eth_hedge_sim/backend/app/api/trades.py

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 _is_oo_group(g: dict) -> bool:
    return (
        str(g.get("hedge_mode") or "") == "option_option"
        or bool(g.get("option2_inst_id"))
        or str(g.get("bias") or "") == "option_option"
    )


def _infer_settle_index(g: dict, fills: list) -> float | None:
    """优先库内 settle_index_px；否则用「实值腿」成交反推；再否则公开指数近似。"""
    settle_index = g.get("settle_index_px")
    if settle_index is not None:
        try:
            v = float(settle_index)
            if v > 0:
                return v
        except (TypeError, ValueError):
            pass

    candidates: list[float] = []
    for raw in fills:
        f = dict(raw) if not isinstance(raw, dict) else raw
        if str(f.get("action") or "") != "close":
            continue
        leg = str(f.get("leg") or "")
        if leg not in ("option", "option2"):
            continue
        if abs(float(f.get("slip") or 0)) > 1e-12:
            continue
        try:
            px = float(f.get("fill_px") or 0)
        except (TypeError, ValueError):
            continue
        # 虚值到期 fill=0：k+0 / k-0 会得到行权价，不是真实结算指数
        if px <= 1e-9:
            continue
        if leg == "option":
            strike = g.get("strike")
            side = str(g.get("option_side") or "").lower()
        else:
            strike = g.get("strike2")
            side = str(g.get("option2_side") or "put").lower()
        if strike is None:
            continue
        try:
            k = float(strike)
        except (TypeError, ValueError):
            continue
        if side in ("call", "c"):
            candidates.append(k + px)
        elif side in ("put", "p"):
            candidates.append(k - px)
    if candidates:
        return round(sum(candidates) / len(candidates), 4)

    try:
        from .public_index import maybe_public_settle_index

        pub = maybe_public_settle_index(g)
        if pub is not None and pub > 0:
            return round(float(pub), 4)
    except Exception:
        pass
    return None


def _overlay_expiry_intrinsic_fills(
    g: dict, fills: list, settle_index: float | None
) -> list:
    """到期且已有结算指数：close 成交按内在价值覆盖展示/盈亏（响应层）。

    交易所账单偶发落成近 0 价（如 0.2），与内在价值（如 42.2）严重不符时
    若只覆盖 fill≈0，Put 仍会按错误价算成巨亏。
    """
    if settle_index is None or settle_index <= 0:
        return fills
    if str(g.get("close_reason") or "") != "expiry":
        return fills
    out: list = []
    changed = False
    for raw in fills:
        f = dict(raw) if not isinstance(raw, dict) else dict(raw)
        if str(f.get("action") or "") == "close" and str(f.get("leg") or "") in (
            "option",
            "option2",
        ):
            try:
                px = float(f.get("fill_px") or 0)
            except (TypeError, ValueError):
                px = 0.0
            leg = str(f.get("leg") or "")
            if leg == "option":
                strike = g.get("strike")
                side = str(g.get("option_side") or "").lower()
            else:
                strike = g.get("strike2")
                side = str(g.get("option2_side") or "put").lower()
            if strike is not None:
                try:
                    intrinsic = float(
                        _intrinsic(side, float(settle_index), float(strike))
                    )
                    # 与内在价值偏差超过 0.5 USDT（或相对 5%）则覆盖
                    tol = max(0.5, abs(intrinsic) * 0.05)
                    if abs(px - intrinsic) > tol:
                        qty = float(f.get("qty_eth") or 0)
                        f["fill_px"] = intrinsic
                        f["base_px"] = intrinsic
                        f["notional"] = intrinsic * qty
                        f["slip"] = 0.0
                        f["_overlay_intrinsic"] = True
                        changed = True
                except (TypeError, ValueError):
                    pass
        out.append(f)
    return out if changed else fills


# 兼容旧测试名
_overlay_expiry_zero_fills = _overlay_expiry_intrinsic_fills


def _intrinsic(side: str, settle_index: float, strike: float) -> float:
    s = str(side or "").lower()
    if s in ("call", "c"):
        return max(settle_index - strike, 0.0)
    if s in ("put", "p"):
        return max(strike - settle_index, 0.0)
    return 0.0


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
    settle_index = _infer_settle_index(g, fills)
    strike = g.get("strike")
    side = str(g.get("option_side") or "").lower()
    intrinsic = None
    if settle_index is not None and strike is not None:
        intrinsic = _intrinsic(side, float(settle_index), float(strike))
    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 ""
    )
    is_oo = _is_oo_group(g)
    out: dict[str, Any] = {
        "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": (
            "期期无永续腿；两腿均按内在价值结算"
            if is_oo
            else "永续仍按市价平仓（非指数交割）"
        ),
        "is_oo": is_oo,
    }
    if is_oo:
        strike2 = g.get("strike2")
        side2 = str(g.get("option2_side") or "put").lower()
        intrinsic2 = None
        if settle_index is not None and strike2 is not None:
            intrinsic2 = _intrinsic(side2, float(settle_index), float(strike2))
        out["strike2"] = float(strike2) if strike2 is not None else None
        out["intrinsic2"] = intrinsic2
        out["formula2"] = (
            "Put: max(行权价−指数, 0)"
            if side2 in ("put", "p")
            else "Call: max(指数−行权价, 0)"
            if side2 in ("call", "c")
            else ""
        )
        out["option2_side"] = side2
    return out


def _close_index_px(g: dict, fills: list) -> float | None:
    """平仓时标的指数：优先库内 settle；到期才用实值腿反推；否则永续平仓价。"""
    raw = g.get("settle_index_px")
    if raw is not None:
        try:
            v = float(raw)
            if v > 0:
                return v
        except (TypeError, ValueError):
            pass
    # 仅到期：期权平仓价=内在价值，可反推指数；中途卖出的权利金不能当指数
    if str(g.get("close_reason") or "") == "expiry":
        inferred = _infer_settle_index(g, fills)
        if inferred is not None and inferred > 0:
            return inferred
    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, *, leg: str = "option") -> float | None:
    for row in fills:
        f = dict(row) if not isinstance(row, dict) else row
        if str(f.get("leg") or "") != leg 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_for_leg(
    g: dict, fills: list, *, leg: str = "option"
) -> 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, leg=leg)
    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:
    is_oo = _is_oo_group(g)
    g["is_oo"] = is_oo
    settle = _infer_settle_index(g, fills)
    view_fills = _overlay_expiry_intrinsic_fills(g, fills, settle)
    overlaid = any(
        isinstance(f, dict) and f.get("_overlay_intrinsic") for f in view_fills
    )
    summary = summarize_fills_pnl(view_fills)
    # LIVE 且未做内在价值覆盖：优先 groups.realized_pnl（含资金费）
    if (
        not overlaid
        and 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"
    elif overlaid:
        summary = dict(summary)
        summary["pnl_source"] = "expiry_intrinsic_overlay"
    elif (
        is_oo
        and g.get("realized_pnl") is not None
        and (
            summary.get("option_pnl") is None
            or summary.get("option2_pnl") is None
        )
    ):
        summary = dict(summary)
        summary["net_pnl"] = float(g["realized_pnl"])
        summary["pnl_source"] = "group_realized"
    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"])
    prem1 = float(g.get("initial_premium") or 0)
    prem2 = float(g.get("initial_premium2") or 0) if is_oo else 0.0
    g["total_initial_premium"] = prem1 + prem2 if is_oo else prem1
    g.update(hold_timing(g, fills))
    if settle is not None and g.get("settle_index_px") is None:
        g["settle_index_px"] = float(settle)
    info = _expiry_settle_info(g, view_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, view_fills)
    g["move_points"] = mp
    g["close_index_px"] = _close_index_px(g, view_fills)
    g["option_leverage"] = _option_leverage_for_leg(g, fills, leg="option")
    if is_oo:
        g["option2_leverage"] = _option_leverage_for_leg(g, fills, leg="option2")
    g["_view_fills"] = view_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"],),
        )
        gr = _enrich_group(g, fills)
        gr.pop("_view_fills", None)
        groups.append(gr)
    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)
    view_fills = gr.pop("_view_fills", None) or fills
    return {
        "group": gr,
        "fills": [
            {k: v for k, v in (dict(x) if not isinstance(x, dict) else x).items() if k != "_overlay_intrinsic"}
            for x in view_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}