dekun
9295dcffe3
Align monitor profit-exit with the same book VWAP so card and auto-exit stay consistent. Co-authored-by: Cursor <cursoragent@cursor.com>
342 lines
13 KiB
Python
342 lines
13 KiB
Python
"""永期对冲 · 当前持仓:期权+永续实时卡(组合净利扣开平双边手续费)."""
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from __future__ import annotations
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from datetime import datetime, timedelta, timezone
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from typing import Any, Optional
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from lib.hedge_plan.hedge_plan_book_lib import fetch_perp_close_vwap
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from lib.hedge_plan.hedge_plan_option_primary_lib import (
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estimate_combo_net_pnl,
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fee_rate,
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option_fee_rate,
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opt_type_for_view,
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option_bid_liquidity_ok,
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perp_direction_for_view,
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)
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_BJ = timezone(timedelta(hours=8))
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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 _pick_option_row(rows: list[dict[str, Any]] | None, inst_id: str) -> Optional[dict[str, Any]]:
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want = str(inst_id or "").strip()
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if not want or not rows:
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return None
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for r in rows:
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if not isinstance(r, dict):
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continue
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rid = str(r.get("instId") or r.get("inst_id") or "").strip()
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if rid == want:
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return r
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return None
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def _option_bid_quote(
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ex: Any, inst_id: str, fallback: Optional[float]
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) -> tuple[Optional[float], Optional[float]]:
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"""返回 (买一价, 买一张数)."""
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try:
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from lib.exchange.okx_options_lib import fetch_option_book_depth
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book = fetch_option_book_depth(ex, inst_id) or {}
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bids = book.get("bids") or []
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if bids and isinstance(bids[0], dict):
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bid = _sf(bids[0].get("px"))
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sz = _sf(bids[0].get("sz"))
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if bid is not None and bid > 0:
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return bid, sz
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except Exception:
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pass
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return fallback, None
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def _parse_opt_exp_ms(inst_id: str) -> Optional[int]:
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"""BTC-USD-261017-84000-P → 到期日 16:00 北京时间."""
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parts = str(inst_id or "").upper().split("-")
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if len(parts) < 4:
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return None
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raw = parts[2]
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if len(raw) != 6 or not raw.isdigit():
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return None
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try:
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yy, mm, dd = int(raw[0:2]), int(raw[2:4]), int(raw[4:6])
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year = 2000 + yy
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dt = datetime(year, mm, dd, 16, 0, 0, tzinfo=_BJ)
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return int(dt.timestamp() * 1000)
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except Exception:
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return None
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def _parse_opened_ms(opened_at: Any) -> Optional[int]:
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s = str(opened_at or "").strip()
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if not s:
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return None
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try:
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# "2026-10-14 16:22:21" 按北京时间
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dt = datetime.strptime(s[:19], "%Y-%m-%d %H:%M:%S").replace(tzinfo=_BJ)
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return int(dt.timestamp() * 1000)
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except Exception:
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return None
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def _pick_leg(
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legs: list[dict[str, Any]], roles: tuple[str, ...], *, prefer_open: bool = True
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) -> Optional[dict[str, Any]]:
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matched = [x for x in legs if str(x.get("leg_role") or "") in roles]
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if not matched:
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return None
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if prefer_open:
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open_ones = [x for x in matched if str(x.get("status") or "").lower() == "open"]
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if open_ones:
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return open_ones[0]
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return matched[0]
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def _has_open_leg(legs: list[dict[str, Any]]) -> bool:
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return any(str(x.get("status") or "").lower() == "open" for x in legs)
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def build_live_hedge_cards(cfg: dict[str, Any], conn: Any) -> list[dict[str, Any]]:
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"""当前持仓:未平完的永期仓(含计划已结束但腿仍 open)."""
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from lib.hedge_plan.hedge_plan_db import attach_legs_to_plans, list_plans_for_live_positions
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rows = list_plans_for_live_positions(conn, plan_type="perp_options", limit=40)
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if not rows:
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return []
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plans = attach_legs_to_plans(conn, rows)
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fetch_opt = cfg.get("fetch_option_positions")
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ex_opt = None
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try:
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get_ex = cfg.get("exchange_options")
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ex_opt = get_ex() if callable(get_ex) else get_ex
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except Exception:
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ex_opt = None
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opt_rows: list[dict[str, Any]] = []
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if callable(fetch_opt) and ex_opt is not None:
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try:
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opt_rows = fetch_opt(ex_opt) or []
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except Exception:
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opt_rows = []
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get_perp_metrics = cfg.get("get_live_position_exchange_metrics")
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get_cs = cfg.get("get_contract_size")
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fetch_idx = cfg.get("fetch_index_price")
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ex_perp = None
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try:
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get_pex = cfg.get("exchange")
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ex_perp = get_pex() if callable(get_pex) else get_pex
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except Exception:
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ex_perp = None
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fr = fee_rate()
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fr_opt = option_fee_rate()
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now_ms = int(datetime.now(tz=_BJ).timestamp() * 1000)
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out: list[dict[str, Any]] = []
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for plan in plans:
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legs = plan.get("legs") or []
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plan_st = str(plan.get("status") or "").lower()
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# 已结束计划:仅当仍有未平腿才进当前持仓
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if plan_st == "closed" and not _has_open_leg(legs):
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continue
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opt_leg = _pick_leg(legs, ("option_hedge", "option_a"))
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perp_leg = _pick_leg(legs, ("perp",))
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if not opt_leg and not perp_leg:
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continue
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# 已结束:只展示仍 open 的腿;若该腿已平则置空
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if plan_st == "closed":
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if opt_leg and str(opt_leg.get("status") or "").lower() != "open":
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opt_leg = None
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if perp_leg and str(perp_leg.get("status") or "").lower() != "open":
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perp_leg = None
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if not opt_leg and not perp_leg:
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continue
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view = str(plan.get("direction") or "long").lower()
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uly = str(plan.get("underlying") or "ETH").upper()
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inst_id = str((opt_leg or {}).get("inst_id") or "")
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opt_raw = _pick_option_row(opt_rows, inst_id) if inst_id else None
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sheets = _sf((opt_leg or {}).get("size")) or _sf((opt_raw or {}).get("pos")) or 0.0
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ct = _sf((opt_leg or {}).get("ct_mult")) or 0.01
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avg_open = _sf((opt_leg or {}).get("avg_open")) or _sf((opt_raw or {}).get("avgPx")) or 0.0
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mark_opt = _sf((opt_raw or {}).get("markPx")) or _sf((opt_raw or {}).get("last")) or avg_open
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bid, bid_sz = _option_bid_quote(ex_opt, inst_id, mark_opt) if inst_id else (mark_opt, None)
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strike = _sf((opt_leg or {}).get("strike")) or 0.0
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opt_type = str((opt_leg or {}).get("opt_type") or opt_type_for_view(view)).upper()
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# 币本位杠杆≈1÷卖一/标记
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lev_ref = _sf(avg_open) or _sf(mark_opt) or 0.0
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opt_leverage = round(1.0 / lev_ref, 1) if lev_ref and lev_ref > 0 else None
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liq_ok, liq_msg = option_bid_liquidity_ok(bid, bid_sz, need_sheets=float(sheets or 0))
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sym = str((perp_leg or {}).get("symbol") or plan.get("exchange_symbol") or "")
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perp_dir = str(
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(perp_leg or {}).get("side") or plan.get("perp_direction") or perp_direction_for_view(view)
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).lower()
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contracts = _sf((perp_leg or {}).get("size")) or _sf(plan.get("perp_size")) or 0.0
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perp_entry = _sf((perp_leg or {}).get("avg_open")) or _sf(plan.get("entry_mark")) or 0.0
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perp_lev = _sf(plan.get("leverage")) or 0.0
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cs = 0.01
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if callable(get_cs) and sym:
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try:
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cs = float(get_cs(sym) or 0.01)
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except Exception:
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cs = 0.01
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perp_mark = None
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perp_upl = None
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live_contracts = None
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margin = None
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if callable(get_perp_metrics) and sym:
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try:
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m = get_perp_metrics(sym, perp_dir, order_leverage=plan.get("leverage"))
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if isinstance(m, dict):
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perp_mark = _sf(m.get("mark_price") or m.get("mark"))
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perp_upl = _sf(m.get("unrealized_pnl"))
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live_contracts = _sf(m.get("contracts") or m.get("size"))
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margin = _sf(m.get("initial_margin") or m.get("margin"))
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except Exception:
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pass
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if perp_mark is None or perp_mark <= 0:
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perp_mark = perp_entry
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if live_contracts and live_contracts > 0:
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contracts = live_contracts
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if (margin is None or margin <= 0) and contracts and perp_mark and perp_lev and perp_lev > 0:
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margin = round(float(contracts) * float(cs) * float(perp_mark) / float(perp_lev), 2)
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# 永续净利:按平仓方向扫盘口 VWAP(方案 A);标记价仅参考
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book = fetch_perp_close_vwap(
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ex_perp,
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symbol=sym,
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position_side=perp_dir,
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contracts=float(contracts or 0),
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fallback_px=perp_mark or perp_entry,
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)
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perp_vwap = _sf(book.get("vwap")) or perp_mark or perp_entry
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perp_liq_ok = bool(book.get("liq_ok")) if book.get("ok") else False
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perp_liq_msg = str(book.get("msg") or "")
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perp_top = _sf(book.get("top_px"))
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perp_top_sz = _sf(book.get("top_sz"))
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book_side = str(book.get("book_side") or "")
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idx = None
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if callable(fetch_idx):
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try:
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idx = _sf(fetch_idx(uly))
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except Exception:
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idx = None
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if idx is None or idx <= 0:
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idx = perp_vwap or perp_mark or strike or 0.0
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net = estimate_combo_net_pnl(
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view_side=view,
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strike=float(strike or 0),
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index_px=float(idx or 0),
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ask_open=float(avg_open or 0),
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bid=float(bid or 0),
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sheets=float(sheets or 0),
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ct_mult=float(ct or 0.01),
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perp_direction=perp_dir,
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perp_entry=float(perp_entry or 0),
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perp_mark=float(perp_vwap or 0),
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contracts=float(contracts or 0),
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contract_size=float(cs or 0.01),
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fee=fr,
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option_fee=fr_opt,
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)
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opt_net_coin = float(net.get("opt_net") or 0)
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# 币→U:用当前指数(与买币参考价同口径)
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opt_net_usdt = round(opt_net_coin * float(idx or 0), 4) if idx else None
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perp_net = float(net.get("perp_net") or 0)
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combo_usdt = round((opt_net_usdt or 0) + perp_net, 4) if opt_net_usdt is not None else round(perp_net, 4)
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prem_coin = float(net.get("premium") or (float(avg_open or 0) * float(sheets or 0) * float(ct or 0.01)))
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prem_usdt = round(prem_coin * float(idx or 0), 2) if idx else None
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opened_at = plan.get("opened_at")
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opened_ms = _parse_opened_ms(opened_at)
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# 两腿开仓时间统一取计划 opened_at
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exp_ms = _parse_opt_exp_ms(inst_id)
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hold_sec = int((now_ms - opened_ms) / 1000) if opened_ms else None
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remain_sec = int((exp_ms - now_ms) / 1000) if exp_ms else None
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exit_mode = str(plan.get("exit_mode") or "").strip().lower()
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if exit_mode not in ("profit", "target"):
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exit_mode = "profit" if _sf(plan.get("profit_target_usdt")) else "target"
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out.append(
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{
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"plan_id": plan.get("id"),
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"status": plan.get("status"),
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"unflat": plan_st == "closed",
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"underlying": uly,
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"direction": view,
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"opened_at": opened_at,
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"opened_ms": opened_ms,
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"exp_ms": exp_ms,
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"hold_sec": hold_sec,
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"remain_sec": remain_sec,
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"index_px": idx,
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"fee_rate": fr,
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"option_fee_rate": fr_opt,
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"exit": {
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"mode": exit_mode,
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"profit_target_usdt": _sf(plan.get("profit_target_usdt")),
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"option_target_points": _sf(plan.get("option_target_points")),
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"perp_target_points": _sf(plan.get("perp_target_points")),
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},
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"option": {
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"inst_id": inst_id or "—",
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"opt_type": opt_type,
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"strike": strike,
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"sheets": sheets,
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"ct_mult": ct,
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"avg_open": avg_open,
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"mark_px": mark_opt,
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"bid": bid,
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"bid_sz": bid_sz,
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"leverage": opt_leverage,
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"liq_ok": bool(liq_ok),
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"liq_msg": liq_msg or "",
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"premium_coin": round(prem_coin, 4),
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"premium_usdt": prem_usdt,
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"net_coin": opt_net_coin,
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"net_usdt": opt_net_usdt,
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"live": bool(opt_raw),
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},
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"perp": {
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"symbol": sym or "—",
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"side": perp_dir,
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"contracts": contracts,
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"contract_size": cs,
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"avg_open": perp_entry,
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"mark_px": perp_mark,
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"vwap": perp_vwap,
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"book_side": book_side,
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"top_px": perp_top,
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"top_sz": perp_top_sz,
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"liq_ok": perp_liq_ok,
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"liq_msg": perp_liq_msg,
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"leverage": perp_lev or None,
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"margin": margin,
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"upl": perp_upl,
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"net_usdt": perp_net,
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"live": bool(book.get("ok")) or perp_upl is not None,
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},
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"combo": {
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"net_usdt": combo_usdt,
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"opt_net_usdt": opt_net_usdt,
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"perp_net_usdt": perp_net,
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"note": "扣开平双边手续费;永续按盘口均价估",
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},
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}
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)
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return out
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