dekun
4994aaab16
Document and enforce: A full dual-leg close, B perp-only when deep OTM with residual archive that does not block next open, and expiry settlement when target is missed. Co-authored-by: Cursor <cursoragent@cursor.com>
68 lines
2.1 KiB
Python
68 lines
2.1 KiB
Python
"""从成交明细汇总腿盈亏与净盈亏。"""
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from __future__ import annotations
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from typing import Any
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def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]:
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"""
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价差盈亏按 fill_px；手续费另扣。
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净盈亏 = 期权盈亏 + 永续盈亏 − 全部手续费（开+平）。
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允许只有永续已平、期权尚未结算的半组。
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"""
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rows = [dict(x) for x in fills]
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opt_open = next(
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(f for f in rows if f.get("leg") == "option" and f.get("action") == "open"),
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None,
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)
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opt_close = next(
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(f for f in rows if f.get("leg") == "option" and f.get("action") == "close"),
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None,
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)
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perp_open = next(
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(f for f in rows if f.get("leg") == "perp" and f.get("action") == "open"),
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None,
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)
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perp_close = next(
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(f for f in rows if f.get("leg") == "perp" and f.get("action") == "close"),
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None,
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)
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option_pnl: float | None = None
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if opt_open and opt_close:
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qty = float(opt_open.get("qty_eth") or opt_close.get("qty_eth") or 0)
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option_pnl = (float(opt_close["fill_px"]) - float(opt_open["fill_px"])) * qty
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perp_pnl: float | None = None
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if perp_open and perp_close:
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qty = float(perp_open.get("qty_eth") or perp_close.get("qty_eth") or 0)
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side = str(perp_open.get("side") or "")
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o = float(perp_open["fill_px"])
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c = float(perp_close["fill_px"])
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if side == "long":
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perp_pnl = (c - o) * qty
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else:
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perp_pnl = (o - c) * qty
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fees_total = sum(float(f.get("fee") or 0) for f in rows)
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gross = None
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net = None
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if option_pnl is not None and perp_pnl is not None:
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gross = option_pnl + perp_pnl
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net = gross - fees_total
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elif option_pnl is not None:
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gross = option_pnl
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net = option_pnl - fees_total
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elif perp_pnl is not None:
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gross = perp_pnl
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net = perp_pnl - fees_total
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return {
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"option_pnl": option_pnl,
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"perp_pnl": perp_pnl,
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"fees_total": fees_total,
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"gross_pnl": gross,
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"net_pnl": net,
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}
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