Add hub perpetual-options hedge calculator tab and sizing formula.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-28 12:37:51 +08:00
parent f360242188
commit 4bcf88b5cb
6 changed files with 496 additions and 5 deletions
@@ -0,0 +1,146 @@
+"""中控永期对冲计算器:永续 1 币 + 按目标盈利反推期权仓位(纯函数)."""
+from __future__ import annotations
+
+from typing import Any, Optional, Tuple
+
+from lib.trade.trade_fee_lib import estimate_roundtrip_fee_usdt, taker_fee_rate
+
+DEFAULT_CT_MULT = 0.01
+PERP_COINS = 1.0
+
+
+def _f(v: Any) -> Optional[float]:
+    if v is None or v == "":
+        return None
+    try:
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+def calc_perp_options_hedge(
+    *,
+    base: str = "ETH",
+    spot: float,
+    capital_usdt: float,
+    target_profit_u: float,
+    move_mode: str = "points",
+    move_value: float,
+    perp_leverage: float,
+    option_leverage: float,
+    ct_mult: float = DEFAULT_CT_MULT,
+) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
+    """测算期权开仓币数/张数,并给出永续对 / 期权对两套情景.
+
+    单币权利金 = 现价 / 期权杠杆
+    权利金预算 = 永续毛收益 − 目标盈利 − 永续开平手续费
+    期权币数 = 权利金预算 / 单币权利金
+    """
+    b = (base or "ETH").strip().upper()
+    if b not in ("ETH", "BTC"):
+        return None, "币种仅支持 BTC / ETH"
+
+    s = _f(spot)
+    capital = _f(capital_usdt)
+    target = _f(target_profit_u)
+    move = _f(move_value)
+    p_lev = _f(perp_leverage)
+    o_lev = _f(option_leverage)
+    ct = _f(ct_mult)
+    mode = (move_mode or "points").strip().lower()
+    if mode not in ("points", "pct", "percent", "rate"):
+        return None, "波动模式须为 points 或 pct"
+    if mode in ("percent", "rate"):
+        mode = "pct"
+
+    if s is None or capital is None or target is None or move is None or p_lev is None or o_lev is None:
+        return None, "参数格式错误"
+    if ct is None or ct <= 0:
+        ct = DEFAULT_CT_MULT
+    if s <= 0 or capital <= 0 or move <= 0 or p_lev <= 0 or o_lev <= 0:
+        return None, "现价、资金、波动、杠杆须大于 0"
+    if target < 0:
+        return None, "目标盈利不能为负"
+
+    # 波动对应的绝对点数(价格变动)
+    if mode == "pct":
+        move_points = s * (move / 100.0)
+    else:
+        move_points = move
+
+    if move_points <= 0:
+        return None, "波动对应价格变动须大于 0"
+
+    exit_px = s + move_points  # 永续方向对:按上涨测算 1 币多头
+    perp_gross = move_points * PERP_COINS
+    fee = estimate_roundtrip_fee_usdt(
+        s,
+        exit_px,
+        qty=PERP_COINS,
+        contract_size=1.0,
+    )
+    fee_rate = taker_fee_rate()
+
+    prem_per_coin = s / o_lev
+    if prem_per_coin <= 0:
+        return None, "单币权利金无效"
+
+    premium_budget = perp_gross - target - fee
+    if premium_budget <= 0:
+        return None, "波动收益不足以覆盖目标盈利+手续费，无法开期权"
+
+    opt_coins = premium_budget / prem_per_coin
+    opt_sheets = opt_coins / ct
+    premium_total = opt_coins * prem_per_coin  # == premium_budget
+
+    margin = (s * PERP_COINS) / p_lev
+    capital_ok = capital >= margin
+
+    # A: 永续方向对,期权权利金全亏
+    case_a_net = perp_gross - premium_total - fee
+
+    # B: 期权方向对,永续 1 币反向亏掉同等波动
+    opt_intrinsic = opt_coins * move_points
+    opt_net = opt_intrinsic - premium_total
+    perp_loss = -perp_gross
+    portfolio_net = opt_net + perp_loss
+
+    return {
+        "base": b,
+        "spot": round(s, 8),
+        "capital_usdt": round(capital, 8),
+        "target_profit_u": round(target, 8),
+        "move_mode": mode,
+        "move_value": round(move, 8),
+        "move_points": round(move_points, 8),
+        "exit_price": round(exit_px, 8),
+        "perp_coins": PERP_COINS,
+        "perp_leverage": round(p_lev, 8),
+        "option_leverage": round(o_lev, 8),
+        "ct_mult": ct,
+        "prem_per_coin": round(prem_per_coin, 8),
+        "perp_gross_u": round(perp_gross, 8),
+        "perp_fee_u": round(fee, 8),
+        "fee_rate": fee_rate,
+        "premium_budget_u": round(premium_budget, 8),
+        "opt_coins": round(opt_coins, 8),
+        "opt_sheets": round(opt_sheets, 8),
+        "premium_total_u": round(premium_total, 8),
+        "perp_margin_u": round(margin, 8),
+        "capital_ok": bool(capital_ok),
+        "case_a": {
+            "label": "永续方向对",
+            "perp_pnl_u": round(perp_gross, 8),
+            "premium_u": round(premium_total, 8),
+            "fee_u": round(fee, 8),
+            "net_u": round(case_a_net, 8),
+        },
+        "case_b": {
+            "label": "期权方向对",
+            "opt_intrinsic_u": round(opt_intrinsic, 8),
+            "premium_u": round(premium_total, 8),
+            "opt_net_u": round(opt_net, 8),
+            "perp_pnl_u": round(perp_loss, 8),
+            "portfolio_net_u": round(portfolio_net, 8),
+        },
+    }, None