dekun
1c75db4a19
SIM shows perp/option fees and slip separately; LIVE keeps real exchange fees only with slip forced to zero. Co-authored-by: Cursor <cursoragent@cursor.com>
89 lines
2.7 KiB
Python
89 lines
2.7 KiB
Python
"""从成交明细汇总腿盈亏与净盈亏。"""
|
||
|
||
from __future__ import annotations
|
||
|
||
from typing import Any
|
||
|
||
|
||
def _as_map(x: Any) -> dict[str, Any]:
|
||
if isinstance(x, dict):
|
||
return x
|
||
try:
|
||
return dict(x)
|
||
except Exception:
|
||
return {}
|
||
|
||
|
||
def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]:
|
||
"""
|
||
价差盈亏按 fill_px；手续费另扣。
|
||
净盈亏 = 期权盈亏 + 永续盈亏 − 全部手续费（开+平）。
|
||
允许只有永续已平、期权尚未结算的半组。
|
||
|
||
手续费拆：fees_perp / fees_option；滑点合计 slip_total（SIM 记账；LIVE 应为 0）。
|
||
"""
|
||
rows = [_as_map(x) for x in fills]
|
||
opt_open = next(
|
||
(f for f in rows if f.get("leg") == "option" and f.get("action") == "open"),
|
||
None,
|
||
)
|
||
opt_close = next(
|
||
(f for f in rows if f.get("leg") == "option" and f.get("action") == "close"),
|
||
None,
|
||
)
|
||
perp_open = next(
|
||
(f for f in rows if f.get("leg") == "perp" and f.get("action") == "open"),
|
||
None,
|
||
)
|
||
perp_close = next(
|
||
(f for f in rows if f.get("leg") == "perp" and f.get("action") == "close"),
|
||
None,
|
||
)
|
||
|
||
option_pnl: float | None = None
|
||
if opt_open and opt_close:
|
||
qty = float(opt_open.get("qty_eth") or opt_close.get("qty_eth") or 0)
|
||
option_pnl = (float(opt_close["fill_px"]) - float(opt_open["fill_px"])) * qty
|
||
|
||
perp_pnl: float | None = None
|
||
if perp_open and perp_close:
|
||
qty = float(perp_open.get("qty_eth") or perp_close.get("qty_eth") or 0)
|
||
side = str(perp_open.get("side") or "")
|
||
o = float(perp_open["fill_px"])
|
||
c = float(perp_close["fill_px"])
|
||
if side == "long":
|
||
perp_pnl = (c - o) * qty
|
||
else:
|
||
perp_pnl = (o - c) * qty
|
||
|
||
fees_perp = sum(
|
||
float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "perp"
|
||
)
|
||
fees_option = sum(
|
||
float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "option"
|
||
)
|
||
fees_total = fees_perp + fees_option
|
||
slip_total = sum(float(f.get("slip") or 0) for f in rows)
|
||
gross = None
|
||
net = None
|
||
if option_pnl is not None and perp_pnl is not None:
|
||
gross = option_pnl + perp_pnl
|
||
net = gross - fees_total
|
||
elif option_pnl is not None:
|
||
gross = option_pnl
|
||
net = option_pnl - fees_total
|
||
elif perp_pnl is not None:
|
||
gross = perp_pnl
|
||
net = perp_pnl - fees_total
|
||
|
||
return {
|
||
"option_pnl": option_pnl,
|
||
"perp_pnl": perp_pnl,
|
||
"fees_perp": fees_perp,
|
||
"fees_option": fees_option,
|
||
"fees_total": fees_total,
|
||
"slip_total": slip_total,
|
||
"gross_pnl": gross,
|
||
"net_pnl": net,
|
||
}
|