Compute option UPL as initial premium minus bid times size.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-25 09:28:40 +08:00
parent 77ae6a44b9
commit fd4597f735
+13 -8
View File
@@ -467,33 +467,38 @@ class Matcher:
oq = get_exchange().quote(opt_inst) if opt_inst else None
if oq is None:
oq = snap.call if option_side == "call" else snap.put
initial_premium = float(pos["initial_premium"] or 0)
option_upl = 0.0
option_econ = 0.0 # 真实经济盈亏:买一市值 − 开仓权利金
est_opt_close_fee = 0.0
opt_mark = None
if oq and oq.bid is not None:
bid = float(oq.bid)
of = option_fill(
action="close",
bid=float(oq.bid),
ask=float(oq.ask or oq.bid),
bid=bid,
ask=float(oq.ask or bid),
qty_eth=opt_qty,
fee_rate=fee_rate,
)
option_upl = (of.fill_px - opt_entry) * opt_qty
est_opt_close_fee = of.fee
opt_mark = of.fill_px
opt_mark = bid
# 浮盈亏展示:初始权利金 − 买一×数量
option_upl = initial_premium - bid * opt_qty
option_econ = bid * opt_qty - initial_premium
elif oq:
opt_mark = oq.bid or oq.mark_px
if opt_mark is not None:
option_upl = (float(opt_mark) - opt_entry) * opt_qty
option_upl = initial_premium - float(opt_mark) * opt_qty
option_econ = float(opt_mark) * opt_qty - initial_premium
est_close_fees = est_perp_close_fee + est_opt_close_fee
# 净盈利口径与平仓结算一致:双腿盈亏 − 预估平仓手续费
net_pnl = perp_upl + option_upl - est_close_fees
# 净盈利用经济口径(含预估平仓费);期权浮盈亏字段单独按权利金−买一市值
net_pnl = perp_upl + option_econ - est_close_fees
entry_idx = float(pos["entry_index_px"] or 0)
move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
move_pct = (move / entry_idx * 100.0) if entry_idx > 0 else 0.0
initial_premium = float(pos["initial_premium"] or 0)
premium_gap = initial_premium - perp_upl
leverage = self.ledger.get_setting_float("leverage", s.leverage)
notional = abs(perp_entry * perp_qty)