perp_side == "long": + side, pos_side = "sell", "long" + else: + side, pos_side = "buy", "short" + perp_live = client.place_market( + inst_id=perp_inst, + side=side, + sz=str(perp_sz), + td_mode=self._perp_margin_mode_for_group(group_id), + pos_side=pos_side, + reduce_only=True, + ) + pf_px = float(perp_live.avg_px) + pf_fee = float(perp_live.fee) except Exception as e: return CloseResult( ok=False, diff --git a/backend/app/live/okx_trade.py b/backend/app/live/okx_trade.py index a7c52a1..f2e87ee 100644 --- a/backend/app/live/okx_trade.py +++ b/backend/app/live/okx_trade.py @@ -265,6 +265,35 @@ class OkxTradeClient: return abs(float(pos)) return 0.0 + def get_option_pos_sz(self, inst_id: str) -> float | None: + """期权绝对持仓张数。""" + try: + rows = self._request( + "GET", + f"/api/v5/account/positions?instType=OPTION&instId={inst_id}", + ) + except Exception as e: + logger.warning("okx get_option_pos_sz failed: %s", e) + return None + total = 0.0 + for row in rows: + pos = safe_float(row.get("pos")) or 0.0 + total += abs(float(pos)) + return total + + def any_option_pos_abs(self) -> float | None: + """账户任意期权绝对持仓张数合计。""" + try: + rows = self._request("GET", "/api/v5/account/positions?instType=OPTION") + except Exception as e: + logger.warning("okx any_option_pos_abs failed: %s", e) + return None + total = 0.0 + for row in rows: + pos = safe_float(row.get("pos")) or 0.0 + total += abs(float(pos)) + return total + def set_leverage( self, inst_id: str, diff --git a/backend/app/live/reconcile.py b/backend/app/live/reconcile.py index 054991b..bb4e20f 100644 --- a/backend/app/live/reconcile.py +++ b/backend/app/live/reconcile.py @@ -1,4 +1,4 @@ -"""LIVE 开仓对账：占槽、交易所持仓核对、平永续数量解析。""" +"""LIVE 开仓对账：占槽、交易所持仓核对、平永续数量解析、stuck opening 恢复。""" from __future__ import annotations @@ -7,12 +7,13 @@ from typing import Any from ..config import get_settings from ..exchange.runtime import load_runtime_settings -from ..sim.matcher import BLOCKING_STATUSES +from ..sim.matcher import BLOCKING_STATUSES, CloseResult from .symbols import resolve_perp_inst_id logger = logging.getLogger(__name__) _PERP_EPS = 1e-8 +_OPT_EPS = 1e-8 def claim_open_slot(db) -> tuple[bool, str]: @@ -33,11 +34,59 @@ def claim_open_slot(db) -> tuple[bool, str]: return True, "ok" +def stamp_opening_intent( + db, + *, + group_id: str, + option_inst_id: str, + option_side: str, + perp_side: str, + option_qty_eth: float, + option_qty_contracts: float, + entry_index_px: float | None = None, + option_entry_px: float | None = None, +) -> None: + """开仓意图落库：崩溃后仍可按 option_inst_id 恢复，禁止「opening 无元数据」。""" + with db._lock: + self_row = db._conn.execute( + "SELECT status FROM positions WHERE id=1" + ).fetchone() + st = str(self_row["status"] or "") if self_row else "" + if st != "opening": + return + db._conn.execute( + """UPDATE positions SET + group_id=?, option_inst_id=?, option_side=?, perp_side=?, + option_qty_eth=?, option_qty_contracts=?, + entry_index_px=COALESCE(?, entry_index_px), + option_entry_px=COALESCE(?, option_entry_px), + status='opening' + WHERE id=1 AND status='opening'""", + ( + group_id, + option_inst_id, + option_side, + perp_side, + float(option_qty_eth), + float(option_qty_contracts), + entry_index_px, + option_entry_px, + ), + ) + db._conn.commit() + + def release_open_slot_if_opening(db) -> None: """开仓失败且未落 half_open/open 时，释放 opening 占槽。""" with db._lock: db._conn.execute( - "UPDATE positions SET status='flat' WHERE id=1 AND status='opening'" + """UPDATE positions SET + status='flat', group_id=NULL, option_inst_id=NULL, + option_side=NULL, perp_side=NULL, + option_qty_eth=0, option_qty_contracts=0, + option_entry_px=NULL, perp_qty_eth=0, perp_entry_px=NULL, + entry_index_px=NULL, initial_premium=0 + WHERE id=1 AND status='opening'""" ) db._conn.commit() @@ -51,7 +100,7 @@ def exchange_perp_abs_size( """查询交易所永续绝对持仓：OKX 张数，Binance ETH。""" ex = (exchange or "").strip().lower() try: - if ex == "binance": + if ex in ("binance", "bn"): ps = "LONG" if perp_side == "long" else "SHORT" return client.get_perp_pos_sz(perp_inst_id, position_side=ps) ps = "long" if perp_side == "long" else "short" @@ -61,8 +110,26 @@ def exchange_perp_abs_size( return None +def exchange_option_abs_size( + client: Any, option_inst_id: str +) -> float | None: + try: + return client.get_option_pos_sz(option_inst_id) + except Exception as e: + logger.warning("exchange_option_abs_size failed: %s", e) + return None + + +def exchange_any_option_abs(client: Any) -> float | None: + try: + return client.any_option_pos_abs() + except Exception as e: + logger.warning("exchange_any_option_abs failed: %s", e) + return None + + def assert_safe_to_open_live(executor) -> tuple[bool, str]: - """LIVE 开仓前：本地无 blocking 仓，且交易所无残留永续（flat/opening 时）。""" + """LIVE 开仓前：本地无 blocking 仓，且交易所无残留永续/期权（flat/opening 时）。""" if get_settings().is_sim: return True, "ok" @@ -76,7 +143,6 @@ def assert_safe_to_open_live(executor) -> tuple[bool, str]: return False, "无法核对交易所持仓" perp_inst = resolve_perp_inst_id(executor.db) - # flat/opening：两侧都查，避免只查默认 long 漏掉 short 残留 if st in ("flat", "", "opening"): sides = ("long", "short") else: @@ -93,6 +159,27 @@ def assert_safe_to_open_live(executor) -> tuple[bool, str]: False, "交易所有永续仓但本地无持仓，禁止新开，请人工核对", ) + + # 期权：有具体合约则查该合约；flat 时查账户任意期权残留 + opt_inst = str(pos.get("option_inst_id") or "") + if opt_inst: + opt_sz = exchange_option_abs_size(client, opt_inst) + if opt_sz is None: + return False, "无法核对交易所期权持仓" + if opt_sz > _OPT_EPS and st in ("flat", "", "opening"): + return ( + False, + f"交易所有期权仓({opt_inst})但本地未确认持仓，禁止新开，请人工核对", + ) + elif st in ("flat", ""): + any_opt = exchange_any_option_abs(client) + if any_opt is None: + return False, "无法核对交易所期权持仓" + if any_opt > _OPT_EPS: + return ( + False, + "交易所有期权残留仓但本地无持仓，禁止新开，请人工核对", + ) return True, "ok" @@ -102,9 +189,16 @@ def log_exchange_db_mismatch(executor) -> None: return ok, msg = assert_safe_to_open_live(executor) if ok: - logger.info("LIVE startup reconcile: exchange/DB perp OK") + logger.info("LIVE startup reconcile: exchange/DB OK") else: logger.warning("LIVE startup reconcile mismatch: %s", msg) + # 启动时尝试恢复 stuck opening + try: + r = recover_stuck_opening(executor) + if r is not None: + logger.info("LIVE startup recover_opening: ok=%s detail=%s", r.ok, r.detail) + except Exception: + logger.exception("LIVE startup recover_opening failed") def perp_close_contracts_okx( @@ -114,12 +208,21 @@ def perp_close_contracts_okx( perp_side: str, perp_qty_eth: float, ct_val: float, + allow_db_fallback: bool = True, ) -> int: - """平永续张数：优先交易所持仓，否则 DB qty/ct_val。""" + """平永续张数：优先交易所持仓。 + + allow_db_fallback=False 且交易所已空仓时返回 0（勿用 DB 数量再下单，防反向开仓）。 + """ ps = "long" if perp_side == "long" else "short" ex_sz = client.get_perp_pos_sz(perp_inst, pos_side=ps) if ex_sz is not None and ex_sz > _PERP_EPS: return max(1, int(round(ex_sz))) + if ex_sz is not None and ex_sz <= _PERP_EPS: + if not allow_db_fallback: + return 0 + if not allow_db_fallback: + return 0 return max(1, int(round(perp_qty_eth / ct_val))) @@ -129,15 +232,131 @@ def perp_close_qty_eth_binance( perp_inst: str, perp_side: str, perp_qty_eth: float, + allow_db_fallback: bool = True, ) -> float: - """平永续 ETH 数量：优先交易所持仓，否则 DB qty。""" + """平永续 ETH 数量：优先交易所持仓。交易所空且不允许 fallback → 0。""" ps = "LONG" if perp_side == "long" else "SHORT" ex_sz = client.get_perp_pos_sz(perp_inst, position_side=ps) if ex_sz is not None and ex_sz > _PERP_EPS: return float(ex_sz) + if ex_sz is not None and ex_sz <= _PERP_EPS: + if not allow_db_fallback: + return 0.0 + if not allow_db_fallback: + return 0.0 return float(perp_qty_eth) +def recover_stuck_opening(executor) -> CloseResult | None: + """恢复本地 status=opening： + + - 交易所期权+永续皆空 → 清槽 + - 仅期权 → half_open 并尝试 repair + - 期权+永续 → 提升为 open（用本地已 stamp 的数量/均价） + - 无元数据且交易所仍有仓 → 保持 opening，返回失败详情 + """ + if get_settings().is_sim: + return None + pos = executor.current_position() + st = str(pos.get("status") or "") + if st != "opening": + return None + + client, ex_name = _executor_client_and_exchange(executor) + if client is None: + return CloseResult(ok=False, detail="recover_opening: 无交易客户端") + + option_inst = str(pos.get("option_inst_id") or "") + perp_side = str(pos.get("perp_side") or "long") + group_id = str(pos.get("group_id") or "") + perp_inst = resolve_perp_inst_id(executor.db, group_id=group_id or None) + + perp_total = 0.0 + for side in ("long", "short"): + sz = exchange_perp_abs_size(client, ex_name or "", perp_inst, side) + if sz is None: + return CloseResult(ok=False, detail="recover_opening: 无法查永续") + perp_total += float(sz) + + opt_sz = 0.0 + if option_inst: + raw = exchange_option_abs_size(client, option_inst) + if raw is None: + return CloseResult(ok=False, detail="recover_opening: 无法查期权") + opt_sz = float(raw) + else: + any_opt = exchange_any_option_abs(client) + if any_opt is None: + return CloseResult(ok=False, detail="recover_opening: 无法查期权") + if any_opt > _OPT_EPS: + return CloseResult( + ok=False, + detail=( + "recover_opening: opening 无 option_inst_id 但交易所有期权仓，" + "禁止自动清槽，请人工核对" + ), + ) + opt_sz = 0.0 + + # 两边皆空 → 清槽 + if opt_sz <= _OPT_EPS and perp_total <= _PERP_EPS: + release_open_slot_if_opening(executor.db) + return CloseResult(ok=True, detail="recover_opening: 交易所空仓，已释放 opening") + + # 无元数据但有仓 → 不自动处理 + if not option_inst: + return CloseResult( + ok=False, + detail="recover_opening: 交易所有仓但本地 opening 缺 option_inst_id", + ) + + # 仅期权 → half_open + repair + if opt_sz > _OPT_EPS and perp_total <= _PERP_EPS: + persist = getattr(executor, "_persist_half_open", None) + if not callable(persist): + return CloseResult(ok=False, detail="recover_opening: 无 half_open 落库") + of_px = float(pos.get("option_entry_px") or 0) or 0.0 + opt_qty = float(pos.get("option_qty_eth") or 0) + opt_contracts = float(pos.get("option_qty_contracts") or 0) + if opt_contracts <= 0 and hasattr(executor, "_ct_mult"): + from ..sim.liquidity import contracts_for_eth + + ct = executor._ct_mult(option_inst) + opt_contracts = float(contracts_for_eth(opt_qty or opt_sz, ct)) if opt_qty else float(opt_sz) + if opt_qty <= 0 and hasattr(executor, "_ct_mult"): + from ..sim.liquidity import eth_from_contracts + + opt_qty = eth_from_contracts(opt_contracts or opt_sz, executor._ct_mult(option_inst)) + persist( + group_id=group_id or f"RCV-{option_inst[-12:]}", + bias="recover", + option_side=str(pos.get("option_side") or "call"), + perp_side=perp_side, + option_inst_id=option_inst, + entry_index_px=float(pos.get("entry_index_px") or 0) or 0.0, + strike=None, + expiry_ymd=None, + opt_qty=opt_qty, + opt_contracts=opt_contracts or opt_sz, + of_px=of_px, + of_fee=0.0, + detail="recover_opening option-only → half_open", + ) + repair = getattr(executor, "repair_half_open", None) + if callable(repair): + return repair() + return CloseResult(ok=True, detail="recover_opening: 已落 half_open") + + # 期权+永续 → 提升为 open + promote = getattr(executor, "_promote_opening_to_open", None) + if callable(promote): + return promote(pos=pos, perp_inst=perp_inst, opt_sz=opt_sz, perp_total=perp_total) + return CloseResult( + ok=False, + detail="recover_opening: 双边有仓但执行器无 promote，请人工核对", + ) + + def _executor_client_and_exchange(executor) -> tuple[Any | None, str | None]: if get_settings().is_sim: return None, None diff --git a/backend/app/strategy/engine.py b/backend/app/strategy/engine.py index 898b386..28a697e 100644 --- a/backend/app/strategy/engine.py +++ b/backend/app/strategy/engine.py @@ -242,23 +242,32 @@ class StrategyEngine: if r.ok: self.enter_rest_after_close() elif st == "opening": - # 开仓未确认：不自动清槽（可能期权已成交）；紧急全平仅告警，防重复开 - ok = False - detail = ( - "stuck opening：请核对交易所期权/永续后人工处理" - "（已占槽防重复开，紧急全平不会自动释放）" - ) - close_data = {"status": "opening"} - try: - from ..notify import wecom - - wecom.notify_fault( - title="紧急全平遇到 stuck opening", - detail=detail, - dedupe_key="emergency:opening", + recover = getattr(self.matcher, "recover_opening", None) + if callable(recover): + r = recover() + ok = r.ok + detail = r.detail + close_data = r.data + st2 = str(self.matcher.current_position().get("status") or "") + if r.ok and st2 in ("flat",): + self.enter_rest_after_close() + else: + ok = False + detail = ( + "stuck opening：请核对交易所期权/永续后人工处理" + "（已占槽防重复开）" ) - except Exception: - pass + close_data = {"status": "opening"} + try: + from ..notify import wecom + + wecom.notify_fault( + title="紧急全平遇到 stuck opening", + detail=detail, + dedupe_key="emergency:opening", + ) + except Exception: + pass elif st in ("open", "option_closed_perp_pending"): # A：双腿（或续平永续） r = self.matcher.close_group(reason="emergency", bypass_liquidity=True) @@ -534,6 +543,46 @@ class StrategyEngine: pos = self.matcher.current_position() st_pos = str(pos.get("status") or "flat") + if st_pos == "opening": + allowed, left = self._retry_allowed("opening") + if not allowed: + self._set_state( + phase="opening_stuck", + last_error=f"opening 恢复退避中，{left:.0f}s 后再试", + ) + return + recover = getattr(self.matcher, "recover_opening", None) + if callable(recover): + r = await asyncio.to_thread(recover) + self._note_retry_result("opening", ok=r.ok, detail=r.detail) + if r.ok: + self._set_state(phase="idle", last_error=None) + if "half_open" in (r.detail or "") or "提升为 open" in (r.detail or ""): + pass # 继续本 tick 后续逻辑由下一轮处理 + try: + from ..notify import wecom + + wecom.notify_fault( + title="opening 已自动恢复", + detail=r.detail, + dedupe_key=f"opening_ok:{r.detail[:60]}", + ) + except Exception: + pass + else: + self._set_state(phase="opening_stuck", last_error=r.detail) + try: + from ..notify import wecom + + wecom.notify_fault( + title="opening 恢复失败", + detail=r.detail, + dedupe_key=f"opening_fail:{r.detail[:60]}", + ) + except Exception: + pass + return + if st_pos == "half_open": allowed, left = self._retry_allowed("half_open") if not allowed: @@ -733,7 +782,12 @@ class StrategyEngine: except Exception: logger.exception("wecom notify_open failed") else: - self._set_state(phase="idle", last_error=r.detail) + # 保留 opening 时勿伪装 idle + pos_after = self.matcher.current_position() + if str(pos_after.get("status") or "") == "opening": + self._set_state(phase="opening_stuck", last_error=r.detail) + else: + self._set_state(phase="idle", last_error=r.detail) try: from ..notify import wecom diff --git a/docs/审计说明-2026-07-29-开平仓与实盘安全.md b/docs/审计说明-2026-07-29-开平仓与实盘安全.md index 4b1e07d..8efab00 100644 --- a/docs/审计说明-2026-07-29-开平仓与实盘安全.md +++ b/docs/审计说明-2026-07-29-开平仓与实盘安全.md @@ -2,42 +2,48 @@ ## 范围 -- 开仓 / 平仓 / 到期双腿平仓 / 弃期权只平永续 -- LIVE 执行器（OKX / 币安）本地账本与交易所一致性 -- 手动开平仓 API 与策略引擎并发 -- 鉴权密钥、资金可开判定、平仓盈亏查询 +- 开仓 / 平仓 / 到期双腿 / 弃期权 / stuck `opening` 恢复 +- LIVE OKX / 币安执行器与本地账本一致性 +- 交易所对账（永续 + 期权） -## 结论摘要（含第二轮复审） +## 结论摘要（三轮） | 严重度 | 问题 | 处置 | |--------|------|------| -| Critical | 到期双平：`_mark` 后仍二次入账期权 | **已修**（第一轮） | -| Critical | 弃期权 `apply_cash` 无 `allow_negative` | **已修**（第一轮） | -| Critical | OKX abandon：双腿已平期权落 pending 后仍记 residual → 到期再结期权双计 | **已修**（第二轮）：pending 则续 `close_group` | -| High | 平仓用当前保证金模式 | **已修**（第一轮，OKX） | -| High | 手动开平无引擎锁 | **已修**（第一轮） | -| High | `_wait_fill` 超时把部分成交当全成 | **已修**（第二轮）：超时仅接受 `filled` | -| High | residual 结算无 `allow_negative`（LIVE） | **已修**（第二轮） | -| High | `opening` 卡住无恢复 | **部分**：紧急全平明确告警；不自动清槽（防裸仓清槽） | -| Med | positions-history / AUTH / 币安可开误调 OKX | **已修**（第一轮） | -| Med | 币安 `orderId` 误匹配卡 opening | **已修**（第二轮）：仅 `orderId=` | +| Critical | 到期双平期权二次入账 | **已修** | +| Critical | abandon 账本拒记 / 假 residual 双计 | **已修** | +| Critical | 币安 `orderId=` 保留 opening 实际不匹配 → 可能重复开 | **已修**：错误文案带 `orderId=` | +| Critical | `opening` 无元数据，崩溃后无法恢复 | **已修**：`stamp_opening_intent` + `recover_opening` | +| High | 对账只查永续 | **已修**：期权仓位 + flat 时任意期权残留 | +| High | pending 时永续已空仍用 DB 数量下单 | **已修**：`allow_db_fallback=False` → 直接 finalize | +| High | 期权已空仍再卖 / 未 mark | **已修**：查仓跳过再卖；有 close fill 不二次入账 | +| High | 永续开仓异常时可能已成交仍回滚期权 | **已修**：先查永续仓再决定 | +| High | `_wait_fill` 部分成交当全成 | **已修** | +| High | residual LIVE 无 `allow_negative` | **已修** | +| Med | 币安缺保证金模式 | **已修**：落库 + `set_margin_type` | -## 第二轮仍残留（已知） +## 开仓状态机（自检） -- 开仓两腿成交后、写 DB 前进程崩溃 → 交易所满仓、本地 `opening`（需人工对账）。 -- 启动对账主要看永续，不查期权裸仓。 -- 币安未持久化/使用 `perp_margin_mode`；可开资金未接币安余额。 -- LIVE 仅拒绝默认 `AUTH_SECRET`，弱自定义密钥不拦截。 +1. `claim_open_slot` → `opening` +2. `stamp_opening_intent`（写入 group_id / option_inst_id / 数量） +3. 下期权 → 再 stamp 成交均价 +4. 下永续；失败则查永续仓：有仓保留 opening；无仓则回滚期权，回滚失败 → `half_open` +5. 成功 → `open`；启动/tick/`close_group` 遇 `opening` → `recover_opening` -## 开/平仓自检要点 +## 平仓状态机（自检） -1. 期权先平并 `_mark_option_closed_perp_pending`，再平永续；finalize 跳过期权二次入账。 -2. abandon：若已 pending，只续平永续，**禁止**再插 residual。 -3. LIVE 成交后本地账本一律允许透支镜像。 -4. 手动开平与引擎共用 `_lock`。 +1. 卖期权（或到期本地结算）→ `_mark_option_closed_perp_pending`（只一次） +2. 平永续；交易所已空则不下单，直接 finalize +3. abandon：若已 pending，只续平永续，不记 residual +4. finalize 在 pending 时 `skip_option_cash` + +## 仍需人工场景（极少） + +- `opening` 无 `option_inst_id` 且交易所有不明期权仓：禁止自动清槽，企微告警 +- 提升为 `open` 时永续入场价用指数近似（本地镜像；实盘盈亏仍可走交易所对账） ## 涉及文件 -- `backend/app/live/executor.py` / `binance_executor.py` / `okx_trade.py` -- `backend/app/sim/matcher.py` / `strategy/engine.py` -- `backend/app/api/sim.py` / `settings.py` / `main.py` +- `backend/app/live/reconcile.py`（核心恢复/对账） +- `executor.py` / `binance_executor.py` / `okx_trade.py` / `binance_trade.py` +- `strategy/engine.py` / `sim/matcher.py` diff --git a/docs/更新说明.md b/docs/更新说明.md index 69f5b39..7e62f79 100644 --- a/docs/更新说明.md +++ b/docs/更新说明.md @@ -5,6 +5,22 @@ --- +## 2026-07-29 — 第三轮：opening 恢复 / 期权对账 / 平仓兜底 + +### 变更 + +1. 开仓意图 `stamp_opening_intent`：崩溃后仍带 `option_inst_id` 可恢复。 +2. `recover_opening`：空仓清槽 / 仅期权→half_open+repair / 双边→提升 open；启动与 tick / 紧急全平触发。 +3. 开仓前对账增加期权仓（含 flat 时任意期权残留）。 +4. 平仓：期权已空跳过再卖；有 close fill 不二次入账；pending 且永续已空不下单。 +5. 永续开仓异常先查仓再决定是否回滚期权；币安错误带 `orderId=`；币安保证金模式落库并 `set_margin_type`。 + +### 审计 + +详见 [`docs/审计说明-2026-07-29-开平仓与实盘安全.md`](./审计说明-2026-07-29-开平仓与实盘安全.md)。 + +--- + ## 2026-07-29 — 第二轮审计：abandon residual / 部分成交 / residual 账本 ### 变更