dekun
153 lines
4.9 KiB
Python
153 lines
4.9 KiB
Python
"""LIVE 组净盈亏：交易所永续 UPL/资金费 + 本地期权净盈亏 − 真实手续费。"""
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from __future__ import annotations
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import logging
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import time
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from typing import Any, Protocol
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logger = logging.getLogger(__name__)
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class _FeeFundingClient(Protocol):
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def get_perp_upl_usdt(self, *args: Any, **kwargs: Any) -> float | None: ...
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def get_funding_usdt(self, *args: Any, **kwargs: Any) -> float: ...
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def get_closed_perp_pnl_usdt(self, *args: Any, **kwargs: Any) -> float | None: ...
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def group_paid_fees_usdt(db: Any, group_id: str) -> float:
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rows = db.fetchall(
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"SELECT fee FROM fills WHERE group_id=?",
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(group_id,),
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)
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return sum(abs(float(r["fee"] or 0)) for r in rows)
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def enrich_live_unrealized(
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*,
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base: dict[str, Any],
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db: Any,
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client: Any,
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exchange: str,
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perp_inst_id: str,
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perp_side: str,
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open_at_ms: int | None,
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) -> dict[str, Any]:
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"""
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在 Matcher.unrealized 结果上覆盖 LIVE 口径：
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net = 永续交易所UPL + 期权净盈亏(本地) − 入场手续费×2 + 资金费(signed)
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离场手续费按入场手续费估算（开+平 ≈ 已付×2）。
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"""
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if not base.get("has_position"):
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return base
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group_id = str(base.get("group_id") or "")
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fees_paid = group_paid_fees_usdt(db, group_id) if group_id else 0.0
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begin = int(open_at_ms or 0)
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funding = 0.0
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perp_upl = float(base.get("perp_upl") or 0.0)
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ex = (exchange or "").lower()
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try:
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if ex == "binance":
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side = "LONG" if perp_side == "long" else "SHORT"
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upl = client.get_perp_upl_usdt(perp_inst_id, position_side=side)
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if upl is not None:
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perp_upl = float(upl)
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if begin > 0:
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funding = float(
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client.get_funding_usdt(perp_inst_id, begin_ms=begin) or 0.0
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)
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else:
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upl = client.get_perp_upl_usdt(perp_inst_id, pos_side=perp_side)
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if upl is not None:
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perp_upl = float(upl)
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if begin > 0:
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funding = float(
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client.get_funding_usdt(perp_inst_id, begin_ms=begin) or 0.0
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)
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except Exception as e:
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logger.warning("live unrealized exchange overlay failed: %s", e)
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option_upl = float(base.get("option_upl") or 0.0) # 期权净盈亏（本地）
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# 盯盘/达标：离场费 ≈ 入场费 → 合计扣 已付×2
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est_close = float(fees_paid)
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net_pnl = perp_upl + option_upl - fees_paid * 2.0 + funding
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out = dict(base)
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out["perp_upl"] = perp_upl
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out["option_upl"] = option_upl
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out["fees_paid"] = fees_paid
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out["funding_usdt"] = funding
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out["est_close_fees"] = est_close
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out["net_pnl"] = net_pnl
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out["pnl_source"] = "live_exchange"
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return out
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def reconcile_closed_group_pnl(
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*,
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db: Any,
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client: Any,
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exchange: str,
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group_id: str,
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perp_inst_id: str,
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open_at_ms: int | None,
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local_net: float | None,
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) -> float:
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"""
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平仓后回写：净盈亏优先用 交易所永续已实现 + 本地期权腿盈亏 − 手续费 + 资金费。
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失败则退回 local_net。
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"""
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from ..sim.pnl import summarize_fills_pnl
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fills = db.fetchall(
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"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
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)
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summary = summarize_fills_pnl(list(fills))
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fees = float(summary.get("fees_total") or 0.0)
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option_pnl = summary.get("option_pnl")
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local_perp = summary.get("perp_pnl")
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begin = int(open_at_ms or 0)
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end = int(time.time() * 1000)
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funding = 0.0
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exch_perp: float | None = None
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ex = (exchange or "").lower()
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try:
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if begin > 0:
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funding = float(client.get_funding_usdt(perp_inst_id, begin_ms=begin, end_ms=end) or 0.0)
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exch_perp = client.get_closed_perp_pnl_usdt(
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perp_inst_id, begin_ms=begin, end_ms=end
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)
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except Exception as e:
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logger.warning("reconcile exchange pnl failed: %s", e)
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perp_pnl = float(exch_perp) if exch_perp is not None else (
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float(local_perp) if local_perp is not None else 0.0
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)
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opt = float(option_pnl) if option_pnl is not None else 0.0
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net = perp_pnl + opt - fees + funding
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if local_net is not None and exch_perp is None and abs(funding) < 1e-12:
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# 交易所永续已实现拉不到且无资金费 → 保持本地
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net = float(local_net)
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with db._lock:
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try:
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db._conn.execute(
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"UPDATE groups SET realized_pnl=?, funding_usdt=?, fees=? WHERE group_id=?",
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(float(net), float(funding), float(fees), group_id),
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)
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db._conn.commit()
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except Exception:
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# funding_usdt 列未迁移时降级
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db._conn.execute(
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"UPDATE groups SET realized_pnl=?, fees=? WHERE group_id=?",
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(float(net), float(fees), group_id),
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)
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db._conn.commit()
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return float(net)
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