Initial CoinOX instance: coin-margined options + USDT hedge.

Forked from crypto_monitor OKX instance (copy-only). Keeps standalone options, perp-options and options-options hedge; drops standalone perp entrypoints; forces coin margin; adds sim wallets; default port 5010. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-14 00:18:40 +08:00
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+"""成交价与手续费.
+
+永续:滑点=1×fee_rate,手续费=名义×fee_rate.
+期权(币本位):滑点仍按权利金价×fee_rate;手续费对齐 OKX=
+  Min(fee_rate×标的币数量, 权利金×7%).
+"""
+
+from __future__ import annotations
+
+import os
+from dataclasses import asdict, dataclass
+
+
+@dataclass(slots=True)
+class PriceResult:
+    base_px: float
+    fill_px: float
+    fee: float
+    slip: float
+    notional: float
+
+    def to_dict(self) -> dict[str, float]:
+        return asdict(self)
+
+
+def sim_fee_rate(override: float | None = None) -> float:
+    if override is not None:
+        return float(override)
+    try:
+        return float(os.getenv("SIM_FEE_RATE") or "0.0005")
+    except (TypeError, ValueError):
+        return 0.0005
+
+
+def perp_fill(
+    *,
+    side: str,
+    action: str,
+    bid: float,
+    ask: float,
+    qty: float,
+    fee_rate: float,
+) -> PriceResult:
+    """
+    side: long|short
+    action: open|close
+    开多/平空: 吃卖一 ×(1+f)
+    开空/平多: 吃买一 ×(1-f)
+    qty: 标的数量(合约张数 × 合约面值)
+    """
+    f = float(fee_rate)
+    buying = (action == "open" and side == "long") or (action == "close" and side == "short")
+    if buying:
+        base = float(ask)
+        fill = base * (1.0 + f)
+    else:
+        base = float(bid)
+        fill = base * (1.0 - f)
+    notional = abs(fill * float(qty))
+    fee = notional * f
+    slip = abs(fill - base) * float(qty)
+    return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
+
+
+def option_fee_coin(
+    *,
+    underlying_coin: float,
+    premium_coin: float,
+    fee_rate: float | None = None,
+    premium_fee_cap: float = 0.07,
+) -> float:
+    """OKX 币本位期权手续费(权利金币种).
+
+    Min(费率 × 张数对应标的币数量, 权利金×封顶比例).
+    注意:费率作用在标的币面值上,不是权利金名义上.
+    """
+    f = sim_fee_rate(fee_rate)
+    qty = abs(float(underlying_coin or 0.0))
+    prem = abs(float(premium_coin or 0.0))
+    if qty <= 0 and prem <= 0:
+        return 0.0
+    by_rate = qty * f
+    cap_ratio = abs(float(premium_fee_cap or 0.07))
+    if cap_ratio <= 0 or prem <= 0:
+        return round(by_rate, 8)
+    return round(min(by_rate, prem * cap_ratio), 8)
+
+
+def option_fill(
+    *,
+    action: str,
+    bid: float,
+    ask: float,
+    qty: float,
+    fee_rate: float,
+) -> PriceResult:
+    """开仓买入吃卖一; 平仓卖出吃买一.
+
+    qty = sheets × ct_mult(标的币数量).
+    滑点仍按权利金价×费率;手续费按 OKX 币本位公式(标的币×费率,权利金7%封顶).
+    """
+    f = float(fee_rate)
+    if action == "open":
+        base = float(ask)
+        fill = base * (1.0 + f)
+    else:
+        base = float(bid)
+        fill = base * (1.0 - f)
+    qty_f = abs(float(qty))
+    notional = abs(fill * qty_f)
+    fee = option_fee_coin(
+        underlying_coin=qty_f,
+        premium_coin=notional,
+        fee_rate=f,
+    )
+    slip = abs(fill - base) * qty_f
+    return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
+
+
+@dataclass(slots=True)
+class SpotConvertResult:
+    """USDC/USDT 现货兑换: price = USDT per USDC."""
+
+    direction: str
+    from_ccy: str
+    to_ccy: str
+    from_amount: float
+    to_amount: float
+    base_px: float
+    fill_px: float
+    fee: float
+
+
+def spot_usdc_usdt_fill(
+    *,
+    direction: str,
+    amount: float,
+    bid: float,
+    ask: float,
+    fee_rate: float,
+) -> SpotConvertResult:
+    """
+    对齐实盘 USDC-USDT 现货市价:
+    - usdt_to_usdc: 用 USDT 买 USDC, 吃卖一 ×(1+f)
+    - usdc_to_usdt: 卖 USDC 换 USDT, 吃买一 ×(1-f)
+    amount 为付出币种数量.
+    """
+    f = float(fee_rate)
+    amt = float(amount)
+    d = (direction or "").strip().lower()
+    if d == "usdt_to_usdc":
+        base = float(ask)
+        fill = base * (1.0 + f)
+        if fill <= 0:
+            raise ValueError("无效卖一价")
+        to_amt = amt / fill
+        fee = amt * f
+        return SpotConvertResult(
+            direction=d,
+            from_ccy="USDT",
+            to_ccy="USDC",
+            from_amount=amt,
+            to_amount=to_amt,
+            base_px=base,
+            fill_px=fill,
+            fee=fee,
+        )
+    if d == "usdc_to_usdt":
+        base = float(bid)
+        fill = base * (1.0 - f)
+        if fill <= 0:
+            raise ValueError("无效买一价")
+        to_amt = amt * fill
+        fee = to_amt * f
+        return SpotConvertResult(
+            direction=d,
+            from_ccy="USDC",
+            to_ccy="USDT",
+            from_amount=amt,
+            to_amount=to_amt,
+            base_px=base,
+            fill_px=fill,
+            fee=fee,
+        )
+    raise ValueError("direction 须为 usdt_to_usdc 或 usdc_to_usdt")
+
+
+def spot_coin_usdt_fill(
+    *,
+    direction: str,
+    amount: float,
+    bid: float,
+    ask: float,
+    fee_rate: float,
+    coin: str = "ETH",
+) -> SpotConvertResult:
+    """
+    对齐实盘 ETH-USDT / BTC-USDT 现货市价:
+    - usdt_to_coin: 用 USDT 买币, 吃卖一 ×(1+f); amount=USDT
+    - coin_to_usdt: 卖币换 USDT, 吃买一 ×(1-f); amount=币数量
+    """
+    f = float(fee_rate)
+    amt = float(amount)
+    ccy = (coin or "ETH").strip().upper() or "ETH"
+    d = (direction or "").strip().lower()
+    if d in ("usdt_to_coin", "usdt_to_eth", "usdt_to_btc"):
+        base = float(ask)
+        fill = base * (1.0 + f)
+        if fill <= 0:
+            raise ValueError("无效卖一价")
+        to_amt = amt / fill
+        fee = amt * f
+        return SpotConvertResult(
+            direction="usdt_to_coin",
+            from_ccy="USDT",
+            to_ccy=ccy,
+            from_amount=amt,
+            to_amount=to_amt,
+            base_px=base,
+            fill_px=fill,
+            fee=fee,
+        )
+    if d in ("coin_to_usdt", "eth_to_usdt", "btc_to_usdt"):
+        base = float(bid)
+        fill = base * (1.0 - f)
+        if fill <= 0:
+            raise ValueError("无效买一价")
+        to_amt = amt * fill
+        fee = to_amt * f
+        return SpotConvertResult(
+            direction="coin_to_usdt",
+            from_ccy=ccy,
+            to_ccy="USDT",
+            from_amount=amt,
+            to_amount=to_amt,
+            base_px=base,
+            fill_px=fill,
+            fee=fee,
+        )
+    raise ValueError("direction 须为 usdt_to_coin 或 coin_to_usdt")