from __future__ import annotations from typing import Annotated, Any from fastapi import APIRouter, Depends, HTTPException from ..models.db import get_db from ..sim.pnl import summarize_fills_pnl from .auth import require_user from .hold_timing import hold_timing router = APIRouter(prefix="/api/trades", tags=["trades"]) def _row(r: Any) -> dict: return dict(r) def _expiry_settle_info(g: dict, fills: list) -> dict | None: """到期结算口径:期权价 = 内在价值(指数 vs 行权价),非盘口。""" if str(g.get("close_reason") or "") != "expiry": return None strike = g.get("strike") side = str(g.get("option_side") or "").lower() settle_index = g.get("settle_index_px") if settle_index is None and strike is not None: for raw in fills: f = dict(raw) if not isinstance(raw, dict) else raw if str(f.get("leg")) != "option" or str(f.get("action")) != "close": continue if abs(float(f.get("slip") or 0)) > 1e-12: continue px = float(f.get("fill_px") or 0) k = float(strike) if side in ("call", "c"): settle_index = k + px elif side in ("put", "p"): settle_index = k - px break intrinsic = None if settle_index is not None and strike is not None: s = float(settle_index) k = float(strike) if side in ("call", "c"): intrinsic = max(s - k, 0.0) elif side in ("put", "p"): intrinsic = max(k - s, 0.0) formula = ( "Call: max(指数−行权价, 0)" if side in ("call", "c") else "Put: max(行权价−指数, 0)" if side in ("put", "p") else "" ) return { "settle_index_px": float(settle_index) if settle_index is not None else None, "strike": float(strike) if strike is not None else None, "intrinsic": intrinsic, "formula": formula, "perp_note": "永续仍按市价平仓(非指数交割)", } def _close_index_px(g: dict, fills: list) -> float | None: """平仓时标的指数:优先 settle_index_px,否则用永续平仓价近似。""" raw = g.get("settle_index_px") if raw is not None: try: v = float(raw) if v > 0: return v except (TypeError, ValueError): pass for row in fills: f = dict(row) if not isinstance(row, dict) else row if str(f.get("leg") or "") == "perp" and str(f.get("action") or "") == "close": try: v = float(f.get("fill_px") or 0) if v > 0: return v except (TypeError, ValueError): pass break return None def _move_points(g: dict, fills: list) -> float | None: """开仓指数 → 平仓指数的点数(带符号:上涨为正)。持仓中无平仓价则空。""" entry = g.get("entry_index_px") if entry is None: return None try: e = float(entry) except (TypeError, ValueError): return None if e <= 0: return None close_px = _close_index_px(g, fills) if close_px is None: return None return round(float(close_px) - e, 2) def _option_entry_px(fills: list) -> float | None: for row in fills: f = dict(row) if not isinstance(row, dict) else row if str(f.get("leg") or "") != "option" or str(f.get("action") or "") != "open": continue try: v = float(f.get("fill_px") or 0) if v > 0: return v except (TypeError, ValueError): pass break return None def _option_leverage(g: dict, fills: list) -> float | None: """开仓期权杠杆 = 开仓指数 ÷ 期权开仓均价(与选约门限口径一致)。""" from ..strategy.selection import option_leverage try: entry = float(g.get("entry_index_px") or 0) except (TypeError, ValueError): return None opt_px = _option_entry_px(fills) if entry <= 0 or opt_px is None: return None lev = option_leverage(entry, opt_px) return round(float(lev), 1) if lev is not None else None def _enrich_group(g: dict, fills: list) -> dict: summary = summarize_fills_pnl(fills) # LIVE:优先 groups.realized_pnl(已按交易所回写,含资金费) if str(g.get("exec_mode") or "").upper() == "LIVE" and g.get("realized_pnl") is not None: summary = dict(summary) summary["net_pnl"] = float(g["realized_pnl"]) if g.get("funding_usdt") is not None: summary["funding_usdt"] = float(g["funding_usdt"]) summary["pnl_source"] = "live_exchange" g["pnl_summary"] = summary if summary.get("net_pnl") is not None: g["net_pnl"] = summary["net_pnl"] elif g.get("realized_pnl") is not None: g["net_pnl"] = float(g["realized_pnl"]) g.update(hold_timing(g, fills)) info = _expiry_settle_info(g, fills) if info: g["expiry_settle"] = info if g.get("settle_index_px") is None and info.get("settle_index_px") is not None: g["settle_index_px"] = info["settle_index_px"] mp = _move_points(g, fills) g["move_points"] = mp g["close_index_px"] = _close_index_px(g, fills) g["option_leverage"] = _option_leverage(g, fills) return g @router.get("/groups") async def list_groups(_user: Annotated[str, Depends(require_user)]) -> dict: db = get_db() rows = db.fetchall("SELECT * FROM groups ORDER BY open_at_ms DESC LIMIT 200") groups = [] for r in rows: g = _row(r) fills = db.fetchall( "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (g["group_id"],), ) groups.append(_enrich_group(g, fills)) return {"groups": groups} @router.get("/groups/{group_id}") async def group_detail( group_id: str, _user: Annotated[str, Depends(require_user)] ) -> dict: db = get_db() g = db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,)) if g is None: raise HTTPException(status_code=404, detail="group not found") fills = db.fetchall( "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,) ) gr = _enrich_group(_row(g), fills) return { "group": gr, "fills": [_row(x) for x in fills], "pnl_summary": gr.get("pnl_summary"), } @router.delete("/groups/{group_id}") async def delete_group( group_id: str, _user: Annotated[str, Depends(require_user)] ) -> dict: """删除一条已平仓交易记录(组/成交/残留/相关账本流水)。不回滚权益。""" db = get_db() g = db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,)) if g is None: raise HTTPException(status_code=404, detail="group not found") status = str(g["status"] or "").lower() if status != "closed": raise HTTPException( status_code=409, detail="只能删除已平仓记录;持仓中或开仓中的组不可删", ) pos = db.fetchone("SELECT group_id FROM positions WHERE id=1") if pos and str(pos["group_id"] or "") == group_id: raise HTTPException( status_code=409, detail="当前持仓仍引用该组,不可删除", ) with db._lock: db._conn.execute("DELETE FROM fills WHERE group_id=?", (group_id,)) db._conn.execute( "DELETE FROM residual_options WHERE group_id=?", (group_id,) ) db._conn.execute( "DELETE FROM ledger_entries WHERE group_id=?", (group_id,) ) cur = db._conn.execute( "DELETE FROM groups WHERE group_id=? AND status='closed'", (group_id,), ) if cur.rowcount <= 0: db._conn.rollback() raise HTTPException( status_code=409, detail="删除失败:组状态已变更", ) db._conn.commit() return {"ok": True, "group_id": group_id}