Show editable exit on live cards; price perp PnL via close-side book VWAP.
Align monitor profit-exit with the same book VWAP so card and auto-exit stay consistent. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
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"""永续盘口:按平仓方向扫档估 VWAP(持仓净利/出场判定与真平仓同口径)."""
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from __future__ import annotations
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from typing import Any, Optional
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def _sf(v: Any) -> Optional[float]:
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try:
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if v is None or v == "":
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return None
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return float(v)
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except (TypeError, ValueError):
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return None
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def _levels_from_book(book: dict[str, Any] | None, side: str) -> list[tuple[float, float]]:
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"""side=bids|asks → [(px, sz_contracts), ...]. ccxt 多为 [px, amount]."""
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if not isinstance(book, dict):
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return []
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raw = book.get(side) or []
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out: list[tuple[float, float]] = []
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for row in raw:
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px = sz = None
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if isinstance(row, (list, tuple)) and len(row) >= 2:
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px, sz = _sf(row[0]), _sf(row[1])
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elif isinstance(row, dict):
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px = _sf(row.get("px") or row.get("price") or row.get(0))
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sz = _sf(row.get("sz") or row.get("size") or row.get("amount") or row.get(1))
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if px is None or px <= 0 or sz is None or sz <= 0:
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continue
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out.append((float(px), float(sz)))
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return out
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def walk_book_vwap(
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levels: list[tuple[float, float]],
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*,
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need_contracts: float,
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) -> dict[str, Any]:
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"""从第一档往下扫 need_contracts 张,返回 VWAP 与流动性结果."""
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need = float(need_contracts or 0)
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if need <= 0:
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return {
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"ok": False,
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"liq_ok": False,
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"msg": "平仓张数无效",
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"vwap": None,
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"top_px": None,
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"top_sz": None,
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"filled_contracts": 0.0,
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"need_contracts": need,
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}
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if not levels:
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return {
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"ok": False,
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"liq_ok": False,
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"msg": "盘口为空",
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"vwap": None,
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"top_px": None,
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"top_sz": None,
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"filled_contracts": 0.0,
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"need_contracts": need,
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}
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top_px, top_sz = levels[0][0], levels[0][1]
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remain = need
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notional = 0.0
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filled = 0.0
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for px, sz in levels:
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take = min(remain, sz)
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if take <= 0:
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continue
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notional += take * px
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filled += take
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remain -= take
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if remain <= 1e-12:
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break
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if filled <= 1e-12:
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return {
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"ok": False,
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"liq_ok": False,
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"msg": "盘口深度为 0",
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"vwap": None,
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"top_px": top_px,
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"top_sz": top_sz,
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"filled_contracts": 0.0,
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"need_contracts": need,
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}
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vwap = notional / filled
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liq_ok = remain <= 1e-12
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msg = "" if liq_ok else f"盘口深度不足(需 {need:g} 张,可扫 {filled:g})"
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return {
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"ok": True,
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"liq_ok": liq_ok,
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"msg": msg,
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"vwap": round(float(vwap), 8),
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"top_px": float(top_px),
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"top_sz": float(top_sz),
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"filled_contracts": round(float(filled), 8),
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"need_contracts": need,
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}
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def perp_close_book_side(position_side: str) -> str:
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"""持仓方向 → 平仓吃的盘口侧:平多吃 bids,平空吃 asks."""
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return "bids" if str(position_side or "").lower() == "long" else "asks"
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def fetch_perp_close_vwap(
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exchange: Any,
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*,
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symbol: str,
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position_side: str,
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contracts: float,
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fallback_px: Optional[float] = None,
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limit: int = 20,
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) -> dict[str, Any]:
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"""拉永续盘口并按平仓方向扫档估 VWAP.
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返回含: vwap, top_px, top_sz, book_side, liq_ok, msg, filled_contracts.
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深度不足时仍返回已扫部分均价(ok=True,liq_ok=False);完全无盘口则回退 fallback_px.
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"""
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sym = str(symbol or "").strip()
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side = str(position_side or "").lower()
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book_side = perp_close_book_side(side)
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need = float(contracts or 0)
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base: dict[str, Any] = {
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"ok": False,
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"liq_ok": False,
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"msg": "",
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"vwap": None,
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"top_px": None,
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"top_sz": None,
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"filled_contracts": 0.0,
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"need_contracts": need,
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"book_side": book_side,
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"symbol": sym,
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"position_side": side,
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}
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if not sym or need <= 0:
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base["msg"] = "符号或张数无效"
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if fallback_px and float(fallback_px) > 0:
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base.update({"ok": True, "vwap": float(fallback_px), "msg": "无盘口,回退标记/开仓价"})
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return base
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book = None
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if exchange is not None and hasattr(exchange, "fetch_order_book"):
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try:
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book = exchange.fetch_order_book(sym, limit=int(limit or 20))
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except Exception as e:
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base["msg"] = f"拉盘口失败: {e}"
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book = None
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levels = _levels_from_book(book, book_side)
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walked = walk_book_vwap(levels, need_contracts=need)
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base.update(walked)
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base["book_side"] = book_side
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if base.get("vwap") is not None:
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return base
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# 回退:ticker 单档
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try:
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if exchange is not None and hasattr(exchange, "fetch_ticker"):
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t = exchange.fetch_ticker(sym) or {}
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if book_side == "bids":
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px = _sf(t.get("bid") or (t.get("info") or {}).get("bidPx"))
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else:
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px = _sf(t.get("ask") or (t.get("info") or {}).get("askPx"))
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if px and px > 0:
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base.update(
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{
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"ok": True,
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"liq_ok": False,
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"vwap": float(px),
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"top_px": float(px),
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"top_sz": None,
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"msg": "仅单档行情,深度未知",
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"filled_contracts": need,
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}
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)
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return base
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except Exception:
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pass
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if fallback_px and float(fallback_px) > 0:
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base.update(
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{
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"ok": True,
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"liq_ok": False,
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"vwap": float(fallback_px),
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"msg": base.get("msg") or "无盘口,回退标记/开仓价",
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}
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)
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return base
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