Auto-fill 期期 sheets from trading balance with same-sheets default.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-19 00:56:35 +08:00
parent f21e4d1166
commit b3548240cc
7 changed files with 374 additions and 5 deletions
@@ -86,6 +86,146 @@ def floor_contracts_to_precision(contracts: float, decimals: int) -> float:
    return math.floor(raw * scale + 1e-12) / scale


+def option_unit_cost_usdc(*, ask: float, ct_mult: float) -> float:
+    """单张权利金(USDC) = 卖一价 × ct_mult."""
+    a = _f(ask)
+    if a is None or a <= 0:
+        return 0.0
+    return float(a) * float(ct_mult or 0.01)
+
+
+def resolve_oo_budget_usdc(
+    *,
+    trading_usdc: Any,
+    trade_budget_usdc: Any,
+    buffer_ratio: Any = 0.95,
+) -> dict[str, Any]:
+    """期期可用预算 = min(交易户×buffer, 单笔预算)."""
+    import math
+
+    trading = _f(trading_usdc)
+    cap = _f(trade_budget_usdc)
+    buf = _f(buffer_ratio)
+    if buf is None or buf <= 0:
+        buf = 0.95
+    if buf > 1:
+        buf = 1.0
+    trading_cap = None if trading is None else max(0.0, float(trading) * float(buf))
+    trade_cap = None if cap is None else max(0.0, float(cap))
+    if trading_cap is None and trade_cap is None:
+        return {
+            "ok": False,
+            "budget_usdc": 0.0,
+            "trading_cap": None,
+            "trade_budget_cap": None,
+            "buffer_ratio": float(buf),
+            "msg": "缺少交易户余额与单笔预算",
+        }
+    if trading_cap is None:
+        budget = float(trade_cap or 0.0)
+    elif trade_cap is None:
+        budget = float(trading_cap)
+    else:
+        budget = min(float(trading_cap), float(trade_cap))
+    budget = float(math.floor(budget * 1e6 + 1e-12) / 1e6)
+    return {
+        "ok": budget > 0,
+        "budget_usdc": budget,
+        "trading_cap": None if trading_cap is None else round(float(trading_cap), 6),
+        "trade_budget_cap": None if trade_cap is None else round(float(trade_cap), 6),
+        "buffer_ratio": float(buf),
+        "msg": "" if budget > 0 else "可用预算为 0",
+    }
+
+
+def _cap_sheets_by_ask_depth(sheets: int, ask_sz: Any) -> int:
+    import math
+
+    n = max(0, int(sheets))
+    depth = _f(ask_sz)
+    if depth is None:
+        return n
+    if depth <= 0:
+        return 0
+    return min(n, int(math.floor(float(depth) + 1e-12)))
+
+
+def suggest_oo_sheets(
+    *,
+    mode: str,
+    budget_usdc: float,
+    ask_a: float,
+    ct_mult_a: float = 0.01,
+    ask_sz_a: Any = None,
+    ask_b: float,
+    ct_mult_b: float = 0.01,
+    ask_sz_b: Any = None,
+) -> dict[str, Any]:
+    """期期建议张数:same_sheets(同张数,默认) / split_budget(均分预算)."""
+    import math
+
+    m = (mode or "same_sheets").strip().lower()
+    if m in ("split", "equal_budget", "split_budget", "均分"):
+        m = "split_budget"
+    else:
+        m = "same_sheets"
+    budget = max(0.0, float(budget_usdc or 0.0))
+    cost_a = option_unit_cost_usdc(ask=ask_a, ct_mult=ct_mult_a)
+    cost_b = option_unit_cost_usdc(ask=ask_b, ct_mult=ct_mult_b)
+    if budget <= 0:
+        return {
+            "mode": m,
+            "sheets_a": 0,
+            "sheets_b": 0,
+            "cost_a": round(cost_a, 8),
+            "cost_b": round(cost_b, 8),
+            "premium_est": 0.0,
+            "ok": False,
+            "msg": "可用预算为 0",
+        }
+    if cost_a <= 0 or cost_b <= 0:
+        return {
+            "mode": m,
+            "sheets_a": 0,
+            "sheets_b": 0,
+            "cost_a": round(cost_a, 8),
+            "cost_b": round(cost_b, 8),
+            "premium_est": 0.0,
+            "ok": False,
+            "msg": "缺少有效卖一价,无法建议张数",
+        }
+    if m == "split_budget":
+        half = budget / 2.0
+        n_a = int(math.floor(half / cost_a + 1e-12))
+        n_b = int(math.floor(half / cost_b + 1e-12))
+    else:
+        pair = cost_a + cost_b
+        n = int(math.floor(budget / pair + 1e-12)) if pair > 0 else 0
+        n_a = n
+        n_b = n
+    n_a = _cap_sheets_by_ask_depth(n_a, ask_sz_a)
+    n_b = _cap_sheets_by_ask_depth(n_b, ask_sz_b)
+    if m == "same_sheets":
+        n = min(n_a, n_b)
+        n_a = n
+        n_b = n
+    prem = cost_a * n_a + cost_b * n_b
+    ok = n_a >= 1 and n_b >= 1
+    msg = ""
+    if not ok:
+        msg = "预算不够开 1+1(或卖一深度不足)"
+    return {
+        "mode": m,
+        "sheets_a": n_a,
+        "sheets_b": n_b,
+        "cost_a": round(cost_a, 8),
+        "cost_b": round(cost_b, 8),
+        "premium_est": round(prem, 6),
+        "ok": ok,
+        "msg": msg,
+    }
+
+
 def build_perp_options_preview(
    *,
    direction: str,