eth_hedge_sim/scripts/repair_expiry_settle.py

#!/usr/bin/env python3
"""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）。

用法（本机）:
  $env:DEPLOY_PASS='...'
  python scripts/repair_expiry_settle.py
"""

from __future__ import annotations

import os
import sys
import time

HOST = os.environ.get("DEPLOY_HOST", "47.236.184.99")
USER = os.environ.get("DEPLOY_USER", "root")
PASSWORD = os.environ.get("DEPLOY_PASS", "")
ROOT = os.environ.get("DEPLOY_ROOT", "/opt/eth_hedge_sim")
DB = f"{ROOT}/backend/data/hedge.db"
GROUP = os.environ.get("REPAIR_GROUP_ID", "G-20260725-01")


REMOTE_PY = r'''
import sqlite3, time
DB = "%(db)s"
GROUP = "%(group)s"
FEE = 0.0005

con = sqlite3.connect(DB)
con.row_factory = sqlite3.Row
g = con.execute("SELECT * FROM groups WHERE group_id=?", (GROUP,)).fetchone()
if not g:
    print("group missing", GROUP)
    raise SystemExit(1)
if g["status"] != "closed" or g["close_reason"] != "expiry":
    print("skip: not closed expiry", dict(g))
    raise SystemExit(0)

fills = list(con.execute(
    "SELECT * FROM fills WHERE group_id=? ORDER BY ts_ms", (GROUP,)
).fetchall())
o_open = next(f for f in fills if f["leg"]=="option" and f["action"]=="open")
o_close = next(f for f in fills if f["leg"]=="option" and f["action"]=="close")
p_open = next(f for f in fills if f["leg"]=="perp" and f["action"]=="open")
p_close = next(f for f in fills if f["leg"]=="perp" and f["action"]=="close")

strike = float(g["strike"] or 1860)
# 永续平仓为买回空头：fill≈ask*(1+f) → spot≈ask
perp_fill = float(p_close["fill_px"])
spot = perp_fill / (1.0 + FEE)
intrinsic = max(spot - strike, 0.0) if str(g["option_side"])=="call" else max(strike - spot, 0.0)
old_base = float(o_close["base_px"] or o_close["fill_px"])
# 到期对齐实盘：严格内在价值，无盘口滑点
new_base = intrinsic
new_fill = intrinsic
qty = float(o_close["qty_eth"])
new_notional = new_fill * qty
new_fee = new_notional * FEE
new_slip = 0.0
old_cash = float(o_close["notional"]) - float(o_close["fee"])
new_cash = new_notional - new_fee
cash_delta = new_cash - old_cash
# 即使价已修好，也继续同步 realized_pnl（扣完全部手续费）

opt_entry = float(o_open["fill_px"])
opt_pnl = (new_fill - opt_entry) * qty
perp_entry = float(p_open["fill_px"])
perp_side = str(p_open["side"])
if perp_side == "long":
    perp_pnl = (float(p_close["fill_px"]) - perp_entry) * float(p_open["qty_eth"])
else:
    perp_pnl = (perp_entry - float(p_close["fill_px"])) * float(p_open["qty_eth"])

fees_all = (
    float(o_open["fee"])
    + float(p_open["fee"])
    + float(p_close["fee"])
    + new_fee
)
net_after_all_fees = perp_pnl + opt_pnl - fees_all

# fees on group: replace option close fee contribution
old_opt_fee = float(o_close["fee"])
old_opt_slip = float(o_close["slip"] or 0)
fees = float(g["fees"] or 0) - old_opt_fee + new_fee
slip = float(g["slip_cost"] or 0) - old_opt_slip + new_slip

now = int(time.time() * 1000)
meta = con.execute("SELECT equity, available FROM ledger_meta WHERE id=1").fetchone()
eq = float(meta["equity"]) + cash_delta
av = float(meta["available"]) + cash_delta

con.execute("BEGIN")
con.execute(
    "UPDATE fills SET base_px=?, fill_px=?, fee=?, slip=?, notional=? WHERE group_id=? AND leg='option' AND action='close'",
    (new_base, new_fill, new_fee, new_slip, new_notional, GROUP),
)
con.execute(
    "UPDATE groups SET realized_pnl=?, fees=?, slip_cost=?, note=? WHERE group_id=?",
    (net_after_all_fees, fees, slip, f"repaired_intrinsic:{intrinsic:.4f}", GROUP),
)
con.execute(
    "UPDATE ledger_meta SET equity=?, available=?, updated_at_ms=? WHERE id=1",
    (eq, av, now),
)
if abs(cash_delta) > 1e-12:
    con.execute(
        "INSERT INTO ledger_entries(group_id, kind, amount, balance_after, note, ts_ms) VALUES (?,?,?,?,?,?)",
        (GROUP, "repair_option_intrinsic", cash_delta, eq,
         f"repair {GROUP}: option close {old_base:.4f}->{new_base:.4f} intrinsic={intrinsic:.4f}", now),
    )
# also fix close_option entry amount if present
row = con.execute(
    "SELECT id, amount FROM ledger_entries WHERE group_id=? AND kind='close_option' ORDER BY id DESC LIMIT 1",
    (GROUP,),
).fetchone()
if row:
    con.execute(
        "UPDATE ledger_entries SET amount=?, note=? WHERE id=?",
        (new_cash, f"close option expiry (repaired intrinsic {intrinsic:.4f})", row["id"]),
    )
con.commit()
print({
    "group": GROUP,
    "spot": spot,
    "intrinsic": intrinsic,
    "old_base": old_base,
    "new_base": new_base,
    "option_pnl": opt_pnl,
    "perp_pnl": perp_pnl,
    "fees_all": fees_all,
    "cash_delta": cash_delta,
    "new_equity": eq,
    "new_realized_pnl": net_after_all_fees,
})
''' % {"db": DB, "group": GROUP}


def main() -> int:
    if not PASSWORD:
        print("Set DEPLOY_PASS", file=sys.stderr)
        return 2
    import paramiko

    client = paramiko.SSHClient()
    client.set_missing_host_key_policy(paramiko.AutoAddPolicy())
    client.connect(HOST, username=USER, password=PASSWORD, timeout=30)
    cmd = "python3 - <<'PY'\n" + REMOTE_PY + "\nPY"
    _, stdout, stderr = client.exec_command(cmd)
    out = stdout.read().decode("utf-8", errors="replace")
    err = stderr.read().decode("utf-8", errors="replace")
    code = stdout.channel.recv_exit_status()
    print(out)
    if err:
        print(err, file=sys.stderr)
    client.close()
    return code


if __name__ == "__main__":
    raise SystemExit(main())