eth_hedge_sim/scripts/repair_oo_settle_index.py

"""回填期期到期组的 settle_index（及可选内在价值成交）。

用法:
  $env:DEPLOY_PASS='...'
  $env:REPAIR_GROUP_ID='G-20260810-01'
  # 可选: $env:SETTLE_INDEX='1877.8'  不设则用币安 ETHUSDT 1m 收盘
  python scripts/repair_oo_settle_index.py
"""

from __future__ import annotations

import json
import os
import sys
import urllib.request

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-20260810-01")
SETTLE = os.environ.get("SETTLE_INDEX", "").strip()
REPAIR_FILLS = os.environ.get("REPAIR_FILLS", "1").strip() not in ("0", "false", "no")


def _eth_close(ms: int) -> float | None:
    minute = (int(ms) // 60_000) * 60_000
    url = (
        "https://api.binance.com/api/v3/klines"
        f"?symbol=ETHUSDT&interval=1m&startTime={minute}&limit=1"
    )
    with urllib.request.urlopen(url, timeout=10) as resp:
        rows = json.loads(resp.read().decode())
    if not rows:
        return None
    return float(rows[0][4])


REMOTE = r'''
import sqlite3
DB = %(db)r
GROUP = %(group)r
SETTLE = %(settle)s
REPAIR_FILLS = %(repair_fills)s

con = sqlite3.connect(DB)
con.row_factory = sqlite3.Row
g = con.execute("SELECT * FROM groups WHERE group_id=?", (GROUP,)).fetchone()
if not g:
    print("missing", GROUP)
    raise SystemExit(1)
if str(g["close_reason"] or "") != "expiry":
    print("not expiry", GROUP)
    raise SystemExit(1)
settle = float(SETTLE)
strike = float(g["strike"] or 0)
strike2 = float(g["strike2"] or 0) if g["strike2"] is not None else None
side = str(g["option_side"] or "call").lower()
side2 = str(g["option2_side"] or "put").lower()

def intrinsic(side, spot, k):
    if k is None:
        return None
    if side in ("call", "c"):
        return max(spot - k, 0.0)
    if side in ("put", "p"):
        return max(k - spot, 0.0)
    return 0.0

c_iv = intrinsic(side, settle, strike)
p_iv = intrinsic(side2, settle, strike2) if strike2 is not None else None
con.execute("BEGIN")
con.execute(
    "UPDATE groups SET settle_index_px=?, note=COALESCE(note,'') || ? WHERE group_id=?",
    (settle, f" | settle_backfill={settle}", GROUP),
)
updated = []
if REPAIR_FILLS:
    for leg, iv in (("option", c_iv), ("option2", p_iv)):
        if iv is None:
            continue
        row = con.execute(
            "SELECT id, qty_eth, fill_px FROM fills WHERE group_id=? AND leg=? AND action='close'",
            (GROUP, leg),
        ).fetchone()
        if not row:
            continue
        old_px = float(row["fill_px"] or 0)
        tol = max(0.5, abs(iv) * 0.05)
        if abs(old_px - iv) <= tol:
            continue
        qty = float(row["qty_eth"] or 0)
        con.execute(
            "UPDATE fills SET base_px=?, fill_px=?, notional=?, slip=0 WHERE id=?",
            (iv, iv, iv * qty, row["id"]),
        )
        updated.append((leg, old_px, iv, qty))
# 重算 realized
fills = list(con.execute("SELECT * FROM fills WHERE group_id=?", (GROUP,)))
opt = {}
for f in fills:
    key = (f["leg"], f["action"])
    opt[key] = f
net = 0.0
fees = 0.0
for leg in ("option", "option2"):
    o = opt.get((leg, "open"))
    c = opt.get((leg, "close"))
    if not o or not c:
        continue
    qty = float(o["qty_eth"] or c["qty_eth"] or 0)
    net += (float(c["fill_px"]) - float(o["fill_px"])) * qty
    fees += float(o["fee"] or 0) + float(c["fee"] or 0)
net_after = net - fees
con.execute(
    "UPDATE groups SET realized_pnl=? WHERE group_id=?",
    (net_after, GROUP),
)
con.commit()
print({
    "group": GROUP,
    "settle": settle,
    "call_iv": c_iv,
    "put_iv": p_iv,
    "fills_updated": updated,
    "realized_pnl": net_after,
})
'''


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

    settle = SETTLE
    if not settle:
        # peek close_at from remote first
        client = paramiko.SSHClient()
        client.set_missing_host_key_policy(paramiko.AutoAddPolicy())
        client.connect(HOST, username=USER, password=PASSWORD, timeout=30)
        _, stdout, _ = client.exec_command(
            f"sqlite3 {DB} \"SELECT close_at_ms FROM groups WHERE group_id='{GROUP}'\""
        )
        raw = stdout.read().decode().strip()
        client.close()
        if not raw:
            print("cannot read close_at_ms", file=sys.stderr)
            return 1
        px = _eth_close(int(raw))
        if px is None:
            print("cannot fetch ETHUSDT close", file=sys.stderr)
            return 1
        settle = f"{px:.4f}"
        print("using public ETHUSDT close", settle)

    body = REMOTE % {
        "db": DB,
        "group": GROUP,
        "settle": settle,
        "repair_fills": "True" if REPAIR_FILLS else "False",
    }
    client = paramiko.SSHClient()
    client.set_missing_host_key_policy(paramiko.AutoAddPolicy())
    client.connect(HOST, username=USER, password=PASSWORD, timeout=30)
    _, stdout, stderr = client.exec_command("python3 - <<'PY'\n" + body + "\nPY")
    print(stdout.read().decode("utf-8", "replace"))
    err = stderr.read().decode("utf-8", "replace")
    if err:
        print(err, file=sys.stderr)
    code = stdout.channel.recv_exit_status()
    client.close()
    return code


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