fix: accumulate partial fills in UserDataStream for accurate PnL

MARKET orders can fill in multiple trades (PARTIALLY_FILLED → FILLED).
Previously only the last fill's rp/commission was captured, causing
under-reported PnL. Now accumulates rp and commission across all
partial fills per order_id and sums them on final FILLED event.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
21in7
2026-03-17 13:47:34 +09:00
parent 64f56806d2
commit 106eaf182b

View File

@@ -15,6 +15,7 @@ class UserDataStream:
- python-binance BinanceSocketManager의 내장 keepalive 활용
- 네트워크 단절 시 무한 재연결 루프
- ORDER_TRADE_UPDATE 이벤트에서 지정 심볼의 청산 주문만 필터링하여 콜백 호출
- 부분 체결(PARTIALLY_FILLED) 시 rp/commission을 누적하여 최종 FILLED에서 합산 콜백
"""
def __init__(
@@ -24,6 +25,8 @@ class UserDataStream:
):
self._symbol = symbol.upper()
self._on_order_filled = on_order_filled
# 부분 체결 누적용: order_id → {rp, commission}
self._partial_fills: dict[int, dict[str, float]] = {}
async def start(self, api_key: str, api_secret: str) -> None:
"""User Data Stream 메인 루프 — 봇 종료 시까지 실행."""
@@ -77,20 +80,43 @@ class UserDataStream:
if order.get("s", "") != self._symbol:
return
# x: Execution Type, X: Order Status
if order.get("x") != "TRADE" or order.get("X") != "FILLED":
# x: Execution Type — TRADE만 처리
if order.get("x") != "TRADE":
return
order_status = order.get("X", "")
order_type = order.get("o", "")
is_reduce = order.get("R", False)
realized_pnl = float(order.get("rp", "0"))
order_id = order.get("i", 0)
# 청산 주문 판별: reduceOnly이거나 TP/SL 타입
is_close = is_reduce or order_type in _CLOSE_ORDER_TYPES
if not is_close:
return
commission = abs(float(order.get("n", "0")))
fill_rp = float(order.get("rp", "0"))
fill_commission = abs(float(order.get("n", "0")))
if order_status == "PARTIALLY_FILLED":
# 부분 체결: rp와 commission을 누적
if order_id not in self._partial_fills:
self._partial_fills[order_id] = {"rp": 0.0, "commission": 0.0}
self._partial_fills[order_id]["rp"] += fill_rp
self._partial_fills[order_id]["commission"] += fill_commission
logger.debug(
f"[{self._symbol}] 부분 체결 누적 (order_id={order_id}): "
f"rp={fill_rp:+.4f}, commission={fill_commission:.4f}"
)
return
if order_status != "FILLED":
return
# 최종 체결: 이전 부분 체결분 합산
accumulated = self._partial_fills.pop(order_id, {"rp": 0.0, "commission": 0.0})
realized_pnl = accumulated["rp"] + fill_rp
commission = accumulated["commission"] + fill_commission
net_pnl = realized_pnl - commission
exit_price = float(order.get("ap", "0"))