Add depth-based option close flow.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-11 08:46:07 +08:00
parent 02472f19cb
commit 6e45604d93
6 changed files with 396 additions and 20 deletions
@@ -50,6 +50,68 @@ def total_premium(quote_per_unit: float, eth_amount: float, ct_mult: float = 0.0
    return float(quote_per_unit) * float(eth_amount)


+def estimate_close_by_bids(
+    bids: list[dict[str, Any]] | None,
+    sheets: int | float,
+    *,
+    ct_mult: float = 0.01,
+    premium_paid: float | None = None,
+) -> dict[str, Any]:
+    """按买一到买N逐档估算限价卖出可收回金额."""
+    target = max(0, int(float(sheets or 0)))
+    remaining = target
+    total_received = 0.0
+    levels: list[dict[str, Any]] = []
+    if target <= 0 or ct_mult <= 0:
+        return {
+            "levels": [],
+            "covered_sheets": 0,
+            "uncovered_sheets": target,
+            "total_received": 0.0,
+            "avg_px": None,
+            "estimated_pnl": None,
+        }
+    for i, level in enumerate(bids or [], start=1):
+        if remaining <= 0:
+            break
+        try:
+            px = float(level.get("px"))
+            sz = int(float(level.get("sz")))
+        except (AttributeError, TypeError, ValueError):
+            continue
+        if px <= 0 or sz <= 0:
+            continue
+        take = min(remaining, sz)
+        eth_amount = eth_amount_from_sheets(take, ct_mult)
+        received = total_premium(px, eth_amount)
+        levels.append(
+            {
+                "level": i,
+                "px": px,
+                "available_sheets": sz,
+                "sheets": take,
+                "eth_amount": eth_amount,
+                "received": round(received, 4),
+            }
+        )
+        total_received += received
+        remaining -= take
+    covered = target - remaining
+    avg_px = (total_received / eth_amount_from_sheets(covered, ct_mult)) if covered > 0 else None
+    estimated_pnl = None
+    if premium_paid is not None and covered > 0:
+        paid_basis = float(premium_paid) * (covered / target)
+        estimated_pnl = round(total_received - paid_basis, 4)
+    return {
+        "levels": levels,
+        "covered_sheets": covered,
+        "uncovered_sheets": remaining,
+        "total_received": round(total_received, 4),
+        "avg_px": round(avg_px, 4) if avg_px is not None else None,
+        "estimated_pnl": estimated_pnl,
+    }
+
+
 def sheets_from_eth_amount(eth_amount: float, ct_mult: float = 0.01) -> int:
    if eth_amount <= 0 or ct_mult <= 0:
        return 0